L撤/D撤接入

Administrator

2023-07-18 86192a7fd4bd7bde5745e82495c717967b8493a2

 l2/l2_data_manager_new.py

@@ -15,7 +15,7 @@
from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager, \
    transaction_progress
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, L2LimitUpMoneyStatisticUtil, \
    L2LimitUpSellStatisticUtil, DCancelBigNumComputer
    L2LimitUpSellStatisticUtil, DCancelBigNumComputer, LCancelBigNumComputer
from l2.l2_data_manager import L2DataException, TradePointManager
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
    local_latest_datas
@@ -417,6 +417,24 @@
                l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算")
            return None, ""

        # L撤
        @dask.delayed
        def l_cancel():
            _start_time = round(t.time() * 1000)
            try:
                b_need_cancel, b_cancel_data = LCancelBigNumComputer.need_cancel(code,
                                                                                 buy_exec_index, start_index,
                                                                                 end_index, total_data,
                                                                                 local_today_num_operate_map.get(
                                                                                     code), is_first_code)
                if b_need_cancel and b_cancel_data:
                    return b_cancel_data, "L撤销比例触发阈值"
            except Exception as e:
                logging.exception(e)
            finally:
                l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")
            return None, ""

        # 板上卖撤
        @dask.delayed
        def sell_cancel():
@@ -464,9 +482,10 @@
        f4 = h_cancel()
        f5 = buy_1_cancel()
        f6 = sell_cancel()
        dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6)
        f7 = l_cancel()
        dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6, f7)
        if is_first_code:
            dask_result = is_need_cancel(f3, f4)
            dask_result = is_need_cancel(f3, f4, f7)

        cancel_data, cancel_msg = dask_result.compute()