L撤参数修改

Administrator

2023-08-23 a587a61c11a43182a13f1c04e276839299629e4e

 l2/cancel_buy_strategy.py

@@ -503,7 +503,6 @@

        processed_index, cancel_num = self.__get_compute_data_cache(code)


        # 获取下单次数
        cancel_rate_threshold = self.__hCancelParamsManager.get_cancel_rate(volume_index)
        process_index = start_index
@@ -532,10 +531,10 @@
                val = data["val"]
                if L2DataUtil.is_limit_up_price_buy_cancel(val):
                    # 查询买入位置
                    l2_log.cancel_debug(code,"查询买入位置开始：{}",i)
                    l2_log.cancel_debug(code, "查询买入位置开始：{}", i)
                    buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, data,
                                                                                                     local_today_num_operate_map)
                    l2_log.cancel_debug(code, "查询买入位置结束:{}",i)
                    l2_log.cancel_debug(code, "查询买入位置结束:{}", i)
                    if buy_index is not None and buy_index in watch_indexs_dict:
                        has_watch_canceled = True
                        cancel_num += data["re"] * val["num"]
@@ -964,13 +963,23 @@
            return

        watch_indexes = set()
        # 小金额
        watch_indexes_small_money = set()
        for i in range(index + 1, total_data[-1]["index"] + 1):
            data = total_data[i]
            val = data['val']
            if not L2DataUtil.is_limit_up_price_buy(val):
                continue
            if val["num"] * float(val["price"]) <= constant.L_CANCEL_MIN_MONEY * 100:
            money = val["num"] * float(val["price"])
            if money <= constant.L_CANCEL_MIN_MONEY * 100:
                continue
            is_small_money = money < constant.L_CANCEL_BIG_MONEY * 100

            if len(
                    watch_indexes_small_money) >= constant.L_CANCEL_MIN_MONEY_COUNT and is_small_money:
                # 小金额的个数已满
                continue

            cancel_datas = local_today_num_operate_map.get(
                "{}-{}-{}".format(val["num"], "1", val["price"]))
            canceled = False
@@ -983,6 +992,10 @@
                        break
            if not canceled:
                watch_indexes.add(i)
                if is_small_money:
                    # 添加小金额
                    watch_indexes_small_money.add(i)

                if len(watch_indexes) >= constant.L_CANCEL_MAX_WATCH_COUNT:
                    break
        logger_l2_l_cancel.info(f"{code}:设置监听范围，成交进度-{index} 监听范围-{watch_indexes}")
@@ -1006,7 +1019,7 @@
        # 计算监听的总条数
        total_num = 0
        for wi in watch_indexes:
            total_num += total_data[wi]["re"]*int(total_data[wi]["val"]["num"])
            total_num += total_data[wi]["re"] * int(total_data[wi]["val"]["num"])
        # 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):