gp-server.git - Gitblit

			@@ -8,22 +8,19 @@
			import json
			import logging
			import time
			import l2.l2_data_util

			import constant
			from code_attribute import big_money_num_manager, gpcode_manager, code_volumn_manager
			from code_attribute import big_money_num_manager, gpcode_manager
			import l2_data_util
			from db import redis_manager_delegate as redis_manager
			from db.redis_manager_delegate import RedisUtils
			from trade.l2_trade_factor import L2PlaceOrderParamsManager
			from utils import tool
			from l2.safe_count_manager import BuyL2SafeCountManager
			from l2.transaction_progress import TradeBuyQueue
			from output import kp_client_msg_manager
			from trade import trade_queue_manager, l2_trade_factor
			from l2 import l2_log, l2_data_source_util
			from l2.l2_data_util import L2DataUtil, local_today_num_operate_map, local_today_datas
			from log_module.log import logger_buy_1_volumn, logger_l2_d_cancel, logger_l2_l_cancel
			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
			from utils.tool import CodeDataCacheUtil


			@@ -179,8 +176,8 @@
			left_big_num += val["num"] * data["re"]
			elif 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(code, data,
			local_today_num_operate_map.get(
			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 start_index <= buy_index <= end_index:
			if buy_index - buy_single_index < fire_count:
			@@ -237,8 +234,8 @@
			left_big_num += val["num"] * data["re"]
			elif 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(code, data,
			local_today_num_operate_map.get(
			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 transaction_index + 1 <= buy_index <= real_place_order_index and i < start_index:
			left_big_num -= val["num"] * data["re"]
			@@ -260,9 +257,8 @@
			if val["num"] * float(val["price"]) <= constant.S_CANCEL_MIN_MONEY * 100:
			continue
			# 查询买入位置
			buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, data,
			local_today_num_operate_map.get(
			code))
			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 transaction_index < buy_index < real_place_order_index:
			cancel_num += total_data[buy_index]["re"] * int(total_data[buy_index]["val"]["num"])
			if need_cancel:
			@@ -322,9 +318,8 @@
			buy_num += data["re"] * int(val["num"])
			elif 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(code, data,
			local_today_num_operate_map.get(
			code))
			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_single_index <= buy_index:
			if place_order_index and place_order_index >= buy_index:
			cancel_num += total_data[buy_index]["re"] * int(total_data[buy_index]["val"]["num"])
			@@ -467,9 +462,9 @@
			val = data['val']
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code, i,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
			total_datas,
			local_today_num_operate_map.get(
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			total_num += left_count * val["num"]
			@@ -488,9 +483,9 @@
			# 小金额过滤
			if float(val['price']) * val['num'] < min_money * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code, i,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
			total_datas,
			local_today_num_operate_map.get(
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			@@ -507,7 +502,6 @@
			self.__real_place_order_index_dict[code] = index

			def need_cancel(self, code, buy_single_index, buy_exec_index, start_index, end_index, total_data,
			local_today_num_operate_map,
			buy_volume_index, volume_index,
			is_first_code):
			if buy_single_index is None or buy_exec_index is None:
			@@ -532,9 +526,10 @@
			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(code, index,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, index,
			total_data,
			local_today_num_operate_map)
			local_today_canceled_buyno_map.get(
			code))

			cancel_num += val['num'] * (data['re'] - left_count)
			rate = round(cancel_num / total_num, 4)
			@@ -544,7 +539,7 @@
			return False, None

			# 下单成功
			def place_order_success(self, code, buy_single_index, buy_exec_index, total_data, local_today_num_operate_map):
			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
			@@ -616,7 +611,7 @@
			self.__del_real_order_index(code)

			# 设置成交位
			def set_trade_progress(self, code, index, buy_exec_index, total_data, local_today_num_operate_map, m_base_value,
			def set_trade_progress(self, code, index, buy_exec_index, total_data, m_base_value,
			limit_up_price):
			# 离下单执行位2分钟内的有效
			sub_time = tool.trade_time_sub(total_data[-1]['val']['time'], total_data[buy_exec_index]['val']['time'])
			@@ -636,9 +631,10 @@
			if val['num'] * val['price'] < 5900:
			continue

			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code, i,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
			total_data,
			local_today_num_operate_map)
			local_today_canceled_buyno_map.get(
			code))
			left_num += val['num'] * left_count
			# 剩下的不足动态M值的1/2
			rate = round(float(limit_up_price) * left_num * 100 / m_base_value, 3)
			@@ -687,10 +683,9 @@
			temp_rate = 3
			deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4)


			base_rate += block_rate
			base_rate += deal_rate
			return round(base_rate, 2), block_rate, deal_rate
			return round(base_rate, 2)

			# 设置板块涨停数量（除开自己）
			@classmethod
			@@ -840,9 +835,10 @@
			# 小金额过滤
			if float(val['price']) * val['num'] < min_money * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code, i,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			i,
			total_datas,
			local_today_num_operate_map.get(
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			@@ -887,9 +883,9 @@
			# 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(code, i,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
			total_datas,
			local_today_num_operate_map.get(
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			total_num += val['num'] * left_count
			@@ -921,8 +917,7 @@
			self.compute_watch_index(code, self.__last_trade_progress_dict.get(code),
			self.__real_place_order_index_dict.get(code))

			def __compute_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data,
			_local_today_num_operate_map, is_first_code):
			def __compute_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
			watch_indexes = self.__get_watch_indexes_cache(code)
			if not watch_indexes:
			return False, None
			@@ -938,8 +933,9 @@
			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(code, data,
			_local_today_num_operate_map)
			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
			@@ -949,10 +945,11 @@
			watch_indexes_list.sort()
			canceled_num = 0
			for wi in watch_indexes:
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			wi,
			total_data,
			_local_today_num_operate_map)
			local_today_canceled_buyno_map.get(
			code))
			canceled_num += (total_data[wi]["re"] - left_count) * total_data[wi]["val"]["num"]
			# 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
			@@ -967,8 +964,7 @@

			return False, None

			def __compute_near_by_trade_progress_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data,
			_local_today_num_operate_map, is_first_code):
			def __compute_near_by_trade_progress_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
			watch_indexes = self.__get_near_by_trade_progress_indexes_cache(code)
			if not watch_indexes:
			return False, None
			@@ -983,8 +979,9 @@
			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(code, data,
			_local_today_num_operate_map)
			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
			@@ -992,10 +989,11 @@
			# 计算撤单比例
			canceled_count = 0
			for wi in watch_indexes:
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			wi,
			total_data,
			_local_today_num_operate_map)
			local_today_canceled_buyno_map.get(
			code))
			canceled_count += total_data[wi]["re"] - left_count
			rate = round(canceled_count / total_count, 3)
			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}")
			@@ -1004,8 +1002,7 @@

			return False, None

			def need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, _local_today_num_operate_map,
			is_first_code):
			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, "尚未找到下单位置"
			time_space = tool.trade_time_sub(total_data[start_index]["val"]["time"],
			@@ -1015,13 +1012,12 @@
			return False, None
			# 下单位临近撤
			can_cancel, cancel_data = self.__compute_need_cancel(code, buy_exec_index, start_index, end_index, total_data,
			_local_today_num_operate_map, is_first_code)
			is_first_code)
			if not can_cancel:
			# 成交位临近撤
			can_cancel, cancel_data = self.__compute_near_by_trade_progress_need_cancel(code, buy_exec_index,
			start_index, end_index,
			total_data,
			_local_today_num_operate_map,
			is_first_code)
			return can_cancel, cancel_data

			@@ -1037,7 +1033,7 @@
			__SecondCancelBigNumComputer = SecondCancelBigNumComputer()

			# 开始撤单
			def start_cancel(self, code, buy_no, total_datas, buy_order_no_map, local_operate_map, m_val_num):
			def start_cancel(self, code, buy_no, total_datas, m_val_num):
			# TODO 暂时注释掉G撤
			return False, "暂时不执行G撤"
			thresh_num = int(m_val_num * 1)
			@@ -1055,9 +1051,10 @@
			data = total_datas[index]
			if L2DataUtil.is_limit_up_price_buy(data["val"]):
			# 获取是否在买入执行信号周围2s
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code, index,
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, index,
			total_datas,
			local_operate_map)
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			buy_nums += left_count * data["val"]["num"]
			if buy_nums > thresh_num:
			@@ -1311,8 +1308,8 @@
			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(code, data,
			local_today_num_operate_map.get(
			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