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 setExpantionIndicator(self, base_time):
# set dataset 5minutes
target_time = base_time - timedelta(minutes=5)
# set 5m 3sigma bollinger band
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.upper_sigma_5m3_list = dataset["upper_sigmas"][-2:]
self.lower_sigma_5m3_list = dataset["lower_sigmas"][-2:]
self.base_line_5m3_list = dataset["base_lines"][-2:]
# set 5m end price list
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 2" % (
self.instrument, "5m", target_time)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append(res[0])
tmp.reverse()
self.end_price_5m_list = tmp
# set 5m ema value
width = 20
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (
self.instrument, "5m", target_time, width)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append(res[0])
tmp.reverse()
self.ewma20_5mvalue = getEWMA(tmp, len(tmp))[-1]
# set dataset 1hour
target_time = base_time - timedelta(hours=1)
# set 1h 3sigma bollinger band
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=3,
length=0)
self.upper_sigma_1h3 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h3 = dataset["lower_sigmas"][-1]
self.base_line_1h3 = dataset["base_lines"][-1]
def setReverseIndicator(self, base_time):
target_time = base_time - timedelta(minutes=1)
### get 1m dataset
# dataset = getBollingerWrapper(target_time, self.instrument, table_type="1m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=0)
# self.upper_sigma_1m2 = dataset["upper_sigmas"][-1]
# self.lower_sigma_1m2 = dataset["lower_sigmas"][-1]
# self.base_line_1m2 = dataset["base_lines"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2.5,
length=0)
self.upper_sigma_1m25 = dataset["upper_sigmas"][-1]
self.lower_sigma_1m25 = dataset["lower_sigmas"][-1]
self.base_line_1m25 = dataset["base_lines"][-1]
# sql = "select start_price, end_price, max_price, min_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 1" % (self.instrument, "1m", target_time)
# response = self.mysql_connector.select_sql(sql)
# self.start_price_1m = response[0][0]
# self.end_price_1m = response[0][1]
# self.max_price_1m = response[0][2]
# self.min_price_1m = response[0][3]
# dataset = getBollingerWrapper(target_time, self.instrument, table_type="1m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=9)
# base_line_1m2_list = dataset["base_lines"][-10:]
# self.slope_1m = getSlope(base_line_1m2_list)
target_time = base_time
width = 60 * 40
sql = "select ask_price, bid_price from %s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (
self.instrument, target_time, width)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append((res[0] + res[1]) / 2)
tmp.reverse()
ewma40_rawdata = tmp[-1 * 60 * 40:]
self.ewma40_1mvalue = getEWMA(ewma40_rawdata, len(ewma40_rawdata))[-1]
### get 5m dataset
target_time = base_time - timedelta(minutes=5)
# width = 20
# sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (self.instrument, "5m", target_time, width)
# response = self.mysql_connector.select_sql(sql)
# tmp = []
# for res in response:
# tmp.append(res[0])
# tmp.reverse()
# self.ewma20_5mvalue = getEWMA(tmp, len(tmp))[-1]
#
# dataset = getBollingerWrapper(target_time, self.instrument, table_type="5m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=0)
# self.base_line_5m2 = dataset["base_lines"][-1]
# self.upper_sigma_5m2 = dataset["upper_sigmas"][-1]
# self.lower_sigma_5m2 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=20,
connector=self.mysql_connector,
sigma_valiable=2,
length=5)
self.sma5m20 = dataset["base_lines"][-1]
self.sma5m20_before = dataset["base_lines"][-5]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=40,
connector=self.mysql_connector,
sigma_valiable=2,
length=5)
self.sma5m40 = dataset["base_lines"][-1]
self.sma5m40_before = dataset["base_lines"][-5]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=80,
connector=self.mysql_connector,
sigma_valiable=2,
length=5)
self.sma5m80 = dataset["base_lines"][-1]
self.sma5m80_before = dataset["base_lines"][-5]
self.sma5m20_slope = getSlope([self.sma5m20_before, self.sma5m20])
self.sma5m40_slope = getSlope([self.sma5m40_before, self.sma5m40])
self.sma5m80_slope = getSlope([self.sma5m80_before, self.sma5m80])
target_time = base_time - timedelta(hours=1)
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=80,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.sma1h80 = dataset["base_lines"][-1]
def setReverseIndicator(self, base_time):
target_time = base_time - timedelta(minutes=1)
### get 1m dataset
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=0)
self.upper_sigma_1m2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1m2 = dataset["lower_sigmas"][-1]
self.base_line_1m2 = dataset["base_lines"][-1]
sql = "select start_price, end_price, max_price, min_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 2" % (self.instrument, "1m", target_time)
response = self.mysql_connector.select_sql(sql)
self.start_price_1m = response[0][0]
self.end_price_1m = response[0][1]
self.max_price_1m = response[0][2]
self.min_price_1m = response[0][3]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=9)
base_line_1m2_list = dataset["base_lines"][-10:]
self.slope_1m = getSlope(base_line_1m2_list)
target_time = base_time
width = 60*30
sql = "select ask_price, bid_price from %s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (self.instrument, target_time, width)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append((res[0]+res[1])/2)
tmp.reverse()
ewma30_rawdata = tmp[-1*width:]
self.ewma30_1mvalue = getEWMA(ewma30_rawdata, len(ewma30_rawdata))[-1]
width = 60*50
sql = "select ask_price, bid_price from %s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (self.instrument, target_time, width)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append((res[0]+res[1])/2)
tmp.reverse()
ewma50_rawdata = tmp[-1*width:]
self.ewma50_1mvalue = getEWMA(ewma50_rawdata, len(ewma50_rawdata))[-1]
### get 5m dataset
target_time = base_time - timedelta(minutes=5)
sql = "select start_price, end_price, max_price, min_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 2" % (self.instrument, "5m", target_time)
response = self.mysql_connector.select_sql(sql)
self.start_price_5m_list = [response[1][0], response[0][0]]
self.end_price_5m_list = [response[1][1], response[0][1]]
self.max_price_5m_list = [response[1][2], response[0][2]]
self.min_price_5m_list = [response[1][3], response[0][3]]
width = 20
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (self.instrument, "5m", target_time, width)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append(res[0])
tmp.reverse()
self.ewma20_5mvalue = getEWMA(tmp, len(tmp))[-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="5m", window_size=28, connector=self.mysql_connector, sigma_valiable=2, length=0)
self.base_line_5m2 = dataset["base_lines"][-1]
self.upper_sigma_5m2 = dataset["upper_sigmas"][-1]
self.lower_sigma_5m2 = dataset["lower_sigmas"][-1]
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())