From 59fba698b03a51a8da5b56a919ebbf94d4784f74 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 06 一月 2023 15:06:27 +0800
Subject: [PATCH] 买入策略修改
---
l2_code_operate.py | 6 +
l2_data_manager_new.py | 85 +++++++++++++++-------------
log.py | 43 +++++++------
trade_manager.py | 3
data_export_util.py | 12 ++--
l2_trade_test.py | 8 +-
server.py | 10 +++
7 files changed, 95 insertions(+), 72 deletions(-)
diff --git a/data_export_util.py b/data_export_util.py
index f5341ff..585c851 100644
--- a/data_export_util.py
+++ b/data_export_util.py
@@ -13,13 +13,13 @@
import l2_data_manager
-def export_l2_excel(code,date=None):
+def export_l2_excel(code, date=None):
# 鑾峰彇L2鐨勬暟鎹�
- local_today_datas=log.load_l2_from_log(date)
+ local_today_datas = log.load_l2_from_log(date)
datas = local_today_datas[code]
# 鑾峰彇L2澶勭悊浣嶇疆淇℃伅
- process_indexs = log.get_l2_process_position(code,date)
- trade_indexs = log.get_l2_trade_position(code,date)
+ process_indexs = log.get_l2_process_position(code, date)
+ trade_indexs = log.get_l2_trade_position(code, date)
export_l2_data(code, datas, process_indexs, trade_indexs)
@@ -193,6 +193,6 @@
if __name__ == "__main__":
- codes = ["000610"]
+ codes = ["002441"]
for code in codes:
- export_l2_excel(code,"2022-12-27")
+ export_l2_excel(code)
diff --git a/l2_code_operate.py b/l2_code_operate.py
index 60254ab..d278294 100644
--- a/l2_code_operate.py
+++ b/l2_code_operate.py
@@ -80,12 +80,16 @@
for item in codes_info:
gpcode_manager.set_listen_code_by_pos(client_id, item[0], item[1])
L2CodeOperate.set_operate_code_state(client_id, item[0], 1)
+ return True
+ else:
+ return False
except Exception as e:
logging.exception(e)
logger_code_operate.error("setGPCode鍑洪敊锛歿}", str(e))
finally:
gpcode_manager.rm_operates(codes)
+ return False
@classmethod
def run(cls):
@@ -301,7 +305,7 @@
# 鎵归噺璁剧疆浠ｇ爜
def betch_set_client_codes(client_id,codes_info):
# 鑾峰彇娑ㄥ箙鍓�16浣嶄唬鐮�
- L2CodeOperate.betchSetGPCode(client_id, codes_info)
+ return L2CodeOperate.betchSetGPCode(client_id, codes_info)
if __name__ == "__main__":
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index 5740086..acf94b3 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -464,12 +464,12 @@
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
- if buy_nums < sell1_volumn:
- return False, "绾拱閲�({})灏忎簬鍗�1閲弡} 鍗�1鏃堕棿锛歿}".format(buy_nums, sell1_volumn, sell1_time)
+ if buy_nums < sell1_volumn * 0.49:
+ return False, "绾拱閲�({})灏忎簬鍗�1閲忕殑49%{} 鍗�1鏃堕棿锛歿}".format(buy_nums, sell1_volumn, sell1_time)
except Exception as e:
logging.exception(e)
- # 閲忔瘮瓒呰繃1.1鐨勪笉鑳戒拱
+ # 閲忔瘮瓒呰繃1.3鐨勪笉鑳戒拱
volumn_rate = l2_trade_factor.L2TradeFactorUtil.get_volumn_rate_by_code(code)
if volumn_rate >= 1.3:
return False, "鏈�澶ч噺姣旇秴杩�1.3涓嶈兘涔�"
@@ -512,12 +512,12 @@
for key in codes_index:
if codes_index.get(key) == 0:
first_codes.append(key)
-
- for key in first_codes:
- state = trade_manager.get_trade_state(key)
- if state == trade_manager.TRADE_STATE_BUY_SUCCESS:
- # 鑰佸ぇ宸茬粡涔版垚鍔熶簡
- return False, "鑰佸ぇ{}宸茬粡涔版垚鍔燂紝鑰佷簩鏃犻渶璐拱".format(key)
+ # 鏆傛椂娉ㄩ噴鎺�
+ # for key in first_codes:
+ # state = trade_manager.get_trade_state(key)
+ # if state == trade_manager.TRADE_STATE_BUY_SUCCESS:
+ # # 鑰佸ぇ宸茬粡涔版垚鍔熶簡
+ # return False, "鑰佸ぇ{}宸茬粡涔版垚鍔燂紝鑰佷簩鏃犻渶璐拱".format(key)
#
# # 鏈�9鐐瑰崐娑ㄥ仠鐨勮�佸ぇ鎵嶈兘涔拌�佷簩锛屼笉鐒朵笉鑳戒拱
# # 鑾峰彇鑰佸ぇ鐨勬定鍋滄椂闂�
@@ -607,9 +607,14 @@
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
if buy_single_index is None:
+ place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
+ continue_count = 3
+ # 鍓�2娆＄殑淇″彿杩炵画绗旀暟涓�3锛屽悗闈负2
+ if place_order_count > 2:
+ continue_count = 2
# 鏈変拱鍏ヤ俊鍙�
has_single, _index = cls.__compute_order_begin_pos(code, max(
- compute_start_index - 2 if new_add else compute_start_index, 0), 3, compute_end_index)
+ compute_start_index - 2 if new_add else compute_start_index, 0), continue_count, compute_end_index)
buy_single_index = _index
if has_single:
num = 0
@@ -679,7 +684,7 @@
cls.debug(code, "鏁版嵁澶勭悊瀹屾瘯锛屼笅鍗�, 鏁版嵁鎴浘鏃堕棿-{}", capture_time)
# 鏁版嵁宸茬粡澶勭悊瀹屾瘯锛屽鏋滆繕娌℃挙鍗曞氨瀹為檯涓嬪崟
if need_cancel:
- if cls.cancel_buy(code, "鍒嗛挓绾уぇ鍗曟挙閿�"):
+ if cls.cancel_buy(code, "S绾уぇ鍗曟挙閿�"):
# 鎵ц鎾ゅ崟鎴愬姛
pass
else:
@@ -829,17 +834,13 @@
buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
- # 鍙互瑙﹀彂涔�
+ # 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
place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
- max_space_time = 2
- if place_order_count <= 0:
- max_space_time = 2
- elif place_order_count <= 1:
- max_space_time = 6 - 1
- else:
- max_space_time = 9 - 1
-
+ if place_order_count>3:
+ place_order_count = 3
+ # 闂撮殧鏈�澶ф椂闂翠緷娆′负锛�3,9,27,81
+ max_space_time = pow(3,place_order_count + 1) - 1
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
@@ -1572,7 +1573,7 @@
num += int(val["num"])
average_num = num // count
- average_num = round(5900/ gpcode_manager.get_limit_up_price(code))
+ average_num = round(5900 / gpcode_manager.get_limit_up_price(code))
average_up_count = 0
for i in range(start_index, end_index + 1):
data = total_data[i]
@@ -1590,6 +1591,7 @@
@classmethod
def need_cancel(cls, code, buy_single_index, buy_exec_index, start_index, end_index, need_cancel=True):
average_num, average_up_count, a_start_index, a_end_index = cls.__get_average_data(code)
+ L2TradeDataProcessor.cancel_debug(code,"s绾ф槸鍚﹂渶瑕佹挙鍗曪紝鏁版嵁鑼冨洿锛歿}-{} 骞冲潎澶у崟淇℃伅-({},{},{},{})",start_index,end_index,average_num, average_up_count, a_start_index, a_end_index)
if average_num is None:
return False, None
total_data = local_today_datas[code]
@@ -1626,16 +1628,16 @@
if need_cancel:
# 璁＄畻涔版挙澶у崟鏆傛瘮
cancel_datas = cls.__get_cancel_datas(code)
-
if cancel_datas is not None and len(cancel_datas) > 0:
+ L2TradeDataProcessor.cancel_debug(code, "s绾уぇ鍗� 鍙栨秷鏁伴噺:{}", len(cancel_datas))
cancel_rate_threshold = 0.49
place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
if place_order_count <= 1:
cancel_rate_threshold = 0.49
elif place_order_count <= 2:
- ancel_rate_threshold = 0.549
+ cancel_rate_threshold = 0.549
else:
- ancel_rate_threshold = 0.59
+ cancel_rate_threshold = 0.59
cancel_indexs = []
for index in cancel_datas:
cancel_indexs.append(int(index))
@@ -1703,15 +1705,19 @@
cls.place_order_success(code, buy_single_index, buy_exec_index)
# 鎵ц鏄惁闇�瑕佽绠梐verage
cls.compute_average_big_num(code, buy_single_index, buy_single_index, datas[3])
- for i in range(buy_single_index, datas[4]):
- cancel, cancel_data = cls.need_cancel(code, i, i)
+
+ cancel, cancel_data = cls.need_cancel(code, buy_single_index, buy_exec_index, buy_single_index, buy_exec_index,
+ False)
+
+ for i in range(buy_exec_index + 1, datas[4]):
+ cancel, cancel_data = cls.need_cancel(code, buy_single_index, buy_exec_index, i, i)
if cancel:
print("闇�瑕佹挙鍗�", cancel, cancel_data["index"])
break
@classmethod
def test(cls):
- cls.__test(("000716", 410, 420, 461, 536))
+ cls.__test(("000909", 607, 646, 646, 694))
# 浠ｇ爜 涔板叆淇″彿璧峰鐐� 涔板叆淇℃伅鎵ц浣嶇疆 璁＄畻鏈綅 鏈�杩滆绠椾綅缃�
# cls.__test(("002793", 292, 308, 314, 410))
@@ -1803,7 +1809,7 @@
num += int(val["num"])
average_num = num // count
- #average_num = 0
+ # average_num = 0
average_num = round(5900 / gpcode_manager.get_limit_up_price(code))
average_up_count = 0
for i in range(start_index, end_index + 1):
@@ -1860,12 +1866,12 @@
if cancel_datas is not None and len(cancel_datas) > 0:
cancel_rate_threshold = 0.49
place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
- if place_order_count <=1:
- cancel_rate_threshold=0.49
- elif place_order_count <=2:
- ancel_rate_threshold = 0.549
+ if place_order_count <= 1:
+ cancel_rate_threshold = 0.49
+ elif place_order_count <= 2:
+ cancel_rate_threshold = 0.549
else:
- ancel_rate_threshold = 0.59
+ cancel_rate_threshold = 0.59
cancel_indexs = []
for index in cancel_datas:
cancel_indexs.append(int(index))
@@ -2091,9 +2097,10 @@
# AverageBigNumComputer.test()
# LongAverageBigNumComputer.test()
# L2TradeDataProcessor.test()
- load_l2_data("600213")
-
- buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(local_today_datas["600213"][84],
- local_today_num_operate_map.get(
- "600213"))
- print(buy_index, buy_data)
+ SecondAverageBigNumComputer.test()
+ # load_l2_data("600213")
+ #
+ # buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(local_today_datas["600213"][84],
+ # local_today_num_operate_map.get(
+ # "600213"))
+ # print(buy_index, buy_data)
diff --git a/l2_trade_test.py b/l2_trade_test.py
index 99150f2..9df414e 100644
--- a/l2_trade_test.py
+++ b/l2_trade_test.py
@@ -38,9 +38,9 @@
redis_info.delete(k)
-#
+
# class VirtualTrade(unittest.TestCase):
-# code = "002419"
+# code = "002093"
# clear_trade_data(code)
# l2_data_manager.load_l2_data(code)
# total_datas = l2_data_manager.local_today_datas[code]
@@ -59,7 +59,7 @@
# if pos_list[-1][1] < total_datas[-1]["index"]:
# pos_list.append((pos_list[-1][1] + 1, total_datas[-1]["index"]))
# l2_data_manager_new.local_today_datas = {code: []}
-# l2_trade_factor.L2TradeFactorUtil.get_safe_buy_count = mock.Mock(return_value=30)
+# l2_trade_factor.L2TradeFactorUtil.get_safe_buy_count = mock.Mock(return_value=10)
# for indexs in pos_list:
# L2TradeDataProcessor.random_key[code] = mock.Mock(return_value=random.randint(0, 100000))
# # 璁剧疆灏佸崟棰濓紝鑾峰彇涔�1閲�
@@ -74,7 +74,7 @@
#
# print("----------------澶勭悊浣嶇疆", indexs)
# L2TradeDataProcessor.process_add_datas(code, total_datas[indexs[0]:indexs[1] + 1], 0, 0)
-
+#
# class TestTrade(unittest.TestCase):
# processor = L2TradeDataProcessor()
diff --git a/log.py b/log.py
index 1d4c035..6f18ccf 100644
--- a/log.py
+++ b/log.py
@@ -195,25 +195,28 @@
today_data = {}
if date is None:
date = datetime.datetime.now().strftime("%Y-%m-%d")
- with open("D:/logs/gp/l2/l2_data.{}.log".format(date), mode='r') as f:
- while True:
- data = f.readline()
- if not data:
- break
- index = data.find('save_l2_data:')
- index = data.find('-', index)
- data = data[index + 1:].strip()
- code = data[0:6]
- data = data[7:]
- dict_ = eval(data)
- if code not in today_data:
- today_data[code] = dict_
- else:
- today_data[code].extend(dict_)
- for key in today_data:
- news = sorted(today_data[key], key=lambda x: x["index"])
- today_data[key] = news
- print(key, len(today_data[key]) - 1, today_data[key][-1]["index"])
+ try:
+ with open("D:/logs/gp/l2/l2_data.{}.log".format(date), mode='r') as f:
+ while True:
+ data = f.readline()
+ if not data:
+ break
+ index = data.find('save_l2_data:')
+ index = data.find('-', index)
+ data = data[index + 1:].strip()
+ code = data[0:6]
+ data = data[7:]
+ dict_ = eval(data)
+ if code not in today_data:
+ today_data[code] = dict_
+ else:
+ today_data[code].extend(dict_)
+ for key in today_data:
+ news = sorted(today_data[key], key=lambda x: x["index"])
+ today_data[key] = news
+ print(key, len(today_data[key]) - 1, today_data[key][-1]["index"])
+ except:
+ pass
return today_data
@@ -287,7 +290,7 @@
if __name__ == '__main__':
# logger_l2_process_time.info("test123")
- codes = ["603255", "600853", "000620", "002044", "001256"]
+ codes = ["000909"]
for code in codes:
export_logs(code)
diff --git a/server.py b/server.py
index daa7031..0ce1175 100644
--- a/server.py
+++ b/server.py
@@ -375,7 +375,15 @@
if i >= len(codes):
break
codes_datas.append((i, codes[i]))
- l2_code_operate.betch_set_client_codes(client_id, codes_datas)
+ # 濡傛灉璁剧疆澶辫触闇�瑕侀噸璇�2娆�
+ for i in range(0, 3):
+ set_success = l2_code_operate.betch_set_client_codes(client_id, codes_datas)
+ if set_success:
+ break
+ else:
+ time.sleep(3)
+
+
else:
return_json = {"code": 0, "msg": "寮�鍚湪绾跨姸鎬�"}
return_str = json.dumps(return_json)
diff --git a/trade_manager.py b/trade_manager.py
index 1f054a6..cddd75f 100644
--- a/trade_manager.py
+++ b/trade_manager.py
@@ -47,6 +47,7 @@
# 璁剧疆浜ゆ槗鐘舵��
def set_trade_state(code, state):
+ logger_trade.info("set_trade_state {}-{}".format(code, state))
redis = __redis_manager.getRedis()
redis.setex("trade-state-{}".format(code), tool.get_expire(), state)
@@ -96,7 +97,7 @@
dict_[trade_num]["money"] = round(float(dict_[trade_num]["money"]) + float(data["money"]), 3)
for key in dict_:
- data= dict_[key]
+ data = dict_[key]
_time = data["time"]
# 杩囨护閿欒鏁版嵁
if _time == "00:00:00":
--
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