import json
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import logging
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import os
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import datetime
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import pickle
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import re
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from dateutil.tz import tzfile, gettz
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from code_attribute import global_data_loader
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from log_module.log import logger_debug
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from strategy.data_analyzer import KTickLineAnalyzer
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from strategy.data_downloader import DataDownloader
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from strategy.low_suction_strategy import LowSuctionOriginDataExportManager
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from strategy.strategy_variable_factory import DataLoader, StrategyVariableFactory
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from third_data.history_k_data_manager import HistoryKDataManager
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from third_data.history_k_data_util import JueJinLocalApi, HistoryKDatasUtils
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from utils import global_util, tool, huaxin_util
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def __get_special_codes():
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"""
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获取特殊的代码，需要订阅300w以上的大单
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@return: 代码集合, 收盘价字典：{"code":收盘价}
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"""
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try:
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pre_close_price_dict = {}
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zylt_volume_map = global_util.zylt_volume_map
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codes = set()
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# TODO 测试
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last_trade_day = HistoryKDatasUtils.get_latest_trading_date(1)[0]
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for code in zylt_volume_map:
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volume = zylt_volume_map.get(code)
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# 今日涨停价要突破昨日最高价
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k_bars = HistoryKDataManager().get_history_bars(code, last_trade_day)
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if k_bars and 30e8 <= k_bars[0]["close"] * volume * tool.get_limit_up_rate(code) <= 300e8:
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# 自由流通市值在30亿-300亿以上
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limit_up_price = round(tool.get_limit_up_rate(code) * k_bars[0]["close"], 2)
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if limit_up_price > k_bars[0]["high"]:
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# 今日涨停价要突破昨日最高价
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codes.add(code)
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pre_close_price_dict[code] = k_bars[0]["close"]
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return codes, pre_close_price_dict
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except Exception as e:
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logging.exception(e)
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return set(), None
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from dateutil.parser import parse
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code_ticks_dict = {}
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code_time_ticks_dict = {}
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code_minutes_dict = {}
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def __load_today_tick_info(code):
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now_day = tool.get_now_date_str()
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tick_path = f"D:\\datas\\ticks\\{now_day}_{code}.txt"
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if code not in code_ticks_dict:
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with open(tick_path, mode='r') as f:
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lines = f.readlines()
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line = lines[0]
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line = line.replace("datetime.datetime(", "\"datetime.datetime(").replace("('PRC'))", "('PRC'))\"")
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line = line.replace("'", "\"").replace("\"PRC\"", "'PRC'")
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ticks = json.loads(line)
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for t in ticks:
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created_at_line = t["created_at"].replace("datetime.datetime(", "")
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sts = created_at_line.split(",")
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year, month, day, hour, minute, second = sts[0].strip(), sts[1].strip(), sts[2].strip(), sts[3].strip(), \
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sts[4].strip(), (
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sts[5].strip() if len(sts) >= 7 else 0)
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tz = 'PRC' # 获取时区（如 'PRC' -> Asia/Shanghai）
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dt = datetime.datetime(int(year), int(month), int(day), int(hour), int(minute), int(second))
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t["created_at"] = dt
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if code not in code_time_ticks_dict:
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code_time_ticks_dict[code] = {}
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code_time_ticks_dict[code][t["created_at"].strftime("%H:%M:%S")] = t
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# 整理为分钟K线
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code_ticks_dict[code] = ticks
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if code not in code_minutes_dict:
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ticks = code_ticks_dict.get(code)
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bars = []
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for tick in ticks:
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if not bars:
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bars.append(tick)
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temp_time_str = tick["created_at"].strftime("%H:%M:%S")
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if tick["created_at"].strftime("%H:%M") == bars[-1]["created_at"].strftime("%H:%M"):
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bars[-1] = tick
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else:
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bars.append(tick)
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code_minutes_dict[code] = bars
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def is_over_today_high_price(code, price, time_str):
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bars = code_minutes_dict.get(code)
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max_price = max([b["price"] for b in bars if b["created_at"].strftime("%H:%M") < time_str[:5]])
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if price >= max_price:
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return True
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return False
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def is_over_yesterday_high_price(code, price, last_trade_day):
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k_bars = HistoryKDataManager().get_history_bars(code, last_trade_day)
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# 昨天是否涨停
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limit_up_price = round(tool.get_limit_up_rate(code) * k_bars[0]["pre_close"], 2)
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if k_bars[0]["high"] >= limit_up_price:
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# 昨日涨停或炸板
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return False
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return price > k_bars[0]["high"]
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def is_over_5days_high_price(code, price, last_trade_day):
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k_bars = HistoryKDataManager().get_history_bars(code, last_trade_day)
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# 昨天是否涨停
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max_price = max(k_bars[:5], key=lambda x: x["high"])["high"]
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return price > max_price
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def get_limit_up_list_by_time(limit_up_list, now_time_str):
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for d in limit_up_list:
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if now_time_str > d[0][:8]:
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return d[1]
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def get_block_limit_up_plate_code(limit_up_list, code_plates_dict):
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"""
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根据涨停列表与代码的板块字典获取板块里面有哪些代码
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@param limit_up_list:
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@param code_plates_dict:
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@return:
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"""
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plate_codes_dict = {}
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if limit_up_list:
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for d in limit_up_list:
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code = d[0]
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plates = code_plates_dict.get(code)
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if plates:
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for p in plates:
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if p not in plate_codes_dict:
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plate_codes_dict[p] = set()
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plate_codes_dict[p].add(code)
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return plate_codes_dict
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def __download_tick_data(code, data_downloader: DataDownloader):
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data_downloader.download_tick_data([code])
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def __load_record_datas(codes, day):
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data_loader = DataLoader(day)
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kline_1d_dict = data_loader.load_kline_data()
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limit_up_list_dict = {}
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limit_up_list = data_loader.load_limit_up_data()
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for r in limit_up_list:
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code = r[0]
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if code not in limit_up_list_dict:
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limit_up_list_dict[code] = []
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limit_up_list_dict[code].append(r)
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for code in codes:
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stockVariables = StrategyVariableFactory.create_from_history_data(kline_data_1d=kline_1d_dict.get(code),
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kline_data_60s_dict=None,
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limit_up_data_records=limit_up_list_dict.get(
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code),
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trade_days=data_loader.trade_days)
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print(stockVariables)
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if True:
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codes = {'002779', '300687', '600986', '002688', '600734', '002312', '300378', '002057', '002152', '002851',
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'600006', '300840', '300857', '002006', '002354', '002639', '300353', '000966', '603979', '603667',
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'603169', '300567', '300571', '300758', '002536', '603887', '600198', '300042', '000935', '603009',
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'002279', '002436', '002126', '600498', '300109', '600203', '600866', '600509', '301368', '605128',
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'002896', '600126', '300100', '000880', '002036', '000582', '600732', '600602', '000962', '603486',
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'301261', '300170', '300666', '002195', '300984', '600366', '000958', '600363', '000967', '002938',
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'603881', '600143', '002611', '002472', '002283', '605117', '603915', '002093', '000676', '002402',
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'600624', '300184', '300603', '301160', '300031', '600889', '603882', '002559', '601611', '600633',
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'002570', '002681', '002115', '600575', '002434', '300466', '600480', '603990', '002164', '002062',
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'000723', '600571', '000997', '300223', '300493', '002065', '000536', '000597', '600114', '600789',
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'000886', '300918', '002335', '600590', '300166', '600101', '002553', '600105', '605319', '300007',
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'000949', '001339', '600979', '300660', '000661', '603166', '002196', '601789', '600383', '300458',
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'600808', '002414', '002697', '300879', '000816', '002139', '603918', '300846', '300122', '600663',
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'603119', '300718', '000837', '600552', '000678', '603078', '601177', '002255', '300611', '000555',
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'000822', '002229', '002841', '300454', '600536', '002222', '300102', '603883', '002530', '603629',
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'300229', '300766', '002249', '002315', '300316', '300290', '300520', '603081', '300607', '000766',
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'002657', '601155', '002123', '000422', '600300', '002008', '603127', '300346', '300212', '603121',
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'000034', '000032', '002929', '002469', '002010', '301171', '000887', '605020', '003021', '002031',
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'000560', '605589', '300024', '603507', '301396', '603960', '600835', '301308', '603688', '002459',
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'002838', '002009', '300403', '002837', '603128', '600728', '603583', '300139', '001309', '603322',
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'600186', '603110', '300505', '000777', '600895', '603809', '300641', '002104', '002640', '002265',
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'300127', '600673', '002276', '601100', '000969', '600933', '002685', '002272', '600619', '000710',
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'000815', '002526', '600171', '300724', '002467', '603072', '002430', '300115', '002600', '000831',
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'600592', '000670', '605555', '600598', '603063', '300727', '301550', '605133', '002542', '002703',
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'603005', '300674', '000903', '002965', '600310', '300547', '002332', '002979', '603236', '603300',
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'300075', '002175', '002765', '002046', '002655', '603686', '603319', '002145', '002410', '300382',
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'002444', '300432', '600649', '603067', '002988', '600578', '002920', '000681', '002527', '603496',
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'603728', '000948', '002165', '600353', '300224', '603662', '300748', '603129', '600730', '002584',
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'301269', '603985', '000876', '000503', '000795', '605358', '300373', '603306', '000875', '600868',
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'002575', '002048', '600611', '600797', '300953', '002131', '300328', '300623', '600812', '002292',
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'300276', '002366', '600325', '600580', '301000', '603920', '603466', '000970', '603816', '600589',
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'000062', '600610'}
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__load_record_datas(codes, "2025-05-06")
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def __back_test1():
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day = "2025-05-07"
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data_loader = DataLoader(day)
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trade_days = data_loader.load_trade_days()
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__DataDownloader = DataDownloader(day, trade_days)
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last_trade_day = HistoryKDatasUtils.get_latest_trading_date(1)[0]
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global_data_loader.load_zyltgb_volume_from_db()
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special_codes, pre_close_dict = DataLoader(day).load_target_codes()
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__LowSuctionOriginDataExportManager = LowSuctionOriginDataExportManager(day)
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big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal_by()
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codes = big_order_deals.keys()
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codes = codes - special_codes
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for code in codes:
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big_order_deals.pop(code)
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codes = big_order_deals.keys()
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# ===========涨停原因分析===========
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code_blocks = __LowSuctionOriginDataExportManager.export_code_plates()
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all_limit_up_list = __LowSuctionOriginDataExportManager.export_limit_up_list()
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all_limit_up_list.reverse()
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back_test_results = []
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tick_codes = set()
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for code in codes:
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# if code != "002265":
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# continue
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if tool.is_ge_code(code):
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continue
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big_orders = big_order_deals.get(code)
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limit_up_price = round(pre_close_dict[code] * tool.get_limit_up_rate(code), 2)
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# 判断价格是否过前高
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for order in big_orders:
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# 涨停价成交的不算
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if order[4] >= limit_up_price:
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continue
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rate = (order[4] - pre_close_dict[code]) / pre_close_dict[code]
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# 涨得过高或过低得不买
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threshold_rate = int((tool.get_limit_up_rate(code) - 1) * 10)
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if rate >= 0.06 * threshold_rate or rate <= -0.06 * threshold_rate:
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continue
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order_time = huaxin_util.convert_time(order[3])
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if order_time < "09:30:00":
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continue
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can_buy_infos = []
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limit_up_list = get_limit_up_list_by_time(all_limit_up_list, huaxin_util.convert_time(order[3]))
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plates = code_blocks.get(code)
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plate_codes = get_block_limit_up_plate_code(limit_up_list, code_blocks)
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if plates:
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for p in plates:
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if plate_codes.get(p) and len(plate_codes.get(p)) >= 2:
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# 统计之前的大单数量
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before_big_order_no = set()
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for bo in big_orders:
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if bo[0] == order[0]:
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break
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before_big_order_no.add(bo[0])
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can_buy_infos.append((code, p, plate_codes.get(p), order, len(before_big_order_no)))
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if not can_buy_infos:
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continue
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if is_over_yesterday_high_price(code, order[4], last_trade_day):
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# print("===========", code, order, "过昨日最高")
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tick_codes.add(code)
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__download_tick_data(code, __DataDownloader)
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if is_over_today_high_price(code, order[4], huaxin_util.convert_time(order[3])):
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# print(code, order, "过今日前高")
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# print("======", can_buy_infos)
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back_test_results.extend(can_buy_infos)
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print("可能买的代码：", tick_codes)
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back_test_results.sort(key=lambda e: huaxin_util.convert_time(e[3][3]))
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print("最终回撤结果：=========")
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for r in back_test_results:
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print(r)
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print("计算完成")
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def __back_test2():
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day = "2025-05-07"
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data_loader = DataLoader(day)
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trade_days = data_loader.load_trade_days()
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__DataDownloader = DataDownloader(day, trade_days)
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last_trade_day = HistoryKDatasUtils.get_latest_trading_date(1)[0]
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global_data_loader.load_zyltgb_volume_from_db()
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special_codes, pre_close_dict = DataLoader(day).load_target_codes()
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__LowSuctionOriginDataExportManager = LowSuctionOriginDataExportManager(day)
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big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal_by()
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codes = big_order_deals.keys()
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codes = codes - special_codes
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for code in codes:
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big_order_deals.pop(code)
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codes = big_order_deals.keys()
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# ===========涨停原因分析===========
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code_blocks = __LowSuctionOriginDataExportManager.export_code_plates()
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all_limit_up_list = __LowSuctionOriginDataExportManager.export_limit_up_list()
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all_limit_up_list.reverse()
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back_test_results = []
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tick_codes = set()
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code_buy_plates = {}
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can_buy_infos = []
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for code in codes:
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print("==========开始回测代码", code)
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logger_debug.info("==========开始回测代码:{}", code)
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# if code != "002265":
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# continue
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if tool.is_ge_code(code):
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continue
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big_orders = big_order_deals.get(code)
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limit_up_price = round(pre_close_dict[code] * tool.get_limit_up_rate(code), 2)
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start_time, end_time = "09:25:00", "11:30:00"
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# 制造回测时间
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for i in range(60 * 60 * 5):
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time_str = tool.trade_time_add_second(start_time, i)
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if time_str > end_time:
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break
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if code_time_ticks_dict.get(code) and time_str not in code_time_ticks_dict.get(code):
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continue
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limit_up_list = get_limit_up_list_by_time(all_limit_up_list, time_str)
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plates = code_blocks.get(code)
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plate_codes = get_block_limit_up_plate_code(limit_up_list, code_blocks)
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target_plates = set()
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if plates:
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for p in plates:
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if plate_codes.get(p) and len(plate_codes.get(p)) >= 2:
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# 判断
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# 加载K线
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target_plates.add(p)
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if not target_plates:
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# 板块不满足
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continue
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# 下载K线
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if code not in code_ticks_dict:
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__download_tick_data(code, __DataDownloader)
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# 将tick文件加载到内存中
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__load_today_tick_info(code)
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tick = code_time_ticks_dict[code].get(time_str)
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if not tick:
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continue
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rate = (tick["price"] - pre_close_dict[code]) / pre_close_dict[code]
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# 涨得过高或过低得不买
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threshold_rate = int((tool.get_limit_up_rate(code) - 1) * 10)
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if rate >= 0.06 * threshold_rate or rate <= -0.03 * threshold_rate:
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continue
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if tick["created_at"].strftime("%H:%M:%S") < "09:30:00":
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continue
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if not is_over_5days_high_price(code, tick["price"], last_trade_day):
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continue
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if not is_over_today_high_price(code, tick["price"], time_str):
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continue
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# 大单数据大于2个
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order_ids = set([order[0] for order in big_orders if time_str > huaxin_util.convert_time(order[3]) >="09:30:00"])
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if len(order_ids) >= 2:
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code_buy_plates[code] = target_plates
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can_buy_infos.append(
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(code, "买入时间：" + tick["created_at"].strftime("%H:%M:%S"), tick["price"], target_plates, {p: plate_codes.get(p) for p in target_plates}, f"大单数量：{len(order_ids)}"))
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break
|
can_buy_infos.sort(key=lambda e: e[1])
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print("最终回撤结果：=========")
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for r in can_buy_infos:
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print(r)
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|
print("计算完成")
|
|
|
if __name__ == "__main__":
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data_loader = DataLoader("2025-06-10")
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kline_1d_dict = data_loader.load_kline_data()
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KTickLineAnalyzer.get_third_limit_up_days(kline_1d_dict.get("002907"), 10)
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