bitFlyerのAPIを使って、自動売買のプログラミングに挑戦しました。
なぜRacket(Scheme)なの？と思わるかもしれませんが、理由は好きだからです。
金融云々は、素人です。
好きなように書いてます。
#lang racket
;;; -------------------------------------------------------------------------------
(define-syntax (if-it stx)
(syntax-case stx ()
[(if-it pred expr then else)
(with-syntax [(it (datum->syntax #'if-it 'it))]
#'(let ([it expr])
(if (pred it)
then
else) ) ) ] ) )
(define-syntax (loop stx)
(syntax-case stx ()
[(loop expr ...)
(with-syntax ([exit (datum->syntax #'loop 'exit)])
#'(let/cc exit
(let loop ()
expr
...
(loop) ) ) ) ] ) )
;;; -------------------------------------------------------------------------------
(module CryptoWatch racket
(provide get-cryptowatch
collect-price)
(require net/http-easy) ; raco pkg install http-easy
(define (get-cryptowatch url)
(let ([response (response-json (get url))])
(if (eq? 'error (cadr (hash-keys response)))
'()
(hash-ref (hash-ref response 'result) '|300|)) ) )
(define (collect-price-ohlc menu data)
(match menu
['open (map second data)]
['high (map third data)]
['low (map fourth data)]
['close (map fifth data)] ) )
(define (collect-price menu data [term 0])
(let ([prices (collect-price-ohlc menu data)])
(if (zero? term)
prices
(take-right prices term) ) ) )
) ; module
;;; -------------------------------------------------------------------------------
(module Send-bitFlyer racket
(provide send-order)
(require gregor
json
net/http-easy ; raco pkg install http-easy
rnrs/bytevectors-6
sha ; raco pkg install sha
timable ; raco pkg install timable
)
(define (create-header method
endpoint
body
api-key
api-secret
[content-type "application/json"])
(let* ([timestamp (datetime->iso8601 (current-datetime))]
[message (string-append timestamp method endpoint body)]
[signature (bytes->hex-string
(hmac-sha256 (string->utf8 api-secret)
(string->utf8 message) ) )] )
(hasheq 'ACCESS-KEY api-key
'ACCESS-TIMESTAMP timestamp
'ACCESS-SIGN signature
'Content-Type content-type) ) )
(define (send-order base-url
endpoint
currency-pair
api-key
api-secret
[child_order_type "MARKET"]
[minute_to_expire "10000"]
[time_in_force "GTC"] )
(λ (side size)
(let* ([body (jsexpr->string
(hasheq 'product_code currency-pair
'child_order_type child_order_type
'side side
'size size
'minute_to_expire minute_to_expire
'time_in_force time_in_force) ) ]
[headers (create-header "POST" endpoint body api-key api-secret)] )
(response-json
(post (string-append base-url endpoint)
#:headers headers
#:data body) ) ) ) )
) ; module
;;; -------------------------------------------------------------------------------
(module MA racket
(provide sma
ema
macd)
(define-syntax sum
(syntax-rules ()
[(_ lst)
(for/sum ([x lst]) x) ]
[(_ proc lst)
(for/sum ([x lst])
(proc x) ) ] ) )
(define (ave lst)
(/ (sum lst)
(length lst) ) )
(define (sma lst)
(ave lst) )
;; 前日の指数平滑移動平均 + α × (当日終値-前日の指数平滑移動平均)
;; α(平滑定数) = 2 ÷ (n + 1)
(define (ema lst p)
(let ([alpha (/ 2 (add1 (length lst)))])
(+ (car lst)
(* alpha
(- p (car lst) ) ) ) ) )
;; 意味が分かっていません
;; 勝手な解釈です
(define (macd lst0 lst1)
(- (sma lst0)
(sma lst1) ) )
) ; module
;;; -------------------------------------------------------------------------------
(require 2htdp/batch-io
json
racket/generic)
(require 'CryptoWatch
'Send-bitFlyer
'MA)
;;; -------------------------------------------------------------------------------
(define-generics traded-status
(buy? traded-status)
(sell? traded-status)
(update! traded-status) )
(struct Traded-Status (flag)
#:mutable
#:transparent
#:methods gen:traded-status
[(define (buy? ts)
(eq? 'BUY (Traded-Status-flag ts)) )
(define (sell? ts)
(eq? 'SELL (Traded-Status-flag ts)) )
(define (update! ts)
(let ([_ts (Traded-Status-flag ts)])
(when (eq? 'SELL _ts)
(set-Traded-Status-flag! ts 'BUY) )
(when (eq? 'BUY _ts)
(set-Traded-Status-flag! ts 'SELL) ) ) )
] ; methods
) ; struct
;;; ------------------------------------------------------------------------------
(define-generics stack-ema
(stack-null? stack-ema)
(init-stack! stack-ema close-prices)
(push-stack! stack-ema most-recent-price)
(update-stack! stack-ema leng)
(calc-macd stack-ema) )
(struct Stack-EMA (value)
#:mutable
#:transparent
#:methods gen:stack-ema
[(define (stack-null? stck)
(null? (Stack-EMA-value stck)) )
(define (init-stack! stck prices)
(set-Stack-EMA-value!
stck
(cons (sma prices)
(Stack-EMA-value stck)) ) )
(define (push-stack! stck most-recent)
(set-Stack-EMA-value!
stck
(cons (ema (Stack-EMA-value stck)
most-recent)
(Stack-EMA-value stck)) ) )
(define (update-stack! stck leng)
(let ([lst (Stack-EMA-value stck)])
(when (> (length lst) leng)
(set-Stack-EMA-value!
stck
(take lst leng) ) ) ) )
(define (calc-macd stck)
(let* ([lst (Stack-EMA-value stck)]
[leng (length lst)] )
(if (>= leng 10)
(begin
(when (odd? leng)
(set! lst (drop-right lst 1))
(set! leng (length lst)) )
(macd (take lst (/ leng 2)) ; short
lst) ) ; long
0) ) )
] ; methods
) ; struct
;;; -------------------------------------------------------------------------------
(define *key-settings*
(with-input-from-string
(read-file "./settings/key-settings.json")
(λ () (read-json)) ) )
(define *url-cryptowatch*
"https://api.cryptowat.ch/markets/bitflyer/xrpjpy/ohlc?periods=300")
(define *send-order*
(send-order "https://api.bitflyer.com"
"/v1/me/sendchildorder"
"XRP_JPY"
(hash-ref *key-settings* 'api-key)
(hash-ref *key-settings* 'api-secret) ) )
(define *traded-status* (Traded-Status 'BUY))
(define *stack-ema* (Stack-EMA '()))
;;; -------------------------------------------------------------------------------
(define (main)
(loop
(let* ([data-cryptowatch
(if-it null? (get-cryptowatch *url-cryptowatch*)
(exit 'Abort)
it) ]
[most-recent-price
(fifth (last data-cryptowatch)) ]
[macd null]
[result null] )
;; スタックの操作 判断
(if (stack-null? *stack-ema*)
;; 初回のみ
(init-stack! *stack-ema*
(drop-right (collect-price 'close data-cryptowatch 21)
1) )
;; 2 回目以降
(push-stack! *stack-ema* most-recent-price) )
;; 更新
(set! macd (calc-macd *stack-ema*))
;; 売買
(cond
[(and (sell? *traded-status*) (negative? macd))
(*send-order* "SELL" "1.0")
(update! *traded-status*)
(set! result "売った") ]
[(and (buy? *traded-status*) (positive? macd))
(*send-order* "BUY" "2.0")
(update! *traded-status*)
(set! result "買った") ]
[else
(set! result "待機") ] )
;; 表示
(displayln (format "
MOST RECENT : ~s
MACD : ~s
~s
~s
"
most-recent-price
macd
*traded-status*
result) )
(displayln (make-string 60 #\-))
;; 更新
(update-stack! *stack-ema* 20) )
;; 待機
(sleep 900) ) ) ; 15 分