# l2交易因子
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import global_util
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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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return 6000000 + (yi - 1) * 500000
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# 自由流通市值影响比例
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@classmethod
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def get_zylt_rate(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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if yi <= 30:
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rate = -0.04 + 0.01 * (yi - 1)
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if rate > 0.1:
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rate = 0.1
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else:
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rate = 0.09 - (yi - 31) * 0.002
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if rate < -0.1:
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rate = -0.1
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return round(rate, 4)
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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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t = total_limit_percent / 10
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rate = t / 0.5 * 0.04
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if rate > 0.52:
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rate = 0.52
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return round(rate, 2)
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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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old_volumn = yest
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base_rate = 0.25
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if day60_max > yest:
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old_volumn = day60_max
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base_rate = 0.26
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r = round(today / old_volumn, 2)
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print("比例：", r)
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rate = 0
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if r < 0.11:
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rate = base_rate - (r - 0.01)
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elif r < 0.45:
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rate = base_rate - r
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elif r < 0.75:
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rate = (base_rate - 0.2049) + (r - 0.74) * 0.4
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elif r < 1.38:
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rate = base_rate - (r - 0.75) * 0.8
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else:
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rate = base_rate - 0.5
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return round(rate, 4)
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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 = 0.15
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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 <= 5:
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rate = base_rate - dif * 0.01
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elif dif <= 120:
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# 11:30之前
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rate = 0.0985 - (dif - 6) * 0.0015
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else:
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rate = 0.0985 - (dif - 89 - 6) * 0.0015
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if rate < -0.15:
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rate = -0.15
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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 >= 8:
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return 0.08
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else:
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return num * 0.01
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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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# 自由流通股本影响比例
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zyltgb_rate = cls.get_zylt_rate(zyltgb)
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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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print(
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"zyltgb_rate：{} industry_rate：{} volumn_rate：{} limit_up_time_rate：{} big_money_rate：{}".format(zyltgb_rate,
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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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return round(1 - (zyltgb_rate + industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
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@classmethod
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def compute_rate_by_code(cls, code):
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zyltgb = global_util.zyltgb_map.get(code)
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total_industry_limit_percent = global_util.industry_hot_num.get(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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limit_up_time = global_util.limit_up_time.get(code)
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big_money_num = global_util.big_money_num.get(code)
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return cls.compute_rate(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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@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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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 = 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)
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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_big_money_rate(32))
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print(L2TradeFactorUtil.get_big_money_rate(8))
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print(L2TradeFactorUtil.get_big_money_rate(0))
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