import logging import threading import time as t from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer, LCancelRateManager from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \ limit_up_time_manager, global_data_loader, gpcode_manager, code_nature_analyse import constant from db.redis_manager_delegate import RedisUtils from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager from l2.l2_sell_manager import L2MarketSellManager, L2LimitUpSellManager from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager from l2.place_order_single_data_manager import L2TradeSingleDataProcessor from log_module import async_log_util, log_export from third_data import kpl_data_manager, block_info from utils import global_util, ths_industry_util, tool, buy_condition_util import l2_data_util from db import redis_manager_delegate as redis_manager from third_data.code_plate_key_manager import CodePlateKeyBuyManager, KPLCodeJXBlockManager from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \ trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util, \ trade_constant from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \ transaction_progress, cancel_buy_strategy, place_order_single_data_manager from l2.cancel_buy_strategy import DCancelBigNumComputer, \ LatestCancelIndexManager, \ NewGCancelBigNumComputer, JCancelBigNumComputer from l2.l2_data_manager import L2DataException, OrderBeginPosInfo from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \ local_latest_datas, local_today_canceled_buyno_map, local_today_sellno_map import l2.l2_data_util from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \ logger_l2_not_buy_reasons, logger_real_place_order_position from trade.trade_data_manager import CodeActualPriceProcessor, PlaceOrderCountManager from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager from settings.trade_setting import MarketSituationManager import concurrent.futures class L2DataManager: # 格式化数据 def format_data(self, datas): format_datas = [] for data in datas: format_datas.append({"val": data, "re": 1}) return format_datas # 获取新增数据 def get_add_datas(self, format_datas): pass # 从数据库加载数据 def load_data(self, code=None, force=False): pass # 保存数据 def save_datas(self, add_datas, datas): pass # m值大单处理 class L2BigNumForMProcessor: _db = 1 _redis_manager = redis_manager.RedisManager(1) m_big_money_begin_cache = {} m_big_money_process_index_cache = {} __instance = None def __new__(cls, *args, **kwargs): if not cls.__instance: cls.__instance = super(L2BigNumForMProcessor, cls).__new__(cls, *args, **kwargs) cls.__load_datas() return cls.__instance @classmethod def __get_redis(cls): return cls._redis_manager.getRedis() @classmethod def __load_datas(cls): _redis = cls._redis_manager.getRedis() try: keys = RedisUtils.keys(_redis, "m_big_money_begin-*") for k in keys: code = k.split("-")[-1] val = RedisUtils.get(_redis, k) tool.CodeDataCacheUtil.set_cache(cls.m_big_money_begin_cache, code, int(val)) keys = RedisUtils.keys(_redis, "m_big_money_process_index-*") for k in keys: code = k.split("-")[-1] val = RedisUtils.get(_redis, k) tool.CodeDataCacheUtil.set_cache(cls.m_big_money_process_index_cache, code, int(val)) finally: RedisUtils.realse(_redis) # 保存计算开始位置 def set_begin_pos(self, code, index): if self.__get_begin_pos_cache(code) is None: tool.CodeDataCacheUtil.set_cache(self.m_big_money_begin_cache, code, index) # 保存位置 key = "m_big_money_begin-{}".format(code) RedisUtils.setex_async(self._db, key, tool.get_expire(), index) # 获取计算开始位置 def __get_begin_pos(self, code): key = "m_big_money_begin-{}".format(code) val = RedisUtils.get(self.__get_redis(), key) if val is None: return None return int(val) def __get_begin_pos_cache(self, code): cache_result = tool.CodeDataCacheUtil.get_cache(self.m_big_money_begin_cache, code) if cache_result[0]: return cache_result[1] return None # 清除已经处理的数据 def clear_processed_end_index(self, code): tool.CodeDataCacheUtil.clear_cache(self.m_big_money_process_index_cache, code) key = "m_big_money_process_index-{}".format(code) RedisUtils.delete_async(self._db, key) # 添加已经处理过的单 def __set_processed_end_index(self, code, index): tool.CodeDataCacheUtil.set_cache(self.m_big_money_process_index_cache, code, index) key = "m_big_money_process_index-{}".format(code) RedisUtils.setex_async(self._db, key, tool.get_expire(), index) # 是否已经处理过 def __get_processed_end_index(self, code): key = "m_big_money_process_index-{}".format(code) val = RedisUtils.get(self.__get_redis(), key) if val is None: return None return int(val) def __get_processed_end_index_cache(self, code): cache_result = tool.CodeDataCacheUtil.get_cache(self.m_big_money_process_index_cache, code) if cache_result[0]: return cache_result[1] return None # 处理大单 def process(self, code, start_index, end_index, limit_up_price): begin_pos = self.__get_begin_pos_cache(code) if begin_pos is None: # 没有获取到开始买入信号 return # 上次处理到的坐标 processed_index = self.__get_processed_end_index_cache(code) if processed_index is None: processed_index = 0 if processed_index >= end_index: return start_time = round(t.time() * 1000) total_datas = local_today_datas[code] num_splites = [round(5000 / limit_up_price), round(10000 / limit_up_price), round(20000 / limit_up_price), round(30000 / limit_up_price)] total_num = 0 for i in range(max(start_index, processed_index), end_index + 1): data = total_datas[i] if not L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) and not L2DataUtil.is_limit_up_price_buy( data["val"]): continue # 如果是涨停买撤信号需要看数据位置是否比开始处理时间早 if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]): # 获取买入信号 buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], local_today_buyno_map.get( code)) if buy_index is not None and buy_index < begin_pos: continue # 计算成交金额 num = int(data["val"]["num"]) temp = 0 if num < num_splites[0]: pass elif num < num_splites[1]: temp = 1 elif num < num_splites[2]: temp = round(4 / 3, 3) elif num < num_splites[3]: temp = 2 else: temp = 4 count = int(temp * data["re"] * 1000) if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]): count = 0 - count total_num += count self.__set_processed_end_index(code, end_index) big_money_num_manager.add_num(code, total_num) print("m值大单计算范围：{}-{} 时间：{}".format(max(start_index, processed_index), end_index, round(t.time() * 1000) - start_time)) class L2TradeDataProcessor: unreal_buy_dict = {} volume_rate_info = {} # 最近的闪电下单位置,格式为{code:(总卖时间,总卖额)} __latest_fast_place_order_info_dict = {} __codeActualPriceProcessor = CodeActualPriceProcessor() __ths_l2_trade_queue_manager = trade_queue_manager.thsl2tradequeuemanager() __thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager() __l2PlaceOrderParamsManagerDict = {} __last_buy_single_dict = {} __TradeBuyQueue = transaction_progress.TradeBuyQueue() __latest_process_order_unique_keys = {} __latest_process_not_order_unique_keys_count = {} __trade_log_placr_order_info_dict = {} # 下单信息保存 # 初始化 __TradePointManager = l2_data_manager.TradePointManager() __SCancelBigNumComputer = SCancelBigNumComputer() __HourCancelBigNumComputer = HourCancelBigNumComputer() __LCancelBigNumComputer = LCancelBigNumComputer() __GCancelBigNumComputer = NewGCancelBigNumComputer() __TradeStateManager = trade_manager.TradeStateManager() __CodesTradeStateManager = trade_manager.CodesTradeStateManager() __PauseBuyCodesManager = gpcode_manager.PauseBuyCodesManager() __Buy1PriceManager = code_price_manager.Buy1PriceManager() __AccountAvailableMoneyManager = AccountAvailableMoneyManager() __TradeBuyDataManager = trade_data_manager.TradeBuyDataManager() __LimitUpTimeManager = limit_up_time_manager.LimitUpTimeManager() __BlackListCodeManager = gpcode_manager.BlackListCodeManager() __WhiteListCodeManager = gpcode_manager.WhiteListCodeManager() __WantBuyCodesManager = gpcode_manager.WantBuyCodesManager() __TradeTargetCodeModeManager = TradeTargetCodeModeManager() __TradeOrderIdManager = trade_huaxin.TradeOrderIdManager() __LatestCancelIndexManager = LatestCancelIndexManager() __L2MarketSellManager = L2MarketSellManager() __L2LimitUpSellManager = L2LimitUpSellManager() __PlaceOrderCountManager = PlaceOrderCountManager() __CodeNatureRecordManager = code_nature_analyse.CodeNatureRecordManager() __MarketSituationManager = MarketSituationManager() __re_compute_threading_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10) # 买入锁 __buy_lock_dict = {} # 获取代码评分 @classmethod def get_code_scores(cls): score_dict = {} for code in cls.__l2PlaceOrderParamsManagerDict: score = cls.__l2PlaceOrderParamsManagerDict[code].score score_dict[code] = score return score_dict @classmethod # 数据处理入口 # datas: 本次截图数据 # capture_timestamp:截图时间戳 def process(cls, code, datas, capture_timestamp): __start_time = round(t.time() * 1000) try: if len(datas) > 0: # 判断价格区间是否正确 if not code_data_util.is_same_code_with_price(code, float(datas[0]["val"]["price"])): raise L2DataException(L2DataException.CODE_PRICE_ERROR, "股价不匹配 code-{} price-{}".format(code, datas[0]["val"]["price"])) # 加载历史数据,返回数据是否正常 is_normal = l2.l2_data_util.load_l2_data(code) if not is_normal: print("历史数据异常:", code) # 数据不正常需要禁止交易 l2_trade_util.forbidden_trade(code, msg="L2历史数据异常") # 纠正数据 if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS: # 同花顺需要纠正数据，其他渠道不需要 datas = l2.l2_data_util.L2DataUtil.correct_data(code, local_latest_datas.get(code), datas) _start_index = 0 if local_today_datas.get(code) is not None and len( local_today_datas[code]) > 0: _start_index = local_today_datas[code][-1]["index"] + 1 add_datas = l2.l2_data_util.L2DataUtil.get_add_data(code, local_latest_datas.get(code), datas, _start_index) # -------------数据增量处理------------ try: cls.process_add_datas(code, add_datas, capture_timestamp, __start_time) finally: # 保存数据 __start_time = round(t.time() * 1000) l2.l2_data_util.save_l2_data(code, datas, add_datas) # __start_time = l2_data_log.l2_time(code, # round(t.time() * 1000) - __start_time, # "保存数据时间（{}）".format(len(add_datas))) finally: if code in cls.unreal_buy_dict: cls.unreal_buy_dict.pop(code) @classmethod def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo): trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index) l2_log.debug(code, "设置真实下单位：{}", index) cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index, is_default=False) # 获取真实下单位置之后需要判断F撤 try: cancel_result = cancel_buy_strategy.FCancelBigNumComputer().need_cancel_for_deal_fast(code) if cancel_result[0]: L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}") else: l2_log.f_cancel_debug(code, f"获取真实成交位的F撤未生效：{cancel_result[1]}") except Exception as e: logger_debug.exception(e) # 处理华鑫L2数据 @classmethod def process_huaxin(cls, code, origin_datas): datas = None try: # 加载历史的L2数据 is_normal = l2.l2_data_util.l2_data_is_normal(code) if not is_normal: # 数据不正常需要禁止交易 l2_trade_util.forbidden_trade(code, msg="L2历史数据异常") # 转换数据格式 _start_index = 0 total_datas = local_today_datas.get(code) if code not in local_today_datas: local_today_datas[code] = [] if total_datas: _start_index = total_datas[-1]["index"] + 1 # 如果是板上，就需要剔除板上卖数据, 默认不剔除 filter_limit_up_sell = False trade_price_info = HuaXinSellOrderStatisticManager.get_latest_trade_price_info(code) limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price: limit_up_price = round(float(limit_up_price), 2) # if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price: # filter_limit_up_sell = True datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas, limit_up_price, _start_index, filter_limit_up_sell) __start_time = round(t.time() * 1000) if len(datas) > 0: cls.process_add_datas(code, datas, 0, __start_time) except Exception as e: async_log_util.error(logger_l2_error, f"code:{code}") # async_log_util.exception(logger_l2_error, e) logger_l2_error.exception(e) finally: if datas: l2.l2_data_util.save_l2_data(code, None, datas) origin_datas.clear() @classmethod def __recompute_real_order_index(cls, code, pre_real_order_index, order_info): real_order_index = huaxin_delegate_postion_manager.recompute_for_slow_time(code, order_info, pre_real_order_index) if real_order_index: try: exec_index = order_info[6] order_begin_pos = cls.__get_order_begin_pos( code) async_log_util.info(logger_debug, f"下单位矫正：真实下单位-{real_order_index} 订单信息-{order_info} 下单信息-{order_begin_pos.to_dict()}") if order_begin_pos and order_begin_pos.buy_exec_index == exec_index: cls.set_real_place_order_index(code, real_order_index, order_begin_pos) async_log_util.info(logger_real_place_order_position, f"真实下单位置矫正：{code}-({real_order_index},1)") except Exception as e: logger_debug.exception(e) @classmethod def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time): now_time_str = tool.get_now_time_str() if len(add_datas) > 0: if code not in cls.__trade_log_placr_order_info_dict: cls.__trade_log_placr_order_info_dict[code] = trade_record_log_util.PlaceOrderInfo() # 拼接数据 local_today_datas[code].extend(add_datas) l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas) l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas) l2.l2_data_util.load_sell_no_map(local_today_sellno_map, code, add_datas) l2.l2_data_util.load_canceled_buy_no_map(local_today_canceled_buyno_map, code, add_datas) if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN: try: if constant.TEST: pass # order_begin_pos = cls.__get_order_begin_pos(code) # if order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index>=0: # place_order_index = add_datas[-1]["index"] # cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index) else: # 获取下单位置 place_order_index, order_info = huaxin_delegate_postion_manager.get_l2_place_order_position( code, float( gpcode_manager.get_limit_up_price(code)), add_datas) if place_order_index: order_begin_pos = cls.__get_order_begin_pos( code) cls.set_real_place_order_index(code, place_order_index, order_begin_pos) try: cls.__re_compute_threading_pool.submit( cls.__recompute_real_order_index, code, place_order_index, order_info) except: pass async_log_util.info(logger_l2_process, f"code:{code} 获取到下单真实位置：{place_order_index}") # 处理涨停卖与涨停卖撤 try: for d in add_datas: if L2DataUtil.is_limit_up_price_sell(d['val']): L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell(code, d) elif L2DataUtil.is_limit_up_price_sell_cancel(d['val']): L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code, d['val']['orderNo']) except Exception as e: logger_debug.exception(e) except: async_log_util.error(logger_l2_error, f"{code} 处理真实下单位置出错") # 第1条数据是否为09:30:00 if add_datas[0]["val"]["time"] == "09:30:00": if global_util.cuurent_prices.get(code): price_data = global_util.cuurent_prices.get(code) if price_data[1]: # 当前涨停价，设置涨停时间 async_log_util.info(logger_l2_process, f"开盘涨停：{code}") # 保存涨停时间 cls.__LimitUpTimeManager.save_limit_up_time(code, "09:30:00") total_datas = local_today_datas[code] # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, # "l2数据预处理时间") # 9:29:55开始处理数据 if len(add_datas) > 0 and int(tool.get_now_time_str().replace(":", "")) > int("092955"): # 是否为首板代码 is_first_code = True # gpcode_manager.FirstCodeManager().is_in_first_record(code) # 计算量 current_sell = cls.__L2MarketSellManager.get_current_total_sell_data(code) total_sell_volume = 0 if current_sell and len(current_sell) > 2: total_sell_volume = current_sell[2] volume_rate = code_volumn_manager.get_volume_rate(code, total_sell_volume=total_sell_volume) volume_rate_index = code_volumn_manager.get_volume_rate_index(volume_rate) # 计算分值 limit_up_time = cls.__LimitUpTimeManager.get_limit_up_time_cache(code) if limit_up_time is None: limit_up_time = tool.get_now_time_str() score = None cls.__l2PlaceOrderParamsManagerDict[code] = l2_trade_factor.L2PlaceOrderParamsManager(code, is_first_code, volume_rate, volume_rate_index, score, total_datas[-1][ 'val']['time']) cls.volume_rate_info[code] = (volume_rate, volume_rate_index) latest_time = add_datas[-1]["val"]["time"] # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, # "l2数据准备时间") # 时间差不能太大才能处理 if not l2_trade_util.is_in_forbidden_trade_codes(code): # 计算板上卖,当数据少时才计算，否则不计算 try: if len(add_datas) < 20: has_limit_up_sell = False for d in add_datas: if L2DataUtil.is_limit_up_price_sell(d["val"]): if d["val"]["num"] * float(d["val"]["price"]) < 5000: continue cls.__L2LimitUpSellManager.add_limit_up_sell(code, d["index"]) has_limit_up_sell = True if has_limit_up_sell: LCancelRateManager.compute_big_num_deal_info(code) # elif L2DataUtil.is_limit_up_price_sell_cancel(d["val"]): # cls.__L2LimitUpSellManager.add_limit_up_sell(code, d["index"]) except Exception as e: async_log_util.error(logger_l2_error, f"计算板上卖出错：{str(e)}") # 判断是否已经挂单 state = cls.__CodesTradeStateManager.get_trade_state_cache(code) start_index = len(total_datas) - len(add_datas) end_index = len(total_datas) - 1 if state == trade_constant.TRADE_STATE_BUY_DELEGATED or state == trade_constant.TRADE_STATE_BUY_PLACE_ORDER or state == trade_constant.TRADE_STATE_BUY_SUCCESS: # 已挂单 cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code) else: # 未挂单,时间相差不大才能挂单 # tool.trade_time_sub(latest_time, "09:32:00") < 0 if l2.l2_data_util.L2DataUtil.is_same_time( now_time_str, latest_time): cls.__process_not_order(code, start_index, end_index, capture_timestamp, is_first_code) l2_log.info(code, logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 线程ID：{}", code, add_datas[0]["index"], add_datas[-1]["index"], round(t.time() * 1000) - __start_time, l2_log.threadIds.get(code)) # 处理未挂单 @classmethod def __process_not_order(cls, code, start_index, end_index, capture_time, is_first_code): __start_time = round(t.time() * 1000) # 获取阈值 threshold_money, msg = cls.__get_threshmoney(code) cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code) # 测试专用 @classmethod def process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True): cls.__process_order(code, start_index, end_index, capture_time, is_first_code, new_add) # 处理已挂单 @classmethod def __process_order(cls, code, start_index, end_index, capture_time, is_first_code, new_add=True): # 增加推出机制 unique_key = f"{start_index}-{end_index}" if cls.__latest_process_order_unique_keys.get(code) == unique_key: async_log_util.error(logger_l2_error, f"重复处理数据：code-{code} start_index-{start_index} end_index-{end_index}") return cls.__latest_process_order_unique_keys[code] = unique_key # H撤 def h_cancel(_buy_single_index, _buy_exec_index): _start_time = round(t.time() * 1000) try: b_need_cancel, b_cancel_data = cls.__HourCancelBigNumComputer.need_cancel(code, _buy_single_index, _buy_exec_index, start_index, end_index, total_data, code_volumn_manager.get_volume_rate_index( order_begin_pos.buy_volume_rate), cls.volume_rate_info[code][1], is_first_code) if b_need_cancel and b_cancel_data: return b_cancel_data, "H撤" except Exception as e: if constant.TEST: logging.exception(e) # TODO 可能耗时 logger_l2_error.exception(e) async_log_util.error(logger_l2_error, f"H撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} {str(e)}") async_log_util.exception(logger_l2_error, e) # logger_l2_error.exception(e) finally: # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算") pass return None, "" # L撤 def l_cancel(_buy_single_index, _buy_exec_index): _start_time = round(t.time() * 1000) try: b_need_cancel, b_cancel_data, extra_msg = cls.__LCancelBigNumComputer.need_cancel(code, _buy_exec_index, start_index, end_index, total_data, is_first_code) if b_need_cancel and b_cancel_data: return b_cancel_data, f"L撤({extra_msg})" except Exception as e: async_log_util.error(logger_l2_error, f"L撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}") # logger_l2_error.exception(e) async_log_util.exception(logger_l2_error, e) finally: # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算") pass return None, "" # G撤 def g_cancel(_buy_single_index, _buy_exec_index): try: b_need_cancel, b_cancel_data, extra_msg = cls.__GCancelBigNumComputer.need_cancel(code, _buy_exec_index, start_index, end_index) if b_need_cancel and b_cancel_data: return b_cancel_data, f"G撤({extra_msg})" except Exception as e: async_log_util.error(logger_l2_error, f"G撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}") # logger_l2_error.exception(e) async_log_util.exception(logger_l2_error, e) finally: # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算") pass return None, "" # B撤 def b_cancel(_buy_single_index, _buy_exec_index): try: b_need_cancel, b_cancel_data, extra_msg = cls.__GCancelBigNumComputer.need_cancel_for_b(code, start_index, end_index) if b_need_cancel and b_cancel_data: return b_cancel_data, f"G撤({extra_msg})" except Exception as e: async_log_util.error(logger_l2_error, f"B撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}") return None, "" # J撤 def j_cancel(_buy_single_index, _buy_exec_index): try: b_need_cancel, b_cancel_data, extra_msg = JCancelBigNumComputer().need_cancel(code, start_index, end_index) if b_need_cancel and b_cancel_data: return b_cancel_data, f"J撤({extra_msg})" except Exception as e: async_log_util.error(logger_l2_error, f"J撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}") return None, "" if start_index < 0: start_index = 0 if end_index < start_index: return total_data = local_today_datas.get(code) _start_time = tool.get_now_timestamp() # 获取买入信号起始点 order_begin_pos = cls.__get_order_begin_pos( code) # 默认量为0.2 if order_begin_pos.buy_volume_rate is None: order_begin_pos.buy_volume_rate = 0.2 cancel_data, cancel_msg = None, "" if not cancel_data: cancel_data, cancel_msg = g_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) # 依次处理 if not cancel_data: cancel_data, cancel_msg = l_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) # B撤 if not cancel_data: cancel_data, cancel_msg = b_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) if not cancel_data: cancel_data, cancel_msg = h_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) # J撤 if not cancel_data: cancel_data, cancel_msg = j_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) if cancel_data and not DCancelBigNumComputer().has_auto_cancel_rules(code): l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}", cancel_data["index"], cancel_msg) # 撤单 cls.cancel_buy(code, cancel_msg, cancel_index=cancel_data["index"]) # 撤单成功，继续计算下单 cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code) else: pass @classmethod def start_buy(cls, code, last_data, last_data_index, is_first_code): cls.__buy(code, 0, last_data, last_data_index, is_first_code) @classmethod def get_active_buy_blocks(cls, code): """ 获取激进买入的板块 @param code: @return: """ if tool.is_sh_code(code): # 上证不激进下单 return None current_total_sell_data = L2MarketSellManager().get_current_total_sell_data(code) place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code) # 只有初次下单 + 总抛压大于500w能激进下单 if place_order_count > 0 or current_total_sell_data is None or current_total_sell_data[1] < 500 * 10000: return None if global_util.zyltgb_map.get(code) > 50 * 100000000: # 50亿以上的无法激进下单 return None can_buy_result = CodePlateKeyBuyManager.can_buy(code) if can_buy_result: if can_buy_result[5]: return can_buy_result[5] elif not can_buy_result[0] and can_buy_result[1]: # 10:00:00 前的独苗可激进买入 if tool.trade_time_sub(tool.get_now_time_str(), "10:00:00") <= 0: return ["独苗"] return None @classmethod def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code): # 添加买入锁 if code not in cls.__buy_lock_dict: cls.__buy_lock_dict[code] = threading.Lock() with cls.__buy_lock_dict[code]: # 判断是否可以下单，不处于可下单状态需要返回 state = cls.__CodesTradeStateManager.get_trade_state_cache(code) if state == trade_constant.TRADE_STATE_BUY_DELEGATED or state == trade_constant.TRADE_STATE_BUY_PLACE_ORDER or state == trade_constant.TRADE_STATE_BUY_SUCCESS: # 不处于可下单状态 return False __start_time = tool.get_now_timestamp() can, need_clear_data, reason = False, False, "" if not is_first_code: can, need_clear_data, reason = cls.__can_buy(code) else: can, need_clear_data, reason = cls.__can_buy_first(code) # __start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "最后判断是否能下单", force=True) # 删除虚拟下单 if code in cls.unreal_buy_dict: cls.unreal_buy_dict.pop(code) order_begin_pos = cls.__get_order_begin_pos( code) if not can: l2_log.debug(code, "不可以下单，原因：{}", reason) trade_record_log_util.add_cant_place_order_log(code, reason) if need_clear_data: trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index, local_today_datas.get(code)) return False else: l2_log.debug(code, "可以下单，原因：{}", reason) try: l2_log.debug(code, "开始执行买入") trade_manager.start_buy(code, capture_timestamp, last_data, last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index) l2_log.debug(code, "执行买入成功") ################下单成功处理################ trade_result_manager.real_buy_success(code, cls.__TradePointManager) l2_log.debug(code, "处理买入成功1") cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"], order_begin_pos.buy_single_index, is_default=True) l2_log.debug(code, "处理买入成功2") params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc() l2_log.debug(code, params_desc) ############记录下单时的数据############ try: jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache( code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True) if jx_blocks: jx_blocks = jx_blocks[0] if jx_blocks_by: jx_blocks_by = jx_blocks_by[0] info = cls.__trade_log_placr_order_info_dict[code] info.mode = order_begin_pos.mode info.mode_desc = order_begin_pos.mode_desc info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index) info.set_sell_info(order_begin_pos.sell_info) if jx_blocks: info.set_kpl_blocks(list(jx_blocks)) elif jx_blocks_by: info.set_kpl_blocks(list(jx_blocks_by)) else: info.set_kpl_blocks([]) can_buy_result = CodePlateKeyBuyManager.can_buy(code) if can_buy_result: if not can_buy_result[0] and can_buy_result[1]: info.set_kpl_match_blocks(["独苗"]) elif not can_buy_result[0] and not can_buy_result[1]: info.set_kpl_match_blocks(["非独苗不满足身位"]) else: temps = [] temps.extend([f"{x[0]}" for x in can_buy_result[0]]) if can_buy_result[5]: temps.append(f"激进买入：{can_buy_result[5]}") info.set_kpl_match_blocks(temps) trade_record_log_util.add_place_order_log(code, info) except Exception as e: async_log_util.error(logger_l2_error, f"加入买入记录日志出错：{str(e)}") except Exception as e: async_log_util.exception(logger_l2_error, e) l2_log.debug(code, "执行买入异常:{}", str(e)) pass finally: # l2_log.debug(code, "m值影响因子：{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code)) pass return True # 是否可以取消 @classmethod def __can_cancel(cls, code): if constant.TEST: return True, "" if cls.__WhiteListCodeManager.is_in_cache(code): return False, "代码在白名单中" # 暂时注释掉 # 14点后如果是板块老大就不需要取消了 # now_time_str = tool.get_now_time_str() # if int(now_time_str.replace(":", "")) >= 140000: # industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list()) # if industry is None: # return True, "没有获取到行业" # codes_index = industry_codes_sort.sort_codes(codes, code) # if codes_index is not None and codes_index.get(code) is not None: # # 同一板块中老二后面的不能买 # if codes_index.get(code) == 0: # return False, "14:00后老大不能撤单" # elif codes_index.get(code) == 1: # # 判断老大是否都是09：30：00涨停的 # # 同1板块老大是09:30:00涨停，老二14：00砸开的不撤 # first_count = 0 # for key in codes_index: # if codes_index[key] == 0: # first_count += 1 # if limit_up_time_manager.get_limit_up_time(key) == "09:30:00": # first_count -= 1 # if first_count == 0: # return False, "14:00后老大都开盘涨停，老二不能撤单" return True, "" # 是否可以买 # 返回是否可以买,是否需要清除之前的买入信息，原因 @classmethod def __can_buy(cls, code): __start_time = t.time() if not cls.__TradeStateManager.is_can_buy_cache(): return False, True, f"今日已禁止交易" # 之前的代码 # 首板代码且尚未涨停过的不能下单 # is_limited_up = gpcode_manager.FirstCodeManager().is_limited_up(code) # if not is_limited_up: # gpcode_manager.FirstCodeManager().add_limited_up_record([code]) # 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 False, True, "首板代码，且尚未涨停过" try: # 买1价格必须为涨停价才能买 # buy1_price = cls.buy1PriceManager().get_price(code) # if buy1_price is None: # return False, "买1价尚未获取到" # limit_up_price = gpcode_manager.get_limit_up_price(code) # if limit_up_price is None: # return False, "尚未获取到涨停价" # if abs(float(buy1_price) - float(limit_up_price)) >= 0.01: # return False, "买1价不为涨停价，买1价-{} 涨停价-{}".format(buy1_price, limit_up_price) # 从买入信号起始点到当前数据末尾的纯买手数与当前的卖1做比较，如果比卖1小则不能买入 total_datas = local_today_datas[code] if total_datas[-1]["index"] + 1 > len(total_datas): return False, True, "L2数据错误" try: sell1_time, sell1_price, sell1_volumn = cls.__ths_l2_trade_queue_manager.get_sell1_info(code) l2_log.buy_debug(code, "卖1信息为：({},{},{})", sell1_time, sell1_price, sell1_volumn) if sell1_time is not None and sell1_volumn > 0: # 获取执行位信息 order_begin_pos = cls.__get_order_begin_pos(code) buy_nums = order_begin_pos.num for i in range(order_begin_pos.buy_exec_index + 1, total_datas[-1]["index"] + 1): _val = total_datas[i]["val"] # 涨停买 if L2DataUtil.is_limit_up_price_buy(_val): # 涨停买 buy_nums += _val["num"] * total_datas[i]["re"] elif L2DataUtil.is_limit_up_price_buy_cancel(_val): buy_nums -= _val["num"] * total_datas[i]["re"] if buy_nums < sell1_volumn * 0.49: return False, False, "纯买量({})小于卖1量的49%{} 卖1时间：{}".format(buy_nums, sell1_volumn, sell1_time) except Exception as e: logging.exception(e) # 量比超过1.3的不能买 volumn_rate = cls.volume_rate_info[code][0] if volumn_rate >= 1.3: return False, False, "最大量比超过1.3不能买" limit_up_time = cls.__LimitUpTimeManager.get_limit_up_time_cache(code) if limit_up_time is not None: limit_up_time_seconds = l2.l2_data_util.L2DataUtil.get_time_as_second( limit_up_time) if limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second( "13:00:00"): return False, False, "二板下午涨停的不能买，涨停时间为{}".format(limit_up_time) if limit_up_time_seconds >= l2.l2_data_util.L2DataUtil.get_time_as_second("14:55:00"): return False, False, "14:55后涨停的不能买，涨停时间为{}".format(limit_up_time) # 同一板块中老二后面的不能买 industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list()) if industry is None: return True, False, "没有获取到行业" codes_index = industry_codes_sort.sort_codes(codes, code) if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1: # 当老大老二当前没涨停 return False, False, "同一板块中老三,老四,...不能买" if cls.__codeActualPriceProcessor.is_under_water(code, total_datas[-1]["val"]["time"]): # 水下捞且板块中的票小于16不能买 # if global_util.industry_hot_num.get(industry) is not None and global_util.industry_hot_num.get( # industry) <= 16: # return False, "水下捞,板块中的票小于2只,为{}".format(global_util.industry_hot_num.get(industry)) # 水下捞自由流通市值大于老大的不要买 if codes_index.get(code) != 0: # 获取老大的市值 for c in codes_index: if codes_index.get(c) == 0 and global_util.zyltgb_map.get(code) > global_util.zyltgb_map.get(c): return False, False, "水下捞，不是老大，且自由流通市值大于老大" # 13:30后涨停，本板块中涨停票数<29不能买 # if limit_up_time is not None: # if int(limit_up_time.replace(":", "")) >= 133000 and global_util.industry_hot_num.get(industry) is not None: # if global_util.industry_hot_num.get(industry) < 16: # return False, "13:30后涨停，本板块中涨停票数<16不能买" if codes_index.get(code) is not None and codes_index.get(code) == 1: # 如果老大已经买成功了, 老二就不需要买了 first_codes = [] for key in codes_index: if codes_index.get(key) == 0: first_codes.append(key) # 暂时注释掉 # for key in first_codes: # state = trade_manager.get_trade_state(key) # if state == trade_manager.TRADE_STATE_BUY_SUCCESS: # # 老大已经买成功了 # return False, "老大{}已经买成功，老二无需购买".format(key) # # # 有9点半涨停的老大才能买老二，不然不能买 # # 获取老大的涨停时间 # for key in first_codes: # # 找到了老大 # time_ = limit_up_time_manager.get_limit_up_time(key) # if time_ == "09:30:00": # return True, "9:30涨停的老大，老二可以下单" # return False, "老大非9:30涨停，老二不能下单" # 过时 老二，本板块中涨停票数<29 不能买 # 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, "老二，本板块中涨停票数<29不能买" # 可以下单 return True, False, None finally: # l2_data_log.l2_time(code, round((t.time() - __start_time) * 1000), "是否可以下单计算") pass @classmethod def __can_buy_first(cls, code): if code.find("60") == 0: return False, True, f"上证暂不交易" if not cls.__TradeStateManager.is_can_buy_cache(): return False, True, f"今日已禁止交易" if l2_trade_util.is_in_forbidden_trade_codes(code): return False, True, f"代码禁止交易" if cls.__PauseBuyCodesManager.is_in_cache(code): return False, True, f"该代码被暂停交易" now_time_int = int(tool.get_now_time_str().replace(":", "")) if now_time_int >= 145700: return False, True, f"14:57后不能交易" if 130100 >= now_time_int >= 112900 or now_time_int < 93100: return False, True, f"09:31:00之前，11:29:00-13:01:00不能交易" # place_order_count = cls.__PlaceOrderCountManager.get_place_order_count(code) # if place_order_count > 0 and now_time_int >= 140000: # # 14:00:00后只打老大的回封 # return False, True, f"14:00:00不打回封" limit_up_price = gpcode_manager.get_limit_up_price(code) if constant.MIN_CODE_PRICE < float(limit_up_price) < constant.MAX_CODE_PRICE: # 满足条件的单价 pass elif float(limit_up_price) > constant.MAX_CODE_PRICE: # HighIncreaseCodeManager().add_code(code) # 小市值高股价可买 zyltgb = global_util.zyltgb_map.get(code) if zyltgb > 25e8 or float(limit_up_price) > constant.MAX_SUBSCRIPT_CODE_PRICE: return False, True, f"股价大于{constant.MAX_CODE_PRICE}块/小于{constant.MIN_CODE_PRICE}块" else: return False, True, f"股价小于{constant.MIN_CODE_PRICE}块" # place_order_count = cls.__PlaceOrderCountManager.get_place_order_count(code) # if place_order_count and place_order_count >= 10: # l2_trade_util.forbidden_trade(code, msg="当日下单次数已达10次") # return False, True, f"当日下单次数已达10次" # ---------均价约束------------- average_rate = cls.__Buy1PriceManager.get_average_rate(code) if average_rate and average_rate <= 0.01 and tool.trade_time_sub(tool.get_now_time_str(), "10:30:00") >= 0: return False, True, f"均价涨幅({average_rate})小于1%" total_data = local_today_datas.get(code) # 9:32之前上证开1的票不买 if tool.is_sh_code(code) and int(total_data[-1]["val"]["time"].replace(":", "")) <= int("093200"): # 获取涨停时间 limit_up_data = kpl_data_manager.KPLLimitUpDataRecordManager.record_code_dict.get(code) if limit_up_data: limit_up_time = tool.to_time_str(limit_up_data[2]) if int(limit_up_time.replace(":", "")) < int("093000"): return False, True, f"上证开一09:32之前不下单" order_begin_pos = cls.__get_order_begin_pos( code) if not trade_result_manager.can_place_order_for_cancel_time(code, total_data[order_begin_pos.buy_exec_index]): return False, True, f"距离上次挂单小于1000ms" if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN: trade_price = current_price_process_manager.get_trade_price(code) if trade_price is None: return False, True, f"尚未获取到当前成交价" # 判断是否为板上放量： # 1.当前成交价为涨停价 # 2.总卖额为0 if abs(float(limit_up_price) - float(trade_price)) < 0.001: # 获取最近的非涨停价成交时间 not_limit_up_info = current_price_process_manager.get_trade_not_limit_up_info(code) if not not_limit_up_info or tool.trade_time_sub(total_data[-1]['val']['time'], not_limit_up_info[1]) > 10: # 获取最近2s的成交 deal_list = HuaXinSellOrderStatisticManager.get_latest_2s_continue_deal_volumes(code) total_deal_volume = 0 if deal_list: total_deal_volume = sum([x[1] for x in deal_list]) total_deal_money = int(total_deal_volume * float(limit_up_price)) if total_deal_money < 200000: return False, True, f"板上放量成交金额不足，近2s总成交金额：{total_deal_money}小于20w" # 判断成交进度是否距离我们的位置很近 trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code) if False and not is_default and trade_index: not_cancel_num = 0 num_operate_map = local_today_num_operate_map.get(code) for i in range(trade_index + 1, total_data[-1]["index"] + 1): if L2DataUtil.is_limit_up_price_buy(total_data[i]["val"]): left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, total_data[ i][ "index"], total_data, local_today_canceled_buyno_map.get( code)) if left_count > 0: not_cancel_num += total_data[i]["val"]["num"] m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code) not_cancel_money = not_cancel_num * 100 * float(gpcode_manager.get_limit_up_price(code)) if m_base_val > not_cancel_money: return False, False, f"成交位置距离当前位置纯买额({not_cancel_money})小于m值({m_base_val})" # 上证下单需要有成交大单（包含主动买与被动买）或者挂买的大单 if tool.is_sh_code(code): deal_big_order_count = BigOrderDealManager().get_total_buy_count(code) if deal_big_order_count < 1: # 统计挂买大单 trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code) if trade_index is None: trade_index = 0 limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2) # 从成交进度位到截至位置计算大单 min_money = l2_data_util.get_big_money_val(limit_up_price) left_count, left_money = cancel_buy_strategy.L2DataComputeUtil.compute_left_buy_order(code, trade_index, total_data[ -1][ "index"], limit_up_price, min_money=min_money) if left_count < 1: return False, False, f"没有已挂或者成交的大单" # 暂时注释想买单功能 if not cls.__WantBuyCodesManager.is_in_cache(code): # if cls.__TradeTargetCodeModeManager.get_mode_cache() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES: # return False, True, f"只买想买单中的代码" return cls.can_buy_first_new(code, limit_up_price) else: return True, False, "在想买单中" # 获取可以买的板块 @classmethod def __get_can_buy_block(cls, code): can_buy_result = CodePlateKeyBuyManager.can_buy(code) if can_buy_result is None: async_log_util.warning(logger_debug, "没有获取到板块缓存，将获取板块") latest_current_limit_up_records = kpl_data_manager.get_latest_current_limit_up_records() CodePlateKeyBuyManager.update_can_buy_blocks(code, kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas, kpl_data_manager.KPLLimitUpDataRecordManager.total_datas, latest_current_limit_up_records, block_info.get_before_blocks_dict(), kpl_data_manager.KPLLimitUpDataRecordManager.get_current_limit_up_reason_codes_dict()) can_buy_result = CodePlateKeyBuyManager.can_buy(code) return can_buy_result @classmethod def can_buy_first(cls, code, limit_up_price): now_timestamp = int(tool.get_now_time_str().replace(":", "")) # 判断板块 # (可以买的板块列表, 是否是独苗, 消息简介,可买的强势主线, 板块关键词) can_buy_result = cls.__get_can_buy_block(code) # l2_log.debug(code, "获取到的板块信息：{}", can_buy_result) if can_buy_result is None: return False, True, "尚未获取到板块信息" # -------量的约束-------- volume_rate_thresholds = buy_condition_util.get_volume_rate_by_level( 1), buy_condition_util.get_volume_rate_by_level(2) k_format = code_nature_analyse.CodeNatureRecordManager().get_k_format_cache(code) # 是否有辨识度 is_special = True if k_format and k_format[8][0] else False # 上5个交易日有炸板之后 has_open_limit_up_in_5 = True if k_format and len(k_format) >= 11 and k_format[10] else False # 上5个交易日有跌停 has_limit_down_in_5 = True if k_format and len(k_format) >= 13 and k_format[12] else False # 是否是强势10分钟 is_in_strong_time = now_timestamp <= int("094000") # 是否是强势30分钟 is_in_strong_time_30 = now_timestamp <= int("100000") # 量参考是否在最近30天 # is_refer_volume_date_in_30_days = False # try: # volume_refer_date, volume_refer_date_distance = code_volumn_manager.get_volume_refer_date(code) # if volume_refer_date_distance < 30: # is_refer_volume_date_in_30_days = True # except: # pass # 获取市场行情 situation = cls.__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[1]: return False, True, f"{zylt_threshold_as_yi[1]}亿以上的都不买（{zyltgb_as_yi}）" if zyltgb_as_yi < zylt_threshold_as_yi[0]: return False, True, f"{zylt_threshold_as_yi[0]}亿以下的都不买（{zyltgb_as_yi}）" if constant.ALL_ACTIVE_BUY: return True, False, "买所有" # 最优市值 is_best_zylt = True if zylt_threshold_as_yi[4] <= zyltgb_as_yi <= zylt_threshold_as_yi[5] else False if is_special: # 具有辨识度，算作最优市值 zyltgb_as_yi = zylt_threshold_as_yi[2] + 1 # 是否是最优自由流通市值 is_better_zylt = True if zylt_threshold_as_yi[2] <= zyltgb_as_yi <= zylt_threshold_as_yi[3] else False if is_in_strong_time_30 and is_best_zylt: # 强势30分钟，最优市值, 有可以下单的板块，不看量 return True, False, can_buy_result[2] # 注释量的影响 # if k_format and (k_format[1][0] or k_format[3][0]) and len(k_format) >= 12 and k_format[11]: # # 破前高/接近前高且30天内有涨停 # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]: # return False, True, f"股价创新高或者逼近前高且30天内有涨停,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # 注释量的影响 # if HighIncreaseCodeManager().is_in(code): # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.59: # return False, True, f"5天内3次涨停，量未达到59%（{cls.volume_rate_info[code][0]}）" msg_list = [] if is_in_strong_time: msg_list.append("强势10分钟") # 上5个交易日有炸板之后 # 注释量的影响 # if has_open_limit_up_in_5: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15: # return False, True, f"强势10分钟,上5个交易日炸板,量未达到{0.15}({cls.volume_rate_info[code][0]})" # # # 上5个交易日有跌停 # if has_limit_down_in_5: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15: # return False, True, f"强势10分钟,上5个交易日跌停,量未达到{0.15}({cls.volume_rate_info[code][0]})" # # # 获取量的参考日期 # if code in global_util.max60_volumn: # day = global_util.max60_volumn[code][1] # if day in HistoryKDatasUtils.get_latest_trading_date_cache(5): # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.15 and not is_special: # return False, True, f"强势10分钟，参考量在最近5天，无辨识度，量未达到0.15({cls.volume_rate_info[code][0]})" # 独苗 if not can_buy_result[0] and can_buy_result[1]: msg_list.append("独苗") if not is_better_zylt: # 如果没有辨识度才不买 if not is_special: return False, True, f"强势10分钟，无辨识度， 独苗（{can_buy_result[4]}）不下单（{can_buy_result[4]}）自由流通市值（{zyltgb_as_yi}）不是特优市值" # 注释量的影响 # if k_format and (k_format[1][0] or k_format[3][0]): # msg_list.append("股价创新高或者逼近前高") # # 股价创新高或者逼近前高 # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]: # return False, True, f"强势10分钟，独苗（{can_buy_result[4]}），股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # else: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[ # 0] and not is_special: # return False, True, f"强势10分钟，无辨识度，独苗（{can_buy_result[4]}）,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}" elif not can_buy_result[0]: return False, True, f"非独苗不满足身位：{can_buy_result[2]}" else: msg_list.append("非独苗") if not is_better_zylt: msg_list.append("不满足自由流通") # 注释量的影响 # if k_format and (k_format[1][0] or k_format[3][0]): # # 股价创新高或者逼近前高 # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]: # return False, True, f"强势10分钟，后排，不满足自由市值，股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # else: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[ # 0] and not is_special: # return False, True, f"强势10分钟，后排,无辨识度，不满足自由市值，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}" else: msg_list.append("满足自由流通") # 后排，满足自由流通市值需要下单 return True, False, can_buy_result[2] return True, False, can_buy_result[2] else: # 注释量的影响 # # 上5个交易日有炸板之后 # if has_open_limit_up_in_5: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29: # return False, True, f"非强势10分钟,上5个交易日炸板,量未达到{0.29}({cls.volume_rate_info[code][0]})" # # # 上5个交易日有跌停 # if has_limit_down_in_5: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29: # return False, True, f"非强势10分钟,上5个交易日跌停,量未达到{0.29}({cls.volume_rate_info[code][0]})" # 注释量的影响 # # 获取量的参考日期 # if code in global_util.max60_volumn: # day = global_util.max60_volumn[code][1] # if day in HistoryKDatasUtils.get_latest_trading_date_cache(5): # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < 0.29 and not is_special: # return False, True, f"参考量在最近5天，无辨识度，量未达到0.29({cls.volume_rate_info[code][0]})" # 非强势10分钟只买主线 if not can_buy_result[0] and can_buy_result[1]: if not is_special and not is_best_zylt: return False, True, f"非强势10分钟，无辨识度，非特优市值,独苗（{can_buy_result[4]}）不下单" # 注释量的影响 # if can_buy_result[3]: # # 强势主线 # if not is_better_zylt: # if k_format and (k_format[1][0] or k_format[3][0]): # # 股价创新高或者逼近前高 # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]: # return False, True, f"非强势10分钟，强势主线后排，不满足自由市值，股价创新高或者逼近前高,当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # else: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[ # 0] and not is_special: # return False, True, f"非强势10分钟，强势主线后排,不满足自由市值，无辨识度，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}" # else: # if k_format and (k_format[1][0] or k_format[3][0]): # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[0]: # return False, True, f"非强势10分钟，强势主线后排,满足自由市值，股价创新高或者逼近前高, 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}" # else: # # 非强势主线 # if not is_better_zylt: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[ # 1] and not is_special: # return False, True, f"非强势10分钟，非强势主线后排【主线后排】，不满足自由市值,无辨识度， 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # else: # if k_format and (k_format[1][0] or k_format[3][0]): # # 股价创新高或者逼近前高 # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[1]: # return False, True, f"非强势10分钟，非强势主线后排【主线后排】，满足自由市值，股价创新高或者逼近前高, 当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[1]}" # else: # if code in cls.volume_rate_info and cls.volume_rate_info[code][0] < volume_rate_thresholds[ # 0] and not is_special: # return False, True, f"非强势10分钟，非强势主线后排【主线后排】, 满足自由市值，无辨识度，当日量比({cls.volume_rate_info[code][0]})小于{volume_rate_thresholds[0]}" return True, False, can_buy_result[2] @classmethod def can_buy_first_new(cls, code, limit_up_price): now_timestamp = int(tool.get_now_time_str().replace(":", "")) # 判断板块 # (可以买的板块列表, 是否是独苗, 消息简介,可买的强势主线, 板块关键词) can_buy_result = cls.__get_can_buy_block(code) if can_buy_result is None: return False, True, "尚未获取到板块信息" # 是否是强势30分钟 is_in_strong_time_30 = now_timestamp <= int("100000") # 获取市场行情 situation = cls.__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]}亿以下的都不买（{zyltgb_as_yi}）" if 1 > 0: return True, False, "买所有" if zyltgb_as_yi >= zylt_threshold_as_yi[1]: return False, True, f"{zylt_threshold_as_yi[1]}亿以上的都不买（{zyltgb_as_yi}）" msg_list = [] if is_in_strong_time_30: msg_list.append("强势30分钟") # 独苗 if not can_buy_result[0] and can_buy_result[1]: msg_list.append("独苗") return True, False, "强势30分钟，独苗" elif not can_buy_result[0]: return False, True, f"强势30分钟，非独苗不满足身位：{can_buy_result[2]}" else: msg_list.append("非独苗") # 后排，满足自由流通市值需要下单 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, "之前下过单" if not can_buy_result[0]: if place_order_count <= 0 or can_buy_result[1]: return False, True, f"非强势30分钟，不满足身位：{can_buy_result[2]}" return True, False, can_buy_result[2] @classmethod def __cancel_buy(cls, code): if code not in cls.__buy_lock_dict: cls.__buy_lock_dict[code] = threading.Lock() with cls.__buy_lock_dict[code]: try: l2_log.debug(code, "开始执行撤单") trade_manager.start_cancel_buy(code) l2_log.debug(code, "执行撤单成功") return True except Exception as e: logging.exception(e) l2_log.debug(code, "执行撤单异常：{}", str(e)) return False finally: pass @classmethod def cancel_buy(cls, code, msg=None, source="l2", cancel_index=None): # 是否是交易队列触发 order_begin_pos = cls.__get_order_begin_pos( code) total_datas = local_today_datas.get(code) if not total_datas: return False if source == "trade_queue": # 交易队列触发的需要下单后5s if order_begin_pos.buy_exec_index is not None and order_begin_pos.buy_exec_index > 0: now_time_str = tool.get_now_time_str() if tool.trade_time_sub(now_time_str, total_datas[order_begin_pos.buy_exec_index]["val"]["time"]) < 5: return False if code in cls.unreal_buy_dict: cls.unreal_buy_dict.pop(code) # 取消买入标识 trade_result_manager.virtual_cancel_success(code, order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index, total_datas) else: can_cancel, reason = cls.__can_cancel(code) if not can_cancel: # 不能取消 l2_log.cancel_debug(code, "撤单中断，原因：{}", reason) l2_log.debug(code, "撤单中断，原因：{}", reason) return False if cancel_index is None: cancel_index = total_datas[-1]["index"] cls.__LatestCancelIndexManager.set_latest_cancel_index(code, cancel_index) # 添加撤单日志记录 trade_record_log_util.add_cancel_msg_log(code, msg) cancel_result = cls.__cancel_buy(code) if cancel_result: trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index, total_datas, from_real_cancel=True) l2_log.debug(code, "执行撤单结束，原因：{}", msg) return True # 虚拟下单 @classmethod def __virtual_buy(cls, code, buy_single_index, buy_exec_index, capture_time): cls.unreal_buy_dict[code] = (buy_exec_index, capture_time) trade_result_manager.virtual_buy_success(code) # 是否是在板上买 @classmethod def __is_at_limit_up_buy(cls, code_): # 总卖为0，当前成交价为涨停价就判断为板上买 current_sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code_) if current_sell_data and tool.trade_time_sub(tool.get_now_time_str(), current_sell_data[0]) < 5: # 5s内的数据才有效 if current_sell_data[1] <= 0: # 总卖为0 trade_price = current_price_process_manager.get_trade_price(code_) limit_up_price = gpcode_manager.get_limit_up_price(code_) if trade_price and limit_up_price and abs(float(trade_price) - float(limit_up_price)) <= 0.001: # 当前成交价为涨停价 return True return False @classmethod def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time, is_first_code, new_add=True): if compute_end_index < compute_start_index: return unique_key = f"{code}-{compute_start_index}-{compute_end_index}" if cls.__latest_process_not_order_unique_keys_count.get( unique_key) and cls.__latest_process_not_order_unique_keys_count.get(unique_key) > 2: async_log_util.error(logger_l2_error, f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}") return if unique_key not in cls.__latest_process_not_order_unique_keys_count: cls.__latest_process_not_order_unique_keys_count[unique_key] = 0 cls.__latest_process_not_order_unique_keys_count[unique_key] += 1 _start_time = tool.get_now_timestamp() total_datas = local_today_datas[code] # 获取买入信号计算起始位置 order_begin_pos = cls.__get_order_begin_pos( code) # 是否为新获取到的位置 new_get_single = False buy_single_index = order_begin_pos.buy_single_index if buy_single_index is None: # ------------------------------确定信号种类---------------------------------- # 第一步：获取激进下单信号 # if code.find('60') == 0: # 激进买 continue_count = 1 has_single, _index, sell_info, single_msg, mode = cls.__compute_active_order_begin_pos(code, continue_count, compute_start_index, compute_end_index) fast_msg = None if has_single: order_begin_pos.mode = mode order_begin_pos.mode_desc = f"委托触发： {single_msg}" order_begin_pos.sell_info = sell_info fast_msg = sell_info # 用了信号就必须清除掉原有信号 place_order_single_data_manager.L2TradeSingleDataManager.clear_data(code) if cls.__last_buy_single_dict.get(code) == _index: has_single = None _index = None buy_single_index = _index if has_single: # 判断是否是板上买 order_begin_pos.at_limit_up = cls.__is_at_limit_up_buy(code) # -----------------------------买入计算初始化,计算纯买额阈值----------------------- cls.__last_buy_single_dict[code] = buy_single_index new_get_single = True order_begin_pos.num = 0 order_begin_pos.count = 0 order_begin_pos.buy_single_index = buy_single_index order_begin_pos.threshold_money = int(sell_info[1] * 1.0) order_begin_pos.max_num_set = set() l2_log.debug(code, "获取到买入信号起始点：{} ,计算范围：{}-{} ，量比：{}，是否板上买：{}，数据：{} 模式：{}（{}） 信号类型：{}", buy_single_index, compute_start_index, compute_end_index, cls.volume_rate_info[code], order_begin_pos.at_limit_up, total_datas[buy_single_index], order_begin_pos.mode, fast_msg, single_msg) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "下单信号计算时间") if order_begin_pos.buy_single_index is None: # 未获取到买入信号，终止程序 return None # 开始计算的位置 start_process_index = max(order_begin_pos.buy_single_index, compute_start_index) if new_get_single: start_process_index = order_begin_pos.buy_single_index # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "计算m值大单") # threshold_money, msg = cls.__get_threshmoney(code) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m值阈值计算") # 设置为总卖额 new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new, max_num_set_new, not_buy_msg, clear_buy_single = cls.__sum_buy_num_for_order_active( code, start_process_index, compute_end_index, order_begin_pos.num, order_begin_pos.count, order_begin_pos.threshold_money, order_begin_pos.buy_single_index, order_begin_pos.max_num_set, order_begin_pos.sell_info[1]) threshold_money = threshold_money_new order_begin_pos.threshold_money = threshold_money l2_log.debug(code, "范围：{}-{} m值-{} 量比:{} rebegin_buy_pos:{} clear_buy_single:{}", compute_start_index, compute_end_index, threshold_money, cls.volume_rate_info[code][0], rebegin_buy_pos, clear_buy_single) # 买入信号位与计算位置间隔2s及以上了 if rebegin_buy_pos is not None: # 需要重新计算纯买额 cls.__start_compute_buy(code, rebegin_buy_pos, compute_end_index, threshold_money, capture_time, is_first_code, False) return if new_buy_exec_index is not None: l2_log.debug(code, "获取到买入执行位置：{} m值：{} 纯买手数：{} 纯买单数：{} 是否板上买：{} 数据：{} ,量比:{} ,下单模式：{}", new_buy_exec_index, threshold_money, buy_nums, buy_count, order_begin_pos.at_limit_up, total_datas[new_buy_exec_index], cls.volume_rate_info[code], order_begin_pos.mode) cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index, buy_exec_index=new_buy_exec_index, buy_compute_index=new_buy_exec_index, num=buy_nums, count=buy_count, max_num_set=max_num_set_new, buy_volume_rate=cls.volume_rate_info[code][0], mode=order_begin_pos.mode, mode_desc=order_begin_pos.mode_desc, sell_info=order_begin_pos.sell_info, threshold_money=threshold_money)) cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[new_buy_exec_index]["val"]["time"]) l2_log.debug(code, "delete_buy_cancel_point") # 直接下单 ordered = cls.__buy(code, capture_time, total_datas[-1], total_datas[-1]["index"], is_first_code) # 数据是否处理完毕 if new_buy_exec_index < compute_end_index: if ordered: cls.__process_order(code, new_buy_exec_index + 1, compute_end_index, capture_time, is_first_code, False) else: cls.__start_compute_buy(code, new_buy_exec_index + 1, compute_end_index, threshold_money, capture_time, is_first_code, False) else: # 未达到下单条件，保存纯买额，设置纯买额 # 记录买入信号位置 if not clear_buy_single: # 没有清除信号位置就保存下单位置信息 cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index, buy_exec_index=-1, buy_compute_index=compute_end_index, num=buy_nums, count=buy_count, mode_desc=order_begin_pos.mode_desc, max_num_set=max_num_set_new, mode=order_begin_pos.mode, sell_info=order_begin_pos.sell_info, threshold_money=threshold_money)) # 记录没下单原因 async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{not_buy_msg}") _start_time = t.time() # 获取下单起始信号 @classmethod def __get_order_begin_pos(cls, code) -> OrderBeginPosInfo: order_begin_pos = cls.__TradePointManager.get_buy_compute_start_data_cache( code) return order_begin_pos # 保存下单起始信号 @classmethod def __save_order_begin_data(cls, code, info: OrderBeginPosInfo): cls.__TradePointManager.set_buy_compute_start_data_v2(code, info) @classmethod def save_order_begin_data(cls, code, info: OrderBeginPosInfo): cls.__save_order_begin_data(code, info) # 计算下单起始信号 # compute_data_count 用于计算的l2数据数量 @classmethod def __compute_order_begin_pos(cls, code, start_index, continue_count, end_index): second_930 = 9 * 3600 + 30 * 60 + 0 # 倒数100条数据查询 datas = local_today_datas[code] if end_index - start_index + 1 < continue_count: return False, None __time = None last_index = None count = 0 start = None # now_time_s = tool.get_time_as_second(tool.get_now_time_str()) for i in range(start_index, end_index + 1): _val = datas[i]["val"] time_s = L2DataUtil.get_time_as_second(_val["time"]) # 时间要>=09:30:00 if time_s < second_930: continue # if not constant.TEST: # if abs(now_time_s - time_s) > 2: # # 正式环境下不处理2s外的数据 # continue if L2DataUtil.is_limit_up_price_buy(_val): # 金额要大于50万 if _val["num"] * float(_val["price"]) < 5000: continue # 寻找前面continue_count-1个涨停买 # for j in range(start_index - 1, -1, -1): # if datas[j]["val"] if last_index is None or (datas[last_index]["val"]["time"] == datas[i]["val"]["time"]): if start is None: start = i last_index = i count += datas[i]["re"] if count >= continue_count: return True, start else: # 本条数据作为起点 last_index = i count = datas[i]["re"] start = i elif not L2DataUtil.is_sell(_val) and not L2DataUtil.is_sell_cancel(_val): # 剔除卖与卖撤 last_index = None count = 0 start = None return False, None # 快速买入法的信号位置查找 @classmethod def __compute_fast_order_begin_pos(cls, code, start_index, end_index): total_datas = local_today_datas[code] start_time_str = total_datas[start_index]["val"]["time"] refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str) if refer_sell_data is None: return False, -1, "总卖为空" if cls.__L2MarketSellManager.is_refer_sell_time_used(code, refer_sell_data[0]): return False, -1, "总卖统计时间已被使用" # 是否大于2000万 if refer_sell_data[1] <= 2000 * 10000: return False, -1, "总卖小于指定金额" # 统计之前的卖 threshold_money = refer_sell_data[1] for i in range(start_index - 1, -1, -1): val = total_datas[i]["val"] if tool.compare_time(val["time"], refer_sell_data[0]) <= 0: break if L2DataUtil.is_sell(val): threshold_money += val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_sell_cancel(val): threshold_money -= val["num"] * int(float(val["price"]) * 100) # 是否为本秒的第一个涨停买 for i in range(start_index, end_index + 1): data = total_datas[i] val = data['val'] if not L2DataUtil.is_limit_up_price_buy(val): # 要统计卖与卖撤 if L2DataUtil.is_sell(val): threshold_money += val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_sell_cancel(val): threshold_money -= val["num"] * int(float(val["price"]) * 100) continue # 50 万以下的不需要 if val["num"] * float(val["price"]) < 5000: continue # 是否为本s的第一次涨停 is_first_limit_up = True for j in range(i - 1, -1, -1): temp_val = total_datas[j]["val"] if temp_val["time"] == val["time"]: if L2DataUtil.is_limit_up_price_buy(temp_val) and temp_val["num"] * float( temp_val["price"]) >= 5000: is_first_limit_up = True break else: break if is_first_limit_up: return True, i, [refer_sell_data[0], threshold_money] return False, None, None @classmethod def __get_active_single_start_index(cls, code, start_index, end_index, continue_count, valid_single=False): """ 获取主动买的信号起始索引 @param code: @param start_index: @param end_index: @param continue_count: @param valid_single: 是否验证成交买入信号 @return: """ total_datas = local_today_datas[code] last_index = None count = 0 start = None for i in range(start_index, end_index + 1): _val = total_datas[i]["val"] if L2DataUtil.is_limit_up_price_buy(_val): # 时间要>=09:30:00 if tool.trade_time_sub(_val["time"], "09:30:00") < 0: continue # 金额要大于50万 if _val["num"] * float(_val["price"]) < 5000: continue if last_index is None or ( total_datas[last_index]["val"]["time"] == total_datas[i]["val"]["time"]): # 深证非板上放量需要判断是否有信号 if valid_single: _single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single( code, tool.to_time_with_ms( _val['time'], _val['tms'])) if not _single: continue if start is None: start = i last_index = i count += total_datas[i]["re"] if count >= continue_count: return start else: # 本条数据作为起点 last_index = i count = total_datas[i]["re"] start = i elif not L2DataUtil.is_sell(_val) and not L2DataUtil.is_sell_cancel(_val): # 剔除卖与卖撤 last_index = None count = 0 start = None return None # 计算激进买的下单信号 @classmethod def __compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index): total_datas = local_today_datas[code] start_time_str = total_datas[start_index]["val"]["time"] if end_index - start_index + 1 < continue_count: return False, -1, "信号不连续", '', OrderBeginPosInfo.MODE_NORMAL # 获取最近的总卖信息 # (time_str, round(money), volume, sell_1_info) refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str) active_buy_blocks = cls.get_active_buy_blocks(code) if tool.is_sh_code(code): if refer_sell_data is None: # 设置默认卖信息 refer_sell_data = (start_time_str, 0, 0, (round(float(total_datas[start_index]["val"]["price"]), 2), 0)) # 上证:只要有一个涨停买的就是信号 for i in range(start_index, end_index + 1): _val = total_datas[i]["val"] if not L2DataUtil.is_limit_up_price_buy(_val): continue # 时间要>=09:30:00 if tool.trade_time_sub(_val["time"], "09:30:00") < 0: continue # 金额要大于50万 if _val["num"] * float(_val["price"]) < 5000: continue return True, i, [refer_sell_data[0], 0], '上证买入', OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_FAST return False, -1, "未获取到激进买的起始信号", '', OrderBeginPosInfo.MODE_NORMAL else: # 深证 if refer_sell_data is None: return False, -1, "总卖为空", '', OrderBeginPosInfo.MODE_NORMAL if refer_sell_data is None: refer_sell_data = (start_time_str, 0, 0, (round(float(total_datas[start_index]["val"]["price"]), 2), 0)) l2_log.debug(code, f"丢失总卖额，设置默认为0，计算范围：{start_index}-{end_index}") # 判断是否为真的板上放量 single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single( code, tool.to_time_with_ms(total_datas[end_index]['val']['time'], total_datas[end_index]['val']['tms'])) trade_price_info = HuaXinSellOrderStatisticManager.get_latest_trade_price_info(code) limit_up_price = gpcode_manager.get_limit_up_price(code) # p is_limit_up = False if limit_up_price and trade_price_info and abs(trade_price_info[0] - float(limit_up_price)) < 0.001: is_limit_up = True if refer_sell_data[1] > 0 or single or not is_limit_up: # 不是板上放量 # 判断最近有没有涨停卖数据 limit_up_sell_count = L2TradeSingleDataProcessor.get_latest_limit_up_sell_order_count(code) if (limit_up_sell_count == 0 or active_buy_blocks) and not single: # 如果没有涨停卖数据/激进下单而且还没有成交买入信号，就按照原来的总卖额计算 threshold_money, sell_1_price = refer_sell_data[1], refer_sell_data[3][0] for i in range(start_index - 1, -1, -1): val = total_datas[i]["val"] if tool.compare_time(val["time"], refer_sell_data[0]) < 0: # 读取的L2的总卖额是不包含当前s的数据，所以需要将当前s的数据纳入计算 break if L2DataUtil.is_sell(val): threshold_money += val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_sell_cancel(val): threshold_money -= val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_buy(val): # 判断价格（大于卖1） 被买吃掉 if round(float(val["price"]), 2) - sell_1_price >= 0: threshold_money -= val["num"] * int(float(val["price"]) * 100) buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count, valid_single=False) if buy_single_index is not None: return True, buy_single_index, [refer_sell_data[0], threshold_money], "上板无涨停卖", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_NORMAL else: # 按照成交买入信号计算 buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count, valid_single=True) if buy_single_index is not None: return True, buy_single_index, [refer_sell_data[0], 0], "上板有成交买入信号", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_FAST else: # 板上放量：只需要一笔涨停买可作为信号 buy_single_index = cls.__get_active_single_start_index(code, start_index, end_index, continue_count, valid_single=False) if buy_single_index is not None: return True, buy_single_index, [refer_sell_data[0], 0], "板上放量", OrderBeginPosInfo.MODE_ACTIVE if active_buy_blocks else OrderBeginPosInfo.MODE_NORMAL return False, -1, "未获取到激进买的起始信号", '', OrderBeginPosInfo.MODE_NORMAL @classmethod def test__compute_active_order_begin_pos(cls, code, continue_count, start_index, end_index): return cls.__compute_active_order_begin_pos(code, continue_count, start_index, end_index) @classmethod def __get_threshmoney(cls, code): m, msg = cls.__l2PlaceOrderParamsManagerDict[code].get_m_val() if trade_manager.CodesTradeStateManager().get_trade_state_cache(code) == trade_constant.TRADE_STATE_NOT_TRADE: # 首次下单m值扩大1.5倍 m = int(m * 1.5) return m, msg # 计算万手哥笔数 @classmethod def __compute_big_money_count(cls, total_datas, start_index, end_index): count = 0 for i in range(start_index, end_index + 1): if L2DataUtil.is_limit_up_price_buy(total_datas[i]["val"]): count += total_datas[i]["re"] elif L2DataUtil.is_limit_up_price_buy_cancel(total_datas[i]["val"]): count -= total_datas[i]["re"] return count # 将已经成交的过滤掉 @classmethod def __filter_not_deal_indexes(cls, code, indexes): trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code) if is_default: return indexes if trade_index is None: return indexes findexes = set() for index in indexes: if index < trade_index: continue findexes.add(index) return findexes # 统计买入净买量，不计算在买入信号之前的买撤单 @classmethod def __sum_buy_num_for_order_3(cls, code, compute_start_index, compute_end_index, origin_num, origin_count, threshold_money, buy_single_index, max_num_set, at_limit_up=False): _start_time = t.time() total_datas = local_today_datas[code] # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code) buy_nums = origin_num buy_count = origin_count limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price is None: raise Exception("涨停价无法获取") limit_up_price = float(limit_up_price) threshold_num = None # 大目标手数（满足这个就不需要看安全笔数） threshold_max_num = None # 目标订单数量 threshold_count = cls.__l2PlaceOrderParamsManagerDict[code].get_safe_count() # 最大间隔时间ms max_space_time_ms = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range() * 1000 # ----------------调整板上下单的m值与安全笔数---------------- if at_limit_up: # 板上买，获取最近一次闪电下单的总卖额 sell_data = cls.__latest_fast_place_order_info_dict.get(code) if sell_data: # 有过闪电下单 # 总卖的一半作为m值 threshold_num = int(sell_data[1] / (limit_up_price * 100)) // 2 threshold_max_num = 1 # 信号为之前有待成交的大单（不是正在成交） trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code) if not is_default and trade_index is not None: temp_big_num = int(30000 / limit_up_price) for i in range(trade_index + 1, buy_single_index): data = total_datas[i] val = data['val'] if not L2DataUtil.is_limit_up_price_buy(val): continue # 判断是否有大单未成交 if temp_big_num > val["num"]: continue left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, data[ "index"], total_datas, local_today_canceled_buyno_map.get( code)) if left_count > 0: # 安全笔数与囊括时间范围修改 threshold_count = 3 max_space_time_ms = 9 * 1000 break if not threshold_num: # 目标手数 threshold_num = round(threshold_money / (limit_up_price * 100)) if not threshold_max_num: threshold_max_num = int(threshold_num * 1.2) # place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code) # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"]) # 可以触发买，当有涨停买信号时才会触发买 trigger_buy = True # 如果大单含有率大于50%，则时间囊括范围提高到3s if max_num_set and origin_count: if len(max_num_set) / origin_count > 0.5: max_space_time_ms = 3 * 1000 # 最大买量 max_buy_num = 0 max_buy_num_set = set(max_num_set) # 需要的最小大单笔数 big_num_count = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count() # 较大单的手数 bigger_num = round(5000 / limit_up_price) not_buy_msg = "" for i in range(compute_start_index, compute_end_index + 1): data = total_datas[i] _val = total_datas[i]["val"] trigger_buy = False # 必须为连续2秒内的数据 if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms: cls.__TradePointManager.delete_buy_point(code) if i == compute_end_index: # 数据处理完毕 return None, buy_nums, buy_count, None, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms" else: # 计算买入信号，不能同一时间开始计算 for ii in range(buy_single_index + 1, compute_end_index + 1): if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]: return None, buy_nums, buy_count, ii, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms" # 涨停买 if L2DataUtil.is_limit_up_price_buy(_val): if l2_data_util.is_big_money(_val): max_buy_num_set.add(i) if _val["num"] >= bigger_num: trigger_buy = True # 只统计59万以上的金额 buy_nums += int(_val["num"]) * int(total_datas[i]["re"]) buy_count += int(total_datas[i]["re"]) if (buy_nums >= threshold_num and buy_count >= threshold_count) or buy_nums >= threshold_max_num: l2_log.info(code, logger_l2_trade_buy, f"{code}获取到买入执行点：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num}/{threshold_max_num} 统计纯买单数：{buy_count} 目标纯买单数：{threshold_count}, 大单数量：{len(max_buy_num_set)}") elif L2DataUtil.is_limit_up_price_buy_cancel(_val): if _val["num"] >= bigger_num: # 只统计59万以上的金额 # 涨停买撤 # 判断买入位置是否在买入信号之前 buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], local_today_buyno_map.get( code)) if buy_index is not None: # 找到买撤数据的买入点 if buy_index >= buy_single_index: buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) # 大单撤销 max_buy_num_set.discard(buy_index) l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num) else: l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index) if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]: # 同一秒,当作买入信号之后处理 buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) # 大单撤销 max_buy_num_set.discard(buy_index) l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i) else: # 未找到买撤数据的买入点 l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data) buy_nums -= int(_val["num"]) * int(total_datas[i]["re"]) buy_count -= int(total_datas[i]["re"]) l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i, buy_nums, threshold_num) max_buy_num_set_count = 0 max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set) for i1 in max_buy_num_set: max_buy_num_set_count += total_datas[i1]["re"] if buy_nums < threshold_num: not_buy_msg = f"【{i}】纯买额不足，{buy_nums}/{threshold_num}" continue if buy_count < threshold_count: not_buy_msg = f"【{i}】安全笔数不够，{buy_count}/{threshold_count}" continue if not trigger_buy: not_buy_msg = f"【{i}】没有买单触发" continue if max_buy_num_set_count < big_num_count: not_buy_msg = f"【{i}】大单数量不足，{max_buy_num_set_count}/{big_num_count}" continue try: info = cls.__trade_log_placr_order_info_dict[code] info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set)) except Exception as e: async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}") return i, buy_nums, buy_count, None, max_buy_num_set, "可以下单" l2_log.buy_debug(code, "尚未获取到买入执行点，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{} 目标纯买单数：{} 大单数量：{} 目标大单数量：{}", compute_start_index, buy_nums, threshold_num, buy_count, threshold_count, max_buy_num_set_count, big_num_count) return None, buy_nums, buy_count, None, max_buy_num_set, not_buy_msg # 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值) # 计算快速买入 @classmethod def __sum_buy_num_for_order_fast(cls, code, compute_start_index, compute_end_index, origin_num, origin_count, threshold_money_origin, buy_single_index, max_num_set): _start_time = t.time() total_datas = local_today_datas[code] # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code) buy_nums = origin_num buy_count = origin_count limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price is None: raise Exception("涨停价无法获取") limit_up_price = float(limit_up_price) threshold_money = threshold_money_origin # 目标手数 threshold_num = round(threshold_money / (limit_up_price * 100)) # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"]) # 可以触发买，当有涨停买信号时才会触发买 trigger_buy = True # 间隔最大时间为3s max_space_time_ms = 3 * 1000 # 不下单的信息 not_buy_msg = "" max_buy_num_set = set(max_num_set) place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code) if place_order_count is None: place_order_count = 0 for i in range(compute_start_index, compute_end_index + 1): data = total_datas[i] _val = total_datas[i]["val"] trigger_buy = False # 必须为连续2秒内的数据 if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms: cls.__TradePointManager.delete_buy_point(code) if i == compute_end_index: # 数据处理完毕 return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms" else: # 计算买入信号，不能同一时间开始计算 for ii in range(buy_single_index + 1, compute_end_index + 1): if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]: return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms" if L2DataUtil.is_sell(_val): threshold_money += _val["num"] * int(float(_val["price"]) * 100) threshold_num = round(threshold_money / (limit_up_price * 100)) elif L2DataUtil.is_sell_cancel(_val): threshold_money -= _val["num"] * int(float(_val["price"]) * 100) threshold_num = round(threshold_money / (limit_up_price * 100)) # 涨停买 elif L2DataUtil.is_limit_up_price_buy(_val): if l2_data_util.is_big_money(_val): max_buy_num_set.add(i) trigger_buy = True # 只统计59万以上的金额 buy_nums += int(_val["num"]) * int(total_datas[i]["re"]) buy_count += int(total_datas[i]["re"]) if buy_nums >= threshold_num: l2_log.info(code, logger_l2_trade_buy, f"{code}获取到买入执行点(快速买入)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}") elif L2DataUtil.is_limit_up_price_buy_cancel(_val): # 判断买入位置是否在买入信号之前 buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], local_today_buyno_map.get( code)) if buy_index is not None: # 找到买撤数据的买入点 if buy_index >= buy_single_index: max_buy_num_set.discard(buy_index) buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num) else: l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index) if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]: # 同一秒,当作买入信号之后处理 buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) max_buy_num_set.discard(buy_index) # 大单撤销 l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i) else: # 未找到买撤数据的买入点 l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data) buy_nums -= int(_val["num"]) * int(total_datas[i]["re"]) buy_count -= int(total_datas[i]["re"]) l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i, buy_nums, threshold_num) # 纯买额足够，且笔数大于5笔 if buy_nums < threshold_num: not_buy_msg = f"【{i}】纯买额不够，{buy_nums}/{threshold_num}" continue if not trigger_buy: not_buy_msg = f"【{i}】没有买单触发" continue if buy_count < 5: not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{5}" continue max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set) big_money_count_threshhold = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count() if len(max_buy_num_set) < big_money_count_threshhold: not_buy_msg = f"【{i}】大单不满足要求，需要：{big_money_count_threshhold} 总：{len(max_buy_num_set)}" continue try: info = cls.__trade_log_placr_order_info_dict[code] info.set_trade_factor(threshold_money, 0, []) except Exception as e: async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}") return i, buy_nums, buy_count, None, threshold_money, max_buy_num_set, "可以下单" l2_log.buy_debug(code, "尚未获取到买入执行点(快速买入)，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{}", compute_start_index, buy_nums, threshold_num, buy_count) return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg # 返回(买入执行点, 总手, 总笔数, 从新计算起点, 纯买额阈值) # 计算激进买入 @classmethod def __sum_buy_num_for_order_active(cls, code, compute_start_index, compute_end_index, origin_num, origin_count, threshold_money_origin, buy_single_index, max_num_set, total_sell_money): _start_time = t.time() total_datas = local_today_datas[code] # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code) buy_nums = origin_num buy_count = origin_count limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price is None: raise Exception("涨停价无法获取") limit_up_price = float(limit_up_price) is_at_limit_up = False current_sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code) if current_sell_data and current_sell_data[1] == 0: # 板上放量买 is_at_limit_up = True threshold_money = threshold_money_origin # 目标手数 threshold_num = round(threshold_money / (limit_up_price * 100)) bigger_threshold_num = round(5000 / (limit_up_price)) # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"]) # 可以触发买，当有涨停买信号时才会触发买 trigger_buy = True # 间隔最大时间为3s max_space_time_ms = 3 * 1000 if tool.is_sz_code(code) and not is_at_limit_up: # 深证非板上放量 max_space_time_ms = 1 * 1000 # 上证的间隔时间为1s if tool.is_sh_code(code): max_space_time_ms = 1 * 1000 # 不下单的信息 not_buy_msg = "" max_buy_num_set = set(max_num_set) active_buy_blocks = cls.get_active_buy_blocks(code) for i in range(compute_start_index, compute_end_index + 1): data = total_datas[i] _val = total_datas[i]["val"] trigger_buy = False # 必须为连续2秒内的数据 if L2DataUtil.time_sub_as_ms(_val, total_datas[buy_single_index]["val"]) > max_space_time_ms: # 清除买点数据 cls.__TradePointManager.delete_buy_point(code) if i == compute_end_index: # 数据处理完毕 return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms", True else: # 计算买入信号，不能同一时间开始计算 for ii in range(buy_single_index + 1, compute_end_index + 1): if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]: return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms", True # if L2DataUtil.is_sell(_val): # threshold_money += _val["num"] * int(float(_val["price"]) * 100) # threshold_num = round(threshold_money / (limit_up_price * 100)) # elif L2DataUtil.is_sell_cancel(_val): # threshold_money -= _val["num"] * int(float(_val["price"]) * 100) # threshold_num = round(threshold_money / (limit_up_price * 100)) # 涨停买 elif L2DataUtil.is_limit_up_price_buy(_val): if _val['num'] < bigger_threshold_num: continue if l2_data_util.is_big_money(_val): max_buy_num_set.add(i) trigger_buy = True # 只统计59万以上的金额 buy_nums += int(_val["num"]) * int(total_datas[i]["re"]) buy_count += int(total_datas[i]["re"]) if buy_nums >= threshold_num: l2_log.info(code, logger_l2_trade_buy, f"{code}获取到买入执行点(激进下单)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}") elif L2DataUtil.is_limit_up_price_buy_cancel(_val): # 判断买入位置是否在买入信号之前 buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], local_today_buyno_map.get( code)) if buy_index is not None: # 找到买撤数据的买入点 if buy_index >= buy_single_index: max_buy_num_set.discard(buy_index) buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) l2_log.buy_debug(code, "{}数据在买入信号之后 撤买纯买手数：{} 目标手数：{}", i, buy_nums, threshold_num) else: l2_log.buy_debug(code, "{}数据在买入信号之前，买入位：{}", i, buy_index) if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]: # 同一秒,当作买入信号之后处理 buy_nums -= int(_val["num"]) * int(data["re"]) buy_count -= int(data["re"]) max_buy_num_set.discard(buy_index) # 大单撤销 l2_log.buy_debug(code, "{}数据买入位与预估买入位在同一秒", i) else: # 未找到买撤数据的买入点 l2_log.buy_debug(code, "未找到买撤数据的买入点: 位置-{} 数据-{}", i, data) buy_nums -= int(_val["num"]) * int(total_datas[i]["re"]) buy_count -= int(total_datas[i]["re"]) l2_log.buy_debug(code, "位置-{}，总手数：{}，目标手数：{}", i, buy_nums, threshold_num) # 计算信号位置之后的主动卖，加入到阈值之中 sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, min_sell_order_no=int( total_datas[buy_single_index]['val']['orderNo']), min_deal_time=tool.trade_time_add_second( total_datas[buy_single_index]['val']['time'], -1)) sell_order_num = sum([x[1] for x in sell_orders]) // 100 # 纯买额足够，且笔数大于2笔 if buy_nums < threshold_num + sell_order_num: l2_log.buy_debug(code, f"激进买主动卖手数：{sell_order_num}") not_buy_msg = f"【{i}】纯买额不够，{buy_nums}/{threshold_num}" continue if not trigger_buy: not_buy_msg = f"【{i}】没有买单触发" continue safe_count = 1 if active_buy_blocks and current_sell_data[1] > 5000000: # 有激进板块且大于500w才能激进下单 safe_count = 1 else: # 无激进下单板块 if total_sell_money <= 0: # 所有的板上放量都需要3笔 # 板上下单需要安全笔数3笔 safe_count = 3 else: if tool.is_sz_code(code): # 深证上板 safe_count = 2 elif tool.is_sh_code(code): # 上证安全笔数为3 safe_count = 3 if tool.is_sz_code(code): money_y = code_volumn_manager.get_reference_volume_as_money_y(code) # 大于8亿的安全笔数必须有8笔 if money_y >= 8: safe_count = 8 if buy_count < safe_count: not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{safe_count}" continue # max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set) # big_money_count_threshhold = cls.__l2PlaceOrderParamsManagerDict[code].get_big_num_count() # if len(max_buy_num_set) < big_money_count_threshhold: # not_buy_msg = f"【{i}】大单不满足要求，需要：{big_money_count_threshhold} 总：{len(max_buy_num_set)}" # continue try: info = cls.__trade_log_placr_order_info_dict[code] info.set_trade_factor(threshold_money, 0, []) except Exception as e: async_log_util.error(logger_l2_error, f"记录交易因子出错：{str(e)}") l2_log.buy_debug(code, f"激进买主动卖手数：{sell_order_num}") return i, buy_nums, buy_count, None, threshold_money, max_buy_num_set, "可以下单", False l2_log.buy_debug(code, "尚未获取到买入执行点(激进买入)，起始计算位置：{} 统计纯买手数：{} 目标纯买手数：{} 统计纯买单数：{} ", compute_start_index, buy_nums, threshold_num, buy_count) return None, buy_nums, buy_count, None, threshold_money, max_buy_num_set, not_buy_msg, False def test_trade_record(): code = "000333" __trade_log_placr_order_info_dict = {code: trade_record_log_util.PlaceOrderInfo()} try: jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache( code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True) info = __trade_log_placr_order_info_dict[code] info.set_buy_index(0, 1) if jx_blocks: info.set_kpl_blocks(list(jx_blocks)) elif jx_blocks_by: info.set_kpl_blocks(list(jx_blocks_by)) else: info.set_kpl_blocks([]) trade_record_log_util.add_place_order_log(code, info) except: pass if __name__ == "__main__": # test_trade_record() # yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1] # yesterday_codes = set([x[0] for x in yesterday_limit_up_data_records]) # print(yesterday_codes) code = "603003" datas = log_export.load_l2_from_log() datas = datas.get(code) if datas is None: datas = [] l2.l2_data_util.local_today_datas[code] = datas[:191] l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map, code, l2.l2_data_util.local_today_datas[code]) l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, l2.l2_data_util.local_today_datas[code]) start_index = 73 end_index = 190 LCancelBigNumComputer().compute_watch_index(code, start_index, end_index)