def get_past_datas(code, today, t, code_dict):
yesterday = holidays.get_yesterday(today)
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) != 1:
print('Cannot get yesterday data', code, yesterday)
return
code_dict[code]['yesterday_data'] = data[0]
min_data = morning_client.get_minute_data(code, today, today)
hour = int(t / 10000)
minute = int((t % 10000) / 100)
vi_datetime = datetime.combine(today, time(hour, minute))
before_vi_datetime = vi_datetime - timedelta(seconds=60)
after_vi_datetime = vi_datetime + timedelta(seconds=120)
before_datas = []
after_datas = []
for mdata in min_data:
if mdata[
'time'] <= before_vi_datetime.hour * 100 + before_vi_datetime.minute:
before_datas.append(mdata)
elif mdata[
'time'] >= after_vi_datetime.hour * 100 + after_vi_datetime.minute:
after_datas.append(mdata)
code_dict[code]['today_min_data'] = before_datas
code_dict[code]['today_min_after_vi'] = after_datas[:-1]
for mdata in code_dict[code]['today_min_data']:
if mdata['highest_price'] > code_dict[code]['vi_highest']:
code_dict[code]['vi_highest'] = mdata['highest_price']
"""
def GetDayData(self, request, context):
_LOGGER.info('GetDayData %s, %s, %s', request.code,
request.from_datetime.ToDatetime() + timedelta(hours=9),
request.until_datetime.ToDatetime() + timedelta(hours=9))
day_datas = morning_client.get_past_day_data(
request.code,
request.from_datetime.ToDatetime() + timedelta(hours=9),
request.until_datetime.ToDatetime() + timedelta(hours=9))
protoc_converted = []
for d in day_datas:
protoc_converted.append(
stock_provider_pb2.CybosDayData(
date=d['0'],
time=d['time'],
start_price=int(d['start_price']),
highest_price=int(d['highest_price']),
lowest_price=int(d['lowest_price']),
close_price=int(d['close_price']),
volume=d['volume'],
amount=d['amount'],
cum_sell_volume=d['cum_sell_volume'],
cum_buy_volume=d['cum_buy_volume'],
foreigner_hold_volume=d['foreigner_hold_volume'],
foreigner_hold_rate=d['foreigner_hold_rate'],
institution_buy_volume=d['institution_buy_volume'],
institution_cum_buy_volume=d['institution_cum_buy_volume'])
)
return stock_provider_pb2.CybosDayDatas(day_data=protoc_converted)
def today_bull_record():
while True:
now = datetime.now()
start_time = now.replace(hour=18, minute=5)
if now > start_time:
result = morning_client.get_past_day_data(
'A005930', date(now.year, now.month, now.day),
date(now.year, now.month, now.day))
print('today result len', len(result))
if len(result) == 1:
break
gevent.sleep(60)
slack.send_slack_message('VI FOLLOWER COLLECT TODAY BULL START')
now = datetime.now()
now_date = now.year * 10000 + now.month * 100 + now.day
db_collection = MongoClient(db.HOME_MONGO_ADDRESS).trade_alarm
tdata = list(db_collection['yamount'].find({'date': now_date}))
if len(tdata) == 0:
market_code = morning_client.get_all_market_code()
today_list = get_day_data(now, market_code)
today_list = sorted(today_list,
key=lambda x: x['amount'],
reverse=True)
today_list = today_list[:1000]
codes = [c['code'] for c in today_list]
db_collection['yamount'].insert_one({'date': now_date, 'codes': codes})
record_uni_data()
slack.send_slack_message('VI FOLLOWER COLLECT TODAY BULL DONE')
def get_day_data(query_date, market_code):
for progress, code in enumerate(market_code):
print('collect data', f'{progress+1}/{len(market_code)}', end='\r')
data = morning_client.get_past_day_data(code, query_date, query_date)
if len(data) == 1:
data = data[0]
data['code'] = code
if data['amount'] >= 1000000000:
yesterday_data[code] = data
print('')
def get_yesterday_day_data(query_date, market_code):
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect data', f'{progress+1}/{len(market_code)}', end='\r')
data = morning_client.get_past_day_data(code, query_date, query_date)
if len(data) == 1:
data = data[0]
data['code'] = code
yesterday_list.append(data)
print('')
return yesterday_list
def is_price_in_range(query_date, code):
data = morning_client.get_past_day_data(code,
query_date - timedelta(days=365),
query_date)
if len(data) > 2:
highest_price = max([d['highest_price'] for d in data])
highest_in_year[code] = highest_price
current_price = data[-1]['close_price']
profit_from_highest = (current_price -
highest_price) / highest_price * 100.0
if -20.0 <= profit_from_highest:
return True
return False
def get_past_datas(code, today, yesterday, t):
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) != 1:
print('Cannot get yesterday data', code, yesterday)
return
code_dict[code]['yesterday_data'] = data[0]
# get minute data time < (t / 100)
min_data = morning_client.get_minute_data(code, today, today, int(t / 100))
code_dict[code]['today_min_data'] = min_data
code_dict[code]['today_tick_data'] = get_tick_data(code, today, t)
for mdata in code_dict[code]['today_min_data']:
if mdata['highest_price'] > code_dict[code]['vi_highest']:
code_dict[code]['vi_highest'] = mdata['highest_price']
def _get_yesterday_day_data(query_date, market_code):
global _yesterday_day_data
fail_count = 0
_LOGGER.info('START collect yesterday day data')
for progress, code in enumerate(market_code):
if _request_stop:
break
#print('collect yesterday day data', f'{progress+1}/{len(market_code)}/{fail_count}', end='\r')
data = morning_client.get_past_day_data(code, query_date, query_date)
if len(data) == 1:
data = data[0]
data['code'] = code
_yesterday_day_data[code] = data
else:
fail_count += 1
_LOGGER.info('DONE collect yesterday day data, fail cnt %d', fail_count)
def get_yesterday_amount_rank(today):
market_code = morning_client.get_market_code()
yesterday = holidays.get_yesterday(today)
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect yesterday data',
f'{progress+1}/{len(market_code)}',
end='\r')
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) == 1:
data = data[0]
data['code'] = code
yesterday_list.append(data)
print('')
yesterday_list = sorted(yesterday_list,
key=lambda x: x['amount'],
reverse=True)
# For testing
yesterday_list = yesterday_list[:100]
return yesterday_list
def tick_data():
code = 'A290720'
from_datetime = datetime(2020, 2, 27, 8, 0, 0)
until_datetime = datetime(2020, 2, 27, 10, 0, 0)
trade_start_time = datetime(2020, 2, 27, 9, 0, 3)
yesterday = holidays.get_yesterday(from_datetime.date())
yesterday_data = morning_client.get_past_day_data(code, yesterday,
yesterday)[0]
yesterday_data['code'] = code
print('call fixture')
db_collection = MongoClient(db.HOME_MONGO_ADDRESS).trade_alarm
all_tick = []
tick = get_tick_data(code, from_datetime, until_datetime, db_collection,
False)
all_tick.extend(tick)
ba_tick = get_tick_data(code + '_BA', trade_start_time, until_datetime,
db_collection, True)
all_tick.extend(ba_tick)
all_tick = sorted(all_tick, key=lambda x: x['date'])
return code, all_tick, yesterday_data
def get_yesterday_data(today, market_code):
yesterday = holidays.get_yesterday(today)
one_week_before = holidays.get_date_by_previous_working_day_count(today, 5)
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect yesterday data',
f'{progress+1}/{len(market_code)}',
end='\r')
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) == 1:
data = data[0]
data['code'] = code
min_data = morning_client.get_minute_data(code, one_week_before,
yesterday)
if len(min_data) > 0:
data['minute_max_volume'] = max(
[d['volume'] for d in min_data])
else:
data['minute_max_volume'] = 0
yesterday_list.append(data)
print('')
return yesterday_list
def start_vi_follower():
global db_collection
market_code = morning_client.get_market_code()
today = datetime.now().date()
#if holidays.is_holidays(today):
# print('today is holiday')
# sys.exit(1)
yesterday = holidays.get_yesterday(today)
db_collection = MongoClient(db.HOME_MONGO_ADDRESS).trade_alarm
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect yesterday data', f'{progress+1}/{len(market_code)}', end='\r')
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) == 1:
data = data[0]
data['code'] = code
yesterday_data[code] = data
yesterday_list.append(data)
print('')
yesterday_list = sorted(yesterday_list, key=lambda x: x['amount'], reverse=True)
yesterday_list = yesterday_list[:100]
for ydata in yesterday_list:
code = ydata['code']
sf = stock_follower.StockFollower(morning_client.get_reader(), db_collection, code, yesterday_data[code])
sf.subscribe_at_startup()
subscribe_code[code] = sf
print('Start Listening...')
stock_api.subscribe_alarm(morning_client.get_reader(), vi_handler)
watch_thread = gevent.spawn(start_watch)
gevent.joinall([watch_thread])
db_collection = MongoClient(db.HOME_MONGO_ADDRESS).trade_alarm
tick_data = get_tick_data(target_code, search_time.date(), db_collection)
if len(tick_data) == 0:
print('No Tick Data for', target_code, search_time.date())
sys.exit(1)
print('Tick Data len', len(tick_data), tick_data[0])
market_code = morning_client.get_market_code()
yesterday = holidays.get_yesterday(search_time.date())
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect yesterday data',
f'{progress+1}/{len(market_code)}',
end='\r')
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) == 1:
data = data[0]
data['code'] = code
yesterday_list.append(data)
print('')
yesterday_list = sorted(yesterday_list,
key=lambda x: x['amount'],
reverse=True)
yesterday_list = yesterday_list[:300]
if len(tick_data) > 0:
start_search(target_code, search_time, yesterday_list, price, qty,
db_collection)
else:
print('Cannot find tick data')
def start_validation(codes=[]):
global db_collection
if len(codes) > 0:
market_code = codes
else:
market_code = morning_client.get_market_code()
today = datetime.now().date()
yesterday = holidays.get_yesterday(today)
db_collection = MongoClient(db.HOME_MONGO_ADDRESS).trade_alarm
yesterday_list = []
for progress, code in enumerate(market_code):
print('collect yesterday data',
f'{progress+1}/{len(market_code)}',
end='\r')
data = morning_client.get_past_day_data(code, yesterday, yesterday)
if len(data) == 1:
data = data[0]
data['code'] = code
#yesterday_data[code] = data
yesterday_list.append(data)
print('')
yesterday_list = sorted(yesterday_list,
key=lambda x: x['amount'],
reverse=True)
yesterday_list = yesterday_list[:1000]
failed_tick_codes = []
failed_ba_tick_codes = []
# 1. validate yesterday_list :100's today tick data
for ydata in yesterday_list:
if not validate_tick_data(ydata['code'], today):
failed_tick_codes.append(ydata['code'])
if not validate_ba_tick_data(ydata['code'], today):
failed_ba_tick_codes.append(ydata['code'])
if len(failed_tick_codes) > 0:
print('FAILED TICK', failed_tick_codes)
else:
print('TICK ALL SUCCESS')
if len(failed_ba_tick_codes) > 0:
print('FAILED BA TICK', failed_ba_tick_codes)
else:
print('TICK BA ALL SUCCESS')
# 2. validate today alarm tick data
alarm_list = get_alarm_list(today)
alarm_failed_codes = []
if len(alarm_list) > 0:
for ac in alarm_list:
if len(codes) > 0 and ac['3'] not in codes:
continue
if not validate_alarm_data(ac['3'], today, ac['date']):
alarm_failed_codes.append(ac['3'])
if len(alarm_failed_codes) > 0:
print('FAILED ALARM CODES', alarm_failed_codes,
len(alarm_failed_codes), '/', len(alarm_list))
else:
print('ALARM ALL SUCCESS', len(alarm_list))
else:
print('NO ALARM TODAY')
