def getV(line, conf):
lastD, nowD = data.readLine(line, conf)
v0 = nowD.lastP
v1 = nowD.p
vm = v0 * (1.0 - conf.SlideRate) + v1 * conf.SlideRate
return (v0, vm, nowD.settle)
'''
def getV(line,conf): lastD,nowD=data.readLine(line,conf) v0=nowD.lastP v1=nowD.p vm=v0*(1.0-conf.SlideRate)+v1*conf.SlideRate return (v0,vm,nowD.settle) '''
def duralTrust(f,conf=basicConf,arg=None): bank=bankManage.Bank() detail=(arg=="detail") start=conf.StartValue curve=loss.Loss(start) tt=0 phase=wave.Phase(conf.getSizes()) blist=Stack.Queue(conf.MidSize/conf.TSize+1,[0,0,0,0]) restBank=[0,0] #余量窗口 minFlow=curve.now flow=curve.now for line in f: tt+=1 lastD,nowD=data.readLine(line,conf) if nowD == None: continue v0=nowD.lastP v1=nowD.p phase.addV(v0)
def duralTrust(f, conf=basicConf, arg=None):
bank = bankManage.Bank()
detail = (arg == "detail")
start = conf.StartValue
curve = loss.Loss(start)
tt = 0
phase = wave.Phase(conf.getSizes())
blist = Stack.Queue(conf.MidSize / conf.TSize + 1, [0, 0, 0, 0])
restBank = [0, 0] #余量窗口
minFlow = curve.now
flow = curve.now
for line in f:
tt += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
continue
v0 = nowD.lastP
v1 = nowD.p
phase.addV(v0)
def m2(f, conf1=MultiConf(1), conf2=MultiConf(2), arg=None):
detail = (arg == "detail")
bank1 = bankManage.Bank()
bank2 = bankManage.Bank()
start = conf1.StartValue
curve = loss.Loss(start)
tt = 0
phase1 = wave.Phase(conf1.getSizes())
blist1 = Stack.Queue(conf1.MidSize / conf1.TSize + 1, [0, 0, 0, 0])
phase2 = wave.Phase(conf2.getSizes())
blist2 = Stack.Queue(conf2.MidSize / conf2.TSize + 1, [0, 0, 0, 0])
restBank1 = [0, 0] #余量窗口
restBank2 = [0, 0]
minFlow = curve.now
flow = curve.now
vm1 = 0
vm2 = 0
lastD1 = data.Data()
lastD2 = data.Data()
nowD1 = data.Data()
nowD2 = data.Data()
for line in f:
tt += 1
if arg == "Curve":
print "%s%.4f" % (conf1.CurveFix, curve.now / start * 30.0)
if tt < 3: #忽略第一行
continue
lastD1, nowD1 = data.readLine(line, conf1, nowD1, lastD1)
lastD2, nowD2 = data.readLine(line, conf2, nowD2, lastD2)
if nowD1 == None or nowD2 == None:
continue
v01 = nowD1.lastP
v02 = nowD2.lastP
vm1 = v01 * (1.0 - conf1.SlideRate) + conf1.SlideRate * nowD1.p
vm2 = v02 * (1.0 - conf2.SlideRate) + conf2.SlideRate * nowD2.p
phase1.add(v01)
phase2.add(v02)
curve.addTime()
if nowD1.settle:
e, f = bank1.destroy(vm1)
curve.addE(e)
flow += f
restBank1 = [0, vm1]
blist1 = Stack.Queue(conf1.MidSize / conf1.TSize + 1, [0, 0, 0, 0])
if nowD2.settle:
e, f = bank2.destroy(vm2)
curve.addE(e)
flow += f
restBank2 = [0, vm2]
blist2 = Stack.Queue(conf2.MidSize / conf2.TSize + 1, [0, 0, 0, 0])
continue
tn1 = clear(tt, blist1, v01, vm1, conf1, curve, phase1, detail)
tn2 = clear(tt, blist2, v02, vm2, conf2, curve, phase2, detail)
tn1 -= restBank1[0] #与整数操作的差额操作
tn2 -= restBank2[0]
if tt % conf1.TSize == 7 % conf1.TSize:
d1 = direction(phase1, conf1, conf1.Size, detail)
d2 = direction(phase2, conf2, conf2.Size, detail)
br1 = conf1.BankRate
br2 = conf2.BankRate
#if abs(d2) >= abs(d1):
# br2+=br1
# br1=0
if abs(d1) > 0:
n1 = (d1 * curve.now / conf1.MidSize * conf1.TSize * br1 /
v01 * conf1.GangRate / conf1.HandSize)
tn1 += n1
blist1.add([n1, vm1, vm1, tt])
if abs(d2) > 0:
n2 = (d2 * curve.now / conf2.MidSize * conf2.TSize * br2 /
v02 * conf2.GangRate / conf2.HandSize)
tn2 += n2
blist2.add([n2, vm2, vm2, tt])
(tni1, tnv1) = near(tn1)
(tni2, tnv2) = near(tn2)
if abs(tni1) > 0:
(e, f) = bank1.addBank(tni1, vm1, conf1)
curve.addE(e)
flow += f
if abs(tni2) > 0:
e, f = bank2.addBank(tni2, vm2, conf2)
curve.addE(e)
flow += f
if flow < minFlow:
minFlow = flow
restBank1 = [tnv1, vm1]
restBank2 = [tnv2, vm2]
(e, f) = bank1.destroy(vm1)
curve.addE(e)
flow += f
(e, f) = bank2.destroy(vm2)
curve.addE(e)
flow += f
if flow < minFlow:
minFlow = flow
if arg == "Curve":
print "%s%.4f" % (conf1.CurveFix, curve.now / start * 30.0)
print curve
print minFlow
def phase(f, conf=basicConf, arg=None):
bank = bankManage.Bank()
detail = (arg == "detail")
start = conf.StartValue
curve = loss.Loss(start)
tt = 0
tn = 0
phase = wave.Phase(conf.getSizes())
volSize = 30
smallVolSize = 10
volPhase = wave.Phase([smallVolSize, volSize], [10, 100])
#vol2=wave.Phase([smallVolSize,volSize],[10,100])
sum = 0
blist = Stack.Queue(conf.MidSize + 1, [0, 0, 0, 0])
restBank = [0, 0] #余量窗口
minFlow = curve.now
flow = curve.now
lastDay = ""
day = ""
vm = 0
lastV = -1
maxBuyRate = -1
divs = []
divSum = 0
divN = 0
drs = []
drSum = 0
afterWardFac = 0 #滞后因子
myBank = 0
vbn = 0
for line in f:
tt += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
continue
v0 = nowD.lastP
if v0 <= 1e-12:
sys.stderr.write(line)
break
v1 = nowD.p
lastV = v0
vol = lastD.vol
if lastD.vol > 0 and nowD.vol - lastD.vol < 5 and nowD.vol - lastD.vol >= 0 and nowD.vol < 3000:
vbn += 1
if vbn > 10:
break
if arg == "Curve":
print "%s%.4f" % (conf.CurveFix, curve.now / start * 30.0)
#phase.add(v1)
divs.append(v1)
if len(divs) >= conf.DivSize:
vopen = divs[-conf.DivSize]
max = divs[-1]
divRate = abs(max - vopen) / vopen
drs.append(divRate)
divSum += abs(max - vopen) / vopen
divN += 1
#print "",conf.MaxLoss,"divSum",divSum,"divN",divN,divSum/divN,"max-vopen",max-vopen,(max-vopen)/vopen,"max",max,"vopen",vopen
divs = []
drSum += divRate
if len(drs) > 100:
drSum -= drs[0]
del drs[0]
#conf.MaxLoss=divSum/divN
#conf.MaxLoss=0.99*divSum/divN+0.01*divRate
#conf.MaxLoss=0.94*divSum/divN+0.05*drSum/len(drs)+0.01*divRate
volPhase.simpleAdd(vol)
phase.add(v1)
#vol2.add(vol)
curve.addTime()
vm = v1
#v0*(1.0-conf.SlideRate)+v1*conf.SlideRate
#print "vm",vm
if nowD.settle:
if detail:
print "destroy: vm", vm, "bank", bank.bank, "price", bank.price, "now", curve.now
myBank = 0
e, f = bank.destroy(vm, conf)
curve.addE(e)
flow += f
if detail:
print "after destroy:bank", bank.bank, "e", e, "flow", flow, "now", curve.now
if abs(e) > 0:
curve.addWin(e / conf.HandSize, conf)
restBank = [0, vm]
blist = Stack.Queue(conf.MidSize / conf.TSize + 1, [0, 0, 0, 0])
continue
bankDiff = myBank - bank.bank
if abs(bankDiff) > 1e-6:
if True:
print "tt", tt, "tn", tn, "myBank", myBank, "bank", bank.bank, "rest", restBank[
0], "bankDiff", bankDiff
#myBank-=checkBank(blist,bankDiff,conf,detail)
clearN = clear(tt, blist, v0, vm, conf, curve, phase, detail)
tn = restBank[0] #-restBank[0] #与整数操作的差额操作
tn += bankDiff
myBank -= bankDiff
tn += clearN
createN = 0
if data.afterInDay(nowD, conf.DayEnd) <= 0 and data.afterInDay(
nowD, conf.DayStart) >= 0:
createN = create(tt, conf, phase, vm, curve, bank, detail)
if createN > 0 and createN < conf.unitLowRate * conf.UnitLimit and bank.bank <= 0:
createN = conf.UnitLimit
if createN < 0 and createN > -conf.unitLowRate * conf.UnitLimit and bank.bank >= 0:
createN = -conf.UnitLimit
#afterWardFac=afterWardFac*(conf.MidSize-1.0)/conf.MidSize+createN/conf.MidSize
#if abs(afterWardFac) > 0.8*abs(createN):
# createN+=0.02*afterWardFac
tryBank = bank.bank + tn
ceilBank = (curve.now * conf.GangRate *
conf.BankRate) / (v0 * conf.HandSize)
if abs(createN) > 0 and abs(createN + tryBank) > ceilBank:
#if random.random() > 0.9:
# print "createN",createN,"tryBank",tryBank,"ceilBank",ceilBank
createN *= (ceilBank - abs(tryBank)) / abs(createN)
tn += createN
if abs(createN) > 0:
blist.add([createN, vm, vm, tt])
#phase.add(v1)
#(tni,tnv)=near(tn)
#tni=int(tn)+clearN
tni = int(tn)
tnv = tn - int(tn) #int(tn)-tn
if tnv > conf.StopLossNearInt and bank.bank + tni < 0:
tni += 1
tnv -= 1.0
if tnv < -conf.StopLossNearInt and bank.bank + tni > 0:
tni -= 1
tnv += 1.0
myBank += tni
#if abs(createN) > 0:
# blist.add([createN,vm,vm,tt])
#if abs(int(tn)) > 0:
# blist.add([int(tn),vm,vm,tt])
nfold = abs(tni * v1 * conf.HandSize) / (curve.now * conf.GangRate)
if maxBuyRate < nfold:
#print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now
maxBuyRate = nfold
#if nfold > 0.3:
#print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now
if conf.Stock and (tni + bank.bank) < 0:
tni = -bank.bank
tnv = tn - tni #tni-tn
if abs(tni) > 0:
if tni > 0:
vm = vm * (1.0 + conf.SlideRate / 2500.0)
else:
vm = vm * (1.0 - conf.SlideRate / 2500.0)
bb = bank.bank
bp = bank.price
bf = flow
if random.random() < 1.999: #0.1%失败交易
(e, f) = bank.addBank(tni, vm, conf)
curve.addE(e)
flow += f
if detail:
print "tt:", tt, "bb:", bb, "bp:", bp, "tni:", tni, "vm:", vm, "now:", curve.now, "e:", e, "f:", f, "flow:", flow
else:
print "trade fail: tni", tni
dflow = curve.now - bank.value(conf) / conf.GangRate - flow
if abs(dflow) > 1.0:
print line
print dflow, curve.now, tni, "vm:", vm, "bb:", bb, "bp:", bp, "after:", bank, e, bf, f, flow
break
if flow < minFlow:
minFlow = flow
#浮动
#pass
curve.addTrackE((vm - bank.price) * bank.bank * conf.HandSize)
if arg == "Bank":
#print "%s%.4f"%(conf.CurveFix,tni)
print "%s%.4f" % (conf.CurveFix, flow / curve.now)
if conf.Stock and bank.bank < 0:
print "bank<0", curve.now, bank, tnv
restBank = [tnv, vm]
if detail:
print "destroy: vm", vm, "bank", bank.bank, "price", bank.price, "now", curve.now
if bank.bank > 0:
vm = vm * (1.0 - conf.SlideRate / 2500.0)
else:
vm = vm * (1.0 + conf.SlideRate / 2500.0)
(e, f) = bank.destroy(vm, conf)
curve.addE(e)
flow += f
if detail:
print "after destroy:bank", bank.bank, "e", e, "flow", flow, "now", curve.now
if abs(e) > 0:
curve.addWin(e / conf.HandSize, conf)
return curve
def back(f, conf, guohu=1.0):
phase = wave.Phase([100, conf.LargeSize, conf.Size, conf.MidSize])
li = 0
lsmall = 0
bi = -1
bn = 0
bprice = 0
lastV = -1
lastLow = -1
smallQueue = Stack.Queue(3, init=0)
smallV = 0
navg = 0
flow = 10000.0
state = State()
lastClose5 = False
lastIsBull = False
for line in f:
li += 1
lastD, nowD = data.readLine(line, conf)
if nowD == None:
if bn > 0:
bi = -1
bn = 0
lastV = -1
lastLow = -1
continue
if nowD.open <= 0 or nowD.close <= 0:
if bn > 0:
bi = -1
bn = 0
lastV = -1
lastLow = -1
continue
v = nowD.close
high = nowD.high
if lastV < 0:
lastV = nowD.open
add = (v - lastV) / float(lastV)
if add > 0.11 or add < -0.11:
bn = 0
bi = -1
lastV = -1
continue
rate = (v - nowD.open) / float(nowD.open)
hrate = (high - nowD.open) / float(nowD.open)
hadd = (high - lastV) / float(lastV)
oadd = (nowD.open - lastV) / float(lastV)
avg = phase.avg(conf.MidSize)
mavg = phase.avg(conf.LargeSize)
avg100 = phase.avg(100)
SA = 0.07
#B12
if bn > 0:
#B1,B2,B3,B4
p = nowD.close
#B11,B12,B13,B14,B15
if nowD.open > (1.0 + SA) * lastV:
p = nowD.open
#B5,B6,B7,B8,B9,B10,B11,B12,B13,B14,B15
elif nowD.high > (1.0 + SA) * lastV:
p = (1.0 + SA) * lastV
e = bn * 100 * (p - 0.0013 * p - guohu * 0.6 / 1000 - bprice)
bn = 0
print "%s\t%f\t%s" % (nowD.day, e / flow, str(state))
#curve.addE(e)
bi = -1
#elif bi > 0:
# if nowD.open < 1.06*lastV:
# bprice=nowD.open*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
if high > avg:
navg += 1
else:
navg = 0
#B1,2,3,4,5
#if (hrate > 0.085 or (hadd > 0.085 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B6 增长率:0.790062 最大下降:0.228 @683 增长下降比:3.4653 0.6760年
#if (hrate > 0.07 or (hadd > 0.07 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B7
HR = 0.08 #加oadd < (0.095-HR)防止买不进
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B8,B9,B10,B11,B12,B13,B14,B15
#HR=0.04
HA = -0.02
#B8
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
#B9
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
state.reset()
#B10,B11,B12,B13,B15
if hrate > HR and oadd < (0.095 -
HR) and lsmall >= 1 and lastV <= avg * 1.02:
#B14
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1:
state.LastClose5 = lastClose5
state.IsBull = lastIsBull
bi = li
#B1,2,3,4,5,6
p = nowD.close
#B7.1
#HA=0.0
#if hadd > HA: #两个条件要同时满足
# if nowD.open*(1+HR) <= (1.0+HA)*lastV:
# p=(1.0+HA)*lastV
# else:
#sys.stderr.write("high open%.3f!\n"%(nowD.open))
#B7,B10,B11,B12,B13,B14,B15,B16
p = nowD.open * (1 + HR)
#B8,B9
#if p < (1+HA)*avg:
# p=(1+HA)*avg
bprice = p * (1.0 + 0.0003) + guohu * 0.6 / 1000
bn = int(flow / (100 * bprice))
#if add < 0.099 or rate > 0.5:
# bprice=nowD.close*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
phase.simpleAdd(nowD.close)
smallV -= smallQueue.pop()
#B12,B13,B14,B15
lastClose5 = False
lastIsBull = False
if mavg > avg100:
lastIsBull = True
#B1 0.48 0.25
#B1#if add < 0.04 and rate < 0.04 and rate > -0.06 and nowD.low <= avg and nowD.high >= avg:
#B2# 增长率:0.55 最大下降:0.217 mrate:0.6321
#if add < 0.04 and rate < 0.04 and nowD.low <= avg and nowD.high >= avg:
#B3# 0.53 最大下降:0.157 0.6680年 mrate:0.6491
#B4,B5,B6,B7,B8,B9,B10,B11,B12,B13,B14
if add < 0.04 and rate < 0.02 and nowD.low <= avg * 1.02 and nowD.high >= avg * 0.98:
#B15
#if add < 0.04 and rate < 0.02 and nowD.low <= avg*1.03 and nowD.high >= avg*0.97:
#B12,14
#if nowD.open >= avg*0.98 and nowD.close <= avg*1.02 and nowD.low<= avg and nowD.high >= avg:
#B13,B15
if nowD.low <= avg and nowD.high >= avg:
lastClose5 = True
lsmall += 1
smallV += 1
smallQueue.add(1)
else:
lsmall = 0
smallQueue.add(0)
lastV = v
def back(f,conf,guohu=1.0):
phase=wave.Phase([100,conf.LargeSize,conf.Size,conf.MidSize])
li=0
lsmall=0
bi=-1
bn=0
bprice=0
lastV=-1
lastLow=-1
smallQueue=Stack.Queue(3,init=0)
smallV=0
navg=0
flow=10000.0
state=State()
lastClose5=False
lastIsBull=False
for line in f:
li+=1
lastD,nowD=data.readLine(line,conf)
if nowD == None:
if bn > 0:
bi=-1
bn=0
lastV=-1
lastLow=-1
continue
if nowD.open <= 0 or nowD.close <= 0:
if bn > 0:
bi=-1
bn=0
lastV=-1
lastLow=-1
continue
v=nowD.close
high=nowD.high
if lastV < 0:
lastV=nowD.open
add=(v-lastV)/float(lastV)
if add > 0.11 or add < -0.11:
bn=0
bi=-1
lastV=-1
continue
rate=(v-nowD.open)/float(nowD.open)
hrate=(high-nowD.open)/float(nowD.open)
hadd=(high-lastV)/float(lastV)
oadd=(nowD.open-lastV)/float(lastV)
avg=phase.avg(conf.MidSize)
mavg=phase.avg(conf.LargeSize)
avg100=phase.avg(100)
SA=0.07
#B12
if bn > 0:
#B1,B2,B3,B4
p=nowD.close
#B11,B12,B13,B14,B15
if nowD.open > (1.0+SA)*lastV:
p=nowD.open
#B5,B6,B7,B8,B9,B10,B11,B12,B13,B14,B15
elif nowD.high > (1.0+SA)*lastV:
p=(1.0+SA)*lastV
e=bn*100*(p-0.0013*p-guohu*0.6/1000-bprice)
bn=0
print "%s\t%f\t%s"%(nowD.day,e/flow,str(state))
#curve.addE(e)
bi=-1
#elif bi > 0:
# if nowD.open < 1.06*lastV:
# bprice=nowD.open*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
if high > avg:
navg+=1
else:
navg=0
#B1,2,3,4,5
#if (hrate > 0.085 or (hadd > 0.085 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B6 增长率:0.790062 最大下降:0.228 @683 增长下降比:3.4653 0.6760年
#if (hrate > 0.07 or (hadd > 0.07 and hrate > 0.05) )and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B7
HR=0.08 #加oadd < (0.095-HR)防止买不进
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and nowD.low <= avg and nowD.close > avg:
#B8,B9,B10,B11,B12,B13,B14,B15
#HR=0.04
HA=-0.02
#B8
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
#B9
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02 and nowD.high > (1+HA)*avg:
state.reset()
#B10,B11,B12,B13,B15
if hrate > HR and oadd < (0.095-HR) and lsmall >= 1 and lastV <= avg*1.02:
#B14
#if hrate > HR and oadd < (0.095-HR) and lsmall >= 1:
state.LastClose5=lastClose5
state.IsBull=lastIsBull
bi=li
#B1,2,3,4,5,6
p=nowD.close
#B7.1
#HA=0.0
#if hadd > HA: #两个条件要同时满足
# if nowD.open*(1+HR) <= (1.0+HA)*lastV:
# p=(1.0+HA)*lastV
# else:
#sys.stderr.write("high open%.3f!\n"%(nowD.open))
#B7,B10,B11,B12,B13,B14,B15,B16
p=nowD.open*(1+HR)
#B8,B9
#if p < (1+HA)*avg:
# p=(1+HA)*avg
bprice=p*(1.0+0.0003)+guohu*0.6/1000
bn=int(flow/(100*bprice))
#if add < 0.099 or rate > 0.5:
# bprice=nowD.close*(1.0+0.0003)+guohu*0.6/1000
# bn=int(curve.now/(100*bprice))
phase.simpleAdd(nowD.close)
smallV-=smallQueue.pop()
#B12,B13,B14,B15
lastClose5=False
lastIsBull=False
if mavg > avg100:
lastIsBull=True
#B1 0.48 0.25
#B1#if add < 0.04 and rate < 0.04 and rate > -0.06 and nowD.low <= avg and nowD.high >= avg:
#B2# 增长率:0.55 最大下降:0.217 mrate:0.6321
#if add < 0.04 and rate < 0.04 and nowD.low <= avg and nowD.high >= avg:
#B3# 0.53 最大下降:0.157 0.6680年 mrate:0.6491
#B4,B5,B6,B7,B8,B9,B10,B11,B12,B13,B14
if add < 0.04 and rate < 0.02 and nowD.low <= avg*1.02 and nowD.high >= avg*0.98:
#B15
#if add < 0.04 and rate < 0.02 and nowD.low <= avg*1.03 and nowD.high >= avg*0.97:
#B12,14
#if nowD.open >= avg*0.98 and nowD.close <= avg*1.02 and nowD.low<= avg and nowD.high >= avg:
#B13,B15
if nowD.low<= avg and nowD.high >= avg:
lastClose5=True
lsmall+=1
smallV+=1
smallQueue.add(1)
else:
lsmall=0
smallQueue.add(0)
lastV=v
def pricePhase(f,conf=PricePhaseConf(),arg=None): bank=bankManage.Bank() detail=(arg=="detail") start=conf.StartValue curve=loss.Loss(start) tt=0 tn=0 blist=Stack.Queue(conf.MidSize+1,[0,0,0,0,conf.MidSize]) restBank=[0,0] #余量窗口 minFlow=curve.now flow=curve.now lastDay="" day="" vm=0 MaxPNum=1000000 ptime=[0]*MaxPNum for line in f: tt+=1 lastD,nowD=data.readLine(line,conf) if nowD == None: continue v1=nowD.p vpn=int(v1*5.0) vm=v1 ptime[vpn]=tt #if detail: # print "v1",v1,"vpn",vpn if arg == "Curve": print "%s%.4f"%(conf.CurveFix,curve.now/start*30.0) curve.addTime() clearN=clear(tt,blist,v1,vm,conf,curve,detail) tn=restBank[0] #-restBank[0] #与整数操作的差额操作 tn+=clearN createN=0 pt0=tt pt_1=smoothPrice(ptime,vpn-conf.SmallSize) pt1=smoothPrice(ptime,vpn+conf.SmallSize) pt_2=smoothPrice(ptime,vpn-conf.Size) pt2=smoothPrice(ptime,vpn+conf.Size) pt_3=smoothPrice(ptime,vpn-conf.LargeSize) pt3=smoothPrice(ptime,vpn+conf.LargeSize) #pt_4=smoothPrice(ptime,vpn-conf.MSize) #pt4=smoothPrice(ptime,vpn+conf.MSize) if data.afterInDay(nowD,conf.DayEnd) <= 0 and data.afterInDay(nowD,conf.DayStart) >= 0: #createN=create(tt,conf,phase,vm,curve,bank,detail) msize=conf.MidSize if pt0 > pt_2 and pt_1 > pt1 and pt0 > pt_2 and pt_2 > pt_3 and pt0-pt_3 < 200: msize=conf.MidSize createN=(curve.now/msize*conf.BankRate/vm*conf.GangRate/conf.HandSize) if detail: print "pt0",pt0,"pt1",pt1,"pt2",pt2,"pt3",pt3, print "pt0",pt0,"pt_1",pt_1,"pt_2",pt_2,"pt_3",pt_3,"msize",msize,"v1",v1,"cn",createN if pt0 > pt2 and pt1 > pt_1 and pt0 > pt2 and pt2 > pt3 and pt0-pt3 < 200: msize=conf.MidSize createN=-(curve.now/msize*conf.BankRate/vm*conf.GangRate/conf.HandSize) if detail: print "pt0",pt0,"pt_1",pt_1,"pt_2",pt_2,"pt_3",pt_3 print "pt0",pt0,"pt1",pt1,"pt2",pt2,"pt3",pt3,"msize",msize,"v1",v1,"cn",createN if createN > 0 and createN < conf.unitLowRate*conf.UnitLimit and bank.bank <= 0: createN=conf.UnitLimit if createN < 0 and createN > -conf.unitLowRate*conf.UnitLimit and bank.bank >= 0: createN=-conf.UnitLimit #afterWardFac=afterWardFac*(conf.MidSize-1.0)/conf.MidSize+createN/conf.MidSize #if abs(afterWardFac) > 0.8*abs(createN): # createN+=0.02*afterWardFac tryBank=bank.bank+tn ceilBank=(curve.now*conf.GangRate*conf.BankRate)/(v1*conf.HandSize) if abs(createN) > 0 and abs(createN+tryBank) > ceilBank: #if random.random() > 0.9: # print "createN",createN,"tryBank",tryBank,"ceilBank",ceilBank createN*=(ceilBank-abs(tryBank))/abs(createN) tn+=createN if createN > 0: blist.add([createN,vm+conf.SlideRate,vm+conf.SlideRate,tt,msize]) if createN < 0: blist.add([createN,vm-conf.SlideRate,vm-conf.SlideRate,tt,msize]) tni=int(tn) tnv=tn-int(tn) #int(tn)-tn if tnv > conf.StopLossNearInt and bank.bank+tni < 0: tni+=1 tnv-=1.0 if tnv < -conf.StopLossNearInt and bank.bank+tni > 0: tni-=1 tnv+=1.0 if conf.Stock and (tni+bank.bank) < 0: tni=-bank.bank tnv=tn-tni #tni-tn if abs(tni) > 0: bb=bank.bank bp=bank.price bf=flow if tni > 0: vm=vm+conf.SlideRate else: vm=vm-conf.SlideRate (e,f)=bank.addBank(tni,vm,conf) curve.addE(e) flow+=f if detail: print "tt:",tt,"bb:",bb,"bp:",bp,"tni:",tni,"vm:",vm,"now:",curve.now,"e:",e,"f:",f,"flow:",flow dflow=curve.now-bank.value(conf)/conf.GangRate-flow if abs(dflow) > 1.0: print line print dflow,curve.now,tni,"vm:",vm,"bb:",bb,"bp:",bp,"after:",bank,e,bf,f,flow if flow < minFlow: minFlow=flow else: #浮动 #pass curve.addTrackE((vm-bank.price)*bank.bank*conf.HandSize) restBank=[tnv,vm] if detail: print "destroy: vm",vm,"bank",bank.bank,"price",bank.price,"now",curve.now (e,f)=bank.destroy(vm,conf) curve.addE(e) flow+=f if detail: print "after destroy:bank",bank.bank,"e",e,"flow",flow,"now",curve.now if abs(e) > 0: curve.addWin(e/conf.HandSize,conf) print curve.confStr(conf) print minFlow
def m2(f,conf1=MultiConf(1),conf2=MultiConf(2),arg=None): detail=(arg=="detail") bank1=bankManage.Bank() bank2=bankManage.Bank() start=conf1.StartValue curve=loss.Loss(start) tt=0 phase1=wave.Phase(conf1.getSizes()) blist1=Stack.Queue(conf1.MidSize/conf1.TSize+1,[0,0,0,0]) phase2=wave.Phase(conf2.getSizes()) blist2=Stack.Queue(conf2.MidSize/conf2.TSize+1,[0,0,0,0]) restBank1=[0,0] #余量窗口 restBank2=[0,0] minFlow=curve.now flow=curve.now vm1=0 vm2=0 lastD1=data.Data() lastD2=data.Data() nowD1=data.Data() nowD2=data.Data() for line in f: tt+=1 if arg == "Curve": print "%s%.4f"%(conf1.CurveFix,curve.now/start*30.0) if tt < 3: #忽略第一行 continue lastD1,nowD1=data.readLine(line,conf1,nowD1,lastD1) lastD2,nowD2=data.readLine(line,conf2,nowD2,lastD2) if nowD1 == None or nowD2 == None: continue v01=nowD1.lastP v02=nowD2.lastP vm1=v01*(1.0-conf1.SlideRate)+conf1.SlideRate*nowD1.p vm2=v02*(1.0-conf2.SlideRate)+conf2.SlideRate*nowD2.p phase1.add(v01) phase2.add(v02) curve.addTime() if nowD1.settle: e,f=bank1.destroy(vm1) curve.addE(e) flow+=f restBank1=[0,vm1] blist1=Stack.Queue(conf1.MidSize/conf1.TSize+1,[0,0,0,0]) if nowD2.settle: e,f=bank2.destroy(vm2) curve.addE(e) flow+=f restBank2=[0,vm2] blist2=Stack.Queue(conf2.MidSize/conf2.TSize+1,[0,0,0,0]) continue tn1=clear(tt,blist1,v01,vm1,conf1,curve,phase1,detail) tn2=clear(tt,blist2,v02,vm2,conf2,curve,phase2,detail) tn1-=restBank1[0] #与整数操作的差额操作 tn2-=restBank2[0] if tt % conf1.TSize == 7%conf1.TSize: d1=direction(phase1,conf1,conf1.Size,detail) d2=direction(phase2,conf2,conf2.Size,detail) br1=conf1.BankRate br2=conf2.BankRate #if abs(d2) >= abs(d1): # br2+=br1 # br1=0 if abs(d1) > 0: n1=(d1*curve.now/conf1.MidSize*conf1.TSize*br1/v01*conf1.GangRate/conf1.HandSize) tn1+=n1 blist1.add([n1,vm1,vm1,tt]) if abs(d2) > 0: n2=(d2*curve.now/conf2.MidSize*conf2.TSize*br2/v02*conf2.GangRate/conf2.HandSize) tn2+=n2 blist2.add([n2,vm2,vm2,tt]) (tni1,tnv1)=near(tn1) (tni2,tnv2)=near(tn2) if abs(tni1) > 0: (e,f)=bank1.addBank(tni1,vm1,conf1) curve.addE(e) flow+=f if abs(tni2) > 0: e,f=bank2.addBank(tni2,vm2,conf2) curve.addE(e) flow+=f if flow < minFlow: minFlow=flow restBank1=[tnv1,vm1] restBank2=[tnv2,vm2] (e,f)=bank1.destroy(vm1) curve.addE(e) flow+=f (e,f)=bank2.destroy(vm2) curve.addE(e) flow+=f if flow < minFlow: minFlow=flow if arg == "Curve": print "%s%.4f"%(conf1.CurveFix,curve.now/start*30.0) print curve print minFlow
def phase(f,conf=basicConf,arg=None): bank=bankManage.Bank() detail=(arg=="detail") start=conf.StartValue curve=loss.Loss(start) tt=0 tn=0 phase=wave.Phase(conf.getSizes()) volSize=30 smallVolSize=10 volPhase=wave.Phase([smallVolSize,volSize],[10,100]) #vol2=wave.Phase([smallVolSize,volSize],[10,100]) sum=0 blist=Stack.Queue(conf.MidSize+1,[0,0,0,0]) restBank=[0,0] #余量窗口 minFlow=curve.now flow=curve.now lastDay="" day="" vm=0 lastV=-1 maxBuyRate=-1 divs=[] divSum=0 divN=0 drs=[] drSum=0 afterWardFac=0 #滞后因子 myBank=0 vbn=0 for line in f: tt+=1 lastD,nowD=data.readLine(line,conf) if nowD == None: continue v0=nowD.lastP if v0 <= 1e-12: sys.stderr.write(line) break v1=nowD.p lastV=v0 vol=lastD.vol if lastD.vol > 0 and nowD.vol - lastD.vol< 5 and nowD.vol - lastD.vol >= 0 and nowD.vol < 3000: vbn+=1 if vbn > 10: break if arg == "Curve": print "%s%.4f"%(conf.CurveFix,curve.now/start*30.0) #phase.add(v1) divs.append(v1) if len(divs) >= conf.DivSize: vopen=divs[-conf.DivSize] max=divs[-1] divRate=abs(max-vopen)/vopen drs.append(divRate) divSum+=abs(max-vopen)/vopen divN+=1 #print "",conf.MaxLoss,"divSum",divSum,"divN",divN,divSum/divN,"max-vopen",max-vopen,(max-vopen)/vopen,"max",max,"vopen",vopen divs=[] drSum+=divRate if len(drs) > 100: drSum-=drs[0] del drs[0] #conf.MaxLoss=divSum/divN #conf.MaxLoss=0.99*divSum/divN+0.01*divRate #conf.MaxLoss=0.94*divSum/divN+0.05*drSum/len(drs)+0.01*divRate volPhase.simpleAdd(vol) phase.add(v1) #vol2.add(vol) curve.addTime() vm=v1 #v0*(1.0-conf.SlideRate)+v1*conf.SlideRate #print "vm",vm if nowD.settle: if detail: print "destroy: vm",vm,"bank",bank.bank,"price",bank.price,"now",curve.now myBank=0 e,f=bank.destroy(vm,conf) curve.addE(e) flow+=f if detail: print "after destroy:bank",bank.bank,"e",e,"flow",flow,"now",curve.now if abs(e) > 0: curve.addWin(e/conf.HandSize,conf) restBank=[0,vm] blist=Stack.Queue(conf.MidSize/conf.TSize+1,[0,0,0,0]) continue bankDiff=myBank-bank.bank if abs(bankDiff) > 1e-6: if True: print "tt",tt,"tn",tn,"myBank",myBank,"bank",bank.bank,"rest",restBank[0],"bankDiff",bankDiff #myBank-=checkBank(blist,bankDiff,conf,detail) clearN=clear(tt,blist,v0,vm,conf,curve,phase,detail) tn=restBank[0] #-restBank[0] #与整数操作的差额操作 tn+=bankDiff myBank-=bankDiff tn+=clearN createN=0 if data.afterInDay(nowD,conf.DayEnd) <= 0 and data.afterInDay(nowD,conf.DayStart) >= 0: createN=create(tt,conf,phase,vm,curve,bank,detail) if createN > 0 and createN < conf.unitLowRate*conf.UnitLimit and bank.bank <= 0: createN=conf.UnitLimit if createN < 0 and createN > -conf.unitLowRate*conf.UnitLimit and bank.bank >= 0: createN=-conf.UnitLimit #afterWardFac=afterWardFac*(conf.MidSize-1.0)/conf.MidSize+createN/conf.MidSize #if abs(afterWardFac) > 0.8*abs(createN): # createN+=0.02*afterWardFac tryBank=bank.bank+tn ceilBank=(curve.now*conf.GangRate*conf.BankRate)/(v0*conf.HandSize) if abs(createN) > 0 and abs(createN+tryBank) > ceilBank: #if random.random() > 0.9: # print "createN",createN,"tryBank",tryBank,"ceilBank",ceilBank createN*=(ceilBank-abs(tryBank))/abs(createN) tn+=createN if abs(createN) > 0: blist.add([createN,vm,vm,tt]) #phase.add(v1) #(tni,tnv)=near(tn) #tni=int(tn)+clearN tni=int(tn) tnv=tn-int(tn) #int(tn)-tn if tnv > conf.StopLossNearInt and bank.bank+tni < 0: tni+=1 tnv-=1.0 if tnv < -conf.StopLossNearInt and bank.bank+tni > 0: tni-=1 tnv+=1.0 myBank+=tni #if abs(createN) > 0: # blist.add([createN,vm,vm,tt]) #if abs(int(tn)) > 0: # blist.add([int(tn),vm,vm,tt]) nfold=abs(tni*v1*conf.HandSize)/ (curve.now*conf.GangRate) if maxBuyRate < nfold: #print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now maxBuyRate=nfold #if nfold > 0.3: #print "nfold",nfold,"maxBuyRate",maxBuyRate,"curve.now",curve.now if conf.Stock and (tni+bank.bank) < 0: tni=-bank.bank tnv=tn-tni #tni-tn if abs(tni) > 0: if tni > 0: vm=vm*(1.0+conf.SlideRate/2500.0) else: vm=vm*(1.0-conf.SlideRate/2500.0) bb=bank.bank bp=bank.price bf=flow if random.random() < 1.999: #0.1%失败交易 (e,f)=bank.addBank(tni,vm,conf) curve.addE(e) flow+=f if detail: print "tt:",tt,"bb:",bb,"bp:",bp,"tni:",tni,"vm:",vm,"now:",curve.now,"e:",e,"f:",f,"flow:",flow else: print "trade fail: tni",tni dflow=curve.now-bank.value(conf)/conf.GangRate-flow if abs(dflow) > 1.0: print line print dflow,curve.now,tni,"vm:",vm,"bb:",bb,"bp:",bp,"after:",bank,e,bf,f,flow break if flow < minFlow: minFlow=flow #浮动 #pass curve.addTrackE((vm-bank.price)*bank.bank*conf.HandSize) if arg == "Bank": #print "%s%.4f"%(conf.CurveFix,tni) print "%s%.4f"%(conf.CurveFix,flow/curve.now) if conf.Stock and bank.bank < 0: print "bank<0",curve.now,bank,tnv restBank=[tnv,vm] if detail: print "destroy: vm",vm,"bank",bank.bank,"price",bank.price,"now",curve.now if bank.bank > 0: vm=vm*(1.0-conf.SlideRate/2500.0) else: vm=vm*(1.0+conf.SlideRate/2500.0) (e,f)=bank.destroy(vm,conf) curve.addE(e) flow+=f if detail: print "after destroy:bank",bank.bank,"e",e,"flow",flow,"now",curve.now if abs(e) > 0: curve.addWin(e/conf.HandSize,conf) return curve