# https://bibot.tistory.com/63 # https://nonmeyet.tistory.com/entry/Python-TALib%EB%A5%BC-%ED%99%9C%EC%9A%A9%ED%95%9C-%EB%B9%84%ED%8A%B8%EC%BD%94%EC%9D%B8%EC%A3%BC%EA%B0%80%EA%B8%B0%EC%88%A0%EB%B6%84%EC%84%9D-%EB%B3%B4%EC%A1%B0%EC%A7%80%ED%91%9C-%EC%B6%94%EA%B0%80 # https://lunadaddy.tistory.com/122 # https://wikidocs.net/186885 import os import numpy as np np.seterr(divide='ignore', invalid='ignore') import pyupbit import math import sqlite3 # https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib # https://lunadaddy.tistory.com/122 import talib import pandas as pd from datetime import datetime, timedelta from stock.analysis.IchimokuCloud import IchimokuCloud class JSDPattern: RESOURCE_PATH = None ichimokuCloud = None scaler = None def __init__(self, RESOURCE_PATH=None): if RESOURCE_PATH is None: self.RESOURCE_PATH = os.path.join(os.getcwd(), "resources") else: self.RESOURCE_PATH = RESOURCE_PATH self.ichimokuCloud = IchimokuCloud() return def makeTickData(self, data, mins=1): result = { "ymd": [], "open": [], "close": [], "high": [], "low": [], "volume": [], "volume_up": [], "volume_down": [], "volume_updown_diff": [] } for i in range(mins, len(data['ymd'])+1, mins): result["ymd"].append(data['ymd'][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["volume"].append(data['volume'][i-1]) if data['open'][i-1] < data['close'][i-1]: result["volume_up"].append(data['volume'][i-1]) result["volume_down"].append(0) elif data['close'][i-1] < data['open'][i-1]: result["volume_down"].append(-1*data['volume'][i-1]) result["volume_up"].append(0) else: result["volume_up"].append(0) result["volume_down"].append(0) up = [data['volume'][i - mins + c] for c in range(len(data['volume'][i - mins: i])) if data['close'][i - mins + c] < data['open'][i - mins + c]] down = [data['volume'][i - mins + c] for c in range(len(data['volume'][i - mins: i])) if data['close'][i - mins + c] < data['open'][i - mins + c]] result["volume_updown_diff"].append(sum(up) - sum(down)) return result def append(self, df=None, result=None): data = { "ymd": [], "open": [], "close": [], "high": [], "low": [], "volume": [] } if result is not None: for i in range(len(result['ymd'])): data['ymd'].append(result['ymd'][i]) data['open'].append(result['open'][i]) data['close'].append(result['close'][i]) data['high'].append(result['high'][i]) data['low'].append(result['low'][i]) data['volume'].append(result['volume'][i]) if df is not None: for i in range(len(df)): data['ymd'].append(df.index[i]) data['open'].append(df['open'].iloc[i]) data['close'].append(df['close'].iloc[i]) data['high'].append(df['high'].iloc[i]) data['low'].append(df['low'].iloc[i]) data['volume'].append(df['volume'].iloc[i]) return data def getDBData(self, stock_code, day, mins, get_days=14): if mins == 3: table = 'minute3' elif mins == 5: table = 'minute5' elif mins == 10: table = 'minute10' elif mins == 20: table = 'minute20' elif mins == 30: table = 'minute30' elif mins == 60: table = 'minute60' elif mins == 200: table = 'minute200' elif mins == 1440: table = 'daily' else: table = 'minutely' conn = sqlite3.connect(os.path.join(self.RESOURCE_PATH, 'coins.db')) cursor = conn.cursor() result = {"ymd": [], "open": [], "close": [], "high": [], "low": [], "volume": [], "label": []} for i in range(get_days, -1, -1): this_day = (datetime.strptime(day, '%Y%m%d') - timedelta(i)).strftime('%Y%m%d') cursor.execute('SELECT ymd, hms, open, high, low, close, volume FROM ' + table + ' WHERE (CODE=? or CODE=?) and (ymd=?) order by ymd, hms', (stock_code, stock_code.replace('KRW-', ''), this_day,)) db_result = cursor.fetchall() for rows in db_result: ymd = rows[0] # hts.날짜 hms = rows[1] # hts.시간 open = rows[2] # hts.시가 high = rows[3] # hts.고가 low = rows[4] # hts.저가 close = rows[5] # hts.종가 vol = rows[6] # hts.거래량 temp = datetime.strptime(str(ymd) + " " + hms, '%Y%m%d %H%M%S') result["ymd"].append(temp) result["open"].append(float(open)) result["close"].append(float(close)) result["high"].append(float(high)) result["low"].append(float(low)) result["volume"].append(float(vol)) cursor.close() conn.close() return result def getCoinData(self, ticker, mins=None, to=None, ymd=None, get_days=14): result = None if ymd is not None and datetime.now() < datetime.strptime(ymd, '%Y%m%d'): ymd = None if ymd is None: if to is None: if mins is None: df = pyupbit.get_ohlcv(ticker=ticker['ticker_code']) else: if mins == 1440: df = pyupbit.get_ohlcv(ticker=ticker['ticker_code'], interval='minute1', count=1) else: df = pyupbit.get_ohlcv(ticker=ticker['ticker_code'], interval='minute' + str(mins)) else: df = pyupbit.get_ohlcv(ticker=ticker['ticker_code'], interval='minute' + str(mins), to=to) if df is not None: df["datetime"] = df.index df = df[['open', 'high', 'low', 'close', 'volume']].astype(float) if mins is not None: result = self.getDBData(ticker['ticker_code'], datetime.today().strftime('%Y%m%d'), mins=mins, get_days=get_days) data = self.append(df, result) else: result = self.getDBData(ticker['ticker_code'], ymd, mins=mins, get_days=get_days) data = self.append(df=None, result=result) return data def is_Support(self, low, i, observation_time=5): # https://sine-qua-none.tistory.com/198 # c1 = df.Low[i] < df.Low[i - 1] < df.Low[i - 2] < df.Low[i - 3] # c2 = df.Low[i] < df.Low[i + 1] < df.Low[i + 2] < df.Low[i + 3] # return c1 & c2 #if low[i] == np.min(low[i - 2*self.observation_time:i + 1]): if low[i] == np.min(low[i - observation_time:i + observation_time + 1]): return True else: return False def is_Resistance(self, high, i, observation_time=5): # https://sine-qua-none.tistory.com/198 # c1 = df.High[i] > df.High[i - 1] > df.High[i - 2] > df.High[i - 3] # c2 = df.High[i] > df.High[i + 1] > df.High[i + 2] > df.High[i + 3] # return c1 & c2 # if df['high'][i] == np.max(df['high'][i - self.observation_time:i + self.observation_time + 1]): #if high[i] == np.max(high[i - 2*self.observation_time:i + 1]): if high[i] == np.max(high[i - observation_time:i + observation_time + 1]): return True else: return False def getDiff_Rate(self, price1, price2, duration=1440, move=None): # price1: close, price2: laggingSpan_27 diff = [0 for i in range(len(price1))] diff_rate = [0 for i in range(len(price1))] for i in range(0, len(price1)): if price1[i] is not None and not math.isnan(price1[i]) and price2[i] is not None and not math.isnan(price2[i]): diff[i] = price1[i] - price2[i] else: diff[i] = np.nan if len(price1) < duration: duration = 52 for i in range(0, len(price1)): if duration <= i: l = [d for d in diff[i - duration:i + 1] if d is not None and 0 < d] if 0 < len(l): min_v_p = np.min(l) else: min_v_p = 0 l = [d for d in diff[i - duration:i + 1] if d is not None and 0 < d] if 0 < len(l): max_v_p = np.max(l) else: max_v_p = 0 l = [d for d in diff[i - duration:i + 1] if d is not None and d < 0] if 0 < len(l): min_v_m = np.min(l) else: min_v_m = 0 l = [d for d in diff[i - duration:i + 1] if d is not None and d < 0] if 0 < len(l): max_v_m = np.max(l) else: max_v_m = 0 if diff[i] is not None and not math.isnan(diff[i]): if 0 <= diff[i]: if max_v_p - min_v_p == 0: diff_rate[i] = 0 else: diff_rate[i] = (diff[i] - min_v_p) / (max_v_p - min_v_p) else: if max_v_m - min_v_m == 0: diff_rate[i] = 0 else: diff_rate[i] = ((diff[i] - min_v_m) / (max_v_m - min_v_m)) - 1 else: diff_rate[i] = np.nan return diff, diff_rate def getDisparity_low_min(self, ticker, min='minutely'): try: self.conn = sqlite3.connect(os.path.join(self.RESOURCE_PATH, "coins.db")) self.cursor = self.conn.cursor() self.cursor.execute("SELECT lowest_disparity FROM disparity WHERE (CODE=? or CODE=?) AND TYPE=?", (ticker['ticker_code'], ticker['ticker_code'].replace('KRW-', ''), min)) db_result = self.cursor.fetchall() self.cursor.close() self.conn.close() if 0 < len(db_result): return db_result[0][0] except: return 0.90 return 0.90