まだWIPだが、昨日の記事「KABU+の過去データに調整後終値を付加するスクリプト その2」で完成させたスクリプトを利用するように改造し始めた。
how-to-make-stock-trading-system.dogwood008.com
# -*- coding: utf-8 -*- ############################################################# # Copyright (C) 2020 dogwood008 (original author: Daniel Rodriguez; https://github.com/mementum/backtraders) # # This program is free software: you can redistribute it and/or modify # it under the terms of the GNU General Public License as published by # the Free Software Foundation, either version 3 of the License, or # (at your option) any later version. # # This program is distributed in the hope that it will be useful, # but WITHOUT ANY WARRANTY; without even the implied warranty of # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the # GNU General Public License for more details. # # You should have received a copy of the GNU General Public License # along with this program. If not, see <https://www.gnu.org/licenses/>. ############################################################# import io from math import e import pytz import re from datetime import date, datetime from backtrader.utils import date2num from typing import Any, List import backtrader as bt from add_adj_close import AddAdjClose import pandas as pd class KabuPlusJPCSVData(bt.feeds.YahooFinanceCSVData): ''' Parses pre-downloaded KABU+ CSV Data Feeds (or locally generated if they comply to the Yahoo formatｇ) Specific parameters: - ``dataname``: The filename to parse or a file-like object - ``reverse`` (default: ``True``) It is assumed that locally stored files have already been reversed during the download process - ``round`` (default: ``True``) Whether to round the values to a specific number of decimals after having adjusted the close - ``roundvolume`` (default: ``0``) Round the resulting volume to the given number of decimals after having adjusted it - ``decimals`` (default: ``2``) Number of decimals to round to - ``swapcloses`` (default: ``False``) [2018-11-16] It would seem that the order of *close* and *adjusted close* is now fixed. The parameter is retained, in case the need to swap the columns again arose. ''' DATE = 'date' OPEN = 'open' HIGH = 'high' LOW = 'low' CLOSE = 'close' VOLUME = 'volume' ADJUSTED_CLOSE = 'adjusted_close' params = ( ('reverse', True), ('dataname', None), ('round', True), ('decimals', 2), ('roundvolume', False), ('swapcloses', False), ('headers', True), ('header_names', { # CSVのカラム名と内部的なキーを変換する辞書 DATE: 'date', OPEN: 'open', HIGH: 'high', LOW: 'low', CLOSE: 'close', VOLUME: 'volumes', ADJUSTED_CLOSE: 'adj_close', }), ('header_names_raw', { # CSVのカラム名と内部的なキーを変換する辞書 DATE: '日付', OPEN: '始値', HIGH: '高値', LOW: '安値', #CLOSE: '株価', VOLUME: '出来高', ADJUSTED_CLOSE: '株価', }), ('tz', pytz.timezone('Asia/Tokyo')), ('encoding', 'utf-8'), ('encoding_raw', 'shift_jis'), ('quotechar', '"'), ('delimiter', ','), ('newline', '\r\n'), ('load_csv_before_add_adj_close', True), # 調整後終値付加前のデータを読むならTrue ) def _fetch_value(self, values: dict, column_name: str) -> Any: ''' パラメタで指定された変換辞書を使用して、 CSVで定義されたカラム名に沿って値を取得する。 ''' index = self._column_index(self.p.header_names[column_name]) return values[index] def _column_index(self, column_name: str) -> int: ''' 与えたカラム名に対するインデックス番号を返す。 見つからなければ ValueError を投げる。 ''' return self._csv_headers.index(column_name) # copied from https://github.com/mementum/backtrader/blob/0426c777b0abdfafbb0988f5c31347553256a2de/backtrader/feed.py#L666-L679 def start(self): if self.p.load_csv_before_add_adj_close: self._start_with_convert() else: self._start_without_convert() def _start_with_convert(self): adj_rates: pd.DataFrame = \ AddAdjClose.load_from_dill('./rates_df.dill') AddAdjClose.get_adj_rate hist_data_df: pd.DataFrame = \ AddAdjClose.hist_data(self.p.dataname) def _start_without_convert(self): super(bt.feed.CSVDataBase, self).start() if self.f is None: if hasattr(self.p.dataname, 'readline'): self.f = self.p.dataname else: # Let an exception propagate to let the caller know self.f = io.open(self.p.dataname, 'r', encoding=self.p.encoding, newline=self.p.newline) # https://docs.python.org/ja/3/library/csv.html # csvfile がファイルオブジェクトの場合、 newline='' として開くべきです。 if self.p.headers and self.p.header_names: line = self.f.readline() # CSVとしての読み込みがうまくいかないので、手動でパースする # _csv_reader = csv.reader(line, # delimiter=self.p.delimiter, # quotechar=self.p.quotechar, # quoting=csv.QUOTE_ALL, # skipinitialspace=True) headers = self._parse_csv_row(line) self._csv_headers = headers self.separator = self.p.separator # CSVとしての読み込みがうまくいかないので、手動でパースする def _parse_csv_row(self, row: str) -> List[str]: return self._remove_quotes_newlines(row).split(',') # クオートと改行文字を取り除く def _remove_quotes_newlines(self, txt: str) -> str: try: regex = r'[%s%s]' % (self.p.newline, self.p.quotechar) return re.sub(regex, '', txt) except Exception as e: print(e) def _loadline(self, linetokens_with_quotes_newlines): while True: nullseen = False for tok in linetokens_with_quotes_newlines[1:]: if tok == 'null': nullseen = True linetokens_with_quotes_newlines = self._getnextline() # refetch tokens if not linetokens_with_quotes_newlines: return False # cannot fetch, go away # out of for to carry on wiwth while True logic break if not nullseen: break # can proceed linetokens = list(map(self._remove_quotes_newlines, linetokens_with_quotes_newlines)) dttxt = self._fetch_value(linetokens, self.DATE) # e.g. 20210104 dt = date(int(dttxt[0:4]), int(dttxt[4:6]), int(dttxt[6:8])) dtnum = date2num(datetime.combine(dt, self.p.sessionend)) #dtnum = date2num(datetime.combine(dt, self.p.sessionend), tz=pytz.timezone('Asia/Tokyo')) self.lines.datetime[0] = dtnum o = float(self._fetch_value(linetokens, self.OPEN)) h = float(self._fetch_value(linetokens, self.HIGH)) l = float(self._fetch_value(linetokens, self.LOW)) rawc = float(self._fetch_value(linetokens, self.CLOSE)) self.lines.openinterest[0] = 0.0 adjustedclose = float(self._fetch_value(linetokens, self.ADJUSTED_CLOSE)) v = float(self._fetch_value(linetokens, self.VOLUME)) if self.p.swapcloses: # swap closing prices if requested rawc, adjustedclose = adjustedclose, rawc adjfactor = rawc / adjustedclose o /= adjfactor h /= adjfactor l /= adjfactor v *= adjfactor if self.p.round: decimals = self.p.decimals o = round(o, decimals) h = round(h, decimals) l = round(l, decimals) rawc = round(rawc, decimals) v = round(v, self.p.roundvolume) self.lines.open[0] = o self.lines.high[0] = h self.lines.low[0] = l self.lines.close[0] = adjustedclose self.lines.volume[0] = v return True
