def downloadStockData(stock):
log.debug('downloading stock data ' + stock['symbol'] + ' ...')
d = '{:0>2}'.format(datetime.datetime.now().month - 1)
e = '{:0>2}'.format(datetime.datetime.now().day)
f = str(datetime.datetime.now().year)
url = 'http://ichart.yahoo.com/table.csv?s=' + stock['symbol'] + '&a=00&b=01&c=2000'
url += '&d=' + d + '&e=' + e + '&f=' + f + '&g=d'
req = urllib.request.Request(url)
req.add_header('Referer', 'http://www.yahoo.com/')
resp = urllib.request.urlopen(req, timeout=20)
text = resp.read()
#if resp.info().get('Content-Encoding') == 'gzip':
# buf = StringIO.StringIO(resp.read())
# f = gzip.GzipFile(fileobj=buf)
# text = f.read()
#else:
# text = resp.read()
dataFolder = os.path.join(os.path.dirname(__file__), 'datas/stocks')
if not os.path.isdir(dataFolder): os.makedirs(dataFolder)
datafile = open(os.path.join(dataFolder, stock['file']), 'wb')
datafile.write(text)
datafile.close()
def importMetal(fileName):
log.debug('loading metal data from ' + fileName + ' ...')
prices = []
prec = 0
with open(os.path.join(path, 'datas/' + fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
p = {}
p['open'] = float(row[2])
p['high'] = float(row[3])
p['low'] = float(row[4])
p['close'] = float(row[5])
p['vol'] = float(row[6])
p['trade'] = round(p['close'] * 6.1 / 31.1035, 3)
p['dt'] = datetime.datetime.strptime(row[0] + ' ' + row[1], '%Y.%m.%d %H:%M') #2009.06.01,00:00
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['time'] = p['dt'].strftime('%H:%M:%S')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.append(p)
return prices[-const.DATA_NUM:]
def importYahooStock(sourcType, fileName):
log.debug('loading yahoo stock data from ' + fileName + ' ...')
prices = []
prec = 0
cnt = 0
dataPath = os.path.join(path, 'datas')
if const.SOURCE_TYPE == 4: dataPath = os.path.join(dataPath, 'stocks')
with open(os.path.join(dataPath, fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
next(rdr)
for row in rdr:
p = {}
p['open'] = float(row[1])
p['high'] = float(row[2])
p['low'] = float(row[3])
p['close'] = float(row[4])
p['trade'] = p['close']
p['vol'] = float(row[5])
if sourcType == 2 and p['vol'] == 0:
continue
p['dt'] = datetime.datetime.strptime(row[0], '%Y-%m-%d') #10/31/2014
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.insert(0, p)
cnt += 1
if cnt > const.DATA_NUM: break
return prices
def downloadTecentStockHistoryData(stock, year):
if stock['symbol'][-2:] == 'SS': symb = 'sh' + stock['id']
elif stock['symbol'][-2:] == 'SZ': symb = 'sz' + stock['id']
log.debug('downloading Tecent Stock data ' + symb + ' year ' + year + '...')
sleepTime = random.randint(1, 2)
log.debug('Sleeping for ' + str(sleepTime) + ' seconds...')
time.sleep(sleepTime)
url = 'http://data.gtimg.cn/flashdata/hushen/daily/' + year + '/' + symb + '.js'
webtext = None
attempts = 0
while attempts < 10:
try:
req = urllib.request.Request(url)
req.add_header('Referer', 'http://stockapp.finance.qq.com/mstats/')
resp = urllib.request.urlopen(req, timeout=10)
webtext = resp.read()
break
log.debug('Http error, retrying ... ' + str(attempts))
except urllib.error.HTTPError as e:
if e.code == 404:
log.debug('No data for ' + symb + ', in ' + year)
webtext = None
break
except Exception as e:
attempts += 1
log.debug('Connection error, retrying ... ' + str(attempts))
return webtext
def importVSignalList(fileName):
log.debug('loading v signal list from ' + fileName + ' ...')
stocks = []
with open(os.path.join(path, 'datas/' + fileName), 'rt', encoding='GBK') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
stock = {}
stock['id'] = row[0]
stock['vol'] = int(row[1])
stock['name'] = row[2]
stock['symbol'] = row[3]
stock['file'] = stock['id'] + '.csv'
stock['vfmt'] = row[4]
stock['vfm'] = int(row[5])
stock['vsmt'] = row[6]
stock['vsm'] = int(row[7])
stock['afmt'] = row[8]
stock['afm'] = int(row[9])
stock['asmt'] = row[10]
stock['asm'] = int(row[11])
stock['bfmt'] = row[12]
stock['bfm'] = int(row[13])
stock['bsmt'] = row[14]
stock['bsm'] = int(row[15])
stocks.append(stock)
return stocks
def importMetal(fileName):
log.debug('loading metal data from ' + fileName + ' ...')
prices = []
prec = 0
with open(os.path.join(path, 'datas/' + fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
p = {}
p['open'] = float(row[2])
p['high'] = float(row[3])
p['low'] = float(row[4])
p['close'] = float(row[5])
p['vol'] = float(row[6])
p['trade'] = round(p['close'] * 6.1 / 31.1035, 3)
p['dt'] = datetime.datetime.strptime(
row[0] + ' ' + row[1], '%Y.%m.%d %H:%M') #2009.06.01,00:00
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['time'] = p['dt'].strftime('%H:%M:%S')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.append(p)
return prices[-const.DATA_NUM:]
def runSignal(stock, prices):
log.debug('beginning signal for ' + stock['id'] + ' ...')
ps = [p['close'] for p in prices]
pdt = [p['dt'] for p in prices]
fma = getMas(stock['fmt'], stock['fm'], ps)
s1ma = getMas(stock['s1mt'], stock['s1m'], ps)
s2ma = getMas(stock['s2mt'], stock['s2m'], ps)
dotNum = const.SIGNAL_GRAPH_NUM
fig = plt.figure()
ax1 = fig.add_subplot(111)
ax1.set_ylabel('Price')
ax1.xaxis.set_major_formatter(DateFormatter('%m-%d'))
ax1.plot_date(pdt[-dotNum:],
ps[-dotNum:],
color='yellow',
linestyle='-',
marker='',
label='Price')
ax1.plot_date(pdt[-dotNum:],
fma[-dotNum:],
color='red',
linestyle='-',
marker='',
label='Price')
ax1.plot_date(pdt[-dotNum:],
s1ma[-dotNum:],
color='blue',
linestyle='-',
marker='',
label='Price')
ax1.plot_date(pdt[-dotNum:],
s2ma[-dotNum:],
color='green',
linestyle='-',
marker='',
label='Price')
ax1.grid()
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
plt.savefig(os.path.join(resultPath, stock['id'] + '.png'), dpi=150)
plt.close(fig)
opos = 0
pos = 0
if fma[-2] > s1ma[-2]: opos += stock['vol']
if fma[-2] > s2ma[-2]: opos += stock['vol']
if fma[-1] > s1ma[-1]: pos += stock['vol']
if fma[-1] > s2ma[-1]: pos += stock['vol']
if opos == pos:
desc = str(pos)
else:
desc = str(opos) + ' -> ' + str(pos)
dt = datetime.datetime.now().strftime('%Y-%m-%d')
return stock['symbol'] + ',' + dt + ',' + str(ps[-1]) + ',' + desc
def downloadTecentStockData(stock):
log.debug('downloading Tecent Stock data ' + stock['symbol'] + ' ...')
if stock['symbol'][-2:] == 'SS': symb = 'sh' + stock['id']
elif stock['symbol'][-2:] == 'SZ': symb = 'sz' + stock['id']
years = ['08', '09', '10', '11', '12', '13', '14', '15']
currentYear = '15'
plines = []
histFolder = os.path.join(os.path.dirname(__file__), 'datas/history')
if not os.path.isdir(histFolder): os.makedirs(histFolder)
for year in years:
webtext = html = None
fileName = stock['id'] + '.' + year
histFile = os.path.join(histFolder, fileName)
if not os.path.isfile(histFile):
webtext = downloadTecentStockHistoryData(stock, year)
if webtext and year != currentYear:
datafile = open(os.path.join(histFolder, fileName), 'wb')
datafile.write(webtext)
datafile.close()
if webtext: html = str(webtext, encoding='utf8')
else:
f = open(histFile, 'rb')
html = str(f.read(), encoding='utf8')
f.close()
if html:
lines = html.splitlines() [1:-1]
for line in lines:
plines.append(line[:-3])
plines.reverse()
dataFolder = os.path.join(os.path.dirname(__file__), 'datas/stocks')
if not os.path.isdir(dataFolder): os.makedirs(dataFolder)
datafile = open(os.path.join(dataFolder, stock['file']), 'wt')
datafile.write('Date,Open,High,Low,Close,Volume,Adj Close\n')
#print(len(datas))
for pline in plines:
data = pline.split(' ')
p = {}
p['dt'] = datetime.datetime.strptime(str(data[0]), '%y%m%d')
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['open'] = float(data[1])
p['close'] = float(data[2])
p['high'] = float(data[3])
p['low'] = float(data[4])
p['vol'] = int(data[5]) * 100
datafile.write(str(p['date']) + ',' + str(p['open']) + ',' + str(p['high']) + ',' + str(p['low']) + ',')
datafile.write(str(p['close']) + ',' + str(p['vol']) + ',' + str(p['close']) + '\n')
datafile.close()
def importStockList(fileName):
log.debug('loading stock list from ' + fileName + ' ...')
stocks = []
with open(os.path.join(path, 'datas/' + fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
stock = {}
stock['id'] = row[0]
stock['name'] = row[1]
stock['symbol'] = row[2]
stock['file'] = row[3]
stocks.append(stock)
return stocks
def importStockList(fileName):
log.debug('loading stock list from ' + fileName + ' ...')
stocks = []
with open(os.path.join(path, 'datas/' + fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
stock = {}
stock['id'] = row[0]
stock['name'] = row[1]
stock['symbol'] = row[2]
stock['file'] = row[3]
stocks.append(stock)
return stocks
def downloadStockData(stock):
log.debug('downloading stock data ' + stock['symbol'] + ' ...')
d = '{:0>2}'.format(datetime.datetime.now().month - 1)
e = '{:0>2}'.format(datetime.datetime.now().day)
f = str(datetime.datetime.now().year)
url = 'http://ichart.yahoo.com/table.csv?s=' + stock[
'symbol'] + '&a=00&b=01&c=2000'
url += '&d=' + d + '&e=' + e + '&f=' + f + '&g=d'
req = urllib.request.Request(url)
req.add_header('Referer', 'http://www.yahoo.com/')
resp = urllib.request.urlopen(req, timeout=20)
text = resp.read()
dataFolder = os.path.join(os.path.dirname(__file__), 'datas/stocks')
if not os.path.isdir(dataFolder): os.makedirs(dataFolder)
datafile = open(os.path.join(dataFolder, stock['file']), 'wb')
datafile.write(text)
datafile.close()
time.sleep(5)
def runSignal(stock, prices):
log.debug('beginning signal for ' + stock['id'] + ' ...')
ps = [p['close'] for p in prices]
pdt = [p['dt'] for p in prices]
fma = getMas(stock['fmt'], stock['fm'], ps)
s1ma = getMas(stock['s1mt'], stock['s1m'], ps)
s2ma = getMas(stock['s2mt'], stock['s2m'], ps)
dotNum = const.SIGNAL_GRAPH_NUM
fig = plt.figure()
ax1 = fig.add_subplot(111)
ax1.set_ylabel('Price')
ax1.xaxis.set_major_formatter(DateFormatter('%m-%d'))
ax1.plot_date(pdt[-dotNum:], ps[-dotNum:], color='yellow', linestyle='-', marker='', label='Price')
ax1.plot_date(pdt[-dotNum:], fma[-dotNum:], color='red', linestyle='-', marker='', label='Price')
ax1.plot_date(pdt[-dotNum:], s1ma[-dotNum:], color='blue', linestyle='-', marker='', label='Price')
ax1.plot_date(pdt[-dotNum:], s2ma[-dotNum:], color='green', linestyle='-', marker='', label='Price')
ax1.grid()
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
plt.savefig(os.path.join(resultPath, stock['id'] + '.png'), dpi=150)
plt.close(fig)
opos = 0
pos = 0
if fma[-2] > s1ma[-2]: opos += stock['vol']
if fma[-2] > s2ma[-2]: opos += stock['vol']
if fma[-1] > s1ma[-1]: pos += stock['vol']
if fma[-1] > s2ma[-1]: pos += stock['vol']
if opos == pos:
desc = str(pos)
else:
desc = str(opos) + ' -> ' + str(pos)
dt = datetime.datetime.now().strftime('%Y-%m-%d')
return stock['symbol'] + ',' + dt + ',' + str(ps[-1]) + ',' + desc
def runStrategy(in_prices):
global prices, mas, emas, smas, lwmas, vmas, vemas, vsmas, vlwmas
log.debug('beginning vma strategy ...')
prices = in_prices
vols = [p['vol'] for p in prices]
vmalength = const.VMA_MAX + 1
vmas = [0] * vmalength
vemas = [0] * vmalength
vsmas = [0] * vmalength
vlwmas = [0] * vmalength
for period in range(1, vmalength):
vmas[period] = ma.calc_ma(vols, period)
vemas[period] = ma.calc_ema(vols, period)
vsmas[period] = ma.calc_sma(vols, period)
vlwmas[period] = ma.calc_lwma(vols, period)
ps = [p['close'] for p in prices]
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
pool = Pool(const.POOL_SIZE)
for vft, vf in [(matype, period) for matype in const.VMA_TYPES for period in const.VMA_FAST]:
for vst, vs in [(matype, period) for matype in const.VMA_TYPES for period in const.VMA_SLOW]:
if vs != 0 and vs <= vf: continue
poola = Pool(const.POOL_SIZE)
poolb = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in const.MA_TYPES for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in const.MA_TYPES for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + vft + '_' + str(vf) + ',' + vst + '_' + str(vs) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
doTrade(poola, vft, vf, vst, vs, ft, f, s1t, s1, '', 0, '', 0)
doTrade(poolb, vft, vf, vst, vs, '', 0, '', 0, ft, f, s1t, s1)
for ia in range(len(poola.strategies)):
for ib in range(len(poolb.strategies)):
sa = poola.strategies[ia]
sb = poolb.strategies[ib]
if sa[0] == 0 or sb[0] == 0: continue
t = doTrade(pool, vft, vf, vst, vs, sa[0].args[0], sa[0].args[1], sa[0].args[2], sa[0].args[3], sb[0].args[4], sb[0].args[5], sb[0].args[6], sb[0].args[7])
pool.showStrategies()
return pool.strategies[0][0]
def makeupStockFromSina(stock, prices):
# fetch price of AG T+D
try:
if stock['symbol'][-2:] == 'SS': symb = 'sh' + stock['id']
elif stock['symbol'][-2:] == 'SZ': symb = 'sz' + stock['id']
f = urllib.request.urlopen('http://hq.sinajs.cn/rn=1386417950746&list=' + symb, timeout=20)
html = f.read()
html = html.decode('gbk')
#print(html)
html = html[21:len(html) - 3]
arr = re.split(',', html)
p = {}
p['dt'] = datetime.datetime.strptime(arr[30], '%Y-%m-%d')
p['open'] = float(arr[1])
p['high'] = float(arr[4])
p['low'] = float(arr[5])
p['close'] = float(arr[3])
p['vol'] = float(arr[8])
p['per'] = round((p['close'] - float(arr[2])) * 100 / float(arr[2]), 3)
if p['dt'] > prices[-1]['dt']:
log.debug('add price from sina: ' + p['dt'].strftime('%m-%d') + ', ' + prices[-1]['dt'].strftime('%m-%d'))
prices.append(p)
else:
log.debug('DO NOT NEED MAKEUP from sina: ' + p['dt'].strftime('%m-%d') + ', ' + prices[-1]['dt'].strftime('%m-%d'))
return prices
except:
log.debug('Error occur with sina')
return prices
def downloadYahooStockData(stock):
time.sleep(random.randint(3, 10))
log.debug('downloading yahoo stock data ' + stock['symbol'] + ' ...')
d = '{:0>2}'.format(datetime.datetime.now().month - 1)
e = '{:0>2}'.format(datetime.datetime.now().day)
f = str(datetime.datetime.now().year)
url = 'http://ichart.yahoo.com/table.csv?s=' + stock['symbol'] + '&a=00&b=01&c=2000'
url += '&d=' + d + '&e=' + e + '&f=' + f + '&g=d'
#print(url)
#return
req = urllib.request.Request(url)
req.add_header('Referer', 'http://www.yahoo.com/')
resp = urllib.request.urlopen(req, timeout=20)
text = resp.read()
dataFolder = os.path.join(os.path.dirname(__file__), 'datas/stocks')
if not os.path.isdir(dataFolder): os.makedirs(dataFolder)
datafile = open(os.path.join(dataFolder, stock['file']), 'wb')
datafile.write(text)
datafile.close()
def runStrategy(in_prices):
global prices, ps
log.debug('beginning pattern strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
starttime = datetime.datetime.now()
pool = Pool(const.POOL_SIZE)
for i in range(20, 81)[::5]:
for j in range(1, 6)[::1]:
if i < j: continue
for f in range(5, 16)[::2]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ',' + str(f) + ' ==')
for sl in range(15, 31)[::3]:
for si in range(3, 16)[::2]:
doTrade(pool, i, j, f, sl, si)
pool.showStrategies()
return pool.strategies[0][0]
def importYahooStock(sourcType, fileName):
log.debug('loading yahoo stock data from ' + fileName + ' ...')
prices = []
prec = 0
cnt = 0
dataPath = os.path.join(path, 'datas')
if const.SOURCE_TYPE == 4: dataPath = os.path.join(dataPath, 'stocks')
with open(os.path.join(dataPath, fileName), 'rt') as csvfile:
rdr = csv.reader(csvfile)
next(rdr)
for row in rdr:
p = {}
p['open'] = float(row[1])
p['high'] = float(row[2])
p['low'] = float(row[3])
p['close'] = float(row[4])
p['trade'] = p['close']
p['vol'] = float(row[5])
if sourcType == 2 and p['vol'] == 0:
continue
p['dt'] = datetime.datetime.strptime(row[0],
'%Y-%m-%d') #10/31/2014
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.insert(0, p)
cnt += 1
if cnt > const.DATA_NUM: break
return prices
def downloadHexunStockData(stock):
log.debug('downloading hexun stock data ' + stock['symbol'] + ' ...')
m = '{:0>2}'.format(datetime.datetime.now().month)
d = '{:0>2}'.format(datetime.datetime.now().day)
y = str(datetime.datetime.now().year)
dt = y + m + d + '150000'
if stock['symbol'][-2:] == 'SS': symb = 'sse' + stock['id']
elif stock['symbol'][-2:] == 'SZ': symb = 'szse' + stock['id']
url = 'http://webstock.quote.hermes.hexun.com/a/kline?code=' + symb + '&start=' + dt + '&number=-1000&type=5&callback=callback'
attempts = 0
while attempts < 3:
try:
sleepTime = random.randint(3, 10)
log.debug('Sleeping for ' + str(sleepTime) + ' seconds...')
time.sleep(sleepTime)
req = urllib.request.Request(url)
req.add_header('Referer', 'http://www.hexun.com/')
resp = urllib.request.urlopen(req, timeout=30)
html = str(resp.read(), encoding='utf8')
break
except Exception as e:
attempts += 1
log.debug('Connection error, retrying ... ' + str(attempts))
html = html[html.find('Data') + 7 : ]
html = html[ : html.find(']],') + 2]
datas = eval(html)
datas.reverse()
dataFolder = os.path.join(os.path.dirname(__file__), 'datas/stocks')
if not os.path.isdir(dataFolder): os.makedirs(dataFolder)
datafile = open(os.path.join(dataFolder, stock['file']), 'wt')
datafile.write('Date,Open,High,Low,Close,Volume,Adj Close\n')
#print(len(datas))
for data in datas:
p = {}
p['dt'] = datetime.datetime.strptime(str(data[0]), '%Y%m%d%H%M%S')
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['open'] = float(data[2]) / 100
p['close'] = float(data[3]) / 100
p['high'] = float(data[4]) / 100
p['low'] = float(data[5]) / 100
p['vol'] = data[6]
datafile.write(str(p['date']) + ',' + str(p['open']) + ',' + str(p['high']) + ',' + str(p['low']) + ',')
datafile.write(str(p['close']) + ',' + str(p['vol']) + ',' + str(p['close']) + '\n')
datafile.close()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i - period + 1:i + 1],
dtype=np.float64,
ddof=0)
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in matypes
for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' +
s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in const.MA_SLOW2]:
if s2 != 0 and s2 <= s1: continue
#run
doTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
return pool.strategies[0][0]
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0)
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in matypes for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in matypes for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in const.MA_SLOW2]:
if s2 != 0 and s2 <= s1: continue
#run
doTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
return pool.strategies[0][0]
def runSignal(stock, prices):
log.debug('beginning signal for ' + stock['id'] + ' ...')
ps = [p['close'] for p in prices]
vols = [p['vol'] for p in prices]
pdt = [p['dt'] for p in prices]
vfma = getMas(stock['vfmt'], stock['vfm'], vols)
vsma = getMas(stock['vsmt'], stock['vsm'], vols)
afma = getMas(stock['afmt'], stock['afm'], ps)
asma = getMas(stock['asmt'], stock['asm'], ps)
bfma = getMas(stock['bfmt'], stock['bfm'], ps)
bsma = getMas(stock['bsmt'], stock['bsm'], ps)
#print(stock['afmt'] + ',' + str(stock['afm']))
active = 'A'
if vfma[-1] > vsma[-1]: active = 'B'
pactive = 'A'
if vfma[-2] > vsma[-2]: pactive = 'B'
oapos = 0
apos = 0
if pactive == 'A' and afma[-2] > asma[-2]: oapos += stock['vol']
if active == 'A' and afma[-1] > asma[-1]: apos += stock['vol']
if active != 'A' and afma[-2] > asma[-2] and afma[-1] > asma[-1]:
adesc = '='
elif oapos == apos:
adesc = str(apos)
else:
adesc = str(oapos) + ' -> ' + str(apos)
obpos = 0
bpos = 0
if pactive == 'B' and bfma[-2] > bsma[-2]: obpos += stock['vol']
if active == 'B' and bfma[-1] > bsma[-1]: bpos += stock['vol']
if active != 'B' and bfma[-2] > bsma[-2] and bfma[-1] > bsma[-1]:
bdesc = '='
elif obpos == bpos:
bdesc = str(bpos)
else:
bdesc = str(obpos) + ' -> ' + str(bpos)
dt = datetime.datetime.now().strftime('%Y-%m-%d')
gdt = datetime.datetime.now().strftime('%m/%d/%y')
gtitle = gdt + ', ' + stock['id'] + ', A: ' + adesc + ', B: ' + bdesc
dotNum = const.SIGNAL_GRAPH_NUM
fig = plt.figure()
ax1 = fig.add_subplot(311)
ax1.set_ylabel('Vol: ' + str(int(vfma[-1] - vsma[-1])))
ax1.set_title(gtitle)
ax1.xaxis.set_major_formatter(DateFormatter('%m-%d'))
ax1.plot_date(pdt[-dotNum:],
vols[-dotNum:],
color='yellow',
linestyle='-',
marker='',
label='Volume')
ax1.plot_date(pdt[-dotNum:],
vfma[-dotNum:],
color='red',
linestyle='-',
marker='',
label='Volume')
ax1.plot_date(pdt[-dotNum:],
vsma[-dotNum:],
color='blue',
linestyle='-',
marker='',
label='Volume')
ax1.grid()
ax2 = fig.add_subplot(312)
if active == 'A':
ax2.set_ylabel('*A: ' + str(round(afma[-1] - asma[-1], 2)))
else:
ax2.set_ylabel('A: ' + str(round(afma[-1] - asma[-1], 2)))
ax2.xaxis.set_major_formatter(DateFormatter('%m-%d'))
ax2.plot_date(pdt[-dotNum:],
ps[-dotNum:],
color='yellow',
linestyle='-',
marker='',
label='Price')
ax2.plot_date(pdt[-dotNum:],
afma[-dotNum:],
color='red',
linestyle='-',
marker='',
label='Price')
ax2.plot_date(pdt[-dotNum:],
asma[-dotNum:],
color='blue',
linestyle='-',
marker='',
label='Price')
ax2.grid()
ax3 = fig.add_subplot(313)
if active == 'B':
ax3.set_ylabel('*B:' + str(round(bfma[-1] - bsma[-1], 2)))
else:
ax3.set_ylabel('B:' + str(round(bfma[-1] - bsma[-1], 2)))
ax3.xaxis.set_major_formatter(DateFormatter('%m-%d'))
ax3.plot_date(pdt[-dotNum:],
ps[-dotNum:],
color='yellow',
linestyle='-',
marker='',
label='Price')
ax3.plot_date(pdt[-dotNum:],
bfma[-dotNum:],
color='red',
linestyle='-',
marker='',
label='Price')
ax3.plot_date(pdt[-dotNum:],
bsma[-dotNum:],
color='blue',
linestyle='-',
marker='',
label='Price')
ax3.grid()
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
plt.savefig(os.path.join(resultPath, stock['id'] + '.png'), dpi=150)
plt.close(fig)
return stock['symbol'] + ', ' + dt + ', ' + str(
ps[-1]) + ', ' + active + ', ' + adesc + ', ' + bdesc
def runSignal(stock, prices):
log.debug("beginning signal for " + stock["id"] + " ...")
ps = [p["close"] for p in prices]
vols = [p["vol"] for p in prices]
pdt = [p["dt"] for p in prices]
vfma = getMas(stock["vfmt"], stock["vfm"], vols)
vsma = getMas(stock["vsmt"], stock["vsm"], vols)
afma = getMas(stock["afmt"], stock["afm"], ps)
asma = getMas(stock["asmt"], stock["asm"], ps)
bfma = getMas(stock["bfmt"], stock["bfm"], ps)
bsma = getMas(stock["bsmt"], stock["bsm"], ps)
# print(stock['afmt'] + ',' + str(stock['afm']))
active = "A"
if vfma[-1] > vsma[-1]:
active = "B"
pactive = "A"
if vfma[-2] > vsma[-2]:
pactive = "B"
oapos = 0
apos = 0
if pactive == "A" and afma[-2] > asma[-2]:
oapos += stock["vol"]
if active == "A" and afma[-1] > asma[-1]:
apos += stock["vol"]
if active != "A" and afma[-2] > asma[-2] and afma[-1] > asma[-1]:
adesc = "="
elif oapos == apos:
adesc = str(apos)
else:
adesc = str(oapos) + " -> " + str(apos)
obpos = 0
bpos = 0
if pactive == "B" and bfma[-2] > bsma[-2]:
obpos += stock["vol"]
if active == "B" and bfma[-1] > bsma[-1]:
bpos += stock["vol"]
if active != "B" and bfma[-2] > bsma[-2] and bfma[-1] > bsma[-1]:
bdesc = "="
elif obpos == bpos:
bdesc = str(bpos)
else:
bdesc = str(obpos) + " -> " + str(bpos)
dt = datetime.datetime.now().strftime("%Y-%m-%d")
gdt = datetime.datetime.now().strftime("%m/%d/%y")
gtitle = gdt + ", " + stock["id"] + ", A: " + adesc + ", B: " + bdesc
dotNum = const.SIGNAL_GRAPH_NUM
fig = plt.figure()
ax1 = fig.add_subplot(311)
ax1.set_ylabel("Vol: " + str(int(vfma[-1] - vsma[-1])))
ax1.set_title(gtitle)
ax1.xaxis.set_major_formatter(DateFormatter("%m-%d"))
ax1.plot_date(pdt[-dotNum:], vols[-dotNum:], color="yellow", linestyle="-", marker="", label="Volume")
ax1.plot_date(pdt[-dotNum:], vfma[-dotNum:], color="red", linestyle="-", marker="", label="Volume")
ax1.plot_date(pdt[-dotNum:], vsma[-dotNum:], color="blue", linestyle="-", marker="", label="Volume")
ax1.grid()
ax2 = fig.add_subplot(312)
if active == "A":
ax2.set_ylabel("*A: " + str(round(afma[-1] - asma[-1], 2)))
else:
ax2.set_ylabel("A: " + str(round(afma[-1] - asma[-1], 2)))
ax2.xaxis.set_major_formatter(DateFormatter("%m-%d"))
ax2.plot_date(pdt[-dotNum:], ps[-dotNum:], color="yellow", linestyle="-", marker="", label="Price")
ax2.plot_date(pdt[-dotNum:], afma[-dotNum:], color="red", linestyle="-", marker="", label="Price")
ax2.plot_date(pdt[-dotNum:], asma[-dotNum:], color="blue", linestyle="-", marker="", label="Price")
ax2.grid()
ax3 = fig.add_subplot(313)
if active == "B":
ax3.set_ylabel("*B:" + str(round(bfma[-1] - bsma[-1], 2)))
else:
ax3.set_ylabel("B:" + str(round(bfma[-1] - bsma[-1], 2)))
ax3.xaxis.set_major_formatter(DateFormatter("%m-%d"))
ax3.plot_date(pdt[-dotNum:], ps[-dotNum:], color="yellow", linestyle="-", marker="", label="Price")
ax3.plot_date(pdt[-dotNum:], bfma[-dotNum:], color="red", linestyle="-", marker="", label="Price")
ax3.plot_date(pdt[-dotNum:], bsma[-dotNum:], color="blue", linestyle="-", marker="", label="Price")
ax3.grid()
resultPath = os.path.join(os.path.dirname(__file__), const.RESULT_PATH)
plt.savefig(os.path.join(resultPath, stock["id"] + ".png"), dpi=150)
plt.close(fig)
return stock["symbol"] + ", " + dt + ", " + str(ps[-1]) + ", " + active + ", " + adesc + ", " + bdesc
def runStrategy(in_prices):
global prices, mas, emas, smas, lwmas, vmas, vemas, vsmas, vlwmas
log.debug('beginning vma strategy ...')
prices = in_prices
vols = [p['vol'] for p in prices]
vmalength = const.VMA_MAX + 1
vmas = [0] * vmalength
vemas = [0] * vmalength
vsmas = [0] * vmalength
vlwmas = [0] * vmalength
for period in range(1, vmalength):
vmas[period] = ma.calc_ma(vols, period)
vemas[period] = ma.calc_ema(vols, period)
vsmas[period] = ma.calc_sma(vols, period)
vlwmas[period] = ma.calc_lwma(vols, period)
ps = [p['close'] for p in prices]
malength = const.MA_MAX + 1
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(1, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
pool = Pool(const.POOL_SIZE)
for vft, vf in [(matype, period) for matype in const.VMA_TYPES
for period in const.VMA_FAST]:
for vst, vs in [(matype, period) for matype in const.VMA_TYPES
for period in const.VMA_SLOW]:
if vs != 0 and vs <= vf: continue
poola = Pool(const.POOL_SIZE)
poolb = Pool(const.POOL_SIZE)
for ft, f in [(matype, period) for matype in const.MA_TYPES
for period in const.MA_FAST]:
for s1t, s1 in [(matype, period) for matype in const.MA_TYPES
for period in const.MA_SLOW1]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + vft + '_' +
str(vf) + ',' + vst + '_' + str(vs) + ',' + ft +
'_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
doTrade(poola, vft, vf, vst, vs, ft, f, s1t, s1, '', 0, '',
0)
doTrade(poolb, vft, vf, vst, vs, '', 0, '', 0, ft, f, s1t,
s1)
for ia in range(len(poola.strategies)):
for ib in range(len(poolb.strategies)):
sa = poola.strategies[ia]
sb = poolb.strategies[ib]
if sa[0] == 0 or sb[0] == 0: continue
t = doTrade(pool, vft, vf, vst, vs, sa[0].args[0],
sa[0].args[1], sa[0].args[2], sa[0].args[3],
sb[0].args[4], sb[0].args[5], sb[0].args[6],
sb[0].args[7])
pool.showStrategies()
return pool.strategies[0][0]
