From be73e2b78857adaf006063275726b69c4c60f0d7 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期三, 12 十月 2022 11:54:25 +0800
Subject: [PATCH] 买撤策略修改；加入报警功能
---
l2_data_manager.py | 134 +++++++++++++++++++++++++++++++++-----------
1 files changed, 101 insertions(+), 33 deletions(-)
diff --git a/l2_data_manager.py b/l2_data_manager.py
index 4fc09c3..c19499f 100644
--- a/l2_data_manager.py
+++ b/l2_data_manager.py
@@ -17,6 +17,7 @@
import l2_trade_factor
import redis_manager
+import ths_industry_util
import tool
import trade_manager
from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process
@@ -283,10 +284,10 @@
def get_add_data(cls, code, datas, _start_index):
if datas is not None and len(datas) < 1:
return []
- last_key = ""
- __latest_datas = local_latest_datas.get(code)
- if __latest_datas is not None and len(__latest_datas) > 0:
- last_key = __latest_datas[-1]["key"]
+ last_data = None
+ latest_datas_ = local_latest_datas.get(code)
+ if latest_datas_ is not None and len(latest_datas_) > 0:
+ last_data = latest_datas_[-1]
count = 0
start_index = -1
@@ -294,13 +295,19 @@
# 璁剧疆add_data鐨勫簭鍙�
for n in reversed(datas):
count += 1
- if n["key"] == last_key:
+ if n["key"] == (last_data["key"] if last_data is not None else ""):
start_index = len(datas) - count
break
_add_datas = []
- if len(last_key) > 0:
- if start_index < 0 or start_index + 1 >= len(datas):
+ if last_data is not None:
+ if start_index < 0:
+ if L2DataUtil.get_time_as_second(datas[0]["val"]["time"]) >= L2DataUtil.get_time_as_second(
+ last_data["val"]["time"]):
+ _add_datas = datas
+ else:
+ _add_datas = []
+ elif start_index + 1 >= len(datas):
_add_datas = []
else:
_add_datas = datas[start_index + 1:]
@@ -356,6 +363,9 @@
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"]
cancelTime = item["cancelTime"]
cancelTimeUnit = item["cancelTimeUnit"]
@@ -471,9 +481,6 @@
# add_datas)
if len(add_datas) > 0:
_start_time = round(t.time() * 1000)
- # 璁＄畻澶у崟鏁伴噺
- cls.__compute_big_money_data(code, add_datas)
-
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
@@ -481,13 +488,13 @@
# 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
+ 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)
+ 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)
+ 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
@@ -497,10 +504,12 @@
cls.unreal_buy_dict.pop(code)
@classmethod
- def __compute_big_money_data(cls, code, add_datas):
+ def __compute_big_money_data(cls, code, start_index, end_index):
# 璁＄畻澶у崟
+ total_datas = local_today_datas[code]
num = 0
- for data in add_datas:
+ for index in range(start_index, end_index + 1):
+ data = total_datas[index]
if l2_trade_factor.L2TradeFactorSourceDataUtil.is_big_money(data):
if int(data["val"]["operateType"]) == 0:
num += data["re"]
@@ -693,6 +702,14 @@
@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)
@@ -705,6 +722,36 @@
except Exception as e:
cls.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
pass
+
+ # 鏄惁鍙互涔�
+ @classmethod
+ def __can_buy(cls, code):
+ limit_up_time = limit_up_time_manager.get_limit_up_time(code)
+ if limit_up_time is not None and L2DataUtil.get_time_as_second(limit_up_time) >= L2DataUtil.get_time_as_second(
+ "14:30:00"):
+ return False, "14:30鍚庢定鍋滅殑涓嶈兘涔帮紝娑ㄥ仠鏃堕棿涓簕}".format(limit_up_time)
+
+ # 鍚屼竴鏉垮潡涓�佷簩鍚庨潰鐨勪笉鑳戒拱
+ 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 and codes_index.get(code) > 1:
+ return False, "鍚屼竴鏉垮潡涓�佷笁,鑰佸洓,...涓嶈兘涔�"
+
+ # 13:00鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
+ limit_up_time = limit_up_time_manager.get_limit_up_time(code)
+ if limit_up_time is not None:
+ if int(limit_up_time.replace(":", "")) >= 130000 and global_util.industry_hot_num.get(industry) is not None:
+ if global_util.industry_hot_num.get(industry) < 29:
+ return False, "13:00鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�"
+ # 鑰佷簩锛屾湰鏉垮潡涓定鍋滅エ鏁�<29 涓嶈兘涔�
+ if codes_index.get(code) is not None and codes_index.get(code) == 1 and global_util.industry_hot_num.get(
+ industry) is not None:
+ if global_util.industry_hot_num.get(industry) < 29:
+ return False, "鑰佷簩锛屾湰鏉垮潡涓定鍋滅エ鏁�<29涓嶈兘涔�"
+ # 鍙互涓嬪崟
+ return True, None
@classmethod
def __cancel_buy(cls, code):
@@ -731,6 +778,7 @@
cls.unreal_buy_dict.pop(code)
else:
cls.__cancel_buy(code)
+ L2BigNumProcessor.del_big_num_pos(code)
@classmethod
def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time,
@@ -753,11 +801,14 @@
new_get_pos = True
cls.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} 鏁版嵁锛歿}", buy_single_index, total_datas[buy_single_index])
limit_up_time_manager.save_limit_up_time(code, total_datas[buy_single_index]["val"]["time"])
-
+ # 閲嶇疆澶у崟璁＄畻
+ big_money_num_manager.reset(code)
if buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
+ # TODO 鍙兘瀛樺湪闂 璁＄畻澶у崟鏁伴噺
+ cls.__compute_big_money_data(code, max(compute_start_index, buy_single_index), compute_end_index)
# 涔板叆绾拱棰濈粺璁�
compute_index, buy_nums, rebegin_buy_pos = cls.__sum_buy_num_for_order_3(code, max(buy_single_index,
compute_start_index),
@@ -792,7 +843,7 @@
compute_index)
# 璁＄畻澶х兢鎾ょ殑澶у崟
L2BetchCancelBigNumProcessor.process_new(code, buy_single_index, compute_index)
-
+ # 杩炵画娑ㄥ仠鏁拌绠�
L2ContinueLimitUpCountManager.process(code, buy_single_index, compute_index)
# 鏁版嵁鏄惁澶勭悊瀹屾瘯
@@ -846,7 +897,8 @@
if L2DataUtil.get_time_as_second(_val["time"]) < second_930:
continue
- if L2DataUtil.is_limit_up_price_buy(_val) and (last_index is None or (i - last_index == 1 and datas[last_index]["val"]["time"] == datas[i]["val"]["time"])):
+ if L2DataUtil.is_limit_up_price_buy(_val) and (last_index is None or (
+ i - last_index == 1 and datas[last_index]["val"]["time"] == datas[i]["val"]["time"])):
if start is None:
start = i
last_index = i
@@ -925,10 +977,6 @@
return start, end_index
else:
return None, None
-
- # 鏄惁鍙互涓嬪崟
- def __is_can_order(self):
- pass
# 铏氭嫙涓嬪崟
def __unreal_order(self):
@@ -1264,14 +1312,22 @@
def test1(cls):
code = "000593"
load_l2_data(code, True)
- print( cls.__compute_order_begin_pos(code,232,3,239))
+ print(cls.__compute_order_begin_pos(code, 232, 3, 239))
@classmethod
def test2(cls):
- code = "000677"
+ code = "600082"
load_l2_data(code, True)
cls.random_key[code] = random.randint(0, 100000)
- L2BetchCancelBigNumProcessor.process_new(code, 57, 150)
+ need_cancel, cancel_data = L2BigNumProcessor.process_cancel_with_big_num(code, 121, 123)
+
+ @classmethod
+ def test_can_order(cls):
+ code = "002393"
+
+ global_util.load_industry()
+ limit_up_time_manager.load_limit_up_time()
+ print(cls.__can_buy(code))
# 杩炵画娑ㄥ仠涔板崟鏁版渶澶у�肩鐞嗗櫒
@@ -1396,7 +1452,7 @@
class L2BigNumProcessor:
# 鏄惁闇�瑕佹牴鎹ぇ鍗曟挙鍗曪紝杩斿洖鏄惁闇�瑕佹挙鍗曚笌鎾ゅ崟淇″彿鐨勬暟鎹�
@classmethod
- def __need_cancel_with_max_num(cls, code, max_num_info):
+ def __need_cancel_with_max_num(cls, code, max_num_info, start_index, end_index):
if max_num_info is None:
return False, None
# 濡傛灉鏄拱鍏ュ崟锛岄渶瑕佺湅浠栧墠闈㈠悓涓�绉掓槸鍚︽湁鎾ゅ崟
@@ -1409,6 +1465,9 @@
if cancel_datas is not None:
for cancel_data in cancel_datas:
+ # 鍙兘鍦ㄥ綋鍓嶈瀹氱殑鏁版嵁鑼冨洿鏌ユ壘锛屼互闃插嚭鐜伴噸澶嶆煡鎵�
+ if cancel_data["index"] < start_index or cancel_data["index"] > end_index:
+ continue
if cancel_data["index"] > max_num_info["index"]:
buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(cancel_data,
local_today_num_operate_map[
@@ -1417,6 +1476,7 @@
continue
if buy_data["val"]["time"] != max_num_info["val"]["time"]:
continue
+
min_space, max_space = l2_data_util.compute_time_space_as_second(
cancel_data["val"]["cancelTime"],
cancel_data["val"][
@@ -1491,7 +1551,7 @@
return index
@classmethod
- def __del_big_num_pos(cls, code):
+ def del_big_num_pos(cls, code):
redis = _redisManager.getRedis()
redis.delete("big_num_pos-{}".format(code))
@@ -1499,7 +1559,6 @@
def __cancel_buy(cls, code, index):
L2TradeDataProcessor.debug(code, "鎾や拱锛岃Е鍙戜綅缃�-{}锛岃Е鍙戞潯浠讹細澶у崟锛屾暟鎹細{}", index, local_today_datas[code][index])
L2TradeDataProcessor.cancel_buy(code)
- cls.__del_big_num_pos(code)
# 澶勭悊鏁版嵁涓殑澶у崟,杩斿洖鏄惁宸茬粡鎾ゅ崟鍜屾挙鍗曟暟鎹殑鏃堕棿
@classmethod
@@ -1521,12 +1580,12 @@
L2TradeDataProcessor.debug(code, "鑾峰彇鍒板ぇ鍗曚綅缃俊鎭細{}", json.dumps(new_max_info))
index = new_max_info["index"]
# 澶у崟鏄惁鏈夋挙鍗曚俊鍙�
- need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, new_max_info)
+ need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, new_max_info, start_index, end_index)
if need_cancel:
# 闇�瑕佹挙鍗�
# 鎾ゅ崟
L2TradeDataProcessor.cancel_debug(code, "鏂版壘鍒板ぇ鍗�-{}锛岄渶瑕佹挙涔�", new_max_info["index"])
- cls.__cancel_buy(code, index)
+ cls.__cancel_buy(code, new_max_info["index"])
return True, cancel_data,
else:
@@ -1538,7 +1597,7 @@
# 鏈夊ぇ鍗曡褰�
need_cancel = False
cancel_index = -1
- need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, total_data[index])
+ need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, total_data[index], start_index, end_index)
# 闇�瑕佹挙鍗�
if need_cancel:
# 鎾ゅ崟
@@ -1554,7 +1613,8 @@
L2TradeDataProcessor.debug(code, "鎵惧埌澶у崟浣嶇疆淇℃伅锛歿}", json.dumps(max_num_data))
# 澶у崟鏄惁鏈夋挙鍗曚俊鍙�
- need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, max_num_data)
+ need_cancel, cancel_data = cls.__need_cancel_with_max_num(code, max_num_data, max_num_data["index"],
+ end_index)
if need_cancel:
# 闇�瑕佹挙鍗�
# 鎾ゅ崟
@@ -1566,6 +1626,13 @@
# 淇濆瓨澶у崟璁板綍
cls.__save_big_num_pos(code, max_num_data["index"])
return False, cancel_data
+
+ @classmethod
+ def test(cls):
+ code = "000036"
+ load_l2_data(code, True)
+ new_max_info = cls.__compute_max_num(code, 470, 476, None, "09:32:59")
+ print(new_max_info)
# 澶х兢鎾ゅぇ鍗曡窡韪�
@@ -1627,6 +1694,7 @@
for i in index_set:
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:
return True
@@ -1967,4 +2035,4 @@
if __name__ == "__main__":
- L2TradeDataProcessor.test1()
+ L2TradeDataProcessor.test_can_order()
--
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