L2与交易之间的通信采用队列方式/实现L撤单比例动态计算

Administrator

2023-09-27 f5b416d9cb5214ff0e46ca6305098085d2fe8742

 l2/l2_data_manager_new.py

@@ -213,7 +213,7 @@
    __last_buy_single_dict = {}
    __TradeBuyQueue = transaction_progress.TradeBuyQueue()
    __latest_process_order_unique_keys = {}
    __latest_process_not_order_unique_keys = {}
    __latest_process_not_order_unique_keys_count = {}
    # 初始化
    __TradePointManager = l2_data_manager.TradePointManager()
    __SecondCancelBigNumComputer = SecondCancelBigNumComputer()
@@ -762,7 +762,8 @@
                return False, True, f"尚未获取到当前成交价"
            if float(limit_up_price) - float(trade_price) > 0.00001:
                # 计算信号起始位置到当前的手数
                buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(code)
                buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
                    code)
                num_operate_map = local_today_num_operate_map.get(code)
                total_num = 0
                for i in range(buy_single_index, total_data[-1]["index"] + 1):
@@ -776,9 +777,9 @@
                                                                                                          num_operate_map)
                    total_num += left_count * val["num"]
                m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
                thresh_hold_num = m_base_val//(float(gpcode_manager.get_limit_up_price(code))*100)
                thresh_hold_num = m_base_val // (float(gpcode_manager.get_limit_up_price(code)) * 100)
                if total_num < thresh_hold_num * 2:
                    return False, False, f"当前成交价（{trade_price}）尚未在0档及以内 且 纯买额({total_num})小于2倍M值({thresh_hold_num*2})"
                    return False, False, f"当前成交价（{trade_price}）尚未在0档及以内 且 纯买额({total_num})小于2倍M值({thresh_hold_num * 2})"
            # 判断成交进度是否距离我们的位置很近
            trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
            if False and not is_default and trade_index:
@@ -946,12 +947,14 @@
        if compute_end_index < compute_start_index:
            return

        unique_key = f"{compute_start_index}-{compute_end_index}"
        if cls.__latest_process_not_order_unique_keys.get(code) == unique_key:
        unique_key = f"{code}-{compute_start_index}-{compute_end_index}"
        if cls.__latest_process_not_order_unique_keys_count.get(unique_key) and cls.__latest_process_not_order_unique_keys_count.get(unique_key) > 2:
            async_log_util.error(logger_l2_error,
                                 f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}")
            return
        cls.__latest_process_not_order_unique_keys[code] = unique_key
        if unique_key not in cls.__latest_process_not_order_unique_keys_count:
            cls.__latest_process_not_order_unique_keys_count[unique_key] = 0
        cls.__latest_process_not_order_unique_keys_count[unique_key] += 1

        _start_time = tool.get_now_timestamp()
        total_datas = local_today_datas[code]
@@ -972,7 +975,8 @@
            if cls.__last_buy_single_dict.get(code) == _index:
                has_single = None
                _index = None

            if _index == 106:
                print("进入调试")
            buy_single_index = _index
            if has_single:
                cls.__last_buy_single_dict[code] = buy_single_index
@@ -1069,6 +1073,7 @@
    # compute_data_count 用于计算的l2数据数量
    @classmethod
    def __compute_order_begin_pos(cls, code, start_index, continue_count, end_index):

        second_930 = 9 * 3600 + 30 * 60 + 0
        # 倒数100条数据查询
        datas = local_today_datas[code]
@@ -1093,7 +1098,9 @@
                    continue

            if L2DataUtil.is_limit_up_price_buy(_val):

                # 寻找前面continue_count-1个涨停买
                # for j in range(start_index - 1, -1, -1):
                #     if  datas[j]["val"]
                if last_index is None or (datas[last_index]["val"]["time"] == datas[i]["val"]["time"]):
                    if start is None:
                        start = i