测试影子订单

Administrator

2023-10-13 77aca8775ba39db7dcfeb806de7f0d6337fed8fb

 l2/cancel_buy_strategy.py

@@ -515,6 +515,10 @@
        # 守护30s以外的数据
        if time_space <= constant.H_CANCEL_START_TIME:
            return False, None

        if int(tool.get_now_time_str().replace(":", "")) > int("145000"):
            return False, None

        l2_log.cancel_debug(code, "H级是否需要撤单，数据范围：{}-{} ", start_index, end_index)
        # 监听的数据
        watch_index_set = self.__get_watch_index_set_cache(code)
@@ -837,11 +841,33 @@
    def compute_watch_index(self, code, start_index, end_index):
        total_datas = local_today_datas.get(code)
        if total_datas:
            # 计算的上截至位距离下截至位纯买额要小于2.5倍m值
            thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
            thresh_hold_money = int(thresh_hold_money * 2.5)
            threshold_num = thresh_hold_money // (float(gpcode_manager.get_limit_up_price(code)) * 100)
            # 统计净涨停买的数量
            total_num = 0
            re_start_index = start_index
            for j in range(end_index, start_index, -1):
                data = total_datas[j]
                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_v2(code,
                                                                                                         j,
                                                                                                         total_datas,
                                                                                                         local_today_canceled_buyno_map.get(
                                                                                                             code))
                if left_count > 0:
                    total_num += val['num']
                    if total_num >= threshold_num:
                        re_start_index = j - 1

            MIN_MONEYS = [300, 200, 100, 50]
            watch_indexes = set()
            MAX_COUNT = 5
            for min_money in MIN_MONEYS:
                for i in range(end_index, start_index, -1):
                for i in range(end_index, re_start_index, -1):
                    # if i > len(total_datas):
                    #     continue
                    try:
@@ -868,7 +894,7 @@
                    break
            if watch_indexes:
                self.__set_watch_indexes(code, watch_indexes)
                l2_log.l_cancel_debug(code, f"设置监听范围， 数据范围：{start_index}-{end_index} 监听范围-{watch_indexes}")
                l2_log.l_cancel_debug(code, f"设置监听范围， 数据范围：{re_start_index}-{end_index} 监听范围-{watch_indexes}")

    # 设置真实下单位置
    def set_real_place_order_index(self, code, index, buy_single_index=None):