可转债回撤

Administrator

2024-06-03 3b2b30708614ee604bc28c7db359544688ede3f6

可转债回撤

 huaxin_client/l2_client_for_cb.py

@@ -23,6 +23,7 @@
from log_module.log import logger_local_huaxin_l2_subscript, logger_system, logger_l2_codes_subscript, \
    logger_local_huaxin_l2_transaction, logger_local_huaxin_l2_upload, logger_local_huaxin_l2_error, printlog, \
    logger_trade, logger_debug
from trade.buy_strategy import BuyStrategyDataManager
from utils import tool, l2_huaxin_util

###B类###
@@ -60,8 +61,7 @@
    # 代码的上次成交的订单唯一索引
    __last_transaction_keys_dict = {}

    limit_up_price_dict = {}
    __is_limit_up_dict = {}
    buyStrategyDataManager = BuyStrategyDataManager()

    # 高涨幅的代码
    __high_rate_codes = set()
@@ -237,23 +237,11 @@
                        "SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
                        "SellNo": pTransaction['SellNo'],
                        "ExecType": pTransaction['ExecType'].decode()}

                logger_local_huaxin_l2_transaction.info(f"{item}")

                huaxin_l2_log.info(logger_local_huaxin_l2_transaction, f"{item}")

                if pTransaction['TradePrice'] == self.limit_up_price_dict.get(pTransaction['SecurityID']):
                    # TODO 成交价是涨停价才输出
                    #huaxin_l2_log.info(logger_local_huaxin_l2_transaction, f"{item}")
                    if not self.__is_limit_up_dict.get(pTransaction['SecurityID']):
                        huaxin_l2_log.info(logger_local_huaxin_l2_upload,
                                           f"{pTransaction['TradeTime']} {pTransaction['SecurityID']} 下单")
                        l2_transaction_price_queue.put_nowait(
                            (pTransaction['SecurityID'], pTransaction['TradePrice'], pTransaction['TradeTime']))

                    self.__is_limit_up_dict[pTransaction['SecurityID']] = True
                else:
                    self.__is_limit_up_dict[pTransaction['SecurityID']] = False
                if self.buyStrategyDataManager.add_transaction_info(item):
                    l2_transaction_price_queue.put_nowait(
                        (pTransaction['SecurityID'], pTransaction['TradePrice'], pTransaction['TradeTime']))
        except Exception as e:
            logger_local_huaxin_l2_error.exception(e)

@@ -444,11 +432,7 @@
        logger_system.info(f'昨日收盘价数量：{len(market_codes)}')
        if pre_price_dict:
            for k in pre_price_dict:
                if k.find("00") == 0 or k.find("60") == 0:
                    limit_up_price = tool.to_price(decimal.Decimal(str(pre_price_dict[k])) * decimal.Decimal("1.1"))
                else:
                    limit_up_price = tool.to_price(decimal.Decimal(str(pre_price_dict[k])) * decimal.Decimal("1.2"))
                Lev2MdSpi.limit_up_price_dict[k] = round(float(limit_up_price), 2)
                Lev2MdSpi.buyStrategyDataManager.set_pre_close_price(k, pre_price_dict[k])
    return market_codes



 log_module/log_export.py

@@ -59,7 +59,6 @@
def load_latest_market_info(date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/{constant.LOG_DIR}/huaxin_local/l2/market.{date}.log"
    fdatas = {}

    MAX_LINE = 5000
    with open(path, 'r') as file:
        file.seek(0, 2)
@@ -86,8 +85,25 @@
    return fdatas


def load_transactions(date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/{constant.LOG_DIR}/huaxin_local/l2/transaction.{date}.log"
    fdatas = []
    with open(path, 'r') as file:
        lines = file.readlines()
        for line in lines:
            start_index = line.find("]")
            if start_index<0:
                continue
            line = line[start_index + 1:].strip()
            data = eval(line)
            fdatas.append(data)
    return fdatas




if __name__ == "__main__":
    fdatas = load_latest_market_info()
    fdatas = load_latest_market_info("2024-05-29")
    print(fdatas)

    pass

 main.py

@@ -12,9 +12,10 @@
from huaxin_client.client_network import SendResponseSkManager
from log_module import async_log_util, log_export
from records import huaxin_trade_record_manager
from trade import huaxin_trade_api, huaxin_trade_data_update, huaxin_sell_util
from trade import huaxin_trade_api, huaxin_trade_data_update, huaxin_sell_util, backtest_trade
from trade.buy_strategy import BuyStrategyDataManager
from utils import middle_api_protocol, outside_api_command_manager, constant, tool, huaxin_util, socket_util, sell_util, \
    output_util
    output_util, l2_huaxin_util

middle_api_protocol.SERVER_PORT = 10008
middle_api_protocol.SERVER_HOST = "43.138.167.68"
@@ -24,6 +25,7 @@
import concurrent.futures

__cancel_sell_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=8)
__BuyStrategyDataManager = BuyStrategyDataManager()


def __send_response(data_bytes):
@@ -141,6 +143,20 @@
            results = huaxin_trade_record_manager.PositionManager().list_by_day(tool.get_now_date_str("%Y%m%d"), code)
        else:
            results = huaxin_trade_record_manager.PositionManager().get_from_cache()
        if constant.backtest_mode_info:
            results.clear()
            position_dict = backtest_trade.position_dict
            for p in position_dict:
                translation = position_dict[p]
                underlying_code = p["SecurityID"]
                p["buy_list"] = [{"price": str(translation['TradePrice']),
                                  "tradeTime": l2_huaxin_util.convert_time(translation['OrderTime']), "volume": 10}]
                cb_code = target_codes_manager.get_cb_code(underlying_code)
                underlying_market = code_market_manager.get_market_info(underlying_code)
                results.append(
                    {"securityID": cb_code, "securityName": gpcode_manager.CodesNameManager().get_code_name(cb_code),
                     "buy_list": p["buy_list"], "sell_list": [], "currentPosition": 10, "id": cb_code})

        for r in results:
            cb_code = r["securityID"]
            underlying_code = target_codes_manager.get_underlying_code(cb_code)
@@ -169,12 +185,15 @@
                                                 underlying_market.buy1_price * underlying_market.buy1_volume),
                                             "preClosePrice": underlying_market.pre_close_price}
            # 获取买点与卖点
            buys = huaxin_trade_record_manager.DealRecordManager().list_buy_by_code_cache(cb_code)
            sells = huaxin_trade_record_manager.DealRecordManager().list_sell_by_code_cache(cb_code)
            r["buy_list"] = [{"price": str(x["price"]), "tradeTime": x["tradeTime"], "volume": x["volume"]} for x in
                             buys]
            r["sell_list"] = [{"price": str(x["price"]), "tradeTime": x["tradeTime"], "volume": x["volume"]} for x in
                              sells]
            if "buy_list" not in r:
                buys = huaxin_trade_record_manager.DealRecordManager().list_buy_by_code_cache(cb_code)
                r["buy_list"] = [{"price": str(x["price"]), "tradeTime": x["tradeTime"], "volume": x["volume"]} for x in
                                 buys]
            if "sell_list" not in r:
                sells = huaxin_trade_record_manager.DealRecordManager().list_sell_by_code_cache(cb_code)
                r["sell_list"] = [{"price": str(x["price"]), "tradeTime": x["tradeTime"], "volume": x["volume"]} for x
                                  in
                                  sells]
        send_response({"code": 0, "data": results}, client_id, request_id)
    elif type_ == "refresh_trade_data":
        # 刷新交易数据
@@ -195,6 +214,23 @@
            # 获取账户资金
            result = huaxin_trade_record_manager.MoneyManager.get_data()
            send_response({"code": 0, "data": result}, client_id, request_id)
        elif ctype == 'set_backtest_mode':
            try:
                # 设置回测模式
                date = data.get("date")
                mode = data.get("mode")
                if not date:
                    date = tool.get_now_date_str()
                if mode:
                    # 开始回撤
                    constant.backtest_mode_info = (True, date)
                    threading.Thread(target=lambda: backtest_trade.start_backtest(date), daemon=True).start()
                else:
                    # 结束回撤
                    constant.backtest_mode_info = None
                send_response({"code": 0, "data": {}}, client_id, request_id)
            except Exception as e:
                send_response({"code": 0, "data": {}, "msg": str(e)}, client_id, request_id)


def test():

 trade/backtest_trade.py

New file
@@ -0,0 +1,23 @@
"""
回撤交易
"""
# 持仓字典
from log_module import log_export
from trade.buy_strategy import BuyStrategyDataManager

position_dict = {}


def start_backtest(date):
    __BuyStrategyDataManager = BuyStrategyDataManager()
    # 回撤
    markets_dict = log_export.load_latest_market_info(date)
    for code in markets_dict:
        __BuyStrategyDataManager.add_market_info(markets_dict[code])
    transactions = log_export.load_transactions(date)
    for t in transactions:
        code = t["SecurityID"]
        need_buy = __BuyStrategyDataManager.add_transaction_info(t)
        if need_buy and code not in position_dict:
            # 持仓结果保存
            position_dict[code] = t

 trade/buy_strategy.py

New file
@@ -0,0 +1,54 @@
"""
买入策略数据管理器
"""
import decimal

from utils import tool


class BuyStrategyDataManager:
    """
    买入策略管理
    """

    def __init__(self):
        # 涨停价管理
        self.__limit_up_price_dict = {}
        self.__latest_trade_price_dict = {}
        self.__latest_market_info_dict = {}

    def set_pre_close_price(self, code, price):
        if code.find("00") == 0 or code.find("60") == 0:
            limit_up_price = tool.to_price(decimal.Decimal(str(price)) * decimal.Decimal("1.1"))
        else:
            limit_up_price = tool.to_price(decimal.Decimal(str(price)) * decimal.Decimal("1.2"))
        self.__limit_up_price_dict[code] = round(float(limit_up_price), 2)

    def add_market_info(self, info):
        """
        添加市场信息
        :param info: (代码, 最近的价格, 涨幅, 买1价， 买1量, 成交总量, 委托买入总量, 委托卖出总量, 昨日收盘价)
        :return:
        """
        code = info[0]
        # 设置昨日收盘价格
        if code not in self.__limit_up_price_dict:
            self.set_pre_close_price(code, info[8])
        self.__latest_market_info_dict[info[0]] = info

    def add_transaction_info(self, info):
        """
        添加成交信息
        :param info: 示例-{'SecurityID': '002842', 'TradePrice': 6.66, 'TradeVolume': 1100, 'OrderTime': 95436390,
         'MainSeq': 2011, 'SubSeq': 8162612, 'BuyNo': 8162610, 'SellNo': 8159424, 'ExecType': '1'}
        :return: 返回是否下单
        """
        code = info["SecurityID"]
        try:
            if self.__latest_trade_price_dict.get(code) == self.__limit_up_price_dict.get(code):
                # 当前为涨停价
                if self.__latest_trade_price_dict.get(code) != self.__limit_up_price_dict.get(code):
                    return True
        finally:
            self.__latest_trade_price_dict[code] = info["TradePrice"]
        return False

 utils/constant.py

@@ -3,8 +3,8 @@

TEST = False


JUEJIN_LOCAL_API = False


def is_windows():
    system = platform.system()
@@ -12,8 +12,8 @@
        return True
    return False

REDIS_DB = 10

REDIS_DB = 10

# redis设置
REDIS_CONFIG = {
@@ -52,6 +52,11 @@

LOG_DIR = "logs_cb"


# 获取根路径
def get_path_prefix():
    return 'D:' if is_windows() else '/home/userzjj'
    return 'D:' if is_windows() else '/home/userzjj'


# 回撤模式信息
backtest_mode_info = None