From 0e68e24f54db11d340785b17570fff2bc5fc7ac6 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 24 七月 2023 13:05:16 +0800
Subject: [PATCH] bug修复
---
l2/l2_data_manager_new.py | 266 +++++++++++++++++++++++++++++++++++++++-------------
1 files changed, 198 insertions(+), 68 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 358e867..30015b9 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -1,37 +1,34 @@
import logging
-import random
import time as t
-import big_money_num_manager
-import code_data_util
-import code_volumn_manager
+from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \
+ limit_up_time_manager, global_data_loader, gpcode_manager
import constant
-import global_data_loader
-import global_util
-import gpcode_manager
-import industry_codes_sort
+from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
+from third_data import kpl_data_manager, block_info
+from utils import global_util, ths_industry_util, tool
import l2_data_util
-import l2_trade_test
-import limit_up_time_manager
from db import redis_manager
-import ths_industry_util
-import tool
-from third_data import hot_block, hot_block_data_process
-from trade import trade_data_manager, trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
- trade_result_manager, first_code_score_manager
-from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager
+from third_data.code_plate_key_manager import CodePlateKeyBuyManager
+from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
+ trade_result_manager, first_code_score_manager, current_price_process_manager
+from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager, \
+ transaction_progress
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, L2LimitUpMoneyStatisticUtil, \
- L2LimitUpSellStatisticUtil
+ L2LimitUpSellStatisticUtil, DCancelBigNumComputer, LCancelBigNumComputer
from l2.l2_data_manager import L2DataException, TradePointManager
-from l2.l2_data_util import local_today_datas, L2DataUtil, load_l2_data, local_today_num_operate_map, local_latest_datas
+from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
+ local_latest_datas
import l2.l2_data_util
-from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process, logger_l2_error, \
- logger_place_order_score
+from log_module.log import logger_l2_trade_buy, logger_l2_process, \
+ logger_place_order_score, logger_l2_error
# TODO l2鏁版嵁绠＄悊
from trade.trade_data_manager import CodeActualPriceProcessor
import dask
+
+from trade.trade_manager import TradeTargetCodeModeManager
class L2DataManager:
@@ -165,6 +162,7 @@
__buyL2SafeCountManager = safe_count_manager.BuyL2SafeCountManager()
__l2PlaceOrderParamsManagerDict = {}
__last_buy_single_dict = {}
+ __TradeBuyQueue = transaction_progress.TradeBuyQueue()
# 鑾峰彇浠ｇ爜璇勫垎
@classmethod
@@ -194,7 +192,9 @@
# 鏁版嵁涓嶆甯搁渶瑕佺姝氦鏄�
l2_trade_util.forbidden_trade(code)
# 绾犳鏁版嵁
- datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas)
+ if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS:
+ # 鍚岃姳椤洪渶瑕佺籂姝ｆ暟鎹紝鍏朵粬娓犻亾涓嶉渶瑕�
+ datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas)
_start_index = 0
if local_today_datas.get(code) is not None and len(
local_today_datas[code]) > 0:
@@ -215,6 +215,43 @@
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
+ # 澶勭悊鍗庨懌L2鏁版嵁
+ @classmethod
+ def process_huaxin(cls, code, datas):
+ print("process_huaxin", code, len(datas))
+ origin_start_time = round(t.time() * 1000)
+ try:
+ # 鍔犺浇鍘嗗彶鐨凩2鏁版嵁
+ is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False)
+ if not is_normal:
+ print("鍘嗗彶鏁版嵁寮傚父:", code)
+ # 鏁版嵁涓嶆甯搁渶瑕佺姝氦鏄�
+ l2_trade_util.forbidden_trade(code)
+ # 杞崲鏁版嵁鏍煎紡
+ _start_index = 0
+ if local_today_datas.get(code) is not None and len(
+ local_today_datas[code]) > 0:
+ _start_index = local_today_datas[code][-1]["index"] + 1
+ datas = l2_huaxin_util.get_format_l2_datas(code, datas,
+ gpcode_manager.get_limit_up_price(code), _start_index)
+ # 鑾峰彇涓嬪崟浣嶇疆
+ place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, datas)
+ if place_order_index:
+ logger_l2_process.info("code:{} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{}", code, place_order_index)
+ DCancelBigNumComputer.set_real_order_index(code, place_order_index)
+
+ __start_time = round(t.time() * 1000)
+ cls.process_add_datas(code, datas, 0, __start_time)
+ except Exception as e:
+ print("huaxin L2鏁版嵁澶勭悊寮傚父", code, str(e))
+ logging.exception(e)
+ logger_l2_error.exception(e)
+ finally:
+ l2_data_log.l2_time(code, round(t.time() * 1000) - origin_start_time,
+ "l2鏁版嵁澶勭悊鎬昏�楁椂",
+ True)
+ l2.l2_data_util.save_l2_data(code, None, datas)
+
@classmethod
def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time):
now_time_str = tool.get_now_time_str()
@@ -223,6 +260,7 @@
# 鎷兼帴鏁版嵁
local_today_datas[code].extend(add_datas)
l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
+ l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)
# 绗�1鏉℃暟鎹槸鍚︿负09:30:00
if add_datas[0]["val"]["time"] == "09:30:00":
@@ -258,6 +296,9 @@
cls.volume_rate_info[code] = (volume_rate, volume_rate_index)
latest_time = add_datas[len(add_datas) - 1]["val"]["time"]
+
+ __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
+ "l2鏁版嵁鍑嗗鏃堕棿")
# 鏃堕棿宸笉鑳藉お澶ф墠鑳藉鐞�
if not l2_trade_util.is_in_forbidden_trade_codes(code):
# 鍒ゆ柇鏄惁宸茬粡鎸傚崟
@@ -363,7 +404,8 @@
def h_cancel():
_start_time = round(t.time() * 1000)
try:
- b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code, buy_exec_index, start_index,
+ b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code, buy_single_index,
+ buy_exec_index, start_index,
end_index, total_data,
local_today_num_operate_map.get(
code),
@@ -377,6 +419,24 @@
logging.exception(e)
finally:
l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "宸蹭笅鍗�-H鎾ゅぇ鍗曡绠�")
+ return None, ""
+
+ # L鎾�
+ @dask.delayed
+ def l_cancel():
+ _start_time = round(t.time() * 1000)
+ try:
+ b_need_cancel, b_cancel_data = LCancelBigNumComputer.need_cancel(code,
+ buy_exec_index, start_index,
+ end_index, total_data,
+ local_today_num_operate_map.get(
+ code), is_first_code)
+ if b_need_cancel and b_cancel_data:
+ return b_cancel_data, "L鎾ら攢姣斾緥瑙﹀彂闃堝��"
+ except Exception as e:
+ logging.exception(e)
+ finally:
+ l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "宸蹭笅鍗�-L鎾ゅぇ鍗曡绠�")
return None, ""
# 鏉夸笂鍗栨挙
@@ -426,9 +486,10 @@
f4 = h_cancel()
f5 = buy_1_cancel()
f6 = sell_cancel()
- dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6)
+ f7 = l_cancel()
+ dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6, f7)
if is_first_code:
- dask_result = is_need_cancel(f3, f4)
+ dask_result = is_need_cancel(f3, f4, f7)
cancel_data, cancel_msg = dask_result.compute()
@@ -499,6 +560,7 @@
buy_single_index, buy_exec_index, cls.volume_rate_info[code][0],
cls.__l2PlaceOrderParamsManagerDict[code].score, params_desc)
except Exception as e:
+ logger_l2_error.exception(e)
l2_log.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
pass
finally:
@@ -672,6 +734,63 @@
def __can_buy_first(cls, code):
if not trade_manager.TradeStateManager.is_can_buy():
return False, True, f"浠婃棩宸茬姝氦鏄�"
+
+ if gpcode_manager.PauseBuyCodesManager.is_in(code):
+ return False, True, f"璇ヤ唬鐮佽鏆傚仠浜ゆ槗"
+
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+
+ if float(limit_up_price) >= 40:
+ return False, True, "鑲′环澶т簬40鍧�"
+
+ if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
+ trade_price = current_price_process_manager.get_trade_price(code)
+ if trade_price is None:
+ return False, True, f"灏氭湭鑾峰彇鍒板綋鍓嶆垚浜や环"
+ if float(limit_up_price) - float(trade_price) > 0.02001:
+ return False, False, f"褰撳墠鎴愪氦浠凤紙{trade_price}锛夊皻鏈湪2妗ｅ強浠ュ唴"
+
+ # 鍒ゆ柇鎴愪氦杩涘害鏄惁璺濈鎴戜滑鐨勪綅缃緢杩�
+ total_data = local_today_datas.get(code)
+ trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
+ if not is_default and trade_index:
+ buy_index_set = set()
+ num_operate_map = local_today_num_operate_map.get(code)
+ for i in range(trade_index + 1, total_data[-1]["index"] + 1):
+ if L2DataUtil.is_limit_up_price_buy(total_data[i]["val"]):
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code,
+ total_data[
+ i][
+ "index"],
+ total_data,
+ num_operate_map)
+ if left_count > 0:
+ buy_index_set.add(total_data[i]["index"])
+
+ if len(buy_index_set) < 5:
+ return False, False, f"鎴愪氦浣嶇疆璺濈褰撳墠浣嶇疆灏忎簬5绗�"
+ else:
+ # 鍒ゆ柇涔�1浠锋牸妗ｄ綅
+ zyltgb = global_util.zyltgb_map.get(code)
+ if zyltgb is None:
+ global_data_loader.load_zyltgb()
+ zyltgb = global_util.zyltgb_map.get(code)
+
+ if zyltgb >= 200 * 100000000:
+ buy1_price = code_price_manager.Buy1PriceManager.get_buy1_price(code)
+ if buy1_price is None:
+ return False, True, f"灏氭湭鑾峰彇鍒颁拱1浠�"
+ dif = float(limit_up_price) - float(buy1_price)
+ # 澶т簬10妗�
+ if dif > 0.10001:
+ return False, True, f"鑷敱娴侀��200浜夸互涓婏紝涔�1鍓╀綑妗ｆ暟澶т簬10妗ｏ紝涔颁竴锛坽buy1_price}锛夋定鍋滐紙{limit_up_price}锛�"
+
+ open_limit_up_lowest_price = code_price_manager.Buy1PriceManager.get_open_limit_up_lowest_price(code)
+ price_pre_close = gpcode_manager.get_price_pre(code)
+ if open_limit_up_lowest_price and (
+ float(open_limit_up_lowest_price) - price_pre_close) / price_pre_close < 0.05:
+ return False, True, f"鐐告澘鍚庢渶浣庝环璺岃嚦5%浠ヤ笅"
+
limit_up_info = code_price_manager.Buy1PriceManager.get_limit_up_info(code)
if limit_up_info[0] is None and False:
total_data = local_today_datas.get(code)
@@ -701,53 +820,57 @@
cls.__l2PlaceOrderParamsManagerDict[code].score_info)
if not gpcode_manager.WantBuyCodesManager.is_in(code):
-
- # 鏌ョ湅鍒嗘暟绛夌骇
+ if TradeTargetCodeModeManager.get_mode() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES:
+ return False, True, f"鍙拱鎯充拱鍗曚腑鐨勪唬鐮�"
score_index = cls.__l2PlaceOrderParamsManagerDict[code].score_index
score = cls.__l2PlaceOrderParamsManagerDict[code].score
score_info = cls.__l2PlaceOrderParamsManagerDict[code].score_info
+ return cls.can_buy_first(code, limit_up_price, score_index, score, score_info, cls.volume_rate_info[code])
+ else:
+ return True, False, "鍦ㄦ兂涔板悕鍗曚腑"
+ @classmethod
+ def can_buy_first(cls, code, limit_up_price, score_index, score, score_info, volume_rate_info):
+ def is_has_k_format(score_info):
+ # (15涓氦鏄撴棩娑ㄥ箙鏄惁澶т簬24.9%,鏄惁鐮村墠楂橈紝鏄惁瓒呰穼锛屾槸鍚︽帴杩戝墠楂橈紝鏄惁N,鏄惁V,鏄惁鏈夊舰鎬�,澶╅噺澶ч槼淇℃伅,鏄惁鍏锋湁杈ㄨ瘑搴�)
+
+ if score_info[1][3][6][0] and not score_info[1][3][3][0]:
+ return True
+ if score_info[1][3][7][0]:
+ return True
+ return False
+
+ if float(limit_up_price) >= 40:
+ return False, True, "鑲′环澶т簬40鍧�"
+
+ # 9:35涔嬪墠涔板ぇ甯傚��(>=80浜�)绁�
+ if int(tool.get_now_date_str("%Y%m%d")) < int("093500"):
zyltgb = global_util.zyltgb_map.get(code)
if zyltgb is None:
global_data_loader.load_zyltgb()
zyltgb = global_util.zyltgb_map.get(code)
- # 鍖哄垎澶хエ锛屽皬绁�
if zyltgb >= 80 * 100000000:
- if cls.volume_rate_info[code][0] < 0.5:
- return False, True, f"澶у競鍊�:閲忓ぇ浜�50%鎵嶄笅鍗�,閲忔瘮锛歿cls.volume_rate_info[code][0]}"
- elif zyltgb <= 35 * 100000000:
- # 鑾峰彇鏉垮潡涓殑绁ㄧ殑鏁伴噺
- if score_info[1][5]["limit_up_codes_count"] < 2:
- return False, True, f"灏忓競鍊�:鏉垮潡涓繀椤�2涓定鍋滄墠鑳戒拱锛屾澘鍧梴score_info[1][5]['target_block_info'][0]}-娑ㄥ仠鏁皗score_info[1][5]['limit_up_codes_count']}"
+ return True, False, "{9:30:00-9:35:00}鑷敱甯傚�尖墺80浜�"
+ # 鍒ゆ柇鏉垮潡
+ plate_can_buy, msg = CodePlateKeyBuyManager.can_buy(code,
+ kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas,
+ kpl_data_manager.KPLLimitUpDataRecordManager.total_datas,block_info.get_before_blocks_dict())
+ if not plate_can_buy:
+ return False, True, msg
+ return True, False, msg
- # 灏剧洏鍋疯窇绁�
- limit_up_time = score_info[1][7]
- if limit_up_time is None:
- limit_up_time = tool.get_now_time_str()
- if int(limit_up_time.replace(":", "")) > int("143000"):
- if not score_info[1][3][6][0]:
- return False, True, f"灏剧洏鍋疯窇:鏃犱换浣曞舰鎬�"
- if score_info[1][5]["limit_up_codes_count"] > 1:
- return False, True, f"灏剧洏鍋疯窇:鏉垮潡{score_info[1][5]['target_block_info'][0]}-娑ㄥ仠鏁皗score_info[1][5]['limit_up_codes_count']}"
- if float(gpcode_manager.get_limit_up_price(code)) > 30:
- return False, True, f"灏剧洏鍋疯窇:鑲′环澶т簬30"
+ # if volume_rate_info[0] < 0.4:
+ # return False, True, f"閲忓ぇ浜�40%鎵嶄笅鍗�,閲忔瘮锛歿volume_rate_info[0]}"
+
+ # 鏄惁鏈塊绾垮舰鎬�(鏈塊绾垮舰鎬佹垨鑰呭ぉ閲忓ぇ闃�),10鐐瑰悗鎵嶉渶瑕佸垽鏂槸鍚︽湁K绾垮舰鎬佷笌鍒嗗��
+ if int(tool.get_now_time_str().replace(":", "")) > int("100000"):
+ has_k_format = score_info[1][3][6][0] or score_info[1][3][7][0]
+ if not has_k_format:
+ return False, True, f"鏃燢绾垮舰鎬�"
if score_index < 0:
return False, True, f"鍒嗗�硷細{score}鏈揪鍒伴渶瑕佷拱鍏ョ殑鍒嗘暟绾�"
- if score_index >= 3:
- return False, True, f"鍒嗗�硷細{score}鏈揪鍒颁富鍔ㄤ拱鍏ュ垎鏁扮嚎"
- return True, False, ""
- # if -1 < score_index < 3 and (0.499 <= cls.volume_rate_info[code][0] <= 0.949):
- # return True, False, f"鍒嗗�硷細{score}杈惧埌涓诲姩涔板叆鐨勫垎鏁扮嚎涓旈噺瓒冲锛屼拱鍏ョ瓑绾э細f{score_index},閲忔瘮锛歿cls.volume_rate_info[code][0]}"
- is_limited_up = gpcode_manager.FirstCodeManager.is_limited_up(code)
- gpcode_manager.FirstCodeManager.add_limited_up_record([code])
- if not code_price_manager.Buy1PriceManager.is_can_buy(code):
- return False, True, f"棣栨澘浠ｇ爜锛屾病鍦ㄦ兂瑕佷拱鍚嶅崟涓笖鏈墦寮�娑ㄥ仠鏉�,鍒嗘暟锛歿score}"
- if not is_limited_up:
- return False, True, f"棣栨澘浠ｇ爜锛屾病鍦ㄦ兂瑕佷拱鍚嶅崟涓笖鏈定鍋滆繃,鍒嗘暟锛歿score}"
- return True, False, ""
- else:
- return True, False, "鍦ㄦ兂涔板悕鍗曚腑"
+ return True, False, ""
@classmethod
def __cancel_buy(cls, code):
@@ -985,12 +1108,18 @@
last_index = None
count = 0
start = None
-
+ now_time_s = tool.get_time_as_second(tool.get_now_time_str())
for i in range(start_index, end_index + 1):
_val = datas[i]["val"]
+ time_s = L2DataUtil.get_time_as_second(_val["time"])
# 鏃堕棿瑕�>=09:30:00
- if L2DataUtil.get_time_as_second(_val["time"]) < second_930:
+ if time_s < second_930:
continue
+
+ if not constant.TEST:
+ if abs(now_time_s - time_s) > 2:
+ # 姝ｅ紡鐜涓嬩笉澶勭悊2s澶栫殑鏁版嵁
+ continue
if L2DataUtil.is_limit_up_price_buy(_val):
@@ -1075,8 +1204,8 @@
data = total_datas[i]
_val = total_datas[i]["val"]
trigger_buy = False
- # 蹇呴』涓鸿繛缁�3绉掑唴鐨勬暟鎹�
- if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds > max_space_time:
+ # 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
+ if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
TradePointManager.delete_buy_point(code)
if i == compute_end_index:
# 鏁版嵁澶勭悊瀹屾瘯
@@ -1132,15 +1261,17 @@
l2_log.buy_debug(code, "浣嶇疆-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", i,
buy_nums, threshold_num)
+ max_buy_num_set_count = 0
+ for i in max_buy_num_set:
+ max_buy_num_set_count += total_datas[i]["re"]
# 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
- if buy_nums >= threshold_num and buy_count >= get_threshold_count() and trigger_buy and len(
- max_buy_num_set) >= big_num_count:
+ if buy_nums >= threshold_num and buy_count >= get_threshold_count() and trigger_buy and max_buy_num_set_count >= big_num_count:
return i, buy_nums, buy_count, None, max_buy_num_set
l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿} 澶у崟鏁伴噺锛歿} 鐩爣澶у崟鏁伴噺锛歿}",
compute_start_index,
buy_nums,
- threshold_num, buy_count, get_threshold_count(), len(max_buy_num_set), big_num_count)
+ threshold_num, buy_count, get_threshold_count(), max_buy_num_set_count, big_num_count)
return None, buy_nums, buy_count, None, max_buy_num_set
@@ -1156,6 +1287,5 @@
# local_today_num_operate_map.get(
# "600213"))
# print(buy_index, buy_data)
- dict_ = {"code": 0}
- dict_.clear()
- print(dict_)
+ volume_rate = code_volumn_manager.get_volume_rate("002343")
+ print(volume_rate)
--
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