[Python] 주식 자동 주문 : 데이터 분석하기

<한국투자증권의 OpenAPI를 활용한 주식 자동 주문 프로그램 만들기>

* 특정 종목에 대해 수집된 과거 데이터를 분석하여 데이터 흐름을 파악하는 데에 활용

* 상승 일수, 하강 일수, 상승 폭, 하강 폭, 등록 횟수, 상승 비율, 하강 비율 등을 분석함.

 

[Source Code]

    def TreatDailyData(self, dataIn):
        # dataIn: output2

        rstDF = DataFrame()
        prices = []
        highs = []
        lows = []
        Diffs = []
        dateCount = 0
        for data1 in dataIn:
            if not data1: continue;
            dateCount += 1
            date1 = data1.get('stck_bsop_date')
            price1 = int(data1.get('stck_clpr'))
            prices.append(price1)
            high1 = int(data1.get('stck_hgpr'))
            highs.append(high1)
            low1 = int(data1.get('stck_lwpr'))
            lows.append(low1)
            Diffs.append(high1-low1)
            rst1 = {
                'DateString': date1,
                'FinalPrice': price1,
                'HighPrice': high1,
                'LowPrice': low1
            }
            rstDF = pd.concat([rstDF, DataFrame([rst1])], ignore_index=True, axis=0)

        avg21 = np.mean(prices)
        diffAvg21 = float(np.mean(Diffs))/float(avg21)*100.0 # [%]
        diffMax21 = float(np.max(Diffs))/float(avg21)*100.0 # [%]
        diffMin21 = float(np.min(Diffs))/float(avg21)*100.0 # [%]
        max21 = 0
        min21 = 0
        refMax21 = avg21*1.05 # +5%
        refMin21 = avg21*0.95 # -5%
        slopeCount2 = 0
        priceStatus2 = "0"
        maxes = []
        mins = []
        riseDayCount = 0
        fallDayCount = 0
        dayNumber = len(prices)
        priceYesterday = -1
        for price2 in prices:
            if priceYesterday>0:
                if price2 > priceYesterday:
                    riseDayCount += 1
                else:
                    fallDayCount += 1
            priceYesterday = price2                
            if priceStatus2=="0":
                if price2<refMin21: 
                    priceStatus2=="-"
                    min21 = price2
                elif price2>refMax21: 
                    priceStatus2 = "+"
                    max21 = price2
            elif priceStatus2=="+":
                if price2>max21: max21 = price2
                elif price2<refMin21:
                    maxes.append(max21)
                    max21 = 0
                    priceStatus2 = "-"
                    min21 = price2
                    slopeCount2 += 1
            else:
                if price2<min21: min21 = price2
                elif price2>refMax21:
                    mins.append(min21)
                    min21 = 0
                    priceStatus2 = "+"
                    max21 = price2
                    slopeCount2 += 1
        score21 = slopeCount2*10
        directionDifferenceRatio = abs(fallDayCount - riseDayCount)/dayNumber
        if directionDifferenceRatio<0.3:
            score22 = 20*(1 - directionDifferenceRatio)
        elif directionDifferenceRatio<0.5:
            score22 = 10*(1 - directionDifferenceRatio)
        elif directionDifferenceRatio>0.8:
            score22 = -5*directionDifferenceRatio
        else: score22 = 0
        score2 = score21 + score22 + diffAvg21
        rst2 = {
            'SlopeCount': slopeCount2,
            'Maxes': json.dumps({'Maxes': maxes}),
            'MIns': json.dumps({'Mins': mins}),
            'Average': avg21,
            'DiffAvg': diffAvg21,
            'DiffMax': diffMax21,
            'DiffMin': diffMin21,
            'Score': score2,
            'DateCount': dateCount
        }
        return (rst2, rstDF)