From d5d2288ba84f2774935b2f866ca6faa8da0aac66 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 07 七月 2025 18:38:05 +0800
Subject: [PATCH] bug修复/策略完善
---
strategy/time_series_backtest.py | 335 +++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 files changed, 330 insertions(+), 5 deletions(-)
diff --git a/strategy/time_series_backtest.py b/strategy/time_series_backtest.py
index 66d0fa8..4a14f4c 100644
--- a/strategy/time_series_backtest.py
+++ b/strategy/time_series_backtest.py
@@ -176,7 +176,8 @@
code_plates_dict_for_refer = self.data_loader.load_code_plates_for_refer()
- plate_codes = self.data_loader.load_target_plate_and_codes()
+ # TODO 蹇�熸媺浼搁┍鍔�
+ plate_codes = self.data_loader.load_target_plate_and_codes_v2()
code_plates_dict_for_buy = {}
for p in plate_codes:
for code in plate_codes.get(p):
@@ -704,6 +705,330 @@
finally:
self.finish = True
+ def run_v2(self):
+ def __compute_can_buy_plates(_current_limit_up_list):
+ # 缁熻浠ｇ爜寮�1鏁伴噺:(娑ㄥ仠鏃堕棿,娑ㄥ仠鍘熷洜, 鏄惁浜屾澘, 鏄惁涓�鏉�)
+ code_info_dict = {x[0]: (tool.to_time_str(x[2]), x[5], 1 if kpl_util.get_high_level_count(x[4]) == 2 else 0,
+ 1 if kpl_util.get_high_level_count(x[4]) == 1 else 0) for x in
+ _current_limit_up_list}
+ plate_codes_dict = {}
+ # 鎸夋澘鍧楀垎绫�
+ for code in code_info_dict.keys():
+ plates = code_plates.get(code)
+ if not plates:
+ plates = {code_info_dict.get(code)[1]}
+ plates -= constant.KPL_INVALID_BLOCKS
+ if plates:
+ for p in plates:
+ if p not in plate_codes_dict:
+ plate_codes_dict[p] = set()
+ plate_codes_dict[p].add(code)
+ valid_plates = set()
+ for p in plate_codes_dict:
+ codes = list(plate_codes_dict[p])
+ codes.sort(key=lambda x: code_info_dict[x][0])
+ # 寮�1 浜屾澘鏁伴噺
+ open_continue_2_count = sum(
+ [v[2] for k, v in code_info_dict.items() if k in codes and v[0] < '09:30:00'])
+ # 寮�1 棣栨澘鏁伴噺
+ open_continue_1_count = sum(
+ [v[3] for k, v in code_info_dict.items() if k in codes and v[0] < '09:30:00'])
+ if open_continue_2_count >= 1 or open_continue_1_count >= 2:
+ valid_plates.add(p)
+ continue
+ if len(codes) >= 2 and tool.trade_time_sub(code_info_dict[codes[1]][0],
+ code_info_dict[codes[0]][0]) < 10 * 60:
+ # 鏈夆墺2涓定鍋滐紝涓斾袱涓定鍋滀箣闂撮棿闅斺墹10鍒嗛挓
+ valid_plates.add(p)
+ continue
+ return valid_plates
+
+ # 蹇�熸媺鍗囬┍鍔�
+ try:
+ self.load_data()
+ # print(self.fcodes)
+ limit_up_record_data_dict = {}
+ for limit_up_item in self.timeline_data["limit_up_record_data"]:
+ if limit_up_item[0] not in limit_up_record_data_dict:
+ limit_up_record_data_dict[limit_up_item[0]] = []
+ limit_up_record_data_dict[limit_up_item[0]].append(limit_up_item)
+ self.timeline_data["limit_up_record_data"] = limit_up_record_data_dict
+ next_trade_day = self.timeline_data["next_trade_day"]
+ start_time, end_time = "09:25:00", "12:00:00"
+ # 鍒嗛挓K绾�
+ minute_bars_dict = {}
+ code_plates = self.current_data["code_plates"]
+ code_plates_for_refer = self.current_data["code_plates_for_refer"]
+
+ # 鏉垮潡娑ㄥ仠浠ｇ爜淇℃伅
+ kpl_plate_limit_up_codes_info = None
+ plate_limit_up_codes_info = None
+ kpl_head_plate_limit_up_codes_info = None
+
+ latest_current_limit_up_list = None
+
+ latest_block_in_datas = None
+
+ latest_can_buy_plates = set()
+
+ # 鏍规嵁鏉垮潡鑾峰彇鐩爣绁�
+ target_plate_codes_infos = {}
+ for code in self.head_rise_code_blocks:
+ for p in self.head_rise_code_blocks[code]:
+ if p not in target_plate_codes_infos:
+ target_plate_codes_infos[p] = []
+ target_plate_codes_infos[p].append(self.head_rise_code_blocks[code][p])
+ for p in target_plate_codes_infos:
+ target_plate_codes_infos[p].sort(key=lambda x: x[1], reverse=True)
+
+ all_new_plates = set()
+
+ for i in range(60 * 60 * 5):
+ if self.finish:
+ break
+ time_str = tool.trade_time_add_second(start_time, i)
+ # print(f"[{tool.get_now_time_str()}]", time_str)
+ if time_str > end_time:
+ break
+ self.current_time = time_str
+ ticks = self.current_tick_data.get(time_str) if self.current_tick_data else None
+ # ===============缁熻褰撳墠娑ㄥ仠鏁版嵁
+ origin_current_limit_up_list = self.current_data["limit_up_list"].get(time_str, [])
+ current_limit_up_list = [x for x in origin_current_limit_up_list if
+ kpl_util.get_high_level_count(x[4]) < 3]
+
+ if current_limit_up_list:
+ latest_current_limit_up_list = current_limit_up_list
+
+ if current_limit_up_list:
+ latest_can_buy_plates = __compute_can_buy_plates(current_limit_up_list)
+ plate_codes_info = {}
+ # 缁熻鏉垮潡娑ㄥ仠
+ for x in current_limit_up_list:
+ # 鎸変唬鐮佺殑鏉垮潡缁熻娑ㄥ仠鏉垮潡涓殑浠ｇ爜鏁伴噺
+ # 娑ㄥ仠杩�1鍒嗛挓鎵嶇畻鏈夋晥娑ㄥ仠
+ if tool.trade_time_sub(time_str, tool.timestamp_format(x[2], "%H:%M:%S")) < 60:
+ continue
+ plates = code_plates.get(x[0])
+ if plates:
+ for p in plates:
+ if p not in plate_codes_info:
+ plate_codes_info[p] = []
+ plate_codes_info[p].append((x[0], x[2]))
+ plate_limit_up_codes_info = plate_codes_info
+
+ plate_codes_info = {}
+ for x in current_limit_up_list:
+ # 鎸夊紑鐩樺暒娑ㄥ仠鍘熷洜缁熻
+ p = x[5]
+ if p in constant.KPL_INVALID_BLOCKS:
+ continue
+ if p not in plate_codes_info:
+ plate_codes_info[p] = []
+ plate_codes_info[p].append((x[0], x[2], x[4]))
+ kpl_plate_limit_up_codes_info = plate_codes_info
+
+ # {"浠ｇ爜":[(鏉垮潡浠ｇ爜, 鏉垮潡鍚嶇О)]}
+ limit_up_plate_names_of_refer_code = self.current_data["limit_up_plate_names_of_refer_code"]
+ plate_codes_info = {}
+ for x in current_limit_up_list:
+ # 鎸夊紑鐩樺暒娑ㄥ仠鍘熷洜缁熻
+ code = x[0]
+ # if code not in limit_up_plate_names_of_refer_code:
+ # continue
+ # 濡傛灉璁板綍娑ㄥ仠鏃堕棿杩囧幓20鍒嗛挓灏遍噰鐢ㄦ定鍋滈槦鍒楃殑娑ㄥ仠鍘熷洜
+ if tool.trade_time_sub(time_str, tool.timestamp_format(x[2], "%H:%M:%S")) < 60 * 20 or True:
+ plates_infos = limit_up_plate_names_of_refer_code.get(code)
+ plates = set([d[1] for d in plates_infos if d[1] == x[5]]) if plates_infos else set()
+ else:
+ plates = {x[5]}
+
+ new_plates = set()
+ for p in plates:
+ if p in constant.KPL_INVALID_BLOCKS:
+ continue
+ new_plates.add(p)
+ for p in new_plates:
+ if p not in plate_codes_info:
+ plate_codes_info[p] = []
+ plate_codes_info[p].append((x[0], x[2]))
+ kpl_head_plate_limit_up_codes_info = plate_codes_info
+
+ # ==================娉ㄥ叆鏉垮潡娴佸叆
+ block_in_datas = self.current_data["block_in"].get(time_str)
+ if block_in_datas:
+ blocks = [x[0] for x in block_in_datas if x[1] > 0]
+ block_in_datas = blocks[:20]
+ latest_block_in_datas = block_in_datas
+
+ # ================褰撳墠鏃跺埢澶у崟
+ current_big_orders = self.current_data["big_order"].get(time_str)
+ if current_big_orders:
+ for big_order in current_big_orders:
+ # 鏍煎紡 ("浠ｇ爜", (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�缁堟垚浜や环))
+ self.init_stock_variables(big_order[0], self.timeline_data, self.current_data)
+ stock_variables: StockVariables = self.stock_variables_dict.get(big_order[0])
+ if stock_variables.浠婃棩澶у崟鏁版嵁 is None:
+ stock_variables.浠婃棩澶у崟鏁版嵁 = []
+ stock_variables.浠婃棩澶у崟鏁版嵁.append(big_order[1])
+ # 缁熻澶у崟鍧囦环
+ order_ids = set()
+ total_money = 0
+ total_volume = 0
+ for order in reversed(stock_variables.浠婃棩澶у崟鏁版嵁):
+ if order[0] in order_ids:
+ continue
+ order_ids.add(order[0])
+ total_money += order[2]
+ total_volume += order[1]
+ if total_volume > 0:
+ stock_variables.浠婃棩澶у崟鍧囦环 = round(total_money / total_volume, 2)
+ else:
+ stock_variables.浠婃棩澶у崟鍧囦环 = 0
+ current_big_sell_orders = self.current_data["big_sell_order"].get(time_str)
+ if current_big_sell_orders:
+ for big_order in current_big_sell_orders:
+ # 鏍煎紡 ("浠ｇ爜", (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�缁堟垚浜や环))
+ self.init_stock_variables(big_order[0], self.timeline_data, self.current_data)
+ stock_variables: StockVariables = self.stock_variables_dict.get(big_order[0])
+ if stock_variables.浠婃棩鍗栧ぇ鍗曟暟鎹� is None:
+ stock_variables.浠婃棩鍗栧ぇ鍗曟暟鎹� = []
+ stock_variables.浠婃棩鍗栧ぇ鍗曟暟鎹�.append(big_order[1])
+
+ # 寮�鐩樺暒鏈�姝ｆ定鍋滃師鍥�
+ most_real_kpl_plate_limit_up_codes_info = {}
+ # 鑾峰彇杩欎釜鏉垮潡鐨勭洰鏍囩エ
+ if kpl_plate_limit_up_codes_info:
+ current_limit_up_dict = {x[0]: x for x in latest_current_limit_up_list}
+ codes = set()
+ for plate in kpl_plate_limit_up_codes_info:
+ kpl_plate_codes = kpl_plate_limit_up_codes_info.get(plate)
+ codes |= set([x[0] for x in kpl_plate_codes])
+ for code in codes:
+ plates = code_plates.get(code)
+ if not plates:
+ plates = {current_limit_up_dict.get(code)[5]}
+ plates -= constant.KPL_INVALID_BLOCKS
+ if plates:
+ for p in plates:
+ if p not in most_real_kpl_plate_limit_up_codes_info:
+ most_real_kpl_plate_limit_up_codes_info[p] = []
+ most_real_kpl_plate_limit_up_codes_info[p].append(code)
+ if ticks:
+ for tick in ticks:
+ code = tick["symbol"][-6:]
+ if code not in self.fcodes:
+ continue
+ if self.target_codes and code not in self.target_codes:
+ continue
+
+ if code not in self.stock_variables_dict:
+ # 鍔犺浇鍩虹鏁版嵁
+ self.init_stock_variables(code, self.timeline_data, self.current_data)
+ stock_variables: StockVariables = self.stock_variables_dict.get(code)
+ if plate_limit_up_codes_info is not None:
+ stock_variables.鏉垮潡娑ㄥ仠 = plate_limit_up_codes_info
+
+ if kpl_plate_limit_up_codes_info is not None:
+ stock_variables.寮�鐩樺暒鏉垮潡娑ㄥ仠 = kpl_plate_limit_up_codes_info
+
+ if kpl_head_plate_limit_up_codes_info is not None:
+ stock_variables.寮�鐩樺暒棰嗘定鏉垮潡娑ㄥ仠 = kpl_head_plate_limit_up_codes_info
+
+ stock_variables.鏉垮潡鎴愪氦浠ｇ爜 = self.deal_block_codes
+ # 鏉垮潡娴佸叆鏁版嵁
+ if latest_block_in_datas:
+ stock_variables.璧勯噾娴佸叆鏉垮潡 = latest_block_in_datas
+ # 鏆傛椂涓嶇敤鍒嗛挓K绾�
+ # if code not in minute_bars_dict:
+ # minute_bars_dict[code] = [tick]
+ # if minute_bars_dict[code][-1]["created_at"][:-2] == tick["created_at"][:-2]:
+ # # 缁熻鍒嗛挓K绾�
+ # minute_bars_dict[code][-1] = tick
+ # else:
+ # # 淇濆瓨鍒嗛挓K绾挎渶楂樹环
+ # if not stock_variables.浠婃棩鏈�楂樹环:
+ # stock_variables.浠婃棩鏈�楂樹环 = minute_bars_dict[code][-1]["price"]
+ # if minute_bars_dict[code][-1]["price"] > stock_variables.浠婃棩鏈�楂樹环:
+ # stock_variables.浠婃棩鏈�楂樹环 = minute_bars_dict[code][-1]["price"]
+
+ # 淇濆瓨寮�鐩樹环
+ if tick["created_at"][-8:] < '09:30:00':
+ stock_variables.浠婃棩寮�鐩樹环 = tick["price"]
+ # 浠婃棩寮�鐩樻定骞�
+ stock_variables.浠婃棩寮�鐩樻定骞� = round(
+ (tick["price"] - stock_variables.鏄ㄦ棩鏀剁洏浠�) / stock_variables.鏄ㄦ棩鏀剁洏浠�,
+ 4)
+ stock_variables.浠婃棩鎴愪氦閲� = tick["cum_volume"]
+ stock_variables.浠婃棩鎴愪氦棰� = tick["cum_amount"]
+ stock_variables.褰撳墠浠� = tick["price"]
+ if not stock_variables.浠婃棩閲忓淇℃伅:
+ if stock_variables.浠婃棩鎴愪氦閲� > stock_variables.鏄ㄦ棩鎴愪氦閲� * 0.8:
+ stock_variables.浠婃棩閲忓淇℃伅 = (time_str, stock_variables.褰撳墠浠�, round(
+ (stock_variables.褰撳墠浠� - stock_variables.鏄ㄦ棩鏀剁洏浠�) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2),
+ self.__statistic_big_order_info(stock_variables))
+ if VOLUME_LOG_ENABLE:
+ # 缁熻澶у崟鍑�棰濓紝(50w浠ヤ笂,鍑�棰�,涔板崟涓暟/涔板崟鎬婚噾棰�,鍗栧崟涓暟/鍗栧崟鎬婚噾棰�)
+ print("****閲忓", code, stock_variables.浠婃棩閲忓淇℃伅)
+
+ # 缁熻浠婃棩鏈�楂樹环
+ # if stock_variables.浠婃棩鏈�楂樹环 and tick["price"] > stock_variables.浠婃棩鏈�楂樹环:
+ # print(code, "====绐佺牬鍒嗘椂鏈�楂樹环锛�", tick["created_at"], tick["price"])
+
+ if not stock_variables.浠婃棩鏈�楂樹环淇℃伅 or tick["price"] > stock_variables.浠婃棩鏈�楂樹环淇℃伅[0]:
+ stock_variables.浠婃棩鏈�楂樹环淇℃伅 = (tick["price"], time_str)
+
+ if not stock_variables.浠婃棩鏈�浣庝环 or tick["price"] < stock_variables.浠婃棩鏈�浣庝环:
+ stock_variables.浠婃棩鏈�浣庝环 = tick["price"]
+ if most_real_kpl_plate_limit_up_codes_info:
+ stock_variables.寮�鐩樺暒鏈�姝ｆ澘鍧楁定鍋� = most_real_kpl_plate_limit_up_codes_info
+
+ # 璁＄畻娑ㄩ��, 涓婁竴涓猼ick
+ if stock_variables.涓婁釜tick and stock_variables.涓婁釜tick['price'] > 0:
+ try:
+ time_space = tool.trade_time_sub(time_str,
+ stock_variables.涓婁釜tick["created_at"][-8:]) // 3
+ if time_space > 0:
+ rate = (tick['price'] - stock_variables.涓婁釜tick[
+ 'price']) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠� / time_space
+ stock_variables.娑ㄩ�� = round(rate, 2)
+ except:
+ print("")
+
+ if stock_variables.娑ㄩ�� >= 0.8:
+ if code in self.target_codes:
+ print(time_str, code, f"蹇�熸媺鍗囷細{stock_variables.娑ㄩ�焳",f"浠ｇ爜鏉垮潡锛歿stock_variables.浠ｇ爜鏉垮潡}", f"鍙拱鏉垮潡锛歿latest_can_buy_plates}")
+ # 鍑嗗鏁版嵁
+ if plate_limit_up_codes_info is not None:
+ stock_variables.鏉垮潡娑ㄥ仠 = plate_limit_up_codes_info
+
+ if kpl_plate_limit_up_codes_info is not None:
+ stock_variables.寮�鐩樺暒鏉垮潡娑ㄥ仠 = kpl_plate_limit_up_codes_info
+
+ if kpl_head_plate_limit_up_codes_info is not None:
+ stock_variables.寮�鐩樺暒棰嗘定鏉垮潡娑ㄥ仠 = kpl_head_plate_limit_up_codes_info
+
+ if most_real_kpl_plate_limit_up_codes_info is not None:
+ stock_variables.寮�鐩樺暒鏈�姝ｆ澘鍧楁定鍋� = most_real_kpl_plate_limit_up_codes_info
+
+ if block_in_datas:
+ stock_variables.璧勯噾娴佸叆鏉垮潡 = block_in_datas
+
+ stock_variables.鍙互涔扮殑鏉垮潡 = latest_can_buy_plates
+ try:
+ compute_result = self.__run_backtest(code, stock_variables)
+ # print(compute_result)
+ self.__process_test_result(code, stock_variables, next_trade_day, stock_variables.褰撳墠浠�,
+ time_str, compute_result)
+ except Exception as e:
+ print(time_str)
+ logging.exception(e)
+ stock_variables.涓婁釜tick = tick
+
+ print("鍙拱棰樻潗锛�", all_new_plates)
+ finally:
+ self.finish = True
+
def __process_test_result(self, code, stock_variables: StockVariables, next_trade_day, buy_price, time_str,
compute_result):
@@ -799,9 +1124,9 @@
days = ["2025-06-03", "2025-06-04", "2025-06-05", "2025-06-06", "2025-06-09", "2025-06-10",
"2025-06-11", "2025-06-12", "2025-06-13", "2025-06-16", "2025-06-17", "2025-06-18", "2025-06-19",
"2025-06-20", "2025-06-23", "2025-06-24", "2025-06-25", "2025-06-26", "2025-06-27", "2025-06-30",
- "2025-07-01", "2025-07-02"]
+ "2025-07-01", "2025-07-02", "2025-07-03", "2025-07-04"]
- # days = ["2025-05-23"]
+ days = ["2025-07-04"]
#
# days = ["2025-05-12", "2025-05-13", "2025-05-14", "2025-05-15", "2025-05-16", "2025-05-19", "2025-05-20",
# "2025-05-21", "2025-05-22", "2025-05-23", "2025-05-26"]
@@ -810,7 +1135,7 @@
for day in days:
if day not in back_test_dict:
# back_test_dict[day] = BackTest(day, "浠婃棩閲忔槸鍚﹁冻澶�.py")
- back_test_dict[day] = BackTest(day, "strategy_script_v6.py")
+ back_test_dict[day] = BackTest(day, "strategy_script_v7.py", target_codes={})
print("=========================", day)
# back_test_dict[day].run_volume()
- back_test_dict[day].run()
+ back_test_dict[day].run_v2()
--
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