def getAllSymbols(dayNum: int = 365 * 2 + 50, exchange: str = 'HOSE HNX'):
import StockAPI, Symbol
tickets = StockAPI.getAllTickets(exchange)
print("Getting price history of %d Stocks ..." % len(tickets),
end="",
flush=True)
syms = {}
cnt = 10
for tic in tickets:
if len(tic) != 3:
continue
symbol = Symbol.SymbolHistory(tic, dayNum=dayNum)
if symbol.len < 50 or symbol.sma(src='volumn',
window=50).iloc[-1] < 200000:
continue
syms[tic] = symbol
cnt -= 1
if cnt == 0:
print(".", end="", flush=True)
cnt = 10
print(" Done")
return syms
def intradayRecheck():
import re, os, pickle
from datetime import datetime
import StockAPI, Symbol
folderName = 'data/intras'
folderName2 = 'data/intras_new'
folderName3 = 'data/intras_fixed'
fnre = re.compile(r'^(...)_(........)\.pkl$')
fileList = os.listdir(folderName)
symbols = {}
dates = StockAPI.getTradingDate(365 * 2)
dateIdx = {}
for i, v in enumerate(dates):
dateIdx[v] = i
srv = StockAPI.IntraServer('vdsc', folderName2)
errCnt = 0
fixCnt = 0
chkCnt = 20
print('Checking %d ... ' % len(fileList))
for fname in fileList:
chkCnt -= 1
if chkCnt == 0:
# print('. ', end='', flush=True)
chkCnt = 20
x = fnre.match(fname)
if not x:
continue
ticket, dateStr = x.groups()
date = int(datetime.strptime(dateStr + ' 07', '%Y%m%d %H').timestamp())
intra = pickle.load(open(folderName + '/' + fname, 'rb'))
intra2 = srv.intraday(ticket, date)
if ticket not in symbols:
symbols[ticket] = Symbol.SymbolHistory(
ticket, StockAPI.getPriceHistory(ticket, 365 * 2))
daily = symbols[ticket].atDate(date)
if daily is None:
# print("??? %s %s" % (ticket, dateStr))
os.remove(folderName + '/' + fname)
continue
def totalVol(df):
dfm = StockAPI.intraMatchedOnly(df)
return dfm['mv'].sum()
vol0 = daily.volumn
vol1 = -1 if intra is None else totalVol(intra)
volMt1 = -1 if intra is None else intra.iloc[-1]['mt']
vol2 = -1 if intra2 is None else totalVol(intra2)
volMt2 = -1 if intra2 is None else intra2.iloc[-1]['mt']
def volOk(v1, v0):
if 0.98 < (v1 / v0) < 1.02:
return True
return False
if vol0 == 0:
if vol2 == 0:
pickle.dump(intra2, open(folderName3 + '/' + fname, 'wb'))
elif vol1 == 0:
pickle.dump(intra, open(folderName3 + '/' + fname, 'wb'))
else:
print("Error: [%s] %s: vol1 %d (%d) vol2 %d (%d) vol0 %d" %
(ticket, dateStr, vol1, volMt1, vol2, volMt2, vol0))
elif volOk(vol2, vol0):
pickle.dump(intra2, open(folderName3 + '/' + fname, 'wb'))
elif volOk(vol1, vol0):
pickle.dump(intra, open(folderName3 + '/' + fname, 'wb'))
elif volOk(volMt2, vol0):
intra2['mv'] = intra2['mt'].diff()
pickle.dump(intra2, open(folderName3 + '/' + fname, 'wb'))
elif volOk(volMt1, vol0):
intra['mv'] = intra['mt'].diff()
pickle.dump(intra, open(folderName3 + '/' + fname, 'wb'))
elif vol1 != 0 and vol1 == volMt1 and (vol0 / vol1) == 10:
# VCSC sometime got this wrong in 10 folds...
intra['mv'] = intra['mv'] * 10
intra['mt'] = intra['mt'] * 10
pickle.dump(intra, open(folderName3 + '/' + fname, 'wb'))
else:
print("Error: [%s] %s: vol1 %d (%d) vol2 %d (%d) vol0 %d" %
(ticket, dateStr, vol1, volMt1, vol2, volMt2, vol0))
pickle.dump(None, open(folderName3 + '/' + fname, 'wb'))
