import logging
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import threading
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import time as t
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from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \
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limit_up_time_manager, global_data_loader, gpcode_manager, code_nature_analyse
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import constant
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from db.redis_manager_delegate import RedisUtils
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from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
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from l2.l2_sell_manager import L2MarketSellManager, L2LimitUpSellManager
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from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager
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from l2.place_order_single_data_manager import L2TradeSingleDataProcessor
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from l2.transaction_progress import TradeBuyQueue
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from log_module import async_log_util, log_export
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from third_data import kpl_data_manager, block_info
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from utils import global_util, ths_industry_util, tool, buy_condition_util
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import l2_data_util
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from db import redis_manager_delegate as redis_manager
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from third_data.code_plate_key_manager import CodePlateKeyBuyManager, KPLCodeJXBlockManager
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from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
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trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util
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from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
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transaction_progress, cancel_buy_strategy, place_order_single_data_manager
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from l2.cancel_buy_strategy import SCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
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LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer, NewGCancelBigNumComputer
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from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
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from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
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local_latest_datas, local_today_canceled_buyno_map, local_today_sellno_map
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import l2.l2_data_util
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from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \
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logger_l2_not_buy_reasons, logger_real_place_order_position
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from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager
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from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager, MarketSituationManager
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import concurrent.futures
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class L2DataManager:
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# 格式化数据
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def format_data(self, datas):
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format_datas = []
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for data in datas:
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format_datas.append({"val": data, "re": 1})
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return format_datas
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# 获取新增数据
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def get_add_datas(self, format_datas):
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pass
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# 从数据库加载数据
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def load_data(self, code=None, force=False):
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pass
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# 保存数据
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def save_datas(self, add_datas, datas):
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pass
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# m值大单处理
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class L2BigNumForMProcessor:
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_db = 1
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_redis_manager = redis_manager.RedisManager(1)
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m_big_money_begin_cache = {}
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m_big_money_process_index_cache = {}
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__instance = None
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def __new__(cls, *args, **kwargs):
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if not cls.__instance:
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cls.__instance = super(L2BigNumForMProcessor, cls).__new__(cls, *args, **kwargs)
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cls.__load_datas()
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return cls.__instance
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@classmethod
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def __get_redis(cls):
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return cls._redis_manager.getRedis()
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@classmethod
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def __load_datas(cls):
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_redis = cls._redis_manager.getRedis()
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try:
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keys = RedisUtils.keys(_redis, "m_big_money_begin-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(_redis, k)
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tool.CodeDataCacheUtil.set_cache(cls.m_big_money_begin_cache, code, int(val))
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keys = RedisUtils.keys(_redis, "m_big_money_process_index-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(_redis, k)
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tool.CodeDataCacheUtil.set_cache(cls.m_big_money_process_index_cache, code, int(val))
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finally:
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RedisUtils.realse(_redis)
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# 保存计算开始位置
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def set_begin_pos(self, code, index):
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if self.__get_begin_pos_cache(code) is None:
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tool.CodeDataCacheUtil.set_cache(self.m_big_money_begin_cache, code, index)
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# 保存位置
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key = "m_big_money_begin-{}".format(code)
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RedisUtils.setex_async(self._db, key, tool.get_expire(), index)
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# 获取计算开始位置
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def __get_begin_pos(self, code):
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key = "m_big_money_begin-{}".format(code)
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val = RedisUtils.get(self.__get_redis(), key)
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if val is None:
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return None
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return int(val)
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def __get_begin_pos_cache(self, code):
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cache_result = tool.CodeDataCacheUtil.get_cache(self.m_big_money_begin_cache, code)
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if cache_result[0]:
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return cache_result[1]
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return None
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# 清除已经处理的数据
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def clear_processed_end_index(self, code):
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tool.CodeDataCacheUtil.clear_cache(self.m_big_money_process_index_cache, code)
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key = "m_big_money_process_index-{}".format(code)
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RedisUtils.delete_async(self._db, key)
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# 添加已经处理过的单
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def __set_processed_end_index(self, code, index):
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tool.CodeDataCacheUtil.set_cache(self.m_big_money_process_index_cache, code, index)
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key = "m_big_money_process_index-{}".format(code)
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RedisUtils.setex_async(self._db, key, tool.get_expire(), index)
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# 是否已经处理过
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def __get_processed_end_index(self, code):
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key = "m_big_money_process_index-{}".format(code)
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val = RedisUtils.get(self.__get_redis(), key)
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if val is None:
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return None
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return int(val)
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def __get_processed_end_index_cache(self, code):
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cache_result = tool.CodeDataCacheUtil.get_cache(self.m_big_money_process_index_cache, code)
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if cache_result[0]:
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return cache_result[1]
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return None
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# 处理大单
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def process(self, code, start_index, end_index, limit_up_price):
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begin_pos = self.__get_begin_pos_cache(code)
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if begin_pos is None:
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# 没有获取到开始买入信号
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return
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# 上次处理到的坐标
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processed_index = self.__get_processed_end_index_cache(code)
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if processed_index is None:
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processed_index = 0
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if processed_index >= end_index:
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return
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start_time = round(t.time() * 1000)
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total_datas = local_today_datas[code]
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num_splites = [round(5000 / limit_up_price), round(10000 / limit_up_price), round(20000 / limit_up_price),
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round(30000 / limit_up_price)]
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total_num = 0
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for i in range(max(start_index, processed_index), end_index + 1):
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data = total_datas[i]
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if not L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) and not L2DataUtil.is_limit_up_price_buy(
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data["val"]):
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continue
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# 如果是涨停买撤信号需要看数据位置是否比开始处理时间早
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if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]):
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# 获取买入信号
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buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
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local_today_buyno_map.get(
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code))
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if buy_index is not None and buy_index < begin_pos:
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continue
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# 计算成交金额
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num = int(data["val"]["num"])
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temp = 0
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if num < num_splites[0]:
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pass
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elif num < num_splites[1]:
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temp = 1
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elif num < num_splites[2]:
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temp = round(4 / 3, 3)
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elif num < num_splites[3]:
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temp = 2
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else:
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temp = 4
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count = int(temp * data["re"] * 1000)
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if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]):
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count = 0 - count
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total_num += count
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self.__set_processed_end_index(code, end_index)
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big_money_num_manager.add_num(code, total_num)
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print("m值大单计算范围：{}-{} 时间：{}".format(max(start_index, processed_index), end_index,
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round(t.time() * 1000) - start_time))
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class L2TradeDataProcessor:
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unreal_buy_dict = {}
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volume_rate_info = {}
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# 最近的闪电下单位置,格式为{code:(总卖时间,总卖额)}
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__latest_fast_place_order_info_dict = {}
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__codeActualPriceProcessor = CodeActualPriceProcessor()
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__ths_l2_trade_queue_manager = trade_queue_manager.thsl2tradequeuemanager()
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__thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager()
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__l2PlaceOrderParamsManagerDict = {}
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__last_buy_single_dict = {}
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__TradeBuyQueue = transaction_progress.TradeBuyQueue()
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__latest_process_order_unique_keys = {}
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__latest_process_not_order_unique_keys_count = {}
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__trade_log_placr_order_info_dict = {} # 下单信息保存
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# 初始化
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__TradePointManager = l2_data_manager.TradePointManager()
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__SCancelBigNumComputer = SCancelBigNumComputer()
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__HourCancelBigNumComputer = HourCancelBigNumComputer()
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__LCancelBigNumComputer = LCancelBigNumComputer()
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__GCancelBigNumComputer = NewGCancelBigNumComputer()
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__TradeStateManager = trade_manager.TradeStateManager()
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__CodesTradeStateManager = trade_manager.CodesTradeStateManager()
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__PauseBuyCodesManager = gpcode_manager.PauseBuyCodesManager()
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__Buy1PriceManager = code_price_manager.Buy1PriceManager()
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__AccountAvailableMoneyManager = AccountAvailableMoneyManager()
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__TradeBuyDataManager = trade_data_manager.TradeBuyDataManager()
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__LimitUpTimeManager = limit_up_time_manager.LimitUpTimeManager()
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__BlackListCodeManager = gpcode_manager.BlackListCodeManager()
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__WhiteListCodeManager = gpcode_manager.WhiteListCodeManager()
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__WantBuyCodesManager = gpcode_manager.WantBuyCodesManager()
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__TradeTargetCodeModeManager = TradeTargetCodeModeManager()
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__TradeOrderIdManager = trade_huaxin.TradeOrderIdManager()
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__LatestCancelIndexManager = LatestCancelIndexManager()
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__L2MarketSellManager = L2MarketSellManager()
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__L2LimitUpSellManager = L2LimitUpSellManager()
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__PlaceOrderCountManager = PlaceOrderCountManager()
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__CodeNatureRecordManager = code_nature_analyse.CodeNatureRecordManager()
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__MarketSituationManager = MarketSituationManager()
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__re_compute_threading_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10)
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# 买入锁
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__buy_lock_dict = {}
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# 获取代码评分
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@classmethod
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def get_code_scores(cls):
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score_dict = {}
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for code in cls.__l2PlaceOrderParamsManagerDict:
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score = cls.__l2PlaceOrderParamsManagerDict[code].score
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score_dict[code] = score
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return score_dict
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@classmethod
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# 数据处理入口
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# datas: 本次截图数据
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# capture_timestamp:截图时间戳
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def process(cls, code, datas, capture_timestamp):
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__start_time = round(t.time() * 1000)
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try:
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if len(datas) > 0:
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# 判断价格区间是否正确
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if not code_data_util.is_same_code_with_price(code, float(datas[0]["val"]["price"])):
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raise L2DataException(L2DataException.CODE_PRICE_ERROR,
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"股价不匹配 code-{} price-{}".format(code, datas[0]["val"]["price"]))
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# 加载历史数据,返回数据是否正常
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is_normal = l2.l2_data_util.load_l2_data(code)
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if not is_normal:
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print("历史数据异常:", code)
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# 数据不正常需要禁止交易
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l2_trade_util.forbidden_trade(code, msg="L2历史数据异常")
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# 纠正数据
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if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS:
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# 同花顺需要纠正数据，其他渠道不需要
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datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas)
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_start_index = 0
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if local_today_datas.get(code) is not None and len(
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local_today_datas[code]) > 0:
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_start_index = local_today_datas[code][-1]["index"] + 1
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add_datas = l2.l2_data_util.L2DataUtil.get_add_data(code, local_latest_datas.get(code), datas,
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_start_index)
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# -------------数据增量处理------------
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try:
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cls.process_add_datas(code, add_datas, capture_timestamp, __start_time)
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finally:
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# 保存数据
|
__start_time = round(t.time() * 1000)
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l2.l2_data_util.save_l2_data(code, datas, add_datas)
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# __start_time = l2_data_log.l2_time(code,
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# round(t.time() * 1000) - __start_time,
|
# "保存数据时间（{}）".format(len(add_datas)))
|
finally:
|
if code in cls.unreal_buy_dict:
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cls.unreal_buy_dict.pop(code)
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@classmethod
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def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo):
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trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index)
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l2_log.debug(code, "设置真实下单位：{}", index)
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cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index, is_default=False)
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# 获取真实下单位置之后需要判断F撤
|
try:
|
cancel_result = cancel_buy_strategy.FCancelBigNumComputer().need_cancel_for_deal_fast(code)
|
if cancel_result[0]:
|
L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}")
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else:
|
l2_log.f_cancel_debug(code, f"获取真实成交位的F撤未生效：{cancel_result[1]}")
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except Exception as e:
|
logger_debug.exception(e)
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# 处理华鑫L2数据
|
@classmethod
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def process_huaxin(cls, code, origin_datas):
|
datas = None
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try:
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# 加载历史的L2数据
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is_normal = l2.l2_data_util.l2_data_is_normal(code)
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if not is_normal:
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# 数据不正常需要禁止交易
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l2_trade_util.forbidden_trade(code, msg="L2历史数据异常")
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# 转换数据格式
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_start_index = 0
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total_datas = local_today_datas.get(code)
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if code not in local_today_datas:
|
local_today_datas[code] = []
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if total_datas:
|
_start_index = total_datas[-1]["index"] + 1
|
|
# 如果是板上，就需要剔除板上卖数据, 默认不剔除
|
filter_limit_up_sell = False
|
trade_price_info = HuaXinSellOrderStatisticManager.get_latest_trade_price_info(code)
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limit_up_price = gpcode_manager.get_limit_up_price(code)
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if limit_up_price:
|
limit_up_price = round(float(limit_up_price), 2)
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# if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price:
|
# filter_limit_up_sell = True
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datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas, limit_up_price, _start_index,
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filter_limit_up_sell)
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__start_time = round(t.time() * 1000)
|
if len(datas) > 0:
|
cls.process_add_datas(code, datas, 0, __start_time)
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"code:{code}")
|
# async_log_util.exception(logger_l2_error, e)
|
logger_l2_error.exception(e)
|
finally:
|
if datas:
|
l2.l2_data_util.save_l2_data(code, None, datas)
|
origin_datas.clear()
|
|
@classmethod
|
def __recompute_real_order_index(cls, code, pre_real_order_index, order_info):
|
real_order_index = huaxin_delegate_postion_manager.recompute_for_slow_time(code, order_info,
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pre_real_order_index)
|
if real_order_index:
|
try:
|
exec_index = order_info[6]
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
async_log_util.info(logger_debug,
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f"下单位矫正：真实下单位-{real_order_index} 订单信息-{order_info} 下单信息-{order_begin_pos.to_dict()}")
|
if order_begin_pos and order_begin_pos.buy_exec_index == exec_index:
|
cls.set_real_place_order_index(code, real_order_index, order_begin_pos)
|
async_log_util.info(logger_real_place_order_position,
|
f"真实下单位置矫正：{code}-({real_order_index},1)")
|
except Exception as e:
|
logger_debug.exception(e)
|
|
@classmethod
|
def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time):
|
now_time_str = tool.get_now_time_str()
|
if len(add_datas) > 0:
|
if code not in cls.__trade_log_placr_order_info_dict:
|
cls.__trade_log_placr_order_info_dict[code] = trade_record_log_util.PlaceOrderInfo()
|
# 拼接数据
|
local_today_datas[code].extend(add_datas)
|
l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
|
l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)
|
l2.l2_data_util.load_sell_no_map(local_today_sellno_map, code, add_datas)
|
l2.l2_data_util.load_canceled_buy_no_map(local_today_canceled_buyno_map, code, add_datas)
|
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
|
try:
|
if constant.TEST:
|
pass
|
# order_begin_pos = cls.__get_order_begin_pos(code)
|
# if order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index>=0:
|
# place_order_index = add_datas[-1]["index"]
|
# cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
|
else:
|
# 获取下单位置
|
place_order_index, order_info = huaxin_delegate_postion_manager.get_l2_place_order_position(
|
code, float(
|
gpcode_manager.get_limit_up_price(code)), add_datas)
|
if place_order_index:
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
cls.set_real_place_order_index(code, place_order_index, order_begin_pos)
|
try:
|
cls.__re_compute_threading_pool.submit(
|
cls.__recompute_real_order_index, code, place_order_index, order_info)
|
except:
|
pass
|
async_log_util.info(logger_l2_process, f"code:{code} 获取到下单真实位置：{place_order_index}")
|
|
# 处理涨停卖与涨停卖撤
|
try:
|
for d in add_datas:
|
if L2DataUtil.is_limit_up_price_sell(d['val']):
|
L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell(code, d)
|
elif L2DataUtil.is_limit_up_price_sell_cancel(d['val']):
|
L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code,
|
d['val']['orderNo'])
|
except Exception as e:
|
logger_debug.exception(e)
|
except:
|
async_log_util.error(logger_l2_error, f"{code} 处理真实下单位置出错")
|
# 第1条数据是否为09:30:00
|
if add_datas[0]["val"]["time"] == "09:30:00":
|
if global_util.cuurent_prices.get(code):
|
price_data = global_util.cuurent_prices.get(code)
|
if price_data[1]:
|
# 当前涨停价，设置涨停时间
|
async_log_util.info(logger_l2_process, f"开盘涨停：{code}")
|
# 保存涨停时间
|
cls.__LimitUpTimeManager.save_limit_up_time(code, "09:30:00")
|
|
total_datas = local_today_datas[code]
|
# __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
|
# "l2数据预处理时间")
|
|
# 9:29:55开始处理数据
|
if len(add_datas) > 0 and int(tool.get_now_time_str().replace(":", "")) > int("092955"):
|
# 是否为首板代码
|
is_first_code = True # gpcode_manager.FirstCodeManager().is_in_first_record(code)
|
# 计算量
|
current_sell = cls.__L2MarketSellManager.get_current_total_sell_data(code)
|
total_sell_volume = 0
|
if current_sell and len(current_sell) > 2:
|
total_sell_volume = current_sell[2]
|
volume_rate = code_volumn_manager.get_volume_rate(code, total_sell_volume=total_sell_volume)
|
volume_rate_index = code_volumn_manager.get_volume_rate_index(volume_rate)
|
# 计算分值
|
limit_up_time = cls.__LimitUpTimeManager.get_limit_up_time_cache(code)
|
if limit_up_time is None:
|
limit_up_time = tool.get_now_time_str()
|
|
score = None
|
cls.__l2PlaceOrderParamsManagerDict[code] = l2_trade_factor.L2PlaceOrderParamsManager(code, is_first_code,
|
volume_rate,
|
volume_rate_index,
|
score,
|
total_datas[-1][
|
'val']['time'])
|
cls.volume_rate_info[code] = (volume_rate, volume_rate_index)
|
|
latest_time = add_datas[-1]["val"]["time"]
|
|
# __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
|
# "l2数据准备时间")
|
# 时间差不能太大才能处理
|
if not l2_trade_util.is_in_forbidden_trade_codes(code):
|
# 计算板上卖,当数据少时才计算，否则不计算
|
try:
|
if len(add_datas) < 20:
|
has_limit_up_sell = False
|
for d in add_datas:
|
if L2DataUtil.is_limit_up_price_sell(d["val"]):
|
if d["val"]["num"] * float(d["val"]["price"]) < 5000:
|
continue
|
cls.__L2LimitUpSellManager.add_limit_up_sell(code, d["index"])
|
has_limit_up_sell = True
|
if has_limit_up_sell:
|
LCancelRateManager.compute_big_num_deal_info(code)
|
# elif L2DataUtil.is_limit_up_price_sell_cancel(d["val"]):
|
# cls.__L2LimitUpSellManager.add_limit_up_sell(code, d["index"])
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"计算板上卖出错：{str(e)}")
|
|
# 判断是否已经挂单
|
state = cls.__CodesTradeStateManager.get_trade_state_cache(code)
|
start_index = len(total_datas) - len(add_datas)
|
end_index = len(total_datas) - 1
|
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
|
# 已挂单
|
cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)
|
else:
|
# 未挂单,时间相差不大才能挂单
|
if tool.trade_time_sub(latest_time, "09:32:00") < 0 or l2.l2_data_util.L2DataUtil.is_same_time(
|
now_time_str, latest_time):
|
cls.__process_not_order(code, start_index, end_index, capture_timestamp, is_first_code)
|
l2_log.info(code, logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 线程ID：{}", code,
|
add_datas[0]["index"],
|
add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
|
l2_log.threadIds.get(code))
|
|
# 处理未挂单
|
@classmethod
|
def __process_not_order(cls, code, start_index, end_index, capture_time, is_first_code):
|
__start_time = round(t.time() * 1000)
|
# 获取阈值
|
threshold_money, msg = cls.__get_threshmoney(code)
|
cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code)
|
|
# 测试专用
|
@classmethod
|
def process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True):
|
cls.__process_order(code, start_index, end_index, capture_time, is_first_code, new_add)
|
|
# 处理已挂单
|
@classmethod
|
def __process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True):
|
# 增加推出机制
|
unique_key = f"{start_index}-{end_index}"
|
if cls.__latest_process_order_unique_keys.get(code) == unique_key:
|
async_log_util.error(logger_l2_error, f"重复处理数据：code-{code} start_index-{start_index} end_index-{end_index}")
|
return
|
cls.__latest_process_order_unique_keys[code] = unique_key
|
|
# H撤
|
def h_cancel(_buy_single_index, _buy_exec_index):
|
_start_time = round(t.time() * 1000)
|
try:
|
b_need_cancel, b_cancel_data = cls.__HourCancelBigNumComputer.need_cancel(code, _buy_single_index,
|
_buy_exec_index, start_index,
|
end_index, total_data,
|
code_volumn_manager.get_volume_rate_index(
|
order_begin_pos.buy_volume_rate),
|
cls.volume_rate_info[code][1],
|
is_first_code)
|
if b_need_cancel and b_cancel_data:
|
return b_cancel_data, "H撤"
|
except Exception as e:
|
if constant.TEST:
|
logging.exception(e)
|
# TODO 可能耗时
|
logger_l2_error.exception(e)
|
async_log_util.error(logger_l2_error,
|
f"H撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} {str(e)}")
|
async_log_util.exception(logger_l2_error, e)
|
# logger_l2_error.exception(e)
|
finally:
|
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算")
|
pass
|
return None, ""
|
|
# L撤
|
def l_cancel(_buy_single_index, _buy_exec_index):
|
_start_time = round(t.time() * 1000)
|
try:
|
b_need_cancel, b_cancel_data, extra_msg = cls.__LCancelBigNumComputer.need_cancel(code,
|
_buy_exec_index,
|
start_index,
|
end_index, total_data,
|
is_first_code)
|
if b_need_cancel and b_cancel_data:
|
return b_cancel_data, f"L撤({extra_msg})"
|
except Exception as e:
|
async_log_util.error(logger_l2_error,
|
f"L撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
|
# logger_l2_error.exception(e)
|
async_log_util.exception(logger_l2_error, e)
|
finally:
|
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")
|
pass
|
return None, ""
|
|
# G撤
|
def g_cancel(_buy_single_index, _buy_exec_index):
|
try:
|
b_need_cancel, b_cancel_data, extra_msg = cls.__GCancelBigNumComputer.need_cancel(code,
|
_buy_exec_index,
|
start_index,
|
end_index)
|
if b_need_cancel and b_cancel_data:
|
return b_cancel_data, f"G撤({extra_msg})"
|
except Exception as e:
|
async_log_util.error(logger_l2_error,
|
f"G撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
|
# logger_l2_error.exception(e)
|
async_log_util.exception(logger_l2_error, e)
|
finally:
|
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")
|
pass
|
return None, ""
|
|
# B撤
|
def b_cancel(_buy_single_index, _buy_exec_index):
|
try:
|
b_need_cancel, b_cancel_data, extra_msg = cls.__GCancelBigNumComputer.need_cancel_for_b(code,
|
start_index,
|
end_index)
|
if b_need_cancel and b_cancel_data:
|
return b_cancel_data, f"G撤({extra_msg})"
|
except Exception as e:
|
async_log_util.error(logger_l2_error,
|
f"B撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
|
return None, ""
|
|
if start_index < 0:
|
start_index = 0
|
|
if end_index < start_index:
|
return
|
total_data = local_today_datas.get(code)
|
_start_time = tool.get_now_timestamp()
|
# 获取买入信号起始点
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
# 默认量为0.2
|
if order_begin_pos.buy_volume_rate is None:
|
order_begin_pos.buy_volume_rate = 0.2
|
cancel_data, cancel_msg = None, ""
|
if not cancel_data:
|
cancel_data, cancel_msg = g_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
# 依次处理
|
if not cancel_data:
|
cancel_data, cancel_msg = l_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
# B撤
|
if not cancel_data:
|
cancel_data, cancel_msg = b_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
if not cancel_data:
|
cancel_data, cancel_msg = h_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
if cancel_data and not DCancelBigNumComputer().has_auto_cancel_rules(code):
|
l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}", cancel_data["index"], cancel_msg)
|
# 撤单
|
cls.cancel_buy(code, cancel_msg, cancel_index=cancel_data["index"])
|
# 撤单成功，继续计算下单
|
cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
|
else:
|
pass
|
|
@classmethod
|
def start_buy(cls, code, last_data, last_data_index, is_first_code):
|
cls.__buy(code, 0, last_data, last_data_index, is_first_code)
|
|
@classmethod
|
def get_active_buy_blocks(cls, code):
|
"""
|
获取激进买入的板块
|
@param code:
|
@return:
|
"""
|
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
|
if can_buy_result:
|
return can_buy_result[5]
|
return None
|
|
@classmethod
|
def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code):
|
# 添加买入锁
|
if code not in cls.__buy_lock_dict:
|
cls.__buy_lock_dict[code] = threading.Lock()
|
|
with cls.__buy_lock_dict[code]:
|
# 判断是否可以下单，不处于可下单状态需要返回
|
state = cls.__CodesTradeStateManager.get_trade_state_cache(code)
|
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
|
# 不处于可下单状态
|
return False
|
__start_time = tool.get_now_timestamp()
|
can, need_clear_data, reason = False, False, ""
|
if not is_first_code:
|
can, need_clear_data, reason = cls.__can_buy(code)
|
else:
|
can, need_clear_data, reason = cls.__can_buy_first(code)
|
|
# __start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "最后判断是否能下单", force=True)
|
# 删除虚拟下单
|
if code in cls.unreal_buy_dict:
|
cls.unreal_buy_dict.pop(code)
|
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
if not can:
|
l2_log.debug(code, "不可以下单，原因：{}", reason)
|
trade_record_log_util.add_cant_place_order_log(code, reason)
|
if need_clear_data:
|
trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
|
order_begin_pos.buy_exec_index,
|
local_today_datas.get(code))
|
return False
|
else:
|
l2_log.debug(code, "可以下单，原因：{}", reason)
|
try:
|
l2_log.debug(code, "开始执行买入")
|
trade_manager.start_buy(code, capture_timestamp, last_data,
|
last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
|
l2_log.debug(code, "执行买入成功")
|
################下单成功处理################
|
trade_result_manager.real_buy_success(code, cls.__TradePointManager)
|
l2_log.debug(code, "处理买入成功1")
|
cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
|
order_begin_pos.buy_single_index, is_default=True)
|
l2_log.debug(code, "处理买入成功2")
|
params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc()
|
l2_log.debug(code, params_desc)
|
############记录下单时的数据############
|
try:
|
jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
|
code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
|
if jx_blocks:
|
jx_blocks = jx_blocks[0]
|
if jx_blocks_by:
|
jx_blocks_by = jx_blocks_by[0]
|
|
info = cls.__trade_log_placr_order_info_dict[code]
|
info.mode = order_begin_pos.mode
|
info.mode_desc = order_begin_pos.mode_desc
|
info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
info.set_sell_info(order_begin_pos.sell_info)
|
if jx_blocks:
|
info.set_kpl_blocks(list(jx_blocks))
|
elif jx_blocks_by:
|
info.set_kpl_blocks(list(jx_blocks_by))
|
else:
|
info.set_kpl_blocks([])
|
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
|
if can_buy_result:
|
if not can_buy_result[0] and can_buy_result[1]:
|
info.set_kpl_match_blocks(["独苗"])
|
elif not can_buy_result[0] and not can_buy_result[1]:
|
info.set_kpl_match_blocks(["非独苗不满足身位"])
|
else:
|
temps = []
|
temps.extend(can_buy_result[0])
|
if can_buy_result[5]:
|
temps.append(f"激进买入：{can_buy_result[5]}")
|
info.set_kpl_match_blocks(temps)
|
trade_record_log_util.add_place_order_log(code, info)
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"加入买入记录日志出错：{str(e)}")
|
|
|
|
except Exception as e:
|
async_log_util.exception(logger_l2_error, e)
|
l2_log.debug(code, "执行买入异常:{}", str(e))
|
pass
|
finally:
|
# l2_log.debug(code, "m值影响因子：{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
|
pass
|
return True
|
|
# 是否可以取消
|
@classmethod
|
def __can_cancel(cls, code):
|
if constant.TEST:
|
return True, ""
|
if cls.__WhiteListCodeManager.is_in_cache(code):
|
return False, "代码在白名单中"
|
|
# 暂时注释掉
|
# 14点后如果是板块老大就不需要取消了
|
# now_time_str = tool.get_now_time_str()
|
# if int(now_time_str.replace(":", "")) >= 140000:
|
# industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
|
# if industry is None:
|
# return True, "没有获取到行业"
|
# codes_index = industry_codes_sort.sort_codes(codes, code)
|
# if codes_index is not None and codes_index.get(code) is not None:
|
# # 同一板块中老二后面的不能买
|
# if codes_index.get(code) == 0:
|
# return False, "14:00后老大不能撤单"
|
# elif codes_index.get(code) == 1:
|
# # 判断老大是否都是09：30：00涨停的
|
# # 同1板块老大是09:30:00涨停，老二14：00砸开的不撤
|
# first_count = 0
|
# for key in codes_index:
|
# if codes_index[key] == 0:
|
# first_count += 1
|
# if limit_up_time_manager.get_limit_up_time(key) == "09:30:00":
|
# first_count -= 1
|
# if first_count == 0:
|
# return False, "14:00后老大都开盘涨停，老二不能撤单"
|
|
return True, ""
|
|
# 是否可以买
|
# 返回是否可以买,是否需要清除之前的买入信息，原因
|
@classmethod
|
def __can_buy(cls, code):
|
__start_time = t.time()
|
if not cls.__TradeStateManager.is_can_buy_cache():
|
return False, True, f"今日已禁止交易"
|
# 之前的代码
|
# 首板代码且尚未涨停过的不能下单
|
# is_limited_up = gpcode_manager.FirstCodeManager().is_limited_up(code)
|
# if not is_limited_up:
|
# gpcode_manager.FirstCodeManager().add_limited_up_record([code])
|
# place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(
|
# code)
|
# if place_order_count == 0:
|
# trade_data_manager.PlaceOrderCountManager().place_order(code)
|
# return False, True, "首板代码，且尚未涨停过"
|
|
try:
|
# 买1价格必须为涨停价才能买
|
# buy1_price = cls.buy1PriceManager().get_price(code)
|
# if buy1_price is None:
|
# return False, "买1价尚未获取到"
|
# limit_up_price = gpcode_manager.get_limit_up_price(code)
|
# if limit_up_price is None:
|
# return False, "尚未获取到涨停价"
|
# if abs(float(buy1_price) - float(limit_up_price)) >= 0.01:
|
# return False, "买1价不为涨停价，买1价-{} 涨停价-{}".format(buy1_price, limit_up_price)
|
# 从买入信号起始点到当前数据末尾的纯买手数与当前的卖1做比较，如果比卖1小则不能买入
|
total_datas = local_today_datas[code]
|
if total_datas[-1]["index"] + 1 > len(total_datas):
|
return False, True, "L2数据错误"
|
|
try:
|
sell1_time, sell1_price, sell1_volumn = cls.__ths_l2_trade_queue_manager.get_sell1_info(code)
|
l2_log.buy_debug(code, "卖1信息为：({},{},{})", sell1_time, sell1_price, sell1_volumn)
|
if sell1_time is not None and sell1_volumn > 0:
|
# 获取执行位信息
|
|
order_begin_pos = cls.__get_order_begin_pos(code)
|
buy_nums = order_begin_pos.num
|
for i in range(order_begin_pos.buy_exec_index + 1, total_datas[-1]["index"] + 1):
|
_val = total_datas[i]["val"]
|
# 涨停买
|
if L2DataUtil.is_limit_up_price_buy(_val):
|
# 涨停买
|
buy_nums += _val["num"] * total_datas[i]["re"]
|
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
|
buy_nums -= _val["num"] * total_datas[i]["re"]
|
if buy_nums < sell1_volumn * 0.49:
|
return False, False, "纯买量({})小于卖1量的49%{} 卖1时间：{}".format(buy_nums, sell1_volumn, sell1_time)
|
except Exception as e:
|
logging.exception(e)
|
|
# 量比超过1.3的不能买
|
volumn_rate = cls.volume_rate_info[code][0]
|
if volumn_rate >= 1.3:
|
return False, False, "最大量比超过1.3不能买"
|
|
limit_up_time = cls.__LimitUpTimeManager.get_limit_up_time_cache(code)
|
if limit_up_time is not None:
|
limit_up_time_seconds = l2.l2_data_util.L2DataUtil.get_time_as_second(
|
limit_up_time)
|
if limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second(
|
"13:00:00"):
|
return False, False, "二板下午涨停的不能买，涨停时间为{}".format(limit_up_time)
|
if limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second("14:55:00"):
|
return False, False, "14:55后涨停的不能买，涨停时间为{}".format(limit_up_time)
|
|
# 同一板块中老二后面的不能买
|
industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
|
if industry is None:
|
return True, False, "没有获取到行业"
|
|
codes_index = industry_codes_sort.sort_codes(codes, code)
|
if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1:
|
# 当老大老二当前没涨停
|
return False, False, "同一板块中老三,老四,...不能买"
|
|
if cls.__codeActualPriceProcessor.is_under_water(code, total_datas[-1]["val"]["time"]):
|
# 水下捞且板块中的票小于16不能买
|
# if global_util.industry_hot_num.get(industry) is not None and global_util.industry_hot_num.get(
|
# industry) <= 16:
|
# return False, "水下捞,板块中的票小于2只,为{}".format(global_util.industry_hot_num.get(industry))
|
# 水下捞自由流通市值大于老大的不要买
|
if codes_index.get(code) != 0:
|
# 获取老大的市值
|
for c in codes_index:
|
if codes_index.get(c) == 0 and global_util.zyltgb_map.get(code) > global_util.zyltgb_map.get(c):
|
return False, False, "水下捞，不是老大，且自由流通市值大于老大"
|
|
# 13:30后涨停，本板块中涨停票数<29不能买
|
# if limit_up_time is not None:
|
# if int(limit_up_time.replace(":", "")) >= 133000 and global_util.industry_hot_num.get(industry) is not None:
|
# if global_util.industry_hot_num.get(industry) < 16:
|
# return False, "13:30后涨停，本板块中涨停票数<16不能买"
|
|
if codes_index.get(code) is not None and codes_index.get(code) == 1:
|
# 如果老大已经买成功了, 老二就不需要买了
|
first_codes = []
|
for key in codes_index:
|
if codes_index.get(key) == 0:
|
first_codes.append(key)
|
# 暂时注释掉
|
# for key in first_codes:
|
# state = trade_manager.get_trade_state(key)
|
# if state == trade_manager.TRADE_STATE_BUY_SUCCESS:
|
# # 老大已经买成功了
|
# return False, "老大{}已经买成功，老二无需购买".format(key)
|
#
|
# # 有9点半涨停的老大才能买老二，不然不能买
|
# # 获取老大的涨停时间
|
# for key in first_codes:
|
# # 找到了老大
|
# time_ = limit_up_time_manager.get_limit_up_time(key)
|
# if time_ == "09:30:00":
|
# return True, "9:30涨停的老大，老二可以下单"
|
# return False, "老大非9:30涨停，老二不能下单"
|
|
# 过时 老二，本板块中涨停票数<29 不能买
|
# if codes_index.get(code) is not None and codes_index.get(code) == 1 and global_util.industry_hot_num.get(
|
# industry) is not None:
|
# if global_util.industry_hot_num.get(industry) < 29:
|
# return False, "老二，本板块中涨停票数<29不能买"
|
# 可以下单
|
return True, False, None
|
finally:
|
# l2_data_log.l2_time(code, round((t.time() - __start_time) * 1000), "是否可以下单计算")
|
pass
|
|
@classmethod
|
def __can_buy_first(cls, code):
|
if not cls.__TradeStateManager.is_can_buy_cache():
|
return False, True, f"今日已禁止交易"
|
|
if l2_trade_util.is_in_forbidden_trade_codes(code):
|
return False, True, f"代码禁止交易"
|
|
if cls.__PauseBuyCodesManager.is_in_cache(code):
|
return False, True, f"该代码被暂停交易"
|
now_time_int = int(tool.get_now_time_str().replace(":", ""))
|
if now_time_int >= 145700:
|
return False, True, f"14:57后不能交易"
|
if 130100 >= now_time_int >= 112900:
|
return False, True, f"11:29:00-13:01:00不能交易"
|
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
|
if constant.MIN_CODE_PRICE < float(limit_up_price) < constant.MAX_CODE_PRICE:
|
# 满足条件的单价
|
pass
|
else:
|
# HighIncreaseCodeManager().add_code(code)
|
return False, True, f"股价大于{constant.MAX_CODE_PRICE}块/小于{constant.MIN_CODE_PRICE}块"
|
|
# place_order_count = cls.__PlaceOrderCountManager.get_place_order_count(code)
|
# if place_order_count and place_order_count >= 10:
|
# l2_trade_util.forbidden_trade(code, msg="当日下单次数已达10次")
|
# return False, True, f"当日下单次数已达10次"
|
|
# ---------均价约束-------------
|
average_rate = cls.__Buy1PriceManager.get_average_rate(code)
|
if average_rate and average_rate <= 0.01 and tool.trade_time_sub(tool.get_now_time_str(), "10:30:00") >= 0:
|
return False, True, f"均价涨幅({average_rate})小于1%"
|
|
total_data = local_today_datas.get(code)
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
if not trade_result_manager.can_place_order_for_cancel_time(code, total_data[order_begin_pos.buy_exec_index]):
|
return False, True, f"距离上次挂单小于1000ms"
|
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
|
trade_price = current_price_process_manager.get_trade_price(code)
|
if trade_price is None:
|
return False, True, f"尚未获取到当前成交价"
|
# 判断是否为板上放量：
|
# 1.当前成交价为涨停价
|
# 2.总卖额为0
|
if abs(float(limit_up_price) - float(trade_price)) < 0.001:
|
sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code)
|
if sell_data and sell_data[1] <= 0:
|
# 板上放量，判断是否有放量，放量才会下单
|
# 获取最近1s的主动卖金额
|
min_time = total_data[order_begin_pos.buy_single_index]['val']['time']
|
min_time = tool.trade_time_add_second(min_time, -1)
|
sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code,
|
min_deal_time=min_time)
|
sell_order_num = sum([x[1] for x in sell_orders])
|
sell_money = int(float(limit_up_price) * sell_order_num)
|
if sell_money < 200000:
|
return False, True, f"板上放量金额不足，近1s总卖：{sell_money}小于20w"
|
# 判断成交进度是否距离我们的位置很近
|
trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
|
if False and not is_default and trade_index:
|
not_cancel_num = 0
|
num_operate_map = local_today_num_operate_map.get(code)
|
for i in range(trade_index + 1, total_data[-1]["index"] + 1):
|
if L2DataUtil.is_limit_up_price_buy(total_data[i]["val"]):
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
total_data[
|
i][
|
"index"],
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
not_cancel_num += total_data[i]["val"]["num"]
|
m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
|
not_cancel_money = not_cancel_num * 100 * float(gpcode_manager.get_limit_up_price(code))
|
if m_base_val > not_cancel_money:
|
return False, False, f"成交位置距离当前位置纯买额({not_cancel_money})小于m值({m_base_val})"
|
else:
|
# 判断买1价格档位
|
zyltgb = global_util.zyltgb_map.get(code)
|
if zyltgb is None:
|
global_data_loader.load_zyltgb()
|
zyltgb = global_util.zyltgb_map.get(code)
|
|
if zyltgb >= 200 * 100000000:
|
buy1_price = cls.__Buy1PriceManager.get_buy1_price(code)
|
if buy1_price is None:
|
return False, True, f"尚未获取到买1价"
|
dif = float(limit_up_price) - float(buy1_price)
|
# 大于10档
|
if dif > 0.10001:
|
return False, True, f"自由流通200亿以上，买1剩余档数大于10档，买一（{buy1_price}）涨停（{limit_up_price}）"
|
|
open_limit_up_lowest_price = cls.__Buy1PriceManager.get_open_limit_up_lowest_price(code)
|
# price_pre_close = gpcode_manager.CodePrePriceManager.get_price_pre_cache(code)
|
# if open_limit_up_lowest_price and (
|
# float(open_limit_up_lowest_price) - price_pre_close) / price_pre_close < 0.05:
|
# return False, True, f"炸板后最低价跌至5%以下"
|
|
# 回封的票，下13:15买入需要判断板块是否为独苗
|
# if open_limit_up_lowest_price and int(total_data[-1]["val"]["time"].replace(":", "")) > 131500:
|
# # 获取当前票的涨停原因
|
# if code in LimitUpCodesPlateKeyManager.today_total_limit_up_reason_dict:
|
# limit_up_reason = kpl_data_manager.KPLLimitUpDataRecordManager.get_current_block(code)
|
# if limit_up_reason and limit_up_reason not in constant.KPL_INVALID_BLOCKS:
|
# # 判断是否是独苗
|
# codes = kpl_data_manager.KPLLimitUpDataRecordManager.get_current_codes_by_block(limit_up_reason)
|
# if codes:
|
# codes = copy.deepcopy(codes)
|
# codes.discard(code)
|
# if not codes:
|
# return False, True, f"13:15以后炸板之后下单，（{limit_up_reason}） 为独苗"
|
# 暂时注释想买单功能
|
if not cls.__WantBuyCodesManager.is_in_cache(code):
|
# if cls.__TradeTargetCodeModeManager.get_mode_cache() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES:
|
# return False, True, f"只买想买单中的代码"
|
return cls.can_buy_first(code, limit_up_price)
|
else:
|
return True, False, "在想买单中"
|
|
# 获取可以买的板块
|
@classmethod
|
def __get_can_buy_block(cls, code):
|
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
|
if can_buy_result is None:
|
async_log_util.warning(logger_debug, "没有获取到板块缓存，将获取板块")
|
latest_current_limit_up_records = kpl_data_manager.get_latest_current_limit_up_records()
|
CodePlateKeyBuyManager.update_can_buy_blocks(code,
|
kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas,
|
kpl_data_manager.KPLLimitUpDataRecordManager.total_datas,
|
latest_current_limit_up_records,
|
block_info.get_before_blocks_dict(),
|
kpl_data_manager.KPLLimitUpDataRecordManager.get_current_reason_codes_dict())
|
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
|
return can_buy_result
|
|
@classmethod
|
def can_buy_first(cls, code, limit_up_price):
|
now_timestamp = int(tool.get_now_time_str().replace(":", ""))
|
# 判断板块
|
# (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)
|
can_buy_result = cls.__get_can_buy_block(code)
|
# l2_log.debug(code, "获取到的板块信息：{}", can_buy_result)
|
if can_buy_result is None:
|
return False, True, "尚未获取到板块信息"
|
# -------量的约束--------
|
volume_rate_thresholds = buy_condition_util.get_volume_rate_by_level(
|
1), buy_condition_util.get_volume_rate_by_level(2)
|
|
k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code)
|
# 是否有辨识度
|
is_special = True if k_format and k_format[8][0] else False
|
# 上5个交易日有炸板之后
|
has_open_limit_up_in_5 = True if k_format and len(k_format) >= 11 and k_format[10] else False
|
# 上5个交易日有跌停
|
has_limit_down_in_5 = True if k_format and len(k_format) >= 13 and k_format[12] else False
|
# 是否是强势10分钟
|
is_in_strong_time = now_timestamp <= int("094000")
|
# 是否是强势30分钟
|
is_in_strong_time_30 = now_timestamp <= int("100000")
|
|
# 量参考是否在最近30天
|
# is_refer_volume_date_in_30_days = False
|
# try:
|
# volume_refer_date, volume_refer_date_distance = code_volumn_manager.get_volume_refer_date(code)
|
# if volume_refer_date_distance < 30:
|
# is_refer_volume_date_in_30_days = True
|
# except:
|
# pass
|
|
# 获取市场行情
|
situation = cls.__MarketSituationManager.get_situation_cache()
|
zylt_threshold_as_yi = buy_condition_util.get_zyltgb_threshold(situation)
|
zyltgb_as_yi = round(global_util.zyltgb_map.get(code) / 100000000, 2)
|
|
if zyltgb_as_yi >= zylt_threshold_as_yi[1]:
|
return False, True, f"{zylt_threshold_as_yi[1]}亿以上的都不买（{zyltgb_as_yi}）"
|
|
if zyltgb_as_yi < zylt_threshold_as_yi[0]:
|
return False, True, f"{zylt_threshold_as_yi[0]}亿以下的都不买（{zyltgb_as_yi}）"
|
|
if constant.ALL_ACTIVE_BUY:
|
return True, False, "买所有"
|
|
# 最优市值
|
is_best_zylt = True if zylt_threshold_as_yi[4] <= zyltgb_as_yi <= zylt_threshold_as_yi[5] else False
|
|
if is_special:
|
# 具有辨识度，算作最优市值
|
zyltgb_as_yi = zylt_threshold_as_yi[2] + 1
|
|
# 是否是最优自由流通市值
|
is_better_zylt = True if zylt_threshold_as_yi[2] <= zyltgb_as_yi <= zylt_threshold_as_yi[3] else False
|
|
if is_in_strong_time_30 and is_best_zylt:
|
# 强势30分钟，最优市值, 有可以下单的板块，不看量
|
return True, False, can_buy_result[2]
|
# 注释量的影响
|
# if k_format and (k_format[1][0] or k_format[3][0]) and len(k_format) >= 12 and k_format[11]:
|
# # 破前高/接近前高且30天内有涨停
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
|
# return False, True, f"股价创新高或者逼近前高且30天内有涨停,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
|
# 注释量的影响
|
# if HighIncreaseCodeManager().is_in(code):
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.59:
|
# return False, True, f"5天内3次涨停，量未达到59%（{cls.volume_rate_info[code][0]}）"
|
msg_list = []
|
if is_in_strong_time:
|
msg_list.append("强势10分钟")
|
# 上5个交易日有炸板之后
|
# 注释量的影响
|
# if has_open_limit_up_in_5:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15:
|
# return False, True, f"强势10分钟,上5个交易日炸板,量未达到{0.15}({cls.volume_rate_info[code][0]})"
|
#
|
# # 上5个交易日有跌停
|
# if has_limit_down_in_5:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15:
|
# return False, True, f"强势10分钟,上5个交易日跌停,量未达到{0.15}({cls.volume_rate_info[code][0]})"
|
#
|
# # 获取量的参考日期
|
# if code in global_util.max60_volumn:
|
# day = global_util.max60_volumn[code][1]
|
# if day in HistoryKDatasUtils.get_latest_trading_date_cache(5):
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15 and not is_special:
|
# return False, True, f"强势10分钟，参考量在最近5天，无辨识度，量未达到0.15({cls.volume_rate_info[code][0]})"
|
|
# 独苗
|
if not can_buy_result[0] and can_buy_result[1]:
|
msg_list.append("独苗")
|
if not is_better_zylt:
|
# 如果没有辨识度才不买
|
if not is_special:
|
return False, True, f"强势10分钟，无辨识度， 独苗（{can_buy_result[4]}）不下单（{can_buy_result[4]}）自由流通市值（{zyltgb_as_yi}）不是特优市值"
|
# 注释量的影响
|
# if k_format and (k_format[1][0] or k_format[3][0]):
|
# msg_list.append("股价创新高或者逼近前高")
|
# # 股价创新高或者逼近前高
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
|
# return False, True, f"强势10分钟，独苗（{can_buy_result[4]}），股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
# else:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
|
# 0] and not is_special:
|
# return False, True, f"强势10分钟，无辨识度，独苗（{can_buy_result[4]}）,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}"
|
elif not can_buy_result[0]:
|
return False, True, f"非独苗不满足身位：{can_buy_result[2]}"
|
else:
|
msg_list.append("非独苗")
|
if not is_better_zylt:
|
msg_list.append("不满足自由流通")
|
# 注释量的影响
|
# if k_format and (k_format[1][0] or k_format[3][0]):
|
# # 股价创新高或者逼近前高
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
|
# return False, True, f"强势10分钟，后排，不满足自由市值，股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
# else:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
|
# 0] and not is_special:
|
# return False, True, f"强势10分钟，后排,无辨识度，不满足自由市值，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}"
|
else:
|
msg_list.append("满足自由流通")
|
# 后排，满足自由流通市值需要下单
|
return True, False, can_buy_result[2]
|
return True, False, can_buy_result[2]
|
else:
|
|
# 注释量的影响
|
# # 上5个交易日有炸板之后
|
# if has_open_limit_up_in_5:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29:
|
# return False, True, f"非强势10分钟,上5个交易日炸板,量未达到{0.29}({cls.volume_rate_info[code][0]})"
|
#
|
# # 上5个交易日有跌停
|
# if has_limit_down_in_5:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29:
|
# return False, True, f"非强势10分钟,上5个交易日跌停,量未达到{0.29}({cls.volume_rate_info[code][0]})"
|
|
# 注释量的影响
|
# # 获取量的参考日期
|
# if code in global_util.max60_volumn:
|
# day = global_util.max60_volumn[code][1]
|
# if day in HistoryKDatasUtils.get_latest_trading_date_cache(5):
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29 and not is_special:
|
# return False, True, f"参考量在最近5天，无辨识度，量未达到0.29({cls.volume_rate_info[code][0]})"
|
|
# 非强势10分钟只买主线
|
if not can_buy_result[0] and can_buy_result[1]:
|
if not is_special and not is_best_zylt:
|
return False, True, f"非强势10分钟，无辨识度，非特优市值,独苗（{can_buy_result[4]}）不下单"
|
# 注释量的影响
|
# if can_buy_result[3]:
|
# # 强势主线
|
# if not is_better_zylt:
|
# if k_format and (k_format[1][0] or k_format[3][0]):
|
# # 股价创新高或者逼近前高
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
|
# return False, True, f"非强势10分钟，强势主线后排，不满足自由市值，股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
# else:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
|
# 0] and not is_special:
|
# return False, True, f"非强势10分钟，强势主线后排,不满足自由市值，无辨识度，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}"
|
# else:
|
# if k_format and (k_format[1][0] or k_format[3][0]):
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
|
# return False, True, f"非强势10分钟，强势主线后排,满足自由市值，股价创新高或者逼近前高, 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}"
|
# else:
|
# # 非强势主线
|
# if not is_better_zylt:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
|
# 1] and not is_special:
|
# return False, True, f"非强势10分钟，非强势主线后排【主线后排】，不满足自由市值,无辨识度， 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
# else:
|
# if k_format and (k_format[1][0] or k_format[3][0]):
|
# # 股价创新高或者逼近前高
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
|
# return False, True, f"非强势10分钟，非强势主线后排【主线后排】，满足自由市值，股价创新高或者逼近前高, 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"
|
# else:
|
# if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
|
# 0] and not is_special:
|
# return False, True, f"非强势10分钟，非强势主线后排【主线后排】, 满足自由市值，无辨识度，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}"
|
return True, False, can_buy_result[2]
|
|
@classmethod
|
def __cancel_buy(cls, code):
|
if code not in cls.__buy_lock_dict:
|
cls.__buy_lock_dict[code] = threading.Lock()
|
with cls.__buy_lock_dict[code]:
|
try:
|
l2_log.debug(code, "开始执行撤单")
|
trade_manager.start_cancel_buy(code)
|
l2_log.debug(code, "执行撤单成功")
|
return True
|
except Exception as e:
|
logging.exception(e)
|
l2_log.debug(code, "执行撤单异常：{}", str(e))
|
return False
|
finally:
|
pass
|
|
@classmethod
|
def cancel_buy(cls, code, msg=None, source="l2", cancel_index=None):
|
# 是否是交易队列触发
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
total_datas = local_today_datas.get(code)
|
if not total_datas:
|
return False
|
if source == "trade_queue":
|
# 交易队列触发的需要下单后5s
|
if order_begin_pos.buy_exec_index is not None and order_begin_pos.buy_exec_index > 0:
|
now_time_str = tool.get_now_time_str()
|
if tool.trade_time_sub(now_time_str, total_datas[order_begin_pos.buy_exec_index]["val"]["time"]) < 5:
|
return False
|
|
if code in cls.unreal_buy_dict:
|
cls.unreal_buy_dict.pop(code)
|
# 取消买入标识
|
trade_result_manager.virtual_cancel_success(code, order_begin_pos.buy_single_index,
|
order_begin_pos.buy_exec_index, total_datas)
|
else:
|
can_cancel, reason = cls.__can_cancel(code)
|
if not can_cancel:
|
# 不能取消
|
l2_log.cancel_debug(code, "撤单中断，原因：{}", reason)
|
l2_log.debug(code, "撤单中断，原因：{}", reason)
|
return False
|
if cancel_index is None:
|
cancel_index = total_datas[-1]["index"]
|
cls.__LatestCancelIndexManager.set_latest_cancel_index(code, cancel_index)
|
# 添加撤单日志记录
|
trade_record_log_util.add_cancel_msg_log(code, msg)
|
cancel_result = cls.__cancel_buy(code)
|
if cancel_result:
|
trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
|
order_begin_pos.buy_exec_index, total_datas,
|
from_real_cancel=True)
|
l2_log.debug(code, "执行撤单结束，原因：{}", msg)
|
return True
|
|
# 虚拟下单
|
@classmethod
|
def __virtual_buy(cls, code, buy_single_index, buy_exec_index, capture_time):
|
cls.unreal_buy_dict[code] = (buy_exec_index, capture_time)
|
trade_result_manager.virtual_buy_success(code)
|
|
# 是否是在板上买
|
@classmethod
|
def __is_at_limit_up_buy(cls, code_):
|
# 总卖为0，当前成交价为涨停价就判断为板上买
|
current_sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code_)
|
if current_sell_data and tool.trade_time_sub(tool.get_now_time_str(), current_sell_data[0]) < 5:
|
# 5s内的数据才有效
|
if current_sell_data[1] <= 0:
|
# 总卖为0
|
trade_price = current_price_process_manager.get_trade_price(code_)
|
limit_up_price = gpcode_manager.get_limit_up_price(code_)
|
if trade_price and limit_up_price and abs(float(trade_price) - float(limit_up_price)) <= 0.001:
|
# 当前成交价为涨停价
|
return True
|
return False
|
|
@classmethod
|
def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time,
|
is_first_code,
|
new_add=True):
|
|
if compute_end_index < compute_start_index:
|
return
|
|
unique_key = f"{code}-{compute_start_index}-{compute_end_index}"
|
if cls.__latest_process_not_order_unique_keys_count.get(
|
unique_key) and cls.__latest_process_not_order_unique_keys_count.get(unique_key) > 2:
|
async_log_util.error(logger_l2_error,
|
f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}")
|
return
|
if unique_key not in cls.__latest_process_not_order_unique_keys_count:
|
cls.__latest_process_not_order_unique_keys_count[unique_key] = 0
|
cls.__latest_process_not_order_unique_keys_count[unique_key] += 1
|
|
_start_time = tool.get_now_timestamp()
|
total_datas = local_today_datas[code]
|
|
# 获取买入信号计算起始位置
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
|
# 是否为新获取到的位置
|
new_get_single = False
|
buy_single_index = order_begin_pos.buy_single_index
|
if buy_single_index is None:
|
# ------------------------------确定信号种类----------------------------------
|
# 第一步：获取激进下单信号
|
# if code.find('60') == 0:
|
# 激进买
|
continue_count = 1
|
has_single, _index, sell_info, single_msg, mode = cls.__compute_active_order_begin_pos(code, continue_count,
|
compute_start_index,
|
compute_end_index)
|
fast_msg = None
|
if has_single:
|
order_begin_pos.mode = mode
|
order_begin_pos.mode_desc = f"委托触发： {single_msg}"
|
order_begin_pos.sell_info = sell_info
|
fast_msg = sell_info
|
# 用了信号就必须清除掉原有信号
|
place_order_single_data_manager.L2TradeSingleDataManager.clear_data(code)
|
|
if cls.__last_buy_single_dict.get(code) == _index:
|
has_single = None
|
_index = None
|
buy_single_index = _index
|
if has_single:
|
# 判断是否是板上买
|
order_begin_pos.at_limit_up = cls.__is_at_limit_up_buy(code)
|
# -----------------------------买入计算初始化,计算纯买额阈值-----------------------
|
cls.__last_buy_single_dict[code] = buy_single_index
|
new_get_single = True
|
order_begin_pos.num = 0
|
order_begin_pos.count = 0
|
order_begin_pos.buy_single_index = buy_single_index
|
order_begin_pos.threshold_money = int(sell_info[1] * 1.0)
|
order_begin_pos.max_num_set = set()
|
|
l2_log.debug(code, "获取到买入信号起始点：{} ,计算范围：{}-{} ，量比：{}，是否板上买：{}，数据：{} 模式：{}（{}） 信号类型：{}",
|
buy_single_index,
|
compute_start_index,
|
compute_end_index, cls.volume_rate_info[code], order_begin_pos.at_limit_up,
|
total_datas[buy_single_index],
|
order_begin_pos.mode, fast_msg, single_msg)
|
|
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "下单信号计算时间")
|
|
if order_begin_pos.buy_single_index is None:
|
# 未获取到买入信号，终止程序
|
return None
|
|
# 开始计算的位置
|
start_process_index = max(order_begin_pos.buy_single_index, compute_start_index)
|
if new_get_single:
|
start_process_index = order_begin_pos.buy_single_index
|
|
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "计算m值大单")
|
|
# threshold_money, msg = cls.__get_threshmoney(code)
|
|
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m值阈值计算")
|
|
# 设置为总卖额
|
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, max_num_set_new, not_buy_msg = cls.__sum_buy_num_for_order_active(
|
code,
|
start_process_index,
|
compute_end_index,
|
order_begin_pos.num,
|
order_begin_pos.count,
|
order_begin_pos.threshold_money,
|
order_begin_pos.buy_single_index, order_begin_pos.max_num_set, order_begin_pos.sell_info[1])
|
threshold_money = threshold_money_new
|
order_begin_pos.threshold_money = threshold_money
|
|
l2_log.debug(code, "m值-{} 量比:{} rebegin_buy_pos:{}", threshold_money, cls.volume_rate_info[code][0],
|
rebegin_buy_pos)
|
|
# 买入信号位与计算位置间隔2s及以上了
|
if rebegin_buy_pos is not None:
|
# 需要重新计算纯买额
|
cls.__start_compute_buy(code, rebegin_buy_pos, compute_end_index, threshold_money, capture_time,
|
is_first_code, False)
|
return
|
|
if new_buy_exec_index is not None:
|
l2_log.debug(code, "获取到买入执行位置：{} m值：{} 纯买手数：{} 纯买单数：{} 是否板上买：{} 数据：{} ,量比:{} ,下单模式：{}", new_buy_exec_index,
|
threshold_money,
|
buy_nums,
|
buy_count, order_begin_pos.at_limit_up, total_datas[new_buy_exec_index],
|
cls.volume_rate_info[code], order_begin_pos.mode)
|
cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index,
|
buy_exec_index=new_buy_exec_index,
|
buy_compute_index=new_buy_exec_index,
|
num=buy_nums, count=buy_count,
|
max_num_set=max_num_set_new,
|
buy_volume_rate=cls.volume_rate_info[code][0],
|
mode=order_begin_pos.mode,
|
mode_desc=order_begin_pos.mode_desc,
|
sell_info=order_begin_pos.sell_info,
|
threshold_money=threshold_money))
|
cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[new_buy_exec_index]["val"]["time"])
|
l2_log.debug(code, "delete_buy_cancel_point")
|
# 直接下单
|
ordered = cls.__buy(code, capture_time, total_datas[-1], total_datas[-1]["index"], is_first_code)
|
|
# 数据是否处理完毕
|
if new_buy_exec_index < compute_end_index:
|
if ordered:
|
cls.__process_order(code, new_buy_exec_index + 1, compute_end_index, capture_time, is_first_code,
|
False)
|
else:
|
cls.__start_compute_buy(code, new_buy_exec_index + 1, compute_end_index, threshold_money,
|
capture_time,
|
is_first_code, False)
|
else:
|
# 未达到下单条件，保存纯买额，设置纯买额
|
# 记录买入信号位置
|
cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index, buy_exec_index=-1,
|
buy_compute_index=compute_end_index, num=buy_nums,
|
count=buy_count,
|
mode_desc=order_begin_pos.mode_desc,
|
max_num_set=max_num_set_new, mode=order_begin_pos.mode,
|
sell_info=order_begin_pos.sell_info,
|
threshold_money=threshold_money))
|
# 记录没下单原因
|
async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{not_buy_msg}")
|
_start_time = t.time()
|
|
# 获取下单起始信号
|
@classmethod
|
def __get_order_begin_pos(cls, code) -> OrderBeginPosInfo:
|
order_begin_pos = cls.__TradePointManager.get_buy_compute_start_data_cache(
|
code)
|
return order_begin_pos
|
|
# 保存下单起始信号
|
@classmethod
|
def __save_order_begin_data(cls, code, info: OrderBeginPosInfo):
|
cls.__TradePointManager.set_buy_compute_start_data_v2(code, info)
|
|
@classmethod
|
def save_order_begin_data(cls, code, info: OrderBeginPosInfo):
|
cls.__save_order_begin_data(code, info)
|
|
# 计算下单起始信号
|
# compute_data_count 用于计算的l2数据数量
|
@classmethod
|
def __compute_order_begin_pos(cls, code, start_index, continue_count, end_index):
|
|
second_930 = 9 * 3600 + 30 * 60 + 0
|
# 倒数100条数据查询
|
datas = local_today_datas[code]
|
if end_index - start_index + 1 < continue_count:
|
return False, None
|
__time = None
|
|
last_index = None
|
count = 0
|
start = None
|
# now_time_s = tool.get_time_as_second(tool.get_now_time_str())
|
for i in range(start_index, end_index + 1):
|
_val = datas[i]["val"]
|
time_s = L2DataUtil.get_time_as_second(_val["time"])
|
# 时间要>=09:30:00
|
if time_s < second_930:
|
continue
|
|
# if not constant.TEST:
|
# if abs(now_time_s - time_s) > 2:
|
# # 正式环境下不处理2s外的数据
|
# continue
|
|
if L2DataUtil.is_limit_up_price_buy(_val):
|
# 金额要大于50万
|
if _val["num"] * float(_val["price"]) < 5000:
|
continue
|
# 寻找前面continue_count-1个涨停买
|
# for j in range(start_index - 1, -1, -1):
|
# if datas[j]["val"]
|
if last_index is None or (datas[last_index]["val"]["time"] == datas[i]["val"]["time"]):
|
if start is None:
|
start = i
|
last_index = i
|
count += datas[i]["re"]
|
if count >= continue_count:
|
return True, start
|
else:
|
# 本条数据作为起点
|
last_index = i
|
count = datas[i]["re"]
|
start = i
|
|
elif not L2DataUtil.is_sell(_val) and not L2DataUtil.is_sell_cancel(_val):
|
# 剔除卖与卖撤
|
last_index = None
|
count = 0
|
start = None
|
|
return False, None
|
|
# 快速买入法的信号位置查找
|
@classmethod
|
def __compute_fast_order_begin_pos(cls, code, start_index, end_index):
|
total_datas = local_today_datas[code]
|
start_time_str = total_datas[start_index]["val"]["time"]
|
refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str)
|
if refer_sell_data is None:
|
return False, -1, "总卖为空"
|
if cls.__L2MarketSellManager.is_refer_sell_time_used(code, refer_sell_data[0]):
|
return False, -1, "总卖统计时间已被使用"
|
# 是否大于2000万
|
if refer_sell_data[1] <= 2000 * 10000:
|
return False, -1, "总卖小于指定金额"
|
# 统计之前的卖
|
threshold_money = refer_sell_data[1]
|
for i in range(start_index - 1, -1, -1):
|
val = total_datas[i]["val"]
|
if tool.compare_time(val["time"], refer_sell_data[0]) <= 0:
|
break
|
if L2DataUtil.is_sell(val):
|
threshold_money += val["num"] * int(float(val["price"]) * 100)
|
elif L2DataUtil.is_sell_cancel(val):
|
threshold_money -= val["num"] * int(float(val["price"]) * 100)
|
# 是否为本秒的第一个涨停买
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
# 要统计卖与卖撤
|
if L2DataUtil.is_sell(val):
|
threshold_money += val["num"] * int(float(val["price"]) * 100)
|
elif L2DataUtil.is_sell_cancel(val):
|
threshold_money -= val["num"] * int(float(val["price"]) * 100)
|
continue
|
# 50 万以下的不需要
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
# 是否为本s的第一次涨停
|
is_first_limit_up = True
|
for j in range(i - 1, -1, -1):
|
temp_val = total_datas[j]["val"]
|
if temp_val["time"] == val["time"]:
|
if L2DataUtil.is_limit_up_price_buy(temp_val) and temp_val["num"] * float(
|
temp_val["price"]) >= 5000:
|
is_first_limit_up = True
|
break
|
else:
|
break
|
if is_first_limit_up:
|
return True, i, [refer_sell_data[0], threshold_money]
|
return False, None, None
|
|
@classmethod
|
def __get_active_single_start_index(cls, code, start_index, end_index, continue_count, valid_single=False):
|
"""
|
获取主动买的信号起始索引
|
@param code:
|
@param start_index:
|
@param end_index:
|
@param continue_count:
|
@param valid_single: 是否验证成交买入信号
|
@return:
|
"""
|
total_datas = local_today_datas[code]
|
last_index = None
|
count = 0
|
start = None
|
for i in range(start_index, end_index + 1):
|
_val = total_datas[i]["val"]
|
if L2DataUtil.is_limit_up_price_buy(_val):
|
# 时间要>=09:30:00
|
if tool.trade_time_sub(_val["time"], "09:30:00") < 0:
|
continue
|
# 金额要大于50万
|
if _val["num"] * float(_val["price"]) < 5000:
|
continue
|
if last_index is None or (
|
total_datas[last_index]["val"]["time"] == total_datas[i]["val"]["time"]):
|
# 深证非板上放量需要判断是否有信号
|
if valid_single:
|
_single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single(
|
code,
|
tool.to_time_with_ms(
|
_val['time'],
|
_val['tms']))
|
if not _single:
|
continue
|
if start is None:
|
start = i
|
last_index = i
|
count += total_datas[i]["re"]
|
if count >= continue_count:
|
return start
|
else:
|
# 本条数据作为起点
|
last_index = i
|
count = total_datas[i]["re"]
|
start = i
|
elif not L2DataUtil.is_sell(_val) and not L2DataUtil.is_sell_cancel(_val):
|
# 剔除卖与卖撤
|
last_index = None
|
count = 0
|
start = None
|
return None
|
|
# 计算激进买的下单信号
|
@classmethod
|
def __compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index):
|
total_datas = local_today_datas[code]
|
start_time_str = total_datas[start_index]["val"]["time"]
|
if end_index - start_index + 1 < continue_count:
|
return False, -1, "信号不连续", '', OrderBeginPosInfo.MODE_NORMAL
|
# 获取最近的总卖信息
|
# (time_str, round(money), volume, sell_1_info)
|
refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str)
|
active_buy_blocks = cls.get_active_buy_blocks(code)
|
if code.find("60") == 0:
|
if refer_sell_data is None:
|
# 设置默认卖信息
|
refer_sell_data = (start_time_str, 0, 0, (round(float(total_datas[start_index]["val"]["price"]), 2), 0))
|
# 上证:只要有一个涨停买的就是信号
|
for i in range(start_index, end_index + 1):
|
_val = total_datas[i]["val"]
|
if not L2DataUtil.is_limit_up_price_buy(_val):
|
continue
|
# 时间要>=09:30:00
|
if tool.trade_time_sub(_val["time"], "09:30:00") < 0:
|
continue
|
# 金额要大于50万
|
if _val["num"] * float(_val["price"]) < 5000:
|
continue
|
|
return True, i, [refer_sell_data[0], 0], '上证买入', OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_FAST
|
return False, -1, "未获取到激进买的起始信号", '', OrderBeginPosInfo.MODE_NORMAL
|
else:
|
# 深证
|
if refer_sell_data is None:
|
return False, -1, "总卖为空", '', OrderBeginPosInfo.MODE_NORMAL
|
if refer_sell_data is None:
|
refer_sell_data = (start_time_str, 0, 0, (round(float(total_datas[start_index]["val"]["price"]), 2), 0))
|
l2_log.debug(code, f"丢失总卖额，设置默认为0，计算范围：{start_index}-{end_index}")
|
# 判断是否为真的板上放量
|
single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single(
|
code,
|
tool.to_time_with_ms(total_datas[end_index]['val']['time'], total_datas[end_index]['val']['tms']))
|
trade_price_info = HuaXinSellOrderStatisticManager.get_latest_trade_price_info(code)
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
is_limit_up = False
|
if limit_up_price and trade_price_info and abs(trade_price_info[0] - float(limit_up_price)) < 0.001:
|
is_limit_up = True
|
if refer_sell_data[1] > 0 or single or not is_limit_up:
|
# 不是板上放量
|
# 判断最近有没有涨停卖数据
|
limit_up_sell_count = L2TradeSingleDataProcessor.get_latest_limit_up_sell_order_count(code)
|
if limit_up_sell_count == 0 and not single:
|
# 如果没有涨停卖数据而且还没有成交买入信号，就按照原来的总卖额计算
|
threshold_money, sell_1_price = refer_sell_data[1], refer_sell_data[3][0]
|
for i in range(start_index - 1, -1, -1):
|
val = total_datas[i]["val"]
|
if tool.compare_time(val["time"], refer_sell_data[0]) < 0:
|
# 将本s的计算上去
|
break
|
if L2DataUtil.is_sell(val):
|
threshold_money += val["num"] * int(float(val["price"]) * 100)
|
elif L2DataUtil.is_sell_cancel(val):
|
threshold_money -= val["num"] * int(float(val["price"]) * 100)
|
elif L2DataUtil.is_buy(val):
|
# 判断价格（大于卖1） 被买吃掉
|
if round(float(val["price"]), 2) - sell_1_price >= 0:
|
threshold_money -= val["num"] * int(float(val["price"]) * 100)
|
buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count,
|
valid_single=False)
|
if buy_single_index is not None:
|
return True, buy_single_index, [refer_sell_data[0],
|
threshold_money], "上板无涨停卖", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_NORMAL
|
|
else:
|
# 按照成交买入信号计算
|
buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count,
|
valid_single=True)
|
if buy_single_index is not None:
|
return True, buy_single_index, [refer_sell_data[0], 0], "上板有成交买入信号", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_FAST
|
else:
|
# 板上放量：只需要一笔涨停买可作为信号
|
buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count,
|
valid_single=False)
|
if buy_single_index is not None:
|
return True, buy_single_index, [refer_sell_data[0], 0], "板上放量", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_NORMAL
|
|
return False, -1, "未获取到激进买的起始信号", '', OrderBeginPosInfo.MODE_NORMAL
|
|
@classmethod
|
def test__compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index):
|
return cls.__compute_active_order_begin_pos(code, continue_count, start_index, end_index)
|
|
@classmethod
|
def __get_threshmoney(cls, code):
|
m, msg = cls.__l2PlaceOrderParamsManagerDict[code].get_m_val()
|
if trade_manager.CodesTradeStateManager().get_trade_state_cache(code) == trade_manager.TRADE_STATE_NOT_TRADE:
|
# 首次下单m值扩大1.5倍
|
m = int(m * 1.5)
|
return m, msg
|
|
# 计算万手哥笔数
|
@classmethod
|
def __compute_big_money_count(cls, total_datas, start_index, end_index):
|
count = 0
|
for i in range(start_index, end_index + 1):
|
if L2DataUtil.is_limit_up_price_buy(total_datas[i]["val"]):
|
count += total_datas[i]["re"]
|
elif L2DataUtil.is_limit_up_price_buy_cancel(total_datas[i]["val"]):
|
count -= total_datas[i]["re"]
|
return count
|
|
# 将已经成交的过滤掉
|
|
@classmethod
|
def __filter_not_deal_indexes(cls, code, indexes):
|
trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code)
|
if is_default:
|
return indexes
|
if trade_index is None:
|
return indexes
|
findexes = set()
|
for index in indexes:
|
if index < trade_index:
|
continue
|
findexes.add(index)
|
return findexes
|
|
# 统计买入净买量，不计算在买入信号之前的买撤单
|
@classmethod
|
def __sum_buy_num_for_order_3(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
|
threshold_money, buy_single_index, max_num_set, at_limit_up=False):
|
_start_time = t.time()
|
total_datas = local_today_datas[code]
|
# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
|
|
buy_nums = origin_num
|
buy_count = origin_count
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if limit_up_price is None:
|
raise Exception("涨停价无法获取")
|
limit_up_price = float(limit_up_price)
|
|
threshold_num = None
|
# 大目标手数（满足这个就不需要看安全笔数）
|
threshold_max_num = None
|
|
# 目标订单数量
|
threshold_count = cls.__l2PlaceOrderParamsManagerDict[code].get_safe_count()
|
|
# 最大间隔时间ms
|
max_space_time_ms = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range() * 1000
|
|
# ----------------调整板上下单的m值与安全笔数----------------
|
if at_limit_up:
|
# 板上买，获取最近一次闪电下单的总卖额
|
sell_data = cls.__latest_fast_place_order_info_dict.get(code)
|
if sell_data:
|
# 有过闪电下单
|
# 总卖的一半作为m值
|
threshold_num = int(sell_data[1] / (limit_up_price * 100)) // 2
|
threshold_max_num = 1
|
# 信号为之前有待成交的大单（不是正在成交）
|
trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
|
if not is_default and trade_index is not None:
|
temp_big_num = int(30000 / limit_up_price)
|
for i in range(trade_index + 1, buy_single_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 判断是否有大单未成交
|
if temp_big_num > val["num"]:
|
continue
|
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
data[
|
"index"],
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
# 安全笔数与囊括时间范围修改
|
threshold_count = 3
|
max_space_time_ms = 9 * 1000
|
break
|
|
if not threshold_num:
|
# 目标手数
|
threshold_num = round(threshold_money / (limit_up_price * 100))
|
if not threshold_max_num:
|
threshold_max_num = int(threshold_num * 1.2)
|
|
# place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
|
|
# buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
|
|
# 可以触发买，当有涨停买信号时才会触发买
|
trigger_buy = True
|
|
# 如果大单含有率大于50%，则时间囊括范围提高到3s
|
if max_num_set and origin_count:
|
if len(max_num_set) / origin_count > 0.5:
|
max_space_time_ms = 3 * 1000
|
|
# 最大买量
|
max_buy_num = 0
|
max_buy_num_set = set(max_num_set)
|
|
# 需要的最小大单笔数
|
big_num_count = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count()
|
|
# 较大单的手数
|
bigger_num = round(5000 / limit_up_price)
|
|
not_buy_msg = ""
|
for i in range(compute_start_index, compute_end_index + 1):
|
data = total_datas[i]
|
_val = total_datas[i]["val"]
|
trigger_buy = False
|
# 必须为连续2秒内的数据
|
if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
|
cls.__TradePointManager.delete_buy_point(code)
|
if i == compute_end_index:
|
# 数据处理完毕
|
return None, buy_nums, buy_count, None, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
else:
|
# 计算买入信号，不能同一时间开始计算
|
for ii in range(buy_single_index + 1, compute_end_index + 1):
|
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
|
return None, buy_nums, buy_count, ii, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
# 涨停买
|
if L2DataUtil.is_limit_up_price_buy(_val):
|
if l2_data_util.is_big_money(_val):
|
max_buy_num_set.add(i)
|
if _val["num"] >= bigger_num:
|
trigger_buy = True
|
# 只统计59万以上的金额
|
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count += int(total_datas[i]["re"])
|
if (buy_nums >= threshold_num and buy_count >= threshold_count) or buy_nums >= threshold_max_num:
|
l2_log.info(code, logger_l2_trade_buy,
|
f"{code}获取到买入执行点：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num}/{threshold_max_num} 统计纯买单数：{buy_count} 目标纯买单数：{threshold_count}, 大单数量：{len(max_buy_num_set)}")
|
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
|
if _val["num"] >= bigger_num:
|
# 只统计59万以上的金额
|
# 涨停买撤
|
# 判断买入位置是否在买入信号之前
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None:
|
# 找到买撤数据的买入点
|
if buy_index >= buy_single_index:
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
# 大单撤销
|
max_buy_num_set.discard(buy_index)
|
l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num)
|
else:
|
l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index)
|
if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
|
# 同一秒,当作买入信号之后处理
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
# 大单撤销
|
max_buy_num_set.discard(buy_index)
|
l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i)
|
else:
|
# 未找到买撤数据的买入点
|
l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data)
|
buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count -= int(total_datas[i]["re"])
|
l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
|
buy_nums, threshold_num)
|
|
max_buy_num_set_count = 0
|
max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
|
for i1 in max_buy_num_set:
|
max_buy_num_set_count += total_datas[i1]["re"]
|
|
if buy_nums < threshold_num:
|
not_buy_msg = f"【{i}】纯买额不足，{buy_nums}/{threshold_num}"
|
continue
|
|
if buy_count < threshold_count:
|
not_buy_msg = f"【{i}】安全笔数不够，{buy_count}/{threshold_count}"
|
continue
|
|
if not trigger_buy:
|
not_buy_msg = f"【{i}】没有买单触发"
|
continue
|
|
if max_buy_num_set_count < big_num_count:
|
not_buy_msg = f"【{i}】大单数量不足，{max_buy_num_set_count}/{big_num_count}"
|
continue
|
|
try:
|
info = cls.__trade_log_placr_order_info_dict[code]
|
info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
|
|
return i, buy_nums, buy_count, None, max_buy_num_set, "可以下单"
|
|
l2_log.buy_debug(code, "尚未获取到买入执行点，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{} 目标纯买单数：{} 大单数量：{} 目标大单数量：{}",
|
compute_start_index,
|
buy_nums,
|
threshold_num, buy_count, threshold_count, max_buy_num_set_count, big_num_count)
|
|
return None, buy_nums, buy_count, None, max_buy_num_set, not_buy_msg
|
|
# 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值)
|
# 计算快速买入
|
@classmethod
|
def __sum_buy_num_for_order_fast(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
|
threshold_money_origin, buy_single_index, max_num_set):
|
_start_time = t.time()
|
total_datas = local_today_datas[code]
|
# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
|
|
buy_nums = origin_num
|
buy_count = origin_count
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if limit_up_price is None:
|
raise Exception("涨停价无法获取")
|
limit_up_price = float(limit_up_price)
|
|
threshold_money = threshold_money_origin
|
# 目标手数
|
threshold_num = round(threshold_money / (limit_up_price * 100))
|
|
# buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
|
|
# 可以触发买，当有涨停买信号时才会触发买
|
trigger_buy = True
|
# 间隔最大时间为3s
|
max_space_time_ms = 3 * 1000
|
# 不下单的信息
|
not_buy_msg = ""
|
max_buy_num_set = set(max_num_set)
|
place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
|
if place_order_count is None:
|
place_order_count = 0
|
for i in range(compute_start_index, compute_end_index + 1):
|
data = total_datas[i]
|
_val = total_datas[i]["val"]
|
trigger_buy = False
|
# 必须为连续2秒内的数据
|
if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
|
cls.__TradePointManager.delete_buy_point(code)
|
if i == compute_end_index:
|
# 数据处理完毕
|
return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
else:
|
# 计算买入信号，不能同一时间开始计算
|
for ii in range(buy_single_index + 1, compute_end_index + 1):
|
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
|
return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
if L2DataUtil.is_sell(_val):
|
threshold_money += _val["num"] * int(float(_val["price"]) * 100)
|
threshold_num = round(threshold_money / (limit_up_price * 100))
|
elif L2DataUtil.is_sell_cancel(_val):
|
threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
|
threshold_num = round(threshold_money / (limit_up_price * 100))
|
# 涨停买
|
elif L2DataUtil.is_limit_up_price_buy(_val):
|
if l2_data_util.is_big_money(_val):
|
max_buy_num_set.add(i)
|
trigger_buy = True
|
# 只统计59万以上的金额
|
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count += int(total_datas[i]["re"])
|
if buy_nums >= threshold_num:
|
l2_log.info(code, logger_l2_trade_buy,
|
f"{code}获取到买入执行点(快速买入)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}")
|
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
|
# 判断买入位置是否在买入信号之前
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None:
|
|
# 找到买撤数据的买入点
|
if buy_index >= buy_single_index:
|
max_buy_num_set.discard(buy_index)
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num)
|
else:
|
l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index)
|
if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
|
# 同一秒,当作买入信号之后处理
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
max_buy_num_set.discard(buy_index)
|
# 大单撤销
|
l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i)
|
else:
|
# 未找到买撤数据的买入点
|
l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data)
|
buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count -= int(total_datas[i]["re"])
|
l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
|
buy_nums, threshold_num)
|
# 纯买额足够，且笔数大于5笔
|
if buy_nums < threshold_num:
|
not_buy_msg = f"【{i}】纯买额不够，{buy_nums}/{threshold_num}"
|
continue
|
if not trigger_buy:
|
not_buy_msg = f"【{i}】没有买单触发"
|
continue
|
if buy_count < 5:
|
not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{5}"
|
continue
|
|
max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
|
big_money_count_threshhold = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count()
|
if len(max_buy_num_set) < big_money_count_threshhold:
|
not_buy_msg = f"【{i}】大单不满足要求，需要：{big_money_count_threshhold} 总：{len(max_buy_num_set)}"
|
continue
|
|
try:
|
info = cls.__trade_log_placr_order_info_dict[code]
|
info.set_trade_factor(threshold_money, 0, [])
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
|
|
return i, buy_nums, buy_count, None, threshold_money, max_buy_num_set, "可以下单"
|
|
l2_log.buy_debug(code, "尚未获取到买入执行点(快速买入)，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{}",
|
compute_start_index,
|
buy_nums,
|
threshold_num, buy_count)
|
|
return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg
|
|
# 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值)
|
# 计算激进买入
|
@classmethod
|
def __sum_buy_num_for_order_active(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
|
threshold_money_origin, buy_single_index, max_num_set, total_sell_money):
|
_start_time = t.time()
|
total_datas = local_today_datas[code]
|
# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
|
|
buy_nums = origin_num
|
buy_count = origin_count
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if limit_up_price is None:
|
raise Exception("涨停价无法获取")
|
limit_up_price = float(limit_up_price)
|
|
is_at_limit_up = False
|
current_sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code)
|
if current_sell_data and current_sell_data[1] == 0:
|
# 板上放量买
|
is_at_limit_up = True
|
|
threshold_money = threshold_money_origin
|
# 目标手数
|
threshold_num = round(threshold_money / (limit_up_price * 100))
|
bigger_threshold_num = round(5000 / (limit_up_price))
|
|
# buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
|
|
# 可以触发买，当有涨停买信号时才会触发买
|
trigger_buy = True
|
# 间隔最大时间为3s
|
max_space_time_ms = 3 * 1000
|
if code.find("00") == 0 and not is_at_limit_up:
|
# 深证非板上放量
|
max_space_time_ms = 1 * 1000
|
|
# 不下单的信息
|
not_buy_msg = ""
|
max_buy_num_set = set(max_num_set)
|
active_buy_blocks = cls.get_active_buy_blocks(code)
|
for i in range(compute_start_index, compute_end_index + 1):
|
data = total_datas[i]
|
_val = total_datas[i]["val"]
|
trigger_buy = False
|
# 必须为连续2秒内的数据
|
if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
|
cls.__TradePointManager.delete_buy_point(code)
|
if i == compute_end_index:
|
# 数据处理完毕
|
return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
else:
|
# 计算买入信号，不能同一时间开始计算
|
for ii in range(buy_single_index + 1, compute_end_index + 1):
|
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
|
return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
|
# if L2DataUtil.is_sell(_val):
|
# threshold_money += _val["num"] * int(float(_val["price"]) * 100)
|
# threshold_num = round(threshold_money / (limit_up_price * 100))
|
# elif L2DataUtil.is_sell_cancel(_val):
|
# threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
|
# threshold_num = round(threshold_money / (limit_up_price * 100))
|
# 涨停买
|
elif L2DataUtil.is_limit_up_price_buy(_val):
|
if _val['num'] < bigger_threshold_num:
|
continue
|
if l2_data_util.is_big_money(_val):
|
max_buy_num_set.add(i)
|
trigger_buy = True
|
# 只统计59万以上的金额
|
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count += int(total_datas[i]["re"])
|
if buy_nums >= threshold_num:
|
l2_log.info(code, logger_l2_trade_buy,
|
f"{code}获取到买入执行点(激进下单)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}")
|
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
|
# 判断买入位置是否在买入信号之前
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None:
|
|
# 找到买撤数据的买入点
|
if buy_index >= buy_single_index:
|
max_buy_num_set.discard(buy_index)
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num)
|
else:
|
l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index)
|
if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
|
# 同一秒,当作买入信号之后处理
|
buy_nums -= int(_val["num"]) * int(data["re"])
|
buy_count -= int(data["re"])
|
max_buy_num_set.discard(buy_index)
|
# 大单撤销
|
l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i)
|
else:
|
# 未找到买撤数据的买入点
|
l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data)
|
buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
|
buy_count -= int(total_datas[i]["re"])
|
l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
|
buy_nums, threshold_num)
|
|
# 计算信号位置之后的主动卖，加入到阈值之中
|
sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, min_sell_order_no=int(
|
total_datas[buy_single_index]['val']['orderNo']), min_deal_time=tool.trade_time_add_second(
|
total_datas[buy_single_index]['val']['time'], -1))
|
sell_order_num = sum([x[1] for x in sell_orders]) // 100
|
# 纯买额足够，且笔数大于2笔
|
if buy_nums < threshold_num + sell_order_num:
|
l2_log.buy_debug(code, f"激进买主动卖手数：{sell_order_num}")
|
not_buy_msg = f"【{i}】纯买额不够，{buy_nums}/{threshold_num}"
|
continue
|
if not trigger_buy:
|
not_buy_msg = f"【{i}】没有买单触发"
|
continue
|
|
safe_count = 1
|
if active_buy_blocks:
|
# 有激进板块
|
safe_count = 1
|
else:
|
# 无激进下单板块
|
if total_sell_money <= 0:
|
# 所有的板上放量都需要3笔
|
# 板上下单需要安全笔数3笔
|
safe_count = 3
|
else:
|
if code.find("00") == 0:
|
# 深证上板
|
safe_count = 2
|
elif code.find("60") == 0:
|
# 上证安全笔数为3
|
safe_count = 3
|
if buy_count < safe_count:
|
not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{safe_count}"
|
continue
|
|
# max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
|
# big_money_count_threshhold = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count()
|
# if len(max_buy_num_set) < big_money_count_threshhold:
|
# not_buy_msg = f"【{i}】大单不满足要求，需要：{big_money_count_threshhold} 总：{len(max_buy_num_set)}"
|
# continue
|
|
try:
|
info = cls.__trade_log_placr_order_info_dict[code]
|
info.set_trade_factor(threshold_money, 0, [])
|
except Exception as e:
|
async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
|
l2_log.buy_debug(code, f"激进买主动卖手数：{sell_order_num}")
|
|
return i, buy_nums, buy_count, None, threshold_money, max_buy_num_set, "可以下单"
|
|
l2_log.buy_debug(code, "尚未获取到买入执行点(激进买入)，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{} ",
|
compute_start_index,
|
buy_nums,
|
threshold_num, buy_count)
|
|
return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg
|
|
|
def test_trade_record():
|
code = "000333"
|
__trade_log_placr_order_info_dict = {code: trade_record_log_util.PlaceOrderInfo()}
|
try:
|
jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
|
code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
|
info = __trade_log_placr_order_info_dict[code]
|
info.set_buy_index(0, 1)
|
if jx_blocks:
|
info.set_kpl_blocks(list(jx_blocks))
|
elif jx_blocks_by:
|
info.set_kpl_blocks(list(jx_blocks_by))
|
else:
|
info.set_kpl_blocks([])
|
|
trade_record_log_util.add_place_order_log(code, info)
|
except:
|
pass
|
|
|
if __name__ == "__main__":
|
# test_trade_record()
|
# yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]
|
# yesterday_codes = set([x[0] for x in yesterday_limit_up_data_records])
|
# print(yesterday_codes)
|
code = "603003"
|
datas = log_export.load_l2_from_log()
|
datas = datas.get(code)
|
if datas is None:
|
datas = []
|
l2.l2_data_util.local_today_datas[code] = datas[:191]
|
l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map, code,
|
l2.l2_data_util.local_today_datas[code])
|
l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code,
|
l2.l2_data_util.local_today_datas[code])
|
start_index = 73
|
end_index = 190
|
LCancelBigNumComputer().compute_watch_index(code, start_index, end_index)
|
