From 892b50e242e3c59a738b92dfdfee1bf1ff8932f2 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 21 十月 2022 16:59:58 +0800
Subject: [PATCH] 新策略修改
---
l2_data_manager.py | 395 ++++++++++++++++++++++++++++++++++++++++++++++++++++----
1 files changed, 366 insertions(+), 29 deletions(-)
diff --git a/l2_data_manager.py b/l2_data_manager.py
index c19499f..a5eca4d 100644
--- a/l2_data_manager.py
+++ b/l2_data_manager.py
@@ -73,9 +73,9 @@
_key = "buy_compute_index_info-{}".format(code)
_data_json = redis.get(_key)
if _data_json is None:
- return None, None, None, 0
+ return None, None, None, 0, 0
_data = json.loads(_data_json)
- return _data[0], _data[1], _data[2], _data[3]
+ return _data[0], _data[1], _data[2], _data[3], _data[4]
# 璁剧疆涔板叆鐐圭殑鍊�
# buy_single_index 涔板叆淇″彿浣�
@@ -83,16 +83,16 @@
# compute_index 璁＄畻浣嶇疆
# nums 绱绾拱棰�
@staticmethod
- def set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, nums):
+ def set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, nums, count):
redis = TradePointManager.__get_redis()
expire = tool.get_expire()
_key = "buy_compute_index_info-{}".format(code)
if buy_single_index is not None:
- redis.setex(_key, expire, json.dumps((buy_single_index, buy_exec_index, compute_index, nums)))
+ redis.setex(_key, expire, json.dumps((buy_single_index, buy_exec_index, compute_index, nums, count)))
else:
- _buy_single_index, _buy_exec_index, _compute_index, _nums = TradePointManager.get_buy_compute_start_data(
+ _buy_single_index, _buy_exec_index, _compute_index, _nums, _count = TradePointManager.get_buy_compute_start_data(
code)
- redis.setex(_key, expire, json.dumps((_buy_single_index, buy_exec_index, compute_index, nums)))
+ redis.setex(_key, expire, json.dumps((_buy_single_index, buy_exec_index, compute_index, nums, count)))
# 鑾峰彇鎾や拱鍏ュ紑濮嬭绠楃殑淇℃伅
# 杩斿洖鏁版嵁鐨勫唴瀹逛负锛氭挙閿�鐐圭储寮� 鎾や拱绾拱棰� 璁＄畻鐨勬暟鎹储寮�
@@ -265,6 +265,16 @@
saveL2Data(code, add_datas)
+# 娓呴櫎l2鏁版嵁
+def clear_l2_data(code):
+ redis_l2 = redis_manager.RedisManager(1).getRedis()
+ keys = redis_l2.keys("l2-{}-*".format(code))
+ for k in keys:
+ redis_l2.delete(k)
+
+ redis_l2.delete("l2-data-latest-{}".format(code))
+
+
class L2DataUtil:
@classmethod
def is_same_time(cls, time1, time2):
@@ -363,10 +373,11 @@
else:
limitPrice = 0
item["limitPrice"] = "{}".format(limitPrice)
- # 涓嶉渶瑕侀潪娑ㄥ仠鏁版嵁/闈炶穼鍋滄暟鎹�
- if int(item["limitPrice"]) == 0:
- continue
operateType = item["operateType"]
+ # 涓嶉渶瑕侀潪娑ㄥ仠涔颁笌涔版挙
+ if int(item["limitPrice"]) != 1 and (int(operateType) == 0 or int(operateType) == 1):
+ continue
+
cancelTime = item["cancelTime"]
cancelTimeUnit = item["cancelTimeUnit"]
key = "{}-{}-{}-{}-{}-{}-{}-{}".format(code, operateType, time, num, price, limitPrice, cancelTime,
@@ -380,6 +391,8 @@
dataIndexs.setdefault(key, len(datas) - 1)
l2_data_util.save_big_data(code, same_time_num, data)
return datas
+
+
@classmethod
def get_time_as_second(cls, time_str):
@@ -406,6 +419,20 @@
return False
return True
+ @classmethod
+ def is_limit_up_price_sell(cls, val):
+ if int(val["limitPrice"]) != 1:
+ return False
+
+ if int(val["operateType"]) != 2:
+ return False
+
+ price = float(val["price"])
+ num = int(val["num"])
+ if price * num * 100 < 50 * 10000:
+ return False
+ return True
+
# 鏄惁娑ㄥ仠涔版挙
@classmethod
def is_limit_up_price_buy_cancel(cls, val):
@@ -420,6 +447,20 @@
if price * num * 100 < 50 * 10000:
return False
return True
+
+ # 鏄惁鍗栨挙
+ @classmethod
+ def is_sell_cancel(cls, val):
+ if int(val["operateType"]) == 3:
+ return True
+ return False
+
+ # 鏄惁涓哄崠
+ @classmethod
+ def is_sell(cls, val):
+ if int(val["operateType"]) == 2:
+ return True
+ return False
# L2浜ゆ槗鏁版嵁澶勭悊鍣�
@@ -484,17 +525,17 @@
latest_time = add_datas[len(add_datas) - 1]["val"]["time"]
# 鏃堕棿宸笉鑳藉お澶ф墠鑳藉鐞�
# TODO 鏆傛椂鍏抽棴澶勭悊
- if L2DataUtil.is_same_time(now_time_str, latest_time):
- # 鍒ゆ柇鏄惁宸茬粡鎸傚崟
- state = trade_manager.get_trade_state(code)
- start_index = len(total_datas) - len(add_datas)
- end_index = len(total_datas) - 1
- 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_index, end_index, capture_timestamp)
- else:
- # 鏈寕鍗�
- cls.__process_not_order(code, start_index, end_index, capture_timestamp)
+ # if L2DataUtil.is_same_time(now_time_str, latest_time):
+ # # 鍒ゆ柇鏄惁宸茬粡鎸傚崟
+ # state = trade_manager.get_trade_state(code)
+ # start_index = len(total_datas) - len(add_datas)
+ # end_index = len(total_datas) - 1
+ # 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_index, end_index, capture_timestamp)
+ # else:
+ # # 鏈寕鍗�
+ # cls.__process_not_order(code, start_index, end_index, capture_timestamp)
logger_l2_process.info("code:{} 澶勭悊鏁版嵁鑼冨洿: {}-{} 澶勭悊鏃堕棿:{}", code, add_datas[0]["index"],
add_datas[-1]["index"], round(t.time() * 1000) - __start_time)
# 淇濆瓨鏁版嵁
@@ -722,6 +763,8 @@
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))
# 鏄惁鍙互涔�
@classmethod
@@ -774,10 +817,19 @@
# 鍒犻櫎澶х兢鎾や簨浠剁殑澶у崟
L2BetchCancelBigNumProcessor.del_recod(code)
L2ContinueLimitUpCountManager.del_data(code)
+
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
+ # 鍙栨秷涔板叆鏍囪瘑
+ TradePointManager.delete_buy_point(code)
+ TradePointManager.delete_buy_cancel_point(code)
+ TradePointManager.delete_compute_info_for_cancel_buy(code)
+ TradePointManager.delete_count_info_for_cancel_buy(code)
+ # 鍒犻櫎澶х兢鎾や簨浠剁殑澶у崟
+ L2BetchCancelBigNumProcessor.del_recod(code)
else:
cls.__cancel_buy(code)
+
L2BigNumProcessor.del_big_num_pos(code)
@classmethod
@@ -905,7 +957,7 @@
count += datas[i]["re"]
if count >= continue_count:
return True, start
- else:
+ elif not L2DataUtil.is_limit_up_price_sell(_val):
last_index = None
count = 0
start = None
@@ -931,7 +983,7 @@
start = i
start_time = L2DataUtil.get_time_as_second(_val["time"])
count += datas[i]["re"]
- else:
+ elif not L2DataUtil.is_limit_up_price_sell(_val):
if count >= continue_count:
return start, i - 1
start = -1
@@ -967,7 +1019,7 @@
start = i
start_time = L2DataUtil.get_time_as_second(_val["time"])
count += int(datas[i]["re"])
- else:
+ elif not L2DataUtil.is_limit_up_price_sell(_val):
if count >= continue_count:
return start, i - 1
start = -1
@@ -1323,7 +1375,7 @@
@classmethod
def test_can_order(cls):
- code = "002393"
+ code = "000948"
global_util.load_industry()
limit_up_time_manager.load_limit_up_time()
@@ -1618,8 +1670,9 @@
if need_cancel:
# 闇�瑕佹挙鍗�
# 鎾ゅ崟
- cls.__cancel_buy(code, max_num_data["index"])
- L2TradeDataProcessor.cancel_debug(code, "璺熻釜鍒板ぇ鍗曟棤鎾や拱淇″彿-{}锛屾柊璺熻釜鐨勫ぇ鍗曢渶瑕佹挙涔�-{}", index, max_num_data["index"])
+ cls.__cancel_buy(code, max_num_data["index"] if cancel_data is None else cancel_data)
+ L2TradeDataProcessor.cancel_debug(code, "鍘熸潵璺熻釜鍒板ぇ鍗曟棤鎾や拱淇″彿-{}锛屾柊璺熻釜鐨勫ぇ鍗曢渶瑕佹挙涔�-{}", index,
+ max_num_data["index"])
return True, cancel_data
else:
# 鏃犻渶鎾ゅ崟
@@ -1695,8 +1748,8 @@
if i <= latest_buy_index:
total_count += total_datas[i]["re"]
L2TradeDataProcessor.debug(code, "澶х兢鎾ゅぇ鍗曟暟閲忥細{}/{}", count, total_count)
- # 澶у崟灏忎簬5绗旀棤鑴戞挙
- if total_count <= 5:
+ # 澶у崟灏忎簬5绗旀棤鑴戞挙锛屽悗淇敼涓烘棤澶у崟鏃犺剳鎾�
+ if total_count <= 0:
return True
# 澶у崟鎾ゅ崟绗旀暟澶т簬鎬诲ぇ鍗曠瑪鏁扮殑1/5灏辨挙鍗�
@@ -1788,6 +1841,287 @@
index_set.add(d[1])
big_nums_info_new.append(d)
cls.__save_recod(code, max_big_num_info, big_nums_info_new)
+
+
+# 鍗栬窡韪�
+class L2SellProcessor:
+ @classmethod
+ def __get_recod(cls, code):
+ redis = _redisManager.getRedis()
+ _val = redis.get("sell_num-{}".format(code))
+ if _val is None:
+ return None, None
+ else:
+ datas = json.loads(_val)
+ return datas[0], datas[1]
+
+ @classmethod
+ def del_recod(cls, code):
+ redis = _redisManager.getRedis()
+ key = "sell_num-{}".format(code)
+ redis.delete(key)
+
+ @classmethod
+ def __save_recod(cls, code, process_index, count):
+ redis = _redisManager.getRedis()
+ key = "sell_num-{}".format(code)
+ redis.setex(key, tool.get_expire(), json.dumps((process_index, count)))
+
+ # 鏆傛椂寮冪敤
+ @classmethod
+ def need_cancel(cls, code, start_index, end_index):
+ # 鏄惁闇�瑕佹挙鍗�
+ process_index, count = cls.__get_recod(code)
+ if process_index is None:
+ # 鏃犲崠鐨勪俊鎭�
+ return False
+ if count is None:
+ count = 0
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price is None:
+ return False
+ if float(limit_up_price) * count * 100 >= l2_trade_factor.L2TradeFactorUtil.get_base_safe_val(
+ global_util.zyltgb_map[code]):
+ return True
+ return False
+
+ @classmethod
+ def process(cls, code, start_index, end_index):
+ # 澶勭悊澶у崟
+ # 鑾峰彇澶у崟鍒楄〃,澶у崟鏍煎紡涓�:((num,index,re),[(num,index,re),(num,index,re)])
+ total_datas = local_today_datas[code]
+ process_index, count = cls.__get_recod(code)
+ # 瀵绘壘鏈�澶у��
+ for index in range(start_index, end_index + 1):
+ # 鍙鐞嗘定鍋滃崠
+ if not L2DataUtil.is_limit_up_price_sell(
+ total_datas[index]["val"]):
+ continue
+ # 涓嶅鐞嗗巻鍙叉暟鎹�
+ if process_index is not None and process_index >= index:
+ continue
+ if count is None:
+ count = 0
+ count += int(total_datas[index]["val"]["num"])
+ if process_index is None:
+ process_index = end_index
+ cls.__save_recod(code, process_index, count)
+
+
+# 娑ㄥ仠灏佸崟棰濈粺璁�
+class L2LimitUpMoneyStatisticUtil:
+ _redisManager = redis_manager.RedisManager(1)
+
+ @classmethod
+ def __get_redis(cls):
+ return cls._redisManager.getRedis()
+
+ # 璁剧疆l2鐨勬瘡涓�绉掓定鍋滃皝鍗曢鏁版嵁
+ @classmethod
+ def __set_l2_second_money_record(cls, code, time, num, from_index, to_index):
+ old_num, old_from, old_to = cls.__get_l2_second_money_record(code, time)
+ if old_num is None:
+ old_num = num
+ old_from = from_index
+ old_to = to_index
+ else:
+ old_num += num
+ old_to = to_index
+
+ key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
+
+ cls.__get_redis().setex(key, tool.get_expire(), json.dumps((old_num, old_from, old_to)))
+
+ @classmethod
+ def __get_l2_second_money_record(cls, code, time):
+ key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
+ val = cls.__get_redis().get(key)
+ return cls.__format_second_money_record_val(val)
+
+ @classmethod
+ def __format_second_money_record_val(cls, val):
+ if val is None:
+ return None, None, None
+ val = json.loads(val)
+ return val[0], val[1], val[2]
+
+ @classmethod
+ def __get_l2_second_money_record_keys(cls, code, time_regex):
+ key = "l2_limit_up_second_money-{}-{}".format(code, time_regex)
+ keys = cls.__get_redis().keys(key)
+ return keys
+
+ # 璁剧疆l2鏈�鏂扮殑灏佸崟棰濇暟鎹�
+ @classmethod
+ def __set_l2_latest_money_record(cls, code, index, num):
+ key = "l2_limit_up_money-{}".format(code)
+ cls.__get_redis().setex(key, tool.get_expire(), json.dumps((num, index)))
+
+ # 杩斿洖鏁伴噺,绱㈠紩
+ @classmethod
+ def __get_l2_latest_money_record(cls, code):
+ key = "l2_limit_up_money-{}".format(code)
+ result = cls.__get_redis().get(key)
+ if result:
+ result = json.loads(result)
+ return result[0], result[1]
+ else:
+ return 0, -1
+
+ # 鐭鏁版嵁
+ # 鐭鏂规硶涓哄彇鐭鏃堕棿涓や晶鐨勭鍒嗗竷鏁版嵁锛岀敤浜庣‘瀹氳绠楃粨鏉熷潗鏍�
+ @classmethod
+ def verify_num(cls, code, num, time_str):
+ time_ = time_str.replace(":", "")
+ key = None
+ for i in range(4, -2, -2):
+ # 鑾峰彇鏈�(鍒嗛挓/灏忔椂/澶�)鍐呯鍒嗗竷鏁版嵁
+ time_regex = "{}*".format(time_[:i])
+ keys_ = cls.__get_l2_second_money_record_keys(code, time_regex)
+ if keys_ and len(keys_) > 1:
+ # 闇�瑕佹帓搴�
+ keys = []
+ for k in keys_:
+ keys.append(k)
+ keys.sort(key=lambda tup: int(tup.split("-")[-1]))
+ # 鏈�2涓厓绱�
+ for index in range(0, len(keys) - 1):
+ time_1 = keys[index].split("-")[-1]
+ time_2 = keys[index + 1].split("-")[-1]
+ if int(time_1) <= int(time_) <= int(time_2):
+ # 鍦ㄦ鏃堕棿鑼冨洿鍐�
+ if time_ == time_2:
+ key = keys[index + 1]
+ else:
+ key = keys[index]
+ break
+ if key:
+ val = cls.__get_redis().get(key)
+ old_num, old_from, old_to = cls.__format_second_money_record_val(val)
+ end_index = old_to
+ # 淇濆瓨鏈�杩戠殑鏁版嵁
+ cls.__set_l2_latest_money_record(code, end_index, num)
+ break
+
+ # 璁＄畻閲忥紝鐢ㄤ簬娑ㄥ仠灏佸崟閲忕殑璁＄畻
+ @classmethod
+ def __compute_num(cls, code, data, buy_single_data):
+ if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) or L2DataUtil.is_sell(data["val"]):
+ # 娑ㄥ仠涔版挙涓庡崠
+ return 0 - int(data["val"]["num"]) * data["re"]
+ else:
+ # 鍗栨挙
+ if L2DataUtil.is_sell_cancel(data["val"]):
+ # 鍗栨挙鐨勪拱鏁版嵁鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝濡傛灉鍦ㄤ箣鍓嶅氨涓嶈绠楋紝涓嶅湪涔嬪墠灏辫绠�
+ if l2_data_util.is_sell_index_before_target(data, buy_single_data,
+ local_today_num_operate_map.get(code)):
+ return 0
+
+ return int(data["val"]["num"]) * data["re"]
+
+ @classmethod
+ def clear(cls, code):
+ key = "l2_limit_up_money-{}".format(code)
+ cls.__get_redis().delete(key)
+
+ # 杩斿洖鍙栨秷鐨勬爣蹇楁暟鎹�
+ # with_cancel 鏄惁闇�瑕佸垽鏂槸鍚︽挙閿�
+ @classmethod
+ def process_data(cls, code, start_index, end_index, buy_single_begin_index, with_cancel=True):
+ start_time = round(t.time() * 1000)
+ total_datas = local_today_datas[code]
+ time_dict_num = {}
+ # 璁板綍璁＄畻鐨勫潗鏍�
+ time_dict_num_index = {}
+ num_dict = {}
+ # 缁熻鏃堕棿鍒嗗竷
+ time_dict = {}
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ time_ = val["time"]
+ if time_ not in time_dict:
+ time_dict[time_] = i
+
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ time_ = val["time"]
+ if time_ not in time_dict_num:
+ time_dict_num[time_] = 0
+ time_dict_num_index[time_] = {"s": i, "e": i}
+ time_dict_num_index[time_]["e"] = i
+ num = cls.__compute_num(code, data, total_datas[buy_single_begin_index])
+ num_dict[i] = num
+ time_dict_num[time_] = time_dict_num[time_] + num
+ for t_ in time_dict_num:
+ cls.__set_l2_second_money_record(code, t_, time_dict_num[t_], time_dict_num_index[t_]["s"],
+ time_dict_num_index[t_]["e"])
+
+ print("淇濆瓨娑ㄥ仠灏佸崟棰濇椂闂达細", round(t.time() * 1000) - start_time)
+
+ # 绱鏈�鏂扮殑閲戦
+ total_num, index = cls.__get_l2_latest_money_record(code)
+ if index == -1:
+ # 娌℃湁鑾峰彇鍒版渶鏂扮殑鐭灏佸崟棰濓紝闇�瑕佷粠涔板叆淇″彿寮�濮嬬偣璁＄畻
+ index = buy_single_begin_index - 1
+ total_num = 0
+ # TODO 寰呬紭鍖栬绠�
+ cancel_index = None
+ cancel_msg = None
+ # 寰呰绠楅噺
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ min_volumn = round(10000000 / (limit_up_price * 100))
+ # 涓嶅悓鏃堕棿鐨勬暟鎹紑濮嬪潗鏍�
+ time_start_index_dict = {}
+ # 鏁版嵁鏃堕棿鍒嗗竷
+ time_list = []
+ # 鍒板綋鍓嶆椂闂寸疮绉殑涔�1閲�
+ time_total_num_dict = {}
+ for i in range(index + 1, end_index + 1):
+ data = total_datas[i]
+ time_ = data["val"]["time"]
+ if time_ not in time_start_index_dict:
+ # 璁板綍姣忎竴绉掔殑寮�濮嬩綅缃�
+ time_start_index_dict[time_] = i
+ # 璁板綍鏃堕棿鍒嗗竷
+ time_list.append(time_)
+ # 涓婁竴娈垫椂闂寸殑鎬绘暟
+ time_total_num_dict[time_] = total_num
+
+ val = num_dict.get(i)
+ if val is None:
+ val = cls.__compute_num(code, data, total_datas[buy_single_begin_index])
+ total_num += val
+ # 濡傛灉鏄噺灏忛」锛屼笖鍦ㄥ鐞嗘暟鎹殑鑼冨洿鍐咃紝灏遍渶瑕佸垽鏂槸鍚﹁鎾ゅ崟浜�
+ if val < 0 and start_index <= i <= end_index:
+ # 绱灏佸崟閲戦灏忎簬1000涓�
+ if total_num < min_volumn:
+ cancel_index = i
+ cancel_msg = "灏佸崟閲戦灏忎簬1000涓�"
+ break
+ # 鐩搁偦2s鍐呯殑鏁版嵁鍑忓皬50%
+ # 涓�1s鐨勬�绘暟
+ last_second_total_volumn = time_total_num_dict.get(time_list[-1])
+ if last_second_total_volumn > 0 and (
+ last_second_total_volumn - total_num) / last_second_total_volumn >= 0.5:
+ # 鐩搁偦2s鍐呯殑鏁版嵁鍑忓皬50%
+ cancel_index = i
+ cancel_msg = "鐩搁偦2s({})鍐呯殑灏佸崟閲忓噺灏�50%({}->{})".format(time_, last_second_total_volumn,
+ total_num)
+ break
+ if not with_cancel:
+ cancel_index = None
+
+ print("灏佸崟棰濊绠楁椂闂达細", round(t.time() * 1000) - start_time)
+ process_end_index = end_index
+ if cancel_index:
+ process_end_index = cancel_index
+ # 淇濆瓨鏈�鏂扮疮璁￠噾棰�
+ # cls.__set_l2_latest_money_record(code, process_end_index, total_num)
+ if cancel_index:
+ return total_datas[cancel_index], cancel_msg
+ return None, None
def __get_time_second(time_str):
@@ -2035,4 +2369,7 @@
if __name__ == "__main__":
- L2TradeDataProcessor.test_can_order()
+ # 澶勭悊鏁版嵁
+ code = "002898"
+ load_l2_data(code)
+ L2LimitUpMoneyStatisticUtil.verify_num(code, 70582, "09:42:00")
--
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