"""
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L2数据交易影响因子
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"""
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# l2交易因子
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import big_money_num_manager
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import constant
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import global_data_loader
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import global_util
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import limit_up_time_manager
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class L2TradeFactorUtil:
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# 获取基础m值，返回单位为元
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@classmethod
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def get_base_safe_val(cls, zyltgb):
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yi = round(zyltgb / 100000000)
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if yi < 1:
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yi = 1
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m = 5000000 + (yi - 1) * 500000
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return round(m * 0.7)
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# 获取行业影响比例
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# total_limit_percent为统计的比例之和乘以100
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@classmethod
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def get_industry_rate(cls, total_limit_percent):
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if total_limit_percent is None:
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return 0
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t = total_limit_percent / 10
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if t < 0.9:
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return 0
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elif t <= 1.1:
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return 0.7
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elif t <= 1.6:
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return 0.4
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else:
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rate = 0
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for i in range(0, 30):
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if t <= 2.1 + 0.5 * i:
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rate = 0.18 + 0.08 * i
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break
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if rate > 0.9:
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rate = 0.9
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return round(rate, 4)
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# 获取量影响比例
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@classmethod
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def get_volumn_rate(cls, day60_max, yest, today):
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if day60_max is None:
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return 0
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if yest is None:
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return 0
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if today is None:
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return 0
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old_volumn = int(yest)
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if int(day60_max) > int(yest):
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old_volumn = int(day60_max)
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r = round(int(today) / old_volumn, 2)
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if r < 0.01:
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r = 0.01
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print("比例：", r)
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rate = 0
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if r <= 0.5:
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rate = 0.6 - (r - 0.01) * 2
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elif r <= 0.85:
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rate = -0.38 + (r - 0.5) * 2.8
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elif r <= 1.15:
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rate = 0.6 - (r - 0.85) * 4
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else:
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rate = -0.6
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return round(rate, 4)
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@classmethod
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def get_volumn_rate_by_code(cls, code):
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volumn_day60_max, volumn_yest, volumn_today = cls.__get_volumns(code)
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rate = cls.get_volumn_rate(volumn_day60_max, volumn_yest, volumn_today)
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return rate
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# 当前股票首次涨停时间的影响比例
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@classmethod
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def get_limit_up_time_rate(cls, time_str):
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times = time_str.split(":")
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start_m = 9 * 60 + 30
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m = int(times[0]) * 60 + int(times[1])
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dif = m - start_m
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base_rate = 0.3
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rate = 0
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if dif < 1:
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rate = base_rate
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elif dif <= 120:
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# 11:30之前
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rate = base_rate - dif * 0.0035
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else:
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rate = base_rate - (dif - 89) * 0.0035
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if rate < -0.3020:
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rate = -0.3020
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return round(rate, 4)
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# 纯万手哥影响值（手数》=9000 OR 金额》=500w）
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@classmethod
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def get_big_money_rate(cls, num):
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if num < 4:
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return 0
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rate = (num - 4) * 0.035 / 4 + 0.06
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if rate > 0.9:
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rate = 0.9
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return round(rate, 4)
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@classmethod
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def compute_rate(cls, zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today,
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limit_up_time, big_money_num):
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# 行业涨停影响比例
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industry_rate = 0
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if total_industry_limit_percent is not None:
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industry_rate = cls.get_industry_rate(total_industry_limit_percent)
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# 量影响比例
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volumn_rate = 0
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if volumn_day60_max is not None and volumn_yest is not None and volumn_today is not None:
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volumn_rate = cls.get_volumn_rate(int(volumn_day60_max), int(volumn_yest), int(volumn_today))
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# 涨停时间影响比例
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limit_up_time_rate = 0
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if limit_up_time is not None:
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limit_up_time_rate = cls.get_limit_up_time_rate(limit_up_time)
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# 万手哥影响
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big_money_rate = 0
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if big_money_num is not None:
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big_money_rate = cls.get_big_money_rate(big_money_num)
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msg = "zyltgb：{} industry_rate：{} volumn_rate：{} limit_up_time_rate：{} big_money_rate：{}".format(zyltgb,
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industry_rate,
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volumn_rate,
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limit_up_time_rate,
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big_money_rate)
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final_rate = round(1 - (industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
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if final_rate < 0.1:
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final_rate = 0.1
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return final_rate, msg
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@classmethod
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def compute_rate_by_code(cls, code):
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factors = cls.__get_rate_factors(code)
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return cls.compute_rate(factors[0], factors[1], factors[2], factors[3], factors[4], factors[5], factors[6])
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# 获取代码当前所在的行业热度
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@classmethod
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def __get_industry_limit_percent(cls, code):
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# 获取行业热度
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industry = global_util.code_industry_map.get(code)
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if industry is None:
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global_data_loader.load_industry()
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industry = global_util.code_industry_map.get(code)
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total_industry_limit_percent = global_util.industry_hot_num.get(industry) if industry is not None else None
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# 当前票是否涨停
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# if total_industry_limit_percent is not None:
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# if code in global_util.limit_up_codes_percent:
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# # 减去当前票的涨幅
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# total_industry_limit_percent -= global_util.limit_up_codes_percent[code]
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return total_industry_limit_percent
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# 获取量
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@classmethod
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def __get_volumns(cls, code):
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volumn_day60_max, volumn_yest, volumn_today = global_util.max60_volumn.get(
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code), global_util.yesterday_volumn.get(code), global_util.today_volumn.get(code)
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if volumn_day60_max is None or volumn_yest is None:
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global_data_loader.load_volumn()
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volumn_day60_max, volumn_yest, volumn_today = global_util.max60_volumn.get(
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code), global_util.yesterday_volumn.get(code), global_util.today_volumn.get(code)
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return volumn_day60_max, volumn_yest, volumn_today
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@classmethod
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def __get_rate_factors(cls, code):
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zyltgb = global_util.zyltgb_map.get(code)
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total_industry_limit_percent = cls.__get_industry_limit_percent(code)
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# 获取量
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volumn_day60_max, volumn_yest, volumn_today = cls.__get_volumns(code)
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# 首次涨停时间
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limit_up_time = global_util.limit_up_time.get(code)
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if limit_up_time is None:
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limit_up_time = limit_up_time_manager.get_limit_up_time(code)
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big_money_num = global_util.big_money_num.get(code)
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if big_money_num is None:
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big_money_num = big_money_num_manager.get_num(code)
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return (
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zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today, limit_up_time,
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big_money_num)
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@classmethod
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def factors_to_string(cls, code):
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vals = cls.__get_rate_factors(code)
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return "zyltgb:%s, total_industry_limit_percent:%s, volumn_day60_max:%s, volumn_yest:%s, volumn_today:%s,limit_up_time:%s, big_money_num:%s" % vals
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@classmethod
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def get_zyltgb(cls, code):
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zyltgb = global_util.zyltgb_map.get(code)
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if zyltgb is None:
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global_data_loader.load_zyltgb()
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zyltgb = global_util.zyltgb_map.get(code)
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return zyltgb
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@classmethod
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def compute_m_value(cls, code):
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zyltgb = global_util.zyltgb_map.get(code)
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if zyltgb is None:
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global_data_loader.load_zyltgb()
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zyltgb = global_util.zyltgb_map.get(code)
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if zyltgb is None:
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print("没有获取到自由流通市值")
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return 10000000, ""
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zyltgb = cls.get_base_safe_val(zyltgb)
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rate, msg = cls.compute_rate_by_code(code)
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# print("m值获取：", code, round(zyltgb * rate))
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return round(zyltgb * rate), msg
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@classmethod
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def get_h_cancel_min_count(cls, code):
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volumn_day60_max, volumn_yest, volumn_today = cls.__get_volumns(code)
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if volumn_day60_max is None or volumn_yest is None or volumn_today is None:
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return constant.H_CANCEL_MIN_COUNT
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rate = round(int(volumn_today) / max(int(volumn_day60_max), int(volumn_yest)), 2)
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counts = [40, 36, 32, 28, 24, 20, 16]
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rates = [0.3, 0.55, 0.8, 1.05, 1.3, 1.55, 10]
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for index in range(0,len(rates)):
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if rate < rates[index]:
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return counts[index]
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return counts[0]
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# 获取安全笔数
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@classmethod
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def get_safe_buy_count(cls, code, is_first=False):
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gb = cls.get_zyltgb(code)
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return cls.get_safe_buy_count_by_gp(gb, is_first)
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@classmethod
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def get_safe_buy_count_by_gp(cls, gb, is_first=False):
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MIN_VAL = 8
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MAX_VAL = 16
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if is_first:
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MIN_VAL = 5
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MAX_VAL = 13
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if not gb:
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# 默认8笔
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return MIN_VAL
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count = gb // 100000000
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if True:
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if count < 8:
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count = MIN_VAL
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elif count < 11:
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count = MIN_VAL + 1
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elif count < 14:
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count = MIN_VAL + 2
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elif count < 17:
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count = MIN_VAL + 3
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elif count < 20:
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count = MIN_VAL + 4
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elif count < 23:
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count = MIN_VAL + 5
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elif count < 26:
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count = MIN_VAL + 6
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elif count < 29:
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count = MIN_VAL + 7
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else:
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count = MAX_VAL
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if count < MIN_VAL:
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count = MIN_VAL
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elif count > MAX_VAL:
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count = MAX_VAL
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return count, MIN_VAL, MAX_VAL
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# l2因子归因数据
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class L2TradeFactorSourceDataUtil:
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# 是否为大单
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@classmethod
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def is_big_money(cls, data):
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if int(data["val"]["limitPrice"]) != 1:
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return False
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if int(data["val"]["num"]) >= 9000:
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return True
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money = round(float(data["val"]["price"]) * int(data["val"]["num"]) * 100)
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if money >= 5000000:
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return True
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return False
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if __name__ == "__main__":
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# print(L2TradeFactorUtil.get_safe_buy_count("003005"))
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# print(L2TradeFactorUtil.get_rate_factors("003004"))
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# print(L2TradeFactorUtil.factors_to_string("003004"))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 4))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 7))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 10))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 16))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 22))
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print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 31))
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# print(L2TradeFactorUtil.get_limit_up_time_rate("11:30:00"))
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# print(L2TradeFactorUtil.get_limit_up_time_rate("13:00:00"))
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# print(L2TradeFactorUtil.get_limit_up_time_rate("13:48:00"))
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# print(L2TradeFactorUtil.get_limit_up_time_rate("13:53:23"))
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# print(L2TradeFactorUtil.get_limit_up_time_rate("14:23:23"))
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# print(L2TradeFactorUtil.get_big_money_rate(2))
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# print(L2TradeFactorUtil.get_big_money_rate(3))
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