init

hts/BuySellChecker.py

@@ -3,7 +3,7 @@ from stockpredictor.analysis.Common import Common
 from stockpredictor.analysis.Stochastic import Stochastic
 from stockpredictor.analysis.RSI import RSI
 
-class BS:
+class BuySellChecker:
 
     common = None
     stochastic = None
@@ -207,16 +207,16 @@ class BS:
         # rsi가 rsis 위로 올라오며 15 이하일 경우 10배로 주문함 (14:30 이전)
         if data["rsi"][i] < 15 and data["rsis"][i] < 15 and data["rsi"][i - 1] < data["rsis"][i - 1] and data["rsis"][i] < data["rsi"][i]:
             buy = data["Low"][i]
-            weight = 3
+            weight = 4
         if data["rsi"][i] < 10:
-            weight = 3
+            weight = 4
 
         if data["slow_k"][i] in (0, 1, 2, 3):
-            weight = 2.5
+            weight = 3
         if data["slow_k"][i] in (4, 5, 6, 7, 8):
-            weight = 2
+            weight = 2.5
         elif data["slow_k"][i] in (9, 10, 11, 12, 13):
-            weight = 1.5
+            weight = 2
         elif data["slow_k"][i] in (14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25):
             weight = 1
 

hts/HTS.py

@@ -1,29 +1,14 @@
 import win32com.client
 import time
 import os
-from datetime import datetime, timedelta
+from datetime import datetime
 import pandas as pd
-from enum import Enum
 
-from BS import BS
+from OrderType import OrderType
+from OrderItem import OrderItem
 
-# enum 주문 상태 세팅용
+from BuySellChecker import BuySellChecker
-class EorderBS(Enum):
+from OrderChecker import OrderChecker
-    buy = 1          # 매수
-    sell= 2          # 매도
-    none =3
-
-class orderData:
-    def __init__(self):
-        self.dicEx = {EorderBS.buy: "매수", EorderBS.sell: "매도", EorderBS.none: "없음"}
-        self.orderNum = 0
-        self.bs = EorderBS.none  # 0 : buy 1: sell
-        self.code = ""
-        self.amount = 0
-        self.price = 0
-
-    def debugPrint(self):
-        print(self.dicEx.get(self.bs), self.code, self.orderNum, self.amount, self.price)
 
 
 class HTS:
@@ -31,10 +16,10 @@ class HTS:
     objCpCybos = None
     objCpCodeMgr = None
 
-    bs = None
+    buySellChecker = None
 
     def __init__(self):
-        self.bs = BS()
+        self.buySellChecker = BuySellChecker()
         #self.connect()
         return
 
@@ -189,13 +174,13 @@ class HTS:
         nRet = objStockOrder.BlockRequest()
         if (nRet != 0):
             print("order error", nRet)
-            return
+            return None
 
         rqStatus = objStockOrder.GetDibStatus()
         rqRet = objStockOrder.GetDibMsg1()
         print("통신상태", rqStatus, rqRet)
         if rqStatus != 0:
-            return
+            return None
 
         orderNum = objStockOrder.GetHeaderValue(0)
 
@@ -330,7 +315,7 @@ class HTS:
                 break
 
             for i in range(cnt):
-                item = orderData()
+                item = OrderItem()
                 item.orderNum = objResult.GetDataValue(1, i)
                 item.orderPrev = objResult.GetDataValue(2, i)
                 item.code = objResult.GetDataValue(3, i)  # 종목코드
@@ -356,9 +341,7 @@ class HTS:
         return orderList
 
     #  미체결 취소하기
-    def cancelOrderList(self):
+    def cancelOrderList(self, orderList):
-        #주문 리스트를 가져온다.
-        orderList = self.requestOrderList()
 
         if len(orderList) < 1:
             return
@@ -534,7 +517,7 @@ class HTS:
         if i < 5:
             return -1, -1, -1
 
-        buy, weight, sell = self.bs.getPriceAndWeight1(data, i)
+        buy, weight, sell = self.buySellChecker.getPriceAndWeight1(data, i)
         return buy, weight, sell
 
     def getSellingPrice(self, final_price):
@@ -563,6 +546,9 @@ class HTS:
         return 0, 0
 
     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}
 
@@ -587,19 +573,25 @@ class HTS:
                     self.getRealTime(stock_code, given_day, result)
 
                     # 분석을 통해서 볼린저밴드 상/하단을 계산한다.
-                    data = self.bs.analyze(result)
+                    data = self.buySellChecker.analyze(result)
                     # 사야 할 시점/가격과 팔아야 할 시점/가격을 체크한다.
                     bs_buy_price, bs_weight, bs_sell_price = self.checkTransaction(data)
                     data_size = len(data["Close"])
                     final_price = data["Close"][data_size-1]
 
                     if bs_buy_price > 0:
-                        BUY_COUNT = int(200 * bs_weight)
+                        # 기본 100 주에 가중치를 추가해서 매수한다.
+                        BUY_COUNT = int(BASE_COUNT * bs_weight)
 
-                        # 매수 전에 모든 미체결을 취소한다.
+                        # 매수를 주문한다.
-                        # self.cancelOrderList()
+                        orderNum = self.requestOrder(OrderType.buy, stock_code, BUY_COUNT , bs_buy_price)
-                        # 현재까지 매입금액이 7백만원 이하일 때만 매수를 한다.
+                        # 미체결 기록을 가져온다.
-                        self.requestOrder("2", stock_code, bs_weight * BUY_COUNT , bs_buy_price)
+                        orderList = self.requestOrderList()
+                        # 매수 주문을 기록한다.
+                        orderListToCancel = orderChecker.add("2", orderNum, BUY_COUNT, bs_buy_price, orderList)
+                        # 두 시간 이전 미체결을 취소한다.
+                        self.cancelOrderList(orderListToCancel)
+                        # 로그 출력
                         print("BUY", second, BUY_COUNT, bs_buy_price)
 
                     if bs_sell_price > 0:
@@ -607,20 +599,31 @@ class HTS:
                         selling_count, selling_price = self.getSellingPrice(final_price)
                         # 분석되 가격으로 매도 요청한다.
                         if selling_count != 0 and selling_price != 0:
-                            self.requestOrder("1", stock_code, selling_count, selling_price)
+                            orderNum = self.requestOrder(OrderType.sell, stock_code, selling_count, selling_price)
+                            # 미체결 기록을 가져온다.
+                            orderList = self.requestOrderList()
+                            # 매도 주문을 기록한다.
+                            orderListToCancel = orderChecker.add(OrderType.sell, orderNum, selling_count, selling_price, orderList)
+                            # 두 시간 이전 미체결을 취소한다.
+                            self.cancelOrderList(orderListToCancel)
+                            # 로그 출력
                             print("SELL", second, 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
 
             if datetime.strptime(given_day + " 151000", '%Y%m%d %H%M%S') < datetime.now():
-                # 15:10:00 이후라면 모든 미체결 취소
+                # 주문 리스트를 가져온다.
-                self.cancelOrderList()
+                orderList = self.requestOrderList()
+                # 15:10:00 이후라면 모든 미체결 취소한다.
+                self.cancelOrderList(orderList)
                 # 매도 가격을 가져온다.
                 selling_count, selling_price = self.getSellingPrice(final_price)
                 # 분석되 가격으로 매도 요청한다.
                 if selling_count != 0 and selling_price !=0:
-                    self.requestOrder("1", stock_code, selling_count, selling_price)
+                    orderNum = self.requestOrder(OrderType.sell, stock_code, selling_count, selling_price)
+                    # 로그 출력
                     print("SELL", second, selling_count, selling_price)
 
                 break

hts/OrderChecker.py

@@ -0,0 +1,58 @@
+import os
+import pandas as pd
+from datetime import datetime, timedelta
+
+from OrderItem import OrderItem
+
+class OrderChecker:
+
+    order_df = None # 매수/매도구분, orderNum, 금액, 시각
+    saveFileName = None
+
+    def __init__(self):
+        self.saveFileName = "./order/"+datetime.today().strftime("%Y%m%d")+".csv"
+        self.read(self.saveFileName)
+        return
+
+    def read(self, fileName):
+        if os.path.isfile(fileName):
+            self.order_df = pd.read_csv(fileName)
+        else:
+            self.order_df = None
+
+    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)
+
+            # 두 시간 전 주문을 찾는다.
+            if len(orderList) > 0:
+                # 만약 두시간 전 주문을 찾는다.
+                orderNum_df = self.order_df.loc[self.order_df["datetime"] <= before_two_hour]
+                orderNumSet = set(list(orderNum_df["orderNum"]))
+                for item in orderList:
+                    if item.orderNum in orderNumSet:
+                        orderListToCancel.append(item)
+                        # 해당 orderNum 제외하기
+                        self.order_df = self.order_df.loc[self.order_df["orderNum"] != item.orderNum]
+
+        self.order_df = self.order_df.append({"type": type, "orderNum": orderNum, "count": count, "price": price, "datetime": datetime.now()}, ignore_index=True)
+        self.order_df.to_csv(self.saveFileName)
+
+        return orderListToCancel
+
+if __name__ == "__main__":
+    orderChecker = OrderChecker()
+
+    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)
+
+    a = a.loc[a["c"] != 9]
+    print(a.tail())

hts/OrderItem.py

@@ -0,0 +1,25 @@
+from OrderType import OrderType
+
+class OrderItem:
+
+    def __init__(self):
+        self.dicEx = {OrderType.buy: "매수", OrderType.sell: "매도", OrderType.none: "없음"}
+
+        self.orderNum = None
+        self.orderPrev = None
+        self.code = None  # 종목코드
+        self.name = None  # 종목명
+        self.orderDesc = None  # 주문구분내용
+        self.amount = None  # 주문수량
+        self.price = None  # 주문단가
+        self.ContAmount = None  # 체결수량
+        self.credit = None  # 신용구분
+        self.modAvali = None  # 정정취소 가능수량
+        self.buysell = None  # 매매구분코드
+        self.creditdate = None  # 대출일
+        self.orderFlagDesc = None  # 주문호가구분코드내용
+        self.orderFlag = None  # 주문호가구분코드
+
+
+    def debugPrint(self):
+        print(self.dicEx.get(self.buysell), self.code, self.orderNum, self.amount, self.price)

hts/OrderType.py

@@ -0,0 +1,8 @@
+from enum import Enum
+
+# enum 주문 상태 세팅용
+class OrderType(Enum):
+
+    none = "0"  # None
+    sell = "1"  # 매도
+    buy  = "2"  # 매수

hts/Simulation.py

@@ -1,16 +1,16 @@
 import os
-from datetime import datetime, timedelta
+from datetime import datetime
 import pandas as pd
 import plotly.graph_objects as go
 from plotly import subplots
 
-from BS import BS
+from BuySellChecker import BuySellChecker
 
 class Simulation:
 
-    bs = None
+    buySellChecker = None
     def __init__(self):
-        self.bs = BS()
+        self.buySellChecker = BuySellChecker()
         #self.connect()
         return
 
@@ -50,7 +50,7 @@ class Simulation:
         bsLine['sell'] = [-1 for i in range(size)]
 
         for i in range(6, size-5):
-            buy, weight, sell = self.bs.getPriceAndWeight1(data, i)
+            buy, weight, sell = self.buySellChecker.getPriceAndWeight1(data, i)
             bsLine['buy'][i] = buy
             bsLine['weight'][i] = weight
             bsLine['sell'][i] = sell
@@ -97,6 +97,7 @@ class Simulation:
         avg5 = go.Scatter(x=data['Date'], y=data["avg5"], name="avg5", line_color='#000000')
 
         candle_stick = go.Candlestick(x=data['Date'], open=data['Open'], high=data['High'], low=data['Low'], close=data['Close'], increasing_line_color='red', decreasing_line_color='blue')
+        volume_line = go.Scatter(x=data['Date'], y=data["Volume"], mode='lines', name='Volume')
         fast_k_line = go.Scatter(x=data['Date'], y=data["fast_k"], mode='lines', name='fast_k')
         slow_k_line = go.Scatter(x=data['Date'], y=data["slow_k"], mode='lines', name='slow_k')
         slow_d_line = go.Scatter(x=data['Date'], y=data["slow_d"], mode='lines', name='slow_d')
@@ -105,6 +106,7 @@ class Simulation:
 
         #candle_data = [candle_stick, bolinger_upper, bolinger_lower, buy_check, sell_check, avg1, avg2, avg5, avg10, avg20, avg30, avg40, avg50, avg60]
         candle_data = [candle_stick, bolinger_upper, bolinger_lower, avg5, buy_check, sell_check]
+        volume_data = [volume_line]
         stochastic_data = [slow_k_line, slow_d_line]
         rsi_data = [rsi_line, rsis_line]
 
@@ -115,13 +117,15 @@ class Simulation:
         fig.show()
         """
 
-        fig = subplots.make_subplots(rows=3, cols=1, subplot_titles=('캔들', "스토캐스틱", "RSI"))
+        fig = subplots.make_subplots(rows=4, cols=1, subplot_titles=('캔들', "거래량", "스토캐스틱", "RSI"))
         for trace in candle_data:
             fig.append_trace(trace, 1, 1)
-        for trace in stochastic_data:
+        for trace in volume_data:
             fig.append_trace(trace, 2, 1)
-        for trace in rsi_data:
+        for trace in stochastic_data:
             fig.append_trace(trace, 3, 1)
+        for trace in rsi_data:
+            fig.append_trace(trace, 4, 1)
         #fig.update_xaxes(nticks=5)
         #fig.update_layout(height=1800, title=stock_code + "_" + given_day, xaxis_rangeslider_visible=False)
         fig.update_layout(height=1800, title=stock_code + "_" + given_day)
@@ -142,7 +146,7 @@ class Simulation:
         self.getCSV("./data/"+stock_code+"_"+given_day+".csv", given_day, result)
 
         # 분석을 통해서 볼린저밴드 상/하단을 계산한다.
-        data = self.bs.analyze(result)
+        data = self.buySellChecker.analyze(result)
 
         # 사야 할 시점과 팔아야 할 시점을 체크한다.
         bsLine = self.checkTransaction(data)