| | |
|---|
| | | l2_log.l_cancel_debug(code, "将L2后后半段备用大单加入计算出错：{}", str(e)) |
|---|
| | | # 计算监听的总条数 |
|---|
| | | total_num = 0 |
|---|
| | | max_num = 0 |
|---|
| | | max_num, max_num_count = 0, 0 |
|---|
| | | thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code) |
|---|
| | | |
|---|
| | | for wi in watch_indexes: |
|---|
| | |
|---|
| | | total_num += total_data[wi]["val"]["num"] * total_data[wi]["re"] |
|---|
| | | if total_data[wi]["val"]["num"] > max_num: |
|---|
| | | max_num = total_data[wi]["val"]["num"] |
|---|
| | | max_num_count = 1 |
|---|
| | | elif total_data[wi]["val"]["num"] == max_num: |
|---|
| | | max_num_count += 1 |
|---|
| | | # 判断撤单中是否有监听中的索引 |
|---|
| | | need_compute = False |
|---|
| | | for i in range(start_index, end_index + 1): |
|---|
| | |
|---|
| | | |
|---|
| | | # 除开最大单的影响权重 |
|---|
| | | if not must_buy: |
|---|
| | | temp_thresh_hold_rate = round((total_num - max_num) * 0.9 / total_num, 2) |
|---|
| | | temp_thresh_hold_rate = round((total_num - max_num * max_num_count) * 0.9 / total_num, 2) |
|---|
| | | if thresh_hold_rate > temp_thresh_hold_rate: |
|---|
| | | # 目标撤单比例大于大单撤单比例就取比例均值 |
|---|
| | | thresh_hold_rate = round((thresh_hold_rate + temp_thresh_hold_rate) / 2, 2) |
|---|
| | | |
|---|
| | | l2_log.l_cancel_debug(code, |
|---|
| | | f"L后计算范围：{start_index}-{end_index},已撤单比例：{rate}/{thresh_hold_rate}, 下单位之后的索引：{after_place_order_index_dict}") |
|---|
| | | f"L后计算范围：{start_index}-{end_index},已撤单比例：{rate}/{thresh_hold_rate}, 下单位之后的索引：{after_place_order_index_dict}, 最大单-({max_num}，{max_num_count})") |
|---|
| | | if rate >= thresh_hold_rate: |
|---|
| | | canceled_indexes.sort() |
|---|
| | | l2_log.l_cancel_debug(code, f"L后撤单,撤单位置：{canceled_indexes[-1]}") |
|---|
