激进买入-买入完善

Administrator

2024-09-09 3b872137fb8d0e894c868197eff915748c704a0e

 l2/l2_data_manager_new.py

@@ -35,7 +35,8 @@
from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \
    logger_l2_not_buy_reasons, logger_real_place_order_position, logger_l2_trade_buy_queue

from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager, AccountMoneyManager
from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager, AccountMoneyManager, \
    RadicalBuyDealCodesManager

from trade.trade_manager import TradeTargetCodeModeManager

@@ -730,16 +731,19 @@
                # 不处于可下单状态
                return False
            __start_time = tool.get_now_timestamp()
            order_begin_pos = cls.__get_order_begin_pos(
                code)

            if order_begin_pos.MODE_RADICAL == order_begin_pos.mode:
                # 激进下单不判断条件
                can, need_clear_data, reason, is_valid_exec_index = True, False, "激进下单", True
            else:
            can, need_clear_data, reason, is_valid_exec_index = cls.__can_buy_first(code)

            # __start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "最后判断是否能下单", force=True)
            # 删除虚拟下单
            if code in cls.unreal_buy_dict:
                cls.unreal_buy_dict.pop(code)

            order_begin_pos = cls.__get_order_begin_pos(
                code)
            if not can:
                if not is_valid_exec_index:
                    if cls.__latest_exec_indexes.get(code) and cls.__latest_exec_indexes[code][
@@ -852,6 +856,32 @@
        return True, ""

    @classmethod
    def __is_on_limit_up_buy(cls, code, buy_exec_index):
        total_data = local_today_datas.get(code)
        latest_exec_indexes = cls.__latest_exec_indexes[code]
        if not latest_exec_indexes:
            latest_exec_indexes = []
        # 判断是否是炸开后买入
        last_exec_index = 0
        if len(latest_exec_indexes) > 1:
            last_exec_index = latest_exec_indexes[-2]
        # 获取最近的非涨停价成交时间
        not_limit_up_trade_time_with_ms = current_price_process_manager.get_trade_not_limit_up_time_with_ms(
            code)
        is_limit_up_buy = True
        if not_limit_up_trade_time_with_ms:
            t1 = int(
                L2DataUtil.get_time_with_ms(total_data[last_exec_index]["val"]).replace(":", "").replace(".",
                                                                                                         ""))
            t2 = int(not_limit_up_trade_time_with_ms.replace(":", "").replace(".", ""))
            t3 = int(L2DataUtil.get_time_with_ms(total_data[buy_exec_index]["val"]).replace(":", "").replace(
                ".", ""))
            if t1 < t2 <= t3:
                # 炸板时间在两次下单时间中间
                is_limit_up_buy = False
        return is_limit_up_buy

    @classmethod
    def __can_buy_first(cls, code):
        """
        是否可以下单
@@ -954,32 +984,12 @@
            # 1.当前成交价为涨停价
            # 2.距离最近的非板上成交的时间大于一个阈值
            if abs(limit_up_price - float(trade_price)) < 0.001:
                latest_exec_indexes = cls.__latest_exec_indexes[code]
                if not latest_exec_indexes:
                    latest_exec_indexes = []
                # 判断是否是炸开后买入
                last_exec_index = 0
                if len(latest_exec_indexes) > 1:
                    last_exec_index = latest_exec_indexes[-2]
                is_limit_up_buy = cls.__is_on_limit_up_buy(code, order_begin_pos.buy_exec_index)
                if is_limit_up_buy:
                    # 板上买且非加绿
                # 获取最近的非涨停价成交时间
                not_limit_up_trade_time_with_ms = current_price_process_manager.get_trade_not_limit_up_time_with_ms(
                    code)

                is_limit_up_buy = True
                if not_limit_up_trade_time_with_ms:
                    t1 = int(
                        L2DataUtil.get_time_with_ms(total_data[last_exec_index]["val"]).replace(":", "").replace(".",
                                                                                                                 ""))
                    t2 = int(not_limit_up_trade_time_with_ms.replace(":", "").replace(".", ""))
                    t3 = int(L2DataUtil.get_time_with_ms(total_data[order_begin_pos.buy_exec_index]["val"]).replace(":",
                                                                                                                    "").replace(
                        ".", ""))
                    if t1 < t2 <= t3:
                        # 炸板时间在两次下单时间中间
                        is_limit_up_buy = False
                if is_limit_up_buy:
                    # 板上买且非加绿

                    # 判断成交进度到当前数据的笔数，如果少于10笔且还有未成交的大单（>=299）就可以下单
                    trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
                    if trade_index is None:
@@ -1726,7 +1736,7 @@
                start = None
        return None

    # 计算激进买的下单信号
    # 计算积极买的下单信号
    @classmethod
    def __compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index):
        """
@@ -1824,6 +1834,50 @@

        return False, -1, "未获取到激进买的起始信号", '', OrderBeginPosInfo.MODE_NORMAL

    # 计算激进买的下单信号
    @classmethod
    def __compute_radical_order_begin_pos(cls, code, start_index, end_index):
        """
        计算激进买入信号：
        1.非板上放量
        2.检测到299万大单买入
        @param code:
        @param start_index:
        @param end_index:
        @return: (是否获取到信号, 信号位置)
        """
        # 激进买信号的时间


        radical_data = RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict.get(code)
        if not radical_data:
            return False, None, "不满足激进买的条件"
        if t.time() > radical_data[0]:
            return False, None, "超过生效时间"


        # 判断是否是板上放量
        if cls.__is_on_limit_up_buy(code, start_index):
            return False, None, "板上放量"
        total_datas = local_today_datas[code]
        min_num = int(29900 / gpcode_manager.get_limit_up_price_as_num(code))
        single_index = None
        for i in range(start_index, end_index + 1):
            data = total_datas[i]
            val = data["val"]
            if not L2DataUtil.is_limit_up_price_buy(val):
                continue
            if val["num"] < min_num:
                continue
            if int(val["orderNo"]) <= radical_data[1]:
                # 主动买单后的数据不算
                continue
            single_index = i
            break
        if single_index is not None:
            return True, single_index, "有大单"
        return False, None, "无大单"

    @classmethod
    def test__compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index):
        return cls.__compute_active_order_begin_pos(code, continue_count, start_index, end_index)