| | |
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| | | import big_money_num_manager |
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| | | import code_data_util |
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| | | import constant |
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| | | import data_process |
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| | | import global_data_loader |
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| | | import global_util |
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| | | import industry_codes_sort |
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| | | import l2_data_log |
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| | | import l2_data_util |
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| | | |
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| | | import gpcode_manager |
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| | | import l2_trade_factor |
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| | | import log |
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| | | |
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| | | import redis_manager |
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| | | import ths_industry_util |
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| | | import tool |
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| | | import trade_manager |
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| | | from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process |
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| | | from trade_data_manager import TradeBuyDataManager |
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| | | from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process,logger_l2_data |
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| | | import trade_data_manager |
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| | | import limit_up_time_manager |
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| | | |
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| | | _redisManager = redis_manager.RedisManager(1) |
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| | |
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| | | # 获取今日的数据 |
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| | | |
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| | | if local_today_datas.get(code) is None or force: |
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| | | datas = [] |
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| | | keys = redis.keys("l2-{}-*".format(code)) |
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| | | for k in keys: |
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| | | value = redis.get(k) |
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| | | _data = l2_data_util.l2_data_key_2_obj(k, value) |
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| | | datas.append(_data) |
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| | | # 排序 |
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| | | new_datas = sorted(datas, |
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| | | key=lambda e: (int(e.__getitem__('val')["time"].replace(":", "")), e.__getitem__('index'))) |
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| | | local_today_datas[code] = new_datas |
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| | | # 根据今日数据加载 |
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| | | l2_data_util.load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force) |
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| | | datas = log.load_l2_from_log() |
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| | | datas = datas.get(code) |
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| | | if datas is None: |
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| | | datas= [] |
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| | | local_today_datas[code] = datas |
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| | | |
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| | | # 从数据库加载 |
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| | | # datas = [] |
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| | | # keys = redis.keys("l2-{}-*".format(code)) |
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| | | # for k in keys: |
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| | | # value = redis.get(k) |
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| | | # _data = l2_data_util.l2_data_key_2_obj(k, value) |
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| | | # datas.append(_data) |
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| | | # # 排序 |
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| | | # new_datas = sorted(datas, |
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| | | # key=lambda e: (int(e.__getitem__('val')["time"].replace(":", "")), e.__getitem__('index'))) |
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| | | # local_today_datas[code] = new_datas |
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| | | # 根据今日数据加载 |
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| | | l2_data_util.load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force) |
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| | | |
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| | | |
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| | | @tool.async_call |
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| | |
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| | | data = data["data"] |
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| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
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| | | |
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| | | |
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| | | datas = L2DataUtil.format_l2_data(data, code, limit_up_price) |
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| | | # 获取涨停价 |
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| | | return day, client, channel, code, capture_time, process_time, datas,data |
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| | | return day, client, channel, code, capture_time, process_time, datas, data |
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| | | |
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| | | |
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| | | # 保存l2数据 |
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| | | def save_l2_data(code, datas, add_datas): |
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| | | redis = _redisManager.getRedis() |
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| | | # 保存最近的数据 |
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| | | __start_time = round(t.time()* 1000) |
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| | | redis.setex("l2-data-latest-{}".format(code), tool.get_expire(), json.dumps(datas)) |
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| | | l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, "保存最近l2数据用时") |
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| | | # 设置进内存 |
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| | | local_latest_datas[code] = datas |
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| | | __set_l2_data_latest_count(code, len(datas)) |
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| | | # 只有有新曾数据才需要保存 |
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| | | if len(add_datas) > 0: |
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| | | # 保存最近的数据 |
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| | | __start_time = round(t.time() * 1000) |
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| | | redis.setex("l2-data-latest-{}".format(code), tool.get_expire(), json.dumps(datas)) |
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| | | l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, "保存最近l2数据用时") |
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| | | # 设置进内存 |
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| | | local_latest_datas[code] = datas |
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| | | __set_l2_data_latest_count(code, len(datas)) |
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| | | try: |
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| | | logger_l2_data.info("{}-{}",code,add_datas) |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | saveL2Data(code, add_datas) |
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| | | |
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| | | |
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| | |
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| | | datas.append({"key": key, "val": item, "re": 1}) |
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| | | dataIndexs.setdefault(key, len(datas) - 1) |
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| | | # TODO 测试的时候开启，方便记录大单数据 |
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| | | #l2_data_util.save_big_data(code, same_time_num, data) |
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| | | # l2_data_util.save_big_data(code, same_time_num, data) |
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| | | return datas |
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| | | |
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| | | |
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| | | |
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| | | @classmethod |
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| | | def get_time_as_second(cls, time_str): |
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| | |
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| | | return False |
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| | | return True |
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| | | |
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| | | # 是否为涨停卖 |
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| | | @classmethod |
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| | | def is_limit_up_price_sell(cls, val): |
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| | | if int(val["limitPrice"]) != 1: |
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| | |
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| | | industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list()) |
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| | | if industry is None: |
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| | | return True, "没有获取到行业" |
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| | | codes_index = limit_up_time_manager.sort_code_by_limit_time(codes) |
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| | | codes_index = industry_codes_sort.sort_codes(codes,code) |
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| | | if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1: |
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| | | return False, "同一板块中老三,老四,...不能买" |
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| | | |
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| | |
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| | | L2BetchCancelBigNumProcessor.del_recod(code) |
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| | | cls.debug(code, "执行撤单成功") |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | cls.debug(code, "执行撤单异常：{}", str(e)) |
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| | | |
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| | | @classmethod |
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| | |
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| | | TradePointManager.delete_buy_cancel_point(code) |
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| | | TradePointManager.delete_compute_info_for_cancel_buy(code) |
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| | | TradePointManager.delete_count_info_for_cancel_buy(code) |
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| | | TradeBuyDataManager.remove_buy_position_info(code) |
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| | | trade_data_manager.TradeBuyDataManager.remove_buy_position_info(code) |
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| | | # 已过时 为买撤保存基础纯买额 |
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| | | # TradePointManager.set_compute_info_for_cancel_buy(code, compute_index, buy_nums) |
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| | | b_buy_count, b_buy_cancel_count = cls.__count_l2_data_before_for_cancel(code, buy_single_index) |
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| | |
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| | | |
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| | | @classmethod |
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| | | def __get_threshmoney(cls, code): |
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| | | money,msg = l2_trade_factor.L2TradeFactorUtil.compute_m_value(code) |
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| | | money, msg = l2_trade_factor.L2TradeFactorUtil.compute_m_value(code) |
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| | | return money |
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| | | |
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| | | # 获取预估挂买位 |
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| | | @classmethod |
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| | | def __get_sure_order_pos(cls, code): |
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| | | index, data = TradeBuyDataManager.get_buy_sure_position(code) |
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| | | index, data = trade_data_manager.TradeBuyDataManager.get_buy_sure_position(code) |
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| | | if index is None: |
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| | | return 0, len(local_today_datas[code]) - 1, local_today_datas[code][-1] |
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| | | else: |
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| | |
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| | | cls.__save_recod(code, process_index, count) |
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| | | |
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| | | |
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| | | # 涨停封单额统计 |
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| | | class L2LimitUpMoneyStatisticUtil: |
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| | | _redisManager = redis_manager.RedisManager(1) |
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| | | |
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| | | @classmethod |
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| | | def __get_redis(cls): |
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| | | return cls._redisManager.getRedis() |
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| | | |
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| | | # 设置l2的每一秒涨停封单额数据 |
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| | | @classmethod |
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| | | def __set_l2_second_money_record(cls, code, time, num, from_index, to_index): |
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| | | old_num, old_from, old_to = cls.__get_l2_second_money_record(code, time) |
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| | | if old_num is None: |
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| | | old_num = num |
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| | | old_from = from_index |
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| | | old_to = to_index |
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| | | else: |
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| | | old_num += num |
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| | | old_to = to_index |
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| | | |
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| | | key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", "")) |
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| | | |
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| | | cls.__get_redis().setex(key, tool.get_expire(), json.dumps((old_num, old_from, old_to))) |
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| | | |
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| | | @classmethod |
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| | | def __get_l2_second_money_record(cls, code, time): |
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| | | key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", "")) |
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| | | val = cls.__get_redis().get(key) |
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| | | return cls.__format_second_money_record_val(val) |
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| | | |
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| | | @classmethod |
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| | | def __format_second_money_record_val(cls, val): |
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| | | if val is None: |
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| | | return None, None, None |
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| | | val = json.loads(val) |
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| | | return val[0], val[1], val[2] |
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| | | |
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| | | @classmethod |
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| | | def __get_l2_second_money_record_keys(cls, code, time_regex): |
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| | | key = "l2_limit_up_second_money-{}-{}".format(code, time_regex) |
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| | | keys = cls.__get_redis().keys(key) |
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| | | return keys |
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| | | |
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| | | # 设置l2最新的封单额数据 |
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| | | @classmethod |
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| | | def __set_l2_latest_money_record(cls, code, index, num): |
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| | | key = "l2_limit_up_money-{}".format(code) |
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| | | cls.__get_redis().setex(key, tool.get_expire(), json.dumps((num, index))) |
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| | | |
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| | | # 返回数量,索引 |
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| | | @classmethod |
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| | | def __get_l2_latest_money_record(cls, code): |
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| | | key = "l2_limit_up_money-{}".format(code) |
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| | | result = cls.__get_redis().get(key) |
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| | | if result: |
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| | | result = json.loads(result) |
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| | | return result[0], result[1] |
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| | | else: |
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| | | return 0, -1 |
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| | | |
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| | | # 矫正数据 |
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| | | # 矫正方法为取矫正时间两侧的秒分布数据，用于确定计算结束坐标 |
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| | | @classmethod |
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| | | def verify_num(cls, code, num, time_str): |
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| | | time_ = time_str.replace(":", "") |
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| | | key = None |
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| | | for i in range(4, -2, -2): |
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| | | # 获取本(分钟/小时/天)内秒分布数据 |
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| | | time_regex = "{}*".format(time_[:i]) |
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| | | keys_ = cls.__get_l2_second_money_record_keys(code, time_regex) |
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| | | if keys_ and len(keys_) > 1: |
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| | | # 需要排序 |
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| | | keys = [] |
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| | | for k in keys_: |
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| | | keys.append(k) |
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| | | keys.sort(key=lambda tup: int(tup.split("-")[-1])) |
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| | | # 有2个元素 |
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| | | for index in range(0, len(keys) - 1): |
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| | | time_1 = keys[index].split("-")[-1] |
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| | | time_2 = keys[index + 1].split("-")[-1] |
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| | | if int(time_1) <= int(time_) <= int(time_2): |
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| | | # 在此时间范围内 |
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| | | if time_ == time_2: |
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| | | key = keys[index + 1] |
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| | | else: |
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| | | key = keys[index] |
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| | | break |
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| | | if key: |
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| | | val = cls.__get_redis().get(key) |
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| | | old_num, old_from, old_to = cls.__format_second_money_record_val(val) |
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| | | end_index = old_to |
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| | | # 保存最近的数据 |
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| | | cls.__set_l2_latest_money_record(code, end_index, num) |
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| | | break |
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| | | |
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| | | # 计算量，用于涨停封单量的计算 |
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| | | @classmethod |
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| | | def __compute_num(cls, code, data, buy_single_data): |
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| | | if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) or L2DataUtil.is_sell(data["val"]): |
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| | | # 涨停买撤与卖 |
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| | | return 0 - int(data["val"]["num"]) * data["re"] |
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| | | else: |
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| | | # 卖撤 |
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| | | if L2DataUtil.is_sell_cancel(data["val"]): |
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| | | # 卖撤的买数据是否在买入信号之前，如果在之前就不计算，不在之前就计算 |
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| | | if l2_data_util.is_sell_index_before_target(data, buy_single_data, |
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| | | local_today_num_operate_map.get(code)): |
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| | | return 0 |
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| | | |
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| | | return int(data["val"]["num"]) * data["re"] |
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| | | |
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| | | @classmethod |
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| | | def clear(cls, code): |
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| | | key = "l2_limit_up_money-{}".format(code) |
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| | | cls.__get_redis().delete(key) |
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| | | |
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| | | # 返回取消的标志数据 |
|---|
| | | # with_cancel 是否需要判断是否撤销 |
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| | | @classmethod |
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| | | def process_data(cls, code, start_index, end_index, buy_single_begin_index, with_cancel=True): |
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| | | start_time = round(t.time() * 1000) |
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| | | total_datas = local_today_datas[code] |
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| | | time_dict_num = {} |
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| | | # 记录计算的坐标 |
|---|
| | | time_dict_num_index = {} |
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| | | num_dict = {} |
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| | | # 统计时间分布 |
|---|
| | | time_dict = {} |
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| | | for i in range(start_index, end_index + 1): |
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| | | data = total_datas[i] |
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| | | val = data["val"] |
|---|
| | | time_ = val["time"] |
|---|
| | | if time_ not in time_dict: |
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| | | time_dict[time_] = i |
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| | | |
|---|
| | | for i in range(start_index, end_index + 1): |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | time_ = val["time"] |
|---|
| | | if time_ not in time_dict_num: |
|---|
| | | time_dict_num[time_] = 0 |
|---|
| | | time_dict_num_index[time_] = {"s": i, "e": i} |
|---|
| | | time_dict_num_index[time_]["e"] = i |
|---|
| | | num = cls.__compute_num(code, data, total_datas[buy_single_begin_index]) |
|---|
| | | num_dict[i] = num |
|---|
| | | time_dict_num[time_] = time_dict_num[time_] + num |
|---|
| | | for t_ in time_dict_num: |
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| | | cls.__set_l2_second_money_record(code, t_, time_dict_num[t_], time_dict_num_index[t_]["s"], |
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| | | time_dict_num_index[t_]["e"]) |
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| | | |
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| | | print("保存涨停封单额时间：", round(t.time() * 1000) - start_time) |
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| | | |
|---|
| | | # 累计最新的金额 |
|---|
| | | total_num, index = cls.__get_l2_latest_money_record(code) |
|---|
| | | if index == -1: |
|---|
| | | # 没有获取到最新的矫正封单额，需要从买入信号开始点计算 |
|---|
| | | index = buy_single_begin_index - 1 |
|---|
| | | total_num = 0 |
|---|
| | | # TODO 待优化计算 |
|---|
| | | cancel_index = None |
|---|
| | | cancel_msg = None |
|---|
| | | # 待计算量 |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
|---|
| | | min_volumn = round(10000000 / (limit_up_price * 100)) |
|---|
| | | # 不同时间的数据开始坐标 |
|---|
| | | time_start_index_dict = {} |
|---|
| | | # 数据时间分布 |
|---|
| | | time_list = [] |
|---|
| | | # 到当前时间累积的买1量 |
|---|
| | | time_total_num_dict = {} |
|---|
| | | for i in range(index + 1, end_index + 1): |
|---|
| | | data = total_datas[i] |
|---|
| | | time_ = data["val"]["time"] |
|---|
| | | if time_ not in time_start_index_dict: |
|---|
| | | # 记录每一秒的开始位置 |
|---|
| | | time_start_index_dict[time_] = i |
|---|
| | | # 记录时间分布 |
|---|
| | | time_list.append(time_) |
|---|
| | | # 上一段时间的总数 |
|---|
| | | time_total_num_dict[time_] = total_num |
|---|
| | | |
|---|
| | | val = num_dict.get(i) |
|---|
| | | if val is None: |
|---|
| | | val = cls.__compute_num(code, data, total_datas[buy_single_begin_index]) |
|---|
| | | total_num += val |
|---|
| | | # 如果是减小项，且在处理数据的范围内，就需要判断是否要撤单了 |
|---|
| | | if val < 0 and start_index <= i <= end_index: |
|---|
| | | # 累计封单金额小于1000万 |
|---|
| | | if total_num < min_volumn: |
|---|
| | | cancel_index = i |
|---|
| | | cancel_msg = "封单金额小于1000万" |
|---|
| | | break |
|---|
| | | # 相邻2s内的数据减小50% |
|---|
| | | # 上1s的总数 |
|---|
| | | last_second_total_volumn = time_total_num_dict.get(time_list[-1]) |
|---|
| | | if last_second_total_volumn > 0 and ( |
|---|
| | | last_second_total_volumn - total_num) / last_second_total_volumn >= 0.5: |
|---|
| | | # 相邻2s内的数据减小50% |
|---|
| | | cancel_index = i |
|---|
| | | cancel_msg = "相邻2s({})内的封单量减小50%({}->{})".format(time_, last_second_total_volumn, |
|---|
| | | total_num) |
|---|
| | | break |
|---|
| | | if not with_cancel: |
|---|
| | | cancel_index = None |
|---|
| | | |
|---|
| | | print("封单额计算时间：", round(t.time() * 1000) - start_time) |
|---|
| | | process_end_index = end_index |
|---|
| | | if cancel_index: |
|---|
| | | process_end_index = cancel_index |
|---|
| | | # 保存最新累计金额 |
|---|
| | | # cls.__set_l2_latest_money_record(code, process_end_index, total_num) |
|---|
| | | l2_data_log.l2_time(code, round(t.time() * 1000) - start_time, "l2数据封单额计算时间", |
|---|
| | | False) |
|---|
| | | if cancel_index: |
|---|
| | | return total_datas[cancel_index], cancel_msg |
|---|
| | | return None, None |
|---|
| | | |
|---|
| | | |
|---|
| | | def __get_time_second(time_str): |
|---|
| | | ts = time_str.split(":") |
|---|
| | |
|---|
| | | |
|---|
| | | |
|---|
| | | if __name__ == "__main__": |
|---|
| | | # 处理数据 |
|---|
| | | code = "002898" |
|---|
| | | load_l2_data(code) |
|---|
| | | L2LimitUpMoneyStatisticUtil.verify_num(code, 70582, "09:42:00") |
|---|
| | | clear_l2_data("603912") |
|---|
