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symbols.py
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symbols.py
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import pickle
import numpy as np
import csv,os
import sched, time
from datetime import datetime
curr = ["USD","JPY","EUR","GBP","AUD","CAD","CHF","NZD"]
curr2 = [ "JPY","EUR","GBP","AUD","CAD","CHF","NZD"]
curr3 = [ "EUR","GBP","AUD","CAD","CHF","NZD"]
pairs0 = ["EURUSD","GBPUSD","USDCAD","USDJPY","USDCHF","AUDUSD","NZDUSD","EURJPY","GBPJPY","CADJPY","CHFJPY","AUDJPY","NZDJPY","EURGBP","EURCAD","EURCHF","EURAUD","EURNZD","GBPCAD","GBPCHF","GBPAUD","GBPNZD","CADCHF","AUDCAD","NZDCAD","AUDCHF","NZDCHF","AUDNZD","USDSGD","XAUUSD","LIGHTCMDUSD","AUDSGD", "CHFSGD", "EURNOK", "EURPLN","EURSEK","EURSGD","EURTRY","EURZAR","SGDJPY","USDMXN","USDNOK","USDPLN","USDRUB","USDSEK","USDTRY","USDZAR","USDHUF","EURHUF","EURMXN","ZARJPY","USDCNH","XAGUSD","USA30IDXUSD","USATECHIDXUSD","USA500IDXUSD","PDCMDUSD","PTCMDUSD","CUCMDUSD"]
pairs1 = ["EURUSD","GBPUSD","USDCAD","USDJPY","USDCHF","AUDUSD","NZDUSD"]
pairs2 = ["EURJPY","GBPJPY","CADJPY","CHFJPY","AUDJPY","NZDJPY","EURGBP"]
pairs3 = ["EURCAD","EURCHF","EURAUD","EURNZD","GBPCAD","GBPCHF","GBPAUD"]
pairs4 = ["GBPNZD","CADCHF","AUDCAD","NZDCAD","AUDCHF","NZDCHF","AUDNZD"]
pairs5 = ["GBPJPY","GBPAUD","GBPNZD","AUDJPY"]
pairs91 = ["AUDSGD", "CHFSGD", "EURNOK", "EURPLN", "EURSEK", "EURSGD", "EURTRY", "EURZAR", "SGDJPY", "USDMXN", "USDNOK", "USDPLN", "USDRUB", "USDSEK", "USDTRY", "USDZAR", "ZARJPY", "USDCNH", "XAGUSD", "USA30IDXUSD", "USATECHIDXUSD", "USA500IDXUSD", "PDCMDUSD", "PTCMDUSD", "CUCMDUSD"]
pairs99 = ["EURUSD","GBPUSD","USDCAD","USDJPY","USDCHF","AUDUSD","NZDUSD","EURJPY","GBPJPY","CADJPY","CHFJPY","AUDJPY","NZDJPY","EURGBP","EURCAD","EURCHF","EURAUD","EURNZD","GBPCAD","GBPCHF","GBPAUD","GBPNZD","CADCHF","AUDCAD","NZDCAD","AUDCHF","NZDCHF","AUDNZD"]
pairs9 = ["LIGHTCMDUSD"]
old = ["GBPJPY"]
exotics = ["USDCNH","USDHUF","USDMXN","USDPLN","USDRUB","USDSGD","USDTRY","USDZAR","USDSEK","USDNOK","USATECHIDXUSD","LIGHTCMDUSD"]
exotics2 = ["USDCNH","USDHUF","USDMXN","USDNOK","USDPLN","USDRUB","USDSEK","USDSGD","USDTRY","USDZAR","EURHUF","EURMXN","EURNOK","EURPLN","EURSEK","EURSGD","EURTRY","EURZAR","AUDSGD","CHFSGD","SGDJPY","ZARJPY"]
commo = ["XAUUSD","XTIUSD","XAGUSD"]
indices = ["US30","US500","NAS100","AUS200","EUSTX50","FRA40","GER30","HK50","IT40","JPN225","UK100","SPA35"]
stocks = ['US500','MMM','T','ABT','ADBE','AA','AAPL','AMZN','BA','BABA','GOOGL','MO','AMGN','BAC','BMY','AVGO','CAT','CVX','CSCO','C','CMCSA','FB','XOM','GE','GOOG','GS','HON','IBM','INTC','JPM','JNJ','MA','MCD','MRK','MSFT','NKE','NVDA','NFLX','ORCL','PEP','PFE','PM','PG','SPY','TXN','KO','HD','DIS','UNP','UNH','VZ','V','WMT','WFC','TSLA','TWTR','QQQ','XLF','EEM']
chosen = ["XAUUSD","AUDSGD", "CHFSGD", "EURNOK", "EURPLN", "EURSEK", "EURSGD", "USDMXN", "USDNOK", "USDPLN", "USDSEK", "USDZAR","USDSGD"]
chosen2 = ["AUDSGD", "CHFSGD", "EURNOK", "EURPLN", "EURSEK", "EURSGD", "USDMXN", "USDNOK", "USDPLN", "USDSEK", "USDZAR","USA30IDXUSD", "USA500IDXUSD","XAUUSD","LIGHTCMDUSD","USDHUF","EURHUF","EURMXN" ]
chosen3 = ["AUDSGD", "CHFSGD", "EURNOK", "EURPLN", "EURSEK", "EURSGD", "USDMXN", "USDNOK", "USDPLN", "USDSEK", "USDZAR"]
threshold = 0
factor = 0.5
set_limit = 28
cutoff_adjustor = 3e-10
kn_size = 300
#test = "_test"
test = ""
def fdp(f):
return '{:.7f}'.format(f)
def fsn(f):
if (abs(f)>0.0001): return str(round(f,4))
s = str(f)
left=""
if f<0: left = s[0:4]
else: left = s[0:3]
if left[len(left)-1]=="-": left=left[0:len(left)-2]
right=s
while len(right)>1 and right[0]!="e": right=right[1:]
return left+right
last_close = {}
commission = {
"EURUSD": 7,
"GBPUSD": 7,
"EURJPY": 0.7,
"AUDUSD": 7,
"GBPJPY": 0.7,
"USDCAD": 7,
"USDJPY": 0.7,
"USDCHF": 7,
"NZDUSD": 7,
"CADJPY": 0.7,
"CHFJPY": 0.7,
"AUDJPY": 0.7,
"NZDJPY": 0.7,
"EURGBP": 7,
"EURCAD": 7,
"EURCHF": 7,
"EURAUD": 7,
"EURNZD": 7,
"GBPCAD": 7,
"GBPCHF": 7,
"GBPAUD": 7,
"GBPNZD": 7,
"CADCHF": 7,
"AUDCAD": 7,
"NZDCAD": 7,
"AUDCHF": 7,
"NZDCHF": 7,
"AUDNZD": 7,
"USDSGD": 7,
"AUDSGD": 7,
"CHFSGD": 7,
"EURHUF": 7,
"EURMXN": 7,
"EURNOK": 7,
"EURPLN": 7,
"EURSEK": 7,
"EURSGD": 7,
"EURTRY": 7,
"EURZAR": 7,
"SGDJPY": 7,
"USDCNH": 7,
"USDHKD": 7,
"USDHUF": 7,
"USDMXN": 7,
"USDNOK": 7,
"USDPLN": 7,
"USDRUB": 7,
"USDSEK": 7,
"USDTRY": 7,
"USDZAR": 7,
"ZARJPY": 7,
"USA30IDXUSD": 0,
"USA500IDXUSD": 0,
"NAS100": 0,
"US30":0,
"US500":0,
"NAS100":0,
"USATECHIDXUSD":0,
"AUS200":0,
"EUSTX50":0,
"FRA40":0,
"GER30":0,
"HK50":0,
"IT40":0,
"JPN225":0,
"UK100":0,
"SPA35":0,
"XAUUSD": 0,
"XAGUSD": 0,
"PDCMDUSD": 0,
"PTCMDUSD": 0,
"CUCMDUSD": 0,
"XTIUSD": 0,
"LIGHTCMDUSD": 0
}
spread = {
"EURUSD": 0.00001,
"GBPUSD": 0.00002,
"EURJPY": 0.002,
"AUDUSD": 0.00002,
"GBPJPY": 0.016,
"USDCAD": 0.00003,
"USDJPY": 0.001,
"USDCHF": 0.00003,
"NZDUSD": 0.00002,
"CADJPY": 0.0035,
"CHFJPY": 0.003,
"AUDJPY": 0.003,
"NZDJPY": 0.006,
"EURGBP": 0.00002,
"EURCAD": 0.00009,
"EURCHF": 0.000025,
"EURAUD": 0.00007,
"EURNZD": 0.00016,
"GBPCAD": 0.00017,
"GBPCHF": 0.00014,
"GBPAUD": 0.00025,
"GBPNZD": 0.00035,
"CADCHF": 0.00009,
"AUDCAD": 0.00007,
"NZDCAD": 0.00023,
"AUDCHF": 0.00008,
"NZDCHF": 0.00014,
"AUDNZD": 0.00011,
"USDSGD": 0.00025,
"XAUUSD": 2500,
"AUDSGD": 0.00029,
"CHFSGD": 0.00022,
"EURHUF": 0.090,
"EURMXN": 0.00900,
"EURNOK": 0.00220,
"EURPLN": 0.00120,
"EURSEK": 0.00200,
"EURSGD": 0.00020,
"EURTRY": 0.00600,
"EURZAR": 0.00800,
"SGDJPY": 0.010,
"USDHUF": 0.120,
"USDMXN": 0.00400,
"USDNOK": 0.00150,
"USDPLN": 0.00100,
"USDRUB": 0.01500,
"USDSEK": 0.00180,
"USDTRY": 0.00600,
"USDZAR": 0.00900,
"ZARJPY": 0.010,
"USA30IDXUSD": 3000,
"NAS100": 1.0,
"USA500IDXUSD": 800,
"US30":2.5,
"US500":0.6,
"NAS100":1,
"USATECHIDXUSD":1.9,
"AUS200":3.8,
"EUSTX50":2,
"FRA40":1,
"GER30":1,
"HK50":30,
"IT40":10,
"JPN225":8,
"UK100":1,
"SPA35":5,
"USDCNH": 0.0007,
"XAGUSD": 0.012,
"PDCMDUSD": 2.0,
"PTCMDUSD": 1.5,
"CUCMDUSD": 0.0051,
"XTIUSD": 0.07,
"LIGHTCMDUSD": 0.07
}
value = {
"USD":1,
"EUR":0.92,
"JPY":109,
"GBP":0.77,
"CAD":1.327,
"AUD":1.49,
"NZD":1.55,
"CHF":0.99,
"CNH":7.1,
"HUF":308,
"MXN":20,
"NOK":9.1,
"PLN":4,
"RUB":64.4,
"SEK":9.8,
"SGD":1.38,
"TRY":5.68,
"ZAR":15,
"S30":1,
"500":1,
"NAS":1,
"200":1.48,
"X50":0.92,
"A40":0.92,
"R30":0.92,
"K50":7.84,
"T40":0.92,
"225":108,
"100":0.81,
"A35":0.92
}
practical_name = {
"EURUSD": "EURUSD",
"GBPUSD": "GBPUSD",
"EURJPY": "EURJPY",
"AUDUSD": "AUDUSD",
"GBPJPY": "GBPJPY",
"USDCAD": "USDCAD",
"USDJPY": "USDJPY",
"USDCHF": "USDCHF",
"NZDUSD": "NZDUSD",
"CADJPY": "CADJPY",
"CHFJPY": "CHFJPY",
"AUDJPY": "AUDJPY",
"NZDJPY": "NZDJPY",
"EURGBP": "EURGBP",
"EURCAD": "EURCAD",
"EURCHF": "EURCHF",
"EURAUD": "EURAUD",
"EURNZD": "EURNZD",
"GBPCAD": "GBPCAD",
"GBPCHF": "GBPCHF",
"GBPAUD": "GBPAUD",
"GBPNZD": "GBPNZD",
"CADCHF": "CADCHF",
"AUDCAD": "AUDCAD",
"NZDCAD": "NZDCAD",
"AUDCHF": "AUDCHF",
"NZDCHF": "NZDCHF",
"AUDNZD": "AUDNZD",
"USDSGD": "USDSGD",
"XAUUSD": "XAUUSD",
"AUDSGD":"AUDSGD",
"CHFSGD":"CHFSGD",
"EURHUF":"EURHUF",
"EURMXN":"EURMXN",
"EURNOK":"EURNOK",
"EURPLN":"EURPLN",
"EURSEK":"EURSEK",
"EURSGD":"EURSGD",
"EURTRY":"EURTRY",
"EURZAR":"EURZAR",
"SGDJPY":"SGDJPY",
"USDHUF":"USDHUF",
"USDMXN":"USDMXN",
"USDNOK":"USDNOK",
"USDPLN":"USDPLN",
"USDRUB":"USDRUB",
"USDSEK":"USDSEK",
"USDTRY":"USDTRY",
"USDZAR":"USDZAR",
"ZARJPY":"ZARJPY",
"USA30IDXUSD": "US30",
"USA500IDXUSD": "US500",
"USATECHIDXUSD": "NAS100",
"USDCNH":"USDCNH",
"XAGUSD":"XAGUSD",
"PDCMDUSD":"XPDUSD",
"PTCMDUSD":"XPTUSD",
"CUCMDUSD":"Copper",
"LIGHTCMDUSD":"XTIUSD"
}
unit = {
"EURUSD": 100000,
"GBPUSD": 100000,
"EURJPY": 1000,
"AUDUSD": 100000,
"GBPJPY": 1000,
"USDCAD": 100000,
"USDJPY": 1000,
"USDCHF": 100000,
"NZDUSD": 100000,
"CADJPY": 1000,
"CHFJPY": 1000,
"AUDJPY": 1000,
"NZDJPY": 1000,
"EURGBP": 100000,
"EURCAD": 100000,
"EURCHF": 100000,
"EURAUD": 100000,
"EURNZD": 100000,
"GBPCAD": 100000,
"GBPCHF": 100000,
"GBPAUD": 100000,
"GBPNZD": 100000,
"CADCHF": 100000,
"AUDCAD": 100000,
"NZDCAD": 100000,
"AUDCHF": 100000,
"NZDCHF": 100000,
"AUDNZD": 100000,
"USDSGD": 100000,
"XAUUSD": 1,
"AUDSGD":100000,
"CHFSGD":100000,
"EURHUF":100000,
"EURMXN":100000,
"EURNOK":100000,
"EURPLN":100000,
"EURSEK":100000,
"EURSGD":100000,
"EURTRY":100000,
"EURZAR":100000,
"SGDJPY":1000,
"USDHUF":100000,
"USDMXN":100000,
"USDNOK":100000,
"USDPLN":100000,
"USDRUB":100000,
"USDSEK":100000,
"USDTRY":100000,
"USDZAR":100000,
"ZARJPY":1000,
"USA30IDXUSD": 0.001,
"USA500IDXUSD": 0.001,
"NAS100": 1,
"USATECHIDXUSD":1,
"US30":1,
"US500":1,
"NAS100":1,
"AUS200":1,
"EUSTX50":1,
"FRA40":1,
"GER30":1,
"HK50":1,
"IT40":1,
"JPN225":1,
"UK100":1,
"SPA35":1,
"USDCNH": 100000,
"USDHKD": 100000,
"XAGUSD": 5000,
"PDCMDUSD": 100,
"PTCMDUSD": 100,
"CUCMDUSD": 2000,
"XTIUSD": 100,
"LIGHTCMDUSD": 100
}
sortKey = 0
def getSortKey(item):
global sortKey
return item[sortKey]
def normalize(dat,f,positiveResult=False,isEnsemble=False,isClassifier=False):
global sortKey
d = []
lf = []
factors=[]
yo=[] # original y
last = len(dat[0])
for dd in dat: d.append(dd[:])
for i in range(0,last):
if i==287: continue # date
print("normalizing key "+str(i))
sortKey=i
d.sort(reverse=True,key=getSortKey)
l = len(d)
ff = f
if i>=14 and ((i-14)%16==4) and i<last-14: ff = 0.025
tf = abs(d[round(ff/100*l)][i])
bf = abs(d[round((1-ff/100)*l)][i])
if positiveResult: sf = (abs(d[round(ff/200*l)][i])+abs(d[round((1-ff/200)*l)][i]))
else: sf = (abs(d[round(ff/200*l)][i])+abs(d[round((1-ff/200)*l)][i]))/2
for j in range(0,len(d)):
if i == last - 12: yo.append(dat[j][i])
if i == 0:
dat[j][i] /= -bf
if j==0:
factors.append(-bf)
elif i == 1 or (isEnsemble and i==set_limit+1):
dat[j][i] /= tf
if j==0:
factors.append(tf)
elif i >= 14 and (i - 14) % 16 == 2 and i<last-14 and not (isEnsemble and i>set_limit):
dat[j][i] /= -100
if j==0:
factors.append(-100)
elif i >= 14 and (((i - 14) % 16 == 3) or ((i - 14) % 16 == 6) or ((i - 14) % 16 == 7) or ((i - 14) % 16 == 10) or ((i - 14) % 16 == 12) or ((i - 14) % 16 == 14)) and i<last-14 and not (isEnsemble and i>set_limit):
dat[j][i] /= tf
if j==0:
factors.append(tf)
elif i == last-14:
dat[j][i] /= 24
if j==0 :
factors.append(24)
else:
if sf != 0:
if positiveResult: dat[j][i] = (dat[j][i] / sf)+0.5
else: dat[j][i] = dat[j][i] / sf
if j==0 and i<last-14:
factors.append(sf)
if positiveResult: dat[j][i] = max(0,min(1,dat[j][i]))
else: dat[j][i] = max(-1,min(1,dat[j][i]))
if j==0 and i >= last - 12: lf.append(sf)
#if i<3 and j==0:
# if j==0:
# print(factors)
# print(str(bf)+":"+str(tf)+":"+str(sf))
# for z in range(0,240000):
# if z % 1000 > 0: continue
# print(str(i)+ " " +str(z)+" *** "+str(d[z][i]))
#print("filtering by Isolation Forest...")
#isof = IsolationForest(contamination=0.02,behaviour='new',n_jobs=5,verbose=2,n_estimators=50)
#isr = isof.fit_predict(np.array(dat).copy())
x=[]
y=[]
z=[]
for i in range(0,len(dat)):
if isClassifier:
x.append(dat[i][:last-12])
y.append(dat[i][last-12:])
z.append(yo[i])
else:
x.append(dat[i][:last-12])
y.append(dat[i][last-12:])
z.append(yo[i])
return factors,lf,x,y,z
def normalizeKN(dat,f):
global sortKey
d = []
lf = []
factors=[]
yo=[] # original y
last = len(dat[0])
for dd in dat:
d.append(dd)
for i in range(0,last):
if i==last-2: continue # date
sortKey=i
d.sort(reverse=True,key=getSortKey)
#print(dat[0])
l = len(d)
sf = (abs(d[round(f/200*l)][i])+abs(d[round((1-f/200)*l)][i]))/2
print("normalizing key "+str(i)+"...eg.:"+str(dat[0][i])+"...eg.:"+str(fdp(sf)))
for j in range(len(d)):
if i == last-1: yo.append(dat[j][i])
if i == last-3:
dat[j][i] /= 24
if j==0 :
factors.append(24)
else:
if sf != 0: dat[j][i] = dat[j][i] / sf
if j==0 and i<last-1: factors.append(sf)
dat[j][i] = max(-1,min(1,dat[j][i]))
if j==0 and i == last - 1: lf.append(sf)
x=[]
y=[]
z=[]
for i in range(len(dat)):
x.append(dat[i])
y.append(dat[i])
z.append(yo[i])
return factors,lf,x,y,z
def initialize_last_close(pairs):
global last_close
for p in pairs:
r = open('data/'+str(p)+'240.csv','r')
r.readline()
lc = 1
while True:
d,t,o,h,l,c,a,v = parseLine(r)
if (d==-1): break
lc = c
r.close()
last_close[p] = lc
print(p + " last close price: " + str(lc))
def parseLine(r):
l = r.readline()
if not l: return -1,-1,-1,-1,-1,-1,-1,-1
s = l.split(',')
o = float(s[2])
h = float(s[3])
l = float(s[4])
c = float(s[5])
e = s[6].find('\n')==-1
return int(s[0]),s[1],o,h,l,c,(h+l+c*2)/4,float(s[6])
def readNextTick(f):
def intToBin(n, l):
r=""
if (n == 0): r="0"
else:
while n!=0:
r = str(n % 2)+r;
n=int(n/2)
rl = l-len(r)
for i in range(0,rl): r="0"+r
return r
def binToInt(s,start,length):
s = s[start:start+length]
n=0
for j in range(0,length):
v=0
if (s[j]=="1"): v = 1
n+=pow(2,length-1-j)*v
return n
tick = f.read(8)
if len(tick)<8: return -1,-1,-1,-1,-1,-1,-1,-1
binary = intToBin(tick[0],8)+intToBin(tick[1],8)+intToBin(tick[2],8)+intToBin(tick[3],8)+intToBin(tick[4],8)+intToBin(tick[5],8)+intToBin(tick[6],8)+intToBin(tick[7],8)
if len(binary)<64: print("ERROR-------------------------------------------------------------------")
y = binToInt(binary,0,5)
m = binToInt(binary,5,4)
d = binToInt(binary,9,5)
h = binToInt(binary,14,5)
n = binToInt(binary,19,6)
s = binToInt(binary,25,6)
dp= binToInt(binary,31,3)
b = binToInt(binary,34,30)
return y,m,d,h,n,s,b/pow(10,dp),tick
def z(n):
if int(n)>9: return str(n)
return "0"+str(n)
def generate(p,tf,start=201812):
w = open("ticks/"+p+str(tf)+".csv","w")
firstOpen = True
firstReach = False
oldH = -1
oldM = -1
lo = 999999
hi = -999999
v = 0
for year in range(int(start/100),2020):
for mon in range(start%100,13):
try: r = open('ticks/merged/'+str(year)+'-'+str(mon)+'/'+p+'.tick', "rb")
except IOError: continue
print("reading "+str(year)+"-"+str(mon)+" ......")
while True:
y,m,d,h,n,s,b,t = readNextTick(r)
if y<0: break
if firstOpen:
o = b
firstOpen = False
if ((oldH<23 and abs(h-oldH)>1) or (n%tf < oldM%tf) or (tf==1 and oldM!=n)) and firstReach:
w.write(str(y+2000)+z(m)+z(d)+","+z(h)+":"+z(n)+":"+z(s)+","+str(o)+","+str(hi)+","+str(lo)+","+str(c)+","+str(v)+"\n")
o = b
lo = b
hi = b
v = 1
firstReach=False
c = b
if b<lo: lo = b
if b>hi: hi = b
v += 1
if (oldM!=n and firstReach==False): firstReach=True
oldH = h
oldM = n
r.close()
w.close()
def mergeT(p,tf,start=201812):
for year in range(int(start/100),2020):
for mon in range(start%100,13):
dir = "ticks/merged/"+str(year)+"-"+str(mon)+"/"
if not os.path.exists(dir): os.makedirs(dir)
w = open(dir+p+".tick","wb")
flags = 3
try: r1 = open('ticks/server/'+str(year)+'-'+str(mon)+'/'+p+'.tick', "rb")
except IOError:
print("skipping ticks/server/"+str(year)+'-'+str(mon)+'/'+p+'.tick')
flags -= 1
try: r2 = open('ticks/client/'+str(year)+'-'+str(mon)+'/'+p+'.tick', "rb")
except IOError:
print("skipping ticks/client/"+str(year)+'-'+str(mon)+'/'+p+'.tick')
flags -= 2
if flags==0: continue
print("reading "+str(year)+"-"+str(mon)+" ......")
if flags==1:
while True:
y,m,d,h,n,s,b,t = readNextTick(r1)
if y<0: break
w.write(t)
r1.close()
elif flags==2:
while True:
y,m,d,h,n,s,b,t = readNextTick(r2)
if y<0: break
w.write(t)
r2.close()
elif flags==3:
while True:
y1,m1,d1,h1,n1,s1,b1,t1 = readNextTick(r1)
y2,m2,d2,h2,n2,s2,b2,t2 = readNextTick(r2)
if y1<0 and y2<0: break
elif y1<0:
while True:
w.write(t2)
print("gap server at "+str(y2)+"-"+str(m2)+"-"+str(d2)+" "+str(h2)+":"+str(n2)+":"+str(s2))
y2,m2,d2,h2,n2,s2,b2,t2 = readNextTick(r2)
if y2<0: break
break
elif y2<0:
while True:
w.write(t1)
print("gap client at "+str(y1)+"-"+str(m1)+"-"+str(d1)+" "+str(h1)+":"+str(n1)+":"+str(s1))
y1,m1,d1,h1,n1,s1,b1,t1 = readNextTick(r1)
if y1<0: break
break
else:
while d1<d2 or (d1==d2 and h1<h2) or (d1==d2 and h1==h2 and n1<n2) or (d1==d2 and h1==h2 and n1==n2 and s1<s2):
w.write(t1)
print("gap client at "+str(y1)+"-"+str(m1)+"-"+str(d1)+" "+str(h1)+":"+str(n1)+":"+str(s1))
y1,m1,d1,h1,n1,s1,b1,t1 = readNextTick(r1)
if y1<0: break
while d1>d2 or (d1==d2 and h1>h2) or (d1==d2 and h1==h2 and n1>n2) or (d1==d2 and h1==h2 and n1==n2 and s1>s2):
w.write(t2)
print("gap server at "+str(y2)+"-"+str(m2)+"-"+str(d2)+" "+str(h2)+":"+str(n2)+":"+str(s2))
y2,m2,d2,h2,n2,s2,b2,t2 = readNextTick(r2)
if y2<0: break
if y1<0 and y2<0: break
elif y1<0:
while True:
w.write(t2)
print("gap server at "+str(y2)+"-"+str(m2)+"-"+str(d2)+" "+str(h2)+":"+str(n2)+":"+str(s2))
y2,m2,d2,h2,n2,s2,b2,t2 = readNextTick(r2)
if y2<0: break
break
elif y2<0:
while True:
w.write(t1)
print("gap client at "+str(y1)+"-"+str(m1)+"-"+str(d1)+" "+str(h1)+":"+str(n1)+":"+str(s1))
y1,m1,d1,h1,n1,s1,b1,t1 = readNextTick(r1)
if y1<0: break
break
else:
w.write(t1)
r1.close()
r2.close()
w.close()
def tick_convert(p,tf,start=201812):
1+1
def parseLineTDM(r):
l = r.readline()
if not l: return -1,-1,-1,-1,-1,-1,-1
s = l.split(',')
dt= s[0].split(' ')
d = dt[0].split('.')
t = dt[1].split(':')
return int(d[2]),int(d[1]),int(d[0]),int(t[0]),int(t[1]),float(t[2]),float(s[1])
def z(n):
if n>9: return str(n)
return "0"+str(n)
def generateTDM(p,tf,start=201812):
w = open("data/tdm_AU2.csv","w")
firstOpen = True
firstReach = False
oldH = -1
oldM = -1
lo = 999999
hi = -999999
v = 0
r = open('data/AU.csv', "r")
r.readline()
while True:
y,m,d,h,n,s,b = parseLineTDM(r)
if y<0: break
if firstOpen:
o = b
firstOpen = False
if ((oldH<23 and abs(h-oldH)>1) or (n%tf < oldM%tf) or (tf==1 and oldM!=n)) and firstReach:
wd=str(y)+z(m)+z(d)+","+z(h)+":"+z(n)+":"+z(s)+","+str(o)+","+str(hi)+","+str(lo)+","+str(c)+","+str(v)
if (d==2 and h==0 and n==0): print(wd)
w.write(wd+"\n")
o = b
lo = b
hi = b
v = 1
firstReach=False
c = b
if b<lo: lo = b
if b>hi: hi = b
v += 1
if (oldM!=n and firstReach==False): firstReach=True
oldH = h
oldM = n
r.close()
w.close()
def degap(p,tf):
if not (p in pairs99):
try:
os.rename("data/"+p+str(tf)+".csv","data/"+p+str(tf)+test+".degap.csv")
except:
print("file " + p +" not found")
return
def open_other_pairs(p):
C = ["USD","JPY","EUR","GBP","CHF","CAD","AUD","NZD"]
R = []
PR= []
for cc in C:
pre = p[0:3]
suf = p[3:6]
if pre==cc or suf==cc: continue
pf = []
pa = []
for pp in pairs99:
if pp==pre+cc or pp==cc+pre or pp==suf+cc or pp==cc+suf:
pf.append(open("data/"+pp+str(tf)+".csv","r"))
pf[-1].readline()
pa.append(pp)
R.append(pf)
PR.append(pa)
return R,PR
def fill_gap(wr,op,pairs,y1,m1,d1,h1,n1,y2,m2,d2,h2,n2, ooo,ooh,ool,ooc,oooo,oooh,oool,oooc):
def mergeBid(p,p1,p2,v1,v2):
pre=p[0:3]
suf=p[3:6]
pre1=p1[0:3]
suf1=p1[3:6]
pre2=p2[0:3]
suf2=p2[3:6]
dp = 5
if suf=="JPY": dp = 3
if (pre==pre1 and suf==pre2) or (pre==suf2 and suf==suf1): return [round(v1[0]/v2[0],dp), round(v1[1]/v2[1],dp), round(v1[2]/v2[2],dp), round(v1[3]/v2[3],dp), int((v1[4]+v2[4])/2) ]
elif (pre==pre2 and suf==pre1) or (pre==suf1 and suf==suf2): return [round(v2[0]/v1[0],dp), round(v2[1]/v1[1],dp), round(v2[2]/v1[2],dp), round(v2[3]/v1[3],dp), int((v2[4]+v1[4])/2) ]
else: return [round(v2[0]*v1[0],dp), round(v2[1]*v1[1],dp), round(v2[2]*v1[2],dp), round(v2[3]*v1[3],dp), int((v2[4]+v1[4])/2) ]
def average_out(p,v0,v1,v2,v3,v4,v5):
A =[v0,v1,v2,v3,v4,v5]
i=0
o=0
h=0
l=0
c=0
v=0
dp = 5
if p[3:6]=="JPY": dp = 3
for vv in A:
if vv[0]>0:
i+=1
o+=vv[0]
h+=vv[1]
l+=vv[2]
c+=vv[3]
v+=vv[4]
if i==0: return -1,-1,-1,-1,-1
return round(o/i,dp),round(h/i,dp),round(l/i,dp),round(c/i,dp),int(v/i)
more = [True,True,True,True,True,True]
A = []
for i in range(0,6):
A.append([[],[]])
for j in range(0,2):
A[i][j]={}
while True:
d,t,o,h,l,c,a,v = parseLine(op[i][j])
if d<0: break
y3=int(d/10000)
m3=int((d%10000)/100)
d3=d%100
h3=int(t.split(":")[0])
n3=int(t.split(":")[1])
if (y3<y1) or (y3==y1 and m3<m1) or (y3==y1 and m3==m1 and d3<d1) or (y3==y1 and m3==m1 and d3==d1 and h3<h1) or (y3==y1 and m3==m1 and d3==d1 and h3==h1 and n3<n1): continue
if (y3>y2) or (y3==y2 and m3>m2) or (y3==y2 and m3==m2 and d3>d2) or (y3==y2 and m3==m2 and d3==d2 and h3>h2) or (y3==y2 and m3==m2 and d3==d2 and h3==h2 and n3>n2): break
A[i][j][y3,m3,d3,h3,n3]=[o,h,l,c,v]
B=[]
if m2<m1: m2+=12
for i in range(0,6):
B.append({})
for yy in range(y1,y2+1):
for mm in range(m1,m2+1):
mm = ((mm-1)%12)+1
dd1 = 1
dd2 = 32
if y1==y2 and m1==m2 and d1==d2:
dd1 = d1
dd2 = d1+1
for dd in range(dd1,dd2):
hh1=0
hh2=24
if y1==y2 and m1==m2 and d1==d2 and h1==h2:
hh1=h1
hh2=h1+1
for hh in range(hh1,hh2):
for nn in range(0,60,tf):
key = (yy,mm,dd,hh,nn)
if (key in A[i][0]) and (key in A[i][1]):
B[i][key] = mergeBid(p, pairs[i][0],pairs[i][1], A[i][0][key],A[i][1][key])
else:
B[i][key] = [-1,-1,-1,-1,-1]
DATA = []
for yy in range(y1,y2+1):
for mm in range(m1,m2+1):
mm = ((mm-1)%12)+1
dd1 = 1
dd2 = 32
if y1==y2 and m1==m2 and d1==d2:
dd1 = d1
dd2 = d1+1
for dd in range(dd1,dd2):
hh1=0
hh2=24
if y1==y2 and m1==m2 and d1==d2 and h1==h2:
hh1=h1
hh2=h1+1
for hh in range(hh1,hh2):
for nn in range(0,60,tf):
key = (yy,mm,dd,hh,nn)
o,h,l,c,v=average_out(p,B[0][key],B[1][key],B[2][key],B[3][key],B[4][key],B[5][key])
if o<0: continue
DATA.append([yy,mm,dd,hh,nn,o,h,l,c,v])
if len(DATA)==0: return
dp = 5
if p[3:6]=="JPY": dp = 3
offO = (DATA[0][5]-ooo+DATA[-1][5]-oooo)/2
offH = (DATA[0][6]-ooh+DATA[-1][6]-oooh)/2
offL = (DATA[0][7]-ool+DATA[-1][7]-oool)/2
offC = (DATA[0][8]-ooc+DATA[-1][8]-oooc)/2
oo = ooo
oh = ooh
ol = ool
oc = ooc
DATA[-1][5] = oooo
DATA[-1][6] = oooh
DATA[-1][7] = oool
DATA[-1][8] = oooc
for i in range(1,len(DATA)-1):
#if i==len(DATA)-1:break
dd = DATA[i]
o = (dd[5]-offO+oc)/2
c = (dd[8]-offC+DATA[i+1][5])/2
h = dd[6]-offH
if h<max(o,c): h = max(o,c)
l = dd[7]-offL
if l>min(o,c): l = min(o,c)
hr = int(dd[3])
mo = int(dd[1])
dy = int(dd[2])
if mo<3 or (mo==3 and dy<15) or mo>11 or (mo==11 and dy>7):
hr = (hr+2)%24
if hr<=1: dy=dy+1
else:
hr=(hr+3)%24
if hr<=2: dy=dy+1
wd=str(dd[0])+z(mo)+z(dy)+","+z(hr)+":"+z(dd[4])+":"+z(0)+","+str(round(o,dp))+","+str(round(h,dp))+","+str(round(l,dp))+","+str(round(c,dp))+","+str(int(dd[9]))
wr.write(wd+"\n")
print(p+" filling gap: "+wd)
oc = c
op62,pairs6 = open_other_pairs(p)
w = open("data/"+p+str(tf)+test+".degap.csv",'w')
r = open("data/"+p+str(tf)+".csv",'r')
r.readline()
d,t,o,h,l,c,a,v = parseLine(r)
oy = int(d/10000)
om = int((d%10000)/100)
od = d%100
oh = int(t.split(":")[0])
on = int(t.split(":")[1])
oo = o
ohh= h
ol = l
oc = c
while True:
d,t,o,h,l,c,a,v = parseLine(r)
if d<0: break
cy = int(d/10000)
cm = int((d%10000)/100)
cd = d%100
ch = int(t.split(":")[0])
cn = int(t.split(":")[1])
#if (ch==5 and cn==30): print(str(d)[0:4]+"-"+str(d)[4:6]+"-"+str(d)[6:])
#if (cm==2 and od<26 and abs(cd-od)>3) or (cm!=2 and od<28 and abs(cd-od)>3) or (oh<23 and abs(oh-ch)>1) or (on<60-tf and abs(cn-on)>tf):
if (cm==2 and od<26 and abs(cd-od)>3) or (cm!=2 and od<28 and abs(cd-od)>3) or (oh<22 and abs(oh-ch)>2):
fill_gap(w,op62,pairs6, oy,om,od,oh,on, cy,cm,cd,ch,cn, oo,ohh,ol,oc,o,h,l,c)
#if ch==oh: print(p+" : rejecting repeating hour at "+str(d)+" "+t)
else :
hr = ch
yr = int(d/10000)
mo = int((d%10000)/100)
dy = d%100
if mo<3 or (mo==3 and dy<15) or mo>11 or (mo==11 and dy>7):
hr = (hr+2)%24
if hr<=1: dy=dy+1
else:
hr=(hr+3)%24
if hr<=1: dy=dy+1
wd=z(yr)+z(mo)+z(dy)+","+z(hr)+":"+z(cn)+":"+z(0)+","+str(o)+","+str(h)+","+str(l)+","+str(c)+","+str(v)
#print(p+":"+wd)
w.write(wd+"\n")
oy = cy
om = cm
od = cd
oh = ch
on = cn
oo = o
ohh= h
ol = l
oc = c
w.close()
def generateTF(p):
def parseLineTF(r):
d,t,o,hi,lo,c,a,v = parseLine(r)
if d<0: return -1,-1,-1,-1,-1,-1,-1,-1,-1,-1,-1
y = int(d/10000)
m = int((d%10000)/100)
d = int(d%100)
tm= t.split(":")
h = int(tm[0])
n = int(tm[1])
s = int(tm[2])
#print((y,m,d,h,n,s,o,hi,lo,c,v))
return y,m,d,h,n,s,o,hi,lo,c,v
w = open("data/"+p+"_10s.mt4.csv","w")
#r = open('data/'+p+str(tf)+".degap.csv", "r")
r = open('data/'+p+"_10s.csv", "r")
r.readline()
while True:
y,m,d,h,n,s,o,hi,lo,c,v = parseLineTF(r)
if y<0: break
wd=str(y)+"."+z(m)+"."+z(d)+","+z(h)+":"+z(n)+":"+z(s)+","+str(o)+","+str(hi)+","+str(lo)+","+str(c)+","+str(v)
if (d==2 and h==0 and n==0): print(wd)
w.write(wd+"\n")
r.close()
w.close()
def load_combi13(p):
r = open("Data/"+p+str(tf)+".combi13",'rb')
d = pickle.load(r)
r.close()
return np.array(d[0]),np.array(d[1]),np.array(d[2]),d[3],d[4]
def load_target(p):
r = open("Data/"+p+str(tf)+".combi13",'rb')