| | |
|---|
| | | continue |
|---|
| | | # 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)) |
|---|
| | | 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: |
|---|
| | |
|---|
| | | 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_v2(data, |
|---|
| | | local_today_buyno_map.get(code)) |
|---|
| | | 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"]) |
|---|
| | |
|---|
| | | 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: |
|---|
| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, |
|---|
| | | wi, |
|---|
| | | total_data, |
|---|
| | | local_today_canceled_buyno_map.get( |
|---|
| | | code)) |
|---|
| | | canceled_num += (total_data[wi]["re"] - left_count) * total_data[wi]["val"]["num"] |
|---|
| | | 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: |
|---|
| | | canceled_num += total_data[wi]["val"]["num"] * total_data[wi]["re"] |
|---|
| | | 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}") |
|---|
| | |
|---|
| | | thresh_hold_rate = LCancelRateManager.get_cancel_rate(code) |
|---|
| | | l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},已撤单比例：{rate}/{thresh_hold_rate}") |
|---|
| | | if rate >= thresh_hold_rate: |
|---|
| | | return True, total_data[-1] |
|---|
| | | canceled_indexes.sort() |
|---|
| | | l2_log.l_cancel_debug(code, f"L下撤单,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): |
|---|
| | | 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 |
|---|
| | |
|---|
| | | if need_compute: |
|---|
| | | # 计算撤单比例 |
|---|
| | | canceled_count = 0 |
|---|
| | | canceled_indexes = [] |
|---|
| | | for wi in watch_indexes: |
|---|
| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, |
|---|
| | | wi, |
|---|
| | | total_data, |
|---|
| | | local_today_canceled_buyno_map.get( |
|---|
| | | code)) |
|---|
| | | canceled_count += total_data[wi]["re"] - left_count |
|---|
| | | 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"]) |
|---|
| | | canceled_count += total_data[wi]["re"] |
|---|
| | | 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}") |
|---|
| | | if rate >= LCancelRateManager.get_cancel_rate(code): |
|---|
| | | return True, total_data[-1] |
|---|
| | | thresh_cancel_rate = LCancelRateManager.get_cancel_rate(code) |
|---|
| | | 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: |
|---|
| | | 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 |
|---|
| | | |
|---|
