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_trade_factor.py | 162 ++++++++++++++++++++++++++++++++++-------------------
1 files changed, 104 insertions(+), 58 deletions(-)
diff --git a/l2_trade_factor.py b/l2_trade_factor.py
index aa783ba..cda2229 100644
--- a/l2_trade_factor.py
+++ b/l2_trade_factor.py
@@ -18,53 +18,57 @@
yi = 1
return 5000000 + (yi - 1) * 500000
- # 鑷敱娴侀�氬競鍊煎奖鍝嶆瘮渚�
- @classmethod
- def get_zylt_rate(cls, zyltgb):
- yi = round(zyltgb / 100000000)
- if yi < 1:
- yi = 1
- if yi <= 30:
- rate = -0.04 + 0.01 * (yi - 1)
- if rate > 0.1:
- rate = 0.1
- else:
- rate = 0.09 - (yi - 31) * 0.002
- if rate < -0.1:
- rate = -0.1
- return round(rate, 4)
-
# 鑾峰彇琛屼笟褰卞搷姣斾緥
# total_limit_percent涓虹粺璁＄殑姣斾緥涔嬪拰涔樹互100
@classmethod
def get_industry_rate(cls, total_limit_percent):
t = total_limit_percent / 10
- rate = t / 0.5 * 0.02 + 0.26
- if rate > 0.52:
- rate = 0.52
- return round(rate, 2)
+ if t < 0.9:
+ return 0
+ elif t <= 1.1:
+ return 0.2
+ elif t <= 1.6:
+ return 0
+ elif t <= 2.1:
+ return 0.03
+ elif t <= 2.6:
+ return 0.06
+ elif t <= 3.1:
+ return 0.09
+ elif t <= 3.6:
+ return 0.12
+ elif t <= 4.1:
+ return 0.15
+ elif t <= 4.6:
+ return 0.18
+ elif t <= 5.1:
+ return 0.21
+ elif t <= 5.6:
+ return 0.24
+ elif t <= 6.1:
+ return 0.27
+ else:
+ return 0.30
# 鑾峰彇閲忓奖鍝嶆瘮渚�
@classmethod
def get_volumn_rate(cls, day60_max, yest, today):
old_volumn = yest
- base_rate = 0.49
if day60_max > yest:
old_volumn = day60_max
- base_rate = 0.50
r = round(today / old_volumn, 2)
+ if r < 0.01:
+ r = 0.01
print("姣斾緥锛�", r)
rate = 0
- if r <= 0.25:
- rate = base_rate - (r - 0.01) * 2
- elif r <= 0.5:
- rate = 0.25 - r + (0.01 if day60_max > yest else 0)
- elif r < 0.75:
- rate = r - 0.75 + (0.01 if day60_max > yest else 0)
- elif r < 1.74:
- rate = base_rate - (r - 0.75)
+ if r < 0.5:
+ rate = 0.3 - (r - 0.01)
+ elif r <= 0.75:
+ rate = -0.2 + (r - 0.5) * 2
+ elif r <= 1.35:
+ rate = 0.3 - (r - 0.75)
else:
- rate = base_rate - 0.99
+ rate = -0.3
return round(rate, 4)
# 褰撳墠鑲＄エ棣栨娑ㄥ仠鏃堕棿鐨勫奖鍝嶆瘮渚�
@@ -74,36 +78,33 @@
start_m = 9 * 60 + 30
m = int(times[0]) * 60 + int(times[1])
dif = m - start_m
- base_rate = 0.5
+ base_rate = 0.3
rate = 0
if dif < 1:
rate = base_rate
- elif dif <= 5:
- rate = base_rate - dif * 0.02
elif dif <= 120:
# 11:30涔嬪墠
- rate = 0.39 - (dif - 6) * 0.004
+ rate = base_rate - dif * 0.0035
else:
- rate = 0.39 - (120 - 6) * 0.004 - (dif - 210 + 1) * 0.004
- if rate < -0.5:
- rate = -0.5
+ rate = base_rate - (dif - 89) * 0.0035
+ if rate < -0.3020:
+ rate = -0.3020
return round(rate, 4)
# 绾竾鎵嬪摜褰卞搷鍊硷紙鎵嬫暟銆�=9000 OR 閲戦銆�=500w锛�
@classmethod
def get_big_money_rate(cls, num):
- if num < 0:
- num = 0
- if num >= 10:
- return 0.5
- else:
- return round(num * 0.05, 2)
+ if num < 4:
+ return 0
+ rate = (num - 4) * 0.035 / 4 + 0.06
+ if rate > 0.9:
+ rate = 0.9
+ return round(rate, 4)
@classmethod
def compute_rate(cls, zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today,
limit_up_time, big_money_num):
- # 鑷敱娴侀�氳偂鏈奖鍝嶆瘮渚�
- zyltgb_rate = cls.get_zylt_rate(zyltgb)
+
# 琛屼笟娑ㄥ仠褰卞搷姣斾緥
industry_rate = 0
if total_industry_limit_percent is not None:
@@ -121,16 +122,23 @@
if big_money_num is not None:
big_money_rate = cls.get_big_money_rate(big_money_num)
print(
- "zyltgb_rate锛歿} industry_rate锛歿} volumn_rate锛歿} limit_up_time_rate锛歿} big_money_rate锛歿}".format(zyltgb_rate,
- industry_rate,
- volumn_rate,
- limit_up_time_rate,
- big_money_rate))
+ "industry_rate锛歿} volumn_rate锛歿} limit_up_time_rate锛歿} big_money_rate锛歿}".format(industry_rate,
+ volumn_rate,
+ limit_up_time_rate,
+ big_money_rate))
- return round(1 - (zyltgb_rate + industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
+ final_rate = round(1 - (industry_rate + volumn_rate + limit_up_time_rate + big_money_rate), 4)
+ if final_rate < 0.1:
+ final_rate = 0.1
+ return final_rate
@classmethod
def compute_rate_by_code(cls, code):
+ factors = cls.__get_rate_factors(code)
+ return cls.compute_rate(factors[0], factors[1], factors[2], factors[3], factors[4], factors[5], factors[6])
+
+ @classmethod
+ def __get_rate_factors(cls, code):
zyltgb = global_util.zyltgb_map.get(code)
# 鑾峰彇琛屼笟鐑害
industry = global_util.code_industry_map.get(code)
@@ -139,6 +147,11 @@
industry = global_util.code_industry_map.get(code)
total_industry_limit_percent = global_util.industry_hot_num.get(industry) if industry is not None else None
+ # 褰撳墠绁ㄦ槸鍚︽定鍋�
+ if total_industry_limit_percent is not None:
+ if code in global_util.limit_up_codes_percent:
+ total_industry_limit_percent -= global_util.limit_up_codes_percent[code]
+
# 鑾峰彇閲�
volumn_day60_max, volumn_yest, volumn_today = global_util.max60_volumn.get(
code), global_util.yesterday_volumn.get(code), global_util.today_volumn.get(code)
@@ -154,8 +167,22 @@
big_money_num = global_util.big_money_num.get(code)
if big_money_num is None:
big_money_num = big_money_num_manager.get_num(code)
- return cls.compute_rate(zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today,
- limit_up_time, big_money_num)
+ return (
+ zyltgb, total_industry_limit_percent, volumn_day60_max, volumn_yest, volumn_today, limit_up_time,
+ big_money_num)
+
+ @classmethod
+ def factors_to_string(cls, code):
+ vals = cls.__get_rate_factors(code)
+ return "zyltgb:%s, total_industry_limit_percent:%s, volumn_day60_max:%s, volumn_yest:%s, volumn_today:%s,limit_up_time:%s, big_money_num:%s" % vals
+
+ @classmethod
+ def __get_zyltgb(cls, code):
+ zyltgb = global_util.zyltgb_map.get(code)
+ if zyltgb is None:
+ global_util.load_zyltgb()
+ zyltgb = global_util.zyltgb_map.get(code)
+ return zyltgb
@classmethod
def compute_m_value(cls, code):
@@ -166,12 +193,24 @@
if zyltgb is None:
print("娌℃湁鑾峰彇鍒拌嚜鐢辨祦閫氬競鍊�")
return 10000000
- if code == '002476':
- print("")
zyltgb = cls.get_base_safe_val(zyltgb)
rate = cls.compute_rate_by_code(code)
# print("m鍊艰幏鍙栵細", code, round(zyltgb * rate))
return round(zyltgb * rate)
+
+ # 鑾峰彇瀹夊叏绗旀暟
+ @classmethod
+ def get_safe_buy_count(cls, code):
+ gb = cls.__get_zyltgb(code)
+ if not gb:
+ # 榛樿10绗�
+ return 8
+ count = gb // 100000000
+ if count > 30:
+ return 30
+ if count < 5:
+ return 5
+ return count
# l2鍥犲瓙褰掑洜鏁版嵁
@@ -191,7 +230,14 @@
if __name__ == "__main__":
- L2TradeFactorUtil.compute_m_value("000036")
- # print(L2TradeFactorUtil.get_big_money_rate(1))
+ # print(L2TradeFactorUtil.get_rate_factors("003004"))
+ # print(L2TradeFactorUtil.factors_to_string("003004"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("09:30:30"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("11:30:00"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("13:00:00"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("13:48:00"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("13:53:23"))
+ print(L2TradeFactorUtil.get_limit_up_time_rate("14:23:23"))
+
# print(L2TradeFactorUtil.get_big_money_rate(2))
# print(L2TradeFactorUtil.get_big_money_rate(3))
--
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