首板加入，安全笔数与H撤笔数优化

Administrator

2023-03-08 3cfa1332c0807a74b4ac5a2150500841f5299147

 l2/l2_data_manager_new.py

@@ -172,8 +172,12 @@
                if not code_data_util.is_same_code_with_price(code, float(datas[0]["val"]["price"])):
                    raise L2DataException(L2DataException.CODE_PRICE_ERROR,
                                          "股价不匹配 code-{} price-{}".format(code, datas[0]["val"]["price"]))
                # 加载历史数据
                l2.l2_data_util.load_l2_data(code)
                # 加载历史数据,返回数据是否正常
                is_normal = l2.l2_data_util.load_l2_data(code)
                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)
                # 纠正数据
                datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas)
                _start_index = 0
@@ -296,9 +300,9 @@

            l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time,
                                "已下单-买1统计耗时")
            if constant.TEST:
                return None, ""
            return cancel_data, cancel_msg
            # 买1不会触发撤单
            return None, ""
            # return cancel_data, cancel_msg

        # S撤
        @dask.delayed
@@ -324,7 +328,9 @@
            _start_time = round(t.time() * 1000)
            try:
                b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code, buy_exec_index, start_index,
                                                                                    end_index, total_data, local_today_num_operate_map.get(code))
                                                                                    end_index, total_data,
                                                                                    local_today_num_operate_map.get(
                                                                                        code))
                if b_need_cancel and b_cancel_data:
                    return b_cancel_data, "H撤销比例触发阈值"
            except Exception as e:
@@ -413,7 +419,7 @@
    @classmethod
    def __buy(cls, code, capture_timestamp, last_data, last_data_index):
        __start_time = tool.get_now_timestamp()
        can, reason = cls.__can_buy(code)
        can, need_clear_data, reason = cls.__can_buy(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:
@@ -421,7 +427,7 @@

        if not can:
            l2_log.debug(code, "不可以下单，原因：{}", reason)
            if not reason.startswith("买1价不为涨停价"):
            if need_clear_data:
                # 中断买入
                trade_manager.break_buy(code, reason)
            return
@@ -472,9 +478,18 @@
        return True, ""

    # 是否可以买
    # 返回是否可以买,是否需要清除之前的买入信息，原因
    @classmethod
    def __can_buy(cls, code):
        __start_time = t.time()
        # 判断是否为首板代码
        is_first = gpcode_manager.FirstCodeManager.is_in_first_record(code)
        if is_first:
            # 首板代码且尚未涨停过的不能下单
            is_limited_up = gpcode_manager.FirstCodeManager.is_limited_up(code)
            if not is_limited_up:
                return False, True, "首板代码，且尚未涨停过"

        try:
            # 买1价格必须为涨停价才能买
            # buy1_price = cls.buy1PriceManager.get_price(code)
@@ -487,6 +502,10 @@
            #     return False, "买1价不为涨停价，买1价-{} 涨停价-{}".format(buy1_price, limit_up_price)
            # 从买入信号起始点到当前数据末尾的纯买手数与当前的卖1做比较，如果比卖1小则不能买入
            total_datas = local_today_datas[code]
            if total_datas[-1]["index"] + 1 > len(total_datas):
                return False, True, "L2数据错误"


            try:
                sell1_time, sell1_price, sell1_volumn = cls.__ths_l2_trade_queue_manager.get_sell1_info(code)
                l2_log.buy_debug(code, "卖1信息为：({},{},{})", sell1_time, sell1_price, sell1_volumn)
@@ -505,30 +524,30 @@
                        elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
                            buy_nums -= _val["num"] * total_datas[i]["re"]
                    if buy_nums < sell1_volumn * 0.49:
                        return False, "纯买量({})小于卖1量的49%{} 卖1时间：{}".format(buy_nums, sell1_volumn, sell1_time)
                        return False, True, "纯买量({})小于卖1量的49%{} 卖1时间：{}".format(buy_nums, sell1_volumn, sell1_time)
            except Exception as e:
                logging.exception(e)

            # 量比超过1.3的不能买
            volumn_rate = l2_trade_factor.L2TradeFactorUtil.get_volumn_rate_by_code(code)
            if volumn_rate >= 1.3:
                return False, "最大量比超过1.3不能买"
                return False, True, "最大量比超过1.3不能买"

            limit_up_time = limit_up_time_manager.get_limit_up_time(code)
            if limit_up_time is not None and l2.l2_data_util.L2DataUtil.get_time_as_second(
                    limit_up_time) >= l2.l2_data_util.L2DataUtil.get_time_as_second(
                "14:30:00"):
                return False, "14:30后涨停的不能买，涨停时间为{}".format(limit_up_time)
                return False, True, "14:55后涨停的不能买，涨停时间为{}".format(limit_up_time)

            # 同一板块中老二后面的不能买
            industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
            if industry is None:
                return True, "没有获取到行业"
                return True, True, "没有获取到行业"

            codes_index = industry_codes_sort.sort_codes(codes, code)
            if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1:
                # 当老大老二当前没涨停
                return False, "同一板块中老三,老四,...不能买"
                return False, True, "同一板块中老三,老四,...不能买"

            if cls.__codeActualPriceProcessor.is_under_water(code, total_datas[-1]["val"]["time"]):
                # 水下捞且板块中的票小于16不能买
@@ -540,7 +559,7 @@
                    # 获取老大的市值
                    for c in codes_index:
                        if codes_index.get(c) == 0 and global_util.zyltgb_map.get(code) > global_util.zyltgb_map.get(c):
                            return False, "水下捞，不是老大，且自由流通市值大于老大"
                            return False, True, "水下捞，不是老大，且自由流通市值大于老大"

            # 13:30后涨停，本板块中涨停票数<29不能买
            # if limit_up_time is not None:
@@ -576,7 +595,7 @@
            #     if global_util.industry_hot_num.get(industry) < 29:
            #         return False, "老二，本板块中涨停票数<29不能买"
            # 可以下单
            return True, None
            return True, False, None
        finally:
            l2_data_log.l2_time(code, round((t.time() - __start_time) * 1000), "是否可以下单计算")

@@ -672,8 +691,9 @@
            return None

        # 开始计算的位置
        start_process_index = min(buy_single_index, compute_start_index) if new_get_single else max(buy_single_index,
                                                                                                    compute_start_index)
        start_process_index = max(buy_single_index, compute_start_index)
        if new_get_single:
            start_process_index = buy_single_index

        # 计算m值大单
        cls.l2BigNumForMProcessor.process(code, start_process_index,
@@ -859,6 +879,7 @@

        _start_time = t.time()
        total_datas = local_today_datas[code]
        is_first_code = gpcode_manager.FirstCodeManager.is_in_first_record(code)

        buy_nums = origin_num
        buy_count = origin_count
@@ -869,14 +890,15 @@
        # 目标手数
        threshold_num = round(threshold_money / (limit_up_price * 100))

        place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
        # 目标订单数量
        threshold_count = cls.__buyL2SafeCountManager.get_safe_count(code)
        threshold_count = cls.__buyL2SafeCountManager.get_safe_count(code,is_first_code, place_order_count)

        buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])

        # 可以触发买，当有涨停买信号时才会触发买
        trigger_buy = True
        place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)

        if place_order_count > 3:
            place_order_count = 3
        # 间隔最大时间依次为：3,9,27,81
@@ -926,7 +948,8 @@
                    # 只统计59万以上的金额
                    # 涨停买撤
                    # 判断买入位置是否在买入信号之前
                    buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, total_datas[i],
                    buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code,
                                                                                                     total_datas[i],
                                                                                                     local_today_num_operate_map.get(
                                                                                                         code))
                    if buy_index is not None:
@@ -1039,8 +1062,8 @@
        limit_up_time = limit_up_time_manager.get_limit_up_time(code)
        if limit_up_time is not None and l2.l2_data_util.L2DataUtil.get_time_as_second(
                limit_up_time) >= l2.l2_data_util.L2DataUtil.get_time_as_second(
            "14:30:00"):
            return False, "14:30后涨停的不能买，涨停时间为{}".format(limit_up_time)
            "14:55:00"):
            return False, "14:55后涨停的不能买，涨停时间为{}".format(limit_up_time)

        # 同一板块中老二后面的不能买
        industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())