import logging
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import random
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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
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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
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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, l2_data_log
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from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
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LCancelBigNumComputer, LatestCancelIndexManager, FastCancelBigNumComputer
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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
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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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from trade.trade_data_manager import CodeActualPriceProcessor
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from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager
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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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__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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__SecondCancelBigNumComputer = SecondCancelBigNumComputer()
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__HourCancelBigNumComputer = HourCancelBigNumComputer()
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__LCancelBigNumComputer = LCancelBigNumComputer()
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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 = l2_trade_util.BlackListCodeManager()
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__WhiteListCodeManager = l2_trade_util.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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# 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
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__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,
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# "保存数据时间（{}）".format(len(add_datas)))
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finally:
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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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if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
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need_cancel = FastCancelBigNumComputer().set_real_order_index(code, index)
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if need_cancel:
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cls.cancel_buy(code, msg="F撤不够2笔触发撤单")
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return
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cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index)
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# 处理华鑫L2数据
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@classmethod
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def process_huaxin(cls, code, origin_datas):
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datas = None
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try:
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l2_data_log.l2_time_log(code, "开始加载历史数据")
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# 加载历史的L2数据
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is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False)
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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 total_datas:
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_start_index = total_datas[-1]["index"] + 1
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l2_data_log.l2_time_log(code, "开始格式化原始数据")
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datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas,
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gpcode_manager.get_limit_up_price(code), _start_index)
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__start_time = round(t.time() * 1000)
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l2_data_log.l2_time_log(code, "开始处理数据")
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if len(datas) > 0:
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cls.process_add_datas(code, datas, 0, __start_time)
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except Exception as e:
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async_log_util.error(logger_l2_error, f"code:{code}")
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async_log_util.exception(logger_l2_error, e)
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finally:
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if datas:
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l2_data_log.l2_time_log(code, "开始保存数据")
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l2.l2_data_util.save_l2_data(code, None, datas)
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@classmethod
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def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time):
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now_time_str = tool.get_now_time_str()
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if len(add_datas) > 0:
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if code not in cls.__trade_log_placr_order_info_dict:
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cls.__trade_log_placr_order_info_dict[code] = trade_record_log_util.PlaceOrderInfo()
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# 拼接数据
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local_today_datas[code].extend(add_datas)
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l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
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l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)
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l2.l2_data_util.load_canceled_buy_no_map(local_today_canceled_buyno_map, code, add_datas)
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l2_data_log.l2_time_log(code, "process_add_datas 加载完数据")
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if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
|
try:
|
if constant.TEST:
|
pass
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# order_begin_pos = cls.__get_order_begin_pos(code)
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# if order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index>=0:
|
# place_order_index = add_datas[-1]["index"]
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# cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
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else:
|
# 获取下单位置
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place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, float(
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gpcode_manager.get_limit_up_price(code)), add_datas)
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if place_order_index:
|
order_begin_pos = cls.__get_order_begin_pos(
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code)
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cls.set_real_place_order_index(code, place_order_index, order_begin_pos)
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async_log_util.info(logger_l2_process, "code:{} 获取到下单真实位置：{}", code, place_order_index)
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except:
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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, "开盘涨停：{}", code)
|
# 保存涨停时间
|
cls.__LimitUpTimeManager.save_limit_up_time(code, "09:30:00")
|
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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")
|
|
if len(add_datas) > 0:
|
# 是否为首板代码
|
is_first_code = True # gpcode_manager.FirstCodeManager().is_in_first_record(code)
|
# 计算量
|
volume_rate = code_volumn_manager.get_volume_rate(code)
|
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()
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# score = first_code_score_manager.get_score(code, volume_rate, limit_up_time, True)
|
score = None
|
cls.__l2PlaceOrderParamsManagerDict[code] = l2_trade_factor.L2PlaceOrderParamsManager(code, is_first_code,
|
volume_rate,
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volume_rate_index,
|
score,
|
total_datas[-1][
|
'val']['time'])
|
cls.volume_rate_info[code] = (volume_rate, volume_rate_index)
|
|
latest_time = add_datas[len(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):
|
# 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
|
l2_data_log.l2_time_log(code, "process_add_datas 开始处理")
|
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 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)
|
|
async_log_util.info(logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 截图时间戳：{}", code,
|
add_datas[0]["index"],
|
add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
|
capture_timestamp)
|
|
# 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
|
|
# S撤
|
def s_cancel(_buy_single_index, _buy_exec_index):
|
_start_time = round(t.time() * 1000)
|
# S撤单计算，看秒级大单撤单
|
try:
|
b_need_cancel, b_cancel_data = cls.__SecondCancelBigNumComputer.need_cancel(code, _buy_single_index,
|
_buy_exec_index,
|
start_index,
|
end_index, total_data,
|
code_volumn_manager.get_volume_rate_index(
|
buy_volume_rate),
|
cls.volume_rate_info[code][
|
1],
|
is_first_code)
|
if b_need_cancel:
|
return b_cancel_data, "S大单撤销比例触发阈值"
|
except Exception as e:
|
logging.exception(e)
|
async_log_util.error(logger_l2_error,
|
f"S撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")
|
async_log_util.exception(logger_l2_error, e)
|
finally:
|
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time,
|
# "已下单-s级大单估算")
|
pass
|
return None, ""
|
|
# 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)
|
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)
|
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, ""
|
|
# F撤
|
def f_cancel(_buy_single_index, _buy_exec_index):
|
try:
|
b_need_cancel, b_cancel_data = FastCancelBigNumComputer().need_cancel(code, start_index, end_index,
|
order_begin_pos)
|
if b_need_cancel and b_cancel_data:
|
return b_cancel_data, f"F撤"
|
except Exception as e:
|
if constant.TEST:
|
logging.exception(e)
|
async_log_util.error(logger_l2_error,
|
f"F撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
|
async_log_util.exception(logger_l2_error, e)
|
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, ""
|
|
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:
|
buy_volume_rate = 0.2
|
cancel_data, cancel_msg = None, ""
|
if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
|
cancel_data, cancel_msg = f_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)
|
# 暂时取消S撤
|
# if not cancel_data:
|
# cancel_data, cancel_msg = s_cancel(buy_single_index, 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:
|
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 __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code):
|
__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)
|
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)
|
cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
|
order_begin_pos.buy_single_index)
|
l2_log.debug(code, "处理买入成功")
|
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)
|
info = cls.__trade_log_placr_order_info_dict[code]
|
info.mode = order_begin_pos.mode
|
info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
|
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 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 cls.__PauseBuyCodesManager.is_in_cache(code):
|
return False, True, f"该代码被暂停交易"
|
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
|
if float(limit_up_price) >= constant.MAX_CODE_PRICE:
|
return False, True, f"股价大于{constant.MAX_CODE_PRICE}块"
|
|
if code_nature_analyse.LatestMaxVolumeManager().is_latest_max_volume(code):
|
# 最近几天有最大量，判断量比是否大于60%
|
if cls.volume_rate_info[code][0] < 0.6:
|
return False, True, f"近日出现最大量，当日量比({cls.volume_rate_info[code][0]})小于0.6"
|
|
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
|
total_data = local_today_datas.get(code)
|
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"
|
if float(limit_up_price) - float(trade_price) > 0.00001:
|
# 计算信号起始位置到当前的手数
|
order_begin_pos = cls.__get_order_begin_pos(
|
code)
|
num_operate_map = local_today_num_operate_map.get(code)
|
total_num = 0
|
for i in range(order_begin_pos.buy_single_index, total_data[-1]["index"] + 1):
|
data = total_data[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
data[
|
"index"],
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
total_num += left_count * val["num"]
|
m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
|
thresh_hold_num = m_base_val // (float(gpcode_manager.get_limit_up_price(code)) * 100)
|
if total_num < thresh_hold_num * 2:
|
return False, False, f"当前成交价（{trade_price}）尚未在0档及以内 且 纯买额({total_num})小于2倍M值({thresh_hold_num * 2})"
|
# 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"
|
|
# limit_up_info = cls.__Buy1PriceManager.get_limit_up_info(code)
|
# if limit_up_info[0] is None and False:
|
# total_data = local_today_datas.get(code)
|
# buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
|
# code)
|
# # 之前没有涨停过
|
# # 统计买入信号位到当前位置没有撤的大单金额
|
# min_money_w = l2_data_util.get_big_money_val(float(total_data[buy_single_index]["val"]["price"])) // 10000
|
# left_big_num = cls.__SecondCancelBigNumComputer.compute_left_big_num(code,
|
# buy_single_index,
|
# buy_exec_index,
|
# total_data[-1][
|
# "index"],
|
# total_data,
|
# 0, min_money_w)
|
# if left_big_num > 0:
|
# # 重新获取分数与分数索引
|
# 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 = first_code_score_manager.get_score(code, cls.volume_rate_info[code][0], limit_up_time, True,
|
# left_big_num)
|
# cls.__l2PlaceOrderParamsManagerDict[code].set_score(score)
|
|
# logger_place_order_score.info("code={},data='score_index':{},'score_info':{}", code,
|
# cls.__l2PlaceOrderParamsManagerDict[code].score_index,
|
# cls.__l2PlaceOrderParamsManagerDict[code].score_info)
|
|
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"
|
score_index = None # cls.__l2PlaceOrderParamsManagerDict[code].score_index
|
score = None # cls.__l2PlaceOrderParamsManagerDict[code].score
|
score_info = None # cls.__l2PlaceOrderParamsManagerDict[code].score_info
|
|
# lp = LineProfiler()
|
# lp.enable()
|
# lp_wrap = lp(cls.can_buy_first)
|
# results = lp_wrap(code, limit_up_price, score_index, score, score_info, cls.volume_rate_info[code])
|
# output = io.StringIO()
|
# lp.print_stats(stream=output)
|
# lp.disable()
|
# with open(f"{constant.get_path_prefix()}/logs/profile/{code}_can_buy_first.txt", 'w') as f:
|
# f.write(output.getvalue())
|
# return results
|
return cls.can_buy_first(code, limit_up_price)
|
else:
|
return True, False, "在想买名单中"
|
|
@classmethod
|
def can_buy_first(cls, code, limit_up_price):
|
# 判断板块
|
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")
|
yesterday_codes = kpl_data_manager.get_yesterday_limit_up_codes()
|
CodePlateKeyBuyManager.update_can_buy_blocks(code,
|
kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas,
|
kpl_data_manager.KPLLimitUpDataRecordManager.total_datas,
|
yesterday_codes,
|
block_info.get_before_blocks_dict())
|
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
|
|
if can_buy_result is None:
|
return False, True, "尚未获取到板块信息"
|
|
# 板块不可买，且没有挂过单的就不能买
|
if not can_buy_result[0] and trade_manager.CodesTradeStateManager().get_trade_state_cache(
|
code) == trade_manager.TRADE_STATE_NOT_TRADE:
|
return False, True, can_buy_result[1]
|
return True, False, can_buy_result[1]
|
|
@classmethod
|
def __cancel_buy(cls, 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[code]
|
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)
|
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)
|
|
@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:
|
# 尝试计算快速成交信号
|
has_single, _index, sell_info = cls.__compute_fast_order_begin_pos(code, compute_start_index,
|
compute_end_index)
|
fast_msg = None
|
if has_single:
|
order_begin_pos.mode = OrderBeginPosInfo.MODE_FAST
|
order_begin_pos.sell_info = sell_info
|
elif _index is not None and _index < 0:
|
fast_msg = sell_info
|
continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
|
# 有买入信号
|
has_single, _index = cls.__compute_order_begin_pos(code, max(
|
(compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
|
compute_end_index)
|
order_begin_pos.mode = OrderBeginPosInfo.MODE_NORMAL
|
# 如果买入信号与上次的买入信号一样就不能算新的信号
|
if cls.__last_buy_single_dict.get(code) == _index:
|
has_single = None
|
_index = None
|
buy_single_index = _index
|
if has_single:
|
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
|
if order_begin_pos.sell_info:
|
# 暂时打8折
|
order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
|
# 深证总卖大于2000万的票，m值打6折
|
if code.find('00')==0 and sell_info[1] > 2000*10000:
|
order_begin_pos.threshold_money = int(sell_info[1] * 0.6)
|
l2_log.debug(code, "获取到买入信号起始点：{} ,计算范围：{}-{} ，量比：{}，数据：{} 模式：{}（{}）", buy_single_index,
|
compute_start_index,
|
compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index],
|
order_begin_pos.mode, fast_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")
|
|
# 买入纯买额统计
|
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = None, None, None, None, []
|
if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
|
|
threshold_money = order_begin_pos.threshold_money
|
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new = cls.__sum_buy_num_for_order_fast(
|
code,
|
start_process_index,
|
compute_end_index,
|
order_begin_pos.num,
|
order_begin_pos.count,
|
threshold_money,
|
order_begin_pos.buy_single_index)
|
threshold_money = threshold_money_new
|
order_begin_pos.threshold_money = threshold_money
|
else:
|
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(
|
code,
|
start_process_index,
|
compute_end_index,
|
order_begin_pos.num,
|
order_begin_pos.count,
|
threshold_money,
|
order_begin_pos.buy_single_index,
|
order_begin_pos.max_num_set)
|
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：{} 数据：{} ,量比:{} ,下单模式：{}", new_buy_exec_index,
|
threshold_money,
|
buy_nums,
|
buy_count, 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,
|
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,
|
max_num_set=max_num_set_new, mode=order_begin_pos.mode,
|
sell_info=order_begin_pos.sell_info,
|
threshold_money=threshold_money))
|
_start_time = t.time()
|
l2_data_log.l2_time_log(code, "__start_compute_buy 结束")
|
|
# 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)
|
|
# 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):
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
# if float(limit_up_price) >= 10:
|
# return False, -1, "股价大于10块"
|
total_datas = local_today_datas[code]
|
start_time_str = total_datas[start_index]["val"]["time"]
|
# if tool.trade_time_sub(start_time_str, "13:00:00") > 0:
|
# return False, -1, "超过规定时间"
|
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500万
|
if refer_sell_data[1] <= 500 * 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_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
|
|
# 统计买入净买量，不计算在买入信号之前的买撤单
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@classmethod
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def __sum_buy_num_for_order_3(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
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threshold_money, buy_single_index, max_num_set):
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_start_time = t.time()
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total_datas = local_today_datas[code]
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# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
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buy_nums = origin_num
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buy_count = origin_count
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limit_up_price = gpcode_manager.get_limit_up_price(code)
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if limit_up_price is None:
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raise Exception("涨停价无法获取")
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# 目标手数
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threshold_num = round(threshold_money / (limit_up_price * 100))
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# 大目标手数（满足这个就不需要看安全笔数）
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threshold_max_num = int(threshold_num * 1.2)
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# place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
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# 目标订单数量
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threshold_count = cls.__l2PlaceOrderParamsManagerDict[code].get_safe_count()
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buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
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# 可以触发买，当有涨停买信号时才会触发买
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trigger_buy = True
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# 间隔最大时间依次为：3,9,27,81
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max_space_time = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range()
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# 最大买量
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max_buy_num = 0
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max_buy_num_set = set(max_num_set)
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# 需要的最小大单笔数
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big_num_count = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count()
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# 较大单的手数
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bigger_num = round(5000 / limit_up_price)
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for i in range(compute_start_index, compute_end_index + 1):
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data = total_datas[i]
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_val = total_datas[i]["val"]
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trigger_buy = False
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# 必须为连续2秒内的数据
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if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
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cls.__TradePointManager.delete_buy_point(code)
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if i == compute_end_index:
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# 数据处理完毕
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return None, buy_nums, buy_count, None, max_buy_num_set
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else:
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# 计算买入信号，不能同一时间开始计算
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for ii in range(buy_single_index + 1, compute_end_index + 1):
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if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
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return None, buy_nums, buy_count, ii, max_buy_num_set
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# 涨停买
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if L2DataUtil.is_limit_up_price_buy(_val):
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if l2_data_util.is_big_money(_val):
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max_buy_num_set.add(i)
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if _val["num"] >= bigger_num:
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trigger_buy = True
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# 只统计59万以上的金额
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buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
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buy_count += int(total_datas[i]["re"])
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if (buy_nums >= threshold_num and buy_count >= threshold_count) or buy_nums >= threshold_max_num:
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async_log_util.info(logger_l2_trade_buy,
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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)}")
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elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
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if _val["num"] >= bigger_num:
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# 只统计59万以上的金额
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# 涨停买撤
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# 判断买入位置是否在买入信号之前
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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:
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# 找到买撤数据的买入点
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if buy_index >= buy_single_index:
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buy_nums -= int(_val["num"]) * int(data["re"])
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buy_count -= int(data["re"])
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# 大单撤销
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max_buy_num_set.discard(buy_index)
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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)
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else:
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l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index)
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if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
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# 同一秒,当作买入信号之后处理
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buy_nums -= int(_val["num"]) * int(data["re"])
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buy_count -= int(data["re"])
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# 大单撤销
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max_buy_num_set.discard(buy_index)
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l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i)
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else:
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# 未找到买撤数据的买入点
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l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data)
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buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
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buy_count -= int(total_datas[i]["re"])
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l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
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buy_nums, threshold_num)
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max_buy_num_set_count = 0
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for i1 in max_buy_num_set:
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max_buy_num_set_count += total_datas[i1]["re"]
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# 有撤单信号，且小于阈值
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if buy_nums >= threshold_num and buy_count >= threshold_count and trigger_buy and max_buy_num_set_count >= big_num_count:
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try:
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info = cls.__trade_log_placr_order_info_dict[code]
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info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
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except Exception as e:
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async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
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return i, buy_nums, buy_count, None, max_buy_num_set
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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：{}",
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compute_start_index,
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buy_nums,
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threshold_num, buy_count, threshold_count, max_buy_num_set_count, big_num_count)
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return None, buy_nums, buy_count, None, max_buy_num_set
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# 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值)
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# 计算快速买入
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@classmethod
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def __sum_buy_num_for_order_fast(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
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threshold_money_origin, buy_single_index):
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_start_time = t.time()
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total_datas = local_today_datas[code]
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# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
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buy_nums = origin_num
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buy_count = origin_count
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limit_up_price = gpcode_manager.get_limit_up_price(code)
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if limit_up_price is None:
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raise Exception("涨停价无法获取")
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limit_up_price = float(limit_up_price)
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threshold_money = threshold_money_origin
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# 目标手数
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threshold_num = round(threshold_money / (limit_up_price * 100))
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buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
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# 可以触发买，当有涨停买信号时才会触发买
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trigger_buy = True
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# 间隔最大时间为3s
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max_space_time = 3
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for i in range(compute_start_index, compute_end_index + 1):
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data = total_datas[i]
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_val = total_datas[i]["val"]
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trigger_buy = False
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# 必须为连续2秒内的数据
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if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
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cls.__TradePointManager.delete_buy_point(code)
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if i == compute_end_index:
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# 数据处理完毕
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return None, buy_nums, buy_count, None, threshold_money
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else:
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# 计算买入信号，不能同一时间开始计算
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for ii in range(buy_single_index + 1, compute_end_index + 1):
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if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
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return None, buy_nums, buy_count, ii, threshold_money
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if L2DataUtil.is_sell(_val):
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threshold_money += _val["num"] * int(float(_val["price"]) * 100)
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threshold_num = round(threshold_money / (limit_up_price * 100))
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elif L2DataUtil.is_sell_cancel(_val):
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threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
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threshold_num = round(threshold_money / (limit_up_price * 100))
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# 涨停买
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elif L2DataUtil.is_limit_up_price_buy(_val):
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trigger_buy = True
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# 只统计59万以上的金额
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buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
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buy_count += int(total_datas[i]["re"])
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if buy_nums >= threshold_num:
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async_log_util.info(logger_l2_trade_buy,
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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}")
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elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
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# 判断买入位置是否在买入信号之前
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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:
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# 找到买撤数据的买入点
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if buy_index >= buy_single_index:
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buy_nums -= int(_val["num"]) * int(data["re"])
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buy_count -= int(data["re"])
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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)
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else:
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l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index)
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if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
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# 同一秒,当作买入信号之后处理
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buy_nums -= int(_val["num"]) * int(data["re"])
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buy_count -= int(data["re"])
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# 大单撤销
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l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i)
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else:
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# 未找到买撤数据的买入点
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l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data)
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buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
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buy_count -= int(total_datas[i]["re"])
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l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
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buy_nums, threshold_num)
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# 有撤单信号，且小于阈值
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if buy_nums >= threshold_num and trigger_buy:
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try:
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info = cls.__trade_log_placr_order_info_dict[code]
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info.set_trade_factor(threshold_money, 0, [])
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except Exception as e:
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async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
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return i, buy_nums, buy_count, None, threshold_money
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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：{}",
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compute_start_index,
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buy_nums,
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threshold_num, buy_count)
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return None, buy_nums, buy_count, None, threshold_money
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def test_trade_record():
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code = "000333"
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__trade_log_placr_order_info_dict = {code: trade_record_log_util.PlaceOrderInfo()}
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try:
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jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
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code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
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info = __trade_log_placr_order_info_dict[code]
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info.set_buy_index(0, 1)
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if jx_blocks:
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info.set_kpl_blocks(list(jx_blocks))
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elif jx_blocks_by:
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info.set_kpl_blocks(list(jx_blocks_by))
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else:
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info.set_kpl_blocks([])
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trade_record_log_util.add_place_order_log(code, info)
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except:
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pass
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if __name__ == "__main__":
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# test_trade_record()
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# yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]
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# yesterday_codes = set([x[0] for x in yesterday_limit_up_data_records])
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# print(yesterday_codes)
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code = "603003"
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datas = log_export.load_l2_from_log()
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datas = datas.get(code)
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if datas is None:
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datas = []
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l2.l2_data_util.local_today_datas[code] = datas[:191]
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l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map, code,
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l2.l2_data_util.local_today_datas[code])
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l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code,
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l2.l2_data_util.local_today_datas[code])
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start_index = 73
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end_index = 190
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LCancelBigNumComputer().compute_watch_index(code, start_index, end_index)
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