扫入策略修改

Administrator

2024-11-29 aacfbe4b7bf041196dbd3ed389d006687df23fd6

扫入策略修改

 servers/huaxin_trade_server.py

@@ -476,8 +476,7 @@
                                                          data["totalAskVolume"] * data["avgAskPrice"],
                                                          data["totalAskVolume"], sell_1_info, data.get("sell"))
        # 设置扫入数据
        sell_2_info = data["sell"][1] if data.get("sell") and len(data.get("sell")) > 1 else None
        RadicalCodeMarketInfoManager().set_market_info(code, time_str, round(float(limit_up_price), 2), data["buy"][0], sell_2_info)
        RadicalCodeMarketInfoManager().set_market_info(code, time_str, round(float(limit_up_price), 2), data["buy"][0], sell_1_info)
        # 判断是否下单
        state = CodesTradeStateManager().get_trade_state_cache(code)
        if not trade_util.is_can_order_by_state(state):

 trade/buy_radical/radical_buy_data_manager.py

@@ -58,14 +58,14 @@
        redis_manager.RedisUtils.setex_async(self.__db, f"market_info_for_radical-{code}", tool.get_expire(),
                                             json.dumps(info))

    def set_market_info(self, code, time_str, limit_up_price, buy1_info, sell2_info):
    def set_market_info(self, code, time_str, limit_up_price, buy1_info, sell1_info):
        """
        设置行情信息
        @param code:
        @param time_str: 行情时间
        @param limit_up_price: 涨停价格
        @param buy1_info: 买1信息 (价格,量)
        @param sell2_info: 卖2信息 (价格,量)
        @param sell1_info: 卖1信息 (价格,量)
        @return:
        """
        if abs(buy1_info[0] - limit_up_price) < 0.0001:
@@ -77,7 +77,7 @@
                    self.__set_code_limit_up_info(code, self.__code_limit_up_info_dict[code])
        else:
            # 尚未涨停，判断炸板
            if sell2_info and sell2_info[1] > 0:
            if sell1_info and sell1_info[1] > 0:
                # 出现买2
                if code in self.__code_limit_up_info_dict:
                    if not self.__code_limit_up_info_dict[code][1]:
@@ -495,17 +495,21 @@
        if history_index == 1:
            # 当前代码为老2，要判断老大是否可买
            pre_code = history_before_codes_info[0][0]
            if RadicalBuyDataManager.is_code_can_buy(pre_code,
                                                     DealAndDelegateWithBuyModeDataManager().get_deal_codes(),
                                                     is_refered=True)[0]:
                deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
                if pre_code in deal_codes:
                    return False, f"开1数量：{count}，前排代码已成交：{history_before_codes_info[0]}"
                else:
                    if not cls.__is_not_buy_success(pre_code):
                        return False, f"开1数量：{count}，前排代码未下过单：{pre_code}"
                    return True, f"开1数量：{count}，前排代码尚未成交：{history_before_codes_info[0]}"
            return True, f"开1数量：{count}，前排代码不可买：{history_before_codes_info[0]}，历史前排-{history_before_codes_info}，开1代码-{open_limit_up_block_codes}"
            deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
            if pre_code in deal_codes:
                return False, f"开1数量：{count}，前排代码已成交：{history_before_codes_info[0]}"

            # if RadicalBuyDataManager.is_code_can_buy(pre_code,
            #                                          DealAndDelegateWithBuyModeDataManager().get_deal_codes(),
            #                                          is_refered=True)[0]:
            #     deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
            #     if pre_code in deal_codes:
            #         return False, f"开1数量：{count}，前排代码已成交：{history_before_codes_info[0]}"
            #     else:
            #         if not cls.__is_not_buy_success(pre_code):
            #             return False, f"开1数量：{count}，前排代码未下过单：{pre_code}"
            #         return True, f"开1数量：{count}，前排代码尚未成交：{history_before_codes_info[0]}"
            # return True, f"开1数量：{count}，前排代码不可买：{history_before_codes_info[0]}，历史前排-{history_before_codes_info}，开1代码-{open_limit_up_block_codes}"
        return True, f"开1数量：{count}，历史-{history_index + 1} 实时-{current_index + 1}， 前排代码-{current_before_codes_info},开1代码-{open_limit_up_block_codes}"

    @classmethod
@@ -606,7 +610,7 @@
        history_index_first, history_before_codes_info_first = cls.__get_history_index(code, block,
                                                                                       yesterday_limit_up_codes,
                                                                                       ignore_open_limit_up=False)
        all_history_before_codes = [x[0] for x in history_before_codes_info_first]
        all_first_history_before_codes = [x[0] for x in history_before_codes_info_first]
        if not constant.TEST:
            # 前两个代码是否有炸板
            # dif_codes = set(all_history_before_codes[:2]) - set(current_before_codes[:2])
@@ -614,22 +618,24 @@
            #     return False, f"前2代码有炸板：{dif_codes}, 前排代码：{all_history_before_codes}"
            # 前排代码炸板不能>=2个
            # 前排首板代码炸板数量在2个及以上不能买
            dif_codes = set(all_history_before_codes) - set(current_before_codes)
            dif_codes = set(all_first_history_before_codes) - set(current_before_codes)
            if len(dif_codes) >= 2:
                return False, f"板块前排首板有{len(dif_codes)}个炸板"

        # 剔除所有开1的票
        exclude_codes = set()
        for x in current_before_codes_info:
        for x in all_history_before_codes_info:
            if x[1] < kpl_block_util.open_limit_up_time_range[1]:
                exclude_codes.add(x[0])
        # 除去前二代码与开1代码之后是否为首板老大：所有开1的视为1个
        open_count = len(exclude_codes)
        if open_count > 0 and open_count + 1 <= len(current_before_codes):
            # 前排有开1
            exclude_codes |= set(current_before_codes[open_count:open_count + START_BUY_RANK - 1])
            # 前排有开1且除开开1之后是首板老大
            exclude_codes |= set(all_history_before_codes_info[open_count:open_count + START_BUY_RANK])
        else:
            exclude_codes |= set(current_before_codes[:START_BUY_RANK])

            # 排除首板老大
            exclude_codes |= set(all_history_before_codes_info[:START_BUY_RANK])
        # 开1排除
        open_limit_up_code_dict = kpl_data_constant.open_limit_up_code_dict_for_radical_buy
        if open_limit_up_code_dict:
            exclude_codes |= set(open_limit_up_code_dict.keys())
@@ -650,29 +656,34 @@
            if history_index == 1:
                # 首板老2，判断前面的老大是否是属于不能买的范畴
                pre_code = history_before_codes_info[0][0]
                deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
                if pre_code in deal_codes:
                    return False, f"前排代码已成交：{pre_code}"
                return True, f"被顺位代码({pre_code}) 尚未成交"

                # pre_code不能买，才能买
                if RadicalBuyDataManager.is_code_can_buy(pre_code,
                                                         DealAndDelegateWithBuyModeDataManager().get_deal_codes(),
                                                         is_refered=True)[0]:
                    # 前排代码可买而没有买成功的可继续下单
                    deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
                    if pre_code in deal_codes:
                        return False, f"前排代码已成交：{pre_code}"
                # if RadicalBuyDataManager.is_code_can_buy(pre_code,
                #                                          DealAndDelegateWithBuyModeDataManager().get_deal_codes(),
                #                                          is_refered=True)[0]:
                #     # 前排代码可买而没有买成功的可继续下单
                #     deal_codes = RadicalBuyDealCodesManager().get_deal_codes()
                #     if pre_code in deal_codes:
                #         return False, f"前排代码已成交：{pre_code}"
                # pre_code不是因为买不进
                if not cls.__is_not_buy_success(pre_code):
                    return False, f"前排代码没下过单：{pre_code}"
                # if not cls.__is_not_buy_success(pre_code):
                #     return False, f"前排代码没下过单：{pre_code}"

                # 前面一个代码不能买，前一个代码必须与前前个代码涨停时间相差15分钟内
                for i in range(len(all_history_before_codes_info) - 1, -1, -1):
                    if all_history_before_codes_info[i][0] == pre_code:
                        if i > 0 and tool.trade_time_sub(
                                tool.timestamp_format(all_history_before_codes_info[i][1], '%H:%M:%S'),
                                tool.timestamp_format(all_history_before_codes_info[i - 1][1],
                                                      '%H:%M:%S')) >= THRESHOLD_MINUTES * 60:
                            return False, f"被顺位代码({pre_code}) 与上个代码涨停时间>={THRESHOLD_MINUTES}分钟 （{all_history_before_codes_info[i]}##{all_history_before_codes_info[i - 1]}）"
                        else:
                            return True, f"被顺位代码({pre_code}) 与上个代码涨停时间<{THRESHOLD_MINUTES}分钟 （{all_history_before_codes_info[i]}）"
                return False, f"没找到顺位代码（{pre_code}）的前排代码"
                # for i in range(len(all_history_before_codes_info) - 1, -1, -1):
                #     if all_history_before_codes_info[i][0] == pre_code:
                #         if i > 0 and tool.trade_time_sub(
                #                 tool.timestamp_format(all_history_before_codes_info[i][1], '%H:%M:%S'),
                #                 tool.timestamp_format(all_history_before_codes_info[i - 1][1],
                #                                       '%H:%M:%S')) >= THRESHOLD_MINUTES * 60:
                #             return False, f"被顺位代码({pre_code}) 与上个代码涨停时间>={THRESHOLD_MINUTES}分钟 （{all_history_before_codes_info[i]}##{all_history_before_codes_info[i - 1]}）"
                #         else:
                #             return True, f"被顺位代码({pre_code}) 与上个代码涨停时间<{THRESHOLD_MINUTES}分钟 （{all_history_before_codes_info[i]}）"
                # return False, f"没找到顺位代码（{pre_code}）的前排代码"
            else:
                # 代码为目标代码
                pass
@@ -682,9 +693,9 @@
        return True, f"满足买入需求: 实时前排代码-{current_before_codes_info} 历史前排代码-{history_before_codes_info}"

    @classmethod
    def __is_re_limit_up(cls, code, block):
    def __is_first_can_buy(cls, code, block):
        """
        是否是炸板回封可买
        老大是否可买：整个板块数量>=2个代码老大可买
        @param code:
        @param block:
        @return:
@@ -696,34 +707,35 @@
        history_index, history_before_codes_info = cls.__get_history_index(code, block, set())
        if current_index != history_index:
            return False, f"有其他炸板"
        if current_index > 1:
            return False, f"不是前2的板块"
        if current_index >= 1:
            return False, f"不是板块老大"
        history_codes = set()
        # 获取板块炸板情况
        for k in LimitUpDataConstant.history_limit_up_datas:
            _code = k[3]
            blocks = LimitUpDataConstant.get_blocks_with_history(_code)
            blocks = BlockMapManager().filter_blocks(blocks)
            blocks = LimitUpCodesBlockRecordManager().get_radical_buy_blocks(code)
            if not blocks:
                blocks = set()
            # 不是这个板块
            if block in blocks:
                history_codes.add(_code)
        if len(history_codes) < 3:
            return False, f"板块历史涨停小于3个：{history_codes}"
        if len(history_codes) < 2:
            return False, f"板块历史涨停小于2个：{history_codes}"
        # 获取当前涨停数量
        current_codes = set()
        for k in LimitUpDataConstant.current_limit_up_datas:
            _code = k[0]
            blocks = LimitUpDataConstant.get_blocks_with_history(_code)
            if not blocks:
                blocks = set()
            blocks = BlockMapManager().filter_blocks(blocks)
            # 不是这个板块
            if block in blocks:
                current_codes.add(_code)
        current_codes.add(code)
        diff = history_codes - current_codes
        if diff:
            return False, f"板块炸板不止当前票：{diff}"
        # current_codes = set()
        # for k in LimitUpDataConstant.current_limit_up_datas:
        #     _code = k[0]
        #     blocks = LimitUpCodesBlockRecordManager().get_radical_buy_blocks(code)
        #     if not blocks:
        #         blocks = set()
        #     blocks = BlockMapManager().filter_blocks(blocks)
        #     # 不是这个板块
        #     if block in blocks:
        #         current_codes.add(_code)
        # current_codes.add(code)
        # diff = history_codes - current_codes
        # if diff:
        #     return False, f"板块炸板不止当前票：{diff}"
        return True, f"历史涨停：{history_codes}"

    @classmethod
@@ -737,19 +749,19 @@
        block_codes = BlockSpecialCodesManager().get_block_codes(block)
        if not block_codes or code not in block_codes:
            return False, "无辨识度"
        history_index, history_before_codes_info = cls.__get_history_index(code, block, yesterday_limit_up_codes)
        history_index, history_before_codes_info = cls.__get_history_index(code, block, yesterday_limit_up_codes, ignore_open_limit_up=False)
        if history_index > 5:
            return False, f"处于首板老{history_index + 1}"
        if history_index >= 4:
            # 判断量是否换够
            volume_rate = CodeVolumeManager().get_volume_rate_refer_in_5days(code)
            if volume_rate < 0.8:
                return False, f"处于首板老{history_index + 1},量比({volume_rate})<0.8"
        # if history_index >= 4:
        #     # 判断量是否换够
        #     volume_rate = CodeVolumeManager().get_volume_rate_refer_in_5days(code)
        #     if volume_rate < 0.8:
        #         return False, f"处于首板老{history_index + 1},量比({volume_rate})<0.8"

        # 前排最多允许1个炸板
        limit_up_timestamp = cls.__get_limit_up_timestamp(code)
        # 获取当前的板块， 不要忽略开1的数据
        current_index, current_before_codes_info = cls.__get_current_index(code, block, set(),
        current_index, current_before_codes_info = cls.__get_current_index(code, block, yesterday_limit_up_codes,
                                                                           limit_up_time=limit_up_timestamp,
                                                                           ignore_open_limit_up=False)
        if history_index - current_index > 1:
@@ -867,7 +879,7 @@
        if not can_buy_blocks:
            msges.clear()
            for b in keys_:
                result = cls.__is_re_limit_up(code, b)
                result = cls.__is_first_can_buy(code, b)
                if result[0]:
                    can_buy_blocks.add(b)
                    msges.append(f"【{b}】:{result[1]}")

 trade/buy_radical/radical_buy_strategy.py

@@ -43,10 +43,10 @@
    # 清除L2下单信号
    if code in RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict:
        RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict.pop(code)
    async_log_util.info(logger_l2_radical_buy, f"{code}-清除扫入数据")


def process_limit_up_active_buy_deal(code, transaction_datas):
    async_log_util.info(hx_logger_l2_transaction, f"板上成交：{code}-{transaction_datas}")
    """
    涨停主动买成交
    @param code:
@@ -111,6 +111,10 @@
    if refer_sell_data:
        refer_sell_money = refer_sell_data[1]

    if refer_sell_money < 500e4:
        # 参考抛压小于500万，直接根据L2下单
        return BUY_MODE_BY_L2, f"总抛压小于500w({refer_sell_money})"

    # 处于涨停卖的委托订单总手数
    selling_num = L2LimitUpSellDataManager.get_delegating_sell_num(code)
    if selling_num is None: