From 1176a493039ded49d888b451793bc272e18a9b5a Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 02 四月 2024 14:16:05 +0800
Subject: [PATCH] 激进买
---
l2/l2_data_manager_new.py | 269 +++++++++++++++++++++++++++++++++++++++++++++++++----
1 files changed, 245 insertions(+), 24 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 4b99ef7..64f08e2 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -10,6 +10,7 @@
from db.redis_manager_delegate import RedisUtils
from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
from l2.l2_sell_manager import L2MarketSellManager, L2LimitUpSellManager
+from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager
from l2.transaction_progress import TradeBuyQueue
from log_module import async_log_util, log_export
from third_data import kpl_data_manager, block_info, history_k_data_util
@@ -677,6 +678,7 @@
info = cls.__trade_log_placr_order_info_dict[code]
info.mode = order_begin_pos.mode
info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
+ info.set_sell_info(order_begin_pos.sell_info)
if jx_blocks:
info.set_kpl_blocks(list(jx_blocks))
elif jx_blocks_by:
@@ -690,7 +692,11 @@
elif not can_buy_result[0] and not can_buy_result[1]:
info.set_kpl_match_blocks(["闈炵嫭鑻椾笉婊¤冻韬綅"])
else:
- info.set_kpl_match_blocks(can_buy_result[0])
+ temps = []
+ temps.extend(can_buy_result[0])
+ if can_buy_result[5]:
+ temps.append(f"婵�杩涗拱鍏ワ細{can_buy_result[5]}")
+ info.set_kpl_match_blocks(temps)
trade_record_log_util.add_place_order_log(code, info)
except Exception as e:
async_log_util.error(logger_l2_error, f"鍔犲叆涔板叆璁板綍鏃ュ織鍑洪敊锛歿str(e)}")
@@ -1295,24 +1301,36 @@
new_get_single = False
buy_single_index = order_begin_pos.buy_single_index
if buy_single_index is None:
- # 灏濊瘯璁＄畻蹇�熸垚浜や俊鍙�
- has_single, _index, sell_info = cls.__compute_fast_order_begin_pos(code, compute_start_index,
- compute_end_index)
+ # ------------------------------纭畾淇″彿绉嶇被----------------------------------
+ # 绗竴姝ワ細鑾峰彇婵�杩涗笅鍗曚俊鍙�
+ continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
+ has_single, _index, sell_info = cls.__compute_active_order_begin_pos(code, continue_count, max(
+ (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), compute_end_index)
fast_msg = None
if has_single:
- order_begin_pos.mode = OrderBeginPosInfo.MODE_FAST
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_ACTIVE
order_begin_pos.sell_info = sell_info
- elif _index is not None and _index < 0:
fast_msg = sell_info
- continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
- # 鏈変拱鍏ヤ俊鍙�
- has_single, _index = cls.__compute_order_begin_pos(code, max(
- (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
- compute_end_index)
- order_begin_pos.mode = OrderBeginPosInfo.MODE_NORMAL
- # 鑾峰彇鏈�鏂扮殑涔颁俊鎭�
- sell_info = cls.__L2MarketSellManager.get_current_total_sell_data(code)
- order_begin_pos.sell_info = sell_info
+
+ if not has_single:
+ # 绗簩姝ワ細璁＄畻闂數涓嬪崟淇″彿
+ has_single, _index, sell_info = cls.__compute_fast_order_begin_pos(code, compute_start_index,
+ compute_end_index)
+ fast_msg = None
+ if has_single:
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_FAST
+ order_begin_pos.sell_info = sell_info
+ elif _index is not None and _index < 0:
+ fast_msg = sell_info
+ # 绗笁姝�: 璁＄畻甯歌涔板叆淇″彿
+ has_single, _index = cls.__compute_order_begin_pos(code, max(
+ (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0),
+ continue_count,
+ compute_end_index)
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_NORMAL
+ # 鑾峰彇鏈�鏂扮殑涔颁俊鎭�
+ sell_info = cls.__L2MarketSellManager.get_current_total_sell_data(code)
+ order_begin_pos.sell_info = sell_info
# 濡傛灉涔板叆淇″彿涓庝笂娆＄殑涔板叆淇″彿涓�鏍峰氨涓嶈兘绠楁柊鐨勪俊鍙�
if cls.__last_buy_single_dict.get(code) == _index:
has_single = None
@@ -1350,20 +1368,14 @@
f"鑾峰彇鐨勪俊鍙蜂綅鏃犳晥锛堟澘涓婁拱锛岃寖鍥达細{trade_index + 1}-{order_begin_pos.buy_single_index} 鏈垚浜ゆ�绘墜{total_num}/闃堝�納thresh_hold_num}锛�")
return None
+ # -----------------------------涔板叆璁＄畻鍒濆鍖�,璁＄畻绾拱棰濋槇鍊�-----------------------
cls.__last_buy_single_dict[code] = buy_single_index
new_get_single = True
order_begin_pos.num = 0
order_begin_pos.count = 0
order_begin_pos.buy_single_index = buy_single_index
+ # 璋冩暣闂數涓嬪崟鐨勪拱鍏ラ槇鍊�
if order_begin_pos.sell_info and order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
- # k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code)
- # if k_format and (k_format[1][0] or k_format[3][0]):
- # # 鑲′环鏂伴珮鎴栬�呴�艰繎鍓嶉珮
- # order_begin_pos.threshold_money = int(sell_info[1])
- # else:
- # if float(total_datas[buy_single_index]["val"]["price"]) >= 3 and cls.volume_rate_info[code][
- # 0] > 0.3 and sell_info[1] > 2000 * 10000 and int(
- # tool.get_now_time_str().replace(":", "")) < int("100000"):
situation = cls.__MarketSituationManager.get_situation_cache()
if sell_info[1] > 2000 * 10000 and situation != MarketSituationManager.SITUATION_GOOD:
# 甯傚満琛屾儏濂芥椂涓嶆墦鎶�
@@ -1379,6 +1391,10 @@
order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
else:
order_begin_pos.threshold_money = int(sell_info[1])
+ if order_begin_pos.sell_info and order_begin_pos.mode == OrderBeginPosInfo.MODE_ACTIVE:
+ # 鎬诲崠棰濈殑1.5鍊�
+ order_begin_pos.threshold_money = int(sell_info[1] * 1.5)
+
l2_log.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} ,璁＄畻鑼冨洿锛歿}-{} 锛岄噺姣旓細{}锛屾槸鍚︽澘涓婁拱锛歿}锛屾暟鎹細{} 妯″紡锛歿}锛坽}锛�", buy_single_index,
compute_start_index,
compute_end_index, cls.volume_rate_info[code], order_begin_pos.at_limit_up,
@@ -1404,7 +1420,19 @@
# 涔板叆绾拱棰濈粺璁�
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new, not_buy_msg = None, None, None, None, [], ""
- if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_ACTIVE:
+ threshold_money = order_begin_pos.threshold_money
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, max_num_set_new, not_buy_msg = cls.__sum_buy_num_for_order_active(
+ code,
+ start_process_index,
+ compute_end_index,
+ order_begin_pos.num,
+ order_begin_pos.count,
+ threshold_money,
+ order_begin_pos.buy_single_index, order_begin_pos.max_num_set)
+ threshold_money = threshold_money_new
+ order_begin_pos.threshold_money = threshold_money
+ elif order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
threshold_money = order_begin_pos.threshold_money
new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, max_num_set_new, not_buy_msg = cls.__sum_buy_num_for_order_fast(
@@ -1604,6 +1632,71 @@
if is_first_limit_up:
return True, i, [refer_sell_data[0], threshold_money]
return False, None, None
+
+ # 璁＄畻婵�杩涗拱鐨勪笅鍗曚俊鍙�
+ @classmethod
+ def __compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index):
+ total_datas = local_today_datas[code]
+ start_time_str = total_datas[start_index]["val"]["time"]
+ # 鑾峰彇鏈�杩戠殑鎬诲崠淇℃伅
+ refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str)
+ if refer_sell_data is None:
+ return False, -1, "鎬诲崠涓虹┖"
+ # 鑾峰彇褰撳墠鏄惁鍙縺杩涗拱
+ # 鑾峰彇鏉垮潡鏄惁鍙互婵�杩涗拱
+ # 鍙拱鐨勬澘鍧�, 鏄惁鐙嫍, 娑堟伅, 鍙拱鐨勫己鍔挎澘鍧�, 鍏抽敭璇�, 婵�杩涗拱鐨勬澘鍧�
+ can_buy_result = CodePlateKeyBuyManager.can_buy(code)
+ if can_buy_result and can_buy_result[0] and can_buy_result[5]:
+ # 鏈夊彲涔版澘鍧楋紝鏈夋縺杩涗拱鏉垮潡
+ # 绗竴姝ワ細 璁＄畻鎬诲崠棰�
+ threshold_money = refer_sell_data[1]
+ for i in range(start_index - 1, -1, -1):
+ val = total_datas[i]["val"]
+ if tool.compare_time(val["time"], refer_sell_data[0]) <= 0:
+ break
+ if L2DataUtil.is_sell(val):
+ threshold_money += val["num"] * int(float(val["price"]) * 100)
+ elif L2DataUtil.is_sell_cancel(val):
+ threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ # 绗簩姝ワ細璁＄畻璧峰淇″彿
+ second_930 = 9 * 3600 + 30 * 60 + 0
+ total_datas = local_today_datas.get(code)
+ if end_index - start_index + 1 < continue_count:
+ return False, -1, "淇″彿涓嶈繛缁�"
+ last_index = None
+ count = 0
+ start = None
+ for i in range(start_index, end_index + 1):
+ _val = total_datas[i]["val"]
+ time_s = L2DataUtil.get_time_as_second(_val["time"])
+ # 鏃堕棿瑕�>=09:30:00
+ if time_s < second_930:
+ continue
+ if L2DataUtil.is_limit_up_price_buy(_val):
+ # 閲戦瑕佸ぇ浜�50涓�
+ if _val["num"] * float(_val["price"]) < 5000:
+ continue
+ if last_index is None or (total_datas[last_index]["val"]["time"] == total_datas[i]["val"]["time"]):
+ if start is None:
+ start = i
+ last_index = i
+ count += total_datas[i]["re"]
+ if count >= continue_count:
+ return True, start, [refer_sell_data[0], threshold_money]
+ else:
+ # 鏈潯鏁版嵁浣滀负璧风偣
+ last_index = i
+ count = datas[i]["re"]
+ start = i
+
+ elif not L2DataUtil.is_sell(_val) and not L2DataUtil.is_sell_cancel(_val):
+ # 鍓旈櫎鍗栦笌鍗栨挙
+ last_index = None
+ count = 0
+ start = None
+ return False, -1, "鏈幏鍙栧埌婵�杩涗拱鐨勮捣濮嬩俊鍙�"
+ else:
+ return False, -1, "涓嶅彲婵�杩涗拱"
@classmethod
def __get_threshmoney(cls, code):
@@ -1949,6 +2042,134 @@
return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg
+ # 杩斿洖(涔板叆鎵ц鐐�, 鎬绘墜, 鎬荤瑪鏁�, 浠庢柊璁＄畻璧风偣, 绾拱棰濋槇鍊�)
+ # 璁＄畻婵�杩涗拱鍏�
+ @classmethod
+ def __sum_buy_num_for_order_active(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
+ threshold_money_origin, buy_single_index, max_num_set):
+ _start_time = t.time()
+ total_datas = local_today_datas[code]
+ # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
+
+ buy_nums = origin_num
+ buy_count = origin_count
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price is None:
+ raise Exception("娑ㄥ仠浠锋棤娉曡幏鍙�")
+ limit_up_price = float(limit_up_price)
+
+ threshold_money = threshold_money_origin
+ # 鐩爣鎵嬫暟
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+
+ # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+
+ # 鍙互瑙﹀彂涔帮紝褰撴湁娑ㄥ仠涔颁俊鍙锋椂鎵嶄細瑙﹀彂涔�
+ trigger_buy = True
+ # 闂撮殧鏈�澶ф椂闂翠负3s
+ max_space_time_ms = 3 * 1000
+ # 涓嶄笅鍗曠殑淇℃伅
+ not_buy_msg = ""
+ max_buy_num_set = set(max_num_set)
+ for i in range(compute_start_index, compute_end_index + 1):
+ data = total_datas[i]
+ _val = total_datas[i]["val"]
+ trigger_buy = False
+ # 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
+ if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
+ cls.__TradePointManager.delete_buy_point(code)
+ if i == compute_end_index:
+ # 鏁版嵁澶勭悊瀹屾瘯
+ return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
+ else:
+ # 璁＄畻涔板叆淇″彿锛屼笉鑳藉悓涓�鏃堕棿寮�濮嬭绠�
+ for ii in range(buy_single_index + 1, compute_end_index + 1):
+ if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
+ return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
+ if L2DataUtil.is_sell(_val):
+ threshold_money += _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ elif L2DataUtil.is_sell_cancel(_val):
+ threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ # 娑ㄥ仠涔�
+ elif L2DataUtil.is_limit_up_price_buy(_val):
+ if l2_data_util.is_big_money(_val):
+ max_buy_num_set.add(i)
+ trigger_buy = True
+ # 鍙粺璁�59涓囦互涓婄殑閲戦
+ buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
+ buy_count += int(total_datas[i]["re"])
+ if buy_nums >= threshold_num:
+ l2_log.info(code, logger_l2_trade_buy,
+ f"{code}鑾峰彇鍒颁拱鍏ユ墽琛岀偣(婵�杩涗笅鍗�)锛歿i} 缁熻绾拱鎵嬫暟锛歿buy_nums} 鐩爣绾拱鎵嬫暟锛歿threshold_num} 缁熻绾拱鍗曟暟锛歿buy_count}")
+ elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
+ # 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ local_today_buyno_map.get(
+ code))
+ if buy_index is not None:
+
+ # 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
+ if buy_index >= buy_single_index:
+ max_buy_num_set.discard(buy_index)
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍚� 鎾や拱绾拱鎵嬫暟锛歿} 鐩爣鎵嬫暟锛歿}", i, buy_nums, threshold_num)
+ else:
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝涔板叆浣嶏細{}", i, buy_index)
+ if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
+ # 鍚屼竴绉�,褰撲綔涔板叆淇″彿涔嬪悗澶勭悊
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ max_buy_num_set.discard(buy_index)
+ # 澶у崟鎾ら攢
+ l2_log.buy_debug(code, "{}鏁版嵁涔板叆浣嶄笌棰勪及涔板叆浣嶅湪鍚屼竴绉�", i)
+ else:
+ # 鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�
+ l2_log.buy_debug(code, "鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�: 浣嶇疆-{} 鏁版嵁-{}", i, data)
+ buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
+ buy_count -= int(total_datas[i]["re"])
+ 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)
+
+ # 璁＄畻淇″彿浣嶇疆涔嬪悗鐨勪富鍔ㄥ崠锛屽姞鍏ュ埌闃堝�间箣涓�
+ sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, min_sell_order_no=int(
+ total_datas[buy_single_index]['val']['orderNo']))
+ sell_order_num = sum([x[1] for x in sell_orders]) // 100
+ # 绾拱棰濊冻澶燂紝涓旂瑪鏁板ぇ浜�2绗�
+ if buy_nums < threshold_num + sell_order_num:
+ not_buy_msg = f"銆恵i}銆戠函涔伴涓嶅锛寋buy_nums}/{threshold_num}"
+ continue
+ if not trigger_buy:
+ not_buy_msg = f"銆恵i}銆戞病鏈変拱鍗曡Е鍙�"
+ continue
+ if buy_count < 2:
+ not_buy_msg = f"銆恵i}銆戝畨鍏ㄧ瑪鏁颁笉瓒筹紝{buy_count}/{2}"
+ continue
+
+ # max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
+ # big_money_count_threshhold = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count()
+ # if len(max_buy_num_set) < big_money_count_threshhold:
+ # not_buy_msg = f"銆恵i}銆戝ぇ鍗曚笉婊¤冻瑕佹眰锛岄渶瑕侊細{big_money_count_threshhold} 鎬伙細{len(max_buy_num_set)}"
+ # continue
+
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, 0, [])
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+ l2_log.buy_debug(code, f"婵�杩涗拱涓诲姩鍗栨墜鏁帮細{sell_order_num}")
+
+ return i, buy_nums, buy_count, None, threshold_money, max_buy_num_set, "鍙互涓嬪崟"
+
+ l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣(婵�杩涗拱鍏�)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} ",
+ compute_start_index,
+ buy_nums,
+ threshold_num, buy_count)
+
+ return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg
+
def test_trade_record():
code = "000333"
--
Gitblit v1.8.0