373 lines
16 KiB
Python
373 lines
16 KiB
Python
import os
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import csv
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import logging
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from math import nan
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import pandas as pd
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import plotly.graph_objects as go
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from plotly import subplots
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from hts.HTS import HTS
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from hts.BuySellChecker import BuySellChecker
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from stock.util.Stock2Vector import Stock2Vector
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class LabelMaker (HTS):
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buySellChecker = None
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stock2Vector = None
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def __init__(self, RESOURCE_PATH):
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super().__init__(RESOURCE_PATH)
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self.buySellChecker = BuySellChecker()
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self.stock2Vector = Stock2Vector(RESOURCE_PATH)
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return
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def checkTransaction(self, data, duration=60):
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bsLine = {}
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size = len(data["close"])
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# Type=False, 시뮬레이션 적용
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bsLine['buy'] = [-1 for i in range(size)]
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bsLine['buy_weight'] = [-1 for i in range(size)]
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bsLine['sell'] = [-1 for i in range(size)]
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bsLine['sell_weight'] = [-1 for i in range(size)]
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# 매수 처리
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p_min_price = 999999999
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# - 10을 한 것은 3시 11분까지 매수를 하기 위함임
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for i in range(size-duration-10):
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min_price, min_price_c, = 9999999, -1
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for c in range(i, i+duration):
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if min(data["close"][c], data["close"][c]) < min_price:
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min_price = min(data["close"][c], data["close"][c])
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min_price_c = c
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# 매수 처리
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if min_price_c > 0:
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isValid = True
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for c in range(2, 10):
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if bsLine['buy'][min_price_c - c] > 0:
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isValid = False
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break
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if isValid:
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if min_price < p_min_price:
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bsLine['buy'][min_price_c] = min_price
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bsLine['buy_weight'][min_price_c] = 1
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p_min_price = min_price
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# 매도 처리
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buy_i = [c for c in range(size) if bsLine['buy'][c] > 0]
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for i in range(len(buy_i)):
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if i < len(buy_i)-1:
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boundry = data["high"][buy_i[i]+1: buy_i[i+1]]
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if len(boundry) > 1:
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max_price = max(boundry)
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for c in range(buy_i[i], buy_i[i+1]):
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if data["high"][c] == max_price:
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isValid = False
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for d in range(c - 1, 0, -1):
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if bsLine['sell'][d] > 0 and bsLine['buy'][d] < 0:
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break
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if bsLine['sell'][d] < 0 and bsLine['buy'][d] > 0:
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isValid = True
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break
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if isValid:
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bsLine['sell'][c] = max_price
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bsLine['sell_weight'][c] = 1
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else:
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# - 5를 한 것은 3시 16분까지 매도를 하기 위함임
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boundry = data["high"][buy_i[i] + 1: len(data["high"])-5]
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if len(boundry) > 1:
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max_price = max(boundry)
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for c in range(buy_i[i], len(data["high"])):
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if data["high"][c] == max_price:
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isValid = False
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for d in range(c-1, 0, -1):
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if bsLine['sell'][d] > 0 and bsLine['buy'][d] < 0 :
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break
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if bsLine['sell'][d] < 0 and bsLine['buy'][d] > 0 :
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isValid = True
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break
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if isValid:
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bsLine['sell'][c] = max_price
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bsLine['sell_weight'][c] = 1
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return bsLine, data
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def draw_simple(self, stock_code, given_day, data, bsLine):
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data = data.loc[pd.DatetimeIndex(data.index).day == int(given_day[6:])]
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buy_line = bsLine['buy'][381:]
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sell_line = bsLine['sell'][381:]
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buy_colors = []
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for i in range(len(buy_line)):
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if buy_line[i] < 0:
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buy_colors.append("#ffffff")
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buy_line[i] = nan
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else:
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buy_colors.append("#ff00ff")
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sell_colors = []
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for i in range(len(sell_line)):
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if sell_line[i] < 0:
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sell_colors.append("#ffffff")
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sell_line[i] = nan
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else:
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sell_colors.append("#00ced1")
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# 그래프를 설정한다.
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buy_check = go.Scatter(x=data['date'], y=buy_line, mode='markers', name="buy", marker=dict(size=14, color=buy_colors, line_width=0))
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sell_check = go.Scatter(x=data['date'], y=sell_line, mode='markers', name="sell", marker=dict(size=14, color=sell_colors, line_width=0))
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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')
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candle_data = [candle_stick, buy_check, sell_check]
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df = pd.DataFrame(bsLine)
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df = df.fillna(-1)
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buy_count = len(df.loc[df["buy"] > 0])
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sell_count = len(df.loc[df["sell"] > 0])
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self.fig = go.FigureWidget(data=candle_data)
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self.buy_data = self.fig.data[1]
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self.fig.update_layout(height=1000, title=stock_code + "_" + given_day + "_" + str(buy_count) + "," + str(sell_count))
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self.fig.show()
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return
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def draw_detail(self, stock_code, given_day, data, bsLine):
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buy_line = bsLine['buy']
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sell_line = bsLine['sell']
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# 그래프 설정을 위한 변수를 생성한다.
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data = data.astype({'open': 'int',
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'high': 'int',
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'low': 'int',
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'close': 'int',
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'volume': 'int',
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'avg3': 'float',
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'avg6': 'float',
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'avg9': 'float',
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'avg12': 'float',
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'avg27': 'float',
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'avg54': 'float',
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'fast_k': 'float',
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'slow_k': 'float',
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'slow_d': 'float',
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'rsi': 'float',
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'rsis': 'float'
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})
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buy_size = []
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buy_colors = []
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for i in range(len(buy_line)):
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if buy_line[i] < 0:
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buy_colors.append("#ffffff")
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buy_line[i] = nan
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buy_size.append(0)
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else:
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buy_colors.append("#D87D0F")
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buy_size.append(10 + (5 * 1))
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sell_colors = []
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for i in range(len(sell_line)):
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if sell_line[i] < 0:
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sell_colors.append("#ffffff")
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sell_line[i] = nan
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else:
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sell_colors.append("#00ced1")
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# 그래프를 설정한다.
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buy_check = go.Scatter(x=data['date'], y=buy_line, mode='markers', name="buy", marker=dict(size=buy_size, color=buy_colors, line_width=0))
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sell_check = go.Scatter(x=data['date'], y=sell_line, mode='markers', name="sell", marker=dict(size=14, color=sell_colors, line_width=0))
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upper = go.Scatter(x=data['date'], y=data["upper"], name="upper", line_color='#000000')
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lower = go.Scatter(x=data['date'], y=data["lower"], name="lower", line_color='#000000')
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avg3 = go.Scatter(x=data['date'], y=data["avg3"], name="avg3", line_color='#8F8203')
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avg6 = go.Scatter(x=data['date'], y=data["avg6"], name="avg6", line_color='#089B5B')
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avg9 = go.Scatter(x=data['date'], y=data["avg9"], name="avg9", line_color='#ff00ff')
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avg12 = go.Scatter(x=data['date'], y=data["avg12"], name="avg12", line_color='#1469F4')
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avg27 = go.Scatter(x=data['date'], y=data["avg27"], name="avg27", line_color='#000000')
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avg54 = go.Scatter(x=data['date'], y=data["avg54"], name="avg54", line_color='#008000')
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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')
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volume_line = go.Scatter(x=data['date'], y=data["volume"], mode='lines', name='volume')
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# fast_k_line = go.Scatter(x=hts['date'], y=hts["fast_k"], mode='lines', name='fast_k')
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macd_line = go.Scatter(x=data['date'], y=data["macd"], mode='lines', name='macd')
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macd_s_line = go.Scatter(x=data['date'], y=data["macds"], mode='lines', name='macds')
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macd_o_line = go.Scatter(x=data['date'], y=data["macdo"], mode='lines', name='macdo')
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slow_k_line = go.Scatter(x=data['date'], y=data["slow_k"], mode='lines', name='slow_k')
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slow_d_line = go.Scatter(x=data['date'], y=data["slow_d"], mode='lines', name='slow_d')
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rsi_line = go.Scatter(x=data['date'], y=data["rsi"], mode='lines', name='rsi')
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rsis_line = go.Scatter(x=data['date'], y=data["rsis"], mode='lines', name='rsis')
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candle_data = [candle_stick, upper, lower, avg3, avg6, avg9, avg12, avg27, avg54, buy_check, sell_check]
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volume_data = [volume_line]
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macd_data = [macd_line, macd_s_line, macd_o_line]
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stochastic_data = [slow_k_line, slow_d_line]
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rsi_data = [rsi_line, rsis_line]
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# 그래프를 그린다.
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"""
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fig = go.Figure(data=candle_data)
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fig.update_layout(title=stock_code + "_" + given_day)
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fig.show()
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"""
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fig = subplots.make_subplots(rows=5, cols=1, subplot_titles=('캔들', "거래량", "MACD", "스토캐스틱", "RSI"))
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for trace in candle_data:
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fig.append_trace(trace, 1, 1)
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for trace in volume_data:
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fig.append_trace(trace, 2, 1)
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for trace in macd_data:
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fig.append_trace(trace, 3, 1)
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for trace in stochastic_data:
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fig.append_trace(trace, 4, 1)
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for trace in rsi_data:
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fig.append_trace(trace, 5, 1)
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# fig.update_xaxes(nticks=5)
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# fig.update_layout(height=1800, title=stock_code + "_" + given_day, xaxis_rangeslider_visible=False)
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df = pd.DataFrame(bsLine)
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df = df.fillna(-1)
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buy_count = len(df.loc[df["buy"] > 0])
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sell_count = len(df.loc[df["sell"] > 0])
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fig.update_layout(height=5000, title=stock_code + "_" + given_day + "_" + str(buy_count) + "," + str(sell_count))
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fig.show()
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return
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def writeLabelFile(self, stock_code, bsLine, data, ymd):
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if not os.path.isdir(os.path.join(self.RESOURCE_PATH, "tmp")):
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os.mkdir(os.path.join(self.RESOURCE_PATH, "tmp"))
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outFileName = os.path.join(self.RESOURCE_PATH, "tmp", stock_code+"."+ymd+".sell.csv")
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with open(outFileName, "w", encoding="utf-8") as outFp:
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writer = csv.writer(outFp)
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for i, price in enumerate(bsLine["sell"]):
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if price != -1:
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writer.writerow([data['date'][i], bsLine["sell"][i]])
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outFileName = os.path.join(self.RESOURCE_PATH, "tmp", stock_code+"."+ymd + ".buy.csv")
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with open(outFileName, "w", encoding="utf-8") as outFp:
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writer = csv.writer(outFp)
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for i, price in enumerate(bsLine["buy"]):
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if price != -1:
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writer.writerow([data['date'][i], bsLine["buy"][i]])
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return
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def makeCandidate(self, stock_code, ymd, view=False):
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result = {"check": set(), "time": [], "open": [], "close": [], "high": [], "low": [], "vol": [], "label": []}
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self.getDBData(stock_code, ymd, result)
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data = self.buySellChecker.analyze(result)
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bsLine, data = self.checkTransaction(data)
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if view:
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self.draw_simple(stock_code, ymd, data, bsLine)
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#self.draw_detail(stock_code, ymd, data, bsLine)
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return bsLine, data
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def showLabels(self, stock_code, ymd, outFp=None):
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LAST_DATA = self.stock2Vector.getLastData(stock_code, ymd)
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result = self.stock2Vector.getRealTime(stock_code, ymd, LAST_DATA)
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# 이동평균, RSI, MACD, 일목균형, 볼린저밴드 상/하단을 계산한다.
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data = self.buySellChecker.analyze(result)
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# 4일치 중에서 앞에 3일은 제거한다.
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date = data['date'].dt.date.unique().tolist()
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data = data[data['date'].dt.date != date[0]]
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data = data[data['date'].dt.date != date[1]]
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data = data[data['date'].dt.date != date[2]]
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bsLine = {}
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lows = data["low"].tolist()
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closes = data["close"].tolist()
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labels = data["label"].tolist()
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size = len(lows)
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# Type=False, 시뮬레이션 적용
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bsLine['buy'] = [-1 for i in range(size)]
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bsLine['sell'] = [-1 for i in range(size)]
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for i in range(size):
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if outFp is not None:
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self.buySellChecker.write(outFp, data, i)
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outFp.flush()
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if labels[i] == 1:
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bsLine['sell'][i] = closes[i]
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if labels[i] == 2:
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bsLine['buy'][i] = lows[i]
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#self.draw_simple(stock_code, ymd, data, bsLine)
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self.draw_detail(stock_code, ymd, data, bsLine)
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return
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def getDate(self, stock_code):
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ymds = self.getYMD(stock_code)
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return ymds
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if __name__ == "__main__":
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PROJECT_HOME = os.path.join(os.path.dirname(os.path.join(os.path.dirname(os.path.join(os.path.dirname(__file__))))))
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RESOURCE_PATH = os.path.join(PROJECT_HOME, "resources")
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db_filename = os.path.join(RESOURCE_PATH, "hts.db")
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labelMaker = LabelMaker(RESOURCE_PATH)
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UPDATE_MODE = False
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if UPDATE_MODE:
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# 매일 입력하면서 정답 셋 만들기
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stock_code = "252670"
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ymd = '20220730'
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labelMaker.clearLabel(db_filename, stock_code, ymd)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "0933", 2)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "0934", 2)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "0935", 2)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "0936", 2)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1004", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1005", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1006", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1007", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1412", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1413", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1414", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1415", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1416", 1)
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labelMaker.makeLabel(db_filename, stock_code, ymd, "1417", 1)
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labelMaker.showLabels(stock_code, ymd)
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else:
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stock_codes = {
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"252670": ['20220701', '20220704', '20220705', '20220706', '20220707',
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'20220708', '20220711', '20220712', '20220713', '20220714',
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'20220715', '20220718', '20220719', '20220720', '20220721',
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'20220722', '20220725', '20220726', '20220727', '20220728',
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'20220729', '20220801', '20220802', '20220803', '20220804',
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'20220805', '20220808', '20220809', '20220810', '20220811',
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'20220812', '20220816'],
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#"122630": ['20220801', '20220802', '20220803', '20220804', '20220805', '20220808', '20220809', '20220810', '20220811', '20220812'],
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}
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view = True
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outFp = None
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for stock_code in stock_codes:
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if view:
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if outFp is None:
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outFp = open("check_"+stock_code+".txt", "w")
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for ymd in stock_codes[stock_code]:
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if view:
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labelMaker.showLabels(stock_code, ymd, outFp)
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else:
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# 종목에 대해서 주어진 일자에 대해서 통계치 추출하기
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for stock_code in stock_codes:
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ymds = labelMaker.getDate(stock_code)
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for ymd in ymds:
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logging.info(stock_code, ymd)
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bsLine, data = labelMaker.makeCandidate(stock_code, ymd)
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labelMaker.updateLabel(db_filename, stock_code, bsLine, data, ymd)
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if view:
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if outFp is not None:
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outFp.close()
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outFp = None |