Pythonでアービトラージ自動売買に挑戦⑤～発注条件検討～

import ccxt
import time
import datetime		
import csv			
from pprint import pprint
import requests
import json
max = 500			#cryptowatchで取得できる足の数
before = 5			#さかのぼる足の数
periods = 1800		#3600秒＝1時間足
range_th = 15000	#値動きの最大幅
range_flag = 0		#値動きの最大幅が許容内の時のフラグ
arbi_th = 2000		#裁定取引開始差額
arbi_flag = 0		#裁定取引開始差額の時のフラグ
sage_flag = 0		#下げ局面でないことを確認する時のフラグ
delay = 10			#指定秒数待って繰り返し
def get_price(min,i):
	data = response.json()
	last_data = data["result"][str(min)][i]
	return { "close_time" : last_data[0],
		"open_price" : last_data[1],
		"high_price" : last_data[2],
		"low_price" : last_data[3],
		"close_price":last_data[4] }
def check_candle( data ):
	if data["close_price"]-data["open_price"] > 0 : return True	
	else : return False
	
def check_ascend( data,last_data ):
	if data["open_price"] > last_data["open_price"] and data["close_price"] > last_data["close_price"]:
		return True
	else:
		return False
while 1:
	dt = datetime.datetime.now()
	print(dt)					
	exchange_list = ['bitflyer', 'coincheck', 'bitbank', 'liquid', 'btcbox']
	ask_exchange = ''
	ask_price = 99999999
	bid_exchange = ''
	bid_price = 0
	for exchange_id in exchange_list:
	    exchange = eval('ccxt.' + exchange_id + '()')
	    orderbook = exchange.fetch_order_book ('BTC/JPY')
	    bid = orderbook['bids'][0][0] if len (orderbook['bids']) > 0 else None
	    ask = orderbook['asks'][0][0] if len (orderbook['asks']) > 0 else None
	    if ask < ask_price:
	        ask_exchange = exchange_id
	        ask_price = ask
	    if bid > bid_price:
	        bid_exchange = exchange_id
	        bid_price = bid
	#アービトラージ計算結果を出力
	arbi = bid_price - ask_price
	print (ask_exchange, 'で', ask_price, '円で買って')
	print (bid_exchange, 'で', bid_price, '円で売れば')
	print (arbi, '円の利益！')
	if arbi > arbi_th:
		arbi_flag = 1
		print('①',arbi_th,'円以上の差額なのでフラグ立てます')
	else:
		arbi_flag = 0
		print('①',arbi_th,'円以下の差額なのでフラグ立てません')
			
	#②過去のボラティリティを確認
	response = requests.get("https://api.cryptowat.ch/markets/bitflyer/btcjpy/ohlc",params = { "periods" : periods })
	json_data = response.json()
	i = max - before
	max_range = 0
	while i in range(max):
		data = get_price(periods, i)
		price_range = data["high_price"] - data["low_price"]
		print((max-i)*periods/3600,'時間前の値幅',price_range)
		if max_range <  price_range:
			max_range = price_range
		i = i+1
	print('直近',before*periods/3600,'時間の値幅は',max_range,'円です')
	if max_range < range_th:
		range_flag = 1
		print('②',range_th,'円以内の値幅なのでフラグ立てます')
	else:
		range_flag = 0
		print('②',range_th,'円以上の値幅なのでフラグ立てません')
	
	#③売り局面でないことを確認
	data1 = check_candle(get_price(periods, max-3))
	data2 = check_candle(get_price(periods, max-2))
	data3 = check_candle(get_price(periods, max-1))
	data4 = check_ascend(get_price(periods, max-2),get_price(periods, max-3))
	data5 = check_ascend(get_price(periods, max-1),get_price(periods, max-2))
	if data1 or data2 or data3 or data4 or data5:
		sage_flag = 1
		print('③','下げ局面ではないのでフラグ立てます')
	else:
		sage_flag = 0
		print('③','下げ局面なのでフラグ立てません')
	if arbi_flag * range_flag * sage_flag == 1:
		print('発注条件成立しました\n')
	else:
		print('発注条件成立せず\n')	
	time.sleep(delay)