From 8b848e8a9fa242b39f92f3a28faf89be10a6e456 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 17 三月 2023 17:43:32 +0800
Subject: [PATCH] 首板策略优化
---
trade/l2_trade_factor.py | 120 +++++++++++++++++++++++++++++++++++++++++++++++++-----------
1 files changed, 98 insertions(+), 22 deletions(-)
diff --git a/trade/l2_trade_factor.py b/trade/l2_trade_factor.py
index 8c6dc63..86c8e4a 100644
--- a/trade/l2_trade_factor.py
+++ b/trade/l2_trade_factor.py
@@ -11,6 +11,96 @@
import limit_up_time_manager
+# 涓嬪崟鍙傛暟
+class L2PlaceOrderParamsManager:
+ # 鑾峰彇淇″彿杩炵画涔扮瑪鏁�
+ @staticmethod
+ def get_begin_continue_buy_count(volume_rate_index):
+ counts = [3, 3, 3, 2, 2, 2, 2]
+ if volume_rate_index >= len(counts):
+ volume_rate_index = -1
+ return counts[volume_rate_index]
+
+ # 鑾峰彇鏃堕棿璁＄畻鑼冨洿锛岃繑鍥瀞
+ @staticmethod
+ def get_time_range(volume_rate_index):
+ ts = [pow(3, 1), pow(3, 1), pow(3, 1), pow(3, 2), pow(3, 2), pow(3, 3), pow(3, 3), pow(3, 3)]
+ if volume_rate_index >= len(ts):
+ volume_rate_index = -1
+ return ts[volume_rate_index]
+
+ # 鑾峰彇闇�瑕佺殑澶у崟涓暟
+ @staticmethod
+ def get_big_num_count(volume_rate_index):
+ counts = [4, 3, 2, 1, 1, 1, 1]
+ if volume_rate_index >= len(counts):
+ volume_rate_index = -1
+ return counts[volume_rate_index]
+
+ # 鑾峰彇瀹夊叏绗旀暟褰卞搷姣斾緥
+ @staticmethod
+ def get_safe_count_rate(volume_rate_index):
+ rates = [0, -0.1, -0.2, -0.4, -0.6, -0.8, -0.8, -0.8]
+ if volume_rate_index >= len(rates):
+ volume_rate_index = -1
+ return rates[volume_rate_index]
+
+ # 鑾峰彇m鍊煎奖鍝嶆瘮渚�
+ @staticmethod
+ def get_m_val_rate(volume_rate_index):
+ rates = [0.0, 0.0, 0.0, -0.3, -0.4, -0.5, -0.6, -0.7]
+ if volume_rate_index >= len(rates):
+ volume_rate_index = -1
+ return rates[volume_rate_index]
+
+
+# S鎾ゅ弬鏁�
+class SCancelParamsManager:
+ # 鍓旈櫎鍓嶅嚑鐨勭偣鐏ぇ鍗�
+ @staticmethod
+ def get_max_exclude_count(volume_rate_index):
+ counts = [5, 4, 3, 2, 1, 1, 1, 1]
+ if volume_rate_index >= len(counts):
+ volume_rate_index = -1
+ return counts[volume_rate_index]
+
+ # 鑾峰彇涔版椂闂磋寖鍥�(璺濈鎵ц浣�)锛岃繑鍥瀞
+ @staticmethod
+ def get_buy_time_range(volume_rate_index):
+ seconds = [pow(2, 1), pow(2, 2), pow(2, 3), pow(2, 4), pow(2, 4), pow(2, 5), pow(2, 6), pow(2, 6)]
+ if volume_rate_index >= len(seconds):
+ volume_rate_index = -1
+ return seconds[volume_rate_index]
+
+ # 鑾峰彇鎾ら攢姣斾緥
+ @staticmethod
+ def get_cancel_rate(volume_rate_index):
+ rates = [0.39, 0.49, 0.59, 0.69, 0.69, 0.79, 0.79, 0.79]
+ if volume_rate_index >= len(rates):
+ volume_rate_index = -1
+ return rates[volume_rate_index]
+
+
+# H鎾ゅ弬鏁�
+class HCancelParamsManager:
+
+ # 鑾峰彇鏈�澶х殑瑙傚療绗旀暟
+ @staticmethod
+ def get_max_watch_count(volume_rate_index):
+ counts = [40, 36, 32, 28, 24, 20, 16, 12]
+ if volume_rate_index >= len(counts):
+ volume_rate_index = -1
+ return counts[volume_rate_index]
+
+ # 鑾峰彇鎾ら攢姣斾緥
+ @staticmethod
+ def get_cancel_rate(volume_rate_index):
+ rates = [0.39, 0.49, 0.59, 0.69, 0.69, 0.79, 0.79, 0.79]
+ if volume_rate_index >= len(rates):
+ volume_rate_index = -1
+ return rates[volume_rate_index]
+
+
class L2TradeFactorUtil:
# 鑾峰彇鍩虹m鍊硷紝杩斿洖鍗曚綅涓哄厓
@classmethod
@@ -19,7 +109,7 @@
if yi < 1:
yi = 1
m = 5000000 + (yi - 1) * 500000
- return round(m * 0.7)
+ return round(m)
# 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
@@ -204,7 +294,7 @@
return zyltgb
@classmethod
- def compute_m_value(cls, code):
+ def compute_m_value(cls, code,volume_rate):
zyltgb = global_util.zyltgb_map.get(code)
if zyltgb is None:
global_data_loader.load_zyltgb()
@@ -213,22 +303,12 @@
print("娌℃湁鑾峰彇鍒拌嚜鐢辨祦閫氬競鍊�")
return 10000000, ""
zyltgb = cls.get_base_safe_val(zyltgb)
- rate, msg = cls.compute_rate_by_code(code)
+ # 鏆傛椂娉ㄩ噴
+ # rate, msg = cls.compute_rate_by_code(code)
# print("m鍊艰幏鍙栵細", code, round(zyltgb * rate))
- return round(zyltgb * rate), msg
+ rate = L2PlaceOrderParamsManager.get_m_val_rate(volume_rate)
- @classmethod
- def get_h_cancel_min_count(cls, code):
- volumn_day60_max, volumn_yest, volumn_today = cls.__get_volumns(code)
- if volumn_day60_max is None or volumn_yest is None or volumn_today is None:
- return constant.H_CANCEL_MIN_COUNT
- rate = round(int(volumn_today) / max(int(volumn_day60_max), int(volumn_yest)), 2)
- counts = [40, 36, 32, 28, 24, 20, 16]
- rates = [0.3, 0.55, 0.8, 1.05, 1.3, 1.55, 10]
- for index in range(0,len(rates)):
- if rate < rates[index]:
- return counts[index]
- return counts[0]
+ return round(zyltgb * (1+rate)), ""
# 鑾峰彇瀹夊叏绗旀暟
@classmethod
@@ -293,12 +373,8 @@
# print(L2TradeFactorUtil.get_safe_buy_count("003005"))
# print(L2TradeFactorUtil.get_rate_factors("003004"))
# print(L2TradeFactorUtil.factors_to_string("003004"))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 4))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 7))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 10))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 16))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 22))
- print(L2TradeFactorUtil.get_safe_buy_count_by_gp(100000000 * 31))
+ for i in range(2, 151):
+ print(i, L2TradeFactorUtil.get_base_safe_val(100000000 * i))
# 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"))
--
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