"""
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激进买策略管理
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"""
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# 上一个50W的起始时间：{code:"09:30:00.120"}
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from code_attribute import code_volumn_manager, gpcode_manager
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from l2.huaxin import l2_huaxin_util
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from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
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from l2.l2_sell_manager import L2MarketSellManager
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from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager
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from log_module import async_log_util
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from log_module.log import logger_l2_radical_buy, hx_logger_l2_transaction
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from trade import radical_buy_data_manager
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from trade.radical_buy_data_manager import EveryLimitupBigDealOrderManager
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from utils import tool
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# 不买入
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BUY_MODE_NONE = 0
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# 直接买入
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BUY_MODE_DIRECT = 1
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# 根据L2买入
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BUY_MODE_BY_L2 = 2
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# 开始计时时间
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__start_time_dict = {}
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# 转换时间缓存
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__huaxin_timestamp_convert_temp = {}
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# 主动成交的累计金额
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__deal_active_buy_total_money = {}
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# 最近成交的买单信息{code:[订单号,量,金额]}
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__latest_deal_active_buy_order = {}
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def __get_deal_rate_by(code, huaxin_timestamp):
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"""
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@param code: 代码
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@param huaxin_timestamp: 华鑫成交时间戳
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@return:买入方式, 消息
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"""
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"""
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获取备用成交比例
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@param code:
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@return:
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"""
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refer_sell_data = L2MarketSellManager().get_refer_sell_data(code, l2_huaxin_util.convert_time(
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huaxin_timestamp))
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async_log_util.info(logger_l2_radical_buy, f"参考总卖额（备用）：{code}-{refer_sell_data}")
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if refer_sell_data:
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# 如果总卖额大于500w，成交到一半就直接扫
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if refer_sell_data[1] >= 500 * 1e4:
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THRESH_HOLD_VOLUME = refer_sell_data[2]
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if refer_sell_data[4] and len(refer_sell_data[4]) < 10:
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# 小于10挡，最后一档才是涨停价
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if refer_sell_data[4][-1][1] > 0:
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THRESH_HOLD_VOLUME = refer_sell_data[4][-1][1]
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refer_sell_time = refer_sell_data[0]
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# 获取最近的主动买成交量
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limit_up_deal_infos = HuaXinSellOrderStatisticManager.get_latest_6s_active_buy_deal_volumes(
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code)
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async_log_util.info(logger_l2_radical_buy, f"最近涨停主动买成交（备用）：{code}-{limit_up_deal_infos}")
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deal_volume = 0
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for i in range(0, len(limit_up_deal_infos)):
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# >=统计到的总卖
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if int(refer_sell_time.replace(":", "")) > int(
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limit_up_deal_infos[i][0].replace(":", "")):
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break
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deal_volume += limit_up_deal_infos[i][1]
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async_log_util.info(logger_l2_radical_buy, f"成交量（备用）：{deal_volume}/{THRESH_HOLD_VOLUME}")
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deal_rate = round(deal_volume / THRESH_HOLD_VOLUME, 2)
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if deal_rate >= 0.5:
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return BUY_MODE_DIRECT, f"达到买入条件（备用）：比例-{deal_rate}"
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else:
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return BUY_MODE_NONE, f"尚未达到买入比例（备用）：{deal_rate}"
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else:
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return BUY_MODE_BY_L2, f"总卖额小于500w（备用）({refer_sell_data[1]})"
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else:
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return BUY_MODE_NONE, "尚未获取到总卖额（备用）"
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def process_limit_up_active_buy_deal(code, transaction_datas):
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async_log_util.info(hx_logger_l2_transaction, f"板上成交：{code}-{transaction_datas}")
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"""
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涨停主动买成交
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@param code:
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@param transaction_datas: # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
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# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
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# data['SellNo'], data['ExecType']))
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@return: 买入方式, 消息
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"""
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# ---------初始化-------------
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if code not in __huaxin_timestamp_convert_temp:
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__huaxin_timestamp_convert_temp[code] = {}
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if code not in __deal_active_buy_total_money:
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__deal_active_buy_total_money[code] = 0
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if code not in __latest_deal_active_buy_order:
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__latest_deal_active_buy_order[code] = ['', 0, 0]
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for transaction_data in transaction_datas:
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# 当遇到大单之后才需要计算累计成交
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# 统计金额
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money = transaction_data[1] * transaction_data[2]
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price = transaction_data[1]
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# 统计当前的买单
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if __latest_deal_active_buy_order[code][0] == transaction_data[6]:
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__latest_deal_active_buy_order[code][1] += transaction_data[2]
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__latest_deal_active_buy_order[code][2] += money
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else:
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__latest_deal_active_buy_order[code] = [transaction_data[6], transaction_data[2], money]
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if code not in __start_time_dict:
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# 判断买单成交的金额，如果金额大于50w就作为计时起始点
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if __latest_deal_active_buy_order[code][2] >= 500000:
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# 设置计时起点，将当前的数据清零
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__start_time_dict[code] = l2_huaxin_util.convert_time(transaction_data[3], with_ms=True)
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__deal_active_buy_total_money[code] = __latest_deal_active_buy_order[code][2]
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else:
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__deal_active_buy_total_money[code] += money
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# 已经开始计数
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THRESHOLD_TIME = 1000 if tool.is_sh_code(code) else 500
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huaxin_timestamp = transaction_data[3]
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time_str_with_ms = __huaxin_timestamp_convert_temp[code].get(huaxin_timestamp)
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if not time_str_with_ms:
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__huaxin_timestamp_convert_temp[code].clear()
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time_str_with_ms = l2_huaxin_util.convert_time(huaxin_timestamp, with_ms=True)
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__huaxin_timestamp_convert_temp[code][huaxin_timestamp] = time_str_with_ms
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if tool.trade_time_sub_with_ms(time_str_with_ms, __start_time_dict[code]) > THRESHOLD_TIME:
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__start_time_dict.pop(code)
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__deal_active_buy_total_money[code] = 0
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return BUY_MODE_NONE, f"距离上个大单成交超过{THRESHOLD_TIME}ms"
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price = transaction_datas[-1][1]
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huaxin_timestamp = transaction_datas[-1][3]
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# 处于涨停卖的委托订单量
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selling_num = L2LimitUpSellDataManager.get_delegating_sell_num(code)
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if selling_num:
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total_sell = __deal_active_buy_total_money[code] + selling_num * price
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rate = round(__deal_active_buy_total_money[code] / total_sell, 2)
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# 获取当前的成交量比
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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volume_rate = code_volumn_manager.CodeVolumeManager().get_volume_rate(code, total_sell_volume=int(
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total_sell / limit_up_price),
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with_info=False)
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if volume_rate is None:
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volume_rate = 0.5
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# 根据大单判断是否可以扫
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big_order_deal_result = __is_big_order_deal_enough(code, volume_rate)
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if not big_order_deal_result[0]:
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return BUY_MODE_NONE, big_order_deal_result[1]
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THRESHOLD_RATE = radical_buy_data_manager.get_volume_rate_threshold(code, volume_rate)
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if rate >= THRESHOLD_RATE:
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# 成交的比例
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# if total_sell > 1000 * 1e4:
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if total_sell >= 0:
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return BUY_MODE_DIRECT, f"剩余涨停总卖额-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE}"
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else:
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return BUY_MODE_BY_L2, f"剩余涨停总卖额小于500w-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE} "
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else:
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return BUY_MODE_NONE, f"被动卖成交比例未达到：剩余涨停总卖额-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE}"
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else:
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# 根据量比与大单成交数量判断是否可扫
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volume_rate = code_volumn_manager.CodeVolumeManager().get_volume_rate(code, with_info=False)
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if volume_rate is None:
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volume_rate = 0.5
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# 根据大单判断是否可以扫
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big_order_deal_result = __is_big_order_deal_enough(code, volume_rate)
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if not big_order_deal_result[0]:
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return BUY_MODE_NONE, big_order_deal_result[1]
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return __get_deal_rate_by(code, huaxin_timestamp)
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def __is_big_order_deal_enough(code, volume_rate):
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"""
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大单成交是否足够
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@param code:
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@param volume_rate:
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@return:
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"""
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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refer_volume = code_volumn_manager.CodeVolumeManager().get_max_volume_in_5days(code)
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if refer_volume is None:
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refer_volume = 0
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money_y = int(refer_volume * limit_up_price / 1e8)
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money_y = min(money_y, 50)
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money_y = max(money_y, 5)
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# 计算大单参考数量
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threshold_count = int(round(0.4 * money_y))
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current_big_order_deal_count = EveryLimitupBigDealOrderManager.get_big_buy_deal_order_count(code)
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if volume_rate >= 0.5 or True:
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# 按量大于50%算
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# 当换手量＞50%时，则，不需要每次扫入时需要≥2笔大单，而是累计需要≥2笔大单即可
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deal_big_order_count = BigOrderDealManager().get_total_buy_count(code)
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if deal_big_order_count >= threshold_count:
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return True, f"量比-{volume_rate}, 总大单成交数量({deal_big_order_count})>={threshold_count}"
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else:
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return False, f"量比-{volume_rate}, 总大单成交数量({deal_big_order_count})<{threshold_count}"
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else:
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if current_big_order_deal_count >= threshold_count:
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return True, f"量比-{volume_rate}, 本次大单成交数量({current_big_order_deal_count})>={threshold_count}"
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else:
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return False, f"量比-{volume_rate}, 本次大单成交数量({current_big_order_deal_count})<{threshold_count}"
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