"""
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买入策略帮助类
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"""
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import time
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from code_attribute import gpcode_manager, code_volumn_manager
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from l2 import l2_data_util, l2_data_source_util, transaction_progress
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from l2.l2_data_util import L2DataUtil
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from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager
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from log_module import async_log_util
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from log_module.log import logger_l2_error
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from settings.trade_setting import MarketSituationManager, TradeBlockBuyModeManager
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from trade import trade_data_manager
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from utils import tool, buy_condition_util, global_util
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def is_has_small_batch_cancel(code, start_index, end_index):
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"""
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是否有小群撤单:有连续10笔涨停撤单且连续10笔涨停撤单中小于2笔涨停买单
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@param code:
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@param total_datas:
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@param start_index:
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@param end_index:
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@return:
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"""
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# 从end_index找到start_index
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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min_num = int(round(5000 / limit_up_price))
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total_datas = l2_data_util.local_today_datas.get(code)
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end_time_with_ms = l2_data_util.L2DataUtil.get_time_with_ms(total_datas[end_index]["val"])
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buy_count = 0
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cancel_count = 0
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for i in range(end_index - 1, start_index, -1):
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data = total_datas[i]
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val = data["val"]
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if val["num"] < min_num:
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continue
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if not l2_data_util.L2DataUtil.is_limit_up_price_buy_cancel(val):
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if l2_data_util.L2DataUtil.is_limit_up_price_buy(val):
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if cancel_count > 0:
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# 当统计到一个涨停买撤的时候才能统计买
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buy_count += 1
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if buy_count > 1:
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break
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continue
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# 与当前时间相差3s的结束
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if tool.trade_time_sub_with_ms(end_time_with_ms, l2_data_util.L2DataUtil.get_time_with_ms(val)) > 6000:
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break
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cancel_count += 1
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if cancel_count >= 10:
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break
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if cancel_count >= 10 and buy_count < 2:
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return True
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return False
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def is_cancel_rate_reieved(code, threshhold_rate, start_index, end_index):
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"""
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撤单比例是否达到某一个阈值
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@param code:
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@param threshhold_rate:
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@param start_index:
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@param end_index:
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@return:
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"""
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# 统计总共的涨停买
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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min_num = int(round(5000 / limit_up_price))
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total_datas = l2_data_util.local_today_datas.get(code)
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buyno_map = l2_data_util.local_today_buyno_map.get(code)
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buy_count = 0
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for i in range(start_index, end_index):
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data = total_datas[i]
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val = data["val"]
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if not l2_data_util.L2DataUtil.is_limit_up_price_buy(val):
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continue
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if val["num"] < min_num:
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continue
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buy_count += 1
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# 统计总共的涨停买撤
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cancel_count = 0
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for i in range(start_index, end_index):
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data = total_datas[i]
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val = data["val"]
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if not l2_data_util.L2DataUtil.is_limit_up_price_buy_cancel(val):
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continue
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if val["num"] < min_num:
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continue
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buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data, buyno_map)
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if buy_index and start_index <= buy_index:
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cancel_count += 1
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if buy_count == 0:
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return False, "买入数量为0"
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if round(cancel_count / buy_count, 2) > threshhold_rate:
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return True, f"买入数量-{buy_count} 撤单数量-{cancel_count}"
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return False, f"买入数量-{buy_count} 撤单数量-{cancel_count}"
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def is_far_away_from_trade_index(code, trade_index, buy1_money):
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"""
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是否距离成交进度位太远
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@param code:
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@param trade_index:
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@param buy1_money:
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@return:
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"""
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if buy1_money < 1e7:
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# 买1大于1千万才能计算
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return False
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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min_num = int(round(5000 / limit_up_price))
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threshhold_num = int(round(buy1_money * 0.5 / 100 / limit_up_price))
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total_datas = l2_data_util.local_today_datas.get(code)
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end_index = total_datas[-1]["index"]
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total_num = 0
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canceled_buyno_map = l2_data_util.local_today_canceled_buyno_map.get(
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code)
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for i in range(trade_index, end_index + 1):
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data = total_datas[i]
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val = data["val"]
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if not L2DataUtil.is_limit_up_price_buy(val):
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continue
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if val["num"] < min_num:
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continue
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left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
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code,
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i,
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total_datas, canceled_buyno_map)
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if left_count > 0:
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total_num += val["num"]
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if total_num > threshhold_num:
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return True
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return False
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def is_near_by_trade_index(code, trade_index):
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"""
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是否距离成交位近
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@param code:
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@param trade_index:
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@return:
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"""
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# 获取今日成交量与参考量
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# today = get_today_volumn(code)
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# max60, yesterday = get_histry_volumn(code)
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try:
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today_volume = code_volumn_manager.get_today_volumn_cache(code)
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histry_volumn = code_volumn_manager.get_histry_volumn(code)
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if not today_volume or not histry_volumn:
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return False, "尚未获取到量"
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threshhold_volume = (histry_volumn[0][0] - today_volume) // 3
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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threshhold_volumes = threshhold_volume // 100, int(50000 / limit_up_price), int(200000 / limit_up_price)
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total_data = l2_data_util.local_today_datas.get(code)
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total_count = 0
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total_big_count = 0
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total_num = 0
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for i in range(trade_index + 1, total_data[-1]["index"] + 1):
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data = total_data[i]
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val = data["val"]
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if not l2_data_util.L2DataUtil.is_limit_up_price_buy(val):
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continue
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money = val["num"] * float(val["price"])
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if money < 5000:
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continue
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left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
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code,
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i,
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total_data,
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l2_data_util.local_today_canceled_buyno_map.get(
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code))
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if left_count > 0:
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total_num += val["num"]
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total_count += 1
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if money > 29900:
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total_big_count += 1
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if threshhold_volumes[2] < total_num:
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break
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if threshhold_volumes[1] <= total_num <= threshhold_volumes[2] and total_num < threshhold_volumes[
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0] and total_big_count > 0:
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# 剩余的值在500w-2000w之间才会参与计算
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return True, ""
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return False, f"未成交手数-{total_num}，阈值-{threshhold_volumes[0]}，大单数量-{total_big_count}"
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except Exception as e:
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async_log_util.error(logger_l2_error, f"计算是否距离成交进度位置近：{str(e)}")
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return False, "计算异常"
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def is_quantization(code, start_index, end_index):
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"""
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是否是量化单
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@param code:
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@param satrt_index:
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@param end_index:
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@return:(是否是量化, 下次可以下单时间)
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"""
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# 阈值的取值范围
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THRESHOLD_MONEY_RANGE = 1e5, 3e5
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today_volume = code_volumn_manager.get_today_volumn_cache(code)
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histry_volumn = code_volumn_manager.get_histry_volumn(code)
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if not today_volume or not histry_volumn:
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return False, "尚未获取到量"
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threshhold_volume = (histry_volumn[0][0] - today_volume) // 6 // 100
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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threshhold_volumes_range = int(THRESHOLD_MONEY_RANGE[0] / limit_up_price), int(
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THRESHOLD_MONEY_RANGE[1] / limit_up_price)
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if threshhold_volume < threshhold_volumes_range[0]:
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threshhold_volume = threshhold_volumes_range[0]
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if threshhold_volume > threshhold_volumes_range[1]:
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threshhold_volume = threshhold_volumes_range[1]
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total_datas = l2_data_util.local_today_datas.get(code)
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time_as_ms = tool.trade_time_sub_with_ms(
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L2DataUtil.get_time_with_ms(total_datas[end_index]["val"]),
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L2DataUtil.get_time_with_ms(total_datas[start_index]["val"]))
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if time_as_ms > (10 if tool.is_sz_code(code) else 100):
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return False, "非量化"
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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total_buy_nums = 0
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min_num = int(5000 / limit_up_price)
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# 获取成交进度位
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for i in range(start_index, end_index + 1):
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val = total_datas[i]["val"]
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if not L2DataUtil.is_limit_up_price_buy(val):
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continue
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if val["num"] < min_num:
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continue
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total_buy_nums += val["num"]
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if total_buy_nums > threshhold_volume:
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break
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if total_buy_nums > threshhold_volume:
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# 判断是否为量化
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# 深证10ms内，上证100ms内就判定为量化
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HuaXinSellOrderStatisticManager.clear_latest_deal_volume(code)
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next_buy_time = time.time() + buy_condition_util.get_cancel_and_buy_space_time(
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code) / 1000
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# 如果是首次下单，增加一次下单次数
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place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
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if place_order_count == 0:
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trade_data_manager.PlaceOrderCountManager().place_order(code)
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return True, next_buy_time, f"执行位批次数据量({total_buy_nums})大于{threshhold_volume} {start_index}-{end_index}"
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else:
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return False, None
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def is_block_can_buy(code, can_buy_result):
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"""
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板块是否可买
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@param code:
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@param can_buy_result:
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@return:
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"""
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now_timestamp = int(tool.get_now_time_str().replace(":", ""))
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# 判断板块
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# (可以买的板块列表, 是否是独苗, 消息简介,可买的强势主线, 板块关键词)
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if can_buy_result is None:
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return False, True, "尚未获取到板块信息"
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# 是否是强势30分钟
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is_in_strong_time_30 = now_timestamp <= int("100000")
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# 获取市场行情
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situation = MarketSituationManager().get_situation_cache()
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zylt_threshold_as_yi = buy_condition_util.get_zyltgb_threshold(situation)
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zyltgb_as_yi = round(global_util.zyltgb_map.get(code) / 100000000, 2)
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if zyltgb_as_yi < zylt_threshold_as_yi[0]:
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return False, True, f"{zylt_threshold_as_yi[0]}亿以下的都不买（{zyltgb_as_yi}）"
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# 测试时可取消注释
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# if 1 > 0:
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# return True, False, "买所有"
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if zyltgb_as_yi >= zylt_threshold_as_yi[1]:
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return False, True, f"{zylt_threshold_as_yi[1]}亿以上的都不买（{zyltgb_as_yi}）"
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msg_list = []
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if is_in_strong_time_30:
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msg_list.append("强势30分钟")
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# 独苗
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if not can_buy_result[0] and can_buy_result[1]:
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msg_list.append("独苗")
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return True, False, "强势30分钟，独苗"
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elif not can_buy_result[0]:
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return False, True, f"强势30分钟，非独苗不满足身位：{can_buy_result[2]}"
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else:
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msg_list.append("非独苗")
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# 后排，满足自由流通市值需要下单
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return True, False, can_buy_result[2]
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else:
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place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
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if place_order_count > 0:
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return True, False, "之前下过单"
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if not can_buy_result[0]:
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# 没有板块
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if can_buy_result[1]:
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# 是独苗
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if not TradeBlockBuyModeManager().can_buy_unique_block():
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# 不能买独苗
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return False, True, f"非强势30分钟，独苗，不满足身位：{can_buy_result[2]}"
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else:
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# 非独苗，没有可以买入的板块
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return False, True, f"非强势30分钟，非独苗，不满足身位：{can_buy_result[2]}"
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return True, False, can_buy_result[2]
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