From 8218790ab15e752d982ee9c0df156ceea849c9a9 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 05 十二月 2022 22:02:47 +0800
Subject: [PATCH] 策略优化，增加买1价格的影响
---
l2_data_manager_new.py | 111 +++++++++++++++++++++++++++++++++++++++++++------------
1 files changed, 87 insertions(+), 24 deletions(-)
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index 52f1f4f..7a795bd 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -17,7 +17,9 @@
import redis_manager
import ths_industry_util
import tool
+import trade_data_manager
import trade_manager
+import trade_queue_manager
from l2_data_manager import L2DataException, TradePointManager, local_today_datas, L2DataUtil, load_l2_data, \
local_today_num_operate_map
from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process, logger_buy_1_volumn
@@ -151,6 +153,7 @@
random_key = {}
l2BigNumForMProcessor = L2BigNumForMProcessor()
__codeActualPriceProcessor = CodeActualPriceProcessor()
+ buy1PriceManager = trade_queue_manager.Buy1PriceManager()
@classmethod
def debug(cls, code, content, *args):
@@ -280,31 +283,70 @@
@classmethod
def __buy(cls, code, capture_timestamp, last_data, last_data_index):
can, reason = cls.__can_buy(code)
- # 涓嶈兘璐拱
- if not can:
- cls.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
- return
- else:
- cls.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
-
# 鍒犻櫎铏氭嫙涓嬪崟
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
- cls.debug(code, "寮�濮嬫墽琛屼拱鍏�")
- try:
- trade_manager.start_buy(code, capture_timestamp, last_data,
- last_data_index)
- l2_data_manager.TradePointManager.delete_buy_cancel_point(code)
- cls.debug(code, "鎵ц涔板叆鎴愬姛")
- except Exception as e:
- cls.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
- pass
- finally:
- cls.debug(code, "m鍊煎奖鍝嶅洜瀛愶細{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
+
+ if not can:
+ cls.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
+ if not reason.startswith("涔�1浠蜂笉涓烘定鍋滀环"):
+ # 涓柇涔板叆
+ trade_manager.break_buy(code, reason)
+ return
+ else:
+ cls.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
+ try:
+ cls.debug(code, "寮�濮嬫墽琛屼拱鍏�")
+ trade_manager.start_buy(code, capture_timestamp, last_data,
+ last_data_index)
+ l2_data_manager.TradePointManager.delete_buy_cancel_point(code)
+ cls.debug(code, "鎵ц涔板叆鎴愬姛")
+ except Exception as e:
+ cls.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
+ pass
+ finally:
+ cls.debug(code, "m鍊煎奖鍝嶅洜瀛愶細{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
+
+ # 鏄惁鍙互鍙栨秷
+ @classmethod
+ def __can_cancel(cls, code):
+ # 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()
+ if int(now_time_str.replace(":", "")) >= 140000:
+ 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 = limit_up_time_manager.sort_code_by_limit_time(codes)
+ if codes_index is not None and codes_index.get(code) is not None:
+ # 鍚屼竴鏉垮潡涓�佷簩鍚庨潰鐨勪笉鑳戒拱
+ if codes_index.get(code) == 0:
+ return False, "14:00鍚庤�佸ぇ涓嶈兘鎾ゅ崟"
+ elif codes_index.get(code) == 1:
+ # 鍒ゆ柇鑰佸ぇ鏄惁閮芥槸09锛�30锛�00娑ㄥ仠鐨�
+ # 鍚�1鏉垮潡鑰佸ぇ鏄�09:30:00娑ㄥ仠锛岃�佷簩14锛�00鐮稿紑鐨勪笉鎾�
+ first_count = 0
+ for key in codes_index:
+ if codes_index[key] == 0:
+ first_count += 1
+ if limit_up_time_manager.get_limit_up_time(key) == "09:30:00":
+ first_count -= 1
+ if first_count == 0:
+ return False, "14:00鍚庤�佸ぇ閮藉紑鐩樻定鍋滐紝鑰佷簩涓嶈兘鎾ゅ崟"
+
+ return True, ""
# 鏄惁鍙互涔�
@classmethod
def __can_buy(cls, code):
+ # 涔�1浠锋牸蹇呴』涓烘定鍋滀环鎵嶈兘涔�
+ # buy1_price = cls.buy1PriceManager.get_price(code)
+ # if buy1_price is None:
+ # return False, "涔�1浠峰皻鏈幏鍙栧埌"
+ # limit_up_price = gpcode_manager.get_limit_up_price(code)
+ # if limit_up_price is None:
+ # return False, "灏氭湭鑾峰彇鍒版定鍋滀环"
+ # if abs(float(buy1_price) - float(limit_up_price)) >= 0.01:
+ # return False, "涔�1浠蜂笉涓烘定鍋滀环锛屼拱1浠�-{} 娑ㄥ仠浠�-{}".format(buy1_price, limit_up_price)
# 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)
@@ -389,6 +431,12 @@
@classmethod
def cancel_buy(cls, code, msg=None):
+ can_cancel, reason = cls.__can_cancel(code)
+ if not can_cancel:
+ # 涓嶈兘鍙栨秷
+ cls.cancel_debug(code, "鎾ゅ崟涓柇锛屽師鍥狅細{}", reason)
+ return
+
l2_data_manager.L2ContinueLimitUpCountManager.del_data(code)
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
@@ -580,7 +628,8 @@
count = threshold_count - sub_threshold_count
if count < 3:
count = 3
- return count
+ return round(count*buy1_factor)
+
_start_time = t.time()
total_datas = local_today_datas[code]
# 璁＄畻浠庝拱鍏ヤ俊鍙峰紑濮嬪埌璁＄畻寮�濮嬩綅缃殑澶у崟鏁伴噺
@@ -591,10 +640,22 @@
buy_nums = origin_num
buy_count = origin_count
limit_up_price = gpcode_manager.get_limit_up_price(code)
+ buy1_price = cls.buy1PriceManager.get_price(code)
if limit_up_price is None:
raise Exception("娑ㄥ仠浠锋棤娉曡幏鍙�")
# 鐩爣鎵嬫暟
threshold_num = threshold_money / (limit_up_price * 100)
+
+ buy1_factor = 1
+ # 鑾峰彇涔�1鏄惁涓烘定鍋滀环
+ if buy1_price is None:
+ buy1_factor = 1.3
+ elif limit_up_price is None:
+ buy1_factor = 1.3
+ elif abs(float(buy1_price) - float(limit_up_price)) >= 0.01:
+ print("涔�1浠蜂笉涓烘定鍋滀环锛屼拱1浠�-{} 娑ㄥ仠浠�-{}".format(buy1_price, limit_up_price))
+ buy1_factor = 1.3
+
# 鐩爣璁㈠崟鏁伴噺
threshold_count = l2_trade_factor.L2TradeFactorUtil.get_safe_buy_count(code)
@@ -616,14 +677,15 @@
return None, buy_nums, buy_count, ii
# 娑ㄥ仠涔�
if L2DataUtil.is_limit_up_price_buy(_val):
- if cls.__is_big_money(limit_up_price,_val):
+ if cls.__is_big_money(limit_up_price, _val):
sub_threshold_count += int(total_datas[i]["re"])
# 娑ㄥ仠涔�
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
buy_count += int(total_datas[i]["re"])
if buy_nums >= threshold_num and buy_count >= get_threshold_count():
- logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 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}", code, i, buy_nums,
- threshold_num, buy_count, get_threshold_count(),sub_threshold_count)
+ logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 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}", code, i,
+ buy_nums,
+ threshold_num, buy_count, get_threshold_count(), sub_threshold_count)
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
if cls.__is_big_money(limit_up_price, _val):
sub_threshold_count -= int(total_datas[i]["re"])
@@ -655,9 +717,10 @@
if buy_nums >= threshold_num and buy_count >= get_threshold_count():
return i, buy_nums, buy_count, None
- cls.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}", compute_start_index,
+ cls.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}",
+ compute_start_index,
buy_nums,
- threshold_num, buy_count, get_threshold_count(),sub_threshold_count)
+ threshold_num, buy_count, get_threshold_count(), sub_threshold_count)
return None, buy_nums, buy_count, None
--
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