首板加入，安全笔数与H撤笔数优化

Administrator

2023-03-08 3cfa1332c0807a74b4ac5a2150500841f5299147

 l2/cancel_buy_strategy.py

@@ -109,15 +109,17 @@
    @classmethod
    def need_cancel(cls, code, buy_single_index, buy_exec_index, start_index, end_index, total_data,
                    need_cancel=True):
        if start_index == 375:
        if start_index >= 217:
            print("进入调试")
        # 只守护30s
        if tool.trade_time_sub(total_data[start_index]["val"]["time"], total_data[buy_exec_index]["val"]["time"]) > constant.S_CANCEL_EXPIRE_TIME:
        if tool.trade_time_sub(total_data[start_index]["val"]["time"],
                               total_data[buy_exec_index]["val"]["time"]) > constant.S_CANCEL_EXPIRE_TIME:
            return False, None
        l2_log.cancel_debug(code, "S级是否需要撤单，数据范围：{}-{} ", start_index, end_index)
        logger_l2_s_cancel.debug(f"code-{code} S级是否需要撤单，数据范围：{start_index}-{end_index}")

        if tool.trade_time_sub(total_data[end_index]["val"]["time"], total_data[buy_exec_index]["val"]["time"]) >  constant.S_CANCEL_EXPIRE_TIME:
        if tool.trade_time_sub(total_data[end_index]["val"]["time"],
                               total_data[buy_exec_index]["val"]["time"]) > constant.S_CANCEL_EXPIRE_TIME:
            # 结束位置超过了执行位置30s，需要重新确认结束位置
            for i in range(end_index, start_index - 1, -1):
                if total_data[end_index]["val"]["time"] != total_data[i]["val"]["time"]:
@@ -258,8 +260,6 @@
        val = json.loads(val)
        return val[0], val[1], val[2], val[3], val[4]



    # 保存成交进度
    @classmethod
    def __save_traded_progress(cls, code, origin_process_index, latest_process_index):
@@ -298,7 +298,7 @@
    @classmethod
    def __clear_data(cls, code):
        ks = ["h_cancel_compute_data-{}".format(code), f"h_cancel_watch_indexs_exec-{code}",
              f"h_cancel_watch_indexs-{code}",f"h_cancel_traded_progress-{code}"]
              f"h_cancel_watch_indexs-{code}", f"h_cancel_traded_progress-{code}"]
        for key in ks:
            cls.__getRedis().delete(key)

@@ -306,12 +306,12 @@
    def need_cancel(cls, code, buy_exec_index, start_index, end_index, total_data, local_today_num_operate_map):
        time_space = tool.trade_time_sub(total_data[start_index]["val"]["time"],
                                         total_data[buy_exec_index]["val"]["time"])
        if time_space >=  constant.S_CANCEL_EXPIRE_TIME - 1:
        if time_space >= constant.S_CANCEL_EXPIRE_TIME - 1:
            # 开始计算需要监控的单
            cls.__compute_watch_indexs_after_exec(code, buy_exec_index, total_data, local_today_num_operate_map)

        # 守护30s以外的数据
        if time_space <=  constant.S_CANCEL_EXPIRE_TIME:
        if time_space <= constant.S_CANCEL_EXPIRE_TIME:
            return False, None
            # 获取成交进度
        origin_progress_index, latest_progress_index = cls.__get_traded_progress(code)
@@ -386,7 +386,9 @@
    def set_trade_progress(cls, code, data_time, buy_exec_index, index, total_data, local_today_num_operate_map):
        cls.__tradeBuyQueue.set_traded_index(code, index)
        # 如果获取时间与执行时间小于29则不需要处理
        if buy_exec_index is None or buy_exec_index < 0 or tool.trade_time_sub(data_time, total_data[buy_exec_index]["val"]["time"]) < constant.S_CANCEL_EXPIRE_TIME - 1:
        if buy_exec_index is None or buy_exec_index < 0 or tool.trade_time_sub(data_time,
                                                                               total_data[buy_exec_index]["val"][
                                                                                   "time"]) < constant.S_CANCEL_EXPIRE_TIME - 1:
            return
        # 保存成交进度
        origin_index, latest_index = cls.__get_traded_progress(code)
@@ -494,6 +496,9 @@
        finished = False
        big_num_count = big_num_count_old
        total_count = total_count_old
        # H撤单
        MIN_H_COUNT = l2_trade_factor.L2TradeFactorUtil.get_h_cancel_min_count(code)

        for i in range(buy_exec_index, total_data[-1]["index"] + 1):
            if i <= process_index_old:
                continue
@@ -511,7 +516,7 @@
                    big_num_count += data["re"]

                # 判断是否达到阈值
                if total_count >= constant.H_CANCEL_MIN_COUNT and big_num_count >= constant.H_CANCEL_MIN_BIG_NUM_COUNT:  # and total_num >= threshold_num
                if total_count >= MIN_H_COUNT and big_num_count >= constant.H_CANCEL_MIN_BIG_NUM_COUNT:  # and total_num >= threshold_num
                    finished = True
                    l2_log.cancel_debug(code, "获取到H撤监听数据：{},计算截至位置：{}", json.dumps(list(watch_set)),
                                        total_data[-1]["index"])
@@ -814,7 +819,7 @@
                # 如果是减小项
                if val < 0:
                    # 当前量小于最大量的24%则需要取消
                    if exec_time_offset >=  constant.S_CANCEL_EXPIRE_TIME:
                    if exec_time_offset >= constant.S_CANCEL_EXPIRE_TIME:
                        if total_num <= min_volumn_big and max_buy1_volume * 0.24 > total_num:
                            cancel_index = i
                            cancel_msg = "封板额小于最高封板额的24% {}/{}".format(total_num, max_buy1_volume)