init

hts/HTS.py

@@ -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"))

stock/util/DBManager.py

@@ -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) "

stock/util/LabelMaker.py

@@ -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
+        # - 10을 한 것은 3시 11분까지 매매를 하기 위함임
-        for i in range(size-60):
+        for i in range(size-duration-10):
-            min_price, min_price_c, max_price, max_price_c = 9999999, -1, 0, -1
+            min_price, min_price_c, = 9999999, -1
-            for c in range(i, i+60):
+            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
+        # 매도 처리
-                for c in range(2, 10):
+        buy_i = [c for c in range(size) if bsLine['buy'][c] > 0]
-                    if bsLine['buy'][max_price_c - c] > 0:
+        for i in range(len(buy_i)):
-                        isValid = False
+            if i < len(buy_i)-1:
-                        break
+                boundry = data["high"][buy_i[i]+1: buy_i[i+1]]
-                if isValid:
+                if len(boundry) > 1:
-                    if max_price > p_max_price:
+                    max_price = max(boundry)
-                        bsLine['sell'][max_price_c] = max_price
+                    for c in range(buy_i[i], buy_i[i+1]):
-                        bsLine['sell_weight'][max_price_c] = 1
+                        if data["high"][c] == max_price:
-                    p_max_price = 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):
+    def writeLabelFile(self, stock_code, bsLine, data, ymd):
-        outFileName = os.path.join(self.RESOURCE_PATH, "tmp", ymd+".sell.csv")
+        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.writeLabelFile(stock_code, bsLine, data, ymd)
-        self.draw_simple(stock_code, ymd, data, bsLine)
+        if view:
-        self.draw_detail(stock_code, ymd, data, bsLine)
+            self.draw_simple(stock_code, ymd, data, bsLine)
-        return
+            #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)