策略修改

Administrator

2024-07-04 8677d39f64869de0b0a6dcb58f61597d6041a056

 trade/buy_strategy.py

@@ -9,9 +9,18 @@
from trade.l2_transaction_data_manager import HuaXinBuyOrderManager
from utils import tool, l2_huaxin_util

# 涨停买入策略
STRATEGY_TYPE_LIMIT_UP = 1
# 涨幅高买入策略
STRATEGY_TYPE_RISE_HIGH = 2
# 涨幅高且有板块的买入策略
STRATEGY_TYPE_RISE_HIGH_WITH_BLOCKS = 3


class BuyStrategyDataManager:
    __latest_transaction_price_dict = {}
    # 涨停过的代码集合
    __limit_up_record_codes = set()
    """
    买入策略管理
    """
@@ -57,12 +66,12 @@
                                                           info['BuyNo'],
                                                           info['SellNo'], info['ExecType'])])
        if int(l2_huaxin_util.convert_time(info['OrderTime']).replace(":", "")) < int("093000"):
            return False, "09:30之前不下单"
            return False, STRATEGY_TYPE_LIMIT_UP, "09:30之前不下单"

        code = info["SecurityID"]
        try:
            can_buy, msg = self.__can_place_order(code, info, backtest)
            return can_buy, msg
            can_buy, stategy_type, msg = self.__can_place_order(code, info, backtest)
            return can_buy, stategy_type, msg
        finally:
            self.__latest_trade_price_dict[code] = info["TradePrice"]

@@ -78,42 +87,47 @@
            # 获取2秒内吃的档数
            rised_price = self.__get_rised_price(code, info)
            if rised_price < 0.1:
                return False, "2S内涨幅小于10档"
                return False, STRATEGY_TYPE_RISE_HIGH_WITH_BLOCKS, "2S内涨幅小于10档"
            pre_close_price = self.__pre_close_price_dict.get(code)
            if pre_close_price is None:
                return False, "没有获取到收盘价"
                return False, STRATEGY_TYPE_RISE_HIGH_WITH_BLOCKS, "没有获取到收盘价"

            if (info["TradePrice"] - pre_close_price) / pre_close_price < 0.07:
                return False, "涨幅小于7%"
                return False, STRATEGY_TYPE_RISE_HIGH_WITH_BLOCKS, "涨幅小于7%"

            return True, f"2S内上升{int(rised_price * 100)}档"
            return True, STRATEGY_TYPE_RISE_HIGH_WITH_BLOCKS, f"2S内上升{int(rised_price * 100)}档"
        else:
            # 判断是否涨停
            is_limit_up = info["TradePrice"] == self.__limit_up_price_dict.get(code)
            limit_up_price = self.__limit_up_price_dict.get(code)
            if not is_limit_up and code.find("30") == 0:
                # 30开始的9.8以上的算涨停
                markekt = self.__latest_market_info_dict.get(info[0])
                if markekt and markekt[2] >= 0.098:
                    is_limit_up = True
                    limit_up_price = info["TradePrice"]

                markekt = self.__latest_market_info_dict.get(info["SecurityID"])
                if markekt and markekt[2] >= 0.098 and self.__latest_trade_price_dict.get(code):
                    # 上一次涨幅小于0.098
                    if (self.__latest_trade_price_dict.get(code) - markekt[8]) / markekt[8] < 0.098:
                        return True, STRATEGY_TYPE_RISE_HIGH, f"创业板涨幅超过9.8"
            if is_limit_up:
                # 当前为涨停价
                if code not in self.__latest_trade_price_dict:
                    # 开1
                    # 查询买1金额
                    markekt = self.__latest_market_info_dict.get(info[0])
                    markekt = self.__latest_market_info_dict.get(info["SecurityID"])
                    if markekt and markekt[3] * markekt[4] >= 1e8:
                        async_log_util.info(logger_trade, f"{code}：买1（{markekt[3] * markekt[4]}）超过1亿")
                        return True, "买1超过1亿，开1可买"
                        return True, STRATEGY_TYPE_LIMIT_UP, "买1超过1亿，开1可买"
                    else:
                        return False, "开1"
                        return False, STRATEGY_TYPE_LIMIT_UP, "开1"
                else:
                    if self.__latest_trade_price_dict.get(code) != limit_up_price:
                        # 之前那一次不是涨停价
                        return True, "涨停"
        return False, ""
                    if self.__latest_trade_price_dict.get(code) != limit_up_price and code not in self.__limit_up_record_codes:
                        # 初次涨停之前那一次不是涨停价
                        return True, STRATEGY_TYPE_LIMIT_UP, "涨停"

            if is_limit_up:
                # 加入涨停代码列表
                self.__limit_up_record_codes.add(code)

        return False, STRATEGY_TYPE_LIMIT_UP, ""

    def __get_rised_price(self, code, transaction_info, time_space=2000):
        """