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| | | import l2_data_util |
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| | | from db import redis_manager_delegate as redis_manager |
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| | | from db.redis_manager_delegate import RedisUtils |
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| | | from l2.l2_data_manager import OrderBeginPosInfo |
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| | | from utils import tool |
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| | | from l2.transaction_progress import TradeBuyQueue |
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| | | from trade import trade_queue_manager, l2_trade_factor, trade_record_log_util |
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| | | self.clear(code) |
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| | | |
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| | | # F撤 |
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| | | class FastCancelBigNumComputer: |
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| | | __db = 0 |
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| | | __redis_manager = redis_manager.RedisManager(0) |
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| | | __cancel_real_order_index_cache = {} |
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| | | __watch_indexes_cache = {} |
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| | | __last_trade_progress_dict = {} |
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| | | |
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| | | __instance = None |
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| | | |
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| | | def __new__(cls, *args, **kwargs): |
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| | | if not cls.__instance: |
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| | | cls.__instance = super(FastCancelBigNumComputer, cls).__new__(cls, *args, **kwargs) |
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| | | cls.__load_datas() |
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| | | return cls.__instance |
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| | | |
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| | | @classmethod |
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| | | def __load_datas(cls): |
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| | | __redis = cls.__get_redis() |
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| | | try: |
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| | | keys = RedisUtils.keys(__redis, "f_cancel_real_order_index-*") |
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| | | for k in keys: |
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| | | code = k.split("-")[-1] |
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| | | val = RedisUtils.get(__redis, k) |
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| | | CodeDataCacheUtil.set_cache(cls.__cancel_real_order_index_cache, code, int(val)) |
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| | | keys = RedisUtils.keys(__redis, "f_cancel_watch_index-*") |
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| | | for k in keys: |
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| | | code = k.split("-")[-1] |
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| | | val = RedisUtils.get(__redis, k) |
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| | | val = set(json.loads(val)) |
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| | | CodeDataCacheUtil.set_cache(cls.__watch_indexes_cache, code, val) |
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| | | finally: |
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| | | RedisUtils.realse(__redis) |
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| | | |
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| | | @classmethod |
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| | | def __get_redis(cls): |
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| | | return cls.__redis_manager.getRedis() |
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| | | |
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| | | def __set_real_order_index(self, code, index): |
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| | | CodeDataCacheUtil.set_cache(self.__cancel_real_order_index_cache, code, index) |
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| | | RedisUtils.setex_async(self.__db, f"f_cancel_real_order_index-{code}", tool.get_expire(), f"{index}") |
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| | | |
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| | | def __del_real_order_index(self, code): |
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| | | CodeDataCacheUtil.clear_cache(self.__cancel_real_order_index_cache, code) |
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| | | RedisUtils.delete_async(self.__db, f"f_cancel_real_order_index-{code}") |
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| | | |
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| | | def __get_real_order_index(self, code): |
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| | | val = RedisUtils.get(self.__db, f"f_cancel_real_order_index-{code}") |
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| | | if val: |
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| | | return int(val) |
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| | | return None |
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| | | |
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| | | def __get_real_order_index_cache(self, code): |
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| | | cache_result = CodeDataCacheUtil.get_cache(self.__cancel_real_order_index_cache, code) |
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| | | if cache_result[0]: |
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| | | return cache_result[1] |
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| | | return None |
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| | | |
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| | | def __set_watch_indexes(self, code, indexes): |
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| | | CodeDataCacheUtil.set_cache(self.__watch_indexes_cache, code, indexes) |
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| | | RedisUtils.setex_async(self.__db, f"f_cancel_watch_index-{code}", tool.get_expire(), f"{json.dumps(list(indexes))}") |
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| | | |
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| | | def __get_watch_indexes(self, code): |
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| | | watch_indexes = self.__watch_indexes_cache.get(code) |
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| | | if watch_indexes: |
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| | | return watch_indexes |
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| | | return set() |
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| | | |
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| | | def __compute_watch_indexes(self, code, begin_pos_info: OrderBeginPosInfo, total_datas): |
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| | | MAX_COUNT = constant.F_CANCEL_WATCH_COUNT |
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| | | watch_indexes = self.__get_watch_indexes(code) |
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| | | if watch_indexes and len(watch_indexes) >= MAX_COUNT: |
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| | | return |
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| | | # 计算开始计算位置 |
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| | | total_money = 0 |
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| | | c_start_index = begin_pos_info.buy_exec_index |
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| | | for i in range(begin_pos_info.buy_single_index, total_datas[-1]["index"] + 1): |
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| | | val = total_datas[i]["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | money = val["num"] * float(val["price"]) |
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| | | if money < 5000: |
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| | | continue |
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| | | total_money += int(money * 100) |
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| | | if total_money >= begin_pos_info.sell_info[1]: |
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| | | c_start_index = i |
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| | | break |
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| | | for i in range(c_start_index + 1, total_datas[-1]["index"] + 1): |
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| | | val = total_datas[i]["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | if val["num"] * float(val["price"]) < 5000: |
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| | | continue |
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| | | watch_indexes.add(i) |
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| | | if len(watch_indexes) >= MAX_COUNT: |
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| | | break |
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| | | # 保存数据 |
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| | | self.__set_watch_indexes(code, watch_indexes) |
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| | | |
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| | | def set_trade_progress(self, code, index): |
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| | | if self.__last_trade_progress_dict.get(code) == index: |
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| | | return |
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| | | self.__last_trade_progress_dict[code] = index |
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| | | |
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| | | def need_cancel(self, code, start_index, end_index, begin_pos_info: OrderBeginPosInfo): |
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| | | if begin_pos_info.mode != OrderBeginPosInfo.MODE_FAST: |
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| | | return False, None |
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| | | if code in self.__cancel_real_order_index_cache: |
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| | | # 获取到真实下单位置，不需要守护 |
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| | | return False, None |
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| | | # 计算买入执行位置后的3笔涨停买 |
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| | | total_datas = local_today_datas.get(code) |
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| | | self.__compute_watch_indexes(code, begin_pos_info, total_datas) |
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| | | watch_indexes = self.__get_watch_indexes(code) |
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| | | cancel_indexes = [] |
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| | | if watch_indexes: |
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| | | # 判断其中一个是否撤单 |
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| | | for i in watch_indexes: |
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| | | cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, |
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| | | i, |
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| | | total_datas, |
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| | | local_today_canceled_buyno_map.get( |
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| | | code)) |
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| | | if cancel_data and cancel_data["index"] <= end_index: |
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| | | cancel_indexes.append(cancel_data["index"]) |
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| | | if len(cancel_indexes) / len(watch_indexes) >= constant.F_CANCEL_CACEL_RATE: |
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| | | cancel_indexes.sort() |
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| | | return True, total_datas[cancel_indexes[-1]] |
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| | | return False, None |
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| | | |
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| | | def clear(self, code=None): |
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| | | if code: |
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| | | self.__del_real_order_index(code) |
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| | | else: |
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| | | keys = RedisUtils.keys(self.__get_redis(), "f_cancel_real_order_index-*") |
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| | | if keys: |
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| | | for k in keys: |
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| | | code = k.split("-")[1] |
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| | | self.__del_real_order_index(code) |
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| | | |
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| | | # 设置真实的下单位置,返回是否需要撤单 |
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| | | def set_real_order_index(self, code, index): |
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| | | self.__set_real_order_index(code, index) |
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| | | l2_log.f_cancel_debug(code, f"下单位置设置：{index}") |
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| | | trade_index = self.__last_trade_progress_dict.get(code) |
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| | | if trade_index: |
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| | | total_datas = local_today_datas.get(code) |
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| | | # 真实下单位置 |
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| | | total_count = 0 |
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| | | for i in range(trade_index+1,index): |
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| | | data = total_datas[i] |
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| | | val = data["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | if val["num"] * float(val["price"]) < 5000: |
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| | | continue |
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| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i, |
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| | | total_datas, |
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| | | local_today_canceled_buyno_map.get( |
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| | | code)) |
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| | | if left_count>0: |
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| | | total_count += left_count |
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| | | if total_count >= 2: |
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| | | return False |
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| | | return True |
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| | | |
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| | | |
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| | | |
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| | | |
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| | | def place_order_success(self, code): |
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| | | self.clear(code) |
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| | | |
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| | | def cancel_success(self, code): |
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| | | self.clear(code) |
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| | | |
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| | | |
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| | | # ---------------------------------G撤------------------------------- |
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| | | class GCancelBigNumComputer: |
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| | | __SecondCancelBigNumComputer = SecondCancelBigNumComputer() |
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