From a00da3062c6c825b585f82275823ac45cdeb6502 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 19 一月 2024 19:16:20 +0800
Subject: [PATCH] L后成交太快撤单
---
l2/l2_data_manager_new.py | 314 +++++++++++++++++++++++++++++++---------------------
1 files changed, 188 insertions(+), 126 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 7306d55..ee7e1d3 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -23,12 +23,13 @@
from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
transaction_progress, cancel_buy_strategy, l2_data_log
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
- LCancelBigNumComputer, LatestCancelIndexManager, FastCancelBigNumComputer, LCancelRateManager, GCancelBigNumComputer
+ LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer
from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
local_latest_datas, local_today_canceled_buyno_map
import l2.l2_data_util
-from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug
+from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \
+ logger_l2_not_buy_reasons
from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager
@@ -296,12 +297,6 @@
@classmethod
def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo):
trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index)
- if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
- need_cancel = FastCancelBigNumComputer().set_real_order_index(code, index)
- if need_cancel:
- l2_log.debug(code, "瑙﹀彂鎾ゅ崟锛屾挙鍗曚綅缃細{} 锛屾挙鍗曞師鍥狅細{}", index, "F鎾や笉澶�2绗旇Е鍙戞挙鍗�")
- cls.cancel_buy(code, msg="F鎾や笉澶�2绗旇Е鍙戞挙鍗�")
- return
l2_log.debug(code, "璁剧疆鐪熷疄涓嬪崟浣嶏細{}", index)
cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index)
@@ -524,21 +519,6 @@
pass
return None, ""
- # F鎾�
- def f_cancel(_buy_single_index, _buy_exec_index):
- try:
- b_need_cancel, b_cancel_data = FastCancelBigNumComputer().need_cancel(code, start_index, end_index,
- order_begin_pos)
- if b_need_cancel and b_cancel_data:
- return b_cancel_data, f"F鎾�"
- except Exception as e:
- if constant.TEST:
- logging.exception(e)
- async_log_util.error(logger_l2_error,
- f"F鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 閿欒鍘熷洜锛歿str(e)}")
- async_log_util.exception(logger_l2_error, e)
- return None, ""
-
# L鎾�
def l_cancel(_buy_single_index, _buy_exec_index):
_start_time = round(t.time() * 1000)
@@ -593,9 +573,6 @@
if order_begin_pos.buy_volume_rate is None:
buy_volume_rate = 0.2
cancel_data, cancel_msg = None, ""
- if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
- cancel_data, cancel_msg = f_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
-
if not cancel_data:
cancel_data, cancel_msg = g_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
@@ -968,13 +945,12 @@
# if not codes:
# return False, True, f"13:15浠ュ悗鐐告澘涔嬪悗涓嬪崟锛岋紙{limit_up_reason}锛� 涓虹嫭鑻�"
# 鏆傛椂娉ㄩ噴鎯充拱鍗曞姛鑳�
- # if not cls.__WantBuyCodesManager.is_in_cache(code):
- # if cls.__TradeTargetCodeModeManager.get_mode_cache() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES:
- # return False, True, f"鍙拱鎯充拱鍗曚腑鐨勪唬鐮�"
-
- return cls.can_buy_first(code, limit_up_price)
- # else:
- # return True, False, "鍦ㄦ兂涔板悕鍗曚腑"
+ if not cls.__WantBuyCodesManager.is_in_cache(code):
+ # if cls.__TradeTargetCodeModeManager.get_mode_cache() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES:
+ # return False, True, f"鍙拱鎯充拱鍗曚腑鐨勪唬鐮�"
+ return cls.can_buy_first(code, limit_up_price)
+ else:
+ return True, False, "鍦ㄦ兂涔板崟涓�"
# 鑾峰彇鍙互涔扮殑鏉垮潡
@classmethod
@@ -1006,112 +982,165 @@
1), buy_condition_util.get_volume_rate_by_level(2)
k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code)
+ # 鏄惁鏈夎鲸璇嗗害
+ is_special = True if k_format and k_format[8][0] else False
+ # 涓�5涓氦鏄撴棩鏈夌偢鏉夸箣鍚�
+ has_open_limit_up_in_5 = True if k_format and len(k_format) >= 11 and k_format[10] else False
+ # 涓�5涓氦鏄撴棩鏈夎穼鍋�
+ has_limit_down_in_5 = True if k_format and len(k_format) >= 13 and k_format[12] else False
+ # 鏄惁鏄己鍔�10鍒嗛挓
+ is_in_strong_time = now_timestamp <= int("094000")
+ # 鏄惁鏄己鍔�30鍒嗛挓
+ is_in_strong_time_30 = now_timestamp <= int("100000")
+
+ # 閲忓弬鑰冩槸鍚﹀湪鏈�杩�30澶�
+ # is_refer_volume_date_in_30_days = False
+ # try:
+ # volume_refer_date, volume_refer_date_distance = code_volumn_manager.get_volume_refer_date(code)
+ # if volume_refer_date_distance < 30:
+ # is_refer_volume_date_in_30_days = True
+ # except:
+ # pass
+
+ # 鑾峰彇甯傚満琛屾儏
+ situation = cls.__MarketSituationManager.get_situation_cache()
+ zylt_threshold_as_yi = buy_condition_util.get_zyltgb_threshold(situation)
+ zyltgb_as_yi = round(global_util.zyltgb_map.get(code) / 100000000, 2)
+
+ if zyltgb_as_yi >= zylt_threshold_as_yi[1]:
+ return False, True, f"{zylt_threshold_as_yi[1]}浜夸互涓婄殑閮戒笉涔帮紙{zyltgb_as_yi}锛�"
+
+ if zyltgb_as_yi < zylt_threshold_as_yi[0]:
+ return False, True, f"{zylt_threshold_as_yi[0]}浜夸互涓嬬殑閮戒笉涔帮紙{zyltgb_as_yi}锛�"
+
+ # 鏈�浼樺競鍊�
+ is_best_zylt = True if zylt_threshold_as_yi[4] <= zyltgb_as_yi <= zylt_threshold_as_yi[5] else False
+
+ if is_special:
+ # 鍏锋湁杈ㄨ瘑搴︼紝绠椾綔鏈�浼樺競鍊�
+ zyltgb_as_yi = zylt_threshold_as_yi[2] + 1
+
+ # 鏄惁鏄渶浼樿嚜鐢辨祦閫氬競鍊�
+ is_better_zylt = True if zylt_threshold_as_yi[2] <= zyltgb_as_yi <= zylt_threshold_as_yi[3] else False
+
+ if is_in_strong_time_30 and is_best_zylt and can_buy_result[0]:
+ # 寮哄娍30鍒嗛挓锛屾渶浼樺競鍊�, 鏈夊彲浠ヤ笅鍗曠殑鏉垮潡锛屼笉鐪嬮噺
+ return True, False, can_buy_result[2]
+
if k_format and (k_format[1][0] or k_format[3][0]) and len(k_format) >= 12 and k_format[11]:
# 鐮村墠楂�/鎺ヨ繎鍓嶉珮涓�30澶╁唴鏈夋定鍋�
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
return False, True, f"鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮涓�30澶╁唴鏈夋定鍋�,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
- # 涓�5涓氦鏄撴棩鏈夌偢鏉夸箣鍚�
- if k_format and len(k_format) >= 11 and k_format[10]:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
- return False, True, f"涓�5涓氦鏄撴棩鐐告澘,閲忔湭杈惧埌{volume_rate_thresholds[1]}({cls.volume_rate_info[code][0]})"
-
- # 涓�5涓氦鏄撴棩鏈夎穼鍋�
- if k_format and len(k_format) >= 13 and k_format[12]:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29:
- return False, True, f"涓�5涓氦鏄撴棩璺屽仠,閲忔湭杈惧埌{0.29}({cls.volume_rate_info[code][0]})"
-
-
- # 鑾峰彇甯傚満琛屾儏
- situation = cls.__MarketSituationManager.get_situation_cache()
- zylt_threshold = buy_condition_util.get_zyltgb_threshold(situation)
- zyltgb = global_util.zyltgb_map.get(code)
- if k_format and k_format[8][0]:
- # 鍏锋湁杈ㄨ瘑搴�
- zyltgb = zylt_threshold[1] + 1
-
- if zyltgb >= zylt_threshold[0]:
- return False, True, f"{zylt_threshold[0] // 100000000}浜夸互涓婄殑閮戒笉涔帮紙{zyltgb}锛�"
-
if HighIncreaseCodeManager().is_in(code):
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.8:
return False, True, f"5澶╁唴3娆℃定鍋滐紝閲忔湭杈惧埌80%锛坽cls.volume_rate_info[code][0]}锛�"
-
msg_list = []
- if now_timestamp <= int("094000"):
+ if is_in_strong_time:
msg_list.append("寮哄娍10鍒嗛挓")
+ # 涓�5涓氦鏄撴棩鏈夌偢鏉夸箣鍚�
+ if has_open_limit_up_in_5:
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15:
+ return False, True, f"寮哄娍10鍒嗛挓,涓�5涓氦鏄撴棩鐐告澘,閲忔湭杈惧埌{0.15}({cls.volume_rate_info[code][0]})"
+
+ # 涓�5涓氦鏄撴棩鏈夎穼鍋�
+ if has_limit_down_in_5:
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15:
+ return False, True, f"寮哄娍10鍒嗛挓,涓�5涓氦鏄撴棩璺屽仠,閲忔湭杈惧埌{0.15}({cls.volume_rate_info[code][0]})"
+
+ # 鑾峰彇閲忕殑鍙傝�冩棩鏈�
+ if code in global_util.max60_volumn:
+ day = global_util.max60_volumn[code][1]
+ if day in HistoryKDatasUtils.get_latest_trading_date_cache(5):
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15 and not is_special:
+ return False, True, f"寮哄娍10鍒嗛挓锛屽弬鑰冮噺鍦ㄦ渶杩�5澶╋紝鏃犺鲸璇嗗害锛岄噺鏈揪鍒�0.15({cls.volume_rate_info[code][0]})"
+
# 鐙嫍
if not can_buy_result[0] and can_buy_result[1]:
msg_list.append("鐙嫍")
- if zyltgb < zylt_threshold[1] or zyltgb > zylt_threshold[2]:
+ if not is_best_zylt:
# 濡傛灉娌℃湁杈ㄨ瘑搴︽墠涓嶄拱
- if k_format and k_format[8][0]:
- # 鏈夎鲸璇嗗害
- pass
- else:
- return False, True, f"寮哄娍10鍒嗛挓锛岀嫭鑻楋紙{can_buy_result[4]}锛変笉涓嬪崟锛坽can_buy_result[4]}锛夎嚜鐢辨祦閫氬競鍊硷紙{zyltgb}锛変笉婊¤冻鏉′欢"
+ if not is_special:
+ return False, True, f"寮哄娍10鍒嗛挓锛屾棤杈ㄨ瘑搴︼紝 鐙嫍锛坽can_buy_result[4]}锛変笉涓嬪崟锛坽can_buy_result[4]}锛夎嚜鐢辨祦閫氬競鍊硷紙{zyltgb_as_yi}锛変笉鏄壒浼樺競鍊�"
if k_format and (k_format[1][0] or k_format[3][0]):
msg_list.append("鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮")
# 鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
return False, True, f"寮哄娍10鍒嗛挓锛岀嫭鑻楋紙{can_buy_result[4]}锛夛紝鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
else:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
- return False, True, f"寮哄娍10鍒嗛挓锛岀嫭鑻楋紙{can_buy_result[4]}锛�,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
+ 0] and not is_special:
+ return False, True, f"寮哄娍10鍒嗛挓锛屾棤杈ㄨ瘑搴︼紝鐙嫍锛坽can_buy_result[4]}锛�,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
else:
msg_list.append("闈炵嫭鑻�")
- if zyltgb < zylt_threshold[1] or zyltgb > zylt_threshold[2]:
+ if not is_better_zylt:
msg_list.append("涓嶆弧瓒宠嚜鐢辨祦閫�")
if k_format and (k_format[1][0] or k_format[3][0]):
# 鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
return False, True, f"寮哄娍10鍒嗛挓锛屽悗鎺掞紝涓嶆弧瓒宠嚜鐢卞競鍊硷紝鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
else:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
- return False, True, f"寮哄娍10鍒嗛挓锛屽悗鎺�,涓嶆弧瓒宠嚜鐢卞競鍊硷紝褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
+ 0] and not is_special:
+ return False, True, f"寮哄娍10鍒嗛挓锛屽悗鎺�,鏃犺鲸璇嗗害锛屼笉婊¤冻鑷敱甯傚�硷紝褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
else:
msg_list.append("婊¤冻鑷敱娴侀��")
# 鍚庢帓锛屾弧瓒宠嚜鐢辨祦閫氬競鍊奸渶瑕佷笅鍗�
return True, False, can_buy_result[2]
return True, False, can_buy_result[2]
else:
+
+ # 涓�5涓氦鏄撴棩鏈夌偢鏉夸箣鍚�
+ if has_open_limit_up_in_5:
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29:
+ return False, True, f"寮哄娍10鍒嗛挓,涓�5涓氦鏄撴棩鐐告澘,閲忔湭杈惧埌{0.29}({cls.volume_rate_info[code][0]})"
+
+ # 涓�5涓氦鏄撴棩鏈夎穼鍋�
+ if has_limit_down_in_5:
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29:
+ return False, True, f"寮哄娍10鍒嗛挓,涓�5涓氦鏄撴棩璺屽仠,閲忔湭杈惧埌{0.29}({cls.volume_rate_info[code][0]})"
+
# 鑾峰彇閲忕殑鍙傝�冩棩鏈�
if code in global_util.max60_volumn:
day = global_util.max60_volumn[code][1]
if day in HistoryKDatasUtils.get_latest_trading_date_cache(5):
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
- return False, True, f"鍙傝�冮噺鍦ㄦ渶杩�5澶�,閲忔湭杈惧埌{volume_rate_thresholds[1]}({cls.volume_rate_info[code][0]})"
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29 and not is_special:
+ return False, True, f"鍙傝�冮噺鍦ㄦ渶杩�5澶╋紝鏃犺鲸璇嗗害锛岄噺鏈揪鍒�0.29({cls.volume_rate_info[code][0]})"
# 闈炲己鍔�10鍒嗛挓鍙拱涓荤嚎
if not can_buy_result[0] and can_buy_result[1]:
- return False, True, f"闈炲己鍔�10鍒嗛挓锛岀嫭鑻楋紙{can_buy_result[4]}锛変笉涓嬪崟"
+ if not is_special and not is_best_zylt:
+ return False, True, f"闈炲己鍔�10鍒嗛挓锛屾棤杈ㄨ瘑搴︼紝闈炵壒浼樺競鍊�,鐙嫍锛坽can_buy_result[4]}锛変笉涓嬪崟"
if can_buy_result[3]:
# 寮哄娍涓荤嚎
- if zyltgb < zylt_threshold[1] or zyltgb > zylt_threshold[2]:
+ if not is_better_zylt:
if k_format and (k_format[1][0] or k_format[3][0]):
# 鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
return False, True, f"闈炲己鍔�10鍒嗛挓锛屽己鍔夸富绾垮悗鎺掞紝涓嶆弧瓒宠嚜鐢卞競鍊硷紝鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮,褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
else:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
- return False, True, f"闈炲己鍔�10鍒嗛挓锛屽己鍔夸富绾垮悗鎺�,涓嶆弧瓒宠嚜鐢卞競鍊硷紝褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
+ 0] and not is_special:
+ return False, True, f"闈炲己鍔�10鍒嗛挓锛屽己鍔夸富绾垮悗鎺�,涓嶆弧瓒宠嚜鐢卞競鍊硷紝鏃犺鲸璇嗗害锛屽綋鏃ラ噺姣�({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
else:
if k_format and (k_format[1][0] or k_format[3][0]):
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
return False, True, f"闈炲己鍔�10鍒嗛挓锛屽己鍔夸富绾垮悗鎺�,婊¤冻鑷敱甯傚�硷紝鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮, 褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
else:
# 闈炲己鍔夸富绾�
- if zyltgb < zylt_threshold[1] or zyltgb > zylt_threshold[2]:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
- return False, True, f"闈炲己鍔�10鍒嗛挓锛岄潪寮哄娍涓荤嚎鍚庢帓銆愪富绾垮悗鎺掋�戯紝涓嶆弧瓒宠嚜鐢卞競鍊�, 褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
+ if not is_better_zylt:
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
+ 1] and not is_special:
+ return False, True, f"闈炲己鍔�10鍒嗛挓锛岄潪寮哄娍涓荤嚎鍚庢帓銆愪富绾垮悗鎺掋�戯紝涓嶆弧瓒宠嚜鐢卞競鍊�,鏃犺鲸璇嗗害锛� 褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
else:
if k_format and (k_format[1][0] or k_format[3][0]):
# 鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮
if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]:
return False, True, f"闈炲己鍔�10鍒嗛挓锛岄潪寮哄娍涓荤嚎鍚庢帓銆愪富绾垮悗鎺掋�戯紝婊¤冻鑷敱甯傚�硷紝鑲′环鍒涙柊楂樻垨鑰呴�艰繎鍓嶉珮, 褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[1]}"
else:
- if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]:
- return False, True, f"闈炲己鍔�10鍒嗛挓锛岄潪寮哄娍涓荤嚎鍚庢帓銆愪富绾垮悗鎺掋��, 婊¤冻鑷敱甯傚�硷紝褰撴棩閲忔瘮({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
+ if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[
+ 0] and not is_special:
+ return False, True, f"闈炲己鍔�10鍒嗛挓锛岄潪寮哄娍涓荤嚎鍚庢帓銆愪富绾垮悗鎺掋��, 婊¤冻鑷敱甯傚�硷紝鏃犺鲸璇嗗害锛屽綋鏃ラ噺姣�({cls.volume_rate_info[code][0]})灏忎簬{volume_rate_thresholds[0]}"
return True, False, can_buy_result[2]
@classmethod
@@ -1247,7 +1276,7 @@
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
if trade_index and not is_default:
m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
- thresh_hold_num = m_base_val * 3 // (float(gpcode_manager.get_limit_up_price(code)) * 100)
+ thresh_hold_num = m_base_val * 4 // (float(gpcode_manager.get_limit_up_price(code)) * 100)
# 鐪熷疄涓嬪崟浣嶅埌鎴愪氦浣嶇疆鐨勭函涔伴 * 3
total_num = 0
for i in range(trade_index + 1, buy_single_index):
@@ -1264,7 +1293,7 @@
total_num += left_count * val["num"]
if total_num > thresh_hold_num:
break
- if total_num > thresh_hold_num and False:
+ if total_num > thresh_hold_num:
# 璺濈鎴愪氦杩涘害浣嶇疆杩囪繙
l2_log.debug(code,
f"鑾峰彇鐨勪俊鍙蜂綅鏃犳晥锛堟澘涓婁拱锛岃寖鍥达細{trade_index + 1}-{order_begin_pos.buy_single_index} 鏈垚浜ゆ�绘墜{total_num}/闃堝�納thresh_hold_num}锛�")
@@ -1276,23 +1305,28 @@
order_begin_pos.count = 0
order_begin_pos.buy_single_index = buy_single_index
if order_begin_pos.sell_info:
- k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code)
- if k_format and (k_format[1][0] or k_format[3][0]):
- # 鑲′环鏂伴珮鎴栬�呴�艰繎鍓嶉珮
- order_begin_pos.threshold_money = int(sell_info[1])
- else:
- if float(total_datas[buy_single_index]["val"]["price"]) >= 3 and cls.volume_rate_info[code][
- 0] > 0.3 and sell_info[1] > 2000 * 10000 and int(
- tool.get_now_time_str().replace(":", "")) < int("100000"):
- # 鏆傛椂鎵�8鎶�
- # order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
- # 娣辫瘉鎬诲崠澶т簬1000涓囩殑绁紝m鍊兼墦5鎶�
- if code.find('00') == 0:
+ # k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code)
+ # if k_format and (k_format[1][0] or k_format[3][0]):
+ # # 鑲′环鏂伴珮鎴栬�呴�艰繎鍓嶉珮
+ # order_begin_pos.threshold_money = int(sell_info[1])
+ # else:
+ if float(total_datas[buy_single_index]["val"]["price"]) >= 3 and cls.volume_rate_info[code][
+ 0] > 0.3 and sell_info[1] > 2000 * 10000 and int(
+ tool.get_now_time_str().replace(":", "")) < int("100000"):
+ # 鏆傛椂鎵�8鎶�
+ # order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
+ # 娣辫瘉鎬诲崠澶т簬1000涓囩殑绁紝m鍊兼墦5鎶�
+ if code.find('00') == 0:
+ # 娣卞湷棣栨涓嬪崟鎵撴姌
+ place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
+ if place_order_count is not None and place_order_count == 0:
order_begin_pos.threshold_money = int(sell_info[1] * 0.6)
else:
- order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
+ order_begin_pos.threshold_money = int(sell_info[1])
else:
- order_begin_pos.threshold_money = int(sell_info[1])
+ order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
+ else:
+ order_begin_pos.threshold_money = int(sell_info[1])
l2_log.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} ,璁＄畻鑼冨洿锛歿}-{} 锛岄噺姣旓細{}锛屾槸鍚︽澘涓婁拱锛歿}锛屾暟鎹細{} 妯″紡锛歿}锛坽}锛�", buy_single_index,
compute_start_index,
compute_end_index, cls.volume_rate_info[code], order_begin_pos.at_limit_up,
@@ -1317,11 +1351,11 @@
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m鍊奸槇鍊艰绠�")
# 涔板叆绾拱棰濈粺璁�
- new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = None, None, None, None, []
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new, not_buy_msg = None, None, None, None, [], ""
if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
threshold_money = order_begin_pos.threshold_money
- new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new = cls.__sum_buy_num_for_order_fast(
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, not_buy_msg = cls.__sum_buy_num_for_order_fast(
code,
start_process_index,
compute_end_index,
@@ -1332,7 +1366,7 @@
threshold_money = threshold_money_new
order_begin_pos.threshold_money = threshold_money
else:
- new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new, not_buy_msg = cls.__sum_buy_num_for_order_3(
code,
start_process_index,
compute_end_index,
@@ -1395,6 +1429,8 @@
max_num_set=max_num_set_new, mode=order_begin_pos.mode,
sell_info=order_begin_pos.sell_info,
threshold_money=threshold_money))
+ # 璁板綍娌′笅鍗曞師鍥�
+ async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{not_buy_msg}")
_start_time = t.time()
l2_data_log.l2_time_log(code, "__start_compute_buy 缁撴潫")
@@ -1579,13 +1615,13 @@
# 鐩爣璁㈠崟鏁伴噺
threshold_count = cls.__l2PlaceOrderParamsManagerDict[code].get_safe_count()
- buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+ # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
# 鍙互瑙﹀彂涔帮紝褰撴湁娑ㄥ仠涔颁俊鍙锋椂鎵嶄細瑙﹀彂涔�
trigger_buy = True
- # 闂撮殧鏈�澶ф椂闂翠緷娆′负锛�3,9,27,81
- max_space_time = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range()
+ # 鏈�澶ч棿闅旀椂闂磎s
+ max_space_time_ms = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range() * 1000
# 鏈�澶т拱閲�
max_buy_num = 0
max_buy_num_set = set(max_num_set)
@@ -1596,21 +1632,22 @@
# 杈冨ぇ鍗曠殑鎵嬫暟
bigger_num = round(5000 / limit_up_price)
+ not_buy_msg = ""
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
trigger_buy = False
# 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
- if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
+ if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
cls.__TradePointManager.delete_buy_point(code)
if i == compute_end_index:
# 鏁版嵁澶勭悊瀹屾瘯
- return None, buy_nums, buy_count, None, max_buy_num_set
+ return None, buy_nums, buy_count, None, max_buy_num_set, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
else:
# 璁＄畻涔板叆淇″彿锛屼笉鑳藉悓涓�鏃堕棿寮�濮嬭绠�
for ii in range(buy_single_index + 1, compute_end_index + 1):
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
- return None, buy_nums, buy_count, ii, max_buy_num_set
+ return None, buy_nums, buy_count, ii, max_buy_num_set, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
# 娑ㄥ仠涔�
if L2DataUtil.is_limit_up_price_buy(_val):
if l2_data_util.is_big_money(_val):
@@ -1659,22 +1696,37 @@
max_buy_num_set_count = 0
for i1 in max_buy_num_set:
max_buy_num_set_count += total_datas[i1]["re"]
- # 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
- if buy_nums >= threshold_num and buy_count >= threshold_count and trigger_buy and max_buy_num_set_count >= big_num_count:
- try:
- info = cls.__trade_log_placr_order_info_dict[code]
- info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
- except Exception as e:
- async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
- return i, buy_nums, buy_count, None, max_buy_num_set
+ if buy_nums < threshold_num:
+ not_buy_msg = f"銆恵i}銆戠函涔伴涓嶈冻锛寋buy_nums}/{threshold_num}"
+ continue
+
+ if buy_count < threshold_count:
+ not_buy_msg = f"銆恵i}銆戝畨鍏ㄧ瑪鏁颁笉澶燂紝{buy_count}/{threshold_count}"
+ continue
+
+ if not trigger_buy:
+ not_buy_msg = f"銆恵i}銆戞病鏈変拱鍗曡Е鍙�"
+ continue
+
+ if max_buy_num_set_count < big_num_count:
+ not_buy_msg = f"銆恵i}銆戝ぇ鍗曟暟閲忎笉瓒筹紝{max_buy_num_set_count}/{big_num_count}"
+ continue
+
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+
+ return i, buy_nums, buy_count, None, max_buy_num_set, "鍙互涓嬪崟"
l2_log.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} 鐩爣澶у崟鏁伴噺锛歿}",
compute_start_index,
buy_nums,
threshold_num, buy_count, threshold_count, max_buy_num_set_count, big_num_count)
- return None, buy_nums, buy_count, None, max_buy_num_set
+ return None, buy_nums, buy_count, None, max_buy_num_set, not_buy_msg
# 杩斿洖(涔板叆鎵ц鐐�, 鎬绘墜, 鎬荤瑪鏁�, 浠庢柊璁＄畻璧风偣, 绾拱棰濋槇鍊�)
# 璁＄畻蹇�熶拱鍏�
@@ -1696,27 +1748,29 @@
# 鐩爣鎵嬫暟
threshold_num = round(threshold_money / (limit_up_price * 100))
- buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+ # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
# 鍙互瑙﹀彂涔帮紝褰撴湁娑ㄥ仠涔颁俊鍙锋椂鎵嶄細瑙﹀彂涔�
trigger_buy = True
# 闂撮殧鏈�澶ф椂闂翠负3s
- max_space_time = 3
+ max_space_time_ms = 3 * 1000
+ # 涓嶄笅鍗曠殑淇℃伅
+ not_buy_msg = ""
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
trigger_buy = False
# 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
- if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
+ if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms:
cls.__TradePointManager.delete_buy_point(code)
if i == compute_end_index:
# 鏁版嵁澶勭悊瀹屾瘯
- return None, buy_nums, buy_count, None, threshold_money
+ return None, buy_nums, buy_count, None, threshold_money, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
else:
# 璁＄畻涔板叆淇″彿锛屼笉鑳藉悓涓�鏃堕棿寮�濮嬭绠�
for ii in range(buy_single_index + 1, compute_end_index + 1):
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
- return None, buy_nums, buy_count, ii, threshold_money
+ return None, buy_nums, buy_count, ii, threshold_money, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
if L2DataUtil.is_sell(_val):
threshold_money += _val["num"] * int(float(_val["price"]) * 100)
threshold_num = round(threshold_money / (limit_up_price * 100))
@@ -1759,21 +1813,29 @@
l2_log.buy_debug(code, "浣嶇疆-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", i,
buy_nums, threshold_num)
# 绾拱棰濊冻澶燂紝涓旂瑪鏁板ぇ浜�5绗�
- if buy_nums >= threshold_num and trigger_buy and buy_count>=5:
- try:
- info = cls.__trade_log_placr_order_info_dict[code]
- info.set_trade_factor(threshold_money, 0, [])
- except Exception as e:
- async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+ if buy_nums < threshold_num:
+ not_buy_msg = f"銆恵i}銆戠函涔伴涓嶅锛寋buy_nums}/{threshold_num}"
+ continue
+ if not trigger_buy:
+ not_buy_msg = f"銆恵i}銆戞病鏈変拱鍗曡Е鍙�"
+ continue
+ if buy_count < 5:
+ not_buy_msg = f"銆恵i}銆戝畨鍏ㄧ瑪鏁颁笉瓒筹紝{buy_count}/{5}"
+ continue
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, 0, [])
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
- return i, buy_nums, buy_count, None, threshold_money
+ return i, buy_nums, buy_count, None, threshold_money, "鍙互涓嬪崟"
l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣(蹇�熶拱鍏�)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}",
compute_start_index,
buy_nums,
threshold_num, buy_count)
- return None, buy_nums, buy_count, None, threshold_money
+ return None, buy_nums, buy_count, None, threshold_money, not_buy_msg
def test_trade_record():
--
Gitblit v1.8.0