板上放小量不下单，加红撤单比例调整

Administrator

2024-04-23 545d65a4febc85d628aedf1547d6f9efebce34fd

 l2/cancel_buy_strategy.py

@@ -243,7 +243,8 @@
                if val['orderNo'] == watch_info[1]:
                    total_num -= watch_info[2]
        min_index = min(watch_info[0])
        sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, total_datas[real_place_order_info[0]]['val'][
        sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, total_datas[
            real_place_order_info[0]]['val'][
            'orderNo'])
        sell_order_num = sum([x[1] for x in sell_orders]) // 100
        rate = round(sell_order_num / total_num, 2)
@@ -361,7 +362,11 @@
            # 防止分母为0
            total_fast_money = 1
        rate = round(total_deal_money / total_fast_money, 2)
        if total_deal_money >= threash_money_w * 10000 and rate >= 0.25:
        threshold_rate = constant.F_FAST_RATE
        if gpcode_manager.MustBuyCodesManager().is_in_cache(code):
            threshold_rate = constant.F_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,
@@ -566,7 +571,8 @@
        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:
        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-------------------
@@ -598,7 +604,7 @@
        # 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_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()
@@ -776,14 +782,14 @@
                                                                                                             code))
                cancel_num += val['num'] * (data['re'] - left_count)
            rate = round(cancel_num / total_num, 4)
            must_buy_cancel_rate = constant.H_CANCEL_RATE_WITH_LDOWN_CANT_INVALID if code in self.__l_cancel_triggered_codes else constant.H_CANCEL_RATE
            threshold_rate = constant.H_CANCEL_RATE_WITH_LDOWN_CANT_INVALID if code in self.__l_cancel_triggered_codes else constant.H_CANCEL_RATE
            try:
                temp_rate = gpcode_manager.MustBuyCodesManager().get_cancel_rate_cache(code)
                if temp_rate:
                    must_buy_cancel_rate = temp_rate
                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 >= must_buy_cancel_rate:
            if rate >= threshold_rate:
                l2_log.h_cancel_debug(code, f"撤单比例：{rate}")
                return True, total_data[-1]
        return False, None
@@ -867,9 +873,12 @@
    @classmethod
    def get_cancel_rate(cls, code, buy_exec_time, is_up=False, is_l_down_recomputed=False):
        try:
            must_buy_cancel_rate = cls.__MustBuyCodesManager.get_cancel_rate_cache(code)
            if must_buy_cancel_rate is not None:
                return must_buy_cancel_rate, True
            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))

@@ -888,12 +897,7 @@

            deal_rate = 0
            if code in cls.__big_num_deal_rate_dict:
                deal_rate =round( cls.__big_num_deal_rate_dict[code]/100)
            #     if temp_rate >= 1:
            #         if temp_rate > 3:
            #             temp_rate = 3
            #         deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4) if is_up else round(
            #             (temp_rate * 5.25 - 3.75) / 100, 4)
                deal_rate = round(cls.__big_num_deal_rate_dict[code] / 100)

            base_rate += block_rate
            base_rate += deal_rate
@@ -919,17 +923,16 @@

    @classmethod
    def set_big_num_deal_info(cls, code, buy_money, sell_money):
        left_money_w = (buy_money-sell_money)//10000
        left_money_w = (buy_money - sell_money) // 10000
        if left_money_w > 0:
            rate = ((left_money_w+300)//900)*2
            rate = ((left_money_w + 300) // 900) * 2
        else:
            rate = ((left_money_w + 599) // 900) * 2
        if rate <-10:
        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):
@@ -2046,7 +2049,7 @@
            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:
        if 1 > 0:
            return False, None, "G撤被注释掉"

        if code not in self.__real_place_order_index_dict:
@@ -2548,12 +2551,6 @@
            if start_index <= i <= end_index:
                # 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 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)
                            break
                    # 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