init
This commit is contained in:
dsyoon
367
HTS_index_etf.py
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367
HTS_index_etf.py
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import time
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import os
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import math
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import sqlite3
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from datetime import datetime, timedelta
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from hts.HTS import HTS
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from hts.OrderType import OrderType
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from hts.BuySellChecker import BuySellChecker
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from hts.OrderChecker import OrderChecker
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from stock.util.LabelChecker import LabelChecker
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from stock.util.SlackBot import SlackBot
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from stock.analysis.StockStatus import StockStatus
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class HTS_etf (HTS):
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RESOURCE_PATH = None
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stock_code = None
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buy_count = None
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orderChecker = None
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buySellChecker = None
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labelChecker = None
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slackBot = None
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stockStatus = None
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def __init__(self, RESOURCE_PATH):
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super().__init__(RESOURCE_PATH)
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self.RESOURCE_PATH = RESOURCE_PATH
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self.orderChecker = OrderChecker(self.RESOURCE_PATH, "ETF")
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self.buySellChecker = BuySellChecker()
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self.labelChecker = LabelChecker(RESOURCE_PATH)
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self.slackBot = SlackBot()
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self.stockStatus = StockStatus(RESOURCE_PATH)
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return
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def connect2StockDB(self):
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self.conn_stock = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "stock.db"))
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self.cursor_stock = self.conn_stock.cursor()
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return
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def disconnectStockDB(self):
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self.cursor_stock.close()
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self.conn_stock.close()
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return
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def sellStocks(self, stock_code=None, bs_sell_price=None):
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check = False
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jangoDic = self.requstJango()
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if jangoDic and len(jangoDic.keys()) > 0:
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for code in jangoDic:
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if stock_code is not None:
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if code == "A"+stock_code and bs_sell_price is not None:
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if jangoDic[code]['매도가능'] > 0:
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if 2 < jangoDic[code]['평가손익']:
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self.requestOrder(OrderType.sell, code[1:], jangoDic[code]['매도가능'], bs_sell_price)
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self.slackBot.post_to_slack(code, jangoDic[code]['종목명'], "SELL", bs_sell_price, jangoDic[code]['매도가능'])
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check = True
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else:
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continue
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else:
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if jangoDic[code]['매도가능'] > 0:
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if 3 < jangoDic[code]['평가손익']:
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# 3% 이상 시 수익 매도
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currentStock = self.currentStock(code[1:])
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self.requestOrder(OrderType.sell, code[1:], jangoDic[code]['매도가능'], currentStock['close'])
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self.slackBot.post_to_slack(code, jangoDic[code]['종목명'], "SELL", currentStock['close'], jangoDic[code]['매도가능'])
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check = True
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return check
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def getSellingPrice(self, log_time, stock_code, final_price, without_loss=False):
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# final_price와 diff를 받으면, 해당 가격으로 그냥 매도한다는 의미
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# final_price와 diff가 None이면 장부가와 final 중 max로 팔겠다는 의미
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# final_price가 0이고 diff가 None이면 장부가로 팔겠다는 의미임
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orderNum = None
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jangoDic = self.requstJango()
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if jangoDic and len(jangoDic.keys()) > 0:
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for code in jangoDic:
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if jangoDic[code]['매도가능'] > 0:
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if without_loss:
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if jangoDic[code]['장부가']*0.07 < jangoDic[code]['장부가'] - final_price:
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sell_price = jangoDic[code]['장부가']
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if code == "A" + stock_code:
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orderNum = self.requestOrder(OrderType.sell, stock_code, jangoDic[code]['매도가능'], sell_price)
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return orderNum, log_time.strftime('%Y%m%d %H%M%S'), jangoDic[code]['매도가능'], sell_price
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else:
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max_price = max(jangoDic[code]['장부가'], final_price)
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sell_price = (int(max_price) - int(max_price) % 5) + 5
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if code == "A"+stock_code:
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orderNum = self.requestOrder(OrderType.sell, stock_code, jangoDic[code]['매도가능'], sell_price)
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return orderNum, log_time.strftime('%Y%m%d %H%M%S'), jangoDic[code]['매도가능'], sell_price
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return orderNum, None, None, None
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def makeTickData(self, data, mins=30):
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result = {"check": set(),
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"time": [],
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"open": [],
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"close": [],
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"high": [],
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"low": [],
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"vol": [],
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"label": []}
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for i in range(mins, len(data['time'])+1):
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result["check"].add(data['time'][i-1])
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result["time"].append(data['time'][i-1])
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result["open"].append(data['open'][i-mins])
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result["close"].append(data['close'][i-1])
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result["high"].append(max(data['high'][i - mins: i]))
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result["low"].append(min(data['low'][i - mins: i]))
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result["vol"].append(sum(data['vol'][i - mins: i]))
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return result
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def getSlowK(self, stock_code):
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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
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self.cursor_stock.execute('select stochastic_slow_k, max(ymd) from stock_analysis where code=? group by 1 order by ymd desc',(stock_code,))
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items = self.cursor_stock.fetchall()
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if items is not None and len(items) > 1:
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for i, item in enumerate(items):
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if i == 0:
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slow_k = item[0]
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elif i == 1:
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p_slow_k = item[0]
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else:
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break
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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, ))
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items = self.cursor_stock.fetchall()
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if items is not None and len(items) > 1:
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for i, item in enumerate(items):
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if i == 0:
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slow_k_week = item[0]
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elif i == 1:
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p_slow_k_week = item[0]
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else:
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break
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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,))
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items = self.cursor_stock.fetchall()
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if items is not None and len(items) > 1:
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for i, item in enumerate(items):
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if i == 0:
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slow_k_month = item[0]
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elif i == 1:
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p_slow_k_month = item[0]
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else:
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break
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if slow_k is None or p_slow_k is None:
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slow_k , p_slow_k = -1, -1
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if slow_k_week is None or p_slow_k_week is None:
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slow_k_week, p_slow_k_week = -1, -1
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if slow_k_month is None or p_slow_k_month is None:
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slow_k_month, p_slow_k_month = -1, -1
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return slow_k, p_slow_k, slow_k_week, p_slow_k_week, slow_k_month, p_slow_k_month
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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):
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base_price = 10000
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# kospi 상태 파악
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type_kospi = {'day':1, 'week':1, 'month':1}
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if slow_k_kospi < p_slow_k_kospi:
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if slow_k_kospi < 20: type_kospi['day'] = 4
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if 20 < slow_k_kospi < 30: type_kospi['day'] = 3
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if 30 < slow_k_kospi < 40: type_kospi['day'] = 2
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if slow_k_week_kospi < p_slow_k_week_kospi:
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if slow_k_week_kospi < 20: type_kospi['week'] = 4
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if 20 < slow_k_week_kospi < 30: type_kospi['week'] = 3
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if 30 < slow_k_week_kospi < 40: type_kospi['week'] = 2
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if slow_k_month_kospi < p_slow_k_month_kospi:
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if slow_k_month_kospi < 20: type_kospi['month'] = 4
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if 20 < slow_k_month_kospi < 30: type_kospi['month'] = 3
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if 30 < slow_k_month_kospi < 40: type_kospi['month'] = 2
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type_stock = {'day':1, 'week':1, 'month':1}
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slow_k, p_slow_k, slow_k_week, p_slow_k_week, slow_k_month, p_slow_k_month = self.getSlowK(stock_code)
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if slow_k < p_slow_k:
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if slow_k < 20: type_stock['day'] = 4
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if 20 < slow_k < 30: type_stock['day'] = 3
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if 30 < slow_k < 40: type_stock['day'] = 2
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if slow_k_week < p_slow_k_week:
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if slow_k_week < 20: type_stock['week'] = 4
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if 20 < slow_k_week < 30: type_stock['week'] = 3
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if 30 < slow_k_week < 40: type_stock['week'] = 2
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if slow_k_month < p_slow_k_month:
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if slow_k_month < 20: type_stock['month'] = 4
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if 20 < slow_k_month < 30: type_stock['month'] = 3
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if 30 < slow_k_month < 40: type_stock['month'] = 2
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if (type_kospi['day'] == 1 and type_kospi['week'] == 1 and type_kospi['month'] == 1 and
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type_stock['day'] == 1 and type_stock['week'] == 1 and type_stock['month'] == 1):
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return 0
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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
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buy_count = int(math.floor(max_price / bs_buy_price))
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return buy_count
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def buyRealTime(self, today, stocks, analyzed_day=1000):
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print ("START...")
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THIS_TIME = datetime.now()
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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")
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LAST_DATA = {}
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for stock in stocks:
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LAST_DATA[stock['stock_code']] = self.getLastData(stock['stock_code'], today)
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while datetime.strptime(today + " 070000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 153100", '%Y%m%d %H%M%S'):
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if datetime.strptime(today + " 090000", '%Y%m%d %H%M%S') < THIS_TIME < datetime.strptime(today + " 151500", '%Y%m%d %H%M%S'):
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# 매도를 체크한다.
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self.sellStocks()
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for idx, stock in enumerate(stocks):
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time.sleep(0.1)
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print("%5d: %8s, %-50s"%(idx, stock['stock_code'], stock['stock_name']))
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try:
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# 데이터를 가지고 온다.
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result = self.getRealTime(stock['stock_code'], today, LAST_DATA[stock['stock_code']])
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except:
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print("#ERROR:", stock['stock_code'], stock['stock_name'])
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continue
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result_5 = self.makeTickData(result, mins=5)
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result_30 = self.makeTickData(result, mins=30)
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if len(result_30['time']) < 100:
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continue
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data = self.buySellChecker.analyze(result)
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data.drop(data.index[:len(data) - analyzed_day], inplace=True)
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# 5분 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
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data_5 = self.buySellChecker.analyze(result_5)
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# 분석일 데이터만 활용한다 (이전 데이터는 제거)
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data_5.drop(data_5.index[:len(data_5) - analyzed_day], inplace=True)
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# 30분 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
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data_30 = self.buySellChecker.analyze(result_30)
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# 분석일 데이터만 활용한다 (이전 데이터는 제거)
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data_30.drop(data_30.index[:len(data_30) - analyzed_day], inplace=True)
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# 사야 할 시점과 팔아야 할 시점을 체크한다.
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bsLine = self.buySellChecker.checkTransaction(data, data_5, data_30, isRealTime=True)
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bs_buy_price = bsLine['buy'][0]
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bs_buy_weight = bsLine['buy_weight'][0]
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bs_sell_price = bsLine['sell'][0]
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# 미체결 기록을 가져와서 10분 이상 된 매수 주문을 취소 한다.
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ORDER_LIST = self.requestOrderList()
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orderListToCancel = self.orderChecker.cancel(today, "A" + stock['stock_code'], ORDER_LIST, mins=10)
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if len(orderListToCancel) > 0:
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self.cancelOrderList(orderListToCancel)
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if bs_buy_price > 1000:
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if not self.orderChecker.exist(today, "A" + stock['stock_code'], hours=9):
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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)
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if buy_count > 0:
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# 매수를 주문한다.
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orderNum = self.requestOrder(OrderType.buy, stock['stock_code'], buy_count , bs_buy_price)
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self.orderChecker.buy(today, "A" + stock['stock_code'], buy_count, bs_buy_price, orderNum)
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# slackbot에 메시지를 보냄
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self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "BUY", bsLine['buy'][len(bsLine['buy']) - 1], buy_count)
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# 로그 출력
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print("BUY", THIS_TIME.strftime('%Y%m%d %H%M%S'), orderNum, stock['stock_code'], stock['stock_name'], bs_buy_price, buy_count)
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if bs_sell_price > 1000:
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check = self.sellStocks(stock['stock_code'], bs_sell_price)
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if check:
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# slackbot에 메시지를 보냄
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self.slackBot.post_to_slack(stock['stock_code'], stock['stock_name'], "SELL", bs_sell_price, 'ALL')
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# 로그 출력
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print("SELL", THIS_TIME.strftime('%Y%m%d %H%M%S'), stock['stock_code'], stock['stock_name'], bs_sell_price)
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# 로그 출력
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||||||
|
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...")
|
||||||
Reference in New Issue
Block a user