From 3ea84f8adaeeb851e590fa74ceed009a0a19b08c Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 28 十一月 2023 17:46:38 +0800
Subject: [PATCH] 近6个交易日涨幅过高实现
---
huaxin_client/l2_client.py | 1
code_attribute/code_nature_analyse.py | 29 ++++++
code_attribute/first_target_code_data_processor.py | 7 +
trade/huaxin/huaxin_trade_server.py | 58 ++++++++++++--
third_data/code_plate_key_manager.py | 2
test/test_code_attribute.py | 25 ++++++
test/l2_trade_test.py | 1
trade/huaxin/huaxin_trade_api.py | 91 ++++++++++++----------
l2/code_price_manager.py | 12 ++
l2/l2_data_manager_new.py | 5 +
10 files changed, 174 insertions(+), 57 deletions(-)
diff --git a/code_attribute/code_nature_analyse.py b/code_attribute/code_nature_analyse.py
index 5600454..d4f9886 100644
--- a/code_attribute/code_nature_analyse.py
+++ b/code_attribute/code_nature_analyse.py
@@ -224,7 +224,7 @@
# 鏄惁鍏锋湁K绾垮舰鎬�
def is_has_k_format(limit_up_price, record_datas):
- is_too_high, is_new_top, is_lowest, is_near_new_top, is_n, is_v, has_format, volume_info, is_special = get_k_format(
+ is_too_high, is_new_top, is_lowest, is_near_new_top, is_n, is_v, has_format, volume_info, is_special, has_max_volume = get_k_format(
float(limit_up_price), record_datas)
if not has_format:
return False, "涓嶆弧瓒矺绾垮舰鎬�"
@@ -255,7 +255,7 @@
# 鏄惁娑ㄥ緱澶珮
-def is_up_too_high_in_10d(record_datas):
+def is_up_too_high_in_10d_with_limit_up(record_datas):
datas = copy.deepcopy(record_datas)
datas.sort(key=lambda x: x["bob"])
datas = datas[-10:]
@@ -348,6 +348,31 @@
return False
+# 鍦ㄦ渶杩戝嚑澶╁唴鑲′环鏄惁闀垮緱澶珮
+def is_price_too_high_in_days(record_datas, limit_up_price, day_count=6):
+ datas = copy.deepcopy(record_datas)
+ datas.sort(key=lambda x: x["bob"])
+ datas = datas[0 - day_count:]
+ min_price = None
+ max_price = None
+ for d in datas:
+ if min_price is None:
+ min_price = d["low"]
+ if max_price is None:
+ max_price = d["high"]
+ if min_price > d["low"]:
+ min_price = d["low"]
+ if max_price < d["high"]:
+ max_price = d["high"]
+ if max_price > float(limit_up_price):
+ return False
+ rate = (float(limit_up_price) - min_price) / min_price
+ # print(rate)
+ if rate >= 0.25:
+ return True
+ return False
+
+
# 鏄惁鏈夋定鍋�
def get_first_limit_up_count(datas):
datas = copy.deepcopy(datas)
diff --git a/code_attribute/first_target_code_data_processor.py b/code_attribute/first_target_code_data_processor.py
index fddeab8..6804624 100644
--- a/code_attribute/first_target_code_data_processor.py
+++ b/code_attribute/first_target_code_data_processor.py
@@ -123,7 +123,7 @@
k_format = code_nature_analyse.get_k_format(limit_up_price, volumes_data)
code_nature_analyse.CodeNatureRecordManager().save_k_format(code, k_format)
- if code_nature_analyse.is_up_too_high_in_10d(volumes_data):
+ if code_nature_analyse.is_up_too_high_in_10d_with_limit_up(volumes_data):
# 鍒ゆ柇鏄惁澶珮
l2_trade_util.forbidden_trade(code, "鑲′环闀垮緱澶珮")
HighIncreaseCodeManager().add_code(code)
@@ -133,6 +133,11 @@
l2_trade_util.forbidden_trade(code, "120澶╁唴鑲′环闀垮緱澶珮")
HighIncreaseCodeManager().add_code(code)
+ if code_nature_analyse.is_price_too_high_in_days(volumes_data, limit_up_price):
+ # 鍒ゆ柇鏄惁澶珮
+ l2_trade_util.forbidden_trade(code, "6澶╁唴鑲′环闀垮緱澶珮")
+ HighIncreaseCodeManager().add_code(code)
+
if code_nature_analyse.is_have_latest_max_volume(volumes_data, 2):
# 鏈�杩�2澶╂槸鍚︽槸鏈�楂橀噺
code_nature_analyse.LatestMaxVolumeManager().set_has_latest_max_volume(code)
diff --git a/huaxin_client/l2_client.py b/huaxin_client/l2_client.py
index c4230e5..38aa0c6 100644
--- a/huaxin_client/l2_client.py
+++ b/huaxin_client/l2_client.py
@@ -276,6 +276,7 @@
d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
"lastPrice": pDepthMarketData['LastPrice'],
"totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
+ "totalValueTrade":pDepthMarketData['TotalValueTrade'],
"totalAskVolume": pDepthMarketData['TotalAskVolume'],
"avgAskPrice": pDepthMarketData["AvgAskPrice"],
"buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
diff --git a/l2/code_price_manager.py b/l2/code_price_manager.py
index dba7264..160e45e 100644
--- a/l2/code_price_manager.py
+++ b/l2/code_price_manager.py
@@ -25,6 +25,8 @@
# 鏈�杩�3鍒嗛挓鍐呯殑涔�1閲戦
__latest_3m_buy1_money_list_dict = {}
__open_limit_up_lowest_price_cache = {}
+ # 鍧囦环
+ __average_rate_dict = {}
__instance = None
@@ -139,16 +141,20 @@
price = self.__get_open_limit_up_lowest_price_cache(code)
return price
- # 澶勭悊
+ def get_average_rate(self, code):
+ return self.__average_rate_dict.get(code)
- def process(self, code, buy_1_price, buy_1_volume, time_str, limit_up_price, sell_1_price, sell_1_volumn):
+ # 澶勭悊
+ def process(self, code, buy_1_price, buy_1_volume, time_str, limit_up_price, sell_1_price, sell_1_volumn,
+ average_rate=None):
+ self.__average_rate_dict[code] = average_rate
data_str = f"{buy_1_price},{buy_1_volume},{time_str},{limit_up_price},{sell_1_price},{sell_1_volumn}"
if self.__latest_data.get(code) == data_str:
return
# 璁板綍鏃ュ織
logger_trade_queue_price_info.info(
- f"code={code} data: time_str-{time_str}, buy_1_price-{buy_1_price},limit_up_price-{limit_up_price},sell_1_price-{sell_1_price},sell_1_volumn-{sell_1_volumn}")
+ f"code={code} data: time_str-{time_str}, buy_1_price-{buy_1_price},limit_up_price-{limit_up_price},sell_1_price-{sell_1_price},sell_1_volumn-{sell_1_volumn},percent_rate-{percent_rate}")
# 涔�1浠锋牸涓嶈兘灏忎簬1鍧�
if float(buy_1_price) < 1.0:
return
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 21cc71f..1dbc5fd3 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -846,6 +846,11 @@
l2_trade_util.forbidden_trade(code, msg="褰撴棩涓嬪崟娆℃暟宸茶揪10娆�")
return False, True, f"褰撴棩涓嬪崟娆℃暟宸茶揪10娆�"
+ # ---------鍧囦环绾︽潫-------------
+ average_rate = cls.__Buy1PriceManager.get_average_rate(code)
+ if average_rate and average_rate <= 0.01:
+ return False, True, f"鍧囦环娑ㄥ箙({average_rate})灏忎簬1%"
+
# -------閲忕殑绾︽潫--------
if cls.volume_rate_info[code][0] < 0.2:
return False, True, f"褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬0.2"
diff --git a/test/l2_trade_test.py b/test/l2_trade_test.py
index d030330..b7cd8c6 100644
--- a/test/l2_trade_test.py
+++ b/test/l2_trade_test.py
@@ -218,6 +218,7 @@
def test_block(self):
code = "002962"
KPLCodeJXBlockManager().load_jx_blocks(code, 14.99, 14.99)
+ KPLCodeJXBlockManager().load_jx_blocks(code, 14.99, 14.99)
block_info.init_code(code)
kpl_data_manager.KPLLimitUpDataRecordManager.load_total_datas()
yesterday_codes = kpl_data_manager.get_yesterday_limit_up_codes()
diff --git a/test/test_code_attribute.py b/test/test_code_attribute.py
new file mode 100644
index 0000000..32cbd94
--- /dev/null
+++ b/test/test_code_attribute.py
@@ -0,0 +1,25 @@
+from code_attribute import code_nature_analyse
+from utils import init_data_util
+
+
+def is_too_high(datas):
+ limit_up_price = round(datas[0]["close"] * 1.1, 2)
+ datas.reverse()
+ is_new_high = code_nature_analyse.is_price_too_high_in_days(datas, limit_up_price)
+ return is_new_high
+
+
+if __name__ == "__main__":
+ code_str = "000536,000625,000628,000670,000766,000829,001311,001331,002189,002275,002331,002341,002363,002406,002416,002655,002691,002848,002861,002885,002906,002917,002962,300217,300462,300552,301111,301215,301372,600107,600178,600222,600288,600513,600698,600960,601777,603029,603286,603297,603569,605020,688314,688789"
+ codes = code_str.split(",")
+ for code in codes:
+ if code.find("00") != 0 and code.find("60") != 0:
+ continue
+ try:
+ datas = init_data_util.get_volumns_by_code(code, 120)
+ datas = datas[3:]
+ result = is_too_high(datas)
+ if result:
+ print(code, result)
+ except:
+ print(code, "鍑洪敊")
diff --git a/third_data/code_plate_key_manager.py b/third_data/code_plate_key_manager.py
index a48d004..e59202f 100644
--- a/third_data/code_plate_key_manager.py
+++ b/third_data/code_plate_key_manager.py
@@ -104,7 +104,7 @@
async_log_util.info(logger_kpl_block_can_buy, f"{code}:鑾峰彇鍒扮簿閫夋澘鍧�-{blocks}")
else:
# 杩樻病娑ㄥ仠鐨勯渶瑕佹洿鏂扮簿閫夋澘鍧� 鏇存柊绮鹃�夋澘鍧�
- if abs(float(buy_1_price) - float(limit_up_price)) >= 0.001:
+ if abs(float(buy_1_price) - float(limit_up_price)) >= 0.001 or constant.TEST:
# 闈炴定鍋滅姸鎬�
UPDATE_TIME_SPACE = 5 * 60
time_diff = tool.trade_time_sub(tool.get_now_time_str(), "09:30:00")
diff --git a/trade/huaxin/huaxin_trade_api.py b/trade/huaxin/huaxin_trade_api.py
index 9bc7249..57ede74 100644
--- a/trade/huaxin/huaxin_trade_api.py
+++ b/trade/huaxin/huaxin_trade_api.py
@@ -37,6 +37,50 @@
def __run_recv_queue_trade(queue: multiprocessing.Queue):
+
+ def __process_order(data):
+ code = data["securityID"]
+ accountID = data["accountID"]
+ orderStatus = data["orderStatus"]
+ orderRef = data["orderRef"]
+ orderSysID = data["orderSysID"]
+ insertTime = data.get("insertTime")
+ acceptTime = data.get("acceptTime")
+ insertDate = data.get("insertDate")
+ direction = data.get("direction")
+ limitPrice = data.get("limitPrice")
+ volume = data.get("volume")
+ is_shadow_order = False
+ # 鑾峰彇娑ㄥ仠浠�
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price and volume == huaxin_client_constant.SHADOW_ORDER_VOLUME:
+ if abs(float(limitPrice) - float(limit_up_price)) >= 0.01:
+ is_shadow_order = True
+
+ order = HuaxinOrderEntity(code, orderStatus, orderRef, accountID, orderSysID,
+ insertTime=insertTime, acceptTime=acceptTime,
+ insertDate=insertDate, direction=direction,
+ is_shadow_order=is_shadow_order)
+ try:
+ if order.direction == str(huaxin_util.TORA_TSTP_D_Sell):
+ # 鍒锋柊鎸佷粨鍒楄〃
+ huaxin_trade_data_update.add_position_list()
+ TradeResultProcessor.process_buy_order(order)
+ TradeResultProcessor.process_sell_order(order)
+ finally:
+ try:
+ # 鍔犲叆2娆★紝澧炲ぇ鍔犲叆鎴愬姛鐜�
+ __save_data_queue.put_nowait(data)
+ except Exception as e:
+ hx_logger_trade_debug.exception(e)
+
+ if not is_shadow_order:
+ # 璁㈠崟鐩稿叧鍥炶皟
+ # 閲嶆柊璇锋眰濮旀墭鍒楄〃涓庤祫閲�
+ # huaxin_trade_data_update.add_delegate_list("鏉ヨ嚜浜ゆ槗绠￠亾")
+ huaxin_trade_data_update.add_deal_list()
+ huaxin_trade_data_update.add_money_list()
+
# 璁剧疆缁撴灉
def __set_response(data_json):
if 'request_id' not in data_json:
@@ -62,6 +106,10 @@
async_log_util.info(hx_logger_trade_callback,
f"response锛歳equest_id-{request_id}")
__response_thread_pool.submit(__set_response, data_json)
+ if type(data_json.get("data")) == dict:
+ data = data_json["data"].get("data")
+ if type(data) == dict and "orderRef" in data:
+ __response_thread_pool.submit(__process_order, data)
elif type_ == "trade_callback":
try:
# 浜ゆ槗鍥炶皟
@@ -72,48 +120,7 @@
if ctype == 0:
data = data_json.get("data")
# 鑾峰彇璁㈠崟鐘舵��
- code = data["securityID"]
- accountID = data["accountID"]
- orderStatus = data["orderStatus"]
- orderRef = data["orderRef"]
- orderSysID = data["orderSysID"]
- insertTime = data.get("insertTime")
- acceptTime = data.get("acceptTime")
- insertDate = data.get("insertDate")
- direction = data.get("direction")
- limitPrice = data.get("limitPrice")
- volume = data.get("volume")
- is_shadow_order = False
- # 鑾峰彇娑ㄥ仠浠�
- limit_up_price = gpcode_manager.get_limit_up_price(code)
- if limit_up_price and volume == huaxin_client_constant.SHADOW_ORDER_VOLUME:
- if abs(float(limitPrice) - float(limit_up_price)) >= 0.01:
- is_shadow_order = True
-
- order = HuaxinOrderEntity(code, orderStatus, orderRef, accountID, orderSysID,
- insertTime=insertTime, acceptTime=acceptTime,
- insertDate=insertDate, direction=direction,
- is_shadow_order=is_shadow_order)
- try:
- if order.direction == str(huaxin_util.TORA_TSTP_D_Sell):
- # 鍒锋柊鎸佷粨鍒楄〃
- huaxin_trade_data_update.add_position_list()
- TradeResultProcessor.process_buy_order(order)
- TradeResultProcessor.process_sell_order(order)
- finally:
- try:
- # 鍔犲叆2娆★紝澧炲ぇ鍔犲叆鎴愬姛鐜�
- __save_data_queue.put_nowait(data)
- except Exception as e:
- hx_logger_trade_debug.exception(e)
-
- if not is_shadow_order:
- # 璁㈠崟鐩稿叧鍥炶皟
- # 閲嶆柊璇锋眰濮旀墭鍒楄〃涓庤祫閲�
- # huaxin_trade_data_update.add_delegate_list("鏉ヨ嚜浜ゆ槗绠￠亾")
- huaxin_trade_data_update.add_deal_list()
- huaxin_trade_data_update.add_money_list()
- # print("鍝嶅簲缁撴灉锛�", data_json['data'])
+ __process_order(data)
finally:
pass
except:
diff --git a/trade/huaxin/huaxin_trade_server.py b/trade/huaxin/huaxin_trade_server.py
index 38142b5..191102b 100644
--- a/trade/huaxin/huaxin_trade_server.py
+++ b/trade/huaxin/huaxin_trade_server.py
@@ -27,7 +27,7 @@
import inited_data
import outside_api_command_manager
from code_attribute import gpcode_manager, code_volumn_manager, global_data_loader
-from code_attribute.gpcode_manager import CodePrePriceManager
+from code_attribute.gpcode_manager import CodePrePriceManager, CodesNameManager
from db import mysql_data_delegate as mysql_data, redis_manager_delegate as redis_manager
from db.redis_manager_delegate import RedisUtils
from huaxin_client import l1_subscript_codes_manager, l2_data_transform_protocol
@@ -366,10 +366,17 @@
limit_up_price = gpcode_manager.get_limit_up_price(code)
if limit_up_price is not None:
+ average_rate = None
+ try:
+ average_price = data["totalValueTrade"] / data["totalVolumeTrade"]
+ pre_close_price = CodePrePriceManager.get_price_pre_cache(code)
+ average_rate = round((average_price - pre_close_price) / pre_close_price, 4)
+ except:
+ pass
# 澶勭悊涔�1,鍗�1淇℃伅
code_price_manager.Buy1PriceManager().process(code, buy_1_price, buy_1_volume, time_str,
limit_up_price,
- sell_1_price, sell_1_volume // 100)
+ sell_1_price, sell_1_volume // 100, average_rate)
latest_3m_buy1_money_list = code_price_manager.Buy1PriceManager().get_latest_3m_buy1_money_list(code)
# -----------------------------閲嶆柊璁＄畻L鎾ゅ悗---------------------------
# 濡傛灉鏃舵定鍋滅姸鎬�
@@ -403,7 +410,9 @@
volume_info = l2_data_manager_new.L2TradeDataProcessor.volume_rate_info.get(code)
if volume_info:
volume_rate = volume_info[0]
- need_cancel, msg = UCancelBigNumComputer().need_cancel(code, order_begin_pos, kpl_data_manager.KPLLimitUpDataRecordManager.get_current_reason_codes_dict(), volume_rate)
+ need_cancel, msg = UCancelBigNumComputer().need_cancel(code, order_begin_pos,
+ kpl_data_manager.KPLLimitUpDataRecordManager.get_current_reason_codes_dict(),
+ volume_rate)
if need_cancel:
l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code, msg)
except Exception as e:
@@ -569,15 +578,13 @@
raise Exception("娌℃湁鑾峰彇鍒癓1鐜颁环")
price = round(float(current_price) - 0.05, 2)
async_log_util.info(logger_trade, f"API鍗�: 鍗曚环-{price}")
- result = huaxin_trade_api.order(direction, code, volume, price, sinfo=sinfo,
+ order_ref = huaxin_util.create_order_ref()
+ result = huaxin_trade_api.order(direction, code, volume, price, sinfo=sinfo, order_ref=order_ref,
blocking=True, request_id=request_id)
- logger_debug.info(f"鍗栨帴鍙ｈ繑鍥炴暟鎹細{result}")
- order_ref = result.get("order_ref")
# 濡傛灉鏄湪姝ｅ父浜ゆ槗鏃堕棿鎻愪氦鐨�2s涔嬪唴杩樻湭鎴愪氦鐨勯渶瑕佹挙鍗�
if int("092958") <= int(tool.get_now_time_str().replace(":", "")) <= int("150000"):
self.__cancel_sell_thread_pool.submit(lambda: self.__cancel_sell_order(code, order_ref))
-
- self.send_response({"code": 0, "data": result}, client_id, request_id)
+ self.send_response(result, client_id, request_id)
else:
result = huaxin_trade_api.order(direction, code, volume, price, price_type=price_type, sinfo=sinfo,
blocking=True, request_id=request_id)
@@ -1011,6 +1018,12 @@
fdata = {"code": code, "total": 0, "available": 0, "sell_rules_count": sell_rules_count}
if positions:
for d in positions:
+ code_name = gpcode_manager.get_code_name(d["securityID"])
+ if not code_name:
+ # 鍒ゆ柇鏄惁鏈夊悕绉�
+ results = HistoryKDatasUtils.get_gp_codes_names([d["securityID"]])
+ threading.Thread(
+ target=CodesNameManager.add_first_code_name(d["securityID"], results[0])).start()
if d["prePosition"] <= 0:
continue
if d["securityID"] != code:
@@ -1020,6 +1033,8 @@
break
result = {"code": 0, "data": fdata}
self.send_response(result, client_id, request_id)
+
+
except Exception as e:
logging.exception(e)
self.send_response(json.dumps({"code": 1, "msg": f"鏁版嵁澶勭悊鍑洪敊锛歿e}"}), client_id, request_id)
@@ -1027,6 +1042,33 @@
def OnCommonRequest(self, client_id, request_id, data):
# 閫氱敤璇锋眰
ctype = data["ctype"]
+ try:
+ if ctype == "get_sell_result":
+ order_ref = data["order_ref"]
+ order_entity = huaxin_trade_order_processor.TradeResultProcessor.get_huaxin_order_by_order_ref(
+ order_ref)
+ if not order_entity:
+ self.send_response(json.dumps({"code": 1, "msg": f"娌℃湁鑾峰彇鍒拌鍗曠姸鎬�"}), client_id, request_id)
+ else:
+ code_name = gpcode_manager.get_code_name(order_entity.code)
+ result = {}
+ if huaxin_util.is_canceled(order_entity.orderStatus):
+ result = {"code": 0,
+ "data": {"orderStatus": order_entity.orderStatus, "code": order_entity.code,
+ "msg": f"銆恵order_entity.code}({code_name})銆戝凡鎾ゅ崟"}}
+ elif huaxin_util.is_deal(order_entity.orderStatus):
+ result = {"code": 0,
+ "data": {"orderStatus": order_entity.orderStatus, "code": order_entity.code,
+ "msg": f"銆恵order_entity.code}({code_name})銆戝凡缁忔垚浜�"}}
+ else:
+ result = {"code": 0,
+ "data": {"orderStatus": order_entity.orderStatus, "code": order_entity.code,
+ "msg": f"銆恵order_entity.code}({code_name})銆戝凡鎸傚崟"}}
+ self.send_response(result, client_id, request_id)
+ except Exception as e:
+ logging.exception(e)
+ self.send_response(json.dumps({"code": 1, "msg": f"鏁版嵁澶勭悊鍑洪敊锛歿e}"}), client_id, request_id)
+
# 鑾峰彇瀛愮被鍨�
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