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dsyoon
2023-01-29 22:00:36 +09:00
parent 763fd79acd
commit c6a1698f33
4 changed files with 87 additions and 274 deletions
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191
HTS_122630.py
View File

@@ -1,191 +0,0 @@
import time
import os
from datetime import datetime, timedelta
import pandas as pd
from hts.HTS import HTS
from hts.OrderType import OrderType
from hts.BuySellChecker import BuySellChecker
from hts.OrderChecker import OrderChecker
from stock.util.LabelChecker import LabelChecker
class HTS_122630 (HTS):
RESOURCE_PATH = None
stock_code = None
buy_count = None
orderChecker = None
buySellChecker = None
labelChecker = None
def __init__(self, RESOURCE_PATH, stock_code, buy_count):
super().__init__(RESOURCE_PATH)
self.RESOURCE_PATH = RESOURCE_PATH
self.stock_code = stock_code
self.buy_count = buy_count
self.orderChecker = OrderChecker(self.RESOURCE_PATH, self.stock_code)
self.buySellChecker = BuySellChecker()
self.labelChecker = LabelChecker(RESOURCE_PATH)
return
def getSellingPrice(self, log_time, stock_code, final_price, check=False):
# final_price와 diff를 받으면, 해당 가격으로 그냥 매도한다는 의미
# final_price와 diff가 None이면 장부가와 final 중 max로 팔겠다는 의미
# final_price가 0이고 diff가 None이면 장부가로 팔겠다는 의미임
jangoDic = self.requstJango()
if jangoDic and len(jangoDic.keys()) > 0:
for code in jangoDic:
if jangoDic[code]['매도가능'] > 0:
if check:
if jangoDic[code]['장부가'] * 0.05 < jangoDic[code]['장부가'] - final_price:
sell_price = jangoDic[code]['장부가']
if code == "A" + stock_code:
orderNum = self.requestOrder(OrderType.sell, stock_code, jangoDic[code]['매도가능'], sell_price)
print("ORDER_SELL", stock_code, log_time.strftime('%Y%m%d %H%M%S'), jangoDic[code]['매도가능'], sell_price)
else:
max_price = max(jangoDic[code]['장부가'], final_price)
sell_price = (int(max_price) - int(max_price) % 5) + 5
if code == "A" + stock_code:
orderNum = self.requestOrder(OrderType.sell, stock_code, jangoDic[code]['매도가능'], sell_price)
print("ORDER_SELL", stock_code, log_time.strftime('%Y%m%d %H%M%S'), jangoDic[code]['매도가능'], sell_price)
return
def buyRealTime(self, today):
print ("START...")
THIS_TIME = datetime.now()
final_sell_check = False
LAST_DATA = self.getLastData(self.stock_code, today)
while datetime.strptime(today + " 070000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 153100", '%Y%m%d %H%M%S'):
if datetime.strptime(today + " 090000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 151500", '%Y%m%d %H%M%S'):
# 3시 까지만 매수를 시도한다.
if THIS_TIME < datetime.strptime(today + " 145000", '%Y%m%d %H%M%S'):
if THIS_TIME.strftime('%S') in ("09", "19", "29", "39", "49", "59"):
# 데이터를 가지고 온다.
result = self.getRealTime(self.stock_code, today, LAST_DATA)
final_price = result["close"][len(result["close"])-1]
# 10초마다 체크하여 체결된 내역이 있으면 50원 높게 매도를 주문한다.
self.getSellingPrice(THIS_TIME, self.stock_code, final_price, check=True)
if THIS_TIME.strftime('%S') == "05":
# 매분 5초마다 실행한다.
# 데이터를 가지고 온다.
result = self.getRealTime(self.stock_code, today, LAST_DATA)
# 규칙 기반의 분석을 통해서 볼린저밴드 상/하단을 계산한다.
data = self.buySellChecker.analyze(result)
# 만약 미체결 내역이 있는데, 지표가 꺽여 내려온다면, 매수 주문을 취소 시킨다.
last_index = len(data['close']) - 1
if data['slow_k'][last_index - 1] >= 80 and data['slow_k'][last_index - 1] > data['slow_k'][
last_index]:
# 미체결 기록을 가져온다.
ORDER_LIST = self.requestOrderList()
orderListToCancel = self.orderChecker.remove(self.stock_code, OrderType.sell, ORDER_LIST)
self.cancelOrderList(orderListToCancel)
print("CANCEL", THIS_TIME.strftime('%Y%m%d %H%M%S'), len(orderListToCancel), len(ORDER_LIST))
# 사야 할 시점/가격과 팔아야 할 시점/가격을 체크한다.
bsLine, data = self.buySellChecker.checkTransaction(data, self.stock_code, isRealTime=True)
bs_buy_price = bsLine['buy'][0]
bs_buy_weight = bsLine['buy_weight'][0]
bs_sell_price = bsLine['sell'][0]
data_size = len(data["close"])
final_price = data["close"][data_size-1]
if bs_buy_price > 0:
# 기본 100 주에 가중치를 추가해서 매수한다.
BUY_COUNT = int(self.buy_count * bs_buy_weight)
# 매수를 주문한다.
orderNum = self.requestOrder(OrderType.buy, self.stock_code, BUY_COUNT, bs_buy_price)
# 미체결 기록을 가져온다.
ORDER_LIST = self.requestOrderList()
# 매수 주문을 기록한다.
orderListToCancel = self.orderChecker.add(self.stock_code, OrderType.buy, orderNum, BUY_COUNT, bs_buy_price, ORDER_LIST)
# 두 시간 이전 미체결을 모두 취소한다.
self.cancelOrderList(orderListToCancel)
# 로그 출력
print("BUY", THIS_TIME.strftime('%Y%m%d %H%M%S'), BUY_COUNT, bs_buy_price, len(orderListToCancel), len(ORDER_LIST))
if bs_sell_price > 0:
# 미체결 기록을 가져온다.
ORDER_LIST = self.requestOrderList()
# 매도 주문을 기록을 가져온다.
orderListToCancel = self.orderChecker.remove(self.stock_code, OrderType.sell, ORDER_LIST)
# 매도 미체결을 모두 취소한다.
self.cancelOrderList(orderListToCancel)
# 매도 한다.
self.getSellingPrice(THIS_TIME, self.stock_code, final_price)
# 로그 출력
print("TIMECHECK: %s, price: %d, avg3: %.2f, avg5: %.2f, avg10: %.2f, slow_k: %.2f, open: %d, high: %d, low: %d" %
(str(THIS_TIME), final_price,
data["avg3"][data_size - 1], data["avg6"][data_size - 1], data["avg9"][data_size - 1], data["slow_k"][data_size - 2],
data["open"][data_size - 1], data["high"][data_size - 1], data["low"][data_size - 1],))
elif datetime.strptime(today + " 151530", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 151600", '%Y%m%d %H%M%S'):
# 3시 15분 30초부터 3시 16분 사이는 잔량을 매도한다.
if not final_sell_check:
####
# 손해봐도 매도한다.
####
# 주문 리스트를 가져온다.
orderList = self.requestOrderList()
# 15:10:00 이후라면 모든 미체결 취소한다.
self.cancelOrderList(orderList)
# 매도 가격을 가져온다.
result = self.getRealTime(self.stock_code, today, LAST_DATA)
final_price = result["close"][len(result["close"]) - 1]
self.getSellingPrice(THIS_TIME, self.stock_code, final_price)
final_sell_check = True
time.sleep(10)
THIS_TIME = datetime.now()
return
def updteTodayStock(self, db_filename, stock_code, today_str):
bsLine, data = self.labelChecker.makeCandidate(stock_code, today_str)
self.labelChecker.updateLabel(db_filename, stock_code, bsLine, data, today_str)
return
if __name__ == "__main__":
today = datetime.today()
PROJECT_HOME = os.getcwd()
RESOURCE_PATH = os.path.join(PROJECT_HOME, "resources")
# KODEX 인버스 * 2
stock_code = "122630"
stock_name = "KODEX 레버리지"
buy_count = 50
hts = HTS_122630(RESOURCE_PATH, stock_code, buy_count)
today_str = today.strftime('%Y%m%d')
today_str = "20220916"
hts.buyRealTime(today_str)
db_filename = os.path.join(RESOURCE_PATH, "hts.db")
hts.insertStockData(db_filename, stock_code, stock_name, today_str)
#hts.updteTodayStock(db_filename, stock_code, today_str)
print ("done...")

126
HTS_252670.py → HTS_etf.py
View File

@@ -11,7 +11,7 @@ from stock.util.LabelChecker import LabelChecker
from stock.util.SlackBot import SlackBot
from stock.analysis.StockStatus import StockStatus
class HTS_252670 (HTS):
class HTS_etf (HTS):
RESOURCE_PATH = None
stock_code = None
@@ -21,13 +21,12 @@ class HTS_252670 (HTS):
labelChecker = None
slackBot = None
stockStatus = None
MAX_BUY_PRICE = None
def __init__(self, RESOURCE_PATH, stock_code, buy_count):
def __init__(self, RESOURCE_PATH):
super().__init__(RESOURCE_PATH)
self.RESOURCE_PATH = RESOURCE_PATH
self.stock_code = stock_code
self.buy_count = buy_count
self.orderChecker = OrderChecker(self.RESOURCE_PATH)
self.buySellChecker = BuySellChecker()
@@ -35,9 +34,11 @@ class HTS_252670 (HTS):
self.slackBot = SlackBot()
self.stockStatus = StockStatus(RESOURCE_PATH)
self.MAX_BUY_PRICE = 500000
return
def getSellingPrice(self, log_time, stock_code, final_price, check=False):
def getSellingPrice(self, log_time, stock_code, final_price, without_loss=False):
# final_price와 diff를 받으면, 해당 가격으로 그냥 매도한다는 의미
# final_price와 diff가 None이면 장부가와 final 중 max로 팔겠다는 의미
# final_price가 0이고 diff가 None이면 장부가로 팔겠다는 의미임
@@ -47,7 +48,7 @@ class HTS_252670 (HTS):
if jangoDic and len(jangoDic.keys()) > 0:
for code in jangoDic:
if jangoDic[code]['매도가능'] > 0:
if check:
if without_loss:
if jangoDic[code]['장부가']*0.05 < jangoDic[code]['장부가'] - final_price:
sell_price = jangoDic[code]['장부가']
if code == "A" + stock_code:
@@ -83,12 +84,15 @@ class HTS_252670 (HTS):
return result
def buyRealTime(self, today, analyzed_day=1000):
def buyRealTime(self, today, stocks, analyzed_day=1000):
print ("START...")
THIS_TIME = datetime.now()
final_sell_check = False
LAST_DATA = self.getLastData(self.stock_code, today)
LAST_DATA = {}
for stock in stocks:
LAST_DATA[stock['stock_code']] = self.getLastData(stock['stock_code'], today)
while datetime.strptime(today + " 070000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 153100", '%Y%m%d %H%M%S'):
@@ -98,62 +102,61 @@ class HTS_252670 (HTS):
if THIS_TIME.strftime('%S') == "03":
# 매분 3초마다 실행한다.
# 데이터를 가지고 온다.
result = self.getRealTime(self.stock_code, today, LAST_DATA)
for stock in stocks:
result_5 = self.makeTickData(result, mins=5)
result_30 = self.makeTickData(result, mins=30)
# 데이터를 가지고 온다.
result = self.getRealTime(stock['stock_code'], today, LAST_DATA[stock['stock_code']])
data = self.buySellChecker.analyze(result)
data.drop(data.index[:len(data) - analyzed_day], inplace=True)
result_5 = self.makeTickData(result, mins=5)
result_30 = self.makeTickData(result, mins=30)
# 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
data_5 = self.buySellChecker.analyze(result_5)
# 분석일 데이터만 활용한다 (이전 데이터는 제거)
data_5.drop(data_5.index[:len(data_5) - analyzed_day], inplace=True)
data = self.buySellChecker.analyze(result)
data.drop(data.index[:len(data) - analyzed_day], inplace=True)
data_30 = self.buySellChecker.analyze(result_30)
# 분석일 데이터만 활용한다 (이전 데이터는 제거)
data_30.drop(data_30.index[:len(data_30) - analyzed_day], inplace=True)
# 5분 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
data_5 = self.buySellChecker.analyze(result_5)
# 분석일 데이터만 활용한다 (이전 데이터는 제거)
data_5.drop(data_5.index[:len(data_5) - analyzed_day], inplace=True)
# 사야 할 시점과 팔아야 할 시점을 체크한다.
bsLine = self.buySellChecker.checkTransaction(stock_code, data, data_5, data_30, isRealTime=True)
bs_buy_price = bsLine['buy'][0]
bs_buy_weight = bsLine['buy_weight'][0]
bs_sell_price = bsLine['sell'][0]
# 30분 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
data_30 = self.buySellChecker.analyze(result_30)
# 분석일 데이터만 활용한다 (이전 데이터는 제거)
data_30.drop(data_30.index[:len(data_30) - analyzed_day], inplace=True)
data_size = len(data["close"])
final_price = data["close"][data_size-1]
# 사야 할 시점과 팔아야 할 시점을 체크한다.
bsLine = self.buySellChecker.checkTransaction(data, data_5, data_30, isRealTime=True)
bs_buy_price = bsLine['buy'][0]
bs_buy_weight = bsLine['buy_weight'][0]
bs_sell_price = bsLine['sell'][0]
if bs_buy_price > 0:
# 기본 100 주에 가중치를 추가해서 매수한다.
BUY_COUNT = int(self.buy_count * bs_buy_weight)
if bs_buy_price > 0:
buy_count = int(self.MAX_BUY_PRICE/bs_buy_price)
# 매수를 주문한다.
orderNum = self.requestOrder(OrderType.buy, self.stock_code, BUY_COUNT , bs_buy_price)
# slackbot에 메시지를 보냄
self.slackBot.post_to_slack(stock_code, stock_name, "BUY", bsLine['buy'][len(bsLine['buy']) - 1], buy_count)
self.orderChecker.add(today, stock_code, 1, buy_count, bs_buy_price, orderNum)
# 매수를 주문한다.
orderNum = self.requestOrder(OrderType.buy, self.stock_code, buy_count , bs_buy_price)
# slackbot에 메시지를 보냄
self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "BUY", bsLine['buy'][len(bsLine['buy']) - 1], buy_count)
self.orderChecker.add(today, stock['stock_code'], 1, buy_count, bs_buy_price, orderNum)
# 로그 출력
print("BUY", THIS_TIME.strftime('%Y%m%d %H%M%S'), orderNum, stock['stock_code'], stock['stock_name'], bs_buy_price, buy_count)
if bs_sell_price > 0:
# 매도한다.
orderNum = self.getSellingPrice(THIS_TIME, self.stock_code, bs_sell_price, without_loss=True)
# slackbot에 메시지를 보냄
self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "SELL", bsLine['sell'][len(bsLine['sell']) - 1], -1)
self.orderChecker.delete(today, stock['stock_code'])
# 로그 출력
print("SELL", THIS_TIME.strftime('%Y%m%d %H%M%S'), str(orderNum), stock['stock_code'], stock['stock_name'], bs_sell_price)
# 로그 출력
print("BUY", THIS_TIME.strftime('%Y%m%d %H%M%S'), orderNum, stock_code, stock_name, bs_buy_price, buy_count)
if bs_sell_price > 0:
# 매도한다.
orderNum = self.getSellingPrice(THIS_TIME, self.stock_code, final_price)
# slackbot에 메시지를 보냄
self.slackBot.post_to_slack(stock_code, stock_name, "SELL", bsLine['sell'][len(bsLine['sell']) - 1], -1)
self.orderChecker.delete(today, stock_code)
# 로그 출력
print("SELL", THIS_TIME.strftime('%Y%m%d %H%M%S'), str(orderNum), stock_code, stock_name, bs_sell_price)
# 로그 출력
print("TIMECHECK: %s, price: %d, avg5: %.2f, avg30: %.2f, slow_k: %.2f, open: %d, high: %d, low: %d" %
(str(THIS_TIME), final_price, data["avg5"][data_size - 1], data["avg30"][data_size - 1],
data["slow_k"][data_size - 2], data["open"][data_size - 1], data["high"][data_size - 1], data["low"][data_size - 1],))
print("TIMECHECK: %s, code: %s, name: %s, buy: %d, sell: %d, avg5: %.2f, avg30: %.2f, open: %d, high: %d, low: %d, slow_k: %.2f, slow_k_5: %.2f, slow_k_30: %.2f" %
(str(THIS_TIME), stock['stock_code'], stock['stock_name'], bs_buy_price, bs_sell_price, data["avg5"][0], data["avg30"][0],
data["open"][0], data["high"][0], data["low"][0], data["slow_k"][0], data_5["slow_k"][0], data_30["slow_k"][0]))
elif datetime.strptime(today + " 151530", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 151600", '%Y%m%d %H%M%S'):
# 3시 15분 30초부터 3시 16분 사이는 잔량을 매도한다.
@@ -195,17 +198,16 @@ if __name__ == "__main__":
RESOURCE_PATH = os.path.join(PROJECT_HOME, "resources")
# KODEX 인버스 * 2
stock_code = "252670"
stock_name = "KODEX 200선물인버스2X"
buy_count = 2000
stocks = [
{"stock_code": "252670", "stock_name": "KODEX 200선물인버스2X"},
{"stock_code": "122630", "stock_name": "KODEX 레버리지"}
]
hts = HTS_252670(RESOURCE_PATH, stock_code, buy_count)
hts = HTS_etf(RESOURCE_PATH)
today_str = today.strftime('%Y%m%d')
#today_str = "20220916"
hts.buyRealTime(today_str)
hts.buyRealTime(today_str, stocks, analyzed_day=1000)
db_filename = os.path.join(RESOURCE_PATH, "hts.db")
hts.insertStockData(db_filename, stock_code, stock_name, today_str)
#hts.updteTodayStock(db_filename, stock_code, today_str)
hts.insertStockData(db_filename, today_str, stocks)
print ("done...")

2
hts/BuySellChecker.py
View File

@@ -720,7 +720,7 @@ class BuySellChecker:
outFp.write(str(df["label"][i]) + "\n")
return
def checkTransaction(self, stock_code, data, data_5, data_30, isRealTime=True):
def checkTransaction(self, data, data_5, data_30, isRealTime=True):
# 어제 오늘 데이터로 분석
bsLine = {}
size = len(data["close"])

42
hts/HTS.py
View File

@@ -456,7 +456,7 @@ class HTS:
return data
def insertStockData(self, db_filename, stock_code, stock_name, today):
def insertStockData(self, db_filename, today, stocks):
tableName = 'hts'
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
@@ -472,29 +472,31 @@ class HTS:
cursor.close()
conn.close()
items = self.getStockInfo(stock_code, today)
for stock in stocks:
items = self.getStockInfo(stock["stock_code"], today)
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
idx = 0
for item in items:
ymd = item[0]
hms = item[1]
open = item[2]
high = item[3]
low = item[4]
close = item[5]
volume = item[6]
conn = sqlite3.connect(db_filename)
cursor = conn.cursor()
idx = 0
for item in items:
ymd = item[0]
hms = item[1]
open = item[2]
high = item[3]
low = item[4]
close = item[5]
volume = item[6]
idx += 1
idx += 1
cursor.execute('DELETE FROM ' + tableName + ' WHERE CODE=? and ymd=? and hms=?', (stock_code, ymd, hms,))
cursor.execute("INSERT INTO " + tableName + "(CODE, NAME, ymd, hms, close, open, high, low, volume) VALUES(?, ?, ?, ?, ?, ?, ?, ?, ?)", (stock_code, stock_name, ymd, hms, close, open, high, low, volume))
cursor.execute('DELETE FROM ' + tableName + ' WHERE CODE=? and ymd=? and hms=?', (stock["stock_code"], ymd, hms,))
cursor.execute("INSERT INTO " + tableName + "(CODE, NAME, ymd, hms, close, open, high, low, volume) VALUES(?, ?, ?, ?, ?, ?, ?, ?, ?)", (stock["stock_code"], stock["stock_name"], ymd, hms, close, open, high, low, volume))
conn.commit()
cursor.close()
conn.close()
print("insert...", stock_code, stock_name, today)
conn.commit()
cursor.close()
conn.close()
print("insert...", stock["stock_code"], stock["stock_name"], today)
return