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())