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| | | import logging |
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| | | import time |
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| | | |
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| | | import numpy |
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| | | |
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| | | import constant |
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| | | import gpcode_manager |
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| | | from l2 import l2_data_log |
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| | | import l2_data_util |
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| | | from l2 import l2_data_log, l2_data_source_util |
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| | | import log |
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| | | from db import redis_manager |
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| | | import tool |
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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, randomKey=None): |
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| | | def save_l2_data(code, datas, add_datas): |
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| | | redis = _redisManager.getRedis() |
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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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| | | |
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| | | class L2TradeQueueUtils(object): |
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| | | # 买入数据是否已撤 |
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| | | @classmethod |
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| | | def __is_cancel(cls, code, data, total_datas, local_today_num_operate_map): |
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| | | val = data["val"] |
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| | | cancel_datas = local_today_num_operate_map.get( |
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| | | "{}-{}-{}".format(val["num"], "1", val["price"])) |
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| | | # 是否有买撤数据 |
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| | | if cancel_datas: |
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| | | for cancel_data in cancel_datas: |
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| | | buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, cancel_data, |
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| | | local_today_num_operate_map) |
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| | | if buy_index == data["index"]: |
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| | | return True |
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| | | return False |
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| | | |
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| | | # 获取成交进度索引 |
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| | | @classmethod |
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| | | def find_traded_progress_index(cls, buy_1_price, total_datas, local_today_num_operate_map, queueList, last_index, |
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| | | def find_traded_progress_index(cls, code, buy_1_price, total_datas, local_today_num_operate_map, queueList, |
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| | | last_index, |
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| | | latest_not_limit_up_time=None): |
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| | | |
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| | | def find_traded_progress_index_simple(queues): |
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| | | index_set = set() |
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| | | for num in queues: |
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| | | buy_datas = local_today_num_operate_map.get( |
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| | | "{}-{}-{}".format(num, "0", buy_1_price_format)) |
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| | | if buy_datas is not None and len(buy_datas) > 0: |
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| | | for data in buy_datas: |
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| | | # 在最近一次非涨停买1更新的时间之后才有效 |
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| | | if latest_not_limit_up_time is None or tool.trade_time_sub(data["val"]["time"], |
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| | | latest_not_limit_up_time) >= 0: |
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| | | if data["index"] >= last_index: |
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| | | index_set.add(data["index"]) |
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| | | index_list = list(index_set) |
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| | | index_list.sort() |
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| | | num_list = [] |
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| | | new_index_list = [] |
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| | | for index in index_list: |
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| | | for i in range(0, total_datas[index]["re"]): |
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| | | num_list.append(total_datas[index]["val"]["num"]) |
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| | | new_index_list.append(index) |
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| | | index_list_str = ",".join(list(map(str, num_list))) |
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| | | queue_list_str = ",".join(list(map(str, queues))) |
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| | | find_index = index_list_str.find(queue_list_str) |
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| | | if find_index >= 0: |
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| | | temp_str = index_list_str[0:find_index] |
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| | | if temp_str.endswith(","): |
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| | | temp_str = temp_str[:-1] |
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| | | if temp_str == "": |
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| | | return new_index_list[0], new_index_list[0:len(queues)] |
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| | | start_index = len(temp_str.split(",")) |
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| | | return new_index_list[start_index], new_index_list[start_index:start_index + len(queues)] |
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| | | return None, None |
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| | | |
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| | | # 判断匹配的位置是否可信 |
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| | | def is_trust(indexes): |
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| | | cha = [] |
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| | | for i in range(1, len(indexes)): |
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| | | cha.append(indexes[i] - indexes[i - 1] - 1) |
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| | | if len(cha) <= 1: |
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| | | return True |
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| | | # 标准差小于1 |
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| | | std_result = numpy.std(cha) |
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| | | if std_result < 10: |
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| | | # 绝对可信 |
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| | | return True |
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| | | |
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| | | for i in range(0, len(cha)): |
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| | | if abs(cha[i]) > 10: |
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| | | # 有超过10 的需要判断两个相临数据间的未撤的买入数量 |
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| | | buy_count = 0 |
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| | | for index in range(indexes[i] + 1, indexes[i + 1] - 1): |
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| | | if L2DataUtil.is_limit_up_price_buy(total_datas[index]["val"]): |
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| | | if not cls.__is_cancel(code, total_datas[index], total_datas, local_today_num_operate_map): |
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| | | buy_count += total_datas[index]["re"] |
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| | | # 暂定3个误差范围 |
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| | | if buy_count >= 3: |
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| | | return False |
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| | | return True |
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| | | |
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| | | if len(queueList) == 0: |
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| | | return None |
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| | | # last_index不能撤，如果已撤就清零 |
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| | | if cls.__is_cancel(code, total_datas[last_index], total_datas, local_today_num_operate_map): |
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| | | last_index = 0 |
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| | | # 补齐整数位5位 |
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| | | buy_1_price_format = f"{buy_1_price}" |
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| | | while buy_1_price_format.find(".") < 4: |
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| | | buy_1_price_format = "0" + buy_1_price_format |
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| | | index_set = set() |
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| | | for num in queueList: |
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| | | buy_datas = local_today_num_operate_map.get( |
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| | | "{}-{}-{}".format(num, "0", buy_1_price_format)) |
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| | | if buy_datas is not None and len(buy_datas) > 0: |
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| | | for data in buy_datas: |
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| | | # 在最近一次非涨停买1更新的时间之后才有效 |
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| | | if latest_not_limit_up_time is None or tool.trade_time_sub(data["val"]["time"], |
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| | | latest_not_limit_up_time) >= 0: |
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| | | if data["index"] >= last_index: |
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| | | index_set.add(data["index"]) |
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| | | index_list = list(index_set) |
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| | | index_list.sort() |
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| | | num_list = [] |
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| | | new_index_list = [] |
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| | | for index in index_list: |
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| | | for i in range(0, total_datas[index]["re"]): |
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| | | num_list.append(total_datas[index]["val"]["num"]) |
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| | | new_index_list.append(index) |
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| | | index_list_str = ",".join(list(map(str, num_list))) |
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| | | queue_list_str = ",".join(list(map(str, queueList))) |
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| | | find_index = index_list_str.find(queue_list_str) |
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| | | if find_index >= 0: |
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| | | temp_str = index_list_str[0:find_index] |
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| | | if temp_str.endswith(","): |
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| | | temp_str = temp_str[:-1] |
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| | | if temp_str == "": |
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| | | return new_index_list[0] |
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| | | return new_index_list[len(temp_str.split(","))] |
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| | | |
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| | | # --------因子查找法（因子的窗口最大为：len(queueList) ,最小为：len(queueList)/2）--------- |
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| | | max_win_len = len(queueList) |
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| | | min_win_len = len(queueList) // 2 |
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| | | if max_win_len == min_win_len: |
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| | | min_win_len = max_win_len - 1 |
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| | | for win_len in range(max_win_len, min_win_len, -1): |
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| | | # 窗口移动 |
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| | | for i in range(0, max_win_len - win_len + 1): |
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| | | queues = queueList[i:i + win_len] |
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| | | f_start_index, f_indexs = find_traded_progress_index_simple(queues) |
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| | | if f_start_index and is_trust(f_indexs): |
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| | | return f_start_index |
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| | | |
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| | | raise Exception("尚未找到成交进度") |
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| | | |
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| | | |
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| | | if __name__ == "__main__": |
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| | | pass |
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| | | cha = [0, 2, 4] |
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| | | std_result = numpy.std(cha) |
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| | | print(std_result) |
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