| | |
|---|
| | | import logging |
|---|
| | | import random |
|---|
| | | import time as t |
|---|
| | | |
|---|
| | | import big_money_num_manager |
|---|
| | | import code_data_util |
|---|
| | | import code_volumn_manager |
|---|
| | | 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 |
|---|
| | | import constant |
|---|
| | | import global_data_loader |
|---|
| | | import global_util |
|---|
| | | import gpcode_manager |
|---|
| | | import industry_codes_sort |
|---|
| | | from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager |
|---|
| | | from third_data import kpl_data_manager, block_info |
|---|
| | | from utils import global_util, ths_industry_util, tool |
|---|
| | | import l2_data_util |
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| | | import limit_up_time_manager |
|---|
| | | from db import redis_manager |
|---|
| | | import ths_industry_util |
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| | | import tool |
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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, first_code_score_manager |
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| | | from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager |
|---|
| | | from third_data.code_plate_key_manager import CodePlateKeyBuyManager |
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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, first_code_score_manager, current_price_process_manager |
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| | | from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager, \ |
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| | | transaction_progress |
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| | | from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, L2LimitUpMoneyStatisticUtil, \ |
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| | | L2LimitUpSellStatisticUtil |
|---|
| | | L2LimitUpSellStatisticUtil, DCancelBigNumComputer, LCancelBigNumComputer |
|---|
| | | from l2.l2_data_manager import L2DataException, TradePointManager |
|---|
| | | from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_latest_datas |
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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 |
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| | | import l2.l2_data_util |
|---|
| | | from log import logger_l2_trade_buy, logger_l2_process, \ |
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| | | logger_place_order_score |
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| | | from log_module.log import logger_l2_trade_buy, logger_l2_process, \ |
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| | | logger_place_order_score, logger_l2_error |
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| | | |
|---|
| | | # TODO l2数据管理 |
|---|
| | | from trade.trade_data_manager import CodeActualPriceProcessor |
|---|
| | | |
|---|
| | | import dask |
|---|
| | | |
|---|
| | | from trade.trade_manager import TradeTargetCodeModeManager |
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| | | |
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| | | |
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| | | class L2DataManager: |
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| | |
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| | | __buyL2SafeCountManager = safe_count_manager.BuyL2SafeCountManager() |
|---|
| | | __l2PlaceOrderParamsManagerDict = {} |
|---|
| | | __last_buy_single_dict = {} |
|---|
| | | __TradeBuyQueue = transaction_progress.TradeBuyQueue() |
|---|
| | | |
|---|
| | | # 获取代码评分 |
|---|
| | | @classmethod |
|---|
| | |
|---|
| | | # 数据不正常需要禁止交易 |
|---|
| | | l2_trade_util.forbidden_trade(code) |
|---|
| | | # 纠正数据 |
|---|
| | | datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas) |
|---|
| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS: |
|---|
| | | # 同花顺需要纠正数据，其他渠道不需要 |
|---|
| | | datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas) |
|---|
| | | _start_index = 0 |
|---|
| | | if local_today_datas.get(code) is not None and len( |
|---|
| | | local_today_datas[code]) > 0: |
|---|
| | |
|---|
| | | if code in cls.unreal_buy_dict: |
|---|
| | | cls.unreal_buy_dict.pop(code) |
|---|
| | | |
|---|
| | | # 处理华鑫L2数据 |
|---|
| | | @classmethod |
|---|
| | | def process_huaxin(cls, code, datas): |
|---|
| | | print("process_huaxin", code, len(datas)) |
|---|
| | | origin_start_time = round(t.time() * 1000) |
|---|
| | | try: |
|---|
| | | # 加载历史的L2数据 |
|---|
| | | is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False) |
|---|
| | | if not is_normal: |
|---|
| | | print("历史数据异常:", code) |
|---|
| | | # 数据不正常需要禁止交易 |
|---|
| | | l2_trade_util.forbidden_trade(code) |
|---|
| | | # 转换数据格式 |
|---|
| | | _start_index = 0 |
|---|
| | | if local_today_datas.get(code) is not None and len( |
|---|
| | | local_today_datas[code]) > 0: |
|---|
| | | _start_index = local_today_datas[code][-1]["index"] + 1 |
|---|
| | | datas = l2_huaxin_util.get_format_l2_datas(code, datas, |
|---|
| | | gpcode_manager.get_limit_up_price(code), _start_index) |
|---|
| | | # 获取下单位置 |
|---|
| | | place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, datas) |
|---|
| | | if place_order_index: |
|---|
| | | logger_l2_process.info("code:{} 获取到下单真实位置：{}", code, place_order_index) |
|---|
| | | DCancelBigNumComputer.set_real_order_index(code, place_order_index) |
|---|
| | | |
|---|
| | | __start_time = round(t.time() * 1000) |
|---|
| | | cls.process_add_datas(code, datas, 0, __start_time) |
|---|
| | | except Exception as e: |
|---|
| | | print("huaxin L2数据处理异常", code, str(e)) |
|---|
| | | logging.exception(e) |
|---|
| | | logger_l2_error.exception(e) |
|---|
| | | finally: |
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| | | l2_data_log.l2_time(code, round(t.time() * 1000) - origin_start_time, |
|---|
| | | "l2数据处理总耗时", |
|---|
| | | True) |
|---|
| | | l2.l2_data_util.save_l2_data(code, None, datas) |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time): |
|---|
| | | now_time_str = tool.get_now_time_str() |
|---|
| | |
|---|
| | | # 拼接数据 |
|---|
| | | local_today_datas[code].extend(add_datas) |
|---|
| | | l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas) |
|---|
| | | l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas) |
|---|
| | | |
|---|
| | | # 第1条数据是否为09:30:00 |
|---|
| | | if add_datas[0]["val"]["time"] == "09:30:00": |
|---|
| | |
|---|
| | | 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 |
|---|
| | |
|---|
| | | def h_cancel(): |
|---|
| | | _start_time = round(t.time() * 1000) |
|---|
| | | try: |
|---|
| | | b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code,buy_single_index, buy_exec_index, start_index, |
|---|
| | | b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code, buy_single_index, |
|---|
| | | buy_exec_index, start_index, |
|---|
| | | end_index, total_data, |
|---|
| | | local_today_num_operate_map.get( |
|---|
| | | code), |
|---|
| | |
|---|
| | | logging.exception(e) |
|---|
| | | finally: |
|---|
| | | l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算") |
|---|
| | | return None, "" |
|---|
| | | |
|---|
| | | # L撤 |
|---|
| | | @dask.delayed |
|---|
| | | def l_cancel(): |
|---|
| | | _start_time = round(t.time() * 1000) |
|---|
| | | try: |
|---|
| | | b_need_cancel, b_cancel_data = LCancelBigNumComputer.need_cancel(code, |
|---|
| | | buy_exec_index, start_index, |
|---|
| | | end_index, total_data, |
|---|
| | | local_today_num_operate_map.get( |
|---|
| | | code), is_first_code) |
|---|
| | | if b_need_cancel and b_cancel_data: |
|---|
| | | return b_cancel_data, "L撤销比例触发阈值" |
|---|
| | | except Exception as e: |
|---|
| | | logging.exception(e) |
|---|
| | | finally: |
|---|
| | | l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算") |
|---|
| | | return None, "" |
|---|
| | | |
|---|
| | | # 板上卖撤 |
|---|
| | |
|---|
| | | f4 = h_cancel() |
|---|
| | | f5 = buy_1_cancel() |
|---|
| | | f6 = sell_cancel() |
|---|
| | | dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6) |
|---|
| | | f7 = l_cancel() |
|---|
| | | dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6, f7) |
|---|
| | | if is_first_code: |
|---|
| | | dask_result = is_need_cancel(f3, f4) |
|---|
| | | dask_result = is_need_cancel(f3, f4, f7) |
|---|
| | | |
|---|
| | | cancel_data, cancel_msg = dask_result.compute() |
|---|
| | | |
|---|
| | |
|---|
| | | buy_single_index, buy_exec_index, cls.volume_rate_info[code][0], |
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| | | cls.__l2PlaceOrderParamsManagerDict[code].score, params_desc) |
|---|
| | | except Exception as e: |
|---|
| | | logger_l2_error.exception(e) |
|---|
| | | l2_log.debug(code, "执行买入异常:{}", str(e)) |
|---|
| | | pass |
|---|
| | | finally: |
|---|
| | |
|---|
| | | if not trade_manager.TradeStateManager.is_can_buy(): |
|---|
| | | return False, True, f"今日已禁止交易" |
|---|
| | | |
|---|
| | | # 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) |
|---|
| | | buy1_price = code_price_manager.Buy1PriceManager.get_buy1_price(code) |
|---|
| | | if buy1_price is None: |
|---|
| | | return False, True, f"尚未获取到买1价" |
|---|
| | | if gpcode_manager.PauseBuyCodesManager.is_in(code): |
|---|
| | | return False, True, f"该代码被暂停交易" |
|---|
| | | |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
|---|
| | | dif = float(limit_up_price) - float(buy1_price) |
|---|
| | | if zyltgb >= 80 * 100000000: |
|---|
| | | # 大于2档 |
|---|
| | | if dif > 0.02001: |
|---|
| | | return False, True, f"买1剩余档数大于2档，买一（{buy1_price}）涨停（{limit_up_price}）" |
|---|
| | | |
|---|
| | | if float(limit_up_price) >= 40: |
|---|
| | | return False, True, "股价大于40块" |
|---|
| | | |
|---|
| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN: |
|---|
| | | 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) > 0.02001: |
|---|
| | | return False, False, f"当前成交价（{trade_price}）尚未在2档及以内" |
|---|
| | | |
|---|
| | | # 判断成交进度是否距离我们的位置很近 |
|---|
| | | total_data = local_today_datas.get(code) |
|---|
| | | trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code) |
|---|
| | | if not is_default and trade_index: |
|---|
| | | buy_index_set = set() |
|---|
| | | 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(code, |
|---|
| | | total_data[ |
|---|
| | | i][ |
|---|
| | | "index"], |
|---|
| | | total_data, |
|---|
| | | num_operate_map) |
|---|
| | | if left_count > 0: |
|---|
| | | buy_index_set.add(total_data[i]["index"]) |
|---|
| | | |
|---|
| | | if len(buy_index_set) < 5: |
|---|
| | | return False, False, f"成交位置距离当前位置小于5笔" |
|---|
| | | else: |
|---|
| | | if dif > 0.03001: |
|---|
| | | return False, True, f"买1剩余档数大于3档，买一（{buy1_price}）涨停（{limit_up_price}）" |
|---|
| | | # 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 = code_price_manager.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 = code_price_manager.Buy1PriceManager.get_open_limit_up_lowest_price(code) |
|---|
| | | price_pre_close = gpcode_manager.get_price_pre(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 = code_price_manager.Buy1PriceManager.get_limit_up_info(code) |
|---|
| | | if limit_up_info[0] is None and False: |
|---|
| | |
|---|
| | | cls.__l2PlaceOrderParamsManagerDict[code].score_info) |
|---|
| | | |
|---|
| | | if not gpcode_manager.WantBuyCodesManager.is_in(code): |
|---|
| | | |
|---|
| | | # 查看分数等级 |
|---|
| | | if TradeTargetCodeModeManager.get_mode() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES: |
|---|
| | | return False, True, f"只买想买单中的代码" |
|---|
| | | score_index = cls.__l2PlaceOrderParamsManagerDict[code].score_index |
|---|
| | | score = cls.__l2PlaceOrderParamsManagerDict[code].score |
|---|
| | | score_info = cls.__l2PlaceOrderParamsManagerDict[code].score_info |
|---|
| | | return cls.can_buy_first(code, limit_up_price, score_index, score, score_info, cls.volume_rate_info[code]) |
|---|
| | | else: |
|---|
| | | return True, False, "在想买名单中" |
|---|
| | | |
|---|
| | | # 区分大票，小票 |
|---|
| | | @classmethod |
|---|
| | | def can_buy_first(cls, code, limit_up_price, score_index, score, score_info, volume_rate_info): |
|---|
| | | def is_has_k_format(score_info): |
|---|
| | | # (15个交易日涨幅是否大于24.9%,是否破前高，是否超跌，是否接近前高，是否N,是否V,是否有形态,天量大阳信息,是否具有辨识度) |
|---|
| | | |
|---|
| | | if score_info[1][3][6][0] and not score_info[1][3][3][0]: |
|---|
| | | return True |
|---|
| | | if score_info[1][3][7][0]: |
|---|
| | | return True |
|---|
| | | return False |
|---|
| | | |
|---|
| | | if float(limit_up_price) >= 40: |
|---|
| | | return False, True, "股价大于40块" |
|---|
| | | |
|---|
| | | # 9:35之前买大市值(>=80亿)票 |
|---|
| | | if int(tool.get_now_date_str("%Y%m%d")) < int("093500"): |
|---|
| | | 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 >= 80 * 100000000: |
|---|
| | | if cls.volume_rate_info[code][0] < 0.5: |
|---|
| | | return False, True, f"大市值:量大于50%才下单,量比：{cls.volume_rate_info[code][0]}" |
|---|
| | | elif zyltgb <= 35 * 100000000: |
|---|
| | | # 获取板块中的票的数量 |
|---|
| | | if score_info[1][5]["limit_up_codes_count"] < 2: |
|---|
| | | return False, True, f"小市值:板块中必须2个涨停才能买，板块{score_info[1][5]['target_block_info'][0]}-涨停数{score_info[1][5]['limit_up_codes_count']}" |
|---|
| | | return True, False, "{9:30:00-9:35:00}自由市值≥80亿" |
|---|
| | | # 判断板块 |
|---|
| | | plate_can_buy, msg = CodePlateKeyBuyManager.can_buy(code, |
|---|
| | | kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas, |
|---|
| | | kpl_data_manager.KPLLimitUpDataRecordManager.total_datas,block_info.get_before_blocks_dict()) |
|---|
| | | if not plate_can_buy: |
|---|
| | | return False, True, msg |
|---|
| | | return True, False, msg |
|---|
| | | |
|---|
| | | # 尾盘偷跑票 |
|---|
| | | limit_up_time = score_info[1][7] |
|---|
| | | if limit_up_time is None: |
|---|
| | | limit_up_time = tool.get_now_time_str() |
|---|
| | | if int(limit_up_time.replace(":", "")) > int("143000"): |
|---|
| | | if not score_info[1][3][6][0]: |
|---|
| | | return False, True, f"尾盘偷跑:无任何形态" |
|---|
| | | if score_info[1][5]["limit_up_codes_count"] > 1: |
|---|
| | | return False, True, f"尾盘偷跑:板块{score_info[1][5]['target_block_info'][0]}-涨停数{score_info[1][5]['limit_up_codes_count']}" |
|---|
| | | if float(gpcode_manager.get_limit_up_price(code)) > 30: |
|---|
| | | return False, True, f"尾盘偷跑:股价大于30" |
|---|
| | | # if volume_rate_info[0] < 0.4: |
|---|
| | | # return False, True, f"量大于40%才下单,量比：{volume_rate_info[0]}" |
|---|
| | | |
|---|
| | | # 是否有K线形态(有K线形态或者天量大阳),10点后才需要判断是否有K线形态与分值 |
|---|
| | | if int(tool.get_now_time_str().replace(":", "")) > int("100000"): |
|---|
| | | has_k_format = score_info[1][3][6][0] or score_info[1][3][7][0] |
|---|
| | | if not has_k_format: |
|---|
| | | return False, True, f"无K线形态" |
|---|
| | | |
|---|
| | | if score_index < 0: |
|---|
| | | return False, True, f"分值：{score}未达到需要买入的分数线" |
|---|
| | | if score_index >= 3: |
|---|
| | | return False, True, f"分值：{score}未达到主动买入分数线" |
|---|
| | | return True, False, "" |
|---|
| | | # if -1 < score_index < 3 and (0.499 <= cls.volume_rate_info[code][0] <= 0.949): |
|---|
| | | # return True, False, f"分值：{score}达到主动买入的分数线且量足够，买入等级：f{score_index},量比：{cls.volume_rate_info[code][0]}" |
|---|
| | | is_limited_up = gpcode_manager.FirstCodeManager.is_limited_up(code) |
|---|
| | | gpcode_manager.FirstCodeManager.add_limited_up_record([code]) |
|---|
| | | if not code_price_manager.Buy1PriceManager.is_can_buy(code): |
|---|
| | | return False, True, f"首板代码，没在想要买名单中且未打开涨停板,分数：{score}" |
|---|
| | | if not is_limited_up: |
|---|
| | | return False, True, f"首板代码，没在想要买名单中且未涨停过,分数：{score}" |
|---|
| | | return True, False, "" |
|---|
| | | else: |
|---|
| | | return True, False, "在想买名单中" |
|---|
| | | return True, False, "" |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def __cancel_buy(cls, code): |
|---|
| | |
|---|
| | | 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 L2DataUtil.get_time_as_second(_val["time"]) < second_930: |
|---|
| | | 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): |
|---|
| | | |
|---|
| | |
|---|
| | | data = total_datas[i] |
|---|
| | | _val = total_datas[i]["val"] |
|---|
| | | trigger_buy = False |
|---|
| | | # 必须为连续3秒内的数据 |
|---|
| | | if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds > max_space_time: |
|---|
| | | # 必须为连续2秒内的数据 |
|---|
| | | if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time: |
|---|
| | | TradePointManager.delete_buy_point(code) |
|---|
| | | if i == compute_end_index: |
|---|
| | | # 数据处理完毕 |
|---|
| | |
|---|
| | | # local_today_num_operate_map.get( |
|---|
| | | # "600213")) |
|---|
| | | # print(buy_index, buy_data) |
|---|
| | | dict_ = {"code": 0} |
|---|
| | | dict_.clear() |
|---|
| | | print(dict_) |
|---|
| | | volume_rate = code_volumn_manager.get_volume_rate("002343") |
|---|
| | | print(volume_rate) |
|---|
