From ad3cc1a24c4b413bae3069cc6d1c2a1923540ce3 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 25 七月 2025 15:51:48 +0800
Subject: [PATCH] 开盘啦TCP请求/委托数据持久化异步处理
---
utils/buy_strategy_util.py | 258 +++++++++++++++++++++++++++++++++++++++++++++------
1 files changed, 225 insertions(+), 33 deletions(-)
diff --git a/utils/buy_strategy_util.py b/utils/buy_strategy_util.py
index 10eeaf4..7d0960d 100644
--- a/utils/buy_strategy_util.py
+++ b/utils/buy_strategy_util.py
@@ -1,9 +1,17 @@
"""
涔板叆绛栫暐甯姪绫�
"""
-from code_attribute import gpcode_manager
-from l2 import l2_data_util, l2_data_source_util
-from utils import tool
+import time
+
+from code_attribute import gpcode_manager, code_volumn_manager
+from l2 import l2_data_util, l2_data_source_util, transaction_progress
+from l2.l2_data_util import L2DataUtil
+from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager
+from log_module import async_log_util
+from log_module.log import logger_l2_error
+from settings.trade_setting import MarketSituationManager, TradeBlockBuyModeManager
+from trade import trade_data_manager
+from utils import tool, buy_condition_util, global_util
def is_has_small_batch_cancel(code, start_index, end_index):
@@ -22,7 +30,7 @@
end_time_with_ms = l2_data_util.L2DataUtil.get_time_with_ms(total_datas[end_index]["val"])
buy_count = 0
cancel_count = 0
- for i in range(end_index - 1, start_index - 1, -1):
+ for i in range(end_index - 1, start_index, -1):
data = total_datas[i]
val = data["val"]
if val["num"] < min_num:
@@ -37,7 +45,7 @@
break
continue
# 涓庡綋鍓嶆椂闂寸浉宸�3s鐨勭粨鏉�
- if tool.trade_time_sub_with_ms(end_time_with_ms, l2_data_util.L2DataUtil.get_time_with_ms(val)) > 3000:
+ if tool.trade_time_sub_with_ms(end_time_with_ms, l2_data_util.L2DataUtil.get_time_with_ms(val)) > 10000:
break
cancel_count += 1
@@ -49,6 +57,14 @@
def is_cancel_rate_reieved(code, threshhold_rate, start_index, end_index):
+ """
+ 鎾ゅ崟姣斾緥鏄惁杈惧埌鏌愪竴涓槇鍊�
+ @param code:
+ @param threshhold_rate:
+ @param start_index:
+ @param end_index:
+ @return:
+ """
# 缁熻鎬诲叡鐨勬定鍋滀拱
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
min_num = int(round(5000 / limit_up_price))
@@ -77,9 +93,46 @@
if buy_index and start_index <= buy_index:
cancel_count += 1
if buy_count == 0:
- return False
+ return False, "涔板叆鏁伴噺涓�0"
if round(cancel_count / buy_count, 2) > threshhold_rate:
- return True
+ return True, f"涔板叆鏁伴噺-{buy_count} 鎾ゅ崟鏁伴噺-{cancel_count}"
+ return False, f"涔板叆鏁伴噺-{buy_count} 鎾ゅ崟鏁伴噺-{cancel_count}"
+
+
+def is_far_away_from_trade_index(code, trade_index, buy1_money):
+ """
+ 鏄惁璺濈鎴愪氦杩涘害浣嶅お杩�
+ @param code:
+ @param trade_index:
+ @param buy1_money:
+ @return:
+ """
+ if buy1_money < 1e7:
+ # 涔�1澶т簬1鍗冧竾鎵嶈兘璁＄畻
+ return False
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ min_num = int(round(5000 / limit_up_price))
+ threshhold_num = int(round(buy1_money * 0.5 / 100 / limit_up_price))
+ total_datas = l2_data_util.local_today_datas.get(code)
+ end_index = total_datas[-1]["index"]
+ total_num = 0
+ canceled_buyno_map = l2_data_util.local_today_canceled_buyno_map.get(
+ code)
+ for i in range(trade_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val["num"] < min_num:
+ continue
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
+ code,
+ i,
+ total_datas, canceled_buyno_map)
+ if left_count > 0:
+ total_num += val["num"]
+ if total_num > threshhold_num:
+ return True
return False
@@ -90,30 +143,169 @@
@param trade_index:
@return:
"""
- total_data = l2_data_util.local_today_datas.get(code)
- total_count = 0
- total_big_count = 0
- for i in range(trade_index + 1, total_data[-1]["index"] + 1):
- data = total_data[i]
- val = data["val"]
- if not l2_data_util.L2DataUtil.is_limit_up_price_buy(val):
- continue
- money = val["num"] * float(val["price"])
- if money < 5000:
- continue
+ # 鑾峰彇浠婃棩鎴愪氦閲忎笌鍙傝�冮噺
+ # today = get_today_volumn(code)
+ # max60, yesterday = get_histry_volumn(code)
+ try:
+ today_volume = code_volumn_manager.CodeVolumeManager().get_today_volumn_cache(code)
+ histry_volumn = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code)
+ if not today_volume or not histry_volumn:
+ return False, "灏氭湭鑾峰彇鍒伴噺"
+ threshhold_volume = (histry_volumn[0][0] - today_volume) // 3
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ threshhold_volumes = threshhold_volume // 100, int(50000 / limit_up_price), int(200000 / limit_up_price)
- left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
- code,
- i,
- total_data,
- l2_data_util.local_today_canceled_buyno_map.get(
- code))
- if left_count > 0:
- total_count += 1
- if money > 29900:
- total_big_count += 1
- if total_count > 10:
- break
- if total_count > 10 or total_big_count < 1:
- return False, f"鏈垚浜ゆ暟閲�-{total_count}锛屽ぇ鍗曟暟閲�-{total_big_count}"
- return True, ""
+ total_data = l2_data_util.local_today_datas.get(code)
+ total_count = 0
+ total_big_count = 0
+ total_num = 0
+ for i in range(trade_index + 1, total_data[-1]["index"] + 1):
+ data = total_data[i]
+ val = data["val"]
+ if not l2_data_util.L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ money = val["num"] * float(val["price"])
+ if money < 5000:
+ continue
+
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
+ code,
+ i,
+ total_data,
+ l2_data_util.local_today_canceled_buyno_map.get(
+ code))
+ if left_count > 0:
+ total_num += val["num"]
+ total_count += 1
+ if money > 29900:
+ total_big_count += 1
+ if threshhold_volumes[2] < total_num:
+ break
+ if threshhold_volumes[1] <= total_num <= threshhold_volumes[2] and total_num < threshhold_volumes[
+ 0] and total_big_count > 0:
+ # 鍓╀綑鐨勫�煎湪500w-2000w涔嬮棿鎵嶄細鍙備笌璁＄畻
+ return True, ""
+ return False, f"鏈垚浜ゆ墜鏁�-{total_num}锛岄槇鍊�-{threshhold_volumes[0]}锛屽ぇ鍗曟暟閲�-{total_big_count}"
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁＄畻鏄惁璺濈鎴愪氦杩涘害浣嶇疆杩戯細{str(e)}")
+ return False, "璁＄畻寮傚父"
+
+
+def is_quantization(code, start_index, end_index):
+ """
+ 鏄惁鏄噺鍖栧崟
+ @param code:
+ @param satrt_index:
+ @param end_index:
+ @return:(鏄惁鏄噺鍖�, 涓嬫鍙互涓嬪崟鏃堕棿)
+ """
+
+ # 闃堝�肩殑鍙栧�艰寖鍥�
+ THRESHOLD_MONEY_RANGE = 1e5, 3e5
+ today_volume = code_volumn_manager.CodeVolumeManager().get_today_volumn_cache(code)
+ histry_volumn = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code)
+ if not today_volume or not histry_volumn:
+ return False, "灏氭湭鑾峰彇鍒伴噺"
+ threshhold_volume = (histry_volumn[0][0] - today_volume) // 6 // 100
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ threshhold_volumes_range = int(THRESHOLD_MONEY_RANGE[0] / limit_up_price), int(
+ THRESHOLD_MONEY_RANGE[1] / limit_up_price)
+ if threshhold_volume < threshhold_volumes_range[0]:
+ threshhold_volume = threshhold_volumes_range[0]
+ if threshhold_volume > threshhold_volumes_range[1]:
+ threshhold_volume = threshhold_volumes_range[1]
+ total_datas = l2_data_util.local_today_datas.get(code)
+
+ time_as_ms = tool.trade_time_sub_with_ms(
+ L2DataUtil.get_time_with_ms(total_datas[end_index]["val"]),
+ L2DataUtil.get_time_with_ms(total_datas[start_index]["val"]))
+ if time_as_ms > (10 if tool.is_sz_code(code) else 100):
+ return False, "闈為噺鍖�"
+
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+
+ total_buy_nums = 0
+ min_num = int(5000 / limit_up_price)
+ # 鑾峰彇鎴愪氦杩涘害浣�
+ for i in range(start_index, end_index + 1):
+ val = total_datas[i]["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val["num"] < min_num:
+ continue
+ total_buy_nums += val["num"]
+ if total_buy_nums > threshhold_volume:
+ break
+ if total_buy_nums > threshhold_volume:
+ # 鍒ゆ柇鏄惁涓洪噺鍖�
+ # 娣辫瘉10ms鍐咃紝涓婅瘉100ms鍐呭氨鍒ゅ畾涓洪噺鍖�
+ HuaXinSellOrderStatisticManager.clear_latest_deal_volume(code)
+ next_buy_time = time.time() + buy_condition_util.get_cancel_and_buy_space_time(
+ code) / 1000
+ # 濡傛灉鏄娆′笅鍗曪紝澧炲姞涓�娆′笅鍗曟鏁�
+ place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
+ if place_order_count == 0:
+ trade_data_manager.PlaceOrderCountManager().place_order(code)
+ return True, next_buy_time, f"鎵ц浣嶆壒娆℃暟鎹噺({total_buy_nums})澶т簬{threshhold_volume} {start_index}-{end_index}"
+ else:
+ return False, None
+
+
+def is_block_can_buy(code, can_buy_result):
+ """
+ 鏉垮潡鏄惁鍙拱
+ @param code:
+ @param can_buy_result:
+ @return:
+ """
+ now_timestamp = int(tool.get_now_time_str().replace(":", ""))
+ # 鍒ゆ柇鏉垮潡
+ # (鍙互涔扮殑鏉垮潡鍒楄〃, 鏄惁鏄嫭鑻�, 娑堟伅绠�浠�,鍙拱鐨勫己鍔夸富绾�, 鏉垮潡鍏抽敭璇�)
+ if can_buy_result is None:
+ return False, True, "灏氭湭鑾峰彇鍒版澘鍧椾俊鎭�"
+
+ # 鏄惁鏄己鍔�30鍒嗛挓
+ is_in_strong_time_30 = now_timestamp <= int("100000")
+
+ # 鑾峰彇甯傚満琛屾儏
+ situation = 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[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�"
+ # 娴嬭瘯鏃跺彲鍙栨秷娉ㄩ噴
+ # if 1 > 0:
+ # return True, False, "涔版墍鏈�"
+
+ 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�"
+
+ msg_list = []
+ if is_in_strong_time_30:
+ msg_list.append("寮哄娍30鍒嗛挓")
+ # 鐙嫍
+ if not can_buy_result[0] and can_buy_result[1]:
+ msg_list.append("鐙嫍")
+ return True, False, "寮哄娍30鍒嗛挓锛岀嫭鑻�"
+ elif not can_buy_result[0]:
+ return False, True, f"寮哄娍30鍒嗛挓锛岄潪鐙嫍涓嶆弧瓒宠韩浣嶏細{can_buy_result[2]}"
+ else:
+ msg_list.append("闈炵嫭鑻�")
+ # 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]
+ else:
+ place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
+ if place_order_count > 0:
+ return True, False, "涔嬪墠涓嬭繃鍗�"
+ if not can_buy_result[0]:
+ # 娌℃湁鏉垮潡
+ if can_buy_result[1]:
+ # 鏄嫭鑻�
+ if not TradeBlockBuyModeManager().can_buy_unique_block():
+ # 涓嶈兘涔扮嫭鑻�
+ return False, True, f"闈炲己鍔�30鍒嗛挓锛岀嫭鑻楋紝涓嶆弧瓒宠韩浣嶏細{can_buy_result[2]}"
+ else:
+ # 闈炵嫭鑻楋紝娌℃湁鍙互涔板叆鐨勬澘鍧�
+ return False, True, f"闈炲己鍔�30鍒嗛挓锛岄潪鐙嫍锛屼笉婊¤冻韬綅锛歿can_buy_result[2]}"
+ return True, False, can_buy_result[2]
--
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