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dosangyoon
2022-08-03 14:59:44 +09:00
parent e3595ea4d0
commit b8e94a6eb0
4 changed files with 120 additions and 34 deletions
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48
hts/HTS.py
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@@ -456,13 +456,13 @@ class HTS:
return data
def insertStockData(self, inFileName, stock_code, stock_name, today):
def insertStockData(self, db_filename, stock_code, stock_name, today):
tableName = 'hts'
conn = sqlite3.connect(inFileName)
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
# 테이블 생성
cursor.execute("CREATE TABLE IF NOT EXISTS " + tableName + " (CODE text, NAME text, ymd text, hms text, close REAL, open REAL, high REAL, low REAL, volume REAL)")
cursor.execute("CREATE TABLE IF NOT EXISTS " + tableName + " (CODE text, NAME text, ymd text, hms text, close REAL, open REAL, high REAL, low REAL, volume REAL, label INTEGER DEFAULT 0)")
# 키 생성
create_key = "CREATE INDEX IF NOT EXISTS " + tableName + "_idx on " + tableName + " (CODE, ymd, hms) "
@@ -474,7 +474,7 @@ class HTS:
items = self.getStockInfo(stock_code, today)
conn = sqlite3.connect(inFileName)
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
idx = 0
for item in items:
@@ -548,6 +548,46 @@ class HTS:
result["vol"].append(int(vol))
return
def updateLabel(self, db_filename, stock_code, bsLine, data, ymd):
tableName = 'hts'
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
cursor.execute('Update ' + tableName + ' set label=? WHERE CODE=? and ymd=?', (0, stock_code, ymd,))
for i in range(len(bsLine["buy"])):
if bsLine["buy"][i] > 0:
ymd = data['date'][i].strftime('%Y%m%d')
hms = data['date'][i].strftime('%H%M')
cursor.execute('Update ' + tableName + ' set label=? WHERE CODE=? and ymd=? and hms=?', (2, stock_code, ymd, hms))
for i in range(len(bsLine["sell"])):
if bsLine["sell"][i] > 0:
ymd = data['date'][i].strftime('%Y%m%d')
hms = data['date'][i].strftime('%H%M')
cursor.execute('Update ' + tableName + ' set label=? WHERE CODE=? and ymd=? and hms=?', (1, stock_code, ymd, hms))
conn.commit()
cursor.close()
conn.close()
print("insert...", stock_code, ymd)
return
def getYMD(self, stock_code):
tableName = 'hts'
conn = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "hts.db"))
cursor = conn.cursor()
result = []
cursor.execute('SELECT distinct ymd FROM ' + tableName + ' WHERE CODE=? order by ymd', (stock_code,))
db_result = cursor.fetchall()
for rows in db_result:
ymd = rows[0] # hts.날짜
result.append(ymd)
return result
def getDBData(self, stock_code, day, result):
tableName = 'hts'
conn = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "hts.db"))

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resources/hts.db
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2
stock/util/DBManager.py
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@@ -14,7 +14,7 @@ class DBManager:
cursor = conn.cursor()
# 테이블 생성
cursor.execute("CREATE TABLE IF NOT EXISTS " + tableName + " (CODE text, NAME text, ymd text, hms text, close REAL, open REAL, high REAL, low REAL, volume REAL, label INTEGER)")
cursor.execute("CREATE TABLE IF NOT EXISTS " + tableName + " (CODE text, NAME text, ymd text, hms text, close REAL, open REAL, high REAL, low REAL, volume REAL, label INTEGER DEFAULT 0)")
# 키 생성
create_key = "CREATE INDEX IF NOT EXISTS " + tableName + "_idx on " + tableName + " (CODE, ymd, hms, label) "

104
stock/util/LabelMaker.py
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@@ -1,5 +1,6 @@
import os
import csv
import logging
from math import nan
import pandas as pd
import plotly.graph_objects as go
@@ -17,7 +18,7 @@ class LabelMaker (HTS):
self.buySellChecker = BuySellChecker()
return
def checkTransaction(self, data):
def checkTransaction(self, data, duration=60):
bsLine = {}
size = len(data["close"])
@@ -27,18 +28,17 @@ class LabelMaker (HTS):
bsLine['sell'] = [-1 for i in range(size)]
bsLine['sell_weight'] = [-1 for i in range(size)]
# 매수 처리
p_min_price = 999999999
p_max_price = 999999999
for i in range(size-60):
min_price, min_price_c, max_price, max_price_c = 9999999, -1, 0, -1
for c in range(i, i+60):
# - 10을 한 것은 3시 11분까지 매매를 하기 위함임
for i in range(size-duration-10):
min_price, min_price_c, = 9999999, -1
for c in range(i, i+duration):
if min(data["close"][c], data["close"][c]) < min_price:
min_price = min(data["close"][c], data["close"][c])
min_price_c = c
if max(data["close"][c], data["close"][c]) > max_price:
max_price = max(data["close"][c], data["close"][c])
max_price_c = c
# 매수 처리
if min_price_c > 0:
isValid = True
for c in range(2, 10):
@@ -50,17 +50,43 @@ class LabelMaker (HTS):
bsLine['buy'][min_price_c] = min_price
bsLine['buy_weight'][min_price_c] = 1
p_min_price = min_price
if max_price_c > 0 and bsLine['buy'][max_price_c-2] < 0:
isValid = True
for c in range(2, 10):
if bsLine['buy'][max_price_c - c] > 0:
isValid = False
break
if isValid:
if max_price > p_max_price:
bsLine['sell'][max_price_c] = max_price
bsLine['sell_weight'][max_price_c] = 1
p_max_price = max_price
# 매도 처리
buy_i = [c for c in range(size) if bsLine['buy'][c] > 0]
for i in range(len(buy_i)):
if i < len(buy_i)-1:
boundry = data["high"][buy_i[i]+1: buy_i[i+1]]
if len(boundry) > 1:
max_price = max(boundry)
for c in range(buy_i[i], buy_i[i+1]):
if data["high"][c] == max_price:
isValid = False
for d in range(c - 1, 0, -1):
if bsLine['sell'][d] > 0 and bsLine['buy'][d] < 0:
break
if bsLine['sell'][d] < 0 and bsLine['buy'][d] > 0:
isValid = True
break
if isValid:
bsLine['sell'][c] = max_price
bsLine['sell_weight'][c] = 1
else:
boundry = data["high"][buy_i[i] + 1:]
if len(boundry) > 1:
max_price = max(boundry)
for c in range(buy_i[i], len(data["high"])):
if data["high"][c] == max_price:
isValid = False
for d in range(c-1, 0, -1):
if bsLine['sell'][d] > 0 and bsLine['buy'][d] < 0 :
break
if bsLine['sell'][d] < 0 and bsLine['buy'][d] > 0 :
isValid = True
break
if isValid:
bsLine['sell'][c] = max_price
bsLine['sell_weight'][c] = 1
return bsLine, data
def draw_simple(self, stock_code, given_day, data, bsLine):
@@ -200,15 +226,18 @@ class LabelMaker (HTS):
return
def writeLabelFile(self, bsLine, data, ymd):
outFileName = os.path.join(self.RESOURCE_PATH, "tmp", ymd+".sell.csv")
def writeLabelFile(self, stock_code, bsLine, data, ymd):
if not os.path.isdir(os.path.join(self.RESOURCE_PATH, "tmp")):
os.mkdir(os.path.join(self.RESOURCE_PATH, "tmp"))
outFileName = os.path.join(self.RESOURCE_PATH, "tmp", stock_code+"."+ymd+".sell.csv")
with open(outFileName, "w", encoding="utf-8") as outFp:
writer = csv.writer(outFp)
for i, price in enumerate(bsLine["sell"]):
if price != -1:
writer.writerow([data['date'][i], bsLine["sell"][i]])
outFileName = os.path.join(self.RESOURCE_PATH, "tmp", ymd + ".buy.csv")
outFileName = os.path.join(self.RESOURCE_PATH, "tmp", stock_code+"."+ymd + ".buy.csv")
with open(outFileName, "w", encoding="utf-8") as outFp:
writer = csv.writer(outFp)
for i, price in enumerate(bsLine["buy"]):
@@ -216,25 +245,42 @@ class LabelMaker (HTS):
writer.writerow([data['date'][i], bsLine["buy"][i]])
return
def makeCandidate(self, stock_code, ymd="20220727"):
def makeCandidate(self, stock_code, ymd="20220727", view=False):
result = {"check": set(), "time": [], "open": [], "close": [], "high": [], "low": [], "vol": [], "label": []}
self.getDBData(stock_code, ymd, result)
data = self.buySellChecker.analyze(result)
bsLine, data = self.checkTransaction(data)
self.writeLabelFile(bsLine, data, ymd)
self.draw_simple(stock_code, ymd, data, bsLine)
self.draw_detail(stock_code, ymd, data, bsLine)
return
self.writeLabelFile(stock_code, bsLine, data, ymd)
if view:
self.draw_simple(stock_code, ymd, data, bsLine)
#self.draw_detail(stock_code, ymd, data, bsLine)
return bsLine, data
def getDate(self, stock_code):
ymds = self.getYMD(stock_code)
return ymds
if __name__ == "__main__":
PROJECT_HOME = os.path.join(os.path.dirname(os.path.join(os.path.dirname(os.path.join(os.path.dirname(__file__))))))
RESOURCE_PATH = os.path.join(PROJECT_HOME, "resources")
db_filename = os.path.join(RESOURCE_PATH, "hts.db")
labelMaker = LabelMaker()
view = True
stock_code = "252670"
#stock_code = "122630"
ymd = "20200701"
labelMaker.makeCandidate(stock_code, "20220801")
if view:
bsLine, data = labelMaker.makeCandidate(stock_code, ymd, view=view)
else:
stock_codes = ["252670", "122630"]
for stock_code in stock_codes:
ymds = labelMaker.getDate(stock_code)
for ymd in ymds:
logging.info(stock_code, ymd)
bsLine, data = labelMaker.makeCandidate(stock_code, ymd)
labelMaker.updateLabel(db_filename, stock_code, bsLine, data, ymd)