trade/upper-limit-crawler
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- 시간 계산식 수정

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- 보합 처리 추가
This commit is contained in:
mjjo
2016-07-29 02:59:07 +09:00
parent 76e94dd4fc
commit b831b56934
6 changed files with 123 additions and 59 deletions
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2
MainForm.Designer.cs generated
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@@ -169,7 +169,7 @@
this.tbTrailing.Name = "tbTrailing";
this.tbTrailing.Size = new System.Drawing.Size(100, 21);
this.tbTrailing.TabIndex = 10;
this.tbTrailing.Text = "2.0%";
this.tbTrailing.Text = "3.0%";
this.tbTrailing.TextAlign = System.Windows.Forms.HorizontalAlignment.Center;
//
// label5

74
MainForm.cs
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@@ -275,10 +275,12 @@ namespace upper_limit_crawler
private void btMATest_Click(object sender, EventArgs e)
{
string strCode = "A010240";
string strCodeName = "흥국";
string strDate = "20160725";
string strPrevDate = "20160722";
Console.WriteLine("시뮬레이션 시작");
string strCode = "A096040";
string strCodeName = "이트론";
string strPrevDate = "20160725";
string strDate = "20160726";
List<chart_data> DataList = new List<chart_data>();
@@ -331,11 +333,11 @@ namespace upper_limit_crawler
ULWatchItem item = new ULWatchItem();
item.m_strCode = strCode;
item.m_strCodeName = strCodeName;
item.m_iCurPrice = 0;
item.m_iPrevClosing = 0;
ULWatchItem WatchItem = new ULWatchItem();
WatchItem.m_strCode = strCode;
WatchItem.m_strCodeName = strCodeName;
WatchItem.m_iCurPrice = 0;
WatchItem.m_iPrevClosing = 0;
ULBalanceDlg.OWN_ITEM OwnItem = new ULBalanceDlg.OWN_ITEM();
@@ -345,16 +347,16 @@ namespace upper_limit_crawler
int iTime = data.iTime;
int iCurPrice = data.iPrice;
if (item.m_iPrevClosing == 0)
item.m_iPrevClosing = iPrevClosing;
if (WatchItem.m_iPrevClosing == 0)
WatchItem.m_iPrevClosing = iPrevClosing;
item.m_iCurPrice = iCurPrice;
item.InsertPriceNode(iTime, iCurPrice);
WatchItem.m_iCurPrice = iCurPrice;
WatchItem.InsertPriceNode(iTime, iCurPrice);
if(OwnItem.m_iUnitBEP != 0)
OwnItem.m_iMaxPrice = Math.Max(OwnItem.m_iMaxPrice, iCurPrice);
float fCompRate = item.m_iCurPrice / (float)item.m_iPrevClosing - 1.0f;
float fCompRate = WatchItem.m_iCurPrice / (float)WatchItem.m_iPrevClosing - 1.0f;
if (fCompRate >= m_DataMgr.m_Setting.m_fBidMin && fCompRate <= m_DataMgr.m_Setting.m_fBidMax)
{
if (m_DataMgr.IsInBlackList(iTime, strCode) == true)
@@ -363,7 +365,7 @@ namespace upper_limit_crawler
continue;
}
float f5MASlope = item.GetPrev5MASlope(iTime);
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope <= 0)
{
//Console.WriteLine("[{0}] 조건 매수 실패. 5ma 상승하지 않음 {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
@@ -371,11 +373,13 @@ namespace upper_limit_crawler
}
// bid and add to black list
Console.WriteLine(string.Format("[{0}] [{1}] 조건 매수 {2}원 ({3}) (5MA slop:{4:0.00})", iTime, item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope));
ULUtil.TraceCSV("조건 매수", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
Console.WriteLine("[{0}] [{1}] 조건 매수 {2}원 ({3}) (5MA slop:{4:0.00})", iTime, WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
ULUtil.TraceCSV("조건 매수", WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
OwnItem.m_iUnitBEP = iCurPrice;
OwnItem.m_strCodeName = item.m_strCodeName;
OwnItem.m_iUnitBEP = (OwnItem.m_iUnitBEP*OwnItem.m_iConclusionBalanceCnt + iCurPrice)/ (OwnItem.m_iConclusionBalanceCnt+1);
OwnItem.m_iConclusionBalanceCnt++;
OwnItem.m_strCodeName = WatchItem.m_strCodeName;
//m_DataMgr.GetTrader().Buy(strCode, item.m_iCurPrice, (int)m_DataMgr.m_Setting.m_fBidAmount);
m_DataMgr.AddBlackList(iTime, strCode);
@@ -387,9 +391,10 @@ namespace upper_limit_crawler
// loss cut
if (iCurPrice <= OwnItem.m_iUnitBEP * (1.0f - m_DataMgr.m_Setting.m_fLossCut))
{
Console.WriteLine(string.Format("[{0}] [{1}] 손절 {2}원 ({3}:{4})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%")));
Console.WriteLine("[{0}] [{1}] 손절 {2}원 ({3}:{4})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
ULUtil.TraceCSV("손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
@@ -402,28 +407,45 @@ namespace upper_limit_crawler
// trailing
else if (iCurPrice <= OwnItem.m_iMaxPrice - OwnItem.m_iUnitBEP * m_DataMgr.m_Setting.m_fTrailing)
{
float f5MASlope = item.GetPrev5MASlope(iTime);
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope > 0)
{
//Console.WriteLine(string.Format("[{0}] [{1}] 트레일링 매도 대기. 5ma 상승 중 {2}원 ({3})", iTime, OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%")));
//Console.WriteLine("[{0}] [{1}] 트레일링 매도 대기. 5ma 상승 중 {2}원 ({3})", iTime, OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
continue;
}
Console.WriteLine(string.Format("[{0}] [{1}] 트레일링 매도 {2}원 ({3}:{4}) (5MA slop:{5:0.00})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice- OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope));
Console.WriteLine("[{0}] [{1}] 트레일링 매도 {2}원 ({3}:{4}) (5MA slop:{5:0.00})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice- OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope);
ULUtil.TraceCSV("트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope);
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
}
// steadiness
else if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
{
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
Console.WriteLine("[{0}] [{1}] 보합 처리 {2}원 ({3}:{4}) {5}",
iTime,
OwnItem.m_strCodeName,
WatchItem.m_iCurPrice,
WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
(WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
OwnItem.m_iUnitBEP = 0;
}
}
}
//item.PrintChart();
Console.WriteLine("시뮬레이션 끝");
}
}
}

32
ULBalanceDlg.cs
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@@ -159,6 +159,7 @@ namespace upper_limit_crawler
foreach (ListViewItem lvItem in lvBalance.Items)
{
string strCode = lvItem.SubItems[chCode.Index].Text;
int iTime = ULUtil.GetCurTimeInt();
if (WatchList.ContainsKey(strCode) == true)
{
@@ -202,12 +203,14 @@ namespace upper_limit_crawler
// loss cut
if (iCurPrice <= OwnItem.m_iUnitBEP * (1.0f - m_DataMgr.m_Setting.m_fLossCut))
{
ULUtil.Trace("[{0}] 손절 {1}원 ({2}) {3}", OwnItem.m_strCodeName, iCurPrice, (iCurPrice/(float)OwnItem.m_iUnitBEP-1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
ULUtil.Trace("[{0}] 손절 {1}원 ({2}) {3}", OwnItem.m_strCodeName, iCurPrice, (iCurPrice/(float)OwnItem.m_iUnitBEP-1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
// own에서 삭제하고 미체결 리스트에 넣고, watch에서도 뺀다
// 미체결 잔량 취소
@@ -215,7 +218,6 @@ namespace upper_limit_crawler
// trailing
else if (iCurPrice <= OwnItem.m_iMaxPrice - OwnItem.m_iUnitBEP * m_DataMgr.m_Setting.m_fTrailing)
{
int iTime = ULUtil.GetCurTimeInt();
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope > 0)
{
@@ -223,6 +225,10 @@ namespace upper_limit_crawler
continue;
}
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
ULUtil.Trace("[{0}] 트레일링 매도 {1}원 ({2}:{3}) (5MA slop:{4:0.00}) {5}",
OwnItem.m_strCodeName,
iCurPrice,
@@ -231,12 +237,24 @@ namespace upper_limit_crawler
f5MASlope,
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope, WatchItem.m_iHighestPrice);
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
}
}
// steadiness
if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
{
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
ULUtil.Trace("[{0}] 보합 처리 {1}원 ({2}:{3}) {4}",
OwnItem.m_strCodeName,
WatchItem.m_iCurPrice,
WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
(WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
}
}
}
}

7
ULDataMgr.cs
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@@ -115,14 +115,9 @@ namespace upper_limit_crawler
m_BlackList.Add(black);
}
bool IsIn5Min(int iTime1, int iTime2)
{
return DateTime.ParseExact(iTime1.ToString(), "HHmmss", null) > DateTime.ParseExact(iTime2.ToString(), "HHmmss", null) - TimeSpan.ParseExact("05", "mm", null);
}
public bool IsInBlackList(int iTime, string strCode)
{
return m_BlackList.Any(r => r.m_strCode == strCode && IsIn5Min(r.m_iTime, iTime));
return m_BlackList.Any(r => r.m_strCode == strCode && ULUtil.IsInTime(r.m_iTime, iTime, 5));
}
public Dictionary<string, ULWatchItem> GetWatchList()

51
ULWatchItem.cs
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@@ -79,7 +79,7 @@ namespace upper_limit_crawler
if(bMakeNew == true && m_1MinChart.Keys.Count >= 2)
{
int iTimeKey = m_1MinChart.Keys[m_1MinChart.Keys.Count-2];
Insert5MinChart(iTimeKey);
Insert5MAChart(iTimeKey);
}
}
@@ -202,36 +202,40 @@ namespace upper_limit_crawler
}
}
bool IsIn5Min(int iBaseKey, int iKeyCheck)
{
int iBaseIdx = m_1MinChart.IndexOfKey(iBaseKey);
int iIdxCheck = m_1MinChart.IndexOfKey(iKeyCheck);
return (iIdxCheck > iBaseIdx - 5 && iIdxCheck <= iBaseIdx);
}
void Insert5MinChart(int iTime)
void Insert5MAChart(int iTime)
{
int iHour = GetHour(iTime);
int iMin = GetMinute(iTime);
int iSec = GetSecond(iTime);
int iKey = GetTimeKey1Min(iHour, iMin, iSec);
int iInsertKey = GetTimeKey1Min(iHour, iMin, iSec);
if(iMin == 0)
{
iHour--;
iMin = 59;
}
else
{
iMin--;
}
int iSearchtKey = GetTimeKey1Min(iHour, iMin, iSec);
MATick tick = null;
if (m_5MAChart.ContainsKey(iKey) == false)
if (m_5MAChart.ContainsKey(iInsertKey) == false)
tick = new MATick(iTime, 0);
else
tick = m_5MAChart[iKey];
tick = m_5MAChart[iInsertKey];
int iIdx = m_1MinChart.IndexOfKey(iKey);
IEnumerable<KeyValuePair<int, CandleTick>> Search = m_1MinChart.Where(r => IsIn5Min(iKey, r.Key));
int iIdx = m_1MinChart.IndexOfKey(iInsertKey);
IEnumerable<KeyValuePair<int, CandleTick>> Search = m_1MinChart.Where(r => ULUtil.IsInTime(r.Key, iSearchtKey, 4));
float fMA = Search.Count() == 5 ? (float)Search.Average(r => r.Value.m_iEnd) : 0;
tick.m_fMA = fMA;
if(m_5MAChart.ContainsKey(iKey) == true)
m_5MAChart[iKey] = tick;
if(m_5MAChart.ContainsKey(iInsertKey) == true)
m_5MAChart[iInsertKey] = tick;
else
m_5MAChart.Add(iKey, tick);
m_5MAChart.Add(iInsertKey, tick);
}
public void MakeMAChart()
@@ -252,7 +256,7 @@ namespace upper_limit_crawler
tick = m_5MAChart[iKey];
int iIdx = m_1MinChart.IndexOfKey(iKey);
IEnumerable<KeyValuePair<int, CandleTick>> Search = m_1MinChart.Where(r => IsIn5Min(iKey, r.Key));
IEnumerable<KeyValuePair<int, CandleTick>> Search = m_1MinChart.Where(r => ULUtil.IsInTime(iKey, r.Key, 5));
float fMA = Search.Count() == 5 ? (float)Search.Average(r => r.Value.m_iEnd) : 0;
tick.m_fMA = fMA;
@@ -320,5 +324,14 @@ namespace upper_limit_crawler
return false;
}
public float GetAvgDiff(int iTime)
{
IEnumerable<KeyValuePair<int, CandleTick>> itor = m_1MinChart.Where(r => ULUtil.IsInTime(r.Key, iTime, 5));
float fSum = itor.Sum(r => r.Value.m_iEnd);
fSum += itor.Sum(r => r.Value.m_iStart);
return fSum / (itor.Count()*2);
}
}
}

16
UlUtil.cs
View File

@@ -256,5 +256,21 @@ namespace upper_limit_crawler
m_CPUtil = new CPUTILLib.CpCybos();
}
public static bool IsInTime(int iTime1, int iTime2, int iMinDiff)
{
int iHour1 = iTime1 / 10000;
int iMin1 = (iTime1 / 100) % 100;
int iSec1 = iTime1 % 100;
int iHour2 = iTime2 / 10000;
int iMin2 = (iTime2 / 100) % 100;
int iSec2 = iTime2 % 100;
int iTotalSec1 = iHour1 * 60 * 60 + iMin1 * 60 + iSec1;
int iTotalSec2 = iHour2 * 60 * 60 + iMin2 * 60 + iSec2;
return (iTotalSec2 >= iTotalSec1 && iTotalSec2 - iTotalSec1 <= iMinDiff * 60);
}
}
}