新策略修改

Administrator

2022-10-21 892b50e242e3c59a738b92dfdfee1bf1ff8932f2

 l2_trade_factor.py

@@ -18,53 +18,57 @@
            yi = 1
        return 5000000 + (yi - 1) * 500000

    # 自由流通市值影响比例
    @classmethod
    def get_zylt_rate(cls, zyltgb):
        yi = round(zyltgb / 100000000)
        if yi < 1:
            yi = 1
        if yi <= 30:
            rate = -0.04 + 0.01 * (yi - 1)
            if rate > 0.1:
                rate = 0.1
        else:
            rate = 0.09 - (yi - 31) * 0.002
            if rate < -0.1:
                rate = -0.1
        return round(rate, 4)

    # 获取行业影响比例
    # total_limit_percent为统计的比例之和乘以100
    @classmethod
    def get_industry_rate(cls, total_limit_percent):
        t = total_limit_percent / 10
        rate = t / 0.5 * 0.02 + 0.26
        if rate > 0.52:
            rate = 0.52
        return round(rate, 2)
        if t < 0.9:
            return 0
        elif t <= 1.1:
            return 0.2
        elif t <= 1.6:
            return 0
        elif t <= 2.1:
            return 0.03
        elif t <= 2.6:
            return 0.06
        elif t <= 3.1:
            return 0.09
        elif t <= 3.6:
            return 0.12
        elif t <= 4.1:
            return 0.15
        elif t <= 4.6:
            return 0.18
        elif t <= 5.1:
            return 0.21
        elif t <= 5.6:
            return 0.24
        elif t <= 6.1:
            return 0.27
        else:
            return 0.30

    # 获取量影响比例
    @classmethod
    def get_volumn_rate(cls, day60_max, yest, today):
        old_volumn = yest
        base_rate = 0.49
        if day60_max > yest:
            old_volumn = day60_max
            base_rate = 0.50
        r = round(today / old_volumn, 2)
        if r < 0.01:
            r = 0.01
        print("比例：", r)
        rate = 0
        if r <= 0.25:
            rate = base_rate - (r - 0.01) * 2
        elif r <= 0.5:
            rate = 0.25 - r + (0.01 if day60_max > yest else 0)
        elif r < 0.75:
            rate = r - 0.75 + (0.01 if day60_max > yest else 0)
        elif r < 1.74:
            rate = base_rate - (r - 0.75)
        if r < 0.5:
            rate = 0.3 - (r - 0.01)
        elif r <= 0.75:
            rate = -0.2 + (r - 0.5) * 2
        elif r <= 1.35:
            rate = 0.3 - (r - 0.75)
        else:
            rate = base_rate - 0.99
            rate = -0.3
        return round(rate, 4)

    # 当前股票首次涨停时间的影响比例
@@ -74,36 +78,33 @@
        start_m = 9 * 60 + 30
        m = int(times[0]) * 60 + int(times[1])
        dif = m - start_m
        base_rate = 0.5
        base_rate = 0.3
        rate = 0
        if dif < 1:
            rate = base_rate
        elif dif <= 5:
            rate = base_rate - dif * 0.02
        elif dif <= 120:
            # 11:30之前
            rate = 0.39 - (dif - 6) * 0.004
            rate = base_rate - dif * 0.0035
        else:
            rate = 0.39 - (120 - 6) * 0.004 - (dif - 210 + 1) * 0.004
            if rate < -0.5:
                rate = -0.5
            rate = base_rate - (dif - 89) * 0.0035
            if rate < -0.3020:
                rate = -0.3020
        return round(rate, 4)

    # 纯万手哥影响值（手数》=9000 OR 金额》=500w）
    @classmethod
    def get_big_money_rate(cls, num):
        if num < 0:
            num = 0
        if num >= 10:
            return 0.5
        else:
            return round(num * 0.05, 2)
        if num < 4:
            return 0
        rate = (num - 4) * 0.035 / 4 + 0.06
        if rate > 0.9:
            rate = 0.9
        return round(rate, 4)

    @classmethod
    def compute_rate(cls, zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today,
                     limit_up_time, big_money_num):
        # 自由流通股本影响比例
        zyltgb_rate = cls.get_zylt_rate(zyltgb)

        # 行业涨停影响比例
        industry_rate = 0
        if total_industry_limit_percent is not None:
@@ -121,16 +122,23 @@
        if big_money_num is not None:
            big_money_rate = cls.get_big_money_rate(big_money_num)
        print(
            "zyltgb_rate：{} industry_rate：{} volumn_rate：{} limit_up_time_rate：{} big_money_rate：{}".format(zyltgb_rate,
                                                                                                            industry_rate,
                                                                                                            volumn_rate,
                                                                                                            limit_up_time_rate,
                                                                                                            big_money_rate))
            "industry_rate：{} volumn_rate：{} limit_up_time_rate：{} big_money_rate：{}".format(industry_rate,
                                                                                             volumn_rate,
                                                                                             limit_up_time_rate,
                                                                                             big_money_rate))

        return round(1 - (zyltgb_rate + industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
        final_rate = round(1 - (industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
        if final_rate < 0.1:
            final_rate = 0.1
        return final_rate

    @classmethod
    def compute_rate_by_code(cls, code):
        factors = cls.__get_rate_factors(code)
        return cls.compute_rate(factors[0], factors[1], factors[2], factors[3], factors[4], factors[5], factors[6])

    @classmethod
    def __get_rate_factors(cls, code):
        zyltgb = global_util.zyltgb_map.get(code)
        # 获取行业热度
        industry = global_util.code_industry_map.get(code)
@@ -139,6 +147,11 @@
            industry = global_util.code_industry_map.get(code)

        total_industry_limit_percent = global_util.industry_hot_num.get(industry) if industry is not None else None
        # 当前票是否涨停
        if total_industry_limit_percent is not None:
            if code in global_util.limit_up_codes_percent:
                total_industry_limit_percent -= global_util.limit_up_codes_percent[code]

        # 获取量
        volumn_day60_max, volumn_yest, volumn_today = global_util.max60_volumn.get(
            code), global_util.yesterday_volumn.get(code), global_util.today_volumn.get(code)
@@ -154,8 +167,22 @@
        big_money_num = global_util.big_money_num.get(code)
        if big_money_num is None:
            big_money_num = big_money_num_manager.get_num(code)
        return cls.compute_rate(zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today,
                                limit_up_time, big_money_num)
        return (
            zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today, limit_up_time,
            big_money_num)

    @classmethod
    def factors_to_string(cls, code):
        vals = cls.__get_rate_factors(code)
        return "zyltgb:%s, total_industry_limit_percent:%s, volumn_day60_max:%s, volumn_yest:%s, volumn_today:%s,limit_up_time:%s, big_money_num:%s" % vals

    @classmethod
    def __get_zyltgb(cls, code):
        zyltgb = global_util.zyltgb_map.get(code)
        if zyltgb is None:
            global_util.load_zyltgb()
            zyltgb = global_util.zyltgb_map.get(code)
        return zyltgb

    @classmethod
    def compute_m_value(cls, code):
@@ -166,12 +193,24 @@
            if zyltgb is None:
                print("没有获取到自由流通市值")
                return 10000000
        if code == '002476':
            print("")
        zyltgb = cls.get_base_safe_val(zyltgb)
        rate = cls.compute_rate_by_code(code)
        # print("m值获取：", code, round(zyltgb * rate))
        return round(zyltgb * rate)

    # 获取安全笔数
    @classmethod
    def get_safe_buy_count(cls, code):
        gb = cls.__get_zyltgb(code)
        if not gb:
            # 默认10笔
            return 8
        count = gb // 100000000
        if count > 30:
            return 30
        if count < 5:
            return 5
        return count


# l2因子归因数据
@@ -191,7 +230,14 @@


if __name__ == "__main__":
    L2TradeFactorUtil.compute_m_value("000036")
    # print(L2TradeFactorUtil.get_big_money_rate(1))
    # print(L2TradeFactorUtil.get_rate_factors("003004"))
    # print(L2TradeFactorUtil.factors_to_string("003004"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("09:30:30"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("11:30:00"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("13:00:00"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("13:48:00"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("13:53:23"))
    print(L2TradeFactorUtil.get_limit_up_time_rate("14:23:23"))

    # print(L2TradeFactorUtil.get_big_money_rate(2))
    # print(L2TradeFactorUtil.get_big_money_rate(3))