禁止扫入下单

Administrator

2025-07-07 b381f779ae142d4c63c89ed38942d5920e71b87e

 cancel_strategy/s_l_h_cancel_strategy.py

@@ -568,6 +568,14 @@
    # 获取撤单比例,返回（撤单比例,是否必买）
    @classmethod
    def get_cancel_rate(cls, code, is_up=False, is_l_down_recomputed=False, buy_mode=None):
        """

        @param code:
        @param is_up:
        @param is_l_down_recomputed:
        @param buy_mode:
        @return: 撤单比例, 是否加红, (原值,人为设置的值)
        """
        try:
            must_buy = cls.__MustBuyCodesManager.is_in_cache(code)
            if buy_mode == OrderBeginPosInfo.MODE_RADICAL:
@@ -579,13 +587,13 @@
                    human_rate = 0
                if must_buy:
                    # 扫入加红
                    return max(constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate), True
                    return max(constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate), True, (constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate)
                else:
                    # 根据成交额的大单成交占比来计算撤单比例
                    big_money_rate = radical_buy_data_manager.TotalDealBigOrderInfoManager.get_big_order_rate(code)
                    if big_money_rate is not None:
                        threshold_rate = min(big_money_rate * 3, 0.8)
                        return max(threshold_rate, human_rate), False
                        return max(threshold_rate, human_rate), False, (threshold_rate, human_rate)
                    else:
                        deal_big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code,
                                                                                                     gpcode_manager.get_limit_up_price_as_num(
@@ -594,12 +602,12 @@
                        threshold_rate = 0.5 * deal_rate + 0.35
                        threshold_rate = max(threshold_rate, 0.375)
                        threshold_rate = min(threshold_rate, 0.8)
                        return max(threshold_rate, human_rate), False
                        return max(threshold_rate, human_rate), False, (threshold_rate, human_rate)
            if must_buy:
                if is_up:
                    return constant.L_CANCEL_RATE_UP_WITH_MUST_BUY, True
                    return constant.L_CANCEL_RATE_UP_WITH_MUST_BUY, True, None
                else:
                    return constant.L_CANCEL_RATE_WITH_MUST_BUY, True
                    return constant.L_CANCEL_RATE_WITH_MUST_BUY, True, None
        except Exception as e:
            async_log_util.error(logger_l2_l_cancel, str(e))

@@ -629,7 +637,7 @@
            base_rate += deal_rate
        except Exception as e:
            l2_log.l_cancel_debug(code, f"计算撤单比例出错：{e}")
        return round(base_rate, 2), False
        return round(base_rate, 2), False, None

    # 获取L后成交太快的撤单比例
    @classmethod
@@ -1506,7 +1514,7 @@
        # 计算监听的总条数
        total_num = 0
        max_num, max_num_count = 0, 0
        thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code)
        thresh_hold_rate, must_buy, cancel_rate_info = LCancelRateManager.get_cancel_rate(code)

        for wi in watch_indexes:
            if str(wi) in after_place_order_index_dict:
@@ -1651,7 +1659,7 @@
                    else:
                        canceled_count_weight += WATCH_INDEX_WEIGHTS[-1]
            rate = round(canceled_count_weight / total_count_weight, 3)
            thresh_cancel_rate, must_buy = LCancelRateManager.get_cancel_rate(code, is_up=True)
            thresh_cancel_rate, must_buy, cancel_rate_info = LCancelRateManager.get_cancel_rate(code, is_up=True)
            l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},L前已撤单比例：{rate}/{thresh_cancel_rate}")
            if rate >= thresh_cancel_rate:
                # 计算成交进度位置到当前下单位置的纯买额
@@ -1804,7 +1812,7 @@
            total_nums += val["num"]
            if left_count > 0 and index < trade_index:
                total_deal_nums += val["num"]
        thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code)
        thresh_hold_rate, must_buy, cancel_rate_info = LCancelRateManager.get_cancel_rate(code)
        if total_deal_nums / total_nums > 1 - thresh_hold_rate - 0.05:
            return False
        return True