辨识度修改/临时大单bug修改

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2025-01-22 f2dfe1818b6286e4ff25e97c4d72a17bae4eea42

辨识度修改/临时大单bug修改

 constant.py

@@ -198,11 +198,11 @@
MAX_SUBSCRIPT_CODE_PRICE = 100

# 扫入价格区间
MAX_CODE_RADICAL_BUY_PRICE = 40
MAX_CODE_RADICAL_BUY_PRICE = 50
MIN_CODE_RADICAL_BUY_PRICE = 2

# 扫入的自由流通市值区间：[[(自由流通最小值,自由流通最大值),(股价最小值,股价最大值)]]
RADICAL_BUY_ZYLTGB_AS_YI_RANGES = [[(5, 1000), (3, 40)], [(50, 1000), (2, 3)]]
RADICAL_BUY_ZYLTGB_AS_YI_RANGES = [[(5, 1000), (3, 50)], [(50, 1000), (2, 3)]]

# L2数据是否载入完成
L2_DATA_IS_LOADED = False

 l2/huaxin/huaxin_delegate_postion_manager.py

@@ -8,6 +8,7 @@
from l2 import l2_data_util, l2_data_source_util
from l2.huaxin import l2_huaxin_util
from l2.l2_data_util import L2DataUtil
from l2.transaction_progress import TradeBuyQueue
from log_module import async_log_util
from log_module.log import hx_logger_trade_debug, logger_real_place_order_position, logger_debug
from trade.huaxin import huaxin_trade_record_manager
@@ -197,27 +198,37 @@
            if set(target_volumes) != set(volumes_list[i:i + len(target_volumes)]):
                continue
            # 委托间隔时间不能相差100ms以上
            # volumes_info_list:目标量列表
            temp_volumes_info_list = volumes_info_list[i:i + len(target_volumes)]
            sub_time_list = []
            sub_index_list = []
            for j in range(0, len(temp_volumes_info_list) - 1):
                sub_ms = tool.trade_time_sub_with_ms(
                    L2DataUtil.get_time_with_ms(temp_volumes_info_list[j + 1][2]["val"]),
                    L2DataUtil.get_time_with_ms(temp_volumes_info_list[j][2]["val"]))
                sub_index = temp_volumes_info_list[j + 1][2]["index"] - temp_volumes_info_list[j][2]["index"]
                sub_time_list.append(abs(sub_ms))
                sub_index_list.append(sub_index)
            max_sub_time = max(sub_time_list)
            max_sub_index = max(sub_index_list)
            if max_sub_time > THRESHOLD_MS:
                continue
            # 最大的时间差
            match_list.append((max_sub_time, temp_volumes_info_list[0][2]))
            # 最大的时间差,最大的索引差, 数据
            match_list.append((max_sub_time, max_sub_index, temp_volumes_info_list[0][2]))
        if not match_list:
            # 没有找到真实下单位
            return None
        # 最合适的是时间相差为0，索引相差为1
        for m in match_list:
            if m[0] == 0 and m[1] == 1:
                return m[2]

        # 获取时间差最小的数据
        real_place_order_info = match_list[0]
        for x in match_list:
            if x[0] < real_place_order_info[0]:
                real_place_order_info = x
        return real_place_order_info[1]
        return real_place_order_info[2]

    @classmethod
    def compute_l2_place_order_position(cls, code, add_datas):
@@ -259,17 +270,47 @@
            return None, order_info, None

    @classmethod
    def recompute_for_slow_time(cls, code, order_info, real_place_index, compute_type):
    def recompute_l2_place_order_position(cls, code, order_info, real_place_index, compute_type):
        """
        因为L2数据延迟问题而重新计算真实下单位
        重新计算真实下单位
        @param code:
        @param order_info:
        @param real_place_index:
        @param compute_type:
        @return:
        """
        # TODO 重新计算, 根据实际订单来计算
        pass
        # 重新计算, 根据实际订单来计算
        # 如果真实下单位在实际成交位置之后就需要矫正
        trade_index, is_default = TradeBuyQueue().get_traded_index(code)
        if is_default:
            return None
        # if real_place_index >= trade_index:
        #     return None
        current_delegates = huaxin_trade_record_manager.DelegateRecordManager().list_current_delegates(code)
        if not current_delegates:
            return None
        accept_time = current_delegates[0]["acceptTime"]
        accept_time = int(accept_time.replace(":", ""))
        # 从真实下单位置开始，到委托时间截止
        total_datas = l2_data_util.local_today_datas.get(code)
        end_index = None
        for i in range(trade_index + 1, total_datas[-1]["index"]):
            data = total_datas[i]
            val = data["val"]
            if int(val["time"].replace(":", "")) > accept_time:
                end_index = data["index"]
                break
        if end_index is None:
            return None

        order_info_list = order_info[0]  # [(量,价格, order_ref)]
        exec_data = order_info[1]
        place_order_data = cls.__compute_real_place_order_position(code, exec_data, order_info_list,
                                                                   total_datas[trade_index + 1:end_index])
        if not place_order_data:
            return None
        real_place_index_info = place_order_data["index"], RELIABILITY_TYPE_REAL
        return real_place_index_info[0]

    @classmethod
    def get_place_order_position(cls, code):

 l2/l2_data_manager_new.py

@@ -1,6 +1,7 @@
import copy
import logging
import threading
import time
import time as t

from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer, LCancelRateManager
@@ -392,10 +393,10 @@

    @classmethod
    def __recompute_real_order_index(cls, code, pre_real_order_index, order_info, compute_type):
        # 因为数据慢的问题重新计算
        real_order_index = huaxin_delegate_postion_manager.recompute_for_slow_time(code, order_info,
                                                                                   pre_real_order_index, compute_type)
        if real_order_index:
        # 1s之后重新计算
        time.sleep(1)
        real_order_index = huaxin_delegate_postion_manager.RealDelegateOrderPositionManager().recompute_l2_place_order_position(code, order_info, pre_real_order_index, compute_type)
        if real_order_index and pre_real_order_index!=real_order_index:
            try:
                exec_index = order_info[6]
                order_begin_pos = cls.__get_order_begin_pos(
@@ -1907,6 +1908,8 @@
                    return False, None, "距离上次统计大单时间过去60s", set()

            if lack_money == 0:
                if not tool.is_sh_code(code):
                    # 非上证的票看50w
                min_num = int(5000 / limit_up_price)
            # 需要监听的大单
            watch_indexes = set()

 l2/l2_transaction_data_manager.py

@@ -230,6 +230,7 @@
                    cls.__dealing_order_info_dict[code][4] = data[3]
                    cls.__dealing_order_info_dict[code][5] = data[1]
                    cls.__dealing_order_info_dict[code][6] = data[7]
                    if is_limit_up:
                    cls.__dealing_order_info_dict[code][7] += money
                else:
                    # 保存上一条数据

 l2_test.py

@@ -57,7 +57,15 @@
            code = ps_dict.get('code')
            money_info = CodeInMoneyManager().get_money_info(code)
            response_data = json.dumps({"code": 0, "data": money_info})

        elif url.path == "/get_codes_money_info":
            ps_dict = dict([(k, v[0]) for k, v in parse_qs(url.query).items()])
            codes_str = ps_dict.get('codes')
            codes = json.loads(codes_str)
            fresults = {}
            for code in codes:
                money_info = CodeInMoneyManager().get_money_info(code)
                fresults[code] = money_info
            response_data = json.dumps({"code": 0, "data": fresults})
        self.send_response(200)
        # 发给请求客户端的响应数据
        self.send_header('Content-type', 'application/json')

 third_data/history_k_data_util.py

@@ -242,7 +242,6 @@
            except Exception as e:
                logger_debug.exception(e)


    @classmethod
    def get_gp_current_info(cls, codes):
        return JueJinApi.get_gp_current_info(codes)
@@ -372,10 +371,10 @@
        latest_trading_date = tool.get_now_date_str()
    return latest_trading_date


if __name__ == "__main__":
    print(HistoryKDatasUtils.get_previous_trading_date("2024-12-31"))
    print(HistoryKDatasUtils.get_history_tick_n("000095", 10))


    # now_day = tool.get_now_date_str()
    # results = JueJinApi.get_history_instruments(JueJinApi.get_juejin_code_list_with_prefix(["600265"]),

 trade/buy_radical/block_special_codes_manager.py

@@ -121,9 +121,9 @@
        获取板块有辨识度的代码
        @return:
        """
        trading_dates = HistoryKDatasUtils.get_latest_trading_date(15)
        trading_dates = HistoryKDatasUtils.get_latest_trading_date(8)
        max_day = trading_dates[-1]
        min_day = tool.date_sub(max_day, 365)
        min_day = tool.date_sub(max_day, 180)

        block_map = self.__get_block_map()
        # [(板块名称,代码, 在板块中的涨停次数)]
@@ -185,10 +185,15 @@
                    # 非正常票
                    continue

                if juejin_result_dict[code][2] < 3 or juejin_result_dict[code][2] > 40:
                    # 小于3块/大于40块
                if juejin_result_dict[code][2] < 3 or juejin_result_dict[code][2] > 50:
                    # 小于3块/大于50块
                    continue

                if int(float(limit_up_info_map[code][2])) < 50:
                    continue

                index += 1
                # [(板块, 代码名称, 代码, 涨停次数, 自由市值)]
                fdatas.append(
                    (b, limit_up_info_map[code][1], code, code_block_dict[code][b],
                     int(float(limit_up_info_map[code][2]))))

 trade/buy_radical/radical_buy_data_manager.py

@@ -4,6 +4,7 @@
import json
import logging
import time
import urllib

import requests

@@ -126,6 +127,7 @@
        pre_limit_up_price_money_list = []
        deal_order_list = BigOrderDealManager().get_total_buy_data_list(code)
        deal_order_ids = set()
        if deal_order_list:
        for x in deal_order_list:
            if opened_time and int(opened_time.replace(":", "")) > int(
                    l2_huaxin_util.convert_time(x[3]).replace(":", "")):
@@ -264,21 +266,30 @@
            return False
        return True

    def set_temp_deal_big_orders(self, code, money_list):
    def set_temp_deal_big_orders(self, code, money_info_list):
        """
        设置临时大单
        @param code:
        @param money_list: 成交的大买单
        @param money_info_list: 成交的大买单:[(订单号，总股数，成交金额,成交开始时间,成交结束时间, 最近的成交价格, 最近的卖单号, 涨停价成交金额)]
        @return:
        """
        if code in self.__temp_big_order_threshold:
            return
        if not money_list or len(money_list) < 2:
        if not money_info_list or len(money_info_list) < 2:
            return
        fmoney_list = []
        min_money = l2_data_util.get_big_money_val(gpcode_manager.get_limit_up_price_as_num(code), tool.is_ge_code(code))
        for info in money_info_list:
            if info[7] >= min_money:
                # 涨停价成交部分是大单
                fmoney_list.append((info[7], info[0]))
        if len(fmoney_list) < 2:
            return
        money_list = [x[0] for x in fmoney_list]
        # 计算大单: 前2个大单的均值
        self.__temp_big_order_threshold[code] = int(sum(money_list[:2]) // 2)
        async_log_util.info(logger_l2_radical_buy_data,
                            f"首次上板临时买大单：{code}-{self.__temp_big_order_threshold[code]}-{money_list[:2]}")
                            f"首次上板临时买大单：{code}-{self.__temp_big_order_threshold[code]}-{fmoney_list[:2]}")

    def get_temp_deal_big_order_threshold(self, code):
        return self.__temp_big_order_threshold.get(code)
@@ -522,7 +533,9 @@
        @param code:
        @return:
        """

        if 1 > 0:
            # 大单足够暂时不做处理
            return
        # 如果加绿了就直接拉白
        if gpcode_manager.GreenListCodeManager().is_in_cache(code):
            if gpcode_manager.WhiteListCodeManager().is_in_cache(code):
@@ -1641,7 +1654,9 @@
    """
    # 原因下面的代码个数
    deal_reason_codes = {}

    # 加想不管板块是否成交
    if gpcode_manager.WantBuyCodesManager().is_in_cache(code):
        return radical_buy_blocks
    for dc in deal_codes:
        # 获取涨停原因
        reasons = __get_deal_reasons(dc)
@@ -1741,7 +1756,6 @@
                logger_debug.exception(e)



def get_l2_big_order_deal_info(code_):
    """
    获取成交大单信息
@@ -1758,6 +1772,21 @@
    return None


def list_l2_big_order_deal_info(codes):
    """
    获取成交大单信息
    @param code_:
    @return:(净流入金额, (大单买金额, 大单买数量), (大单卖金额, 大单卖数量))
    """
    response_data = requests.get(
        "http://127.0.0.1:9005/get_codes_money_info?codes=" + urllib.parse.quote(json.dumps(list(codes))))
    r_str = response_data.text
    response_data = json.loads(r_str)
    if response_data["code"] == 0:
        datas = response_data["data"]
        return datas
    return None

def is_first_limit_up_buy(code):
    """
    是否是首封下单: （下单次数为0+没在涨停代码中） 或者 （处于下单状态 + 下单次数为1，且下单为首次下单）

 trade/buy_radical/radical_buy_strategy.py

@@ -127,9 +127,8 @@
    # 初次上板需要计算临时大单
    if radical_buy_data_manager.is_first_limit_up_buy(code):
        # 首封下单
        money_list = BigOrderDealManager().get_total_buy_money_list(code)
        radical_buy_data_manager.BeforeSubDealBigOrderManager().set_temp_deal_big_orders(code, money_list)

        money_info_list = BigOrderDealManager().get_total_buy_data_list(code)
        radical_buy_data_manager.BeforeSubDealBigOrderManager().set_temp_deal_big_orders(code, money_info_list)

    price = transaction_datas[-1][1]
    huaxin_timestamp = transaction_datas[-1][3]