init

hts/HTS.py

@@ -545,12 +545,12 @@ class HTS:
 
         return 0, 0
 
-    def buyRealTime(self, stock_code, given_day):
+    def buyRealTime(self, stock_code, GIVEN_DAY):
         orderChecker = OrderChecker()
         BASE_COUNT = 100
 
         timecheckList = pd.read_csv("timecheck.csv").values.tolist()
-        timecheck = {given_day + " " + str(second).zfill(6):False for second, check in timecheckList}
+        timecheck = {GIVEN_DAY + " " + str(second).zfill(6):False for second, check in timecheckList}
 
         result = {"check": set(),
                   "time": [],
@@ -562,15 +562,14 @@ class HTS:
 
         final_price = 0
         print ("START...")
-        while datetime.strptime(given_day + " 070000", '%Y%m%d %H%M%S') < datetime.now() < datetime.strptime(given_day + " 15200", '%Y%m%d %H%M%S'):
+        THIS_TIME = datetime.now()
+        while datetime.strptime(GIVEN_DAY + " 070000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(GIVEN_DAY + " 15200", '%Y%m%d %H%M%S'):
 
-            second = datetime.now().strftime('%Y%m%d %H%M%S')
-
-            if datetime.strptime(given_day + " 090100", '%Y%m%d %H%M%S') < datetime.now() < datetime.strptime(given_day + " 151000", '%Y%m%d %H%M%S'):
-                if second in timecheck and not timecheck[second]:
+            if datetime.strptime(GIVEN_DAY + " 090100", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(GIVEN_DAY + " 151000", '%Y%m%d %H%M%S'):
+                if THIS_TIME.strftime('%Y%m%d %H%M%S') in timecheck and not timecheck[THIS_TIME.strftime('%Y%m%d %H%M%S')]:
 
                     # 데이터를 가지고 온다.
-                    self.getRealTime(stock_code, given_day, result)
+                    self.getRealTime(stock_code, GIVEN_DAY, result)
 
                     # 분석을 통해서 볼린저밴드 상/하단을 계산한다.
                     data = self.buySellChecker.analyze(result)
@@ -592,7 +591,7 @@ class HTS:
                         # 두 시간 이전 미체결을 취소한다.
                         self.cancelOrderList(orderListToCancel)
                         # 로그 출력
-                        print("BUY", second, BUY_COUNT, bs_buy_price)
+                        print("BUY", THIS_TIME, BUY_COUNT, bs_buy_price)
 
                     if bs_sell_price > 0:
                         # 매도 가격을 가져온다.
@@ -607,13 +606,13 @@ class HTS:
                             # 두 시간 이전 미체결을 취소한다.
                             self.cancelOrderList(orderListToCancel)
                             # 로그 출력
-                            print("SELL", second, selling_count, selling_price)
+                            print("SELL", THIS_TIME, selling_count, selling_price)
 
                     # 로그 출력
-                    print("TIMECHECK", second, final_price, data["Low"][data_size-1], data["slow_k"][data_size-1], data["slow_d"][data_size-1])
-                    timecheck[second] = True
+                    print("TIMECHECK", THIS_TIME, final_price, data["Low"][data_size-1], data["slow_k"][data_size-1], data["slow_d"][data_size-1])
+                    timecheck[THIS_TIME] = True
 
-            if datetime.strptime(given_day + " 151000", '%Y%m%d %H%M%S') < datetime.now():
+            if datetime.strptime(GIVEN_DAY + " 151000", '%Y%m%d %H%M%S') < THIS_TIME:
                 # 주문 리스트를 가져온다.
                 orderList = self.requestOrderList()
                 # 15:10:00 이후라면 모든 미체결 취소한다.
@@ -624,10 +623,11 @@ class HTS:
                 if selling_count != 0 and selling_price !=0:
                     orderNum = self.requestOrder(OrderType.sell, stock_code, selling_count, selling_price)
                     # 로그 출력
-                    print("SELL", second, selling_count, selling_price)
+                    print("SELL", THIS_TIME, selling_count, selling_price)
 
                 break
             time.sleep(0.9)
+            THIS_TIME = datetime.now()
 
         return
 

hts/OrderChecker.py

@@ -18,14 +18,15 @@ class OrderChecker:
         if os.path.isfile(fileName):
             self.order_df = pd.read_csv(fileName)
         else:
-            self.order_df = None
+            self.order_df = pd.DataFrame(columns=["type", "orderNum", "count", "price", "datetime"])
+
+        self.order_df = self.order_df.astype({"type": str, "orderNum": int, "count": int, "price": int})
+        self.order_df['datetime'] = pd.to_datetime(self.order_df['datetime'])
+        return
 
     def add(self, type, orderNum, count, price, orderList):
         orderListToCancel = []
 
-        if self.order_df is None:
-            self.order_df = pd.DataFrame()
-        else:
         # 두 시간 전
         before_two_hour = datetime.now() - timedelta(hours=2)
 
@@ -47,13 +48,19 @@ class OrderChecker:
         return orderListToCancel
 
 if __name__ == "__main__":
-    orderChecker = OrderChecker()
+    a = pd.DataFrame(columns=["type", "orderNum", "count", "price", "datetime"])
+    a = a.astype({"type": str, "orderNum": int, "count": int, "price": int})
+    a['datetime'] = pd.to_datetime(a['datetime'])
 
-    a = pd.DataFrame(columns=["a", "b", "c", "d", "e"])
-    a = a.append({"a": 0, "b": 1, "c": 3, "d": 7, "e": 8}, ignore_index=True)
-    a = a.append({"a": 1, "b": 3, "c": 0, "d": 6, "e": 6}, ignore_index=True)
-    a = a.append({"a": 2, "b": 3, "c": 0, "d": 3, "e": 9}, ignore_index=True)
-    a = a.append({"a": 3, "b": 9, "c": 9, "d": 8, "e": 4}, ignore_index=True)
+    this_time = datetime.now()
+    a = a.append({"type": "0", "orderNum": 1, "count": 3, "price": 7, "datetime": this_time}, ignore_index=True)
+    a = a.append({"type": "1", "orderNum": 3, "count": 0, "price": 6, "datetime": this_time - timedelta(hours=2)}, ignore_index=True)
+    a = a.append({"type": "2", "orderNum": 3, "count": 0, "price": 3, "datetime": this_time + timedelta(hours=1)}, ignore_index=True)
+    a = a.append({"type": "1", "orderNum": 9, "count": 9, "price": 8, "datetime": this_time}, ignore_index=True)
 
-    a = a.loc[a["b"] != 3]
-    print(a.tail())
+    b = a.loc[a["orderNum"] != 3]
+    print(b.tail())
+    print()
+
+    b = a.loc[a["datetime"] < this_time]
+    print(b.tail())

hts/Simulation.py

@@ -1,5 +1,5 @@
 import os
-from datetime import datetime
+from datetime import datetime, timedelta
 import pandas as pd
 import plotly.graph_objects as go
 from plotly import subplots
@@ -133,7 +133,20 @@ class Simulation:
 
         return
 
-    def simulate(self, stock_code, given_day):
+    def getAverageVolume(self, stock_code):
+        index = 0
+        while index < 10:
+            this_day = datetime.today() - timedelta(days=index+1)
+            fileName = "./data/"+stock_code+"_"+this_day.strftime("%Y%m%d")+".csv"
+            #fileName = "./data/" + stock_code + "_20211013.csv"
+            if os.path.isfile(fileName):
+                data = pd.read_csv(fileName)
+                return data
+            index += 1
+
+        return 2000000
+
+    def simulate(self, stock_code, GIVEN_DAY):
         result = {"check": set(),
                   "time": [],
                   "open": [],
@@ -142,8 +155,10 @@ class Simulation:
                   "low": [],
                   "vol": []}
 
+        averageVolume = self.getAverageVolume(stock_code)
+
         # 데이터를 가지고 온다.
-        self.getCSV("./data/"+stock_code+"_"+given_day+".csv", given_day, result)
+        self.getCSV("./data/"+stock_code+"_"+GIVEN_DAY+".csv", GIVEN_DAY, result)
 
         # 분석을 통해서 볼린저밴드 상/하단을 계산한다.
         data = self.buySellChecker.analyze(result)
@@ -152,7 +167,7 @@ class Simulation:
         bsLine = self.checkTransaction(data)
 
         # 그래프를 그린다.
-        self.draw(stock_code, given_day, data, bsLine)
+        self.draw(stock_code, GIVEN_DAY, data, bsLine)
 
         return