def setReverse5mIndicator(self, base_time):
try:
### get 5m dataset
target_time = base_time - timedelta(minutes=5)
dataset = getBollingerWrapper(target_time, self.instrument, table_type="5m", window_size=21, connector=self.mysql_connector, sigma_valiable=2.5, length=0)
self.upper_sigma_5m25 = dataset["upper_sigmas"][-1]
self.lower_sigma_5m25 = 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])
except Exception as e:
message = traceback.format_exc()
self.debug_logger.info("# %s" % base_time)
self.debug_logger.info("# %s" % message)
def setReverseDailyIndicator(self, base_time):
### get daily dataset
target_time = base_time - timedelta(days=1)
sql = "select max_price, min_price, start_price, end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 1" % (self.instrument, "day", target_time)
response = self.mysql_connector.select_sql(sql)
self.max_price_1d = response[0][0]
self.min_price_1d = response[0][1]
self.start_price_1d = response[0][2]
self.end_price_1d = response[0][3]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="day", window_size=21, connector=self.mysql_connector, sigma_valiable=3, length=0)
self.upper_sigma_1d3 = dataset["upper_sigmas"][-1]
self.lower_sigma_1d3 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="day", window_size=21, connector=self.mysql_connector, sigma_valiable=1, length=0)
self.upper_sigma_1d1 = dataset["upper_sigmas"][-1]
self.lower_sigma_1d1 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="day", window_size=20, connector=self.mysql_connector, sigma_valiable=2, length=0)
self.sma1d20 = dataset["base_lines"][-1]
sql = "select max_price, min_price from %s_%s_TABLE where insert_time < '%s' order by insert_time desc limit 1" % (self.instrument, "day", target_time)
response = self.mysql_connector.select_sql(sql)
self.max_price = response[0][0]
self.min_price = response[0][1]
self.rsi_value = getRsiWrapper(target_time, self.instrument, "day", self.mysql_connector, 14)
def setExpantionIndicator(self, base_time):
upper_list, lower_list, base_list = getBollingerWrapper(
base_time,
self.instrument,
ind_type="bollinger5m3",
span=1,
connector=self.mysql_connector)
self.upper_sigma_5m3 = upper_list[0]
self.lower_sigma_5m3 = lower_list[0]
self.base_line_5m3 = base_list[0]
upper_list, lower_list, base_list = getBollingerWrapper(
base_time,
self.instrument,
ind_type="bollinger1h3",
span=1,
connector=self.mysql_connector)
self.upper_sigma_1h3 = upper_list[0]
self.lower_sigma_1h3 = lower_list[0]
self.base_line_1h3 = base_list[0]
upper_list, lower_list, base_list = getBollingerWrapper(
base_time,
self.instrument,
ind_type="bollinger1h3",
span=5,
connector=self.mysql_connector)
self.slope = getSlope(base_list)
def setReverse1hIndicator(self, base_time):
### get 1h dataset
target_time = base_time - timedelta(hours=1)
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]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=100,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.sma1h100 = dataset["base_lines"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=20,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h20 = dataset["base_lines"][-1]
self.sma1h20_before = dataset["base_lines"][-2]
self.sma1h20_slope = getSlope([self.sma1h20_before, self.sma1h20])
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=40,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h40 = dataset["base_lines"][-1]
self.sma1h40_before = dataset["base_lines"][-2]
self.sma1h40_slope = getSlope([self.sma1h40_before, self.sma1h40])
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=80,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h80 = dataset["base_lines"][-1]
self.sma1h80_before = dataset["base_lines"][-2]
self.sma1h80_slope = getSlope([self.sma1h80_before, self.sma1h80])
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(hours=1)
# dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=28, connector=self.mysql_connector, sigma_valiable=3, length=4)
dataset_length = 4
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2.5,
length=dataset_length)
self.upper_sigma_1h3_list = dataset["upper_sigmas"][(dataset_length *
-1):]
self.lower_sigma_1h3_list = dataset["lower_sigmas"][(dataset_length *
-1):]
self.base_line_1h3_list = dataset["base_lines"][(dataset_length) * -1:]
self.upper_sigma_1h25 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h25 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.upper_sigma_1h2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h2 = dataset["lower_sigmas"][-1]
self.base_line_1h2 = 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 %s" % (
self.instrument, "1h", target_time, dataset_length)
response = self.mysql_connector.select_sql(sql)
self.start_price_list = []
self.end_price_list = []
self.max_price_list = []
self.min_price_list = []
for res in response:
self.start_price_list.append(res[0])
self.end_price_list.append(res[1])
self.max_price_list.append(res[2])
self.min_price_list.append(res[3])
self.start_price_list.reverse()
self.end_price_list.reverse()
self.max_price_list.reverse()
self.min_price_list.reverse()
def setDailyIndicator(self, base_time):
hour = base_time.hour
minute = base_time.minute
second = base_time.second
if hour == 7 and minute == 0 and second <= 10:
self.daily_slope = self.getDailySlope(
self.instrument,
base_time,
span=10,
connector=self.mysql_connector)
base_ftime = base_time.strftime("%Y-%m-%d 07:00:00")
self.high_price, self.low_price = getHighlowPriceWrapper(
instrument=self.instrument,
base_time=base_ftime,
span=1,
table_type="day",
connector=self.mysql_connector)
dataset = getBollingerWrapper(base_time,
self.instrument,
table_type="day",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.upper_sigma_1d2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1d2 = dataset["lower_sigmas"][-1]
self.base_line_1d2 = dataset["base_lines"][-1]
if hour == 7 and minute == 10 and second <= 10:
self.setDailyStartPrice(base_time)
def setReverse5mIndicator(self, base_time):
### get 5m dataset
target_time = base_time - timedelta(minutes=5)
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2.5,
length=0)
self.upper_sigma_5m25 = dataset["upper_sigmas"][-1]
self.lower_sigma_5m25 = 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"][-2]
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"][-2]
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"][-2]
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])
def setReverse1hIndicator(self, base_time):
### get 1h dataset
target_time = base_time - timedelta(hours=1)
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=21, connector=self.mysql_connector, sigma_valiable=1, length=0)
self.upper_sigma_1h1 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h1 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=21, connector=self.mysql_connector, sigma_valiable=2, length=0)
self.upper_sigma_1h2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h2 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=21, connector=self.mysql_connector, sigma_valiable=2.5, length=0)
self.upper_sigma_1h25 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h25 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=21, 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]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=100, connector=self.mysql_connector, sigma_valiable=2, length=0)
self.sma1h100 = dataset["base_lines"][-1]
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=20, connector=self.mysql_connector, sigma_valiable=2, length=5)
self.sma1h20 = dataset["base_lines"][-1]
self.sma1h20_before = dataset["base_lines"][-5]
# self.sma1h20_slope = getSlope([self.sma1h20_before, self.sma1h20])
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=40, connector=self.mysql_connector, sigma_valiable=2, length=5)
self.sma1h40 = dataset["base_lines"][-1]
self.sma1h40_before = dataset["base_lines"][-5]
# self.sma1h40_slope = getSlope([self.sma1h40_before, self.sma1h40])
dataset = getBollingerWrapper(target_time, self.instrument, table_type="1h", window_size=80, connector=self.mysql_connector, sigma_valiable=2, length=5)
self.sma1h80 = dataset["base_lines"][-1]
self.sma1h80_before = dataset["base_lines"][-5]
# self.sma1h80_slope = getSlope([self.sma1h80_before, self.sma1h80])
start_time = self.getStartTime(base_time)
sql = "select max_price, min_price from %s_%s_TABLE where insert_time > \'%s\' and insert_time < \'%s\'" % (self.instrument, "1h", start_time, base_time)
response = self.mysql_connector.select_sql(sql)
tmp_max = []
tmp_min = []
for res in response:
tmp_max.append(res[0])
tmp_min.append(res[1])
self.thisday_max = max(tmp_max)
self.thisday_min = min(tmp_min)
def setExpantionIndicator(self, base_time):
dataset = getBollingerWrapper(base_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=3,
length=0)
self.upper_sigma_5m3 = dataset["upper_sigmas"][-1]
self.lower_sigma_5m3 = dataset["lower_sigmas"][-1]
self.base_line_5m3 = dataset["base_lines"][-1]
dataset = getBollingerWrapper(base_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 getDailyIndicator(base_time, con, span):
### get daily dataset
instrument = "GBP_JPY"
target_time = base_time - timedelta(days=1)
sql = "select max_price, min_price, start_price, end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (
instrument, "day", target_time, span)
response = con.select_sql(sql)
max_price_list = []
min_price_list = []
start_price_list = []
end_price_list = []
for res in response:
max_price_list.append(res[0])
min_price_list.append(res[1])
start_price_list.append(res[2])
end_price_list.append(res[3])
max_price_list.reverse()
min_price_list.reverse()
start_price_list.reverse()
end_price_list.reverse()
sma1d20_list = []
time_list = []
for i in range(0, span):
tmp_time = target_time - timedelta(days=i)
dataset = getBollingerWrapper(tmp_time,
instrument,
table_type="day",
window_size=20,
connector=con,
sigma_valiable=2,
length=0)
sma1d20_list.append(dataset["base_lines"][-1])
time_list.append(tmp_time)
sma1d20_list.reverse()
time_list.reverse()
df = pd.DataFrame([])
df["end"] = end_price_list
df["time"] = time_list
df["max"] = max_price_list
df["min"] = min_price_list
df["start"] = start_price_list
df["sma1d20"] = sma1d20_list
return df
def setReverseIndicator(self, base_time):
### get 5m dataset
target_time = base_time - timedelta(minutes=5)
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2.5,
length=0)
self.upper_sigma_5m25 = dataset["upper_sigmas"][-1]
self.lower_sigma_5m25 = 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"][-2]
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"][-2]
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"][-2]
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])
### get 1h dataset
target_time = base_time - timedelta(hours=1)
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=100,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.sma1h100 = dataset["base_lines"][-1]
self.upper_sigma_1h2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h2 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=20,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h20 = dataset["base_lines"][-1]
self.sma1h20_before = dataset["base_lines"][-2]
self.sma1h20_slope = getSlope([self.sma1h20_before, self.sma1h20])
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=40,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h40 = dataset["base_lines"][-1]
self.sma1h40_before = dataset["base_lines"][-2]
self.sma1h40_slope = getSlope([self.sma1h40_before, self.sma1h40])
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=80,
connector=self.mysql_connector,
sigma_valiable=2,
length=1)
self.sma1h80 = dataset["base_lines"][-1]
self.sma1h80_before = dataset["base_lines"][-2]
self.sma1h80_slope = getSlope([self.sma1h80_before, self.sma1h80])
### get daily dataset
target_time = base_time - timedelta(days=1)
sql = "select max_price, min_price, start_price, end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 1" % (
self.instrument, "day", target_time)
response = self.mysql_connector.select_sql(sql)
self.max_price_1d = response[0][0]
self.min_price_1d = response[0][1]
self.start_price_1d = response[0][2]
self.end_price_1d = response[0][3]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="day",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.upper_sigma_1d2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1d2 = dataset["lower_sigmas"][-1]
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="day",
window_size=20,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.sma20_1d = dataset["base_lines"][-1]
def setExpantionIndicator(self, base_time):
# set dataset 5minutes
target_time = base_time - timedelta(minutes=5)
# set 5m 2sigma bollinger band
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=5)
self.upper_sigma_5m2_list = dataset["upper_sigmas"][-5:]
self.lower_sigma_5m2_list = dataset["lower_sigmas"][-5:]
self.base_line_5m2_list = dataset["base_lines"][-5:]
# set 5m 3sigma bollinger band
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="5m",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=3,
length=5)
self.upper_sigma_5m3_list = dataset["upper_sigmas"][-5:]
self.lower_sigma_5m3_list = dataset["lower_sigmas"][-5:]
self.base_line_5m3_list = dataset["base_lines"][-5:]
# set 5m end price list
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 6" % (
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 dataset 1hour
target_time = base_time - timedelta(hours=1)
# set 1h end price list
sql = "select end_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 80" % (
self.instrument, "1h", target_time)
response = self.mysql_connector.select_sql(sql)
tmp = []
for res in response:
tmp.append(res[0])
tmp.reverse()
self.end_price_1h_list = tmp
self.sma20_1h = sum(self.end_price_1h_list[-20:]) / len(
self.end_price_1h_list[-20:])
self.sma40_1h = sum(self.end_price_1h_list[-40:]) / len(
self.end_price_1h_list[-40:])
self.sma80_1h = sum(self.end_price_1h_list[-80:]) / len(
self.end_price_1h_list[-80:])
# set 1h 2sigma bollinger band
dataset = getBollingerWrapper(target_time,
self.instrument,
table_type="1h",
window_size=28,
connector=self.mysql_connector,
sigma_valiable=2,
length=0)
self.upper_sigma_1h2 = dataset["upper_sigmas"][-1]
self.lower_sigma_1h2 = dataset["lower_sigmas"][-1]
self.base_line_1h2 = dataset["base_lines"][-1]
sql = "select max_price, min_price from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit 1" % (
self.instrument, "1h", target_time)
response = self.mysql_connector.select_sql(sql)
self.max_price_1h = response[0][0]
self.min_price_1h = response[0][1]
def getDataset(base_time, con, window_size, learning_span, output_train_index,
table_layout):
### get daily dataset
length = learning_span + output_train_index
instrument = "GBP_JPY"
if table_layout == "day":
target_time = base_time - timedelta(days=1)
elif table_layout == "1h":
target_time = base_time - timedelta(hours=1)
elif table_layout == "5m":
target_time = base_time - timedelta(minuites=5)
elif table_layout == "1m":
target_time = base_time - timedelta(minuites=1)
sql = "select max_price, min_price, start_price, end_price, insert_time from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (
instrument, table_layout, target_time, length)
response = con.select_sql(sql)
#print(sql)
max_price_list = []
min_price_list = []
start_price_list = []
end_price_list = []
time_list = []
for res in response:
max_price_list.append(res[0])
min_price_list.append(res[1])
start_price_list.append(res[2])
end_price_list.append(res[3])
time_list.append(res[4])
max_price_list.reverse()
min_price_list.reverse()
start_price_list.reverse()
end_price_list.reverse()
time_list.reverse()
sma1d20_list = []
i = 0
while len(end_price_list) != len(sma1d20_list):
if table_layout == "day":
tmp_time = target_time - timedelta(days=i)
elif table_layout == "1h":
tmp_time = target_time - timedelta(hours=i)
elif table_layout == "5m":
tmp_time = target_time - timedelta(minuites=(i * 5))
elif table_layout == "1m":
tmp_time = target_time - timedelta(minuites=i)
dataset = getBollingerWrapper(tmp_time,
instrument,
table_type=table_layout,
window_size=20,
connector=con,
sigma_valiable=2,
length=0)
try:
sma1d20_list.append(dataset["base_lines"][-1])
except Exception as e:
pass
i = i + 1
sma1d20_list.reverse()
original_dataset = {
"end": end_price_list,
"start": start_price_list,
"max": max_price_list,
"min": min_price_list,
"sma1d20": sma1d20_list,
"time": time_list
}
value_dataset = {
"end": end_price_list,
"start": start_price_list,
"max": max_price_list,
"min": min_price_list,
"sma1d20": sma1d20_list
}
return original_dataset, value_dataset
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 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 getDataset(base_time, con, window_size, learning_span, output_train_index,
table_layout):
### get daily dataset
length = learning_span + output_train_index
instrument = "GBP_JPY"
if table_layout == "day":
target_time = base_time - timedelta(days=1)
elif table_layout == "1h":
target_time = base_time - timedelta(hours=1)
elif table_layout == "5m":
target_time = base_time - timedelta(minuites=5)
elif table_layout == "1m":
target_time = base_time - timedelta(minuites=1)
sql = "select max_price, min_price, start_price, end_price, insert_time from %s_%s_TABLE where insert_time < \'%s\' order by insert_time desc limit %s" % (
instrument, table_layout, target_time, length)
response = con.select_sql(sql)
max_price_list = []
min_price_list = []
start_price_list = []
end_price_list = []
time_list = []
for res in response:
max_price_list.append(res[0])
min_price_list.append(res[1])
start_price_list.append(res[2])
end_price_list.append(res[3])
time_list.append(res[4])
max_price_list.reverse()
min_price_list.reverse()
start_price_list.reverse()
end_price_list.reverse()
time_list.reverse()
dataset_sma20 = getBollingerWrapper(target_time,
instrument,
table_type=table_layout,
window_size=20,
connector=con,
sigma_valiable=2,
length=(length - 1))
dataset_sma40 = getBollingerWrapper(target_time,
instrument,
table_type=table_layout,
window_size=40,
connector=con,
sigma_valiable=2,
length=(length - 1))
dataset_sma80 = getBollingerWrapper(target_time,
instrument,
table_type=table_layout,
window_size=80,
connector=con,
sigma_valiable=2,
length=(length - 1))
dataset_bollinger25 = getBollingerWrapper(target_time,
instrument,
table_type=table_layout,
window_size=21,
connector=con,
sigma_valiable=2.5,
length=(length - 1))
sma20_list = dataset_sma20["base_lines"][-1 * length:]
sma40_list = dataset_sma40["base_lines"][-1 * length:]
sma80_list = dataset_sma80["base_lines"][-1 * length:]
upper25_list = dataset_bollinger25["upper_sigmas"][-1 * length:]
lower25_list = dataset_bollinger25["lower_sigmas"][-1 * length:]
print(len(max_price_list))
print(len(min_price_list))
print(len(start_price_list))
print(len(end_price_list))
print(len(time_list))
print(len(sma20_list))
print(len(sma40_list))
print(len(sma80_list))
print(len(upper25_list))
print(len(lower25_list))
original_dataset = {
"end": end_price_list,
"start": start_price_list,
"max": max_price_list,
"min": min_price_list,
"sma20": sma20_list,
"sma40": sma40_list,
"sma80": sma80_list,
"upper25": upper25_list,
"lower25": lower25_list,
"time": time_list
}
value_dataset = {
"end": end_price_list,
"start": start_price_list,
"max": max_price_list,
"min": min_price_list,
"sma20": sma20_list,
"sma40": sma40_list,
"sma80": sma80_list,
"upper25": upper25_list,
"lower25": lower25_list
}
return original_dataset, value_dataset
