class MyWindow(QMainWindow, form_class):
def __init__(self):
super().__init__()
self.setupUi(self)
self.kiwoom = Kiwoom()
self.kiwoom.CommConnect()
self.timer = QTimer(self)
self.timer.start(1000)
self.timer.timeout.connect(self.timeout)
# Get Account Number
accouns_num = int(self.kiwoom.GetLoginInfo("ACCOUNT_CNT"))
accounts = self.kiwoom.GetLoginInfo("ACCNO")
accounts_list = accounts.split(';')[0:accouns_num]
self.comboBox.addItems(accounts_list)
self.lineEdit.textChanged.connect(self.code_changed)
self.pushButton.clicked.connect(self.send_order)
def timeout(self):
current_time = QTime.currentTime()
text_time = current_time.toString("hh:mm:ss")
time_msg = "현재시간: " + text_time
state = self.kiwoom.GetConnectState()
if state == 1:
state_msg = "서버 연결 중"
else:
state_msg = "서버 미 연결 중"
self.statusbar.showMessage(state_msg + " | " + time_msg)
def code_changed(self):
code = self.lineEdit.text()
code_name = self.kiwoom.GetMasterCodeName(code)
self.lineEdit_2.setText(code_name)
def send_order(self):
order_type_lookup = {'신규매수': 1, '신규매도': 2, '매수취소': 3, '매도취소': 4}
hoga_lookup = {'지정가': "00", '시장가': "03"}
account = self.comboBox.currentText()
order_type = self.comboBox_2.currentText()
code = self.lineEdit.text()
hoga = self.comboBox_3.currentText()
num = self.spinBox.value()
price = self.spinBox_2.value()
self.kiwoom.SendOrder("SendOrder_req", "0101", account, order_type_lookup[order_type], code, num, price, hoga_lookup[hoga], "")
class MyWindow(QMainWindow, form_class):
def __init__(self):
super().__init__()
self.setupUi(self)
self.kiwoom = Kiwoom()
self.kiwoom.CommConnect()
# Timer
self.timer = QTimer(self)
self.timer.start(1000)
self.timer.timeout.connect(self.timeout)
# Timer2
self.timer2 = QTimer(self)
self.timer2.start(1000 * 10)
self.timer2.timeout.connect(self.timeout2)
# Get Account Number
accouns_num = int(self.kiwoom.GetLoginInfo("ACCOUNT_CNT"))
accounts = self.kiwoom.GetLoginInfo("ACCNO")
accounts_list = accounts.split(';')[0:accouns_num]
self.comboBox.addItems(accounts_list)
self.lineEdit.textChanged.connect(self.code_changed)
self.pushButton.clicked.connect(self.send_order)
self.pushButton_2.clicked.connect(self.check_balance)
def timeout2(self):
if self.checkBox.isChecked() == True:
self.check_balance()
def timeout(self):
current_time = QTime.currentTime()
text_time = current_time.toString("hh:mm:ss")
time_msg = "현재시간: " + text_time
state = self.kiwoom.GetConnectState()
if state == 1:
state_msg = "서버 연결 중"
else:
state_msg = "서버 미 연결 중"
self.statusbar.showMessage(state_msg + " | " + time_msg)
def code_changed(self):
code = self.lineEdit.text()
code_name = self.kiwoom.GetMasterCodeName(code)
self.lineEdit_2.setText(code_name)
def send_order(self):
order_type_lookup = {'신규매수': 1, '신규매도': 2, '매수취소': 3, '매도취소': 4}
hoga_lookup = {'지정가': "00", '시장가': "03"}
account = self.comboBox.currentText()
order_type = self.comboBox_2.currentText()
code = self.lineEdit.text()
hoga = self.comboBox_3.currentText()
num = self.spinBox.value()
price = self.spinBox_2.value()
self.kiwoom.SendOrder("SendOrder_req", "0101", account,
order_type_lookup[order_type], code, num, price,
hoga_lookup[hoga], "")
def check_balance(self):
self.kiwoom.init_opw00018_data()
# Request opw00018
self.kiwoom.SetInputValue("계좌번호", "8080996211")
self.kiwoom.SetInputValue("비밀번호", "0000")
self.kiwoom.CommRqData("opw00018_req", "opw00018", 0, "2000")
while self.kiwoom.prev_next == '2':
time.sleep(0.2)
self.kiwoom.SetInputValue("계좌번호", "8080996211")
self.kiwoom.SetInputValue("비밀번호", "0000")
self.kiwoom.CommRqData("opw00018_req", "opw00018", 2, "2000")
# Request opw00001
self.kiwoom.SetInputValue("계좌번호", "8080996211")
self.kiwoom.SetInputValue("비밀번호", "0000")
self.kiwoom.CommRqData("opw00001_req", "opw00001", 0, "2000")
# balance
item = QTableWidgetItem(self.kiwoom.data_opw00001)
item.setTextAlignment(Qt.AlignVCenter | Qt.AlignRight)
self.tableWidget.setItem(0, 0, item)
for i in range(1, 6):
item = QTableWidgetItem(self.kiwoom.data_opw00018['single'][i - 1])
item.setTextAlignment(Qt.AlignVCenter | Qt.AlignRight)
self.tableWidget.setItem(0, i, item)
self.tableWidget.resizeRowsToContents()
# Item list
item_count = len(self.kiwoom.data_opw00018['multi'])
self.tableWidget_2.setRowCount(item_count)
for j in range(item_count):
row = self.kiwoom.data_opw00018['multi'][j]
for i in range(len(row)):
item = QTableWidgetItem(row[i])
item.setTextAlignment(Qt.AlignVCenter | Qt.AlignRight)
self.tableWidget_2.setItem(j, i, item)
self.tableWidget_2.resizeRowsToContents()
class Algos(QMainWindow, form_class):
def __init__(self):
super().__init__()
self.setupUi(self)
self.trade_stocks_done = False
self.kiwoom = Kiwoom()
########계좌번호####################
self.account = 5624118510
#####################################
########변수####################
# 공통
self.check = None
self.count = 0
self.profit = 0
self.amount = {}
self.bid_price = {}
self.ask_price = {}
# algo_1
self.spread_1 = []
# algo_2
self.spread_2 = []
# algo_3
self.spread_3 = []
# algo_4
self.spread_4 = []
# algo_7
self.short_spread_7 = []
self.long_spread_7 = []
#################################
########종목코드 실시간 등록##############
code_two = '069500;102110'
code_five = '005930;005935'
code_six = '364690;365040'
code_seven = '069500;102780'
code_eight = '069500;364690'
codes = code_eight #code_two + ';' + code_five + ';' +
self.kiwoom.subscribe_stock_conclusion('2000', codes)
############################################
############종목수량, 매수/매도호가 #############
def get_data(self):
bid_price = self.kiwoom.bid_price
ask_price = self.kiwoom.ask_price
self.kiwoom.get_amount()
# if self.check :
# self.kiwoom.get_amount()
# else:
# pass
return self.kiwoom.amount, bid_price, ask_price
def get_price(self):
bid_price = self.kiwoom.bid_price
ask_price = self.kiwoom.ask_price
# earning = self.kiwoom.earning
return bid_price, ask_price
def get_price(self):
import win32com.client
# 연결 여부 체크
objCpCybos = win32com.client.Dispatch("CpUtil.CpCybos")
bConnect = objCpCybos.IsConnect
if (bConnect == 0):
print("PLUS가 정상적으로 연결되지 않음. ")
exit()
# 현재가 객체 구하기
objStockMst = win32com.client.Dispatch("DsCbo1.StockMst")
# 현재가 정보 조회
for code in self.codes_one:
objStockMst.SetInputValue(0, code)
objStockMst.BlockRequest()
# 현재가 통신 및 통신 에러 처리
rqStatus = objStockMst.GetDibStatus()
rqRet = objStockMst.GetDibMsg1()
# print("통신상태", rqStatus, rqRet)
if rqStatus != 0:
exit()
name = objStockMst.GetHeaderValue(1)
bid = objStockMst.GetHeaderValue(16)
ask = objStockMst.GetHeaderValue(17)
print(bid, ask)
self.bid_price[name] = int(bid)
self.ask_price[name] = int(ask)
# return bid_price, ask_price
#################################################
########매수/매도 메소드###########################################################################################
# self.kiwoom.send_order("send_order_req", "0101", account, order_type, code, num, price, hoga, "") 00:지정가, 03 :시장가
def buy_dafualt(self, code, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1, code,
leverage, price, '00', "")
def sell_defualt(self, code, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1, code,
leverage, price, '00', "")
def buy_kodex(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
364690, leverage, price, '00', "")
def sell_kodex(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
364690, leverage, price, '00', "")
def buy_tiger(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
365040, leverage, price, '00', "")
def sell_tiger(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
365040, leverage, price, '00', "")
def buy_kodex200(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
'069500', leverage, price, '00', "")
def sell_kodex200(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
'069500', leverage, price, '00', "")
def buy_tiger200(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
'102110', leverage, price, '00', "")
def sell_tiger200(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
'102110', leverage, price, '00', "")
def buy_kodex_inv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
114800, leverage, price, '03', "")
def sell_kodex_inv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
114800, leverage, price, '03', "")
def buy_tiger_inv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
123310, leverage, price, '03', "")
def sell_tiger_inv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
123310, leverage, price, '03', "")
def buy_kodex_kosdaqinv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
251340, leverage, price, '03', "")
def sell_kodex_kosdaqinv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
251340, leverage, price, '03', "")
def buy_tiger_kosdaqinv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
250780, leverage, price, '03', "")
def sell_tiger_kosdaqinv(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
250780, leverage, price, '03', "")
def buy_samsung(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
'005930', leverage, price, '00', "")
def sell_samsung(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
'005930', leverage, price, '00', "")
def buy_samsung_wu(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
'005935', leverage, price, '00', "")
def sell_samsung_wu(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
'005935', leverage, price, '00', "")
def buy_samsung_group(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 1,
'102780', leverage, price, '00', "")
def sell_samsung_group(self, price, leverage):
self.kiwoom.SendOrder("send_order_req", "0101", self.account, 2,
'102780', leverage, price, '00', "")
###################################################################################################################
### trading algorithms ###
################################################### Algo_0##########################################################
def zero(self, amount, bid_price, ask_price):
### 알고리즘 요약
# 1. 가지고 있는 모든 포지션의 손익이 +인 경우 일괄매도
### initial condition ###
kodex200 = 'KODEX 200'
kodex_inv = 'KODEX 인버스'
### sell if profit is plus ###
if self.kiwoom.cash > 2000:
self.sell_kodex200(0, amount[kodex200])
self.sell_kodex_inv(0, amount[kodex_inv])
time.sleep(5)
self.buy_kodex200(0, amount[kodex200])
self.buy_kodex_inv(0, amount[kodex_inv])
################################################### Algo_1##########################################################
def one(self):
print(
'[algo_one]-----------------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. kodex200과 kodex_inv의 매수호가(매도가격) 스프레드가 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 해당 지정가로 주문, 만약 해당 지정가로 주문 실패시
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 25
time_term = 2
hedge_ratio = 1
###변수 설정###
kodex200 = 'KODEX 200'
kodex_inv = 'KODEX 인버스'
bid_ask_spread = 25
###스프레드 계산###
if len(self.bid_price) != 2:
pass
else:
print('bid_price :', self.bid_price)
bid_kodex200 = self.bid_price[kodex200] # 매수가격
bid_kodex_inv = self.bid_price[kodex_inv]
ask_kodex200 = self.ask_price[kodex200] #매도가격
ask_kodex_inv = self.ask_price[kodex_inv]
self.spread_1.append(bid_kodex200 - bid_kodex_inv * hedge_ratio)
if len(self.spread_1) <= 100:
print(len(self.spread_1), '/100')
###이동평균 계산 후 트레이딩 시작###
if len(self.spread_1) >= 100:
spread_1 = pd.Series(self.spread_1)
threshold = spread_1.rolling(window=100, center=False).mean()
print('spread_inv :', round(spread_1.iloc[-1], 4), 'threshold :',
round((threshold.iloc[-1]), 4), ' ///',
round(spread_1.iloc[-1] - (threshold.iloc[-1]), 4))
# if self.time_count % time_term == 0:
if spread_1.iloc[-1] > (threshold.iloc[-1] + bid_ask_spread):
amount = self.get_amount()
amount_kodex200 = amount[kodex200]
amount_kodex_inv = amount[kodex_inv]
if amount_kodex200 >= 1:
print('short position')
self.sell_kodex200(0, leverage)
self.buy_kodex_inv(0, leverage * hedge_ratio)
elif spread_1.iloc[-1] < (-threshold.iloc[-1] - bid_ask_spread):
amount = self.get_amount()
amount_kodex200 = amount[kodex200]
amount_kodex_inv = amount[kodex_inv]
if amount_kodex_inv >= 1:
print('long position')
self.sell_kodex_inv(0, leverage * hedge_ratio)
self.buy_kodex200(0, leverage)
# self.time_count += 1
# print('time to trade : ', time_term - (self.time_count)%time_term)
# if (threshold.iloc[-1]-5) < spread_1.iloc[-1] < (threshold.iloc[-1]+5) :
if abs(spread_1.iloc[-1]) < (threshold.iloc[-1] + 5):
amount = self.get_amount()
amount_kodex200 = amount[kodex200]
amount_kodex_inv = amount[kodex_inv]
print('close position')
if amount_kodex200 < init_count:
self.sell_kodex_inv(0, (init_count - amount_kodex200) *
hedge_ratio)
self.buy_kodex200(0, init_count - amount_kodex200)
elif amount[kodex200] > init_count:
self.sell_kodex200(0, amount_kodex200 - init_count)
self.buy_kodex_inv(0, (amount_kodex200 - init_count) *
hedge_ratio)
else:
pass
print(
'------------------------------------------------------------------------------'
)
################################################### Algo_2##########################################################
def two(self, amount, bid_price, ask_price):
print(
'[algo_two]-----------------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. kodex200과 tiger200의 매도가격 스프레드가 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영. 25
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 20
kodex_200 = 'KODEX 200'
tiger_200 = 'TIGER 200'
start_spread = 15
finish_spread = -5
if kodex_200 in amount.keys():
amount_kodex_200 = amount[kodex_200]
else:
amount_kodex_200 = 0
if tiger_200 in amount.keys():
amount_tiger_200 = amount[tiger_200]
else:
amount_tiger_200 = 0
### get bid ask###
if kodex_200 in bid_price.keys() and tiger_200 in bid_price.keys():
bid_kodex_200 = bid_price[kodex_200] # 매수가격
bid_tiger_200 = bid_price[tiger_200]
ask_kodex_200 = ask_price[kodex_200] # 매도가격
ask_tiger_200 = ask_price[tiger_200]
self.check = False
if ask_kodex_200 - bid_tiger_200 >= start_spread and amount_tiger_200 <= (
init_count * 2 - leverage):
print('start position')
self.sell_kodex200(ask_kodex_200, leverage)
self.buy_tiger200(bid_tiger_200, leverage)
self.profit += ask_kodex_200 - bid_tiger_200
self.check = True
elif amount_tiger_200 > init_count and ask_tiger_200 - bid_kodex_200 >= finish_spread:
print('close position')
self.sell_tiger200(ask_tiger_200,
(amount_tiger_200 - init_count))
self.buy_kodex200(bid_kodex_200,
(amount_tiger_200 - init_count))
self.profit += ask_tiger_200 - bid_kodex_200
self.check = True
print('profit :', self.profit)
################################################### Algo_3##########################################################
def three(self, amount, bid_price, ask_price):
print(
'[algo_three]----------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. KODEX 인버스과 TIGER 인버스의 매수호가(매도가격) 스프레드가 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 10
kodex_inv = 'KODEX 인버스'
tiger_inv = 'TIGER 인버스'
spread = 400
if kodex_inv in amount.keys():
amount_kodex_inv = amount[kodex_inv]
else:
amount_kodex_inv = 0
if tiger_inv in amount.keys():
amount_tiger_inv = amount[tiger_inv]
else:
amount_tiger_inv = 0
### get bid ask###
if kodex_inv in bid_price.keys() and tiger_inv in bid_price.keys():
bid_kodex_inv = bid_price[kodex_inv] # 매수가격
bid_tiger_inv = bid_price[tiger_inv]
ask_kodex_inv = ask_price[kodex_inv] # 매도가격
ask_tiger_inv = ask_price[tiger_inv]
if ask_kodex_inv > bid_tiger_inv + spread + 10 and amount_tiger_inv <= 19:
print('short position')
self.sell_kodexinv(ask_kodex_inv, leverage)
self.buy_tigerinv(bid_tiger_inv, leverage)
elif ask_tiger_inv > bid_kodex_inv + spread + 10 and amount_tiger_inv <= 19:
print('long position')
self.sell_tigerinv(ask_tiger_inv, leverage)
self.buy_kodexinv(bid_kodex_inv, leverage)
if amount_tiger_inv > init_count and bid_kodex_inv == ask_tiger_inv + spread:
print('close position')
self.sell_tigerinv(ask_tiger_inv,
(amount_tiger_inv - init_count))
self.buy_kodexinv(bid_kodex_inv,
(amount_tiger_inv - init_count))
elif amount_kodex_inv > init_count and ask_kodex_inv + spread == bid_tiger_inv:
print('close position')
self.sell_kodexinv(ask_kodex_inv,
(amount_kodex_inv - init_count))
self.buy_tigerinv(bid_tiger_inv,
(amount_kodex_inv - init_count))
################################################### Algo_4##########################################################
def four(self, amount, bid_price, ask_price):
print(
'[algo_four]--------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. KODEX 코스닥150선물인버스과 TIGER 코스닥150선물인버스의 매수호가(매도가격) 스프레드가
# 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 5
init_count = 75
time_term = 1
hedge_ratio = 1
kodex_kosdaqinv = 'KODEX 코스닥150선물인버스'
tiger_kosdaqinv = 'TIGER 코스닥150선물인버스'
bid_ask_spread = 20
###스프레드 계산###
if '251340' in bid_price.keys() and '250780' in bid_price.keys():
print(bid_price)
self.spread_4.append(bid_price['250780'] -
bid_price['251340'] * hedge_ratio)
if len(self.spread_4) <= 60:
print(len(self.spread_4), '/60')
###이동평균 계산 후 트레이딩 시작###
if len(self.spread_4) >= 60:
spread_4 = pd.Series(self.spread_4)
threshold = spread_4.rolling(window=60, center=False).mean()
print('spread_4 :', round(spread_4.iloc[-1], 4), 'threshold :',
round((threshold.iloc[-1]), 4), '/',
round(spread_4.iloc[-1] - (threshold.iloc[-1]), 4))
if self.time_count % time_term == 0:
if spread_4.iloc[-1] > (threshold.iloc[-1] + bid_ask_spread
) and amount[tiger_kosdaqinv] >= 1:
print('short position')
self.sell_tiger_kosdaqinv(0, leverage)
self.buy_kodex_kosdaqinv(0, leverage * hedge_ratio)
elif spread_4.iloc[-1] < (threshold.iloc[-1] - bid_ask_spread
) and amount[kodex_kosdaqinv] >= 1:
print('long position')
self.sell_kodex_koskosdaqinv(0, leverage * hedge_ratio)
self.buy_tiger_koskosdaqinv(0, leverage)
self.time_count += 1
print('time to trade : ',
time_term - (self.time_count) % time_term)
if abs(spread_4.iloc[-1]) < (threshold.iloc[-1] + 5):
print('close position')
if amount[kodex_kosdaqinv] > init_count:
self.sell_kodex_koskosdaqinv(0, (amount[kodex_kosdaqinv]) -
init_count)
self.buy_tiger_koskosdaqinv(
0,
(amount[kodex_kosdaqinv]) * hedge_ratio - init_count)
elif amount[kodex_kosdaqinv] < init_count:
self.sell_tiger_koskosdaqinv(
0, init_count - amount[kodex_kosdaqinv])
self.buy_kodex_koskosdaqinv(
0,
(init_count - amount[kodex_kosdaqinv]) * hedge_ratio)
else:
pass
print('')
################################################### Algo_5##########################################################
def five(self, amount, bid_price, ask_price):
print(
'[algo_five]--------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. 삼성전자와 삼성전자우의 매수호가(매수가격) 스프레드가
# 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 5
samsung = '삼성전자'
samsung_wu = '삼성전자우'
spread = 10000
if samsung in amount.keys():
amount_samsung = amount[samsung]
else:
amount_samsung = 0
if samsung_wu in amount.keys():
amount_samsung_wu = amount[samsung_wu]
else:
amount_samsung_wu = 0
### get bid ask###
if samsung in bid_price.keys() and samsung_wu in bid_price.keys():
bid_samsung = bid_price[samsung] # 매수가격
bid_samsung_wu = bid_price[samsung_wu]
ask_samsung = ask_price[samsung] # 매도가격
ask_samsung_wu = ask_price[samsung_wu]
if ask_samsung > bid_samsung_wu + spread + 200 and amount_samsung_wu <= 9:
print('short position')
self.sell_samsung(ask_samsung, leverage)
self.buy_samsung_wu(bid_samsung_wu, leverage)
elif ask_samsung_wu > bid_samsung and amount_samsung <= 9:
print('long position')
self.sell_samsung_wu(ask_samsung_wu, leverage)
self.buy_samsung(bid_samsung, leverage)
if amount_samsung > init_count and ask_samsung == bid_samsung_wu + spread + 100:
print('close position')
self.sell_samsung(ask_samsung, (amount_samsung - init_count))
self.buy_samsung_wu(bid_samsung_wu,
(amount_samsung - init_count))
elif amount_samsung_wu > init_count and bid_samsung + spread + 100 == ask_samsung_wu:
print('close position')
self.sell_samsung_wu(ask_samsung_wu,
(amount_samsung_wu - init_count))
self.buy_samsung(bid_samsung, (amount_samsung_wu - init_count))
print('')
################################################### Algo_6##########################################################
def six(self, amount, bid_price, ask_price):
print(
'[algo_six]--------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. kodex_active와 tiger_active 매수호가(매수가격) 스프레드가
# 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 50
short_spread = 125
long_spread = -65
kodex_active = 'KODEX 혁신기술테마액티브'
tiger_active = 'TIGER AI코리아그로스액티브'
if kodex_active in amount.keys():
amount_kodex_active = amount[kodex_active]
else:
amount_kodex_active = 0
if tiger_active in amount.keys():
amount_tiger_active = amount[tiger_active]
else:
amount_tiger_active = 0
### get bid ask###
if 'KODEX 혁신기술테마액티브' in bid_price.keys(
) and 'TIGER AI코리아그로스액티브' in bid_price.keys():
bid_kodex_active = bid_price['KODEX 혁신기술테마액티브'] # 매수가격
bid_tiger_active = bid_price['TIGER AI코리아그로스액티브']
ask_kodex_active = ask_price['KODEX 혁신기술테마액티브'] # 매도가격
ask_tiger_active = ask_price['TIGER AI코리아그로스액티브']
if ask_kodex_active - bid_tiger_active > short_spread and init_count < amount_tiger_active <= init_count * 2 - leverage:
print('start short position')
self.sell_kodex(ask_kodex_active, leverage)
self.buy_tiger(bid_tiger_active, leverage)
self.check = 'short'
if ask_tiger_active - bid_kodex_active > long_spread and amount_tiger_active > init_count and self.check == 'short':
print('close short position')
self.sell_tiger(ask_tiger_active,
(amount_tiger_active - init_count))
self.buy_kodex(bid_kodex_active,
(amount_tiger_active - init_count))
if ask_tiger_active - bid_kodex_active > short_spread and init_count < amount_kodex_active <= init_count * 2 - leverage:
print('start long position')
self.sell_tiger(ask_tiger_active, leverage)
self.buy_kodex(bid_kodex_active, leverage)
self.check = 'long'
if ask_kodex_active - bid_tiger_active > long_spread and amount_kodex_active > init_count and self.check == 'long':
print('close long position')
self.sell_kodex(ask_kodex_active,
(amount_kodex_active - init_count))
self.buy_tiger(bid_tiger_active,
(amount_kodex_active - init_count))
print('')
################################################### Algo_7##########################################################
def seven(self, amount, bid_price, ask_price):
print(
'[algo_seven]--------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. kodex200와 samsung_group 매수호가(매수가격) 스프레드가
# 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 40
# short_spread = 32900
# long_spread = - -32700
kodex200 = 'KODEX 200'
samsung_group = 'KODEX 삼성그룹'
if kodex200 in amount.keys():
amount_kodex200 = amount[kodex200]
else:
amount_kodex200 = 0
if samsung_group in amount.keys():
amount_samsung_group = amount[samsung_group]
else:
amount_samsung_group = 0
### get bid ask###
if kodex200 in bid_price.keys() and samsung_group in bid_price.keys():
bid_kodex200 = bid_price[kodex200] # 매수가격
bid_samsung_group = bid_price[samsung_group]
ask_kodex200 = ask_price[kodex200] # 매도가격
ask_samsung_group = ask_price[samsung_group]
print('short spread :', ask_kodex200 - bid_samsung_group)
print('long spread :', ask_samsung_group - bid_kodex200)
self.short_spread_7.append(ask_samsung_group - bid_kodex200)
self.long_spread_7.append(ask_kodex200 - bid_samsung_group)
if len(self.short_spread_7) < 150:
print(self.count, '/', 150)
self.count += 1
if len(self.short_spread_7) >= 150:
short_spread_7 = pd.Series(self.short_spread_7)
long_spread_7 = pd.Series(self.long_spread_7)
short_spread_7 = short_spread_7.rolling(window=150,
center=False).mean()
long_spread_7 = long_spread_7.rolling(window=150,
center=False).mean()
short_spread = -short_spread_7.iloc[-1] + 50
long_spread = -long_spread_7.iloc[-1] + 50
print('ma spread :', short_spread, long_spread)
if ask_kodex200 - bid_samsung_group > short_spread and init_count <= amount_samsung_group <= init_count * 2 - leverage:
print('start short position')
self.sell_kodex200(ask_kodex200, leverage)
self.buy_samsung_group(bid_samsung_group, leverage)
self.check = 'short'
self.long_spread = short_spread_7
if ask_samsung_group - bid_kodex200 > self.long_spread and amount_samsung_group > init_count and self.check == 'short':
print('close short position')
self.sell_samsung_group(ask_samsung_group,
(amount_samsung_group - init_count))
self.buy_kodex200(bid_kodex200,
(amount_samsung_group - init_count))
if ask_samsung_group - bid_kodex200 > long_spread and init_count <= amount_kodex200 <= init_count * 2 - leverage:
print('start long position')
self.sell_samsung_group(ask_samsung_group, leverage)
self.buy_kodex200(bid_kodex200, leverage)
self.check = 'long'
self.short_spread = long_spread_7
if ask_kodex200 - bid_samsung_group > self.short_spread and amount_kodex200 > init_count and self.check == 'long':
print('close long position')
self.sell_kodex200(ask_kodex200,
(amount_kodex200 - init_count))
self.buy_samsung_group(bid_samsung_group,
(amount_kodex200 - init_count))
print('')
################################################### Algo_8##########################################################
def eight(self, amount, bid_price, ask_price):
print(
'[algo_eight]--------------------------------------------------------------------'
)
### 알고리즘 요약
# 1. kodex200와 kodex_active 매수호가(매수가격) 스프레드가
# 지난 60개의 데이터 이동평균과 달라지는 경우,
# 2. 매수호가,매도호가 스프레드를 고려하여 threshold에 반영.
# 3. 숏 또는 롱 포지션 취한 후,
# 4. 반대 포지션으로 청산
###초기 설정###
leverage = 1
init_count = 40
kodex200 = 'KODEX 200'
kodex_active = 'KODEX 혁신기술테마액티브'
if kodex200 in amount.keys():
amount_kodex200 = amount[kodex200]
else:
amount_kodex200 = 0
if kodex_active in amount.keys():
amount_kodex_active = amount[kodex_active]
else:
amount_kodex_active = 0
### get bid ask###
if kodex200 in bid_price.keys() and kodex_active in bid_price.keys():
bid_kodex200 = bid_price[kodex200] # 매수가격
bid_kodex_active = bid_price[kodex_active]
ask_kodex200 = ask_price[kodex200] # 매도가격
ask_kodex_active = ask_price[kodex_active]
print('short spread :', ask_kodex200 - bid_kodex_active)
print('long spread :', ask_kodex_active - bid_kodex200)
self.short_spread_7.append(ask_kodex_active - bid_kodex200)
self.long_spread_7.append(ask_kodex200 - bid_kodex_active)
if len(self.short_spread_7) < 300:
print(self.count, '/', 300)
self.count += 1
if len(self.short_spread_7) >= 301:
del short_spread_7[0]
del long_spread_7[0]
short_spread_7 = pd.Series(self.short_spread_7)
long_spread_7 = pd.Series(self.long_spread_7)
short_spread_7 = short_spread_7.rolling(window=300,
center=False).mean()
long_spread_7 = long_spread_7.rolling(window=300,
center=False).mean()
short_spread = -short_spread_7.iloc[-1]
long_spread = -long_spread_7.iloc[-1]
print('ma spread :', short_spread, long_spread)
if ask_kodex200 - bid_kodex_active >= short_spread + 100 and init_count <= amount_kodex_active <= init_count * 2 - leverage:
print('start short position')
self.sell_kodex200(ask_kodex200, leverage)
self.buy_kodex_active(bid_kodex_active, leverage)
self.check = 'short'
self.long_spread = ask_kodex200 - bid_kodex_active
if ask_kodex_active - bid_kodex200 >= self.long_spread + 100 and amount_kodex_active > init_count and self.check == 'short':
print('close short position')
self.sell_kodex_active(ask_kodex_active,
(amount_kodex_active - init_count))
self.buy_kodex200(bid_kodex200,
(amount_kodex_active - init_count))
if ask_kodex_active - bid_kodex200 >= long_spread + 100 and init_count <= amount_kodex200 <= init_count * 2 - leverage:
print('start long position')
self.sell_kodex_active(ask_kodex_active, leverage)
self.buy_kodex200(bid_kodex200, leverage)
self.check = 'long'
self.short_spread = ask_kodex_active - bid_kodex200
if ask_kodex200 - bid_kodex_active >= self.short_spread + 100 and amount_kodex200 > init_count and self.check == 'long':
print('close long position')
self.sell_kodex200(ask_kodex200,
(amount_kodex200 - init_count))
self.buy_kodex_active(bid_kodex_active,
(amount_kodex200 - init_count))
print('')