From 2f2516749615da866e96d8d24e499b7ecbb63a3e Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 23 六月 2025 12:28:52 +0800
Subject: [PATCH] 默认交易模式变更/真实下单位置计算位置修改
---
utils/buy_strategy_util.py | 137 ++++++++++++++++++++++++++++-----------------
1 files changed, 84 insertions(+), 53 deletions(-)
diff --git a/utils/buy_strategy_util.py b/utils/buy_strategy_util.py
index 40c8872..7d0960d 100644
--- a/utils/buy_strategy_util.py
+++ b/utils/buy_strategy_util.py
@@ -3,10 +3,12 @@
"""
import time
-from code_attribute import gpcode_manager
+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
@@ -43,7 +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)) > 6000:
+ 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
@@ -141,33 +143,52 @@
@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):
@@ -178,18 +199,33 @@
@param end_index:
@return:(鏄惁鏄噺鍖�, 涓嬫鍙互涓嬪崟鏃堕棿)
"""
- THRESHOLD_BUY_COUNT = 20
- if end_index - start_index + 1 < THRESHOLD_BUY_COUNT:
- # 鎬绘暟灏忎簬闃堝��
- return False, None
+
+ # 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)
- buy_count = 0
+ total_buy_nums = 0
min_num = int(5000 / limit_up_price)
- trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code)
- if trade_index is None:
- trade_index = 0
# 鑾峰彇鎴愪氦杩涘害浣�
for i in range(start_index, end_index + 1):
val = total_datas[i]["val"]
@@ -197,25 +233,20 @@
continue
if val["num"] < min_num:
continue
- buy_count += 1
- if buy_count > THRESHOLD_BUY_COUNT:
+ total_buy_nums += val["num"]
+ if total_buy_nums > threshhold_volume:
break
- if buy_count > THRESHOLD_BUY_COUNT:
+ if total_buy_nums > threshhold_volume:
# 鍒ゆ柇鏄惁涓洪噺鍖�
- 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:
- # 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({buy_count})澶т簬{THRESHOLD_BUY_COUNT} {start_index}-{end_index}"
- return False, None
+ # 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
--
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