import io import logging import time as t 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 import constant from db.redis_manager_delegate import RedisUtils from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager from log_module import async_log_util from third_data import kpl_data_manager, block_info from trade.deal_big_money_manager import DealComputeProgressManager from utils import global_util, ths_industry_util, tool import l2_data_util from db import redis_manager_delegate as redis_manager from third_data.code_plate_key_manager import CodePlateKeyBuyManager 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 from l2 import safe_count_manager, l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \ transaction_progress from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, LCancelBigNumComputer from l2.l2_data_manager import L2DataException, TradePointManager from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \ local_latest_datas import l2.l2_data_util from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_profile, logger_debug from trade.trade_data_manager import CodeActualPriceProcessor from line_profiler import LineProfiler import dask from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager 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(code, total_datas[i], local_today_num_operate_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 = {} __codeActualPriceProcessor = CodeActualPriceProcessor() __ths_l2_trade_queue_manager = trade_queue_manager.thsl2tradequeuemanager() __thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager() __buyL2SafeCountManager = safe_count_manager.BuyL2SafeCountManager() __l2PlaceOrderParamsManagerDict = {} __last_buy_single_dict = {} __TradeBuyQueue = transaction_progress.TradeBuyQueue() __latest_process_order_unique_keys = {} __latest_process_not_order_unique_keys = {} # 初始化 __TradePointManager = l2_data_manager.TradePointManager() __SecondCancelBigNumComputer = SecondCancelBigNumComputer() __HourCancelBigNumComputer = HourCancelBigNumComputer() __LCancelBigNumComputer = LCancelBigNumComputer() __DCancelBigNumComputer = DCancelBigNumComputer() __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 = l2_trade_util.BlackListCodeManager() __WhiteListCodeManager = l2_trade_util.WhiteListCodeManager() __WantBuyCodesManager = gpcode_manager.WantBuyCodesManager() __TradeTargetCodeModeManager = TradeTargetCodeModeManager() __DealComputeProgressManager = DealComputeProgressManager() __TradeOrderIdManager = trade_huaxin.TradeOrderIdManager() # 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) # 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) # 处理华鑫L2数据 @classmethod def process_huaxin(cls, code, origin_datas): print("process_huaxin", code, len(origin_datas)) datas = None origin_start_time = round(t.time() * 1000) try: # 加载历史的L2数据 is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False) 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) origin_start_time = round(t.time() * 1000) # 转换数据格式 _start_index = 0 total_datas = local_today_datas.get(code) if total_datas: _start_index = total_datas[-1]["index"] + 1 datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas, gpcode_manager.get_limit_up_price(code), _start_index) # 获取下单位置 place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, datas) if place_order_index: cls.__DCancelBigNumComputer.set_real_order_index(code, place_order_index) cls.__SecondCancelBigNumComputer.set_real_place_order_index(code, place_order_index) async_log_util.info(logger_l2_process, "code:{} 获取到下单真实位置：{}", code, place_order_index) __start_time = round(t.time() * 1000) if len(datas) > 0: cls.process_add_datas(code, datas, 0, __start_time) else: pass # lp = LineProfiler() # lp.enable() # lp_wrap = lp(cls.process_add_datas) # lp_wrap(code, datas, 0, __start_time) # output = io.StringIO() # lp.print_stats(stream=output) # lp.disable() # with open(f"/home/logs/profile/{code}_{datas[0]['index']}_{datas[-1]['index']}.txt", 'w') as f: # f.write(output.getvalue()) # lp.dump_stats(f"/home/logs/profile/{code}_{round(t.time() * 1000)}.txt") except Exception as e: print("huaxin L2数据处理异常", code, str(e)) logging.exception(e) logger_l2_error.exception(f"code:{code}") logger_l2_error.exception(e) finally: # l2_data_log.l2_time(code, round(t.time() * 1000) - origin_start_time, # "l2数据处理总耗时", # True) pass if datas: l2.l2_data_util.save_l2_data(code, None, datas) @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: # 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) # 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 logger_l2_process.info("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") if len(add_datas) > 0: # 是否为首板代码 is_first_code = True # gpcode_manager.FirstCodeManager().is_in_first_record(code) # 计算量 volume_rate = code_volumn_manager.get_volume_rate(code) 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 = first_code_score_manager.get_score(code, volume_rate, limit_up_time, True) 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[len(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): # 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_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS: # 已挂单 if True: # len(add_datas) < 10: cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code) else: pass # lp = LineProfiler() # lp.enable() # lp_wrap = lp(cls.__process_order) # lp_wrap(code, start_index, end_index, capture_timestamp, is_first_code) # output = io.StringIO() # lp.print_stats(stream=output) # lp.disable() # with open( # f"/home/logs/profile/{code}_process_order_{add_datas[0]['index']}_{add_datas[-1]['index']}.txt", # 'w') as f: # f.write(output.getvalue()) else: # 未挂单,时间相差不大才能挂单 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) async_log_util.info(logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 截图时间戳：{}", code, add_datas[0]["index"], add_datas[-1]["index"], round(t.time() * 1000) - __start_time, capture_timestamp) # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, # "l2数据处理时间") # 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) # if round(t.time() * 1000) - __start_time > 10: # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, # "获取m值数据耗时") if True: # end_index - start_index < 10: cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code) else: # pass lp = LineProfiler() lp.enable() lp_wrap = lp(cls.__start_compute_buy) lp_wrap(code, start_index, end_index, threshold_money, capture_time, is_first_code) output = io.StringIO() lp.print_stats(stream=output) lp.disable() logger_profile.info(output.getvalue()) # 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: logger_l2_error.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 # S撤 def s_cancel(_buy_single_index, _buy_exec_index): _start_time = round(t.time() * 1000) # S撤单计算，看秒级大单撤单 try: b_need_cancel, b_cancel_data = cls.__SecondCancelBigNumComputer.need_cancel(code, _buy_single_index, _buy_exec_index, start_index, end_index, total_data, code_volumn_manager.get_volume_rate_index( buy_volume_rate), cls.volume_rate_info[code][ 1], is_first_code) if b_need_cancel: return b_cancel_data, "S大单撤销比例触发阈值" except Exception as e: logging.exception(e) logger_l2_error.error(f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}") logger_l2_error.exception(e) finally: # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, # "已下单-s级大单估算") pass return None, "" # 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, local_today_num_operate_map.get( code), code_volumn_manager.get_volume_rate_index( 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撤销比例触发阈值" except Exception as e: logging.exception(e) logger_l2_error.error(f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}") 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 = cls.__LCancelBigNumComputer.need_cancel(code, _buy_exec_index, start_index, end_index, total_data, local_today_num_operate_map.get( code), is_first_code) if b_need_cancel and b_cancel_data: return b_cancel_data, "L撤销比例触发阈值" except Exception as e: logging.exception(e) logger_l2_error.error(f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}") logger_l2_error.exception(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, "" 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 buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( code) # 默认量为0.2 if buy_volume_rate is None: buy_volume_rate = 0.2 # 依次处理 cancel_data, cancel_msg = s_cancel(buy_single_index, buy_exec_index) # if not cancel_data: # cancel_data, cancel_msg = h_cancel(buy_single_index, buy_exec_index) if not cancel_data: cancel_data, cancel_msg = l_cancel(buy_single_index, buy_exec_index) # l2_log.debug(code, "撤单计算结束") # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, # "已下单-撤单 判断是否需要撤单") if cancel_data: l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}", cancel_data["index"], cancel_msg) l2_log.trade_record(code, "撤单", "'index':{} , 'msg':'{}'", cancel_data["index"], cancel_msg) # 撤单 cls.cancel_buy(code, cancel_msg) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, # "已下单-撤单 耗时") # 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) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, # "处理剩余数据 耗时") else: pass @classmethod def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code): __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) buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( code) if not can: l2_log.debug(code, "不可以下单，原因：{}", reason) if need_clear_data: trade_result_manager.real_cancel_success(code, buy_single_index, 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) 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") params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc() l2_log.debug(code, params_desc) l2_log.trade_record(code, "下单", "'buy_start_index':{} ,'buy_exec_index':{},'volume_reate':{},'desc':'{}'", buy_single_index, buy_exec_index, cls.volume_rate_info[code][0], params_desc) except Exception as e: logger_l2_error.exception(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 buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( code) buy_nums = num for i in range(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 not cls.__TradeStateManager.is_can_buy_cache(): return False, True, f"今日已禁止交易" if cls.__PauseBuyCodesManager.is_in_cache(code): return False, True, f"该代码被暂停交易" limit_up_price = gpcode_manager.get_limit_up_price(code) if float(limit_up_price) >= constant.MAX_CODE_PRICE: return False, True, f"股价大于{constant.MAX_CODE_PRICE}块" 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" if float(limit_up_price) - float(trade_price) > 0.04001: return False, False, f"当前成交价（{trade_price}）尚未在4档及以内" # 判断成交进度是否距离我们的位置很近 total_data = local_today_datas.get(code) trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code) if not is_default and trade_index: buy_index_set = set() 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(code, total_data[ i][ "index"], total_data, num_operate_map) if left_count > 0: buy_index_set.add(total_data[i]["index"]) if len(buy_index_set) < 5: return False, False, f"成交位置距离当前位置小于5笔" else: # 判断买1价格档位 zyltgb = global_util.zyltgb_map.get(code) if zyltgb is None: global_data_loader.load_zyltgb() zyltgb = global_util.zyltgb_map.get(code) if zyltgb >= 200 * 100000000: buy1_price = cls.__Buy1PriceManager.get_buy1_price(code) if buy1_price is None: return False, True, f"尚未获取到买1价" dif = float(limit_up_price) - float(buy1_price) # 大于10档 if dif > 0.10001: return False, True, f"自由流通200亿以上，买1剩余档数大于10档，买一（{buy1_price}）涨停（{limit_up_price}）" open_limit_up_lowest_price = cls.__Buy1PriceManager.get_open_limit_up_lowest_price(code) price_pre_close = gpcode_manager.CodePrePriceManager.get_price_pre_cache(code) if open_limit_up_lowest_price and ( float(open_limit_up_lowest_price) - price_pre_close) / price_pre_close < 0.05: return False, True, f"炸板后最低价跌至5%以下" # limit_up_info = cls.__Buy1PriceManager.get_limit_up_info(code) # if limit_up_info[0] is None and False: # total_data = local_today_datas.get(code) # buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( # code) # # 之前没有涨停过 # # 统计买入信号位到当前位置没有撤的大单金额 # min_money_w = l2_data_util.get_big_money_val(float(total_data[buy_single_index]["val"]["price"])) // 10000 # left_big_num = cls.__SecondCancelBigNumComputer.compute_left_big_num(code, # buy_single_index, # buy_exec_index, # total_data[-1][ # "index"], # total_data, # 0, min_money_w) # if left_big_num > 0: # # 重新获取分数与分数索引 # 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 = first_code_score_manager.get_score(code, cls.volume_rate_info[code][0], limit_up_time, True, # left_big_num) # cls.__l2PlaceOrderParamsManagerDict[code].set_score(score) # logger_place_order_score.info("code={},data='score_index':{},'score_info':{}", code, # cls.__l2PlaceOrderParamsManagerDict[code].score_index, # cls.__l2PlaceOrderParamsManagerDict[code].score_info) 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" score_index = None # cls.__l2PlaceOrderParamsManagerDict[code].score_index score = None # cls.__l2PlaceOrderParamsManagerDict[code].score score_info = None # cls.__l2PlaceOrderParamsManagerDict[code].score_info # lp = LineProfiler() # lp.enable() # lp_wrap = lp(cls.can_buy_first) # results = lp_wrap(code, limit_up_price, score_index, score, score_info, cls.volume_rate_info[code]) # output = io.StringIO() # lp.print_stats(stream=output) # lp.disable() # with open(f"{constant.get_path_prefix()}/logs/profile/{code}_can_buy_first.txt", 'w') as f: # f.write(output.getvalue()) # return results return cls.can_buy_first(code, limit_up_price) else: return True, False, "在想买名单中" @classmethod def can_buy_first(cls, code, limit_up_price): # 判断板块 can_buy_result = CodePlateKeyBuyManager.can_buy(code) if can_buy_result is None: logger_debug.warning("没有获取到板块缓存，将获取板块") yesterday_codes = kpl_data_manager.get_yesterday_limit_up_codes() CodePlateKeyBuyManager.update_can_buy_blocks(code, kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas, kpl_data_manager.KPLLimitUpDataRecordManager.total_datas, yesterday_codes, block_info.get_before_blocks_dict()) can_buy_result = CodePlateKeyBuyManager.can_buy(code) if can_buy_result is None: return False, True, "尚未获取到板块信息" if not can_buy_result[0]: return False, True, can_buy_result[1] return True, False, can_buy_result[1] @classmethod def __cancel_buy(cls, 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 @classmethod def cancel_buy(cls, code, msg=None, source="l2"): # 是否是交易队列触发 buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( code) total_datas = local_today_datas[code] if source == "trade_queue": # 交易队列触发的需要下单后5s if buy_exec_index is not None and buy_exec_index > 0: now_time_str = tool.get_now_time_str() if tool.trade_time_sub(now_time_str, total_datas[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, buy_single_index, 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 cancel_result = cls.__cancel_buy(code) if cancel_result: trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index, total_datas) 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) @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"{compute_start_index}-{compute_end_index}" if cls.__latest_process_not_order_unique_keys.get(code) == unique_key: logger_l2_error.error(f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}") return cls.__latest_process_not_order_unique_keys[code] = unique_key _start_time = tool.get_now_timestamp() total_datas = local_today_datas[code] # 处理安全笔数 # cls.__buyL2SafeCountManager.compute_left_rate(code, compute_start_index, compute_end_index, total_datas, # local_today_num_operate_map.get(code)) # 获取买入信号计算起始位置 buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos( code) # 是否为新获取到的位置 new_get_single = False if buy_single_index is None: continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count() # 有买入信号 has_single, _index = cls.__compute_order_begin_pos(code, max( (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count, compute_end_index) # 如果买入信号与上次的买入信号一样就不能算新的信号 if cls.__last_buy_single_dict.get(code) == _index: has_single = None _index = None buy_single_index = _index if has_single: cls.__last_buy_single_dict[code] = buy_single_index new_get_single = True num = 0 count = 0 l2_log.debug(code, "获取到买入信号起始点：{} ,计算范围：{}-{} ，量比：{}，数据：{}", buy_single_index, compute_start_index, compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index]) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "下单信号计算时间") if 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(buy_single_index, compute_start_index) if new_get_single: start_process_index = 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") # 买入纯买额统计 compute_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(code, start_process_index, compute_end_index, num, count, threshold_money, buy_single_index, max_num_set) # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "纯买额统计时间") l2_log.debug(code, "m值-{} 量比:{} rebegin_buy_pos:{}", threshold_money, cls.volume_rate_info[code][0], rebegin_buy_pos) # 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 compute_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：{} 数据：{} ,量比:{} ", compute_index, threshold_money, buy_nums, buy_count, total_datas[compute_index], cls.volume_rate_info[code]) cls.__save_order_begin_data(code, buy_single_index, compute_index, compute_index, buy_nums, buy_count, max_num_set_new, cls.volume_rate_info[code][0]) cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[compute_index]["val"]["time"]) cls.__TradePointManager.delete_buy_cancel_point(code) l2_log.debug(code, "delete_buy_cancel_point") # 直接下单 ordered = cls.__buy(code, capture_time, total_datas[compute_index], compute_index, is_first_code) # 数据是否处理完毕 if compute_index < compute_end_index: if ordered: cls.__process_order(code, compute_index + 1, compute_end_index, capture_time, is_first_code, False) else: cls.__start_compute_buy(code, compute_index + 1, compute_end_index, threshold_money, capture_time, is_first_code) 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 cls.__save_order_begin_data(code, buy_single_index, -1, compute_end_index, buy_nums, buy_count, max_num_set_new, None) print("保存大单时间", round((t.time() - _start_time) * 1000)) _start_time = t.time() pass # 获取下单起始信号 @classmethod def __get_order_begin_pos(cls, code): buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate = cls.__TradePointManager.get_buy_compute_start_data_cache( code) return buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate # 保存下单起始信号 @classmethod def __save_order_begin_data(cls, code, buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate): cls.__TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate) # 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): 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 @classmethod def __get_threshmoney(cls, code): return cls.__l2PlaceOrderParamsManagerDict[code].get_m_val() # 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 # 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): _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") # 目标手数 threshold_num = round(threshold_money / (limit_up_price * 100)) # place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code) # 目标订单数量 threshold_count = cls.__l2PlaceOrderParamsManagerDict[code].get_safe_count() 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 # 间隔最大时间依次为：3,9,27,81 max_space_time = cls.__l2PlaceOrderParamsManagerDict[code].get_time_range() # 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(5900 / limit_up_price) 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.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time: 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 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 # 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: async_log_util.info(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} 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(code, total_datas[i], local_today_num_operate_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 for i in max_buy_num_set: max_buy_num_set_count += total_datas[i]["re"] # 有撤单信号，且小于阈值 if buy_nums >= threshold_num and buy_count >= threshold_count and trigger_buy and max_buy_num_set_count >= big_num_count: return i, buy_nums, buy_count, None, max_buy_num_set 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 if __name__ == "__main__": 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)