init

hts/BS.py

@@ -16,6 +16,58 @@ class BS:
 
         return
 
+    def getPriceAndWeight(self, data, i):
+        buy, weight, sell = -1, -1, -1
+
+        # sell 분석
+        if (data["High"][i] - data["Close"][i]) / 2 + data["Close"][i] > data["upper"][i]:
+            sell = data["High"][i]
+        if i > 300:
+            if data["High"][i] > data["upper"][i]:
+                sell = data["High"][i]
+
+        # buy 분석
+        if data["slow_k"][i] <= 36:
+            if data["Low"][i] < data["lower"][i]:
+                buy = data["Low"][i]
+            if data["slow_k"][i] <= 25:
+                if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
+                    buy = data["Low"][i]
+
+        if i < 40:
+            if data["slow_k"][i] < 25:
+                buy = data["Low"][i]
+
+        # weight 분석
+        # 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 = 4
+
+        if data["slow_k"][i] == 1:
+            weight = 4  # 8
+        elif data["slow_k"][i] in (2, 3):
+            weight = 3.5  # 7
+        elif data["slow_k"][i] in (4, 5, 6):
+            weight = 3  # 6
+        elif data["slow_k"][i] in (7, 8, 9, 10):
+            weight = 2.5  # 5
+        elif data["slow_k"][i] in (11, 12, 13, 14, 15):
+            weight = 2  # 4
+        elif data["slow_k"][i] in (16, 17, 18, 19, 20, 21):
+            weight = 1.5  # 3
+        elif data["slow_k"][i] in (22, 23, 24, 25, 26, 27, 28):
+            weight = 1  # 2
+        elif data["slow_k"][i] in (29, 30, 31, 32, 33, 34, 35, 36):
+            weight = 1
+        if data["rsi"][i] < 10:
+            weight = 3  # 8
+
+        if i <= 20:
+            weight = 1
+
+        return buy, weight, sell
+
     def checkStatus(self, STOCK, last_index):
         status = set()
 
@@ -235,7 +287,9 @@ class BS:
 
         # stochastic 계산
         stochastic_df = self.stochastic.apply(pd.DataFrame(STOCK))
-        stochastic_df = stochastic_df.fillna(100)
+        stochastic_df['fast_k'] = stochastic_df['fast_k'].fillna(float(stochastic_df['fast_k'].iloc[9]))
+        stochastic_df['slow_k'] = stochastic_df['slow_k'].fillna(float(stochastic_df['slow_k'].iloc[14]))
+        stochastic_df['slow_d'] = stochastic_df['slow_d'].fillna(float(stochastic_df['slow_d'].iloc[19]))
         fast_k = stochastic_df['fast_k'].values.tolist()
         slow_k = stochastic_df['slow_k'].values.tolist()
         slow_d = stochastic_df['slow_d'].values.tolist()

hts/HTS.py

@@ -531,45 +531,11 @@ class HTS:
         bsLine['sell'] = [-1 for i in range(size)]
 
         i = size - 1
-        if i > 20:
+        if i <= 20:
-            if data["High"][i] > data["upper"][i]:
+            return -1, -1, -1
-                bsLine['sell'][i] = data["High"][i]
-
-            if data["slow_k"][i] <= 36:
-                if data["Low"][i] < data["lower"][i]:
-                    bsLine['buy'][i] = data["Close"][i] - 5
-                if data["slow_k"][i] <= 25:
-                    if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
-                        bsLine['buy'][i] = data["Close"][i] - 5
-
-            # 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]:
-                bsLine['buy'][i] = data["Close"][i] - 5
-                bsLine['weight'][i] = 10
-
-            if data["slow_k"][i] == 1:
-                bsLine['weight'][i] = 8
-            elif data["slow_k"][i] in(2,3):
-                bsLine['weight'][i] = 7
-            elif data["slow_k"][i] in(4,5,6):
-                bsLine['weight'][i] = 6
-            elif data["slow_k"][i] in(7,8,9,10):
-                bsLine['weight'][i] = 5
-            elif data["slow_k"][i] in(11,12,13,14,15):
-                bsLine['weight'][i] = 4
-            elif data["slow_k"][i] in(16,17,18,19,20,21):
-                bsLine['weight'][i] = 3
-            elif data["slow_k"][i] in(22,23,24,25,26,27,28):
-                bsLine['weight'][i] = 2
-            elif data["slow_k"][i] in(29,30,31,32,33,34,35,36):
-                bsLine['weight'][i] = 1
-            if data["rsi"][i] < 10:
-                bsLine['weight'][i] = 8
-            if i<=20:
-                bsLine['weight'][i] = 1
-
-        return bsLine['buy'][i], bsLine['weight'][i], bsLine['sell'][i]
 
+        buy, weight, sell = self.bs.getPriceAndWeight(data, i)
+        return buy, weight, sell
 
     def getSellingPrice(self, final_price):
         # 만약 잔고가 있으면 장부가보다 5원 높게 매도한다.
@@ -597,9 +563,6 @@ class HTS:
         return 0, 0
 
     def buyRealTime(self, stock_code, given_day):
-        PREVIOUS_PRICE = 0
-        BUY_COUNT = 200
-
         timecheckList = pd.read_csv("timecheck.csv").values.tolist()
         timecheck = {given_day + " " + str(second).zfill(6):False for second, check in timecheckList}
 
@@ -631,26 +594,12 @@ class HTS:
                     final_price = data["Close"][len(data["Close"])-1]
 
                     if bs_buy_price > 0:
-                        if PREVIOUS_PRICE > 0:
+                        BUY_COUNT = int(200 * bs_weight)
-                            if PREVIOUS_PRICE > bs_buy_price:
-                                if BUY_COUNT > 240:
-                                    BUY_COUNT = 240
-                                if BUY_COUNT < 140:
-                                    BUY_COUNT = 140
-                                BUY_COUNT += 10
-                            elif PREVIOUS_PRICE < bs_buy_price:
-                                if BUY_COUNT > 260:
-                                    BUY_COUNT = 260
-                                if BUY_COUNT < 160:
-                                    BUY_COUNT = 160
-                                BUY_COUNT -= 10
-
-                        PREVIOUS_PRICE = bs_buy_price
 
                         # 매수 전에 모든 미체결을 취소한다.
-                        self.cancelOrderList()
+                        # self.cancelOrderList()
                         # 현재까지 매입금액이 7백만원 이하일 때만 매수를 한다.
-                        self.requestOrder("2", stock_code, BUY_COUNT , bs_buy_price)
+                        self.requestOrder("2", stock_code, bs_weight * BUY_COUNT , bs_buy_price)
                         print("BUY", second, BUY_COUNT, bs_buy_price)
 
                     if bs_sell_price > 0:

hts/Simulation.py

@@ -50,41 +50,10 @@ class Simulation:
         bsLine['sell'] = [-1 for i in range(size)]
 
         for i in range(21, size-5):
-            if data["High"][i] > data["upper"][i]:
+            buy, weight, sell = self.bs.getPriceAndWeight(data, i)
-                bsLine['sell'][i] = data["High"][i]
+            bsLine['buy'][i] = buy
-
+            bsLine['weight'][i] = weight
-            if data["slow_k"][i] <= 36:
+            bsLine['sell'][i] = sell
-                if data["Low"][i] < data["lower"][i]:
-                    bsLine['buy'][i] = data["Close"][i] - 5
-                if data["slow_k"][i] <= 25:
-                    if data["slow_k"][i - 1] < data["slow_d"][i - 1] and data["slow_d"][i] < data["slow_k"][i]:
-                        bsLine['buy'][i] = data["Close"][i] - 5
-
-            # 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]:
-                bsLine['buy'][i] = data["Close"][i] - 5
-                bsLine['weight'][i] = 10
-
-            if data["slow_k"][i] == 1:
-                bsLine['weight'][i] = 8
-            elif data["slow_k"][i] in(2,3):
-                bsLine['weight'][i] = 7
-            elif data["slow_k"][i] in(4,5,6):
-                bsLine['weight'][i] = 6
-            elif data["slow_k"][i] in(7,8,9,10):
-                bsLine['weight'][i] = 5
-            elif data["slow_k"][i] in(11,12,13,14,15):
-                bsLine['weight'][i] = 4
-            elif data["slow_k"][i] in(16,17,18,19,20,21):
-                bsLine['weight'][i] = 3
-            elif data["slow_k"][i] in(22,23,24,25,26,27,28):
-                bsLine['weight'][i] = 2
-            elif data["slow_k"][i] in(29,30,31,32,33,34,35,36):
-                bsLine['weight'][i] = 1
-            if data["rsi"][i] < 10:
-                bsLine['weight'][i] = 8
-            if i<=20:
-                bsLine['weight'][i] = 1
 
         return bsLine
 
@@ -98,6 +67,7 @@ class Simulation:
         data['Low'] = pd.to_numeric(data['Low'])
         data['Close'] = pd.to_numeric(data['Close'])
         data['Volume'] = pd.to_numeric(data['Volume'])
+        data['avg5'] = pd.to_numeric(data['avg5'])
         data["fast_k"] = pd.to_numeric(data['fast_k'])
         data["slow_k"] = pd.to_numeric(data['slow_k'])
         data["slow_d"] = pd.to_numeric(data['slow_d'])
@@ -124,6 +94,7 @@ class Simulation:
         sell_check = go.Scatter(x=data['Date'], y=sell_line, mode='markers', name="sell", marker=dict(size=14, color=sell_colors, line_width=0))
         bolinger_upper = go.Scatter(x=data['Date'], y=data["upper"], name="upper", line_color='#8B4513')
         bolinger_lower = go.Scatter(x=data['Date'], y=data["lower"], name="lower", line_color='#8B4513')
+        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')
         fast_k_line = go.Scatter(x=data['Date'], y=data["fast_k"], mode='lines', name='fast_k')
@@ -133,7 +104,7 @@ class Simulation:
         rsis_line = go.Scatter(x=data['Date'], y=data["rsis"], mode='lines', name='rsis')
 
         #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, buy_check, sell_check]
+        candle_data = [candle_stick, bolinger_upper, bolinger_lower, avg5, buy_check, sell_check]
         stochastic_data = [slow_k_line, slow_d_line]
         rsi_data = [rsi_line, rsis_line]
 
@@ -189,11 +160,13 @@ if __name__ == "__main__":
     RESOURCE_DIR = PROJECT_HOME + "/resources/analysis/"+today.strftime("%Y%m%d")
 
     stock_codes = ["252670", "122630"]
-    given_days = ['20210901','20210902','20210903','20210906','20210907','20210908','20210909','20210910','20210913','20210914','20210915','20210916','20210917','20210923','20210924','20210927','20210928','20210929','20210930','20211001', '20211005']
+    given_days = ['20210901','20210902','20210903','20210906','20210907','20210908','20210909','20210910','20210913',
-    given_days = ['20211008']
+                  '20210914','20210915','20210916','20210917','20210923','20210924','20210927','20210928','20210929',
+                  '20210930','20211001', '20211005','20211006', '20211007','20211008', '20211012','20211013', '20211014']
 
     simulation = Simulation()
 
-    simulation.simulate(stock_codes[0], given_days[0])
+    for given_day in given_days:
+        simulation.simulate(stock_codes[0], given_day)
 
     print ("done...")