添加由于L2没买的原因日志

Administrator

2024-01-19 f3ecf0c85b980c59d2accb722bb85ceda3475136

 l2/l2_data_manager_new.py

@@ -28,7 +28,8 @@
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
    local_latest_datas, local_today_canceled_buyno_map
import l2.l2_data_util
from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug
from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \
    logger_l2_not_buy_reasons

from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager

@@ -992,7 +993,6 @@
        # 是否是强势30分钟
        is_in_strong_time_30 = now_timestamp <= int("100000")


        # 量参考是否在最近30天
        # is_refer_volume_date_in_30_days = False
        # try:
@@ -1001,11 +1001,6 @@
        #         is_refer_volume_date_in_30_days = True
        # except:
        #     pass

        if k_format and (k_format[1][0] or k_format[3][0]) and len(k_format) >= 12 and k_format[11]:
            # 破前高/接近前高且30天内有涨停
            if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
                return False, True, f"股价创新高或者逼近前高且30天内有涨停,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"

        # 获取市场行情
        situation = cls.__MarketSituationManager.get_situation_cache()
@@ -1031,6 +1026,11 @@
        if is_in_strong_time_30 and is_best_zylt and can_buy_result[0]:
            # 强势30分钟，最优市值, 有可以下单的板块，不看量
            return True, False, can_buy_result[2]

        if k_format and (k_format[1][0] or k_format[3][0]) and len(k_format) >= 12 and k_format[11]:
            # 破前高/接近前高且30天内有涨停
            if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
                return False, True, f"股价创新高或者逼近前高且30天内有涨停,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}"

        if HighIncreaseCodeManager().is_in(code):
            if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.8:
@@ -1351,11 +1351,11 @@
        # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m值阈值计算")

        # 买入纯买额统计
        new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = None, None, None, None, []
        new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new, not_buy_msg = None, None, None, None, [], ""
        if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:

            threshold_money = order_begin_pos.threshold_money
            new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new = cls.__sum_buy_num_for_order_fast(
            new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, not_buy_msg = cls.__sum_buy_num_for_order_fast(
                code,
                start_process_index,
                compute_end_index,
@@ -1366,7 +1366,7 @@
            threshold_money = threshold_money_new
            order_begin_pos.threshold_money = threshold_money
        else:
            new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(
            new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new, not_buy_msg = cls.__sum_buy_num_for_order_3(
                code,
                start_process_index,
                compute_end_index,
@@ -1429,6 +1429,8 @@
                                                                max_num_set=max_num_set_new, mode=order_begin_pos.mode,
                                                                sell_info=order_begin_pos.sell_info,
                                                                threshold_money=threshold_money))
            # 记录没下单原因
            async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{not_buy_msg}")
            _start_time = t.time()
        l2_data_log.l2_time_log(code, "__start_compute_buy 结束")

@@ -1630,6 +1632,7 @@
        # 较大单的手数
        bigger_num = round(5000 / limit_up_price)

        not_buy_msg = ""
        for i in range(compute_start_index, compute_end_index + 1):
            data = total_datas[i]
            _val = total_datas[i]["val"]
@@ -1639,12 +1642,12 @@
                cls.__TradePointManager.delete_buy_point(code)
                if i == compute_end_index:
                    # 数据处理完毕
                    return None, buy_nums, buy_count, None, max_buy_num_set
                    return None, buy_nums, buy_count, None, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
                else:
                    # 计算买入信号，不能同一时间开始计算
                    for ii in range(buy_single_index + 1, compute_end_index + 1):
                        if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
                            return None, buy_nums, buy_count, ii, max_buy_num_set
                            return None, buy_nums, buy_count, ii, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
            # 涨停买
            if L2DataUtil.is_limit_up_price_buy(_val):
                if l2_data_util.is_big_money(_val):
@@ -1693,22 +1696,37 @@
            max_buy_num_set_count = 0
            for i1 in max_buy_num_set:
                max_buy_num_set_count += total_datas[i1]["re"]
            # 有撤单信号，且小于阈值
            if buy_nums >= threshold_num and buy_count >= threshold_count and trigger_buy and max_buy_num_set_count >= big_num_count:
                try:
                    info = cls.__trade_log_placr_order_info_dict[code]
                    info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
                except Exception as e:
                    async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")

                return i, buy_nums, buy_count, None, max_buy_num_set
            if buy_nums < threshold_num:
                not_buy_msg = f"【{i}】纯买额不足，{buy_nums}/{threshold_num}"
                continue

            if buy_count < threshold_count:
                not_buy_msg = f"【{i}】安全笔数不够，{buy_count}/{threshold_count}"
                continue

            if not trigger_buy:
                not_buy_msg = f"【{i}】没有买单触发"
                continue

            if max_buy_num_set_count < big_num_count:
                not_buy_msg = f"【{i}】大单数量不足，{max_buy_num_set_count}/{big_num_count}"
                continue

            try:
                info = cls.__trade_log_placr_order_info_dict[code]
                info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
            except Exception as e:
                async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")

            return i, buy_nums, buy_count, None, max_buy_num_set, "可以下单"

        l2_log.buy_debug(code, "尚未获取到买入执行点，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{}  统计纯买单数：{} 目标纯买单数：{} 大单数量：{} 目标大单数量：{}",
                         compute_start_index,
                         buy_nums,
                         threshold_num, buy_count, threshold_count, max_buy_num_set_count, big_num_count)

        return None, buy_nums, buy_count, None, max_buy_num_set
        return None, buy_nums, buy_count, None, max_buy_num_set, not_buy_msg

    # 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值)
    # 计算快速买入
@@ -1736,6 +1754,8 @@
        trigger_buy = True
        # 间隔最大时间为3s
        max_space_time_ms = 3 * 1000
        # 不下单的信息
        not_buy_msg = ""
        for i in range(compute_start_index, compute_end_index + 1):
            data = total_datas[i]
            _val = total_datas[i]["val"]
@@ -1745,12 +1765,12 @@
                cls.__TradePointManager.delete_buy_point(code)
                if i == compute_end_index:
                    # 数据处理完毕
                    return None, buy_nums, buy_count, None, threshold_money
                    return None, buy_nums, buy_count, None, threshold_money, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
                else:
                    # 计算买入信号，不能同一时间开始计算
                    for ii in range(buy_single_index + 1, compute_end_index + 1):
                        if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
                            return None, buy_nums, buy_count, ii, threshold_money
                            return None, buy_nums, buy_count, ii, threshold_money, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms"
            if L2DataUtil.is_sell(_val):
                threshold_money += _val["num"] * int(float(_val["price"]) * 100)
                threshold_num = round(threshold_money / (limit_up_price * 100))
@@ -1793,21 +1813,29 @@
            l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i,
                             buy_nums, threshold_num)
            # 纯买额足够，且笔数大于5笔
            if buy_nums >= threshold_num and trigger_buy and buy_count >= 5:
                try:
                    info = cls.__trade_log_placr_order_info_dict[code]
                    info.set_trade_factor(threshold_money, 0, [])
                except Exception as e:
                    async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")
            if buy_nums < threshold_num:
                not_buy_msg = f"【{i}】纯买额不够，{buy_nums}/{threshold_num}"
                continue
            if not trigger_buy:
                not_buy_msg = f"【{i}】没有买单触发"
                continue
            if buy_count < 5:
                not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{5}"
                continue
            try:
                info = cls.__trade_log_placr_order_info_dict[code]
                info.set_trade_factor(threshold_money, 0, [])
            except Exception as e:
                async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}")

                return i, buy_nums, buy_count, None, threshold_money
            return i, buy_nums, buy_count, None, threshold_money, "可以下单"

        l2_log.buy_debug(code, "尚未获取到买入执行点(快速买入)，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{}  统计纯买单数：{}",
                         compute_start_index,
                         buy_nums,
                         threshold_num, buy_count)

        return None, buy_nums, buy_count, None, threshold_money
        return None, buy_nums, buy_count, None, threshold_money, not_buy_msg


def test_trade_record():