DeFi 시리즈 6 — 크립토 봇 트레이딩 실전 가이드

# funding_rate_bot.py

# pip install ccxt python-dotenv

import ccxt, time, os

from dotenv import load_dotenv

load_dotenv()

exchange = ccxt.binance({

'apiKey': os.getenv('BINANCE_API_KEY'),

'secret': os.getenv('BINANCE_SECRET'),

'options': {'defaultType': 'future'},

})

# 설정값

SYMBOL = "BTC/USDT:USDT" # 선물 심볼

SPOT_SYMBOL = "BTC/USDT"

TRADE_SIZE_USDT = 1000 # 운용 금액

ENTRY_THRESHOLD = 0.0001 # 0.01% 이상일 때 진입

EXIT_THRESHOLD = 0.00005 # 0.005% 이하면 청산

def get_funding_rate():

info = exchange.fetch_funding_rate(SYMBOL)

return float(info["fundingRate"])

def get_btc_price():

ticker = exchange.fetch_ticker(SYMBOL)

return float(ticker['last'])

def open_delta_neutral():

price = get_btc_price()

amount = TRADE_SIZE_USDT / price

amount = round(amount, 3)

# 1. 현물 롱

spot_ex = ccxt.binance({

'apiKey': os.getenv('BINANCE_API_KEY'),

'secret': os.getenv('BINANCE_SECRET'),

})

spot_order = spot_ex.create_market_buy_order(

SPOT_SYMBOL, amount

)

# 2. 선물 숏 (1x 레버리지)

perp_order = exchange.create_market_sell_order(

SYMBOL, amount, {'reduceOnly': False}

)

print(f'포지션 오픈: {amount} BTC, 현물롱+선물숏')

return amount

def close_delta_neutral(amount):

spot_ex = ccxt.binance({

'apiKey': os.getenv('BINANCE_API_KEY'),

'secret': os.getenv('BINANCE_SECRET'),

})

spot_ex.create_market_sell_order(SPOT_SYMBOL, amount)

exchange.create_market_buy_order(

SYMBOL, amount, {'reduceOnly': True}

)

print('포지션 청산 완료')

# 메인 루프

position_amount = 0

while True:

rate = get_funding_rate()

print(f'펀딩비: {rate:.6f} ({rate*100:.4f}%)')

if position_amount == 0 and rate > ENTRY_THRESHOLD:

print('진입 조건 충족 → 포지션 오픈')

position_amount = open_delta_neutral()

elif position_amount > 0 and rate < EXIT_THRESHOLD:

print('청산 조건 충족 → 포지션 종료')

close_delta_neutral(position_amount)

position_amount = 0

time.sleep(300) # 5분마다 체크

# cex_dex_arb.py

# pip install ccxt web3 python-dotenv

import ccxt, time, os

from web3 import Web3

from dotenv import load_dotenv

load_dotenv()

# CEX 설정

binance = ccxt.binance({

'apiKey': os.getenv('BINANCE_API_KEY'),

'secret': os.getenv('BINANCE_SECRET'),

})

# DEX 설정 (Arbitrum 사용 — 가스비 저렴)

w3 = Web3(Web3.HTTPProvider(os.getenv('ARB_RPC_URL')))

UNISWAP_QUOTER = "0xb27308f9F90D607463bb33eA1BeBb41C27CE5AB6"

def get_cex_price(symbol="ETH/USDT"):

ticker = binance.fetch_ticker(symbol)

return float(ticker['last'])

def get_dex_price(amount_in_eth=0.1):

# Uniswap v3 Quoter로 견적 조회

quoter = w3.eth.contract(

address=UNISWAP_QUOTER,

abi=QUOTER_ABI

)

WETH = "0x82aF49447D8a07e3bd95BD0d56f35241523fBab1"

USDC = "0xFF970A61A04b1cA14834A43f5dE4533eBDDB5CC8"

amount_in = int(amount_in_eth * 1e18)

amount_out = quoter.functions.quoteExactInputSingle(

WETH, USDC, 500, amount_in, 0

).call()

return amount_out / 1e6 / amount_in_eth # USDC per ETH

def calculate_profit(cex_price, dex_price, size_eth=0.1):

# DEX에서 사고 CEX에서 파는 경우

gas_cost_usd = 0.5 # Arbitrum 가스비 추정

cex_fee = cex_price * size_eth * 0.001 # 0.1%

dex_slippage = dex_price * size_eth * 0.001 # 0.1% 슬리피지

spread = (cex_price - dex_price) * size_eth

net_profit = spread - gas_cost_usd - cex_fee - dex_slippage

return net_profit

# 메인 루프

MIN_PROFIT_USD = 5.0 # 최소 수익 $5

while True:

try:

cex = get_cex_price()

dex = get_dex_price(0.1)

profit = calculate_profit(cex, dex)

spread_pct = (cex - dex) / cex * 100

print(f'CEX: ${cex:.2f} DEX: ${dex:.2f} 스프레드: {spread_pct:.3f}% 예상수익: ${profit:.2f}')

if profit > MIN_PROFIT_USD:

print('차익 기회 발견! 실행...')

# execute_arb(cex, dex, profit)

except Exception as e:

print(f'에러: {e}')

time.sleep(1) # 1초마다 체크