可转债强平机制

Administrator

2024-07-11 e89d4691b171470890c3981229c2c474f1e8c253

可转债强平机制

 huaxin_client/l2_client_for_cb.py

@@ -22,7 +22,7 @@
from log_module.async_log_util import huaxin_l2_log
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
    logger_trade, logger_debug, logger_local_huaxin_trade_debug
from trade.buy_strategy import BuyStrategyDataManager
from utils import tool, l2_huaxin_util

@@ -305,6 +305,7 @@
                results = self.buyStrategyDataManager.add_transaction_info(item)
                for result in results:
                    if result[0]:
                        huaxin_l2_log.info(logger_local_huaxin_trade_debug, f"达到买入条件：{pTick['SecurityID']} - {results} - {item}")
                        l2_transaction_price_queue.put_nowait(
                            (pTick['SecurityID'], pTick['Price'], pTick['TickTime'], results))
                        break

 main.py

@@ -17,7 +17,8 @@
from records import huaxin_trade_record_manager
from third_data import kpl_data_manager, kpl_util
from third_data.kpl_data_manager import PullTask, KPLCodeJXBlockManager, KPLLimitUpDataRecordManager
from trade import huaxin_trade_api, huaxin_trade_data_update, huaxin_sell_util, backtest_trade, buy_strategy
from trade import huaxin_trade_api, huaxin_trade_data_update, huaxin_sell_util, backtest_trade, buy_strategy, \
    sell_strategy
from trade.buy_strategy import BuyStrategyDataManager, StrategyBuyOrderRefManager
from trade.trade_manager import CodeTradeStateManager
from trade.trade_settings import WantBuyCodesManager, TradeStateManager
@@ -398,12 +399,16 @@
                code = result[0]
                # 正股需要加载板块
                if code.find("11") != 0 and code.find("12") != 0:
                    # 正股代码
                    limit_up_price = tool.get_limit_up_price(code, result[8])
                    # 涨幅大于5%才开始获取板块
                    if result[2] > 0.05:
                        KPLCodeJXBlockManager().load_jx_blocks(result[0], result[3],
                                                               float(limit_up_price),
                                                               KPLLimitUpDataRecordManager.get_current_reasons())
                else:
                    # 可转债代码,处理
                    sell_strategy.process_market_info(result, __BuyStrategyDataManager)
        except Exception as e:
            logger_debug.exception(e)
            time.sleep(1)

 trade/buy_strategy.py

@@ -50,6 +50,9 @@
            self.set_pre_close_price(code, info[8])
        self.__latest_market_info_dict[info[0]] = info

    def get_latest_market_info(self, code):
        return self.__latest_market_info_dict.get(code)

    def add_transaction_info(self, info, backtest=False):

        """
@@ -166,22 +169,6 @@
                # 删除第一个元素
                del self.__latest_transaction_price_dict[code][0]
        return self.__latest_transaction_price_dict[code][-1][0] - self.__latest_transaction_price_dict[code][0][0]

    def process(self, underlying_code, underlying_transaction_info, underlying_market_info, cb_code, cb_market_info):
        """
        处理数据
        :param underlying_code: 正股代码
        :param underlying_transaction_info:正股成交信息
        :param underlying_market_info: 正股行情
        :param cb_code: 可转债代码
        :param cb_market_info: 可转债行情
        :return: 是否可以买, 买入信息
        """
        pass
        # 是否开1
        limit_up_datas = KPLLimitUpDataRecordManager.latest_origin_datas
        for item in limit_up_datas:
            pass


class StrategyBuyOrderRefManager:

 trade/sell_strategy.py

New file
@@ -0,0 +1,59 @@
"""
卖出策略
"""
from code_attribute import target_codes_manager
from log_module import async_log_util
from log_module.log import logger_trade, logger_debug
from records import huaxin_trade_record_manager
from trade import huaxin_sell_util
from trade.buy_strategy import BuyStrategyDataManager
from utils import tool


def process_market_info(market, buyStrategyDataManager: BuyStrategyDataManager):
    try:
        """
        处理市场行情
        :param market: (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:
        """
        cb_code = market[0]
        buys = huaxin_trade_record_manager.DealRecordManager().list_buy_by_code_cache(cb_code)
        if not buys:
            return
        sells = huaxin_trade_record_manager.DealRecordManager().list_sell_by_code_cache(cb_code)
        if sells is None:
            sells = []
        left_volume = sum([int(x["volume"]) for x in buys]) - sum([int(x["volume"]) for x in sells])
        if left_volume <= 0:
            # 无剩余持仓
            return
        # 计算买入金额与卖出金额的差值
        total_buy_money = sum([float(x["price"]) * int(x["volume"]) for x in buys])
        total_sell_money = sum([float(x["price"]) * int(x["volume"]) for x in sells])
        left_money = total_buy_money - total_sell_money
        cos_price = round(left_money / left_volume, 3)
        # 如果现价低于现在的2%就需要全部卖出
        down_rate = (cos_price - market[1]) / cos_price
        threshold_rate = 0.02
        if down_rate < threshold_rate:
            return
        underlying_code = target_codes_manager.get_underlying_code(cb_code)
        if not underlying_code:
            # 获取最近的行情
            underlying_market = buyStrategyDataManager.get_latest_market_info(underlying_code)
            if underlying_market:
                underlying_limit_up_price = float(tool.get_limit_up_price(underlying_code, underlying_market[8]))
                if abs(underlying_limit_up_price - underlying_market[1]) < 0.0001:
                    # 正股是涨停的
                    threshold_rate = 0.03
        if down_rate <= threshold_rate:
            return
        # 降幅触发强平机制,已跌停价卖出
        limit_down_price = round( float(tool.get_limit_down_price(cb_code, market[8])),3)
        result = huaxin_sell_util.start_sell(cb_code, left_volume, 1, None,
                                             limit_down_price,
                                             market[1], blocking=False)
        async_log_util.info(logger_trade, f"平仓API卖结果: {result}")
    except Exception as e:
        logger_debug.exception(e)

 utils/tool.py

@@ -374,10 +374,15 @@


def get_limit_up_price(code, pre_close_price):
    limit_up_price = to_price(decimal.Decimal(str(pre_close_price)) * decimal.Decimal(f"{get_limit_up_rate(code)}"))
    limit_up_price = to_price(decimal.Decimal(str(pre_close_price)) * decimal.Decimal(f"{get_limit_up_rate(code)}"), "0.00" if is_stock(code) else "0.000")
    return limit_up_price


def get_limit_down_price(code, pre_close_price):
    limit_down_price = to_price(decimal.Decimal(str(pre_close_price)) * decimal.Decimal(f"{get_limit_down_rate(code)}"), "0.00" if is_stock(code) else "0.000")
    return limit_down_price


# 将时间戳s格式化
def to_time_str(timestamp_second, format_="%H:%M:%S"):
    return datetime.datetime.fromtimestamp(timestamp_second).strftime(format_)