def insert_table(base_time, currency, con, table_type):
length = 20
sma20 = get_sma(currency, base_time, table_type, length, con)
length = 40
sma40 = get_sma(currency, base_time, table_type, length, con)
length = 80
sma80 = get_sma(currency, base_time, table_type, length, con)
length = 21
sigma = 2
data = get_original_data(base_time, currency, con, table_type, length)
dataset_sigma2 = getBollingerDataSet(data, length, sigma)
upper_sigma2 = dataset_sigma2["upper_sigmas"][-1]
lower_sigma2 = dataset_sigma2["lower_sigmas"][-1]
sigma = 3
dataset_sigma3 = getBollingerDataSet(data, length, sigma)
upper_sigma3 = dataset_sigma3["upper_sigmas"][-1]
lower_sigma3 = dataset_sigma3["lower_sigmas"][-1]
sql = "select insert_time from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 1" % (
currency, table_type, base_time)
response = con.select_sql(sql)
insert_time = response[0][0]
sql = "insert into INDICATOR_TABLE(table_type, currency, sma20, sma40, sma80, upper_sigma2, lower_sigma2, upper_sigma3, lower_sigma3, insert_time) values(\'%s\', \'%s\', %s, %s, %s, %s, %s, %s, %s, \'%s\')" % (
table_type, currency, sma20, sma40, sma80, upper_sigma2, lower_sigma2,
upper_sigma3, lower_sigma3, insert_time)
con.insert_sql(sql)
def getBollingerWrapper(base_time, instrument, table_type, window_size,
connector, sigma_valiable, length):
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time DESC limit %s" % (
instrument, table_type, base_time, (window_size + length))
response = connector.select_sql(sql)
price_list = []
for res in response:
price_list.append(res[0])
price_list.reverse()
data_set = getBollingerDataSet(price_list,
window_size=window_size,
sigma_valiable=sigma_valiable)
return data_set
def setIndicator(self, base_time):
ask_price_list = self.indicator_object.getAskPriceList()
bid_price_list = self.indicator_object.getBidPriceList()
# 1時間置きに実行
polling_time = 3600
cmp_object = self.indicator_object.getHighLowPriceDataset()
if self.calculatePollingTime(base_time, cmp_object, polling_time):
# 前日高値、安値の計算
high_price, low_price = self.getHiLowPriceBeforeDay(base_time)
self.indicator_object.setHighLowPriceDataset(
high_price, low_price, base_time)
wma_length = 200
candle_width = 3600
# 移動平均の取得(WMA200 1h)
ewma200_1h = getEWMA(ask_price_list, bid_price_list, wma_length,
candle_width)
self.indicator_object.setEwma200_1hDataset(ewma200_1h, base_time)
# 2.5シグマボリンジャーバンドを取得する
window_size = 28
candle_width = 300
sigma_valiable = 2.5
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
self.indicator_object.setBollinger2p5sigmaDataset(data_set, base_time)
# 移動平均の取得(WMA50 5m)
wma_length = 50
candle_width = 300
ewma50 = getEWMA(ask_price_list, bid_price_list, wma_length,
candle_width)
# 短期トレンドの取得
slope_length = (10 * candle_width) * -1
slope_list = ewma50[slope_length:]
slope = getSlope(slope_list)
self.indicator_object.setEwma50_5mDataset(ewma50, slope, base_time)
# 移動平均の取得(WMA200 5m)
wma_length = 200
candle_width = 300
ewma200 = getEWMA(ask_price_list, bid_price_list, wma_length,
candle_width)
self.indicator_object.setEwma200_5mDataset(ewma200, base_time)
def getBollingerDataset(ask_price_list, bid_price_list):
window_size = 28
# candle_width = 600
candle_width = 1
sigma_valiable = 2
data_set2 = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable, candle_width)
print(data_set2)
upper_sigmas = data_set2["upper_sigmas"]
lower_sigmas = data_set2["lower_sigmas"]
base_lines = data_set2["base_lines"]
for i in range(0, len(upper_sigmas)):
if math.isnan(upper_sigmas[i]):
upper_sigmas[i] = None
lower_sigmas[i] = None
base_lines[i] = None
return upper_sigmas, lower_sigmas, base_lines
def set1mIndicator(self, base_time):
ask_price_list = self.indicator_object.getAskPriceList()
bid_price_list = self.indicator_object.getBidPriceList()
try:
logging.info("set5mIndicator base_time = %s" % base_time)
# 1シグマボリンジャーバンドを取得する
window_size = 28
candle_width = 60
sigma_valiable = 1
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
# instrument, type, upper_sigma, lower_sigma, base_line, insert_time
ind_type = "bollinger1m1"
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
# 2シグマボリンジャーバンドを取得する
window_size = 28
candle_width = 60
sigma_valiable = 2
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
# instrument, type, upper_sigma, lower_sigma, base_line, insert_time
ind_type = "bollinger1m2"
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
# 2.5シグマボリンジャーバンドを取得する
window_size = 28
candle_width = 60
sigma_valiable = 2.5
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
# instrument, type, upper_sigma, lower_sigma, base_line, insert_time
ind_type = "bollinger1m2.5"
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
# 3シグマボリンジャーバンドを取得する
window_size = 28
candle_width = 60
sigma_valiable = 3
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
# instrument, type, upper_sigma, lower_sigma, base_line, insert_time
ind_type = "bollinger1m3"
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
# 移動平均の取得(WMA50 5m)
wma_length = 50
candle_width = 60
ewma50 = getEWMA(ask_price_list, bid_price_list, wma_length,
candle_width)
# 短期トレンドの取得
slope_length = (10 * candle_width) * -1
slope_list = ewma50[slope_length:]
slope = getSlope(slope_list)
# instrument, type, ewma_value, insert_time
ind_type = "ewma1m50"
sql = "insert into INDICATOR_TABLE(instrument, type, ewma_value, slope, insert_time) values(\'%s\', \'%s\', %s, %s, \'%s\')" % (
self.instrument, ind_type, ewma50[-1], slope, base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
# 移動平均の取得(WMA200 5m)
wma_length = 200
candle_width = 60
ewma200 = getEWMA(ask_price_list, bid_price_list, wma_length,
candle_width)
# instrument, type, ewma_value, insert_time
ind_type = "ewma1m200"
sql = "insert into INDICATOR_TABLE(instrument, type, ewma_value, insert_time) values(\'%s\', \'%s\', %s, \'%s\')" % (
self.instrument, ind_type, ewma200[-1], base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
except Exception as e:
logging.info(traceback.format_exc())
def set1hIndicator(self, base_time):
logging.info("set1hIndicator base_time = %s" % base_time)
ask_price_list = self.indicator_object.getAskPriceList()
bid_price_list = self.indicator_object.getBidPriceList()
try:
sql = "select insert_time from INDICATOR_TABLE where insert_time <= \'%s\' and type = \'bollinger1h3\' order by insert_time DESC limit 1" % base_time
response = self.mysql_connector.select_sql(sql)
polling_time = 3600
if self.calculatePollingTime(base_time, response, polling_time):
# 1時間置きに実行
ind_type = "highlow"
# 前日高値、安値の計算
if decideMarket(base_time - timedelta(hours=2)):
high_price, low_price = self.getHiLowPrice(base_time)
# instrument, type, high_price, low_price, insert_time
sql = "insert into INDICATOR_TABLE(instrument, type, high_price, low_price, insert_time) values(\'%s\', \'%s\', %s, %s, \'%s\')" % (
self.instrument, ind_type, high_price, low_price,
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
ind_type = "ewma1h200"
wma_length = 200
candle_width = 3600
# 移動平均の取得(WMA200 1h)
ewma200_1h = getEWMA(ask_price_list, bid_price_list,
wma_length, candle_width)
# instrument, type, ewma_value, insert_time
sql = "insert into INDICATOR_TABLE(instrument, type, ewma_value, insert_time) values(\'%s\', \'%s\', %s, \'%s\')" % (
self.instrument, ind_type, ewma200_1h[-1], base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
ind_type = "bollinger1h1"
window_size = 28
candle_width = 3600
sigma_valiable = 1
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
ind_type = "bollinger1h2"
window_size = 28
candle_width = 3600
sigma_valiable = 2
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
ind_type = "bollinger1h2.5"
window_size = 28
candle_width = 3600
sigma_valiable = 2.5
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
ind_type = "bollinger1h3"
window_size = 28
candle_width = 3600
sigma_valiable = 3
data_set = getBollingerDataSet(ask_price_list, bid_price_list,
window_size, sigma_valiable,
candle_width)
sql = "insert into INDICATOR_TABLE(instrument, type, upper_sigma, lower_sigma, base_line, insert_time) values(\'%s\', \'%s\', %s, %s, %s, \'%s\')" % (
self.instrument, ind_type, data_set["upper_sigmas"][-1],
data_set["lower_sigmas"][-1], data_set["base_lines"][-1],
base_time)
self.mysql_connector.insert_sql(sql)
logging.info(sql)
except Exception as e:
logging.info(traceback.format_exc())