策略修改

Administrator

2024-11-04 5724dc30a98d0fe00f93e9f71c5901216d506eb6

策略修改

 l2/l2_data_manager_new.py

@@ -13,7 +13,7 @@
from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
from l2.l2_sell_manager import L2MarketSellManager, L2LimitUpSellManager
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager, HuaXinBuyOrderManager
from l2.place_order_single_data_manager import L2TradeSingleDataProcessor
from log_module import async_log_util, log_export
from third_data import kpl_data_manager, block_info
@@ -1555,7 +1555,7 @@
                                                     max_num_set=set(),
                                                     buy_volume_rate=buy_volume_rate,
                                                     mode=OrderBeginPosInfo.MODE_RADICAL,
                                                     mode_desc=f"总抛压小扫入",
                                                     mode_desc=f"总抛压小扫入:{radical_result[2]}",
                                                     sell_info=sell_info,
                                                     threshold_money=threshold_money)
            order_begin_pos_info.at_limit_up = cls.__is_at_limit_up_buy(code)
@@ -1977,14 +1977,14 @@
            if cls.__is_at_limit_up_buy(code, start_index):
                return False, None, "板上放量"
            total_datas = local_today_datas[code]
            min_num = int(29900 / gpcode_manager.get_limit_up_price_as_num(code))
            limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
            bigger_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
            min_num = int(bigger_money / limit_up_price / 100)
            # 如果有大单成交就不需要看大单
            deal_money_list = BigOrderDealManager().get_total_buy_money_list(code)
            if deal_money_list:
                for m in deal_money_list:
                    if m >= 2990000:
                        min_num = int(5000 / gpcode_manager.get_limit_up_price_as_num(code))
                        break
            total_deal_money = BigOrderDealManager().get_total_buy_money(code)
            THRESHOLD_MONEY = 2990000
            if total_deal_money >= THRESHOLD_MONEY:
                min_num = int(5000 / limit_up_price)

            single_index = None
            for i in range(start_index, end_index + 1):
@@ -1994,11 +1994,26 @@
                    continue
                if val["num"] < min_num:
                    continue
                # 上证有可能是部分成交的大单
                if i == start_index and tool.is_sh_code(code):
                    dealing_active_order_info = HuaXinBuyOrderManager().get_dealing_active_order_info(code)
                    if dealing_active_order_info and dealing_active_order_info[0] == int(val["orderNo"]):
                        # 判断是否为大单
                        order_money = dealing_active_order_info[2] + round(val["price"], 2) * val["num"] * 100
                        if order_money >= bigger_money:
                            total_deal_money += order_money
                if total_deal_money >= THRESHOLD_MONEY:
                    single_index = i
                    break

                if int(val["orderNo"]) <= radical_data[1]:
                    # 主动买单后的数据不算
                    continue
                single_index = i
                break

                total_deal_money += round(val["price"], 2) * val["num"] * 100
                if total_deal_money >= THRESHOLD_MONEY:
                    single_index = i
                    break
            if single_index is not None:
                return True, single_index, "有大单"
            return False, None, "无大单"
@@ -2010,6 +2025,8 @@
            return False, None, "超过生效时间"
        result = __can_order()
        l2_log.debug(code, f"L2扫入判断：{result}")
        if result[0]:
            return True, result[1], f"扫入板块：{radical_data[2]}"
        return result

    @classmethod

 l2/l2_transaction_data_processor.py

@@ -96,7 +96,6 @@
        except:
            pass


        total_datas = l2_data_util.local_today_datas.get(code)
        use_time_list = []
        try:
@@ -166,7 +165,9 @@
                logger_debug.exception(e)
            _start_time = time.time()
            L2LimitUpSellDataManager.set_deal_datas(code, datas)
            cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
            #  大单统计
            # cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
            cls.statistic_big_order_infos(code, datas, order_begin_pos)

            use_time_list.append(("统计买单数据", time.time() - _start_time))
            _start_time = time.time()

 servers/huaxin_trade_server.py

@@ -895,7 +895,7 @@
                            L2TradeDataProcessor.start_buy(code, total_datas[-1], total_datas[-1]["index"], True)
                        else:
                            RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict[code] = (
                                time.time() + 3, transaction_datas[-1][6])
                                time.time() + 2, transaction_datas[-1][6], buy_blocks)
                    else:
                        async_log_util.info(logger_l2_radical_buy, f"不能下单：{code}-{result_by_volume}")
                else:

 trade/radical_buy_strategy.py

@@ -2,11 +2,13 @@
激进买策略管理
"""
# 上一个50W的起始时间：{code:"09:30:00.120"}
import l2_data_util
from code_attribute import code_volumn_manager, gpcode_manager
from l2 import l2_data_manager
from l2.huaxin import l2_huaxin_util
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
from l2.l2_sell_manager import L2MarketSellManager
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager, HuaXinBuyOrderManager
from log_module import async_log_util
from log_module.log import logger_l2_radical_buy, hx_logger_l2_transaction
from trade import radical_buy_data_manager
@@ -144,19 +146,16 @@
                                                                              with_info=False)
        if volume_rate is None:
            volume_rate = 0.5
        # 根据大单判断是否可以扫
        big_order_deal_result = __is_big_order_deal_enough(code, volume_rate)
        if not big_order_deal_result[0]:
            return BUY_MODE_NONE, big_order_deal_result[1]

        THRESHOLD_RATE = radical_buy_data_manager.get_volume_rate_threshold(code, volume_rate)
        if rate >= THRESHOLD_RATE:
            # 成交的比例
            # if total_sell > 1000 * 1e4:
            if total_sell >= 0:
            # 根据大单判断是否可以扫
            big_order_deal_result = __is_big_order_deal_enough(code, volume_rate)
            if big_order_deal_result[0]:
                return BUY_MODE_DIRECT, f"剩余涨停总卖额-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE}"
            else:
                return BUY_MODE_BY_L2, f"剩余涨停总卖额小于500w-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE} "
                # 无大单成交就只能通过L2下单
                return BUY_MODE_BY_L2, f"无大单成交-{big_order_deal_result[1]}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE} "
        else:
            return BUY_MODE_NONE, f"被动卖成交比例未达到：剩余涨停总卖额-{selling_num * price}，原涨停总卖-{total_sell}，已成交额-{__deal_active_buy_total_money[code]}，成交比例-{rate}/{THRESHOLD_RATE}"
    else:
@@ -166,9 +165,14 @@
            volume_rate = 0.5
        # 根据大单判断是否可以扫
        big_order_deal_result = __is_big_order_deal_enough(code, volume_rate)
        if not big_order_deal_result[0]:
            return BUY_MODE_NONE, big_order_deal_result[1]
        return __get_deal_rate_by(code, huaxin_timestamp)
        result = __get_deal_rate_by(code, huaxin_timestamp)
        if result[0] == BUY_MODE_DIRECT:
            if big_order_deal_result[0]:
                return result
            else:
                return BUY_MODE_BY_L2, big_order_deal_result[1]
        else:
            return result


def __is_big_order_deal_enough(code, volume_rate):
@@ -187,13 +191,21 @@
    money_y = min(money_y, 50)
    money_y = max(money_y, 5)
    # 计算大单参考数量
    threshold_count = int(round(0.4 * money_y))
    threshold_count = 1  # int(round(0.4 * money_y))
    threshold_money = threshold_count * 299 * 10000

    if volume_rate >= 0.5 or True:
        # 按量大于50%算
        # 当换手量＞50%时，则，不需要每次扫入时需要≥2笔大单，而是累计需要≥2笔大单即可
        deal_big_order_money = BigOrderDealManager().get_total_buy_money(code)
        # 获取正在成交的订单
        dealing_order_info = HuaXinBuyOrderManager().get_dealing_order_info(code)

        threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
        if dealing_order_info and dealing_order_info[2] >= threshold_big_money:
            # 正在成交的订单是大单
            deal_big_order_money += dealing_order_info[2]

        if deal_big_order_money >= threshold_money:
            return True, f"量比-{volume_rate}, 总大单成交金额({deal_big_order_money})>={threshold_money}"
        else:

 trade/trade_data_manager.py

@@ -469,7 +469,7 @@
    __deal_codes_cache = set()
    __instance = None
    __mysqldb = Mysqldb()
    # 根据L2数据来激进买入的有效时间:{"code":(有效截至时间, 买单号)}
    # 根据L2数据来激进买入的有效时间:{"code":(有效截至时间, 买单号, 扫入的板块)}
    buy_by_l2_delegate_expire_time_dict = {}
    # 仅仅买的板块
    radical_buy_blocks_dict = {}