"""
|
L2撤单策略
|
"""
|
# ---------------------------------S撤-------------------------------
|
|
# s级平均大单计算
|
# 计算范围到申报时间的那一秒
|
import json
|
import logging
|
import time
|
|
import constant
|
from code_attribute import big_money_num_manager, gpcode_manager, code_volumn_manager
|
import l2_data_util
|
from db import redis_manager_delegate as redis_manager
|
from db.redis_manager_delegate import RedisUtils
|
from l2.code_price_manager import Buy1PriceManager
|
from l2.huaxin import l2_huaxin_util
|
from l2.l2_data_manager import OrderBeginPosInfo
|
from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
|
from log_module import async_log_util
|
from trade.sell.sell_rule_manager import TradeRuleManager
|
|
from utils import tool
|
from l2.transaction_progress import TradeBuyQueue
|
from trade import trade_queue_manager, l2_trade_factor, trade_record_log_util, trade_manager, trade_data_manager
|
from l2 import l2_log, l2_data_source_util
|
from l2.l2_data_util import L2DataUtil, local_today_num_operate_map, local_today_datas, local_today_buyno_map, \
|
local_today_canceled_buyno_map
|
from log_module.log import logger_buy_1_volumn, logger_l2_l_cancel, logger_l2_h_cancel, logger_l2_s_cancel, logger_debug
|
from utils.tool import CodeDataCacheUtil
|
|
|
def set_real_place_position(code, index, buy_single_index=None, is_default=True):
|
# DCancelBigNumComputer().set_real_order_index(code, index)
|
SCancelBigNumComputer().set_real_place_order_index(code, index, is_default)
|
LCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index=buy_single_index,
|
is_default=is_default)
|
HourCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index)
|
NewGCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default)
|
FCancelBigNumComputer().set_real_order_index(code, index, is_default)
|
JCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default)
|
NBCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default)
|
|
|
class BaseCancel:
|
def set_real_place_order_index(self, code, index, buy_single_index, is_default):
|
pass
|
# 撤单成功
|
|
def cancel_success(self, code):
|
pass
|
|
# 下单成功
|
|
def place_order_success(self, code):
|
pass
|
|
|
class L2DataComputeUtil:
|
"""
|
L2数据计算帮助类
|
"""
|
|
@classmethod
|
def compute_left_buy_order(cls, code, start_index, end_index, limit_up_price, min_money=500000):
|
"""
|
计算剩下的委托买单
|
@param code: 代码
|
@param start_index:起始索引（包含）
|
@param end_index: 结束索引（包含）
|
@param limit_up_price: 涨停价
|
@param min_money: 最小的资金
|
@return:笔数,手数
|
"""
|
min_volume = min_money // int(limit_up_price * 100)
|
total_datas = local_today_datas.get(code)
|
canceled_buyno_map = local_today_canceled_buyno_map.get(code)
|
total_count = 0
|
total_num = 0
|
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):
|
continue
|
if val['num'] < min_volume:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
canceled_buyno_map)
|
if left_count > 0:
|
total_count += 1
|
total_num += val["num"]
|
return total_count, total_num
|
|
@classmethod
|
def compute_end_index(cls, code, start_index, end_index, limit_up_price, max_count, min_money=500000):
|
"""
|
计算结束索引
|
@param code: 代码
|
@param start_index:起始索引（包含）
|
@param end_index: 结束索引（包含）
|
@param limit_up_price: 涨停价
|
@param max_count: 最大数量
|
@param min_money: 最小的资金
|
@return:结束索引
|
"""
|
min_volume = min_money // int(limit_up_price * 100)
|
total_datas = local_today_datas.get(code)
|
canceled_buyno_map = local_today_canceled_buyno_map.get(code)
|
total_count = 0
|
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):
|
continue
|
if val['num'] < min_volume:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
canceled_buyno_map)
|
if left_count > 0:
|
total_count += 1
|
if total_count >= max_count:
|
return i
|
return end_index
|
|
|
class SCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__sCancelParamsManager = l2_trade_factor.SCancelParamsManager
|
__s_cancel_real_place_order_index_cache = {}
|
__s_down_watch_indexes_dict = {}
|
__recompute_l_down_time_dict = {}
|
# 最近处理的卖单号
|
__latest_process_sell_order_no = {}
|
|
# S慢砸包含的范围
|
__s_slow_sell_watch_indexes_dict = {}
|
|
# 成交进度位置
|
__trade_progress_index_dict = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(SCancelBigNumComputer, 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.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "s_cancel_real_place_order_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = json.loads(val)
|
tool.CodeDataCacheUtil.set_cache(cls.__s_cancel_real_place_order_index_cache, code, val)
|
finally:
|
RedisUtils.realse(__redis)
|
|
# 设置真实下单位置
|
def __save_real_place_order_index(self, code, index, is_default):
|
CodeDataCacheUtil.set_cache(self.__s_cancel_real_place_order_index_cache, code, (index, is_default))
|
key = "s_cancel_real_place_order_index-{}".format(code)
|
RedisUtils.setex_async(self.__db, key, tool.get_expire(), json.dumps((index, is_default)))
|
|
def __get_real_place_order_index_info_cache(self, code):
|
cache_result = CodeDataCacheUtil.get_cache(self.__s_cancel_real_place_order_index_cache, code)
|
if cache_result[0]:
|
return cache_result[1]
|
return None
|
|
def get_real_place_order_index_cache(self, code):
|
cache_result = self.__get_real_place_order_index_info_cache(code)
|
if cache_result:
|
return cache_result[0]
|
return None
|
|
def __clear_data(self, code):
|
CodeDataCacheUtil.clear_cache(self.__s_cancel_real_place_order_index_cache, code)
|
CodeDataCacheUtil.clear_cache(self.__s_down_watch_indexes_dict, code)
|
CodeDataCacheUtil.clear_cache(self.__trade_progress_index_dict, code)
|
CodeDataCacheUtil.clear_cache(self.__s_slow_sell_watch_indexes_dict, code)
|
ks = ["s_big_num_cancel_compute_data-{}".format(code), "s_cancel_real_place_order_index-{}".format(code)]
|
for key in ks:
|
RedisUtils.delete_async(self.__db, key)
|
|
# 设置真实下单位置
|
def set_real_place_order_index(self, code, index, is_default):
|
self.__save_real_place_order_index(code, index, is_default)
|
if not is_default:
|
self.__compute_s_slow_sell(code)
|
|
def set_transaction_index(self, code, buy_single_index, index):
|
self.__trade_progress_index_dict[code] = index
|
self.__compute_s_slow_sell(code)
|
|
def clear_data(self):
|
ks = ["s_big_num_cancel_compute_data-*", "s_cancel_real_place_order_index-*"]
|
for key in ks:
|
keys = RedisUtils.keys(self.__get_redis(), key)
|
for k in keys:
|
code = k.split("-")[1]
|
self.__clear_data(code)
|
|
# 撤单成功
|
def cancel_success(self, code):
|
self.__clear_data(code)
|
|
# 下单成功
|
def place_order_success(self, code):
|
self.__clear_data(code)
|
|
def __get_fast_threshold_value(self, code):
|
"""
|
获取S快炸的阈值
|
@param code:
|
@return:（大单阈值, 800w内大单阈值）
|
"""
|
max60, yesterday = code_volumn_manager.get_histry_volumn(code)
|
if max60:
|
num = max60[0]
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if limit_up_price:
|
money_y = min(round((num * float(limit_up_price)) / 1e8, 1), 7.9)
|
money = int(round(15 * money_y + 276.5))
|
money_800 = int(round(money * 0.668))
|
return money, money_800
|
# 默认值
|
return 299, 200
|
|
# S前撤实现
|
def __need_cancel_for_up(self, code, big_sell_order_info, total_datas):
|
# 查询是否是真的真实下单位置
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
trade_index = 0
|
real_order_index_info = self.__get_real_place_order_index_info_cache(code)
|
if real_order_index_info is None or real_order_index_info[1]:
|
return False, "没找到真实下单位"
|
real_order_index = real_order_index_info[0]
|
total_deal_money = sum([x[1] * x[2] for x in big_sell_order_info[1]])
|
start_order_no = big_sell_order_info[1][0][3][1]
|
# 防止分母位0
|
total_num = 1
|
# 获取正在成交的数据
|
dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if int(val['orderNo']) < start_order_no:
|
continue
|
if i == trade_index and dealing_info and str(total_datas[trade_index]["val"]["orderNo"]) == str(
|
dealing_info[0]):
|
# 减去当前正在成交的数据中已经成交了的数据
|
total_num -= dealing_info[1] // 100
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_num += val["num"]
|
|
# 大于10w
|
if total_deal_money >= 10 * 10000:
|
cancel_result = self.__need_cancel_for_slow_sell(code, total_datas)
|
if cancel_result[0]:
|
return True, f"S慢砸:{cancel_result[1]}"
|
|
if total_deal_money >= 100 * 10000:
|
l2_log.s_cancel_debug(code, "准备更新L后囊括")
|
start_order_no = big_sell_order_info[1][-1][4][1]
|
latest_deal_time_ms = l2_huaxin_util.convert_time(big_sell_order_info[1][-1][4][0], with_ms=True)
|
real_trade_index = None
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if int(val['orderNo']) < start_order_no:
|
continue
|
real_trade_index = i
|
break
|
if real_trade_index is None:
|
l2_log.s_cancel_debug(code, f"没找到真实的成交进度：start_order_no-{start_order_no} 卖单-{big_sell_order_info}")
|
return False, ""
|
# 间隔1S以上才能重新囊括
|
if code in self.__recompute_l_down_time_dict and tool.trade_time_sub_with_ms(latest_deal_time_ms,
|
self.__recompute_l_down_time_dict[
|
code]) < 1000:
|
l2_log.s_cancel_debug(code,
|
f"更新L后囊括：更新间隔在1s内，{latest_deal_time_ms}-{self.__recompute_l_down_time_dict[code]}")
|
return False, ""
|
self.__recompute_l_down_time_dict[code] = latest_deal_time_ms
|
# 重新囊括L后
|
# 撤单时间比早成交时间大就需要计算在里面
|
LCancelBigNumComputer().re_compute_l_down_watch_indexes(code, big_sell_info=(
|
real_trade_index, latest_deal_time_ms))
|
l2_log.s_cancel_debug(code, f"更新L后囊括完成：{(real_trade_index, latest_deal_time_ms)}")
|
return False, ""
|
|
def __need_cancel_for_slow_sell(self, code, total_datas):
|
"""
|
S慢撤的目的是判断较大金额卖占整个卖的比例不能太大
|
@param code:
|
@param total_datas:
|
@return:
|
"""
|
if code not in self.__s_slow_sell_watch_indexes_dict:
|
return False, "S慢砸没有囊括"
|
# 下单3分钟内有效
|
real_place_order_info = self.__get_real_place_order_index_info_cache(code)
|
if not real_place_order_info:
|
return False, "没有获取到真实下单位"
|
if tool.trade_time_sub(total_datas[-1]['val']['time'],
|
total_datas[real_place_order_info[0]]['val']['time']) > 180:
|
return False, "超过守护时间"
|
|
# 格式:[{监听index},当时正在成交的订单号,已经成交的手数]
|
watch_info = self.__s_slow_sell_watch_indexes_dict.get(code)
|
# 计算总买额
|
total_num = 0
|
for i in watch_info[0]:
|
data = total_datas[i]
|
val = data['val']
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_num += val['num']
|
if val['orderNo'] == watch_info[1]:
|
total_num -= watch_info[2]
|
# 过滤最小金额
|
zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
|
zyltgb_unit_y = round(zyltgb / 100000000, 1)
|
min_sell_money = int((zyltgb_unit_y / 2 + 5) * 10000)
|
sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, min_sell_order_no=
|
total_datas[real_place_order_info[0]]['val']['orderNo'], min_sell_money=min_sell_money)
|
sell_order_num = sum([x[1] for x in sell_orders]) // 100
|
rate = round(sell_order_num / total_num, 2)
|
threshold_rate = constant.S_SLOW_RATE
|
if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
|
threshold_rate = constant.S_SLOW_RATE_WITH_MUST_BUY
|
if rate > threshold_rate:
|
return True, f"慢砸成交比例:{rate}/0.49 成交：{sell_order_num}/{total_num}"
|
else:
|
return False, f"尚未触发撤单比例:{rate}"
|
|
# 计算S后撤监听的数据范围
|
def __compute_down_cancel_watch_index(self, code, big_sell_order_info, total_datas):
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
real_order_index_info = self.__get_real_place_order_index_info_cache(code)
|
if real_order_index_info is None or real_order_index_info[1]:
|
return
|
real_order_index = real_order_index_info[0]
|
start_order_no = big_sell_order_info[1][-1][4][1]
|
latest_deal_time = l2_huaxin_util.convert_time(big_sell_order_info[1][-1][4][0], with_ms=True)
|
if code in self.__s_down_watch_indexes_dict:
|
# 更新囊括范围后1s内不能再次更新
|
if tool.trade_time_sub_with_ms(latest_deal_time, self.__s_down_watch_indexes_dict[code][0]) <= 1000:
|
return
|
|
watch_index_info = []
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if int(val['orderNo']) < start_order_no:
|
continue
|
if val['num'] * float(val['price']) < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_index_info.append((i, val['num']))
|
watch_index_info.sort(key=lambda x: x[1], reverse=True)
|
watch_indexes = set([x[0] for x in watch_index_info[:5]])
|
l2_log.s_cancel_debug(code, f"S后计算那概括范围：{watch_indexes} 最近成交的卖单信息：{big_sell_order_info[1][-1]}")
|
if watch_indexes:
|
# 保存卖单信息
|
self.__s_down_watch_indexes_dict[code] = (latest_deal_time, watch_indexes)
|
|
# 是否有大卖单需要撤
|
def __need_cancel_for_big_sell_order(self, code, big_sell_order_info, order_begin_pos: OrderBeginPosInfo):
|
# 需要排除成交时间在下单时间之前的
|
total_deal_money = 0
|
total_datas = local_today_datas.get(code)
|
real_order_index_info = self.__get_real_place_order_index_info_cache(code)
|
real_order_time_ms = None
|
if real_order_index_info and not real_order_index_info[1]:
|
real_order_index = real_order_index_info[0]
|
real_order_time_ms = total_datas[real_order_index]["val"]["time"] + ".{0:0>3}".format(
|
total_datas[real_order_index]["val"]["tms"])
|
|
for x in big_sell_order_info[1]:
|
deal_time = l2_huaxin_util.convert_time(x[4][0], with_ms=True)
|
if real_order_time_ms:
|
if tool.trade_time_sub_with_ms(deal_time, real_order_time_ms) >= 0:
|
m = x[1] * x[2]
|
total_deal_money += m
|
else:
|
m = x[1] * x[2]
|
total_deal_money += m
|
|
zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
|
zyltgb_unit_y = round(zyltgb / 100000000, 1)
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
limit_up_price = round(float(limit_up_price), 2)
|
# 有超大单砸 S重砸
|
threshold_big_deal = (2 * zyltgb_unit_y + 339) * 10000
|
if total_deal_money >= threshold_big_deal:
|
# S重砸必撤的金额满足以后，以前是无脑撤。现在优化一下，看成交进度位---真实下单位的区间额≤重砸金额*3.3倍，就撤。
|
try:
|
need_compute = False
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
trade_index = 0
|
if real_order_index_info and not real_order_index_info[1]:
|
need_compute = True
|
|
if need_compute:
|
total_count, total_num = L2DataComputeUtil.compute_left_buy_order(code, trade_index,
|
real_order_index_info[0],
|
limit_up_price)
|
if total_num == 0:
|
total_num = 1
|
|
threshold_rate = constant.S_FAST_BIG_RATE
|
if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
|
threshold_rate = constant.S_FAST_BIG_RATE_WITH_MUST_BUY
|
|
if total_deal_money / (total_num * limit_up_price * 100) >= threshold_rate:
|
# 大单成交额占总剩余总囊括的30%
|
return True, f"1s内大于{threshold_big_deal}大卖单（{total_deal_money}）"
|
else:
|
return True, f"1s内大于{threshold_big_deal}大卖单（{total_deal_money}）"
|
except Exception as e:
|
l2_log.info(code, logger_debug, f"S快计算出错：{str(e)}")
|
|
# 判断是否为激进下单
|
threash_money_w, threash_money_danger_w = self.__get_fast_threshold_value(code)
|
total_fast_num = 0
|
try:
|
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
trade_index = 0
|
if real_order_index_info and not real_order_index_info[1]:
|
real_order_index = real_order_index_info[0]
|
# 开始第一笔成交数据
|
fdeal = big_sell_order_info[1][0][3]
|
start_order_no = fdeal[1]
|
sell_time_str = l2_huaxin_util.convert_time(fdeal[0], with_ms=False)
|
|
total_num = 0
|
# 获取正在成交的数据
|
# 计算成交进度到真实下单位的纯买额
|
dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if int(val['orderNo']) < start_order_no:
|
continue
|
if i == trade_index and dealing_info and str(
|
total_datas[trade_index]["val"]["orderNo"]) == str(
|
dealing_info[0]):
|
# 减去当前正在成交的数据中已经成交了的数据
|
total_num -= dealing_info[1] // 100
|
total_fast_num -= dealing_info[1] // 100
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
|
code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_num += val["num"]
|
total_fast_num += val['num']
|
if total_num * float(limit_up_price) < 800 * 100 and tool.trade_time_sub(sell_time_str,
|
total_datas[real_order_index][
|
'val']['time']) < 15 * 60:
|
# 15分钟内真实成交位距离真实下单位，金额≤800万 ,大单阈值变为200w
|
threash_money_w = threash_money_danger_w
|
except Exception as e:
|
l2_log.s_cancel_debug(code, f"S撤激进下单计算大单卖阈值出错：{str(e)}")
|
total_fast_money = int(total_fast_num * 100 * float(limit_up_price))
|
if total_fast_money == 0:
|
# 防止分母为0
|
total_fast_money = 1
|
rate = round(total_deal_money / total_fast_money, 2)
|
threshold_rate = constant.S_FAST_RATE
|
if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
|
threshold_rate = constant.S_FAST_RATE_WITH_MUST_BUY
|
|
if total_deal_money >= threash_money_w * 10000 and rate >= threshold_rate:
|
return True, f"近1s有大卖单({round(total_deal_money / 10000, 1)}万/{threash_money_w}万，成交占比：{total_deal_money}/{total_fast_money})"
|
else:
|
l2_log.s_cancel_debug(code,
|
f"S快撤没达到撤单比例：成交金额({total_deal_money})/囊括金额({total_fast_money}),比例：{rate} 大单阈值：{threash_money_w}w")
|
return False, f"无{threash_money_w}大单"
|
|
# big_sell_order_info格式：[总共的卖单金额, 大卖单详情列表]
|
def set_big_sell_order_info_for_cancel(self, code, big_sell_order_info, order_begin_pos: OrderBeginPosInfo):
|
if order_begin_pos is None or order_begin_pos.buy_exec_index is None or order_begin_pos.buy_exec_index < 0:
|
return False, "还未下单"
|
|
if big_sell_order_info[0] < 500000 or not big_sell_order_info[1]:
|
return False, "无大单卖"
|
l2_log.s_cancel_debug(code, f"主动卖：{big_sell_order_info}")
|
try:
|
need_cancel, cancel_msg = self.__need_cancel_for_big_sell_order(code, big_sell_order_info, order_begin_pos)
|
if need_cancel:
|
return need_cancel, cancel_msg
|
|
total_datas = local_today_datas.get(code)
|
need_cancel, cancel_msg = self.__need_cancel_for_up(code, big_sell_order_info, total_datas)
|
if need_cancel:
|
return need_cancel, cancel_msg
|
# S后撤取消
|
# if self.__latest_process_sell_order_no.get(code) != big_sell_order_info[1][-1][0]:
|
# # 不处理重复的卖单
|
# # 获取最新的成交时间
|
# latest_trade_time = l2_huaxin_util.convert_time(big_sell_order_info[1][-1][4][0])
|
# if tool.trade_time_sub(latest_trade_time,
|
# total_datas[order_begin_pos.buy_single_index]['val']['time']) >= 180:
|
# self.__compute_down_cancel_watch_index(code, big_sell_order_info, total_datas)
|
return False, "不满足撤单条件"
|
finally:
|
# self.__latest_process_sell_order_no[code] = big_sell_order_info[1][-1][0]
|
pass
|
|
# ----------------------------S慢砸范围计算------------------------------------
|
def __compute_s_slow_sell(self, code):
|
try:
|
if code in self.__s_slow_sell_watch_indexes_dict:
|
return
|
real_place_order_info = self.__get_real_place_order_index_info_cache(code)
|
if not real_place_order_info or real_place_order_info[1]:
|
return
|
trade_index = self.__trade_progress_index_dict.get(code)
|
if trade_index is None:
|
return
|
start_index = trade_index
|
end_index = real_place_order_info[0]
|
total_datas = local_today_datas.get(code)
|
watch_indexes = set()
|
for i in range(start_index, end_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val['num'] * float(val['price']) < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes.add(i)
|
|
dealing_order_no = None
|
dealed_num = 0
|
# 格式：[监听的索引,正在成交索引,已成交的数量]
|
dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
|
if dealing_info:
|
dealing_order_no = dealing_info[0]
|
dealed_num = dealing_info[1] // 100
|
watch_info = [watch_indexes, dealing_order_no, dealed_num]
|
self.__s_slow_sell_watch_indexes_dict[code] = watch_info
|
l2_log.s_cancel_debug(code, f"S慢砸监听范围:{watch_info}")
|
except Exception as e:
|
logger_l2_s_cancel.exception(e)
|
|
|
# --------------------------------H撤-------------------------------
|
class HourCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__tradeBuyQueue = TradeBuyQueue()
|
__SCancelBigNumComputer = SCancelBigNumComputer()
|
|
# 计算触发位置
|
__start_compute_index_dict = {}
|
|
# 成交位置
|
__transaction_progress_index_dict = {}
|
# 成交位置更新时间
|
__transaction_progress_index_updatetime_dict = {}
|
# 缓存
|
__cancel_watch_indexs_cache = {}
|
|
# L撤触发的代码
|
__l_cancel_triggered_codes = set()
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(HourCancelBigNumComputer, 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.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "h_cancel_watch_indexs-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = json.loads(val)
|
if val:
|
val = set(val)
|
else:
|
val = set()
|
CodeDataCacheUtil.set_cache(cls.__cancel_watch_indexs_cache, code, val)
|
|
keys = RedisUtils.keys(__redis, "h_cancel_transaction_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = int(val)
|
CodeDataCacheUtil.set_cache(cls.__transaction_progress_index_dict, code, val)
|
finally:
|
RedisUtils.realse(__redis)
|
|
# 保存成交位置到执行位置的揽括范围数据
|
def __save_watch_index_set(self, code, buy_single_index, indexes):
|
trade_record_log_util.add_cancel_watch_indexes_log(code,
|
trade_record_log_util.CancelWatchIndexesInfo(
|
trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_H,
|
buy_single_index,
|
list(indexes)))
|
CodeDataCacheUtil.set_cache(self.__cancel_watch_indexs_cache, code, indexes)
|
key = f"h_cancel_watch_indexs-{code}"
|
RedisUtils.setex_async(self.__db, key, tool.get_expire(),
|
json.dumps(list(indexes)))
|
|
# 保存成交进度
|
def __get_watch_index_set(self, code):
|
key = f"h_cancel_watch_indexs-{code}"
|
val = RedisUtils.get(self.__get_redis(), key)
|
if val is None:
|
return None
|
val = json.loads(val)
|
return val
|
|
def __get_watch_index_set_cache(self, code):
|
cache_result = CodeDataCacheUtil.get_cache(self.__cancel_watch_indexs_cache, code)
|
if cache_result[0]:
|
return cache_result[1]
|
return set()
|
|
def __save_transaction_index(self, code, index):
|
CodeDataCacheUtil.set_cache(self.__transaction_progress_index_dict, code, index)
|
key = f"h_cancel_transaction_index-{code}"
|
RedisUtils.setex_async(self.__db, key, tool.get_expire(), index)
|
|
def __clear_data(self, code):
|
CodeDataCacheUtil.clear_cache(self.__cancel_watch_indexs_cache, code)
|
CodeDataCacheUtil.clear_cache(self.__transaction_progress_index_dict, code)
|
CodeDataCacheUtil.clear_cache(self.__start_compute_index_dict, code)
|
self.__l_cancel_triggered_codes.discard(code)
|
ks = [f"h_cancel_watch_indexs-{code}", f"h_cancel_transaction_index-{code}"]
|
for key in ks:
|
RedisUtils.delete_async(self.__db, key)
|
|
# 计算观察索引，倒序计算
|
|
def __compute_watch_index(self, code, buy_single_index):
|
"""
|
@param code:
|
@param buy_single_index:
|
@return:
|
"""
|
if buy_single_index is None:
|
return
|
if self.__cancel_watch_indexs_cache.get(code):
|
return
|
real_place_order_index = self.__SCancelBigNumComputer.get_real_place_order_index_cache(code)
|
if not real_place_order_index:
|
l2_log.h_cancel_debug(code, "尚未找到真实下单位置")
|
return
|
start_compute_index = self.__start_compute_index_dict.get(code)
|
if not start_compute_index:
|
l2_log.h_cancel_debug(code, "尚未找到开始计算位置")
|
return
|
transaction_index = self.__transaction_progress_index_dict.get(code)
|
if transaction_index:
|
# 不能计算成交进度以前的数据
|
start_compute_index = transaction_index + 1 # max(transaction_index + 1, start_compute_index)
|
total_datas = local_today_datas.get(code)
|
|
# h撤计算必须超过3分钟
|
if tool.trade_time_sub(total_datas[-1]["val"]["time"],
|
total_datas[real_place_order_index]["val"]["time"]) < 180:
|
l2_log.h_cancel_debug(code, "180s内囊括计算H撤")
|
return
|
# -----------------计算H上-------------------
|
watch_indexes_up = set()
|
for i in range(real_place_order_index - 1, start_compute_index + 1, -1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 小金额过滤
|
if float(val['price']) * val['num'] < 50 * 100:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes_up.add(i)
|
if len(watch_indexes_up) >= 3:
|
# 最多取3笔
|
break
|
|
# ------------------计算H下-----------------------
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if not limit_up_price:
|
return
|
# 计算结束位置
|
total_num = 0
|
# 获取m值数据
|
thresh_hold_money = Buy1PriceManager().get_latest_buy1_money(code)
|
# 封单额的1/10
|
thresh_hold_money = thresh_hold_money / 10
|
thresh_hold_num = thresh_hold_money // (float(limit_up_price) * 100)
|
end_index = real_place_order_index + 1
|
watch_indexes = set()
|
for i in range(real_place_order_index + 1, total_datas[-1]["index"]):
|
# 看是否撤单
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if float(val['price']) * val['num'] < 50 * 100:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes.add(i)
|
total_num += left_count * val["num"]
|
count = len(watch_indexes)
|
# 最小5笔，最大10笔
|
if (total_num > thresh_hold_num and count >= 5) or count >= 10:
|
break
|
if watch_indexes or watch_indexes_up:
|
watch_indexes |= watch_indexes_up
|
self.__save_watch_index_set(code, buy_single_index, watch_indexes)
|
l2_log.h_cancel_debug(code, f"设置监听范围， 数据范围：{real_place_order_index}-{end_index} 监听范围-{watch_indexes}")
|
# 设置真实下单位置
|
|
def __need_compute_watch_indexes(self, code, transaction_index):
|
"""
|
1.成交进度位距离真实下单位置<=5笔触发囊括
|
2.成交到（下单那一刻的成交进度位）到（真实下单位置）的后1/10处也要触发囊括
|
3.L撤无法生效触发囊括
|
@param code:
|
@param transaction_index:
|
@return:
|
"""
|
|
start_compute_index = self.__start_compute_index_dict.get(code)
|
if start_compute_index is None:
|
return False
|
real_place_order_index = self.__SCancelBigNumComputer.get_real_place_order_index_cache(code)
|
total_datas = local_today_datas.get(code)
|
if real_place_order_index and real_place_order_index > transaction_index:
|
# 成交位置离我们真实下单的位置只有5笔没撤的大单就需要计算H撤的囊括范围了
|
total_left_count = 0
|
for index in range(transaction_index + 1, real_place_order_index):
|
data = total_datas[index]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if float(val['price']) * val['num'] < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_left_count += 1
|
if total_left_count > 5:
|
break
|
if total_left_count <= 5:
|
return True
|
|
# 成交位到开始计算位置没有买单之后
|
for index in range(transaction_index + 1, start_compute_index):
|
data = total_datas[index]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if float(val['price']) * val['num'] < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
# 中间还有未撤的买单
|
return False
|
return True
|
|
# 设置成交进度
|
def set_transaction_index(self, code, buy_single_index, index):
|
try:
|
# 每3s或者成交进度变化就囊括一次
|
if index == self.__transaction_progress_index_dict.get(code):
|
if code in self.__transaction_progress_index_updatetime_dict and time.time() - self.__transaction_progress_index_updatetime_dict.get(
|
code) < 3:
|
return
|
self.__transaction_progress_index_dict[code] = index
|
self.__transaction_progress_index_updatetime_dict[code] = time.time()
|
if self.__need_compute_watch_indexes(code, index):
|
self.__compute_watch_index(code, buy_single_index)
|
except Exception as e:
|
l2_log.h_cancel_debug(code, "设置成交进度位置出错：{}", str(e))
|
async_log_util.exception(logger_l2_h_cancel, e)
|
|
# 设置真实下单位置
|
def set_real_place_order_index(self, code, index, buy_single_index):
|
if buy_single_index is None:
|
return
|
try:
|
# 计算触发位置
|
min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
|
# 统计净涨停买的数量
|
not_cancel_indexes = []
|
total_datas = local_today_datas.get(code)
|
for j in range(buy_single_index, index):
|
data = total_datas[j]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] < min_num:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
j,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
not_cancel_indexes.append(j)
|
if not_cancel_indexes:
|
temp_count = len(not_cancel_indexes)
|
temp_index = int(temp_count * 9 / 10)
|
if temp_index + 1 >= temp_count:
|
temp_index = temp_count - 1
|
self.__start_compute_index_dict[code] = not_cancel_indexes[temp_index]
|
except Exception as e:
|
async_log_util.exception(logger_l2_h_cancel, e)
|
l2_log.h_cancel_debug(code, "设置真实下单位置出错：{}", str(e))
|
|
def need_cancel(self, code, buy_single_index, buy_exec_index, start_index, end_index, total_data,
|
buy_volume_index, volume_index,
|
is_first_code):
|
if buy_single_index is None or buy_exec_index is None:
|
return False, "尚未找到下单位置"
|
|
if int(tool.get_now_time_str().replace(":", "")) > int("145000"):
|
return False, None
|
# 设置成交进度
|
if code not in self.__transaction_progress_index_dict:
|
return False, "没找到成交进度"
|
watch_index_set = self.__get_watch_index_set_cache(code)
|
if not watch_index_set:
|
# 是否有涨停买撤
|
need_compute = False
|
# 有涨停买撤才会计算位置
|
for i in range(start_index, end_index + 1):
|
data = total_data[i]
|
val = data['val']
|
if L2DataUtil.is_limit_up_price_buy_cancel(val):
|
need_compute = True
|
break
|
if need_compute:
|
if self.__need_compute_watch_indexes(code, self.__transaction_progress_index_dict.get(code)):
|
self.__compute_watch_index(code, buy_single_index)
|
watch_index_set = self.__get_watch_index_set_cache(code)
|
if not watch_index_set:
|
return False, "没有监听索引"
|
l2_log.cancel_debug(code, "H级是否需要撤单，数据范围：{}-{} ", start_index, end_index)
|
if watch_index_set:
|
cancel_num = 0
|
total_num = 0
|
for i in watch_index_set:
|
if i is None:
|
l2_log.h_cancel_debug(code, f"空值：{watch_index_set}")
|
continue
|
data = total_data[i]
|
val = data['val']
|
total_num += val['num'] * data['re']
|
# 判断是否撤单
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
cancel_num += val['num'] * (data['re'] - left_count)
|
rate = round(cancel_num / total_num, 4)
|
threshold_rate = constant.H_CANCEL_RATE_WITH_LDOWN_CANT_INVALID if code in self.__l_cancel_triggered_codes else constant.H_CANCEL_RATE
|
try:
|
must_buy = gpcode_manager.MustBuyCodesManager().is_in_cache(code)
|
if must_buy:
|
threshold_rate = constant.H_CANCEL_RATE_WITH_MUST_BUY
|
except Exception as e:
|
async_log_util.error(logger_l2_h_cancel, str(e))
|
if rate >= threshold_rate:
|
l2_log.h_cancel_debug(code, f"撤单比例：{rate}")
|
return True, total_data[-1]
|
return False, None
|
|
# 下单成功
|
def place_order_success(self, code, buy_single_index, buy_exec_index, total_data):
|
self.__clear_data(code)
|
|
# 获取H撤监听的数据索引范围
|
# 返回监听范围与已撤单索引
|
def get_watch_index_dict(self, code):
|
return {}, set()
|
|
def start_compute_watch_indexes(self, code, buy_single_index):
|
"""
|
L后撤无法生效触发的囊括
|
@param code:
|
@param buy_single_index:
|
@return:
|
"""
|
self.__l_cancel_triggered_codes.add(code)
|
self.__compute_watch_index(code, buy_single_index)
|
|
|
# ---------------------------------D撤-------------------------------
|
# 计算 成交位->真实下单位置 总共还剩下多少手没有撤单
|
# 成交位变化之后重新计算
|
class DCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
|
__instance = None
|
|
# 下单位之后的封单中的大单
|
__follow_big_order_cache = {}
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(DCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
cls.__load_datas()
|
return cls.__instance
|
|
@classmethod
|
def __load_datas(cls):
|
__redis = cls.__get_redis()
|
try:
|
pass
|
finally:
|
RedisUtils.realse(__redis)
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redis_manager.getRedis()
|
|
# 是否有撤买的规则
|
def has_auto_cancel_rules(self, code):
|
rules = self.get_auto_cancel_rules(code)
|
return True if rules else False
|
|
def get_auto_cancel_rules(self, code):
|
try:
|
rules = TradeRuleManager().list_can_excut_rules_cache([TradeRuleManager.TYPE_BUY_CANCEL], code)
|
return rules
|
except:
|
return None
|
|
def need_cancel(self, code, buy1_volume):
|
rules = self.get_auto_cancel_rules(code)
|
if rules:
|
for r in rules:
|
if r.buy1_volume >= buy1_volume:
|
# 量低于
|
return True, r.id_
|
return False, None
|
|
def compute_d_cancel_watch_index(self, code):
|
# 计算D撤囊括范围
|
# real_place_order_index = self.__SCancelBigNumComputer.get_real_place_order_index_cache(code)
|
pass
|
|
def __clear_data(self, code):
|
if code in self.__follow_big_order_cache:
|
self.__follow_big_order_cache.pop(code)
|
|
def place_order_success(self, code, buy_single_index, buy_exec_index):
|
self.__clear_data(code)
|
|
|
# ---------------------------------L撤-------------------------------
|
class LCancelRateManager:
|
__block_limit_up_count_dict = {}
|
__big_num_deal_rate_dict = {}
|
__MustBuyCodesManager = gpcode_manager.MustBuyCodesManager()
|
|
# 获取撤单比例,返回（撤单比例,是否必买）
|
@classmethod
|
def get_cancel_rate(cls, code, buy_exec_time, is_up=False, is_l_down_recomputed=False):
|
try:
|
must_buy = cls.__MustBuyCodesManager.is_in_cache(code)
|
if must_buy:
|
if is_up:
|
return constant.L_CANCEL_RATE_UP_WITH_MUST_BUY, True
|
else:
|
return constant.L_CANCEL_RATE_WITH_MUST_BUY, True
|
except Exception as e:
|
async_log_util.error(logger_l2_l_cancel, str(e))
|
|
base_rate = constant.L_CANCEL_RATE
|
if is_up:
|
base_rate = constant.L_CANCEL_RATE_UP
|
try:
|
block_rate = 0
|
if code in cls.__block_limit_up_count_dict:
|
count = cls.__block_limit_up_count_dict[code]
|
rates = [0, 0.03, 0.06, 0.08, 0.12]
|
if count >= len(rates):
|
block_rate = rates[-1]
|
else:
|
block_rate = rates[count]
|
|
deal_rate = 0
|
if code in cls.__big_num_deal_rate_dict:
|
deal_rate = round(cls.__big_num_deal_rate_dict[code] / 100)
|
|
base_rate += block_rate
|
base_rate += deal_rate
|
except Exception as e:
|
l2_log.l_cancel_debug(code, f"计算撤单比例出错：{e}")
|
return round(base_rate, 2), False
|
|
# 获取L后成交太快的撤单比例
|
@classmethod
|
def get_fast_deal_cancel_rate(cls, code):
|
must_buy_cancel_rate = cls.__MustBuyCodesManager.get_cancel_rate_cache(code)
|
if must_buy_cancel_rate is not None:
|
return must_buy_cancel_rate
|
return constant.L_CANCEL_FAST_DEAL_RATE
|
|
# 设置板块涨停数量（除开自己）
|
@classmethod
|
def set_block_limit_up_count(cls, reason_codes_dict):
|
for reason in reason_codes_dict:
|
codes = reason_codes_dict[reason]
|
for c in codes:
|
cls.__block_limit_up_count_dict[c] = len(codes) - 1
|
|
@classmethod
|
def set_big_num_deal_info(cls, code, buy_money, sell_money):
|
left_money_w = (buy_money - sell_money) // 10000
|
if left_money_w > 0:
|
rate = ((left_money_w + 300) // 900) * 2
|
else:
|
rate = ((left_money_w + 599) // 900) * 2
|
if rate < -10:
|
rate = -10
|
if rate > 10:
|
rate = 10
|
cls.__big_num_deal_rate_dict[code] = rate
|
|
@classmethod
|
def compute_big_num_deal_info(cls, code):
|
total_buy_money = BigOrderDealManager().get_total_buy_money(code)
|
total_sell_money = BigOrderDealManager().get_total_sell_money(code)
|
cls.set_big_num_deal_info(code, total_buy_money, total_sell_money)
|
|
|
# 计算成交位置之后的大单（特定笔数）的撤单比例
|
class LCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__last_trade_progress_dict = {}
|
__real_place_order_index_dict = {}
|
__cancel_watch_index_info_cache = {}
|
# L后真实成交位之后的位置索引
|
__cancel_l_down_after_place_order_index_cache = {}
|
# 成交位附近临近大单索引
|
__near_by_trade_progress_index_cache = {}
|
|
__SCancelBigNumComputer = SCancelBigNumComputer()
|
|
# L后囊括范围未撤单/未成交的总手数
|
__total_l_down_not_deal_num_dict = {}
|
# L后最近的成交数信息
|
__l_down_latest_deal_info_dict = {}
|
|
__last_l_up_compute_info = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(LCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
|
cls.__load_datas()
|
return cls.__instance
|
|
@classmethod
|
def __load_datas(cls):
|
__redis = cls.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "l_cancel_watch_index_info-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
if val:
|
val = json.loads(val)
|
val[2] = set(val[2])
|
CodeDataCacheUtil.set_cache(cls.__cancel_watch_index_info_cache, code, val)
|
|
keys = RedisUtils.keys(__redis, "l_cancel_real_place_order_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = json.loads(val)
|
CodeDataCacheUtil.set_cache(cls.__real_place_order_index_dict, code, val)
|
|
keys = RedisUtils.keys(__redis, "l_cancel_near_by_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
try:
|
val = set(json.loads(val))
|
CodeDataCacheUtil.set_cache(cls.__near_by_trade_progress_index_cache, code, val)
|
except:
|
pass
|
keys = RedisUtils.keys(__redis, "l_cancel_down_after_place_order_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
try:
|
val = json.loads(val)
|
CodeDataCacheUtil.set_cache(cls.__cancel_l_down_after_place_order_index_cache, code, val)
|
except:
|
pass
|
|
|
finally:
|
RedisUtils.realse(__redis)
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redis_manager.getRedis()
|
|
def __set_watch_indexes(self, code, buy_single_index, re_compute: int, indexes):
|
self.__cancel_watch_index_info_cache[code] = (buy_single_index, re_compute, indexes)
|
RedisUtils.delete_async(self.__db, f"l_cancel_watch_index_info-{code}")
|
RedisUtils.setex_async(self.__db, f"l_cancel_watch_index_info-{code}", tool.get_expire(),
|
json.dumps((buy_single_index, re_compute, list(indexes))))
|
if indexes:
|
trade_record_log_util.add_cancel_watch_indexes_log(code,
|
trade_record_log_util.CancelWatchIndexesInfo(
|
trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_DOWN,
|
buy_single_index,
|
list(indexes)))
|
|
def __get_watch_indexes_cache(self, code):
|
cache_result = CodeDataCacheUtil.get_cache(self.__cancel_watch_index_info_cache, code)
|
if cache_result[0]:
|
return cache_result[1]
|
return None
|
|
def __set_near_by_trade_progress_indexes(self, code, buy_single_index, indexes):
|
if indexes:
|
trade_record_log_util.add_cancel_watch_indexes_log(code,
|
trade_record_log_util.CancelWatchIndexesInfo(
|
trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_UP,
|
buy_single_index,
|
list(indexes)))
|
self.__near_by_trade_progress_index_cache[code] = indexes
|
RedisUtils.setex_async(self.__db, f"l_cancel_near_by_index-{code}", tool.get_expire(),
|
json.dumps(list(indexes)))
|
|
def __get_near_by_trade_progress_indexes(self, code):
|
val = RedisUtils.get(self.__get_redis(), f"l_cancel_near_by_index-{code}")
|
if val is None:
|
return None
|
return set(json.loads(val))
|
|
def __get_near_by_trade_progress_indexes_cache(self, code):
|
cache_result = CodeDataCacheUtil.get_cache(self.__near_by_trade_progress_index_cache, code)
|
if cache_result[0]:
|
return cache_result[1]
|
return None
|
|
def __set_cancel_l_down_after_place_order_index(self, code, watch_index, index):
|
if code not in self.__cancel_l_down_after_place_order_index_cache:
|
self.__cancel_l_down_after_place_order_index_cache[code] = {}
|
self.__cancel_l_down_after_place_order_index_cache[code][str(watch_index)] = index
|
RedisUtils.setex_async(self.__db, f"l_cancel_down_after_place_order_index-{code}", tool.get_expire(),
|
json.dumps(self.__cancel_l_down_after_place_order_index_cache[code]))
|
|
def __get_cancel_l_down_after_place_order_index_dict(self, code):
|
return self.__cancel_l_down_after_place_order_index_cache.get(code)
|
|
def del_watch_index(self, code):
|
CodeDataCacheUtil.clear_cache(self.__cancel_watch_index_info_cache, code)
|
RedisUtils.delete_async(self.__db, f"l_cancel_watch_index_info-{code}")
|
|
def clear(self, code=None):
|
if code:
|
self.del_watch_index(code)
|
if code in self.__real_place_order_index_dict:
|
self.__real_place_order_index_dict.pop(code)
|
RedisUtils.delete_async(self.__db, f"l_cancel_real_place_order_index-{code}")
|
if code in self.__cancel_l_down_after_place_order_index_cache:
|
self.__cancel_l_down_after_place_order_index_cache.pop(code)
|
RedisUtils.delete_async(self.__db, f"l_cancel_down_after_place_order_index-{code}")
|
else:
|
keys = RedisUtils.keys(self.__get_redis(), f"l_cancel_watch_index_info-*")
|
for k in keys:
|
code = k.replace("l_cancel_watch_index_info-", "")
|
if code in self.__last_trade_progress_dict:
|
self.__last_trade_progress_dict.pop(code)
|
if code in self.__real_place_order_index_dict:
|
self.__real_place_order_index_dict.pop(code)
|
self.del_watch_index(code)
|
keys = RedisUtils.keys(self.__get_redis(), f"l_cancel_real_place_order_index-*")
|
for k in keys:
|
RedisUtils.delete(self.__get_redis(), k)
|
# 清除L后真实下单位置之后囊括的索引
|
self.__cancel_l_down_after_place_order_index_cache.clear()
|
keys = RedisUtils.keys(self.__get_redis(), f"l_cancel_down_after_place_order_index-*")
|
for k in keys:
|
RedisUtils.delete(self.__get_redis(), k)
|
|
# 重新计算L上
|
|
# big_sell_info卖单信息，格式：[最近成交索引,最近成交时间(带毫秒)]
|
def re_compute_l_down_watch_indexes(self, code, big_sell_info=None):
|
watch_index_info = self.__cancel_watch_index_info_cache.get(code)
|
if not watch_index_info or watch_index_info[1] > 0:
|
return
|
# 获取成交进度位与真实下单位置
|
real_place_order_index_info = self.__real_place_order_index_dict.get(code)
|
last_trade_progress_index = self.__last_trade_progress_dict.get(code)
|
if big_sell_info:
|
last_trade_progress_index = big_sell_info[0]
|
|
if not real_place_order_index_info or last_trade_progress_index is None:
|
return
|
min_cancel_time_with_ms = None
|
if big_sell_info:
|
min_cancel_time_with_ms = big_sell_info[1]
|
self.compute_watch_index(code, watch_index_info[0], last_trade_progress_index + 1,
|
real_place_order_index_info[0],
|
re_compute=1, min_cancel_time_with_ms=min_cancel_time_with_ms,
|
msg=f"大单卖: 成交进度-{big_sell_info}" if big_sell_info is not None else '')
|
|
# 计算观察索引，倒序计算
|
# re_compute:是否是重新计算的
|
# min_cancel_time_with_ms:最小撤单时间，大于等于此时间的撤单需要囊括进去
|
def compute_watch_index(self, code, buy_single_index, start_index, end_index, re_compute=0,
|
min_cancel_time_with_ms=None, msg=""):
|
try:
|
l2_log.l_cancel_debug(code, f"计算L后囊括范围：{start_index}-{end_index}")
|
total_datas = local_today_datas.get(code)
|
if re_compute > 0 and tool.trade_time_sub(total_datas[-1]["val"]["time"],
|
total_datas[buy_single_index]["val"][
|
"time"]) < 2 * 60 and min_cancel_time_with_ms is None:
|
# 封单额稳了以后，间隔超过2分钟才能重新计算
|
l2_log.l_cancel_debug(code, f"要间隔2分钟过后才能重新计算")
|
return
|
if total_datas:
|
# 计算的上截至位距离下截至位纯买额要小于2.5倍m值
|
# thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
|
# thresh_hold_money = int(thresh_hold_money * 2.5)
|
min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
|
# 统计净涨停买的数量
|
not_cancel_indexes_with_num = []
|
re_start_index = start_index
|
MAX_COUNT = 5
|
for j in range(start_index, end_index):
|
data = total_datas[j]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
|
if val["num"] < min_num:
|
continue
|
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
j,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if not cancel_data:
|
not_cancel_indexes_with_num.append((j, val["num"]))
|
elif min_cancel_time_with_ms and tool.compare_time_with_ms(min_cancel_time_with_ms,
|
L2DataUtil.get_time_with_ms(
|
cancel_data['val'])) <= 0:
|
not_cancel_indexes_with_num.append((j, val["num"]))
|
|
min_num = 0
|
if not_cancel_indexes_with_num:
|
temp_count = len(not_cancel_indexes_with_num)
|
# 取后1/5的数据
|
if temp_count >= 30:
|
temp_index = int(temp_count * 4 / 5)
|
re_start_index = not_cancel_indexes_with_num[temp_index][0]
|
MAX_COUNT = len(not_cancel_indexes_with_num[temp_index:])
|
else:
|
not_cancel_indexes_with_num.sort(key=lambda x: x[1])
|
if temp_count >= 10:
|
# 获取中位数
|
min_num = not_cancel_indexes_with_num[temp_count // 2][1]
|
MIN_MONEYS = [300, 200, 100, 50]
|
watch_indexes = set()
|
for min_money in MIN_MONEYS:
|
for i in range(end_index, re_start_index - 1, -1):
|
try:
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 小金额过滤
|
if float(val['price']) * val['num'] < min_money * 100:
|
continue
|
|
if val['num'] < min_num:
|
continue
|
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if not cancel_data:
|
watch_indexes.add(i)
|
if len(watch_indexes) >= MAX_COUNT:
|
break
|
|
elif min_cancel_time_with_ms and tool.compare_time_with_ms(min_cancel_time_with_ms,
|
L2DataUtil.get_time_with_ms(
|
cancel_data['val'])) <= 0:
|
watch_indexes.add(i)
|
if len(watch_indexes) >= MAX_COUNT:
|
break
|
except Exception as e:
|
logger_l2_l_cancel.error(f"{code}: 范围： {start_index}-{end_index} 位置：{i}")
|
logger_l2_l_cancel.exception(e)
|
if len(watch_indexes) >= MAX_COUNT:
|
break
|
if watch_indexes:
|
##判断监听的数据中是否有大单##
|
has_big_num = False
|
for i in watch_indexes:
|
# 是否有大单
|
data = total_datas[i]
|
val = data['val']
|
if float(val['price']) * val['num'] > 100 * 100:
|
has_big_num = True
|
break
|
if not has_big_num:
|
# 无大单，需要找大单
|
for i in range(re_start_index, start_index, -1):
|
data = total_datas[i]
|
val = data['val']
|
# 涨停买，且未撤单
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 小金额过滤
|
if float(val['price']) * val['num'] < 100 * 100:
|
continue
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if not cancel_data:
|
watch_indexes.add(i)
|
break
|
|
elif min_cancel_time_with_ms and tool.compare_time_with_ms(min_cancel_time_with_ms,
|
L2DataUtil.get_time_with_ms(
|
cancel_data['val'])) <= 0:
|
watch_indexes.add(i)
|
break
|
# 获取真实下单位后面10笔大单
|
try:
|
# 真实下单位置后面的数据就只看大单
|
MIN_NUM = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
|
real_place_order_info = self.__real_place_order_index_dict.get(code)
|
if real_place_order_info and not real_place_order_info[1]:
|
# 从真实下单位往后找
|
after_count = 0
|
for i in range(real_place_order_info[0] + 1, total_datas[-1]['index'] + 1):
|
if after_count > 10:
|
break
|
data = total_datas[i]
|
val = data['val']
|
# 涨停买，且未撤单
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 小金额过滤
|
if val['num'] < MIN_NUM:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
|
code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
after_count += 1
|
if l2_data_util.is_big_money(val):
|
watch_indexes.add(i)
|
self.__set_cancel_l_down_after_place_order_index(code, i, after_count - 1)
|
except Exception as e:
|
pass
|
self.__set_watch_indexes(code, buy_single_index, re_compute, watch_indexes)
|
l2_log.l_cancel_debug(code,
|
f"设置监听范围({msg}){'(重新计算)' if re_compute else ''}， 数据范围：{re_start_index}-{end_index} 监听范围-{watch_indexes}")
|
except Exception as e:
|
l2_log.l_cancel_debug(code, f"计算L后囊括范围出错：{str(e)}")
|
async_log_util.exception(logger_l2_l_cancel, e)
|
|
# 设置真实下单位置
|
def set_real_place_order_index(self, code, index, buy_single_index=None, is_default=False):
|
l2_log.l_cancel_debug(code, f"设置真实下单位-{index}，buy_single_index-{buy_single_index}")
|
self.__real_place_order_index_dict[code] = (index, is_default)
|
RedisUtils.setex_async(self.__db, f"l_cancel_real_place_order_index-{code}", tool.get_expire(),
|
json.dumps((index, is_default)))
|
if buy_single_index is not None:
|
if code in self.__last_trade_progress_dict:
|
# L撤从成交进度位开始计算
|
self.compute_watch_index(code, buy_single_index,
|
self.__last_trade_progress_dict[code], index)
|
else:
|
self.compute_watch_index(code, buy_single_index, buy_single_index, index)
|
|
if self.__last_trade_progress_dict.get(code):
|
self.__compute_trade_progress_near_by_indexes(code, buy_single_index,
|
self.__last_trade_progress_dict.get(code) + 1, index)
|
else:
|
self.__compute_trade_progress_near_by_indexes(code, buy_single_index, buy_single_index, index)
|
|
# 重新计算L上
|
def re_compute_l_up_watch_indexes(self, code, buy_single_index):
|
if code not in self.__last_trade_progress_dict:
|
return
|
if code not in self.__real_place_order_index_dict:
|
return
|
if code not in self.__last_l_up_compute_info or time.time() - self.__last_l_up_compute_info[code][0] >= 3:
|
self.__compute_trade_progress_near_by_indexes(code, buy_single_index,
|
self.__last_trade_progress_dict.get(code) + 1,
|
self.__real_place_order_index_dict.get(code)[0])
|
|
# 计算范围内的成交位临近未撤大单
|
def __compute_trade_progress_near_by_indexes(self, code, buy_single_index, start_index, end_index):
|
if start_index is None or end_index is None:
|
return
|
total_datas = local_today_datas.get(code)
|
MIN_MONEY = 99 * 100
|
MAX_COUNT = 15
|
watch_indexes = set()
|
total_num = 0
|
# thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
|
# threshold_num = thresh_hold_money // (float(gpcode_manager.get_limit_up_price(code)) * 100)
|
for i in range(start_index, end_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 小金额过滤
|
if float(val['price']) * val['num'] < MIN_MONEY:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_num += val['num'] * left_count
|
watch_indexes.add(i)
|
if len(watch_indexes) >= MAX_COUNT:
|
break
|
|
changed = True
|
if code in self.__last_l_up_compute_info:
|
if self.__last_l_up_compute_info[code] == watch_indexes:
|
changed = False
|
# 保存数据
|
if changed:
|
l2_log.l_cancel_debug(code, f"L前监控范围：{watch_indexes} 计算范围：{start_index}-{end_index}")
|
self.__set_near_by_trade_progress_indexes(code, buy_single_index, watch_indexes)
|
self.__last_l_up_compute_info[code] = (time.time(), watch_indexes)
|
|
# 计算L后还没成交的手数
|
def __compute_total_l_down_not_deal_num(self, code):
|
# 只有真实获取到下单位置后才开始计算
|
|
try:
|
if code in self.__total_l_down_not_deal_num_dict and time.time() - \
|
self.__total_l_down_not_deal_num_dict[code][
|
1] < 1:
|
# 需要间隔1s更新一次
|
return
|
l_down_cancel_info = self.__cancel_watch_index_info_cache.get(code)
|
if not l_down_cancel_info:
|
return
|
|
trade_progress = self.__last_trade_progress_dict.get(code)
|
if trade_progress is None:
|
return
|
|
l_down_indexes = l_down_cancel_info[2]
|
# 统计还未成交的数据
|
total_left_num = 0
|
total_datas = local_today_datas.get(code)
|
for i in l_down_indexes:
|
# 已经成交了的不计算
|
if i < trade_progress:
|
continue
|
data = total_datas[i]
|
val = data['val']
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
fnum = val["num"]
|
if i == trade_progress:
|
# 需要减去已经成交的数据
|
dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
|
if dealing_info:
|
if str(val["orderNo"]) == str(dealing_info[0]):
|
fnum -= dealing_info[1] // 100
|
total_left_num += fnum
|
self.__total_l_down_not_deal_num_dict[code] = (total_left_num, time.time())
|
except Exception as e:
|
async_log_util.exception(logger_l2_l_cancel, e)
|
|
# 设置成交位置,成交位置变化之后相应的监听数据也会发生变化
|
def set_trade_progress(self, code, buy_single_index, index, total_datas):
|
if self.__last_trade_progress_dict.get(code) == index:
|
self.__compute_total_l_down_not_deal_num(code)
|
return
|
self.__last_trade_progress_dict[code] = index
|
self.__compute_total_l_down_not_deal_num(code)
|
|
if total_datas is None:
|
return
|
|
if not self.__is_l_down_can_cancel(code, buy_single_index):
|
# L后已经不能守护
|
l2_log.l_cancel_debug(code, f"L后已经无法生效：buy_single_index-{buy_single_index}")
|
HourCancelBigNumComputer().start_compute_watch_indexes(code, buy_single_index)
|
|
real_place_order_index_info = self.__real_place_order_index_dict.get(code)
|
real_place_order_index = None
|
if real_place_order_index_info:
|
real_place_order_index = real_place_order_index_info[0]
|
|
# 重新计算成交位置临近大单撤单
|
self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1, real_place_order_index)
|
|
# 已经成交的索引
|
def add_deal_index(self, code, index, buy_single_index):
|
"""
|
L后囊括范围成交一笔重新囊括1笔
|
@param code:
|
@param index:
|
@param buy_single_index:
|
@return:
|
"""
|
watch_indexes_info = self.__get_watch_indexes_cache(code)
|
if not watch_indexes_info:
|
return
|
watch_indexes = watch_indexes_info[2]
|
if index not in watch_indexes:
|
return
|
if buy_single_index is None:
|
return
|
# 重新囊括1笔
|
real_place_order_info = self.__real_place_order_index_dict.get(code)
|
if real_place_order_info and real_place_order_info[0] > index:
|
total_datas = local_today_datas.get(code)
|
min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
|
for j in range(real_place_order_info[0] - 1, index, -1):
|
data = total_datas[j]
|
val = data['val']
|
if data["index"] in watch_indexes:
|
continue
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] < min_num:
|
continue
|
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
j,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes.add(data["index"])
|
l2_log.l_cancel_debug(code, f"L后有成交重新囊括：成交索引-{index} 囊括索引-{data['index']}")
|
break
|
# 从真实下单位置往后囊括大单
|
try:
|
left_count_after = 0
|
for j in range(real_place_order_info[0] + 1, total_datas[-1]["index"]):
|
data = total_datas[j]
|
val = data['val']
|
if left_count_after > 10:
|
break
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] < min_num:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
j,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
left_count_after += 1
|
if l2_data_util.is_big_money(val) and j not in watch_indexes:
|
watch_indexes.add(j)
|
self.__set_cancel_l_down_after_place_order_index(code, j, left_count_after - 1)
|
break
|
except:
|
pass
|
|
self.__set_watch_indexes(code, watch_indexes_info[0], watch_indexes_info[1], watch_indexes)
|
|
def __compute_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
|
"""
|
L后撤单;
|
撤单计算规则：计算撤单比例时，将真实下单位置之后的数据按权重（离下单位最近的权重越大）加入分子，不加入分母（总囊括手数）计算
|
@param code:
|
@param buy_exec_index:
|
@param start_index:
|
@param end_index:
|
@param total_data:
|
@param is_first_code:
|
@return:
|
"""
|
watch_indexes_info = self.__get_watch_indexes_cache(code)
|
if not watch_indexes_info:
|
return False, None
|
watch_indexes = set([int(i) for i in watch_indexes_info[2]])
|
# 计算监听的总条数
|
total_num = 0
|
max_num = 0
|
# 这是下单位置之后的索引: key为字符串
|
after_place_order_index_dict = self.__get_cancel_l_down_after_place_order_index_dict(code)
|
if after_place_order_index_dict is None:
|
after_place_order_index_dict = {}
|
for wi in watch_indexes:
|
if str(wi) in after_place_order_index_dict:
|
continue
|
total_num += total_data[wi]["val"]["num"] * total_data[wi]["re"]
|
if total_data[wi]["val"]["num"] > max_num:
|
max_num = total_data[wi]["val"]["num"]
|
# 判断撤单中是否有监听中的索引
|
need_compute = False
|
for i in range(start_index, end_index + 1):
|
data = total_data[i]
|
val = data["val"]
|
if L2DataUtil.is_limit_up_price_buy_cancel(val):
|
# 查询买入位置
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None and buy_index in watch_indexes:
|
need_compute = True
|
break
|
if need_compute:
|
|
# 计算撤单比例
|
watch_indexes_list = list(watch_indexes)
|
watch_indexes_list.sort()
|
canceled_num = 0
|
# 记录撤单索引
|
canceled_indexes = []
|
for wi in watch_indexes:
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
wi,
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
if cancel_data:
|
if str(wi) in after_place_order_index_dict:
|
# 真实下单位置之后的按照权重比例来计算
|
canceled_num += total_data[wi]["val"]["num"] * (
|
10 - after_place_order_index_dict[str(wi)]) // 10
|
else:
|
canceled_num += total_data[wi]["val"]["num"]
|
|
canceled_indexes.append(cancel_data["index"])
|
# if wi == watch_indexes_list[-1] and left_count == 0:
|
# # 离下单位置最近的一个撤单，必须触发撤单
|
# l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},临近撤单：{wi}")
|
# return True, total_data[-1]
|
|
rate = round(canceled_num / total_num, 3)
|
thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code,
|
total_data[buy_exec_index]["val"]["time"])
|
# 除开最大单的影响权重
|
if not must_buy:
|
temp_thresh_hold_rate = round((total_num - max_num) * 0.9 / total_num, 2)
|
thresh_hold_rate = min(thresh_hold_rate, temp_thresh_hold_rate)
|
l2_log.l_cancel_debug(code,
|
f"L后计算范围：{start_index}-{end_index},已撤单比例：{rate}/{thresh_hold_rate}, 下单位之后的索引：{after_place_order_index_dict}")
|
if rate >= thresh_hold_rate:
|
canceled_indexes.sort()
|
l2_log.l_cancel_debug(code, f"L后撤单,撤单位置：{canceled_indexes[-1]}")
|
return True, total_data[canceled_indexes[-1]]
|
|
return False, None
|
|
def __compute_near_by_trade_progress_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data,
|
is_first_code):
|
# L前守护时间为3分钟
|
if tool.trade_time_sub(total_data[-1]['val']['time'],
|
total_data[buy_exec_index]['val']['time']) > constant.L_CANCEL_UP_EXPIRE_TIME:
|
return False, None
|
|
watch_indexes = self.__get_near_by_trade_progress_indexes_cache(code)
|
if not watch_indexes:
|
return False, None
|
|
# 监听范围小于5笔不生效
|
if len(watch_indexes) < 5:
|
return False, None
|
|
# 计算监听的总条数
|
# 权重
|
WATCH_INDEX_WEIGHTS = [3, 2, 1]
|
total_count_weight = 0
|
for wi in range(0, len(watch_indexes)):
|
if wi < len(WATCH_INDEX_WEIGHTS):
|
total_count_weight += WATCH_INDEX_WEIGHTS[wi]
|
else:
|
total_count_weight += WATCH_INDEX_WEIGHTS[-1]
|
# 判断撤单中是否有监听中的索引
|
need_compute = False
|
for i in range(start_index, end_index + 1):
|
data = total_data[i]
|
val = data["val"]
|
if L2DataUtil.is_limit_up_price_buy_cancel(val):
|
# 查询买入位置
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None and buy_index in watch_indexes:
|
need_compute = True
|
break
|
if need_compute:
|
watch_indexes_list = list(watch_indexes)
|
watch_indexes_list.sort()
|
# 计算撤单比例
|
canceled_count_weight = 0
|
canceled_indexes = []
|
for wi in watch_indexes:
|
canceled_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
wi,
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
if canceled_data:
|
canceled_indexes.append(canceled_data["index"])
|
# 获取索引权重
|
pos_index = watch_indexes_list.index(wi)
|
if pos_index < len(WATCH_INDEX_WEIGHTS):
|
canceled_count_weight += WATCH_INDEX_WEIGHTS[pos_index]
|
else:
|
canceled_count_weight += WATCH_INDEX_WEIGHTS[-1]
|
rate = round(canceled_count_weight / total_count_weight, 3)
|
thresh_cancel_rate, must_buy = LCancelRateManager.get_cancel_rate(code,
|
total_data[buy_exec_index]["val"]["time"],
|
is_up=True)
|
l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},成交位临近已撤单比例：{rate}/{thresh_cancel_rate}")
|
if rate >= thresh_cancel_rate:
|
# 计算成交进度位置到当前下单位置的纯买额
|
real_place_order_index_info = self.__real_place_order_index_dict.get(code)
|
trade_progress_index = self.__last_trade_progress_dict.get(code)
|
if real_place_order_index_info and trade_progress_index:
|
total_num = 0
|
thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
|
thresh_hold_money = thresh_hold_money * 3
|
# 阈值为2倍m值
|
thresh_hold_num = thresh_hold_money // (float(gpcode_manager.get_limit_up_price(code)) * 100)
|
for i in range(trade_progress_index + 1, real_place_order_index_info[0]):
|
data = total_data[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
canceled_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
|
i,
|
total_data,
|
local_today_canceled_buyno_map.get(
|
code))
|
if not canceled_data:
|
# 没有撤单
|
total_num += val["num"] * data["re"]
|
if total_num > thresh_hold_num:
|
# 成交位到下单位还有足够的单没撤
|
l2_log.l_cancel_debug(code,
|
f"L上撤阻断： 成交位-{trade_progress_index} 真实下单位-{real_place_order_index_info[0]} 阈值-{thresh_hold_money}")
|
return False, None
|
|
canceled_indexes.sort()
|
l2_log.l_cancel_debug(code, f"L上撤单,撤单位置：{canceled_indexes[-1]}")
|
return True, total_data[canceled_indexes[-1]]
|
|
return False, None
|
|
# L后是否还有可能撤单
|
def __is_l_down_can_cancel(self, code, buy_exec_index):
|
watch_indexes_info = self.__get_watch_indexes_cache(code)
|
if not watch_indexes_info:
|
return True
|
trade_index = self.__last_trade_progress_dict.get(code)
|
if trade_index is None:
|
return True
|
# 计算已经成交的比例
|
total_datas = local_today_datas.get(code)
|
total_deal_nums = 0
|
total_nums = 1
|
for index in watch_indexes_info[2]:
|
data = total_datas[index]
|
val = data["val"]
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
total_nums += val["num"]
|
if left_count > 0 and index < trade_index:
|
total_deal_nums += val["num"]
|
thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code,
|
total_datas[buy_exec_index]["val"]["time"])
|
if total_deal_nums / total_nums > 1 - thresh_hold_rate - 0.05:
|
return False
|
return True
|
|
def need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
|
if buy_exec_index is None:
|
return False, None, "尚未找到下单位置"
|
# 守护S撤以外的数据
|
if int(tool.get_now_time_str().replace(":", "")) > int("145700") and not constant.TEST:
|
return False, None, ""
|
# 下单位临近撤
|
can_cancel, cancel_data = False, None
|
try:
|
can_cancel, cancel_data = self.__compute_need_cancel(code, buy_exec_index, start_index, end_index,
|
total_data,
|
is_first_code)
|
except Exception as e:
|
logger_l2_l_cancel.exception(e)
|
raise e
|
extra_msg = "L后"
|
if not can_cancel:
|
# 成交位临近撤
|
try:
|
can_cancel, cancel_data = self.__compute_near_by_trade_progress_need_cancel(code, buy_exec_index,
|
start_index, end_index,
|
total_data,
|
is_first_code)
|
extra_msg = "L前"
|
except Exception as e:
|
logger_l2_l_cancel.exception(e)
|
raise e
|
return can_cancel, cancel_data, extra_msg
|
|
def place_order_success(self, code):
|
self.clear(code)
|
|
def cancel_success(self, code):
|
self.clear(code)
|
|
def test(self):
|
code = "000333"
|
self.__set_cancel_l_down_after_place_order_index(code, 121, 0)
|
time.sleep(6)
|
self.__set_cancel_l_down_after_place_order_index(code, 121, 0),
|
time.sleep(6)
|
self.__set_cancel_l_down_after_place_order_index(code, 122, 1)
|
|
print(self.__get_cancel_l_down_after_place_order_index_dict(code))
|
|
|
# 新F撤，根据成交数据来撤
|
class FCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__real_order_index_cache = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(FCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
cls.__load_datas()
|
return cls.__instance
|
|
@classmethod
|
def __load_datas(cls):
|
__redis = cls.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "f_cancel_real_order_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = json.loads(val)
|
CodeDataCacheUtil.set_cache(cls.__real_order_index_cache, code, val)
|
finally:
|
RedisUtils.realse(__redis)
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redis_manager.getRedis()
|
|
def __set_real_order_index(self, code, index, is_default):
|
CodeDataCacheUtil.set_cache(self.__real_order_index_cache, code, (index, is_default))
|
RedisUtils.setex_async(self.__db, f"f_cancel_real_order_index-{code}", tool.get_expire(),
|
json.dumps((index, is_default)))
|
|
def __del_real_order_index(self, code):
|
CodeDataCacheUtil.clear_cache(self.__real_order_index_cache, code)
|
RedisUtils.delete_async(self.__db, f"f_cancel_real_order_index-{code}")
|
|
def __get_real_order_index(self, code):
|
val = RedisUtils.get(self.__db, f"f_cancel_real_order_index-{code}")
|
if val:
|
val = json.loads(val)
|
return val[0]
|
return None
|
|
def __get_real_order_index_cache(self, code):
|
cache_result = CodeDataCacheUtil.get_cache(self.__real_order_index_cache, code)
|
if cache_result[0]:
|
return cache_result[1]
|
return None
|
|
def clear(self, code=None):
|
if code:
|
self.__del_real_order_index(code)
|
else:
|
keys = RedisUtils.keys(self.__get_redis(), "f_cancel_real_order_index-*")
|
if keys:
|
for k in keys:
|
code = k.split("-")[1]
|
self.__del_real_order_index(code)
|
|
# 设置真实的下单位置
|
def set_real_order_index(self, code, index, is_default):
|
self.__set_real_order_index(code, index, is_default)
|
|
def place_order_success(self, code):
|
self.clear(code)
|
|
def cancel_success(self, code):
|
self.clear(code)
|
|
def __get_fast_deal_threshold_value(self, code, place_order_time_str):
|
"""
|
获取 F撤阈值
|
@param code:
|
@param place_order_time_str:下单时间
|
@return:（金额（单位:W）,笔数）
|
"""
|
max60, yesterday = code_volumn_manager.get_histry_volumn(code)
|
if max60:
|
num = max60[0]
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if limit_up_price:
|
money_y = round((num * float(limit_up_price)) / 1e8, 1)
|
money = int(200 * money_y + 280)
|
if tool.trade_time_sub(place_order_time_str, "10:00:00") <= 0:
|
# 10点前下单打7折
|
money = int(money * 0.7)
|
count = int(money_y * 10) // 10 + 3
|
return money, count
|
# 默认值
|
return 300, 3
|
|
# 下单3分钟内距离下单位置不足3笔（包含正在成交）且不到300w就需要撤单
|
def need_cancel_for_deal_fast(self, code, trade_index=None):
|
if trade_index is None:
|
trade_info = TradeBuyQueue().get_traded_index(code)
|
if trade_info and not trade_info[1] and trade_info[0] is not None:
|
trade_index = trade_info[0]
|
if trade_index is None:
|
return False, "没获取到成交进度位"
|
|
# 判断是否具有真实的下单位置
|
real_order_index_info = self.__get_real_order_index_cache(code)
|
if not real_order_index_info:
|
return False, "没找到真实下单位"
|
if real_order_index_info[1]:
|
return False, "真实下单位为默认"
|
if real_order_index_info[0] <= trade_index:
|
return False, "真实下单位在成交位之前"
|
real_order_index = real_order_index_info[0]
|
# 统计未撤订单的数量与金额
|
total_datas = local_today_datas.get(code)
|
|
# 是否是下单1分钟内
|
if tool.trade_time_sub(tool.get_now_time_str(), total_datas[real_order_index]['val']['time']) > 1 * 60:
|
return False, "下单超过60s"
|
|
THRESHOLD_MONEY_W, THRESHOLD_COUNT = self.__get_fast_deal_threshold_value(code,
|
total_datas[real_order_index]['val'][
|
'time'])
|
|
total_left_count = 0
|
total_left_num = 0
|
# 成交位到真实下单位剩余的未成交的单
|
for i in range(trade_index, real_order_index_info[0]):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_left_count += left_count
|
total_left_num += val["num"] * left_count
|
if total_left_count > THRESHOLD_COUNT:
|
break
|
if trade_index == i:
|
dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
|
if dealing_info and str(dealing_info[0]) == str(val["orderNo"]):
|
total_left_num -= dealing_info[1] // 100
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if total_left_count <= 1 or (total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float(
|
limit_up_price) < THRESHOLD_MONEY_W * 100):
|
return True, f"剩余笔数({total_left_count})/金额({round(total_left_num * float(limit_up_price) * 100)})不足，成交进度：{trade_index},真实下单位置：{real_order_index} 阈值：({THRESHOLD_MONEY_W},{THRESHOLD_COUNT}) "
|
return False, f"不满足撤单条件: 成交进度-{trade_index} 真实下单位置-{real_order_index} total_left_count-{total_left_count} total_left_num-{total_left_num}"
|
|
# 距离太近，封单不足，有大单50w大单砸下来就撤
|
def need_cancel_for_p(self, code, big_sell_order_info, order_begin_pos):
|
if not order_begin_pos or not order_begin_pos.buy_exec_index or order_begin_pos.buy_exec_index < 0:
|
return False, "尚未下单"
|
|
if big_sell_order_info[0] < 50 * 10000 or not big_sell_order_info[1]:
|
return False, "不为大单"
|
# 判断是否具有真实的下单位置
|
real_order_index_info = self.__get_real_order_index_cache(code)
|
if not real_order_index_info:
|
return False, "没找到真实下单位"
|
if real_order_index_info[1]:
|
return False, "真实下单位为默认"
|
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
trade_index = 0
|
real_order_index = real_order_index_info[0]
|
if real_order_index_info[0] <= trade_index:
|
return False, "真实下单位在成交位之前"
|
|
start_order_no = big_sell_order_info[1][-1][4][1]
|
real_trade_index = trade_index
|
# 统计未撤订单的数量与金额
|
total_datas = local_today_datas.get(code)
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if int(val['orderNo']) < start_order_no:
|
continue
|
real_trade_index = i
|
break
|
|
# 是否是下单3分钟内
|
if tool.trade_time_sub(total_datas[-1]['val']['time'], total_datas[real_order_index]['val']['time']) > 180:
|
return False, "下单超过180s"
|
|
total_left_count = 0
|
total_left_num = 0
|
# 成交位到真实下单位剩余的未成交的单
|
for i in range(real_trade_index + 1, real_order_index_info[0]):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_left_count += left_count
|
total_left_num += val["num"] * left_count
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
if total_left_count < 5 or total_left_num * float(limit_up_price) < 500 * 100:
|
# 距离成交进度位5笔以内或500万以内
|
# 计算我们后面的大单与涨停纯买额
|
total_left_num = 0
|
total_big_num_count = 0
|
for i in range(real_order_index + 1, len(total_datas)):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
money = val["num"] * float(val["price"])
|
if money < 5000:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
|
i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
if money > 299 * 100:
|
total_big_num_count += 1
|
total_left_num += val["num"]
|
left_money = total_left_num * float(limit_up_price)
|
if total_big_num_count == 0 or left_money < 1000 * 100:
|
# 实际下单位后方所有涨停纯买额≤1000万或没有任何大单（≥299万）
|
return True, f"P撤：封单纯买额-{round(left_money / 100, 1)}万 大单数量-{total_big_num_count} 下单位-{real_order_index} 成交位-{real_trade_index}"
|
return False, "不满足撤单条件"
|
|
# w撤
|
def need_cancel_for_w(self, code):
|
real_order_index_info = self.__get_real_order_index_cache(code)
|
if not real_order_index_info:
|
return False, "没找到真实下单位"
|
if real_order_index_info[1]:
|
return False, "真实下单位为默认"
|
place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
|
if place_order_count > 1:
|
return False, "不是初次下单"
|
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
return False, "没获取到成交进度位"
|
|
real_order_index = real_order_index_info[0]
|
total_datas = local_today_datas.get(code)
|
if tool.trade_time_sub(total_datas[-1]['val']['time'], total_datas[real_order_index]['val']['time']) > 60:
|
return False, "超过守护时间"
|
limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2)
|
end_index = L2DataComputeUtil.compute_end_index(code, real_order_index + 1, total_datas[-1]["index"],
|
limit_up_price, 10)
|
# 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 = L2DataComputeUtil.compute_left_buy_order(code, trade_index, end_index, limit_up_price,
|
min_money=min_money)
|
if left_count < 1:
|
return True, f"范围：{real_order_index}-{end_index} 大单数量：{left_count}"
|
return False, "大单数量够"
|
|
|
# ---------------------------------G撤-------------------------------
|
class GCancelBigNumComputer:
|
__real_place_order_index_dict = {}
|
__trade_progress_index_dict = {}
|
__watch_indexes_dict = {}
|
__watch_indexes_by_dict = {}
|
__expire_time_dict = {}
|
# 最新处理的卖单
|
__latest_process_sell_order_no_dict = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(GCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
return cls.__instance
|
|
def set_real_place_order_index(self, code, index, buy_single_index, is_default):
|
self.__real_place_order_index_dict[code] = (index, is_default)
|
start_index = buy_single_index
|
if code in self.__trade_progress_index_dict:
|
start_index = self.__trade_progress_index_dict.get(code)
|
total_datas = local_today_datas.get(code)
|
# 设置生效截至时间
|
self.__reset_expire_time(code, total_datas[index]['val']['time'])
|
self.__commpute_watch_indexes(code, start_index, (index, is_default), from_real_order_index_changed=True)
|
|
# 重新设置G撤守护时间
|
def __reset_expire_time(self, code, now_time):
|
self.__expire_time_dict[code] = tool.trade_time_add_second(now_time, 9)
|
|
# 大有单卖
|
# 暂时不启用
|
def set_big_sell_order_info(self, code, big_sell_order_info):
|
money = big_sell_order_info[0]
|
if money < 50 * 10000:
|
# 无大卖单
|
return
|
# 获取真实下单位置
|
real_place_order_info = self.__real_place_order_index_dict.get(code)
|
if not real_place_order_info:
|
# 没有真实下单位置
|
return
|
if real_place_order_info[1]:
|
# 不能是默认下单位置
|
return
|
trade_index = self.__trade_progress_index_dict.get(code)
|
if trade_index is None:
|
trade_index = 0
|
|
# 下单9s之后才会重新触发
|
total_datas = local_today_datas.get(code)
|
if tool.trade_time_sub(total_datas[-1]['val']['time'],
|
total_datas[real_place_order_info[0]]['val']['time']) <= 9:
|
return
|
|
# 不重复处理同一卖单号
|
if self.__latest_process_sell_order_no_dict.get(code) == big_sell_order_info[1][-1][0]:
|
return
|
|
# 查找真实成交位置
|
real_order_index = real_place_order_info[0]
|
start_order_no = big_sell_order_info[1][-1][4][1]
|
real_trade_index = trade_index
|
for i in range(trade_index, real_order_index):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if int(val['orderNo']) < start_order_no:
|
continue
|
real_trade_index = i
|
break
|
l2_log.g_cancel_debug(code, f"大单卖触发重新囊括，真实成交位置：{real_trade_index}，卖信息：{big_sell_order_info}")
|
self.__commpute_watch_indexes(code, real_trade_index, real_place_order_info, recompute=True)
|
self.__reset_expire_time(code, total_datas[real_trade_index]['val']['time'])
|
self.__latest_process_sell_order_no_dict[code] = big_sell_order_info[1][-1][0]
|
|
def clear(self, code=None):
|
if code:
|
if code in self.__expire_time_dict:
|
self.__expire_time_dict.pop(code)
|
if code in self.__real_place_order_index_dict:
|
self.__real_place_order_index_dict.pop(code)
|
if code in self.__watch_indexes_dict:
|
self.__watch_indexes_dict.pop(code)
|
if code in self.__watch_indexes_by_dict:
|
self.__watch_indexes_by_dict.pop(code)
|
if code in self.__trade_progress_index_dict:
|
self.__trade_progress_index_dict.pop(code)
|
|
else:
|
self.__real_place_order_index_dict.clear()
|
self.__watch_indexes_dict.clear()
|
self.__trade_progress_index_dict.clear()
|
self.__watch_indexes_by_dict.clear()
|
|
# recompute:是否重新计算
|
def __commpute_watch_indexes(self, code, traded_index, real_order_index_info, from_real_order_index_changed=False,
|
recompute=False):
|
if traded_index is None or real_order_index_info is None:
|
return
|
real_order_index, is_default = real_order_index_info[0], real_order_index_info[1]
|
origin_watch_index = self.__watch_indexes_dict.get(code)
|
if origin_watch_index is None:
|
origin_watch_index = set()
|
# 不需要备用
|
origin_watch_index_by = self.__watch_indexes_by_dict.get(code)
|
if origin_watch_index_by is None:
|
origin_watch_index_by = set()
|
|
# 重新计算需要清除之前的数据
|
if recompute:
|
origin_watch_index.clear()
|
origin_watch_index_by.clear()
|
|
start_index = traded_index
|
if traded_index in origin_watch_index or traded_index in origin_watch_index_by:
|
# 正在成交的是已经囊括了的大单
|
start_index = traded_index + 1
|
|
total_datas = local_today_datas.get(code)
|
watch_indexes = set()
|
for i in range(start_index, real_order_index):
|
# 判断是否有未撤的大单
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 29900 and val["num"] < 7999:
|
continue
|
# 是否已撤单
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes.add(i)
|
if watch_indexes:
|
# 还有300万以上的大单没有撤单
|
if from_real_order_index_changed or recompute:
|
# 真实下单位改变后才会更新
|
final_watch_indexes = origin_watch_index | watch_indexes
|
self.__watch_indexes_dict[code] = final_watch_indexes
|
l2_log.g_cancel_debug(code, f"大单监听：{final_watch_indexes} 是否重新计算：{recompute}")
|
# 有大单监听，需要移除之前的小单监听
|
if code in self.__watch_indexes_by_dict:
|
self.__watch_indexes_by_dict[code].clear()
|
else:
|
l2_log.g_cancel_debug(code, f"没有大单监听，开始计算小单：{start_index}-{real_order_index}, 是否重新计算：{recompute}")
|
# 没有300万以上的大单了，计算备用
|
# 只有备用单成交了或者没有备用单，才会再次寻找备用单
|
need_find_by = False
|
if not origin_watch_index_by:
|
need_find_by = True
|
else:
|
# 备用单是否成交
|
need_find_by = True
|
for i in origin_watch_index_by:
|
if i >= start_index:
|
# 只要有一个还没成交就不需要重新计算
|
need_find_by = False
|
break
|
if need_find_by and (not is_default or not watch_indexes):
|
l2_log.g_cancel_debug(code, f"启动小单备用监听：{start_index}-{real_order_index}")
|
temp_list = []
|
for i in range(start_index, real_order_index):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
# 不能囊括已撤单
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count <= 0:
|
continue
|
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
temp_list.append((val["num"], data))
|
if len(temp_list) > 15:
|
break
|
temp_list.sort(key=lambda x: x[0], reverse=True)
|
# 次大单的笔数1-3笔
|
THRESH_COUNT = len(temp_list) // 5
|
if THRESH_COUNT < 1:
|
THRESH_COUNT = 1
|
if temp_list:
|
for i in range(THRESH_COUNT):
|
l2_log.g_cancel_debug(code, f"小单备用监听位置：{temp_list[i][1]['index']}")
|
watch_indexes.add(temp_list[i][1]["index"])
|
self.__watch_indexes_by_dict[code] = watch_indexes
|
|
def set_trade_progress(self, code, buy_single_index, index):
|
if self.__trade_progress_index_dict.get(code) != index:
|
self.__trade_progress_index_dict[code] = index
|
self.__commpute_watch_indexes(code, index, self.__real_place_order_index_dict.get(code))
|
|
def need_cancel(self, code, buy_exec_index, start_index, end_index):
|
if 1 > 0:
|
return False, None, "G撤被注释掉"
|
|
if code not in self.__real_place_order_index_dict:
|
return False, None, "没有找到真实下单位"
|
expire_time = self.__expire_time_dict.get(code)
|
if not expire_time:
|
return False, None, "尚未设置生效时间"
|
|
real_place_order_index, is_default = self.__real_place_order_index_dict.get(code)
|
total_datas = local_today_datas.get(code)
|
|
if tool.trade_time_sub(total_datas[end_index]["val"]["time"], total_datas[buy_exec_index]['val']['time']) > 180:
|
return False, None, "超过180s的生效时间"
|
|
# 30s内有效
|
if tool.trade_time_sub(total_datas[end_index]["val"]["time"], expire_time) > 0:
|
return False, None, "超过生效时间"
|
|
watch_indexes = self.__watch_indexes_dict.get(code)
|
if watch_indexes is None:
|
watch_indexes = set()
|
watch_indexes_by = self.__watch_indexes_by_dict.get(code)
|
if watch_indexes_by is None:
|
watch_indexes_by = set()
|
need_compute = False
|
need_compute_by = False
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None and buy_index < real_place_order_index and (
|
buy_index in watch_indexes or buy_index in watch_indexes_by):
|
if buy_index in watch_indexes_by:
|
need_compute_by = True
|
break
|
# 备用撤单，直接撤
|
# return True, data, f"次大单撤：{buy_index}"
|
elif buy_index in watch_indexes:
|
# 大单撤需要重新计算大单撤单比例
|
need_compute = True
|
break
|
if need_compute and watch_indexes:
|
canceled_indexes = set()
|
for index in watch_indexes:
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if cancel_data:
|
canceled_indexes.add(cancel_data["index"])
|
cancel_rate = round(len(canceled_indexes) / len(watch_indexes), 2)
|
threshhold_rate = constant.G_CANCEL_RATE
|
situation = trade_manager.MarketSituationManager().get_situation_cache()
|
if situation == trade_manager.MarketSituationManager.SITUATION_GOOD:
|
threshhold_rate = constant.G_CANCEL_RATE_FOR_GOOD_MARKET
|
if cancel_rate > threshhold_rate:
|
canceled_indexes_list = list(canceled_indexes)
|
canceled_indexes_list.sort()
|
return True, total_datas[canceled_indexes_list[-1]], f"撤单比例：{cancel_rate}"
|
# 计算备用
|
if need_compute_by and watch_indexes_by:
|
canceled_indexes = set()
|
for index in watch_indexes_by:
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if cancel_data:
|
canceled_indexes.add(cancel_data["index"])
|
cancel_rate = round(len(canceled_indexes) / len(watch_indexes_by), 2)
|
threshhold_rate = constant.G_CANCEL_RATE
|
situation = trade_manager.MarketSituationManager().get_situation_cache()
|
if situation == trade_manager.MarketSituationManager.SITUATION_GOOD:
|
threshhold_rate = constant.G_CANCEL_RATE_FOR_GOOD_MARKET
|
if cancel_rate > threshhold_rate:
|
canceled_indexes_list = list(canceled_indexes)
|
canceled_indexes_list.sort()
|
return True, total_datas[canceled_indexes_list[-1]], f"次大单撤单比例：{cancel_rate}"
|
|
return False, None, ""
|
|
# B撤单
|
# 剩余一个大单撤半截就撤单
|
def need_cancel_for_b(self, code, start_index, end_index):
|
real_place_order_info = self.__real_place_order_index_dict.get(code)
|
if not real_place_order_info or real_place_order_info[1]:
|
# 没有真实下单位置
|
return False, None, "没有真实下单位置"
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
return False, None, "未获取到成交进度位"
|
total_datas = local_today_datas.get(code)
|
buyno_map = local_today_buyno_map.get(code)
|
cancel_half_index = None
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
orderNo = val['orderNo']
|
buy_data = buyno_map.get(f"{orderNo}")
|
if not buy_data:
|
continue
|
# 判断大单
|
if buy_data["val"]["num"] * float(buy_data["val"]["price"]) < 29900:
|
continue
|
# 判断是否撤半截
|
if buy_data["val"]["num"] > val["num"]:
|
cancel_half_index = i
|
break
|
if cancel_half_index is None:
|
return False, None, "没有撤半截"
|
# 有大单撤半截桩
|
# 计算是否还剩下大单
|
total_big_num_count = 0
|
for i in range(trade_index, real_place_order_info[0]):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 29900:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_big_num_count += 1
|
break
|
if total_big_num_count == 0:
|
# 没有剩下大单
|
return True, total_datas[cancel_half_index], f"B撤:撤单索引-{cancel_half_index}"
|
return False, None, "还有大单没撤单"
|
|
def place_order_success(self, code):
|
self.clear(code)
|
|
def cancel_success(self, code):
|
self.clear(code)
|
|
|
# ---------------------------------新G撤-------------------------------
|
class NewGCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__real_place_order_index_dict = {}
|
__trade_progress_index_dict = {}
|
__watch_indexes_dict = {}
|
# 最新处理的卖单
|
__latest_process_sell_order_no_dict = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(NewGCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
cls.__load_datas()
|
return cls.__instance
|
|
@classmethod
|
def __load_datas(cls):
|
__redis = cls.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "g_cancel_watch_index_info-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
if val:
|
val = json.loads(val)
|
val = set(val)
|
CodeDataCacheUtil.set_cache(cls.__watch_indexes_dict, code, val)
|
finally:
|
RedisUtils.realse(__redis)
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redis_manager.getRedis()
|
|
def __set_watch_index(self, code, indexes):
|
CodeDataCacheUtil.set_cache(self.__watch_indexes_dict, code, indexes)
|
RedisUtils.setex_async(self.__db, f"g_cancel_watch_index_info-{code}", tool.get_expire(),
|
json.dumps(list(indexes)))
|
|
def set_real_place_order_index(self, code, index, buy_single_index, is_default):
|
self.__real_place_order_index_dict[code] = (index, is_default)
|
start_index = buy_single_index
|
if not is_default:
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
start_index = 0
|
else:
|
start_index = trade_index
|
self.__commpute_watch_indexes(code, start_index, (index, is_default), from_real_order_index_changed=True)
|
|
def clear(self, code=None):
|
if code:
|
if code in self.__real_place_order_index_dict:
|
self.__real_place_order_index_dict.pop(code)
|
if code in self.__watch_indexes_dict:
|
self.__watch_indexes_dict.pop(code)
|
RedisUtils.delete_async(self.__db, f"g_cancel_watch_index_info-{code}")
|
if code in self.__trade_progress_index_dict:
|
self.__trade_progress_index_dict.pop(code)
|
else:
|
self.__real_place_order_index_dict.clear()
|
self.__watch_indexes_dict.clear()
|
self.__trade_progress_index_dict.clear()
|
keys = RedisUtils.keys(self.__get_redis(), f"g_cancel_watch_index_info-*")
|
for k in keys:
|
RedisUtils.delete(self.__get_redis(), k)
|
|
# recompute:是否重新计算
|
def __commpute_watch_indexes(self, code, traded_index, real_order_index_info, from_real_order_index_changed=False,
|
recompute=False):
|
if traded_index is None or real_order_index_info is None:
|
return
|
real_order_index, is_default = real_order_index_info[0], real_order_index_info[1]
|
origin_watch_index = self.__watch_indexes_dict.get(code)
|
if origin_watch_index is None:
|
origin_watch_index = set()
|
# 重新计算需要清除之前的数据
|
if recompute:
|
origin_watch_index.clear()
|
|
start_index = traded_index
|
if traded_index in origin_watch_index:
|
# 正在成交的是已经囊括了的大单
|
start_index = traded_index + 1
|
|
total_datas = local_today_datas.get(code)
|
watch_indexes = set()
|
for i in range(start_index, real_order_index):
|
# 判断是否有未撤的大单
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 29900:
|
continue
|
# 是否已撤单
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
watch_indexes.add(i)
|
if watch_indexes:
|
# 还有300万以上的大单没有撤单
|
if from_real_order_index_changed or recompute:
|
# 真实下单位改变后才会更新
|
final_watch_indexes = origin_watch_index | watch_indexes
|
self.__set_watch_index(code, final_watch_indexes)
|
l2_log.g_cancel_debug(code, f"大单监听：{final_watch_indexes} 是否重新计算：{recompute}")
|
|
def set_trade_progress(self, code, buy_single_index, index):
|
# if self.__trade_progress_index_dict.get(code) != index:
|
self.__trade_progress_index_dict[code] = index
|
# self.__commpute_watch_indexes(code, index, self.__real_place_order_index_dict.get(code))
|
|
def need_cancel(self, code, buy_exec_index, start_index, end_index):
|
if code not in self.__real_place_order_index_dict:
|
return False, None, "没有找到真实下单位"
|
|
real_place_order_index, is_default = self.__real_place_order_index_dict.get(code)
|
total_datas = local_today_datas.get(code)
|
|
# if tool.trade_time_sub(total_datas[end_index]["val"]["time"], total_datas[buy_exec_index]['val']['time']) > 180:
|
# return False, None, "超过180s的生效时间"
|
|
watch_indexes = self.__watch_indexes_dict.get(code)
|
if watch_indexes is None:
|
watch_indexes = set()
|
if len(watch_indexes) < 3:
|
return False, None, "大于等于3个大单生效"
|
|
need_compute = False
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data["val"]
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
if val["num"] * float(val["price"]) < 5000:
|
continue
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None and buy_index < real_place_order_index and (buy_index in watch_indexes):
|
if buy_index in watch_indexes:
|
# 大单撤需要重新计算大单撤单比例
|
need_compute = True
|
break
|
if need_compute and watch_indexes:
|
canceled_indexes = set()
|
for index in watch_indexes:
|
cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, index,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if cancel_data:
|
canceled_indexes.add(cancel_data["index"])
|
cancel_rate = round(len(canceled_indexes) / len(watch_indexes), 2)
|
threshhold_rate = constant.G_CANCEL_RATE
|
situation = trade_manager.MarketSituationManager().get_situation_cache()
|
if situation == trade_manager.MarketSituationManager.SITUATION_GOOD:
|
threshhold_rate = constant.G_CANCEL_RATE_FOR_GOOD_MARKET
|
if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
|
threshhold_rate = constant.G_CANCEL_RATE_WITH_MUST_BUY
|
if cancel_rate > threshhold_rate:
|
canceled_indexes_list = list(canceled_indexes)
|
canceled_indexes_list.sort()
|
return True, total_datas[canceled_indexes_list[-1]], f"撤单比例：{cancel_rate}"
|
return False, None, ""
|
|
def place_order_success(self, code):
|
self.clear(code)
|
|
def cancel_success(self, code):
|
self.clear(code)
|
|
# B撤单
|
# 剩余一个大单撤半截就撤单
|
def need_cancel_for_b(self, code, start_index, end_index):
|
real_place_order_info = self.__real_place_order_index_dict.get(code)
|
if not real_place_order_info or real_place_order_info[1]:
|
# 没有真实下单位置
|
return False, None, "没有真实下单位置"
|
trade_index, is_default = TradeBuyQueue().get_traded_index(code)
|
if trade_index is None:
|
return False, None, "未获取到成交进度位"
|
total_datas = local_today_datas.get(code)
|
buyno_map = local_today_buyno_map.get(code)
|
cancel_half_index = None
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
orderNo = val['orderNo']
|
buy_data = buyno_map.get(f"{orderNo}")
|
if not buy_data:
|
continue
|
# 判断大单
|
if buy_data["val"]["num"] * float(buy_data["val"]["price"]) < 29900:
|
continue
|
# 判断是否撤半截
|
if buy_data["val"]["num"] > val["num"]:
|
cancel_half_index = i
|
break
|
if cancel_half_index is None:
|
return False, None, "没有撤半截"
|
# 有大单撤半截桩
|
# 计算是否还剩下大单
|
total_big_num_count = 0
|
for i in range(trade_index, real_place_order_info[0]):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy(val):
|
continue
|
if val["num"] * float(val["price"]) < 29900:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_big_num_count += 1
|
break
|
if total_big_num_count == 0:
|
# 没有剩下大单
|
return True, total_datas[cancel_half_index], f"B撤:撤单索引-{cancel_half_index}"
|
return False, None, "还有大单没撤单"
|
|
def test(self):
|
self.__set_watch_index("000333", {1, 2, 3, 4, 5, 6, 7})
|
|
|
# ---------------------------------独苗撤-------------------------------
|
class UCancelBigNumComputer:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__cancel_real_order_index_cache = {}
|
__SCancelBigNumComputer = SCancelBigNumComputer()
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(UCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
cls.__load_datas()
|
return cls.__instance
|
|
@classmethod
|
def __load_datas(cls):
|
pass
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redis_manager.getRedis()
|
|
# 是否可以撤单
|
def need_cancel(self, code, transaction_index, order_begin_pos: OrderBeginPosInfo,
|
current_limit_up_block_codes_dict, volume_rate):
|
if not order_begin_pos or not order_begin_pos.buy_exec_index or order_begin_pos.buy_exec_index < 0:
|
return False, "尚未下单"
|
if not current_limit_up_block_codes_dict:
|
return False, "涨停列表无数据"
|
# 获取涨停原因
|
block = None
|
for b in current_limit_up_block_codes_dict:
|
if code in current_limit_up_block_codes_dict[b]:
|
block = b
|
break
|
if not block:
|
return False, "没有找到代码的涨停原因"
|
if len(current_limit_up_block_codes_dict[block]) > 1:
|
return False, "有后排无需撤单"
|
total_datas = local_today_datas.get(code)
|
time_sub = tool.trade_time_sub(tool.get_now_time_str(),
|
total_datas[order_begin_pos.buy_exec_index]["val"]["time"])
|
if 2 < time_sub < 30 * 60:
|
real_place_order_index = self.__SCancelBigNumComputer.get_real_place_order_index_cache(code)
|
if not real_place_order_index:
|
return False, "尚未找到真实下单位置"
|
total_left_count = 0
|
for i in range(transaction_index, real_place_order_index):
|
data = total_datas[i]
|
val = data["val"]
|
if float(val['price']) * val['num'] < 50 * 100:
|
continue
|
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
|
total_datas,
|
local_today_canceled_buyno_map.get(
|
code))
|
if left_count > 0:
|
total_left_count += 1
|
if total_left_count > 5:
|
break
|
# 成交进度变化
|
# if len(current_limit_up_block_codes_dict[block]) == 1 and volume_rate < 0.6 and total_left_count <= 5:
|
# return True, "独苗下单30分钟无后排且成交位离我们很近且量小于60%"
|
# if time_sub > 10 * 60:
|
# if len(current_limit_up_block_codes_dict[block]) == 1 and volume_rate < 0.7:
|
# return True, f"独苗下单10分钟无后排且量({volume_rate})小于70%"
|
return False, "不需要撤单"
|
|
|
# --------------------------------封单额变化撤------------------------
|
# 涨停封单额统计
|
class L2LimitUpMoneyStatisticUtil:
|
_db = 1
|
_redisManager = redis_manager.RedisManager(1)
|
_thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager()
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(L2LimitUpMoneyStatisticUtil, cls).__new__(cls, *args, **kwargs)
|
return cls.__instance
|
|
@classmethod
|
def __get_redis(cls):
|
return cls._redisManager.getRedis()
|
|
# 设置l2的每一秒涨停封单额数据
|
|
def __set_l2_second_money_record(self, code, time, num, from_index, to_index):
|
old_num, old_from, old_to = self.__get_l2_second_money_record(code, time)
|
if old_num is None:
|
old_num = num
|
old_from = from_index
|
old_to = to_index
|
else:
|
old_num += num
|
old_to = to_index
|
key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
|
RedisUtils.setex(self.__get_redis(), key, tool.get_expire(), json.dumps((old_num, old_from, old_to)))
|
|
def __get_l2_second_money_record(self, code, time):
|
key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
|
val = RedisUtils.get(self.__get_redis(), key)
|
return self.__format_second_money_record_val(val)
|
|
def __format_second_money_record_val(self, val):
|
if val is None:
|
return None, None, None
|
val = json.loads(val)
|
return val[0], val[1], val[2]
|
|
def __get_l2_second_money_record_keys(self, code, time_regex):
|
key = "l2_limit_up_second_money-{}-{}".format(code, time_regex)
|
keys = RedisUtils.keys(self.__get_redis(), key)
|
return keys
|
|
# 设置l2最新的封单额数据
|
|
def __set_l2_latest_money_record(self, code, index, num):
|
key = "l2_limit_up_money-{}".format(code)
|
RedisUtils.setex(self.__get_redis(), key, tool.get_expire(), json.dumps((num, index)))
|
|
# 返回数量,索引
|
def __get_l2_latest_money_record(self, code):
|
key = "l2_limit_up_money-{}".format(code)
|
result = RedisUtils.get(self.__get_redis(), key)
|
if result:
|
result = json.loads(result)
|
return result[0], result[1]
|
else:
|
return 0, -1
|
|
# 矫正数据
|
# 矫正方法为取矫正时间两侧的秒分布数据，用于确定计算结束坐标
|
def verify_num(self, code, num, time_str):
|
# 记录买1矫正日志
|
logger_buy_1_volumn.info("涨停封单量矫正：代码-{} 量-{} 时间-{}", code, num, time_str)
|
time_ = time_str.replace(":", "")
|
key = None
|
# 获取矫正时间前1分钟的数据
|
keys = []
|
if not constant.TEST:
|
for i in range(0, 3600):
|
temp_time = tool.trade_time_add_second(time_str, 0 - i)
|
# 只处理9：30后的数据
|
if int(temp_time.replace(":", "")) < int("093000"):
|
break
|
keys_ = self.__get_l2_second_money_record_keys(code, temp_time.replace(":", ""))
|
if len(keys_) > 0:
|
keys.append(keys_[0])
|
if len(keys) >= 1:
|
break
|
else:
|
keys_ = self.__get_l2_second_money_record_keys(code, "*")
|
key_list = []
|
for k in keys_:
|
time__ = k.split("-")[-1]
|
key_list.append((int(time__), k))
|
key_list.sort(key=lambda tup: tup[0])
|
for t in key_list:
|
if t[0] <= int(time_):
|
keys.append(t[1])
|
break
|
|
keys.sort(key=lambda tup: int(tup.split("-")[-1]))
|
if len(keys) > 0:
|
key = keys[0]
|
val = RedisUtils.get(self.__get_redis(), key)
|
old_num, old_from, old_to = self.__format_second_money_record_val(val)
|
end_index = old_to
|
# 保存最近的数据
|
self.__set_l2_latest_money_record(code, end_index, num)
|
logger_buy_1_volumn.info("涨停封单量矫正成功：代码-{} 位置-{} 量-{}", code, end_index, num)
|
else:
|
logger_buy_1_volumn.info("涨停封单量矫正失败：代码-{} 时间-{} 量-{}", code, time_str, num)
|
# 取消此种方法
|
#
|
# for i in range(4, -2, -2):
|
# # 获取本(分钟/小时/天)内秒分布数据
|
# time_regex = "{}*".format(time_[:i])
|
# keys_ = cls.__get_l2_second_money_record_keys(code, time_regex)
|
# if keys_ and len(keys_) > 1:
|
# # 需要排序
|
# keys = []
|
# for k in keys_:
|
# keys.append(k)
|
# keys.sort(key=lambda tup: int(tup.split("-")[-1]))
|
# # if i == 4:
|
# # keys=keys[:5]
|
# # 有2个元素
|
# for index in range(0, len(keys) - 1):
|
# time_1 = keys[index].split("-")[-1]
|
# time_2 = keys[index + 1].split("-")[-1]
|
# if int(time_1) <= int(time_) <= int(time_2):
|
# # 在此时间范围内
|
# if time_ == time_2:
|
# key = keys[index + 1]
|
# else:
|
# key = keys[index]
|
# break
|
# if key:
|
# break
|
# # 如果没有找到匹配的区间
|
# if not key:
|
# # 最后一条数据的时间为相应的区间
|
# total_datas = local_today_datas[code]
|
#
|
# if key:
|
# val = cls.__get_redis().get(key)
|
# old_num, old_from, old_to = cls.__format_second_money_record_val(val)
|
# end_index = old_to
|
# # 保存最近的数据
|
# cls.__set_l2_latest_money_record(code, end_index, num)
|
# logger_buy_1_volumn.info("涨停封单量矫正结果：代码-{} 位置-{} 量-{}", code, end_index, num)
|
|
# 计算量，用于涨停封单量的计算
|
def __compute_num(self, code, data, buy_single_data):
|
if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) or L2DataUtil.is_sell(data["val"]):
|
# 涨停买撤与卖
|
return 0 - int(data["val"]["num"]) * data["re"]
|
else:
|
# 卖撤
|
if L2DataUtil.is_sell_cancel(data["val"]):
|
# 卖撤的买数据是否在买入信号之前，如果在之前就不计算，不在之前就计算
|
if l2_data_util.is_sell_index_before_target(data, buy_single_data,
|
local_today_num_operate_map.get(code)):
|
return 0
|
|
return int(data["val"]["num"]) * data["re"]
|
|
def clear(self, code):
|
key = "l2_limit_up_money-{}".format(code)
|
RedisUtils.delete(self.__get_redis(), key)
|
|
# 返回取消的标志数据
|
# with_cancel 是否需要判断是否撤销
|
def process_data(self, code, start_index, end_index, buy_single_begin_index, buy_exec_index,
|
with_cancel=True):
|
if buy_single_begin_index is None or buy_exec_index is None:
|
return None, None
|
start_time = round(time.time() * 1000)
|
total_datas = local_today_datas[code]
|
time_dict_num = {}
|
# 记录计算的坐标
|
time_dict_num_index = {}
|
# 坐标-量的map
|
num_dict = {}
|
# 统计时间分布
|
time_dict = {}
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data["val"]
|
time_ = val["time"]
|
if time_ not in time_dict:
|
time_dict[time_] = i
|
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data["val"]
|
time_ = val["time"]
|
if time_ not in time_dict_num:
|
time_dict_num[time_] = 0
|
time_dict_num_index[time_] = {"s": i, "e": i}
|
time_dict_num_index[time_]["e"] = i
|
num = self.__compute_num(code, data, total_datas[buy_single_begin_index])
|
num_dict[i] = num
|
time_dict_num[time_] = time_dict_num[time_] + num
|
for t_ in time_dict_num:
|
self.__set_l2_second_money_record(code, t_, time_dict_num[t_], time_dict_num_index[t_]["s"],
|
time_dict_num_index[t_]["e"])
|
|
print("保存涨停封单额时间：", round(time.time() * 1000) - start_time)
|
|
# 累计最新的金额
|
total_num, index = self.__get_l2_latest_money_record(code)
|
record_msg = f"同花顺买1信息 {total_num},{index}"
|
|
if index == -1:
|
# 没有获取到最新的矫正封单额，需要从买入信号开始点计算
|
index = buy_single_begin_index - 1
|
total_num = 0
|
|
cancel_index = None
|
cancel_msg = None
|
# 待计算量
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
min_volumn = round(10000000 / (limit_up_price * 100))
|
min_volumn_big = min_volumn * 5
|
# 不同时间的数据开始坐标
|
time_start_index_dict = {}
|
# 数据时间分布
|
time_list = []
|
# 到当前时间累积的买1量
|
time_total_num_dict = {}
|
|
# 大单撤销笔数
|
cancel_big_num_count = 0
|
buy_exec_time = tool.get_time_as_second(total_datas[buy_exec_index]["val"]["time"])
|
|
# 获取最大封单额
|
max_buy1_volume = self._thsBuy1VolumnManager.get_max_buy1_volume_cache(code)
|
|
# 从同花顺买1矫正过后的位置开始计算，到end_index结束
|
|
for i in range(index + 1, end_index + 1):
|
data = total_datas[i]
|
# 统计撤销数量
|
try:
|
if big_money_num_manager.is_big_num(data["val"]):
|
if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]):
|
cancel_big_num_count += int(data["re"])
|
# 获取是否在买入执行信号周围2s
|
buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
|
local_today_buyno_map.get(
|
code))
|
if buy_index is not None:
|
# 相差1s
|
buy_time = total_datas[buy_index]["val"]["time"]
|
if abs(buy_exec_time - tool.get_time_as_second(buy_time)) < 2:
|
cancel_big_num_count += int(data["re"])
|
|
elif L2DataUtil.is_limit_up_price_buy(data["val"]):
|
cancel_big_num_count -= int(data["re"])
|
except Exception as e:
|
logging.exception(e)
|
|
threshold_rate = 0.5
|
if cancel_big_num_count >= 0:
|
if cancel_big_num_count < 10:
|
threshold_rate = threshold_rate - cancel_big_num_count * 0.01
|
else:
|
threshold_rate = threshold_rate - 10 * 0.01
|
|
time_ = data["val"]["time"]
|
if time_ not in time_start_index_dict:
|
# 记录每一秒的开始位置
|
time_start_index_dict[time_] = i
|
# 记录时间分布
|
time_list.append(time_)
|
# 上一段时间的总数
|
time_total_num_dict[time_] = total_num
|
|
exec_time_offset = tool.trade_time_sub(data["val"]["time"], total_datas[buy_exec_index]["val"]["time"])
|
|
val = num_dict.get(i)
|
if val is None:
|
val = self.__compute_num(code, data, total_datas[buy_single_begin_index])
|
total_num += val
|
# 在处理数据的范围内，就需要判断是否要撤单了
|
if start_index <= i <= end_index:
|
# 如果是减小项
|
if val < 0:
|
# 累计封单金额小于1000万
|
if total_num < min_volumn:
|
# 与执行位相隔>=5s时规则生效
|
if exec_time_offset >= 5:
|
cancel_index = i
|
cancel_msg = "封单金额小于1000万,为{}".format(total_num)
|
break
|
# 相邻2s内的数据减小50%
|
# 上1s的总数
|
last_second_total_volumn = time_total_num_dict.get(time_list[-1])
|
if last_second_total_volumn > 0 and (
|
last_second_total_volumn - total_num) / last_second_total_volumn >= threshold_rate:
|
# 与执行位相隔>=5s时规则生效
|
if exec_time_offset >= 5:
|
# 相邻2s内的数据减小50%
|
cancel_index = i
|
cancel_msg = "相邻2s({})内的封单量减小50%({}->{})".format(time_, last_second_total_volumn,
|
total_num)
|
break
|
# 记录中有上2个数据
|
if len(time_list) >= 2:
|
# 倒数第2个数据
|
last_2_second_total_volumn = time_total_num_dict.get(time_list[-2])
|
if last_2_second_total_volumn > 0:
|
if last_2_second_total_volumn > last_second_total_volumn > total_num:
|
dif = last_2_second_total_volumn - total_num
|
if dif / last_2_second_total_volumn >= threshold_rate:
|
# 与执行位相隔>=5s时规则生效
|
if exec_time_offset >= 5:
|
cancel_index = i
|
cancel_msg = "相邻3s({})内的封单量(第3秒 与 第1的 减小比例)减小50%({}->{}->{})".format(time_,
|
last_2_second_total_volumn,
|
last_second_total_volumn,
|
total_num)
|
break
|
|
if not with_cancel:
|
cancel_index = None
|
|
print("封单额计算时间：", round(time.time() * 1000) - start_time)
|
process_end_index = end_index
|
if cancel_index:
|
process_end_index = cancel_index
|
# 保存最新累计金额
|
# cls.__set_l2_latest_money_record(code, process_end_index, total_num)
|
# l2_data_log.l2_time(code, round(time.time() * 1000) - start_time,
|
# "l2数据封单额计算时间",
|
# False)
|
if cancel_index:
|
l2_log.cancel_debug(code, "数据处理位置：{}-{}，{}，最终买1为：{}", start_index, end_index, record_msg,
|
total_num)
|
return total_datas[cancel_index], cancel_msg
|
return None, None
|
|
|
# ---------------------------------板上卖-----------------------------
|
# 涨停卖统计
|
class L2LimitUpSellStatisticUtil:
|
__db = 0
|
__redisManager = redis_manager.RedisManager(0)
|
__limit_up_sell_num_cache = {}
|
__limit_up_sell_index_cache = {}
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(L2LimitUpSellStatisticUtil, cls).__new__(cls, *args, **kwargs)
|
# 初始化
|
cls.load_data()
|
return cls.__instance
|
|
@classmethod
|
def load_data(cls):
|
redis_ = cls.__get_redis()
|
try:
|
keys = RedisUtils.keys(redis_, "limit_up_sell_num-*")
|
for k in keys:
|
code = k.split["-"][-1]
|
cls.__limit_up_sell_num_cache[code] = RedisUtils.get(redis_, k)
|
keys = RedisUtils.keys(redis_, "limit_up_sell_index-*")
|
for k in keys:
|
code = k.split["-"][-1]
|
cls.__limit_up_sell_index_cache[code] = RedisUtils.get(redis_, k)
|
finally:
|
RedisUtils.realse(redis_)
|
|
@classmethod
|
def __get_redis(cls):
|
return cls.__redisManager.getRedis()
|
|
# 新增卖数据
|
def __incre_sell_data(self, code, num):
|
if code not in self.__limit_up_sell_num_cache:
|
self.__limit_up_sell_num_cache[code] = 0
|
self.__limit_up_sell_num_cache[code] += num
|
key = "limit_up_sell_num-{}".format(code)
|
RedisUtils.incrby_async(self.__db, key, num)
|
RedisUtils.expire_async(self.__db, key, tool.get_expire())
|
|
def __get_sell_data(self, code):
|
key = "limit_up_sell_num-{}".format(code)
|
val = RedisUtils.get(self.__get_redis(), key)
|
if val is None:
|
return 0
|
return int(val)
|
|
def __get_sell_data_cache(self, code):
|
if code in self.__limit_up_sell_num_cache:
|
return int(self.__limit_up_sell_num_cache[code])
|
return 0
|
|
def __save_process_index(self, code, index):
|
tool.CodeDataCacheUtil.set_cache(self.__limit_up_sell_index_cache, code, index)
|
key = "limit_up_sell_index-{}".format(code)
|
RedisUtils.setex_async(self.__db, key, tool.get_expire(), index)
|
|
def __get_process_index(self, code):
|
key = "limit_up_sell_index-{}".format(code)
|
val = RedisUtils.get(self.__get_redis(), key)
|
if val is None:
|
return -1
|
return int(val)
|
|
def __get_process_index_cache(self, code):
|
cache_result = tool.CodeDataCacheUtil.get_cache(self.__limit_up_sell_index_cache, code)
|
if cache_result[0]:
|
return int(cache_result[1])
|
return -1
|
|
# 清除数据,当取消成功与买入之前需要清除数据
|
|
def delete(self, code):
|
tool.CodeDataCacheUtil.clear_cache(self.__limit_up_sell_index_cache, code)
|
tool.CodeDataCacheUtil.clear_cache(self.__limit_up_sell_num_cache, code)
|
key = "limit_up_sell_num-{}".format(code)
|
RedisUtils.delete_async(self.__db, key)
|
key = "limit_up_sell_index-{}".format(code)
|
RedisUtils.delete_async(self.__db, key)
|
|
def clear(self):
|
keys = RedisUtils.keys(self.__get_redis(), "limit_up_sell_num-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
self.delete(code)
|
|
# 处理数据，返回是否需要撤单
|
# 处理范围：买入执行位-当前最新位置
|
|
def process(self, code, start_index, end_index, buy_exec_index):
|
# 获取涨停卖的阈值
|
limit_up_price = gpcode_manager.get_limit_up_price(code)
|
zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
|
# 大于自由流通市值的4.8%
|
threshold_num = int(zyltgb * 0.048) // (limit_up_price * 100)
|
total_num = self.__get_sell_data_cache(code)
|
cancel_index = None
|
process_index = self.__get_process_index_cache(code)
|
total_datas = local_today_datas.get(code)
|
for i in range(start_index, end_index + 1):
|
if i < buy_exec_index:
|
continue
|
if i <= process_index:
|
continue
|
if L2DataUtil.is_limit_up_price_sell(total_datas[i]["val"]) or L2DataUtil.is_sell(total_datas[i]["val"]):
|
num = int(total_datas[i]["val"]["num"])
|
self.__incre_sell_data(code, num)
|
total_num += num
|
if total_num > threshold_num:
|
cancel_index = i
|
break
|
if cancel_index is not None:
|
process_index = cancel_index
|
else:
|
process_index = end_index
|
l2_log.cancel_debug(code, "板上卖信息：计算位置：{}-{} 板上卖数据{}/{}", start_index, end_index, total_num,
|
threshold_num)
|
|
self.__save_process_index(code, process_index)
|
if cancel_index is not None:
|
return total_datas[cancel_index], "板上卖的手数{} 超过{}".format(total_num, threshold_num)
|
return None, ""
|
|
|
class LatestCancelIndexManager:
|
__db = 0
|
__redis_manager = redis_manager.RedisManager(0)
|
__latest_cancel_index_cache = {}
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(LatestCancelIndexManager, 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.__get_redis()
|
try:
|
keys = RedisUtils.keys(__redis, "latest_cancel_index-*")
|
for k in keys:
|
code = k.split("-")[-1]
|
val = RedisUtils.get(__redis, k)
|
val = int(val)
|
CodeDataCacheUtil.set_cache(cls.__latest_cancel_index_cache, code, val)
|
finally:
|
RedisUtils.realse(__redis)
|
|
def __save_latest_cancel_index(self, code, index):
|
RedisUtils.setex_async(self.__db, f"latest_cancel_index-{code}", tool.get_expire(), index)
|
|
def set_latest_cancel_index(self, code, index):
|
CodeDataCacheUtil.set_cache(self.__latest_cancel_index_cache, code, index)
|
self.__save_latest_cancel_index(code, index)
|
|
def get_latest_cancel_index_cache(self, code):
|
result = CodeDataCacheUtil.get_cache(self.__latest_cancel_index_cache, code)
|
if result[0]:
|
return result[1]
|
return None
|
|
pass
|
|
|
class JCancelBigNumComputer(BaseCancel):
|
"""
|
J撤：
|
1000ms内若有三笔，我们后面的涨停撤买L ，
|
此时算一次信号，即开始计算我们后面的未撤的所有涨停总额，
|
当此总涨停额下降至50%则撤单。
|
更新屏幕，3分钟以后有新的信号，
|
则重新计算总额。如果3分钟后没有新的信号，
|
则沿用上一次计算的后涨停额。
|
守护时间14点50分00秒，
|
此撤关于我们后面的不想顶而撤，
|
导致封单额陡然降低
|
"""
|
|
__cancel_single_cache = {}
|
|
__real_place_order_index_info_dict = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(JCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
return cls.__instance
|
|
def set_real_place_order_index(self, code, index, buy_single_index, is_default):
|
self.__real_place_order_index_info_dict[code] = (index, is_default)
|
|
def __compute_cancel_single(self, code, start_index, end_index):
|
"""
|
计算撤单信号：1000ms内有3笔撤单
|
@param code:
|
@param start_index: 开始索引
|
@param end_index: 结束索引
|
@return:
|
"""
|
# 获取真实下单位置
|
real_place_order_index_info = self.__real_place_order_index_info_dict.get(code)
|
if not real_place_order_index_info or real_place_order_index_info[1]:
|
# 尚未获取到真实下单位置
|
return
|
|
real_place_order_index = real_place_order_index_info[0]
|
# 获取撤单信号[时间,真实下单位置, 信号总手数,目前手数,最新计算的索引]
|
cancel_single_info = self.__cancel_single_cache.get(code)
|
outoftime = False
|
total_datas = local_today_datas.get(code)
|
if cancel_single_info:
|
outoftime = tool.trade_time_sub(total_datas[-1]['val']['time'], cancel_single_info[0]) > 180
|
if not outoftime:
|
# 上次计算还未超时
|
return
|
limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2)
|
|
if cancel_single_info and outoftime:
|
# 更新需要计算信号
|
min_volume = 50 * 10000 // int(limit_up_price * 100)
|
# 计算本批数据是否有撤单
|
single_info = None # (index, 时间ms)
|
for i in range(end_index, start_index - 1, -1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
if val['num'] < min_volume:
|
continue
|
single_info = (i, L2DataUtil.get_time_with_ms(val))
|
break
|
if not single_info:
|
# "无涨停撤单"
|
return
|
indexes = [single_info[0]] # 包含信号笔数
|
for i in range(single_info[0] - 1, real_place_order_index, -1):
|
data = total_datas[i]
|
val = data['val']
|
if not L2DataUtil.is_limit_up_price_buy_cancel(val):
|
continue
|
if val['num'] < min_volume:
|
continue
|
time_ms = L2DataUtil.get_time_with_ms(val)
|
if tool.trade_time_sub_with_ms(single_info[1], time_ms) > 1000:
|
break
|
indexes.append(i)
|
if len(indexes) >= 3:
|
break
|
if len(indexes) < 3:
|
# 不满足更新条件
|
return
|
total_count, total_num = L2DataComputeUtil.compute_left_buy_order(code, real_place_order_index + 1,
|
total_datas[-1]['index'], limit_up_price)
|
self.__cancel_single_cache[code] = [total_datas[-1]['val']['time'], real_place_order_index, total_num,
|
total_num,
|
total_datas[-1]['index']]
|
l2_log.j_cancel_debug(code, f"触发囊括：{self.__cancel_single_cache[code]}")
|
|
def need_cancel(self, code, start_index, end_index):
|
if 1 > 0:
|
return False, None, "J撤不生效"
|
# 需要先计算
|
self.__compute_cancel_single(code, start_index, end_index)
|
# [时间, 真实下单位置, 信号总手数, 目前手数, 最新计算的索引]
|
cancel_single_info = self.__cancel_single_cache.get(code)
|
if not cancel_single_info:
|
return False, None, "没有监听"
|
|
# 计算剩余数量
|
total_datas = local_today_datas.get(code)
|
if int(total_datas[end_index]['val']['time'].replace(":", "")) > 145000:
|
return False, None, "超过生效时间"
|
|
buyno_map = local_today_buyno_map.get(code)
|
limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2)
|
min_volume = 50 * 10000 // int(limit_up_price * 100)
|
# 计算纯买额
|
for i in range(start_index, end_index + 1):
|
data = total_datas[i]
|
val = data['val']
|
if data['index'] <= cancel_single_info[4]:
|
continue
|
if val['num'] < min_volume:
|
continue
|
if L2DataUtil.is_limit_up_price_buy_cancel(val):
|
orderNo = val['orderNo']
|
buy_data = buyno_map.get(f"{orderNo}")
|
if buy_data and buy_data['index'] > cancel_single_info[1]:
|
cancel_single_info[3] -= val['num']
|
elif L2DataUtil.is_limit_up_price_buy(val):
|
cancel_single_info[3] += val['num']
|
else:
|
continue
|
cancel_single_info[4] = end_index
|
# self.__cancel_single_cache[code] = cancel_single_info
|
|
threshold_rate = constant.J_CANCEL_RATE
|
if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
|
threshold_rate = constant.J_CANCEL_RATE_WITH_MUST_BUY
|
cancel_num = cancel_single_info[2] - cancel_single_info[3]
|
rate = round(cancel_num / cancel_single_info[2], 2)
|
if rate >= threshold_rate:
|
return True, total_datas[
|
end_index], f"撤单比例达到：{rate}/{threshold_rate} 剩余手数：{cancel_single_info[3]}/{cancel_single_info[2]}"
|
return False, None, f"尚未达到撤单比例{rate} , {cancel_num}/{cancel_single_info[2]}"
|
|
def __clear_data(self, code):
|
if code in self.__cancel_single_cache:
|
self.__cancel_single_cache.pop(code)
|
if code in self.__real_place_order_index_info_dict:
|
self.__real_place_order_index_info_dict.pop(code)
|
|
def cancel_success(self, code):
|
self.__clear_data(code)
|
|
def place_order_success(self, code):
|
self.__clear_data(code)
|
|
|
class NBCancelBigNumComputer(BaseCancel):
|
"""
|
NB撤：
|
大市值5分钟内前面没有大单撤
|
"""
|
__real_place_order_index_info_dict = {}
|
|
__instance = None
|
|
def __new__(cls, *args, **kwargs):
|
if not cls.__instance:
|
cls.__instance = super(NBCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
|
return cls.__instance
|
|
def set_real_place_order_index(self, code, index, buy_single_index, is_default):
|
self.__real_place_order_index_info_dict[code] = (index, is_default)
|
|
def need_cancel(self, code, trade_index):
|
# [时间, 真实下单位置, 信号总手数, 目前手数, 最新计算的索引]
|
real_place_order_index_info = self.__real_place_order_index_info_dict.get(code)
|
if not real_place_order_index_info or real_place_order_index_info[1]:
|
return False, "没有找到真实下单位"
|
real_place_order_index = real_place_order_index_info[0]
|
|
limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2)
|
if limit_up_price < 3:
|
return False, "股价小于3块"
|
|
zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
|
zyltgb_unit_y = round(zyltgb / 100000000, 1)
|
if zyltgb_unit_y < 50:
|
return False, '自由流通股本小于50亿'
|
|
# 计算剩余数量
|
total_datas = local_today_datas.get(code)
|
if tool.trade_time_sub(tool.get_now_time_str(), total_datas[real_place_order_index]['val']['time']) > 300:
|
return False, "超过生效时间"
|
total_left_count, total_left_num = L2DataComputeUtil.compute_left_buy_order(code, trade_index,
|
real_place_order_index,
|
limit_up_price, 299 * 10000)
|
if total_left_count > 0:
|
return False, '有大单'
|
return True, f'无大单：{trade_index}-{real_place_order_index}'
|
|
def __clear_data(self, code):
|
if code in self.__real_place_order_index_info_dict:
|
self.__real_place_order_index_info_dict.pop(code)
|
|
def cancel_success(self, code):
|
self.__clear_data(code)
|
|
def place_order_success(self, code):
|
self.__clear_data(code)
|
|
|
if __name__ == "__main__":
|
pass
|
