diff --git a/HTS_index_etf.py b/HTS_index_etf.py new file mode 100644 index 0000000..793f042 --- /dev/null +++ b/HTS_index_etf.py @@ -0,0 +1,367 @@ +import time +import os +import math +import sqlite3 +from datetime import datetime, timedelta + +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 +from stock.util.SlackBot import SlackBot +from stock.analysis.StockStatus import StockStatus + +class HTS_etf (HTS): + + RESOURCE_PATH = None + stock_code = None + buy_count = None + orderChecker = None + buySellChecker = None + labelChecker = None + slackBot = None + stockStatus = None + + def __init__(self, RESOURCE_PATH): + super().__init__(RESOURCE_PATH) + + self.RESOURCE_PATH = RESOURCE_PATH + + self.orderChecker = OrderChecker(self.RESOURCE_PATH, "ETF") + self.buySellChecker = BuySellChecker() + self.labelChecker = LabelChecker(RESOURCE_PATH) + self.slackBot = SlackBot() + self.stockStatus = StockStatus(RESOURCE_PATH) + + return + + def connect2StockDB(self): + + self.conn_stock = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "stock.db")) + self.cursor_stock = self.conn_stock.cursor() + + return + + def disconnectStockDB(self): + + self.cursor_stock.close() + self.conn_stock.close() + return + + def sellStocks(self, stock_code=None, bs_sell_price=None): + check = False + jangoDic = self.requstJango() + if jangoDic and len(jangoDic.keys()) > 0: + for code in jangoDic: + if stock_code is not None: + if code == "A"+stock_code and bs_sell_price is not None: + if jangoDic[code]['매도가능'] > 0: + if 2 < jangoDic[code]['평가손익']: + self.requestOrder(OrderType.sell, code[1:], jangoDic[code]['매도가능'], bs_sell_price) + self.slackBot.post_to_slack(code, jangoDic[code]['종목명'], "SELL", bs_sell_price, jangoDic[code]['매도가능']) + check = True + else: + continue + else: + if jangoDic[code]['매도가능'] > 0: + if 3 < jangoDic[code]['평가손익']: + # 3% 이상 시 수익 매도 + currentStock = self.currentStock(code[1:]) + self.requestOrder(OrderType.sell, code[1:], jangoDic[code]['매도가능'], currentStock['close']) + self.slackBot.post_to_slack(code, jangoDic[code]['종목명'], "SELL", currentStock['close'], jangoDic[code]['매도가능']) + check = True + return check + + + 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 + orderNum = None + jangoDic = self.requstJango() + if jangoDic and len(jangoDic.keys()) > 0: + for code in jangoDic: + if jangoDic[code]['매도가능'] > 0: + if without_loss: + if jangoDic[code]['장부가']*0.07 < 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) + return orderNum, 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) + return orderNum, log_time.strftime('%Y%m%d %H%M%S'), jangoDic[code]['매도가능'], sell_price + return orderNum, None, None, None + + + def makeTickData(self, data, mins=30): + result = {"check": set(), + "time": [], + "open": [], + "close": [], + "high": [], + "low": [], + "vol": [], + "label": []} + + for i in range(mins, len(data['time'])+1): + result["check"].add(data['time'][i-1]) + result["time"].append(data['time'][i-1]) + + result["open"].append(data['open'][i-mins]) + result["close"].append(data['close'][i-1]) + result["high"].append(max(data['high'][i - mins: i])) + result["low"].append(min(data['low'][i - mins: i])) + result["vol"].append(sum(data['vol'][i - mins: i])) + + return result + + def getSlowK(self, stock_code): + slow_k, p_slow_k, slow_k_week, p_slow_k_week, slow_k_month, p_slow_k_month = -1, -1, -1, -1, -1, -1 + + self.cursor_stock.execute('select stochastic_slow_k, max(ymd) from stock_analysis where code=? group by 1 order by ymd desc',(stock_code,)) + items = self.cursor_stock.fetchall() + if items is not None and len(items) > 1: + for i, item in enumerate(items): + if i == 0: + slow_k = item[0] + elif i == 1: + p_slow_k = item[0] + else: + break + + self.cursor_stock.execute('select stochastic_slow_k, max(ymd) from stock_analysis_weekly where code=? group by 1 order by ymd desc', (stock_code, )) + items = self.cursor_stock.fetchall() + if items is not None and len(items) > 1: + for i, item in enumerate(items): + if i == 0: + slow_k_week = item[0] + elif i == 1: + p_slow_k_week = item[0] + else: + break + + self.cursor_stock.execute('select stochastic_slow_k, max(ymd) from stock_analysis_monthly where code=? group by 1 order by ymd desc',(stock_code,)) + items = self.cursor_stock.fetchall() + if items is not None and len(items) > 1: + for i, item in enumerate(items): + if i == 0: + slow_k_month = item[0] + elif i == 1: + p_slow_k_month = item[0] + else: + break + + if slow_k is None or p_slow_k is None: + slow_k , p_slow_k = -1, -1 + if slow_k_week is None or p_slow_k_week is None: + slow_k_week, p_slow_k_week = -1, -1 + if slow_k_month is None or p_slow_k_month is None: + slow_k_month, p_slow_k_month = -1, -1 + + return slow_k, p_slow_k, slow_k_week, p_slow_k_week, slow_k_month, p_slow_k_month + + def getBuyCount(self, stock_code, bs_buy_price, slow_k_kospi, p_slow_k_kospi, slow_k_week_kospi, p_slow_k_week_kospi, slow_k_month_kospi, p_slow_k_month_kospi): + + base_price = 10000 + + # kospi 상태 파악 + type_kospi = {'day':1, 'week':1, 'month':1} + if slow_k_kospi < p_slow_k_kospi: + if slow_k_kospi < 20: type_kospi['day'] = 4 + if 20 < slow_k_kospi < 30: type_kospi['day'] = 3 + if 30 < slow_k_kospi < 40: type_kospi['day'] = 2 + if slow_k_week_kospi < p_slow_k_week_kospi: + if slow_k_week_kospi < 20: type_kospi['week'] = 4 + if 20 < slow_k_week_kospi < 30: type_kospi['week'] = 3 + if 30 < slow_k_week_kospi < 40: type_kospi['week'] = 2 + if slow_k_month_kospi < p_slow_k_month_kospi: + if slow_k_month_kospi < 20: type_kospi['month'] = 4 + if 20 < slow_k_month_kospi < 30: type_kospi['month'] = 3 + if 30 < slow_k_month_kospi < 40: type_kospi['month'] = 2 + + type_stock = {'day':1, 'week':1, 'month':1} + slow_k, p_slow_k, slow_k_week, p_slow_k_week, slow_k_month, p_slow_k_month = self.getSlowK(stock_code) + if slow_k < p_slow_k: + if slow_k < 20: type_stock['day'] = 4 + if 20 < slow_k < 30: type_stock['day'] = 3 + if 30 < slow_k < 40: type_stock['day'] = 2 + if slow_k_week < p_slow_k_week: + if slow_k_week < 20: type_stock['week'] = 4 + if 20 < slow_k_week < 30: type_stock['week'] = 3 + if 30 < slow_k_week < 40: type_stock['week'] = 2 + if slow_k_month < p_slow_k_month: + if slow_k_month < 20: type_stock['month'] = 4 + if 20 < slow_k_month < 30: type_stock['month'] = 3 + if 30 < slow_k_month < 40: type_stock['month'] = 2 + + if (type_kospi['day'] == 1 and type_kospi['week'] == 1 and type_kospi['month'] == 1 and + type_stock['day'] == 1 and type_stock['week'] == 1 and type_stock['month'] == 1): + return 0 + + max_price = math.log(type_kospi['day']*type_kospi['week']*type_kospi['month']*type_stock['day']*type_stock['week']*type_stock['month'], 1.3) * base_price + buy_count = int(math.floor(max_price / bs_buy_price)) + + return buy_count + + def buyRealTime(self, today, stocks, analyzed_day=1000): + + print ("START...") + THIS_TIME = datetime.now() + + slow_k_kospi, p_slow_k_kospi, slow_k_week_kospi, p_slow_k_week_kospi, slow_k_month_kospi, p_slow_k_month_kospi = self.getSlowK("^KS11") + + 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'): + + if datetime.strptime(today + " 090000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 151500", '%Y%m%d %H%M%S'): + + # 매도를 체크한다. + self.sellStocks() + + for idx, stock in enumerate(stocks): + + time.sleep(0.1) + + print("%5d: %8s, %-50s"%(idx, stock['stock_code'], stock['stock_name'])) + + try: + # 데이터를 가지고 온다. + result = self.getRealTime(stock['stock_code'], today, LAST_DATA[stock['stock_code']]) + except: + print("#ERROR:", stock['stock_code'], stock['stock_name']) + continue + + result_5 = self.makeTickData(result, mins=5) + result_30 = self.makeTickData(result, mins=30) + if len(result_30['time']) < 100: + continue + + data = self.buySellChecker.analyze(result) + data.drop(data.index[:len(data) - 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) + + # 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) + + # 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] + + # 미체결 기록을 가져와서 10분 이상 된 매수 주문을 취소 한다. + ORDER_LIST = self.requestOrderList() + orderListToCancel = self.orderChecker.cancel(today, "A" + stock['stock_code'], ORDER_LIST, mins=10) + if len(orderListToCancel) > 0: + self.cancelOrderList(orderListToCancel) + + if bs_buy_price > 1000: + + if not self.orderChecker.exist(today, "A" + stock['stock_code'], hours=9): + buy_count = self.getBuyCount(stock['stock_code'], bs_buy_price, slow_k_kospi, p_slow_k_kospi, slow_k_week_kospi, p_slow_k_week_kospi, slow_k_month_kospi, p_slow_k_month_kospi) + + if buy_count > 0: + + # 매수를 주문한다. + orderNum = self.requestOrder(OrderType.buy, stock['stock_code'], buy_count , bs_buy_price) + self.orderChecker.buy(today, "A" + stock['stock_code'], buy_count, bs_buy_price, orderNum) + + # slackbot에 메시지를 보냄 + self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "BUY", bsLine['buy'][len(bsLine['buy']) - 1], buy_count) + + # 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 > 1000: + check = self.sellStocks(stock['stock_code'], bs_sell_price) + + if check: + # slackbot에 메시지를 보냄 + self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "SELL", bs_sell_price, 'ALL') + + # 로그 출력 + print("SELL", THIS_TIME.strftime('%Y%m%d %H%M%S'), stock['stock_code'], stock['stock_name'], bs_sell_price) + + + # 로그 출력 + 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. + + if not final_sell_check: + #### + # 손해 보지 않는 가격에 매도한다. + #### + + for stock in stocks: + # 주문 리스트를 가져온다. + orderList = self.requestOrderList() + # 15:10:00 이후라면 모든 미체결 취소한다. + self.cancelOrderList(orderList) + + # 매도 가격을 가져온다. + result = self.getRealTime(stock['stock_code'], today, LAST_DATA[stock['stock_code']]) + final_price = result["close"][len(result["close"]) - 1] + + orderNum, sell_time, jango, sell_price = self.getSellingPrice(THIS_TIME, stock['stock_code'], final_price, without_loss=True) + # 로그 출력 + print("SELL", sell_time, stock['stock_code'], stock['stock_name'], final_price, str(orderNum), jango, sell_price) + + final_sell_check = True + """ + + time.sleep(3600) + THIS_TIME = datetime.now() + + return True + + def updteTodayStock(self, stock_code, today_str): + bsLine, data = self.labelChecker.makeCandidate(stock_code, today_str) + self.labelChecker.updateLabel(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") + + stocks = [ + #{"stock_code": "122630", "stock_name": "KODEX 레버리지"}, + {"stock_code": "252670", "stock_name": "KODEX 200선물인버스2X"} + ] + + hts = HTS_etf(RESOURCE_PATH) + hts.connect2DB("hts.db") + hts.connect2StockDB() + + today_str = today.strftime('%Y%m%d') + hts.buyRealTime(today_str, stocks, analyzed_day=1000) + + db_filename = os.path.join(RESOURCE_PATH, "hts.db") + hts.insertStockData(stocks, today) + + hts.disconnectStockDB() + hts.disconnect() + print ("done...")