| | |
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| | | |
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| | | # 获取撤单比例,返回（撤单比例,是否必买） |
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| | | @classmethod |
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| | | def get_cancel_rate(cls, code, buy_exec_time, is_up=False, is_l_down_recomputed=False, buy_mode=None): |
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| | | def get_cancel_rate(cls, code, is_up=False, is_l_down_recomputed=False, buy_mode=None): |
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| | | try: |
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| | | must_buy = cls.__MustBuyCodesManager.is_in_cache(code) |
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| | | if buy_mode == OrderBeginPosInfo.MODE_RADICAL: |
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| | |
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| | | # 计算监听的总条数 |
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| | | total_num = 0 |
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| | | max_num = 0 |
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| | | thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code, |
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| | | total_data[buy_exec_index]["val"]["time"]) |
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| | | thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code) |
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| | | |
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| | | for wi in watch_indexes: |
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| | | if str(wi) in after_place_order_index_dict: |
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| | |
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| | | else: |
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| | | canceled_count_weight += WATCH_INDEX_WEIGHTS[-1] |
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| | | rate = round(canceled_count_weight / total_count_weight, 3) |
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| | | thresh_cancel_rate, must_buy = LCancelRateManager.get_cancel_rate(code, |
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| | | total_data[buy_exec_index]["val"]["time"], |
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| | | is_up=True) |
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| | | thresh_cancel_rate, must_buy = LCancelRateManager.get_cancel_rate(code, is_up=True) |
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| | | l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},L前已撤单比例：{rate}/{thresh_cancel_rate}") |
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| | | if rate >= thresh_cancel_rate: |
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| | | # 计算成交进度位置到当前下单位置的纯买额 |
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| | |
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| | | total_nums += val["num"] |
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| | | if left_count > 0 and index < trade_index: |
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| | | total_deal_nums += val["num"] |
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| | | thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code, |
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| | | total_datas[buy_exec_index]["val"]["time"]) |
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| | | thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code) |
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| | | if total_deal_nums / total_nums > 1 - thresh_hold_rate - 0.05: |
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| | | return False |
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| | | return True |
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