From 68464c679ae5e1ae35e7e67e3b339ba0f939cbd3 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期三, 15 三月 2023 14:46:03 +0800
Subject: [PATCH] 选股宝板块优化
---
l2/l2_data_manager_new.py | 235 +++++++++++++---------------------------------------------
1 files changed, 52 insertions(+), 183 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 7ef1e69..85157d3 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -175,7 +175,7 @@
# 鍔犺浇鍘嗗彶鏁版嵁,杩斿洖鏁版嵁鏄惁姝ｅ父
is_normal = l2.l2_data_util.load_l2_data(code)
if not is_normal:
- print("鍘嗗彶鏁版嵁寮傚父:",code)
+ 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)
# 绾犳鏁版嵁
@@ -224,6 +224,8 @@
"l2鏁版嵁棰勫鐞嗘椂闂�")
if len(add_datas) > 0:
+ # 鏄惁涓洪鏉夸唬鐮�
+ is_first_code = gpcode_manager.FirstCodeManager.is_in_first_record(code)
latest_time = add_datas[len(add_datas) - 1]["val"]["time"]
# 鏃堕棿宸笉鑳藉お澶ф墠鑳藉鐞�
if l2.l2_data_util.L2DataUtil.is_same_time(now_time_str,
@@ -235,10 +237,10 @@
end_index = len(total_datas) - 1
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
# 宸叉寕鍗�
- cls.__process_order(code, start_index, end_index, capture_timestamp)
+ cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)
else:
# 鏈寕鍗�
- cls.__process_not_order(code, start_index, end_index, capture_timestamp)
+ cls.__process_not_order(code, start_index, end_index, capture_timestamp, is_first_code)
logger_l2_process.info("code:{} 澶勭悊鏁版嵁鑼冨洿: {}-{} 澶勭悊鏃堕棿:{} 鎴浘鏃堕棿鎴筹細{}", code, add_datas[0]["index"],
add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
@@ -248,7 +250,7 @@
# 澶勭悊鏈寕鍗�
@classmethod
- def __process_not_order(cls, code, start_index, end_index, capture_time):
+ def __process_not_order(cls, code, start_index, end_index, capture_time, is_first_code):
__start_time = round(t.time() * 1000)
# 鑾峰彇闃堝��
threshold_money, msg = cls.__get_threshmoney(code)
@@ -256,16 +258,16 @@
__start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
"鑾峰彇m鍊兼暟鎹�楁椂")
- cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time)
+ cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code)
# 娴嬭瘯涓撶敤
@classmethod
- def process_order(cls, code, start_index, end_index, capture_time, new_add=True):
- cls.__process_order(code, start_index, end_index, capture_time, new_add)
+ def process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True):
+ cls.__process_order(code, start_index, end_index, capture_time, is_first_code, new_add)
# 澶勭悊宸叉寕鍗�
@classmethod
- def __process_order(cls, code, start_index, end_index, capture_time, new_add=True):
+ def __process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True):
# 璁＄畻瀹夊叏绗旀暟
@dask.delayed
def compute_safe_count():
@@ -312,7 +314,8 @@
try:
b_need_cancel, b_cancel_data = SecondCancelBigNumComputer.need_cancel(code, buy_single_index,
buy_exec_index, start_index,
- end_index, total_data)
+ end_index, total_data,
+ is_first_code)
if b_need_cancel:
return b_cancel_data, "S澶у崟鎾ら攢姣斾緥瑙﹀彂闃堝��"
except Exception as e:
@@ -330,7 +333,7 @@
b_need_cancel, b_cancel_data = HourCancelBigNumComputer.need_cancel(code, buy_exec_index, start_index,
end_index, total_data,
local_today_num_operate_map.get(
- code))
+ code), is_first_code)
if b_need_cancel and b_cancel_data:
return b_cancel_data, "H鎾ら攢姣斾緥瑙﹀彂闃堝��"
except Exception as e:
@@ -398,7 +401,7 @@
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
"宸蹭笅鍗�-鎾ゅ崟 鑰楁椂")
# 鎾ゅ崟鎴愬姛锛岀户缁绠椾笅鍗�
- cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time)
+ cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
"澶勭悊鍓╀綑鏁版嵁 鑰楁椂")
else:
@@ -412,14 +415,14 @@
# unreal_buy_info 鐨勫唴瀹规牸寮忎负锛�(瑙︽硶涔版搷浣滀笅鏍�,鎴浘鏃堕棿)
# 鐪熷疄涓嬪崟
cls.__buy(code, unreal_buy_info[1], local_today_datas[code][unreal_buy_info[0]],
- unreal_buy_info[0])
+ unreal_buy_info[0], is_first_code)
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
"宸茶櫄鎷熶笅鍗�-鎵ц鐪熷疄涓嬪崟 澶栭儴鑰楁椂")
@classmethod
- def __buy(cls, code, capture_timestamp, last_data, last_data_index):
+ def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code):
__start_time = tool.get_now_timestamp()
- can, need_clear_data, reason = cls.__can_buy(code)
+ can, need_clear_data, reason = cls.__can_buy(code, is_first_code)
__start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "鏈�鍚庡垽鏂槸鍚﹁兘涓嬪崟", force=True)
# 鍒犻櫎铏氭嫙涓嬪崟
if code in cls.unreal_buy_dict:
@@ -428,8 +431,10 @@
if not can:
l2_log.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
if need_clear_data:
- # 涓柇涔板叆
- trade_manager.break_buy(code, reason)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set = cls.__get_order_begin_pos(
+ code)
+ trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index,
+ local_today_datas.get(code))
return
else:
l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
@@ -451,6 +456,9 @@
def __can_cancel(cls, code):
if constant.TEST:
return True, ""
+ if l2_trade_util.WhiteListCodeManager.is_in(code):
+ return False, "浠ｇ爜鍦ㄧ櫧鍚嶅崟涓�"
+
# 鏆傛椂娉ㄩ噴鎺�
# 14鐐瑰悗濡傛灉鏄澘鍧楄�佸ぇ灏变笉闇�瑕佸彇娑堜簡
# now_time_str = tool.get_now_time_str()
@@ -480,14 +488,18 @@
# 鏄惁鍙互涔�
# 杩斿洖鏄惁鍙互涔�,鏄惁闇�瑕佹竻闄や箣鍓嶇殑涔板叆淇℃伅锛屽師鍥�
@classmethod
- def __can_buy(cls, code):
+ def __can_buy(cls, code, is_first_code):
__start_time = t.time()
# 鍒ゆ柇鏄惁涓洪鏉夸唬鐮�
- is_first = gpcode_manager.FirstCodeManager.is_in_first_record(code)
- if is_first:
+ if is_first_code:
# 棣栨澘浠ｇ爜涓斿皻鏈定鍋滆繃鐨勪笉鑳戒笅鍗�
is_limited_up = gpcode_manager.FirstCodeManager.is_limited_up(code)
if not is_limited_up:
+ gpcode_manager.FirstCodeManager.add_limited_up_record([code])
+ place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(
+ code)
+ if place_order_count == 0:
+ trade_data_manager.placeordercountmanager.place_order(code)
return False, True, "棣栨澘浠ｇ爜锛屼笖灏氭湭娑ㄥ仠杩�"
try:
@@ -504,7 +516,6 @@
total_datas = local_today_datas[code]
if total_datas[-1]["index"] + 1 > len(total_datas):
return False, True, "L2鏁版嵁閿欒"
-
try:
sell1_time, sell1_price, sell1_volumn = cls.__ths_l2_trade_queue_manager.get_sell1_info(code)
@@ -524,30 +535,34 @@
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
buy_nums -= _val["num"] * total_datas[i]["re"]
if buy_nums < sell1_volumn * 0.49:
- return False, True, "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)
+ return False, 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1.3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, True, "鏈�澶ч噺姣旇秴杩�1.3涓嶈兘涔�"
+ return False, False, "鏈�澶ч噺姣旇秴杩�1.3涓嶈兘涔�"
limit_up_time = limit_up_time_manager.get_limit_up_time(code)
- if limit_up_time is not None and l2.l2_data_util.L2DataUtil.get_time_as_second(
- limit_up_time) >= l2.l2_data_util.L2DataUtil.get_time_as_second(
- "14:30:00"):
- return False, True, "14:55鍚庢定鍋滅殑涓嶈兘涔帮紝娑ㄥ仠鏃堕棿涓簕}".format(limit_up_time)
+ if limit_up_time is not None:
+ limit_up_time_seconds = l2.l2_data_util.L2DataUtil.get_time_as_second(
+ limit_up_time)
+ if not is_first_code and limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second(
+ "13:00:00"):
+ return False, False, "浜屾澘涓嬪崍娑ㄥ仠鐨勪笉鑳戒拱锛屾定鍋滄椂闂翠负{}".format(limit_up_time)
+ if limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second("14:55:00"):
+ return False, False, "14:55鍚庢定鍋滅殑涓嶈兘涔帮紝娑ㄥ仠鏃堕棿涓簕}".format(limit_up_time)
# 鍚屼竴鏉垮潡涓�佷簩鍚庨潰鐨勪笉鑳戒拱
industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
if industry is None:
- return True, True, "娌℃湁鑾峰彇鍒拌涓�"
+ return True, False, "娌℃湁鑾峰彇鍒拌涓�"
codes_index = industry_codes_sort.sort_codes(codes, code)
if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1:
# 褰撹�佸ぇ鑰佷簩褰撳墠娌℃定鍋�
- return False, True, "鍚屼竴鏉垮潡涓�佷笁,鑰佸洓,...涓嶈兘涔�"
+ return False, False, "鍚屼竴鏉垮潡涓�佷笁,鑰佸洓,...涓嶈兘涔�"
if cls.__codeActualPriceProcessor.is_under_water(code, total_datas[-1]["val"]["time"]):
# 姘翠笅鎹炰笖鏉垮潡涓殑绁ㄥ皬浜�16涓嶈兘涔�
@@ -559,7 +574,7 @@
# 鑾峰彇鑰佸ぇ鐨勫競鍊�
for c in codes_index:
if codes_index.get(c) == 0 and global_util.zyltgb_map.get(code) > global_util.zyltgb_map.get(c):
- return False, True, "姘翠笅鎹烇紝涓嶆槸鑰佸ぇ锛屼笖鑷敱娴侀�氬競鍊煎ぇ浜庤�佸ぇ"
+ return False, False, "姘翠笅鎹烇紝涓嶆槸鑰佸ぇ锛屼笖鑷敱娴侀�氬競鍊煎ぇ浜庤�佸ぇ"
# 13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
# if limit_up_time is not None:
@@ -649,6 +664,7 @@
@classmethod
def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time,
+ is_first_code,
new_add=True):
if compute_end_index < compute_start_index:
return
@@ -721,7 +737,8 @@
# 涔板叆淇″彿浣嶄笌璁＄畻浣嶇疆闂撮殧2s鍙婁互涓婁簡
if rebegin_buy_pos is not None:
# 闇�瑕侀噸鏂拌绠楃函涔伴
- cls.__start_compute_buy(code, rebegin_buy_pos, compute_end_index, threshold_money, capture_time, False)
+ cls.__start_compute_buy(code, rebegin_buy_pos, compute_end_index, threshold_money, capture_time,
+ is_first_code, False)
return
if compute_index is not None:
@@ -763,7 +780,7 @@
need_cancel, cancel_data = SecondCancelBigNumComputer.need_cancel(code, buy_single_index,
compute_index,
buy_single_index, compute_index,
- total_datas,
+ total_datas, is_first_code,
True)
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
"S绾уぇ鍗曞鐞嗚�楁椂", force=True)
@@ -774,17 +791,17 @@
# 鎵ц鎾ゅ崟鎴愬姛
pass
else:
- cls.__buy(code, capture_time, total_datas[compute_index], compute_index)
+ cls.__buy(code, capture_time, total_datas[compute_index], compute_index, is_first_code)
else:
SecondCancelBigNumComputer.need_cancel(code, buy_single_index, compute_index, buy_single_index,
- compute_index, total_datas, False)
+ compute_index, total_datas, is_first_code, False)
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
"S绾уぇ鍗曞鐞嗚�楁椂", force=True)
# 鏁版嵁灏氭湭澶勭悊瀹屾瘯锛岃繘琛屼笅涓�姝ュ鐞�
l2_log.debug(code, "鏁版嵁灏氭湭澶勭悊瀹屾瘯锛岃繘琛屼笅涓�姝ュ鐞嗭紝澶勭悊杩涘害锛歿}", compute_index)
# 澶勭悊鎾ゅ崟姝ラ
- cls.__process_order(code, compute_index + 1, compute_end_index, capture_time, False)
+ cls.__process_order(code, compute_index + 1, compute_end_index, capture_time, is_first_code, False)
_start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
f"澶勭悊鎾ゅ崟姝ラ鑰楁椂锛岃寖鍥达細{compute_index + 1}-{compute_end_index}", force=True)
@@ -892,7 +909,7 @@
place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
# 鐩爣璁㈠崟鏁伴噺
- threshold_count = cls.__buyL2SafeCountManager.get_safe_count(code,is_first_code, place_order_count)
+ threshold_count = cls.__buyL2SafeCountManager.get_safe_count(code, is_first_code, place_order_count)
buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
@@ -988,154 +1005,6 @@
threshold_num, buy_count, get_threshold_count(), len(max_buy_num_set), big_num_count)
return None, buy_nums, buy_count, None, max_buy_num_set
-
- @classmethod
- def test(cls):
- code = "002556"
- l2_trade_test.clear_trade_data(code)
- load_l2_data(code, True)
-
- _start = t.time()
- if True:
- state = trade_manager.get_trade_state(code)
- cls.random_key[code] = random.randint(0, 100000)
- capture_timestamp = 1999988888
- try:
- if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER:
- # 宸叉寕鍗�
- cls.__process_order(code, 1552, 1641, capture_timestamp)
- else:
- # 鏈寕鍗�
- cls.__process_not_order(code, 1552, 1641, capture_timestamp)
- except Exception as e:
- logging.exception(e)
- print("澶勭悊鏃堕棿", round((t.time() - _start) * 1000))
- return
-
- # 鎸塻鎵归噺鍖栨暟鎹�
- total_datas = local_today_datas.get(code)
- start_time = total_datas[0]["val"]["time"]
- start_index = 0
- for i in range(0, len(total_datas)):
- if total_datas[i]["val"]["time"] != start_time:
- cls.random_key[code] = random.randint(0, 100000)
- # 澶勭悊鏁版嵁
- start = start_index
- # if start != 201:
- # continue
- end = i - 1
- print("澶勭悊杩涘害锛歿},{}".format(start, end))
- capture_timestamp = 1999999999
- state = trade_manager.get_trade_state(code)
- try:
- if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER:
- # 宸叉寕鍗�
- cls.__process_order(code, start, end, capture_timestamp)
- else:
- # 鏈寕鍗�
- cls.__process_not_order(code, start, end, capture_timestamp)
- except Exception as e:
- logging.exception(e)
- # t.sleep(1)
- start_index = i
- start_time = total_datas[i]["val"]["time"]
-
- print("鏃堕棿鑺辫垂:", round((t.time() - _start) * 1000))
-
- @classmethod
- def test1(cls):
- code = "002556"
- l2_trade_test.clear_trade_data(code)
- local_latest_datas[code] = []
- load_l2_data(code, True)
- _start = t.time()
- capture_timestamp = 1999999999
- cls.process(code, local_today_datas[code][1552:1641], capture_timestamp)
- print("鏃堕棿鑺辫垂:", round((t.time() - _start) * 1000))
- pass
-
- @classmethod
- def test2(cls):
- code = "002864"
- load_l2_data(code)
- limit_up_time_manager.load_limit_up_time()
- limit_up_time = limit_up_time_manager.get_limit_up_time(code)
- if limit_up_time is not None and l2.l2_data_util.L2DataUtil.get_time_as_second(
- limit_up_time) >= l2.l2_data_util.L2DataUtil.get_time_as_second(
- "14:55:00"):
- return False, "14:55鍚庢定鍋滅殑涓嶈兘涔帮紝娑ㄥ仠鏃堕棿涓簕}".format(limit_up_time)
-
- # 鍚屼竴鏉垮潡涓�佷簩鍚庨潰鐨勪笉鑳戒拱
- industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
- if industry is None:
- return True, "娌℃湁鑾峰彇鍒拌涓�"
- codes_index = industry_codes_sort.sort_codes(codes, code)
- if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1:
- return False, "鍚屼竴鏉垮潡涓�佷笁,鑰佸洓,...涓嶈兘涔�"
-
- if cls.__codeActualPriceProcessor.is_under_water(code):
- # 姘翠笅鎹炰笖鏉垮潡涓殑绁ㄥ皬浜�21涓嶈兘涔�
- if global_util.industry_hot_num.get(industry) is not None and global_util.industry_hot_num.get(
- industry) <= 16:
- return False, "姘翠笅鎹�,鏉垮潡涓殑绁ㄥ皬浜�2鍙�,涓簕}".format(global_util.industry_hot_num.get(industry))
-
- if codes_index.get(code) != 0:
- return False, "姘翠笅鎹�,涓嶆槸鑰佸ぇ锛屾槸鑰亄}".format(codes_index.get(code))
-
- # 13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
- limit_up_time = limit_up_time_manager.get_limit_up_time(code)
- if limit_up_time is not None:
- if int(limit_up_time.replace(":", "")) >= 133000 and global_util.industry_hot_num.get(industry) is not None:
- if global_util.industry_hot_num.get(industry) < 16:
- return False, "13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<16涓嶈兘涔�"
-
- if codes_index.get(code) is not None and codes_index.get(code) == 1:
- # ----姝ゆ潯娉ㄩ噴-----
- # 濡傛灉鑰佸ぇ宸茬粡涔版垚鍔熶簡锛岃�佷簩灏变笉闇�瑕佷拱浜�
- # first_codes = []
- # 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)
- # ----姝ゆ潯娉ㄩ噴-----
-
- # ----姝ゆ潯娉ㄩ噴-----
- # 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�
- # for key in first_codes:
- # # 鎵惧埌浜嗚�佸ぇ
- # time_ = limit_up_time_manager.get_limit_up_time(key)
- # if time_ == "09:30:00":
- # return True, "9:30娑ㄥ仠鐨勮�佸ぇ锛岃�佷簩鍙互涓嬪崟"
- # return False, "鑰佸ぇ闈�9:30娑ㄥ仠锛岃�佷簩涓嶈兘涓嬪崟"
- # ----姝ゆ潯娉ㄩ噴-----
-
- return True, "鑰佷簩鍙互涓嬪崟"
-
- @classmethod
- def test3(cls):
- code = "002094"
- load_l2_data(code, True)
- cls.random_key[code] = random.randint(0, 100000)
- buy_single_begin_index, buy_exec_index = 426, 479
-
- L2LimitUpMoneyStatisticUtil.process_data(code, 480, 519,
- buy_single_begin_index, buy_exec_index, False)
- L2LimitUpMoneyStatisticUtil.process_data(code, 480, 519,
- buy_single_begin_index, buy_exec_index, False)
-
- @classmethod
- def test_can_buy(cls):
- code = "002923"
- load_l2_data(code, True)
- limit_up_time_manager.load_limit_up_time()
- can, msg = cls.__can_buy(code)
- print(can, msg)
if __name__ == "__main__":
--
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