From 283a7c89f85b1584fde8ff429028506dc00e53d7 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 08 七月 2025 14:17:47 +0800
Subject: [PATCH] bug修复/策略完善
---
strategy/time_series_backtest.py | 1063 +++++++++++++++++++++++++++++++++++++++-------------------
1 files changed, 705 insertions(+), 358 deletions(-)
diff --git a/strategy/time_series_backtest.py b/strategy/time_series_backtest.py
index d9f007a..4a14f4c 100644
--- a/strategy/time_series_backtest.py
+++ b/strategy/time_series_backtest.py
@@ -1,19 +1,21 @@
+import logging
+
import constant
from code_attribute import gpcode_manager, code_nature_analyse
-from strategy.data_analyzer import KPLLimitUpDataAnalyzer
-from strategy.data_downloader import DataDownloader
-from strategy.low_suction_strategy import LowSuctionOriginDataExportManager
-from strategy.strategy_params_settings import StrategyParamsSettings, StrategyParamsSettingsManager
+from strategy.data.data_analyzer import KPLLimitUpDataAnalyzer
+from strategy.data.data_downloader import DataDownloader
+from strategy.data.data_manager import LowSuctionOriginDataExportManager
+from strategy.strategy_params_settings import StrategyParamsSettingsManager
from strategy.strategy_variable import StockVariables
from strategy.strategy_variable_factory import DataLoader, StrategyVariableFactory
from third_data import kpl_util
-from third_data.third_blocks_manager import BlockMapManager
from utils import tool, huaxin_util
class BackTest:
- def __init__(self, day, script_name="浣庡惛鑴氭湰_杈ㄨ瘑搴v3.py", settings=StrategyParamsSettingsManager().get_settings()):
+ def __init__(self, day, script_name="浣庡惛鑴氭湰_杈ㄨ瘑搴v3.py", settings=StrategyParamsSettingsManager().get_settings(),
+ target_codes=set()):
self.day = day
scripts = ""
with open(script_name, mode='r', encoding='utf-8') as f:
@@ -26,7 +28,7 @@
self.settings = settings
self.scripts = scripts
self.RANGE_TIMES = ("09:25:00", "11:30:00")
- self.current_time = '09:25:00'
+ self.current_time = self.RANGE_TIMES[0]
self.stock_variables_dict = {}
self.data_loader: DataLoader = None
@@ -40,6 +42,9 @@
self.deal_codes = set()
# 鏉垮潡宸茬粡鎴愪氦鐨勪唬鐮�
self.deal_block_codes = {}
+ self.target_codes = target_codes
+ self.backtest_results = []
+ self.finish = False
def set_script(self, script):
self.scripts = script
@@ -120,15 +125,16 @@
:return: 鎸夋椂闂存帓搴忕殑鏁版嵁鍒楄〃
"""
if self.day >= '2025-05-26':
- IS_BY_BIG_ORDER = True
- else:
IS_BY_BIG_ORDER = False
+ else:
+ IS_BY_BIG_ORDER = True
day = self.day
fdata = {}
__LowSuctionOriginDataExportManager = LowSuctionOriginDataExportManager(day)
all_limit_up_list = __LowSuctionOriginDataExportManager.export_limit_up_list()
fdata["limit_up_list"] = {d[0][:8]: d[1] for d in all_limit_up_list}
- big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal(BIG_ORDER_MONEY_THRESHOLD)
+ big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal(BIG_ORDER_MONEY_THRESHOLD,
+ max_deal_space=3)
if not big_order_deals or IS_BY_BIG_ORDER:
big_order_deals = __LowSuctionOriginDataExportManager.export_big_order_deal_by(BIG_ORDER_MONEY_THRESHOLD)
# 杞崲鏍煎紡涓猴細{鏃堕棿: [("浠ｇ爜", (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�缁堟垚浜や环))]
@@ -170,7 +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):
@@ -248,43 +255,6 @@
exec(self.scripts, global_dict)
return global_dict["compute_result"]
- def __filter_codes(self, current_data, timeline_data):
- code_plates = current_data["code_plates"]
- start_time, end_time = self.RANGE_TIMES[0], self.RANGE_TIMES[1]
- fplates = set()
- for i in range(60 * 60 * 5):
- time_str = tool.trade_time_add_second(start_time, i)
- if time_str > end_time:
- break
- self.current_time = time_str
- # 缁熻褰撳墠娑ㄥ仠鏁版嵁
- current_limit_up_list = current_data["limit_up_list"].get(time_str)
- if current_limit_up_list:
- # 缁熻鏉垮潡娑ㄥ仠
- plate_codes_info = {}
- for x in current_limit_up_list:
- 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]))
- # print(time_str, "姹借溅闆堕儴浠�", plate_codes_info.get("姹借溅闆堕儴浠�"))
- # 鏈夋晥鐨勬澘鍧�
- valid_plates = set([p for p in plate_codes_info if len(plate_codes_info[p]) >= 2])
- fplates |= valid_plates
- codes = set([code for code in code_plates if code_plates[code] & fplates])
- fcodes = set()
- for c in codes:
- if c not in timeline_data["kline_data"]:
- continue
- # 鑷敱娴侀�氬競鍊�30-300浜�
- pre_close = timeline_data["kline_data"].get(c)[0]["close"]
- if 30e8 <= current_data["zylt_volume"].get(c) * pre_close <= 300e8:
- fcodes.add(c)
-
- return fcodes
-
def __get_target_codes_v4(self):
valid_codes = self.timeline_data["valid_codes"]
return set(self.current_data["code_plates_for_buy"].keys()) & valid_codes
@@ -297,6 +267,9 @@
"""
if code_ in self.stock_variables_dict:
return
+
+ if code_ == '002907':
+ print("")
stock_variables = StrategyVariableFactory.create_from_history_data(
timeline_data["kline_data"].get(code_), timeline_data["minute_data"].get(code_),
@@ -316,8 +289,6 @@
stock_variables.鏂颁唬鐮佹澘鍧� = timeline_data["code_blocks"].get(code_)
stock_variables.杈ㄨ瘑搴︿唬鐮� = self.fcodes
stock_variables.棰嗘定鏉垮潡淇℃伅 = self.head_rise_code_blocks.get(code_)
- if code_ in DEBUG_CODES:
- print(code_, stock_variables.棰嗘定鏉垮潡淇℃伅)
for day in [2, 5, 10, 30, 60, 120]:
days = timeline_data["trade_days"][:day]
@@ -327,7 +298,7 @@
max_day=days[0]))
stock_variables.杩炵画鑰侀鏉� = KPLLimitUpDataAnalyzer.get_continuous_limit_up_reasons(
timeline_data["limit_up_record_data_list"], self.data_loader.trade_days[:2])
-
+ stock_variables.杩炵画鑰侀鏉�.clear()
self.stock_variables_dict[code_] = stock_variables
def load_data(self):
@@ -353,7 +324,7 @@
# self.fcodes, self.head_rise_code_blocks = self.__get_target_codes_v3() # __filter_codes(current_data, timeline_data)
self.fcodes, self.head_rise_code_blocks = self.__get_target_codes_v4(), {}
- print(len(self.fcodes), self.fcodes)
+ print(len(self.fcodes))
if not self.current_tick_data:
try:
self.current_tick_data = self.load_current_tick_datas(self.data_loader)
@@ -411,363 +382,731 @@
return ";".join([f"{x[0]}==鍑�棰�:{x[1]},涔板崟锛歿x[2]},鍗栧崟锛歿x[3]}" for x in infos])
def run(self):
- 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"]
+ 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
+ # 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_current_limit_up_list = None
- latest_block_in_datas = None
+ latest_block_in_datas = None
- # 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)
+ # 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()
+ all_new_plates = set()
- for i in range(60 * 60 * 5):
- 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
- 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]
+ 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_current_limit_up_list = current_limit_up_list
- if 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:
+ if 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] = []
+ # 濡傛灉棰嗘定浠ｇ爜閲岄潰娌℃湁褰撳墠绁ㄥ氨涓嶇畻杩欎釜鏉垮潡鐨勬定鍋滃師鍥�
+ # 鑾峰彇棰嗘定鏁版嵁
+ # head_plate_codes_info = self.data_loader.load_plate_codes(x[9], p)
+ # if head_plate_codes_info:
+ # plate_codes = set([x[0] for x in head_plate_codes_info])
+ # else:
+ # plate_codes = set()
+ # if x[0] not in plate_codes:
+ # continue
+ 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]))
- plate_limit_up_codes_info = plate_codes_info
+ kpl_head_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] = []
- # 濡傛灉棰嗘定浠ｇ爜閲岄潰娌℃湁褰撳墠绁ㄥ氨涓嶇畻杩欎釜鏉垮潡鐨勬定鍋滃師鍥�
- # 鑾峰彇棰嗘定鏁版嵁
- # head_plate_codes_info = self.data_loader.load_plate_codes(x[9], p)
- # if head_plate_codes_info:
- # plate_codes = set([x[0] for x in head_plate_codes_info])
- # else:
- # plate_codes = set()
- # if x[0] not in plate_codes:
- # continue
- plate_codes_info[p].append((x[0], x[2], x[4]))
- kpl_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
- # {"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]}
+ # ================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])
- new_plates = set()
+ # 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)
+ # print(time_str, "娑ㄥ仠鏁板ぇ浜�3涓�", [p for p in most_real_kpl_plate_limit_up_codes_info if
+ # len(most_real_kpl_plate_limit_up_codes_info[p]) >= 3])
+
+ # ---------娴嬭瘯--------
+ # test_plate = "鍖栧伐"
+ # if len(most_real_kpl_plate_limit_up_codes_info.get(test_plate, [])) >= 3:
+ # print("娴嬭瘯寮�濮�=========")
+ # code_plates_for_buy = self.current_data["code_plates_for_buy"]
+ # plate_codes = [c for c in code_plates_for_buy if test_plate in code_plates_for_buy[c]]
+ # print(f"{test_plate}婊¤冻", time_str, plate_codes)
+ # for c in plate_codes:
+ # sv: StockVariables = self.stock_variables_dict.get(c)
+ # if sv and sv.褰撳墠浠� > sv.鏄ㄦ棩鏀剁洏浠�:
+ # print(c)
+ # print("娴嬭瘯瀹屾瘯=========")
+
+ 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
+
+ # if time_str >= '09:30:00':
+ # if stock_variables.浠婃棩澶у崟鏁版嵁 and stock_variables.寮�鐩樺暒鏈�姝ｆ澘鍧楁定鍋� and max(
+ # [len(stock_variables.寮�鐩樺暒鏈�姝ｆ澘鍧楁定鍋�.get(x, [])) for x in stock_variables.浠ｇ爜鏉垮潡]) >= 3:
+ # compute_result = self.__run_backtest(code, stock_variables)
+ # self.__process_test_result(code, stock_variables, next_trade_day, stock_variables.褰撳墠浠�,
+ # time_str, compute_result)
+
+ # if len(real_codes) >= 2 and time_str > '09:30:00':
+ # # print(time_str, plate)
+ # # 鎵捐繖涓澘鍧楅娑ㄦ鏁版渶澶氱殑绁�
+ # codes_infos = target_plate_codes_infos.get(plate)
+ # if codes_infos:
+ # for code_info in codes_infos:
+ # code = code_info[0]
+ # self.init_stock_variables(code, self.timeline_data, self.current_data)
+ # stock_variables: StockVariables = self.stock_variables_dict.get(code)
+ # compute_result = self.__run_backtest(code, stock_variables)
+ # if compute_result[0] and plate not in all_new_plates:
+ # all_new_plates.add(plate)
+ # print(plate, time_str, code_info, real_codes)
+ # else:
+ # pass
+
+ # 澶у崟椹卞姩
+ if current_big_orders and time_str >= '09:30:00':
+ for big_order in current_big_orders:
+ code = big_order[0]
+ if code not in self.fcodes:
+ continue
+ if self.target_codes and code not in self.target_codes:
+ continue
+ 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
+
+ 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.褰撳墠浠� = big_order[1][4]
+ try:
+ compute_result = self.__run_backtest(code, stock_variables)
+ # print(compute_result)
+ self.__process_test_result(code, stock_variables, next_trade_day, big_order[1][4],
+ huaxin_util.convert_time(big_order[1][3]), compute_result)
+ except Exception as e:
+ print(time_str)
+ logging.exception(e)
+
+ print("鍙拱棰樻潗锛�", all_new_plates)
+ 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
- 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
+ plate_codes_info[p].append((x[0], x[2], x[4]))
+ kpl_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
+ # {"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]}
- # ================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:
+ new_plates = set()
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 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
- if ticks:
- for tick in ticks:
- code = tick["symbol"][-6:]
- # if code not in self.fcodes:
- # continue
- if DEBUG_CODES and code not in DEBUG_CODES:
- continue
+ # ==================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
- 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
+ # ================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])
- 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
+ # 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 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 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
- 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"]
+ 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
- # 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)
+ 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
- # 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"])
+ 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"]
- 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)
+ # 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)
- 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"]
+ # 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"])
- stock_variables.寮�鐩樺暒鏈�姝ｆ澘鍧楁定鍋� = most_real_kpl_plate_limit_up_codes_info
+ 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)
- # compute_result = self.__run_backtest(code, stock_variables)
- # self.__process_test_result(code, stock_variables, next_trade_day, stock_variables.褰撳墠浠�,
- # time_str, compute_result)
+ 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
- # if len(real_codes) >= 2 and time_str > '09:30:00':
- # # print(time_str, plate)
- # # 鎵捐繖涓澘鍧楅娑ㄦ鏁版渶澶氱殑绁�
- # codes_infos = target_plate_codes_infos.get(plate)
- # if codes_infos:
- # for code_info in codes_infos:
- # code = code_info[0]
- # self.init_stock_variables(code, self.timeline_data, self.current_data)
- # stock_variables: StockVariables = self.stock_variables_dict.get(code)
- # compute_result = self.__run_backtest(code, stock_variables)
- # if compute_result[0] and plate not in all_new_plates:
- # all_new_plates.add(plate)
- # print(plate, time_str, code_info, real_codes)
- # else:
- # pass
+ # 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("")
- # 澶у崟椹卞姩
- if current_big_orders and time_str >= '09:30:00':
- for big_order in current_big_orders:
- code = big_order[0]
- if code not in self.fcodes:
- continue
- 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 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_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 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 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
- compute_result = self.__run_backtest(code, stock_variables)
- # print(compute_result)
- self.__process_test_result(code, stock_variables, next_trade_day, big_order[1][4],
- huaxin_util.convert_time(big_order[1][3]), compute_result)
+ if block_in_datas:
+ stock_variables.璧勯噾娴佸叆鏉垮潡 = block_in_datas
- print("鍙拱棰樻潗锛�", all_new_plates)
+ 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):
# if code == '000628':
# print(time_str, code, compute_result)
+ # (鏃堕棿,(浠ｇ爜,浠ｇ爜鍚嶇О), 娑ㄥ箙 , 涔板叆缁撴灉)
+ backtest_result = [time_str, (code, gpcode_manager.get_code_name(code)),
+ round((buy_price - stock_variables.鏄ㄦ棩鏀剁洏浠�) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2),
+ compute_result]
- if not compute_result[0]:
- if code in DEBUG_CODES:
- print(time_str, code, compute_result[1])
- # if compute_result[1].find("澶у崟") >= 0 or compute_result[1].find("浠锋牸瓒呰繃鏄ㄦ棩鏈�浣庝环") >= 0:
- pass
+ try:
+ if not compute_result[0]:
+ if code in self.target_codes:
+ print(time_str, code, compute_result[1])
+ # if compute_result[1].find("澶у崟") >= 0 or compute_result[1].find("浠锋牸瓒呰繃鏄ㄦ棩鏈�浣庝环") >= 0:
+ pass
- # print(code, time_str,stock_variables.浠ｇ爜鏉垮潡, compute_result)
+ # print(code, time_str,stock_variables.浠ｇ爜鏉垮潡, compute_result)
- if compute_result[0] and code not in self.deal_codes:
- # 鏈�澶氫拱5涓�
- if len(self.deal_codes) >= 100:
- return
- # if huaxin_util.convert_time(big_order[1][3]) >= "10:30:00" and len(deal_codes) > 0:
- # break
- self.deal_codes.add(code)
- next_k_bars = self.data_loader.load_kline_data_by_day_and_code(next_trade_day, code)
- current_k_bars = self.data_loader.load_kline_data_by_day_and_code(self.data_loader.now_day,
- code)
- if next_k_bars and buy_price:
- t_rate = round((next_k_bars[0]["open"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
- t_rate = f"{t_rate}%"
- else:
- # 鑾峰彇褰撳墠鐨則ick绾�
- if self.data_loader.now_day >= next_trade_day:
- ticks = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1, frequency='tick',
- end_date=f"{next_trade_day} 09:30:03")
- else:
- ticks = None
- if ticks:
- t_rate = round((ticks[-1]["price"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
+ if compute_result[0] and code not in self.deal_codes:
+ # 鏈�澶氫拱5涓�
+ if len(self.deal_codes) >= 100:
+ return
+ # if huaxin_util.convert_time(big_order[1][3]) >= "10:30:00" and len(deal_codes) > 0:
+ # break
+ self.deal_codes.add(code)
+ next_k_bars = self.data_loader.load_kline_data_by_day_and_code(next_trade_day, code)
+ current_k_bars = self.data_loader.load_kline_data_by_day_and_code(self.data_loader.now_day,
+ code)
+ if next_k_bars and buy_price:
+ t_rate = round((next_k_bars[0]["open"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
t_rate = f"{t_rate}%"
else:
- t_rate = "鏈煡"
- if current_k_bars and buy_price:
- c_rate = round((current_k_bars[0]["close"] - buy_price) * 100 / current_k_bars[0]["pre_close"], 2)
- c_rate = f"{c_rate}%"
- else:
- # 鎷夊彇褰撴棩K绾�
- if tool.get_now_date_str() == self.data_loader.now_day and buy_price:
- tick = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1, frequency='tick',
- end_date=f"{self.data_loader.now_day} {tool.get_now_time_str()}")
- c_rate = round((tick[0]["price"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
- else:
- bar = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1,
- end_date=f"{self.data_loader.now_day} 15:00:00")
- if bar:
- c_rate = round((bar[0]["close"] - buy_price) * 100 / bar[0]["pre_close"], 2)
+ # 鑾峰彇褰撳墠鐨則ick绾�
+ if self.data_loader.now_day >= next_trade_day:
+ ticks = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1, frequency='tick',
+ end_date=f"{next_trade_day} 09:30:03")
else:
- c_rate = "鏈煡"
- print(f"{len(self.deal_codes)}==鍥炴祴缁撴灉锛�", code, gpcode_manager.CodesNameManager().get_code_name(code),
- f"婧环鐜囷細{t_rate},褰撴棩鐩堜簭锛歿c_rate}锛屼笅鍗曟椂闂达細{time_str}锛屾定骞咃細{round((buy_price - stock_variables.鏄ㄦ棩鏀剁洏浠�) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)}",
- compute_result[1],
- compute_result[2])
- for b in compute_result[3]:
- if b not in self.deal_block_codes:
- self.deal_block_codes[b] = set()
- self.deal_block_codes[b].add(code)
- stock_variables.鏉垮潡鎴愪氦浠ｇ爜 = self.deal_block_codes
+ ticks = None
+ if ticks:
+ t_rate = round((ticks[-1]["price"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
+ t_rate = f"{t_rate}%"
+ else:
+ t_rate = "鏈煡"
+ if current_k_bars and buy_price:
+ c_rate = round((current_k_bars[0]["close"] - buy_price) * 100 / current_k_bars[0]["pre_close"], 2)
+ c_rate = f"{c_rate}%"
+ else:
+ # 鎷夊彇褰撴棩K绾�
+ if tool.get_now_date_str() == self.data_loader.now_day and buy_price:
+ tick = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1, frequency='tick',
+ end_date=f"{self.data_loader.now_day} {tool.get_now_time_str()}")
+ c_rate = round((tick[0]["price"] - buy_price) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)
+ else:
+ bar = self.data_loader.jueJinLocalApi.get_history_tick_n(code, 1,
+ end_date=f"{self.data_loader.now_day} 15:00:00")
+ if bar:
+ c_rate = round((bar[0]["close"] - buy_price) * 100 / bar[0]["pre_close"], 2)
+ else:
+ c_rate = "鏈煡"
+ backtest_result.append(c_rate)
+ backtest_result.append(t_rate)
+ print(f"{len(self.deal_codes)}==鍥炴祴缁撴灉锛�", code, gpcode_manager.CodesNameManager().get_code_name(code),
+ f"婧环鐜囷細{t_rate},褰撴棩鐩堜簭锛歿c_rate}锛屼笅鍗曟椂闂达細{time_str}锛屾定骞咃細{round((buy_price - stock_variables.鏄ㄦ棩鏀剁洏浠�) * 100 / stock_variables.鏄ㄦ棩鏀剁洏浠�, 2)}",
+ compute_result[1],
+ compute_result[2])
+ for b in compute_result[3]:
+ if b not in self.deal_block_codes:
+ self.deal_block_codes[b] = set()
+ self.deal_block_codes[b].add(code)
+ stock_variables.鏉垮潡鎴愪氦浠ｇ爜 = self.deal_block_codes
+
+ finally:
+ self.backtest_results.append(backtest_result)
-# DEBUG_CODES = ['002365', '000953', '002907', '002688', '003020', '002900', '002082', '000566', '300204', '002317']
-DEBUG_CODES = []
+# 閿傜數姹� ['002882', '002667', '002846', '300530', '002074', '301662', '002580', '300584', '603399', '601515']
+# 鍖栧伐 ['600610', '002427', '002165', '002809', '000565', '002365', '603192', '600370', '600800', '603188']
VOLUME_LOG_ENABLE = False
# 澶囩敤澶у崟
@@ -779,16 +1118,24 @@
if __name__ == "__main__":
back_test_dict = {}
- # days = ["2025-05-06", "2025-05-07", "2025-05-08", "2025-05-09", "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"]
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", "2025-05-27", "2025-05-28", "2025-05-29",
"2025-05-30", "2025-06-03", "2025-06-04", "2025-06-05", "2025-06-06", "2025-06-09", "2025-06-10"]
+ 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", "2025-07-03", "2025-07-04"]
+
+ 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"]
+
days.reverse()
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, "浣庡惛鑴氭湰_杈ㄨ瘑搴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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