回撤修改

Administrator

2024-06-04 db7c69edb0328473d15938b09697077206925f23

回撤修改

 code_attribute/code_market_manager.py

@@ -24,7 +24,7 @@
    """
    设置行情信息
    :param with_log: 是否写入日志
    :param data: (代码, 最近的价格, 涨幅, 买1价， 买1量, 成交总量, 买入量, 卖出量, 昨日收盘价)
    :param data: (代码, 最近的价格, 涨幅, 买1价， 买1量, 成交总量, 买入量, 卖出量, 昨日收盘价, 时间戳)
    :return:
    """
    if with_log:

 huaxin_client/l2_client_for_cb.py

@@ -278,7 +278,7 @@
            market_call_back_queue.put_nowait((pDepthMarketData['SecurityID'], pDepthMarketData['LastPrice'], rate,
                                               pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1'],
                                               pDepthMarketData['TotalVolumeTrade'], pDepthMarketData['TotalBidVolume'],
                                               pDepthMarketData['TotalAskVolume'], pDepthMarketData['PreClosePrice']))
                                               pDepthMarketData['TotalAskVolume'], pDepthMarketData['PreClosePrice'], pDepthMarketData['DataTimeStamp']))
            code = pDepthMarketData['SecurityID']
            if code.find("00") == 0 or code.find("60") == 0:
                if rate >= 0.05:

 log_module/log_export.py

@@ -85,6 +85,23 @@
    return fdatas


# 加载买入得分记录
def load_market_info(date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/{constant.LOG_DIR}/huaxin_local/l2/market.{date}.log"
    fdatas = {}
    with open(path, 'r') as f:
        lines = f.readlines()
        for line in lines:
            start_index = line.find("]")
            line = line[start_index + 1:].strip()
            data = eval(line)
            code = data[0]
            if code not in fdatas:
                fdatas[code] = []
            fdatas[code].append(data)
    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 = []

 main.py

@@ -151,6 +151,7 @@
                for p in position_dict:
                    translation = position_dict[p]
                    underlying_code = translation["SecurityID"]
                    # TODO 获取当时的价格
                    translation["buy_list"] = [{"price": str(translation['TradePrice']),
                                                "tradeTime": l2_huaxin_util.convert_time(translation['OrderTime']),
                                                "volume": 10}]

 trade/backtest_trade.py

@@ -8,6 +8,16 @@

position_dict = {}

markets_list_dict = {}


# TODO 待完成
def get_price_by_time(code, time_str):
    markets = markets_list_dict.get(code)
    if markets:
        for m in markets:
            pass


def start_backtest(date):
    try:
@@ -16,6 +26,9 @@
        markets_dict = log_export.load_latest_market_info(date)
        for code in markets_dict:
            __BuyStrategyDataManager.add_market_info(markets_dict[code])
        global markets_list_dict
        markets_list_dict = log_export.load_market_info(date)

        transactions = log_export.load_transactions(date)
        for t in transactions:
            code = t["SecurityID"]
@@ -25,4 +38,4 @@
                position_dict[code] = t
                logger_debug.info(f"回测下单：{t}")
    except Exception as e:
        logger_debug.exception(e)
        logger_debug.exception(e)

 trade/buy_strategy.py

@@ -25,9 +25,10 @@
        self.__limit_up_price_dict[code] = round(float(limit_up_price), 2)

    def add_market_info(self, info):
        # TODO 加入时间
        """
        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)
        :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, 时间)
        :return:
        """
        code = info[0]