| | |
|---|
| | | FCancelBigNumComputer().set_real_order_index(code, index, is_default) |
|---|
| | | JCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
|---|
| | | NBCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
|---|
| | | RDCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
|---|
| | | |
|---|
| | | |
|---|
| | | class BaseCancel: |
|---|
| | |
|---|
| | | max_info = (i, val["num"]) |
|---|
| | | return total_datas[max_info[0]] |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def is_canceled(cls, code, index, total_datas, canceled_buyno_map, trade_index, deal_order_nos): |
|---|
| | | """ |
|---|
| | | 是否已经撤单 |
|---|
| | | @param deal_order_nos: 成交大单集合 |
|---|
| | | @param trade_index: 成交进度位 |
|---|
| | | @param index: 索引 |
|---|
| | | @param code: 代码 |
|---|
| | | @param total_datas: |
|---|
| | | @param canceled_buyno_map:撤单的订单号 |
|---|
| | | @return: |
|---|
| | | """ |
|---|
| | | cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, index, |
|---|
| | | total_datas, |
|---|
| | | canceled_buyno_map) |
|---|
| | | if cancel_data: |
|---|
| | | # 已经撤单 |
|---|
| | | return True |
|---|
| | | else: |
|---|
| | | if trade_index and trade_index > index: |
|---|
| | | # 成交进度大于索引位置，且还没成交 |
|---|
| | | if total_datas[index]["val"]["orderNo"] not in deal_order_nos: |
|---|
| | | return True |
|---|
| | | return False |
|---|
| | | |
|---|
| | | |
|---|
| | | # ---------------------------------D撤------------------------------- |
|---|
| | | # 计算 成交位->真实下单位置 总共还剩下多少手没有撤单 |
|---|
| | |
|---|
| | | self.__follow_big_order_cache.pop(code) |
|---|
| | | |
|---|
| | | def place_order_success(self, code, buy_single_index, buy_exec_index): |
|---|
| | | self.__clear_data(code) |
|---|
| | | |
|---|
| | | |
|---|
| | | # ---------------------------------RD撤------------------------------- |
|---|
| | | # 扫入下单大单撤 |
|---|
| | | class RDCancelBigNumComputer: |
|---|
| | | __db = 0 |
|---|
| | | __redis_manager = redis_manager.RedisManager(0) |
|---|
| | | |
|---|
| | | __instance = None |
|---|
| | | |
|---|
| | | # 下单位之后的封单中的大单 |
|---|
| | | __watch_indexes_cache = {} |
|---|
| | | |
|---|
| | | def __new__(cls, *args, **kwargs): |
|---|
| | | if not cls.__instance: |
|---|
| | | cls.__instance = super(RDCancelBigNumComputer, cls).__new__(cls, *args, **kwargs) |
|---|
| | | cls.__load_datas() |
|---|
| | | return cls.__instance |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def __get_redis(cls): |
|---|
| | | return cls.__redis_manager.getRedis() |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def __load_datas(cls): |
|---|
| | | keys = RedisUtils.keys(cls.__get_redis(), "radical_big_order_watch-*") |
|---|
| | | for k in keys: |
|---|
| | | code = k.split("-")[1] |
|---|
| | | val = RedisUtils.get(cls.__get_redis(), k) |
|---|
| | | val = json.loads(val) |
|---|
| | | cls.__watch_indexes_cache[code] = set(val) |
|---|
| | | |
|---|
| | | def set_watch_indexes(self, code, indexes): |
|---|
| | | l2_log.d_cancel_debug(code, f"扫入大单监听:{indexes}") |
|---|
| | | self.__watch_indexes_cache[code] = set(indexes) |
|---|
| | | RedisUtils.setex_async(self.__db, f"radical_big_order_watch-{code}", tool.get_expire(), |
|---|
| | | json.dumps(list(indexes))) |
|---|
| | | |
|---|
| | | def set_real_place_order_index(self, code, index, buy_single_index, is_default): |
|---|
| | | if is_default: |
|---|
| | | return |
|---|
| | | if code in self.__watch_indexes_cache and len(self.__watch_indexes_cache[code]) > 1: |
|---|
| | | # 囊括的单大于1个 |
|---|
| | | return |
|---|
| | | # 从买入信号位开始囊括 |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | min_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) |
|---|
| | | min_num = int(round(min_money / limit_up_price / 100)) |
|---|
| | | total_datas = local_today_datas.get(code) |
|---|
| | | watch_indexes = set() |
|---|
| | | for i in range(buy_single_index, index): |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | if not L2DataUtil.is_limit_up_price_buy(val): |
|---|
| | | continue |
|---|
| | | if val["num"] < min_num: |
|---|
| | | continue |
|---|
| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, |
|---|
| | | i, |
|---|
| | | total_datas, |
|---|
| | | local_today_canceled_buyno_map.get( |
|---|
| | | code)) |
|---|
| | | if left_count > 0: |
|---|
| | | watch_indexes.add(i) |
|---|
| | | if watch_indexes: |
|---|
| | | l2_log.d_cancel_debug(code, f"更新扫入大单监听:{watch_indexes}") |
|---|
| | | self.__watch_indexes_cache[code] = watch_indexes |
|---|
| | | |
|---|
| | | def need_cancel(self, code, start_index, end_index): |
|---|
| | | """ |
|---|
| | | 是否需要撤单 |
|---|
| | | @param code: |
|---|
| | | @param start_index: |
|---|
| | | @param end_index: |
|---|
| | | @return: 是否需要撤单,撤单索引, 消息 |
|---|
| | | """ |
|---|
| | | buyno_map = local_today_buyno_map.get(code) |
|---|
| | | watch_indexes = self.__watch_indexes_cache.get(code) |
|---|
| | | if not watch_indexes: |
|---|
| | | return False, None, "无大单监听" |
|---|
| | | total_datas = local_today_datas.get(code) |
|---|
| | | need_compute = False |
|---|
| | | for i in range(start_index, end_index + 1): |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | if not L2DataUtil.is_limit_up_price_buy_cancel(val): |
|---|
| | | continue |
|---|
| | | if val["num"] * float(val["price"]) < 5000: |
|---|
| | | continue |
|---|
| | | buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data, buyno_map) |
|---|
| | | if buy_index is None: |
|---|
| | | continue |
|---|
| | | if buy_index in watch_indexes: |
|---|
| | | need_compute = True |
|---|
| | | break |
|---|
| | | cancel_indexes = set() |
|---|
| | | canceled_buyno_map = local_today_canceled_buyno_map.get(code) |
|---|
| | | if need_compute or True: |
|---|
| | | cancel_count = 0 |
|---|
| | | cancel_data = None |
|---|
| | | # 成交买单号 |
|---|
| | | deal_order_nos = HuaXinBuyOrderManager().get_deal_buy_order_nos(code) |
|---|
| | | if deal_order_nos is None: |
|---|
| | | deal_order_nos = set() |
|---|
| | | trade_index, is_default = TradeBuyQueue().get_traded_index(code) |
|---|
| | | if is_default: |
|---|
| | | trade_index = None |
|---|
| | | for index in watch_indexes: |
|---|
| | | if L2DataComputeUtil.is_canceled(code, index, total_datas, canceled_buyno_map, trade_index, |
|---|
| | | deal_order_nos): |
|---|
| | | # 买单已撤单 |
|---|
| | | cancel_count += 1 |
|---|
| | | cancel_indexes.add(index) |
|---|
| | | rate = round(cancel_count / len(watch_indexes), 2) |
|---|
| | | if rate >= 0.8: |
|---|
| | | return True, cancel_data, f"撤单比例-{rate}，大单撤单({cancel_indexes})" |
|---|
| | | return False, None, "无大单撤单" |
|---|
| | | |
|---|
| | | def __clear_data(self, code): |
|---|
| | | if code in self.__watch_indexes_cache: |
|---|
| | | self.__watch_indexes_cache.pop(code) |
|---|
| | | RedisUtils.delete_async(self.__db, f"radical_big_order_watch-{code}") |
|---|
| | | |
|---|
| | | def clear_data(self, code): |
|---|
| | | self.__clear_data(code) |
|---|
| | | |
|---|
| | | |
|---|
| | |
|---|
| | | @param place_order_time_str:下单时间 |
|---|
| | | @return:（金额（单位:W）,笔数） |
|---|
| | | """ |
|---|
| | | max60, yesterday = code_volumn_manager.get_histry_volumn(code) |
|---|
| | | max60, yesterday = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code) |
|---|
| | | if max60: |
|---|
| | | money_y = code_volumn_manager.get_reference_volume_as_money_y(code) |
|---|
| | | money_y = code_volumn_manager.CodeVolumeManager().get_reference_volume_as_money_y(code) |
|---|
| | | money = int(200 * money_y + 280) |
|---|
| | | if tool.trade_time_sub(place_order_time_str, "10:00:00") <= 0: |
|---|
| | | # 10点前下单打7折 |
|---|
| | |
|---|
| | | try: |
|---|
| | | if code in self.__max_buy_order_num_cache: |
|---|
| | | max_num = self.__max_buy_order_num_cache[code] |
|---|
| | | if max_num and tool.is_ge_code(code): |
|---|
| | | max_num = max_num * 6.6 |
|---|
| | | details = HuaXinSellOrderStatisticManager.get_latest_3s_continue_deal_volumes(code) |
|---|
| | | threshold_num = int(max_num * 0.5 * 100) |
|---|
| | | count = 0 |
|---|
| | |
|---|
| | | if dealing_info and str(dealing_info[0]) == str(val["orderNo"]): |
|---|
| | | total_left_num -= dealing_info[1] // 100 |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
|---|
| | | if total_left_count <= 1 or (total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float( |
|---|
| | | limit_up_price) < THRESHOLD_MONEY_W * 100): |
|---|
| | | return True, f"剩余笔数({total_left_count})/金额({round(total_left_num * float(limit_up_price) * 100)})不足，成交进度：{trade_index},真实下单位置：{real_order_index} 阈值：({THRESHOLD_MONEY_W},{THRESHOLD_COUNT}) " |
|---|
| | | total_left_money = total_left_num * float(limit_up_price) * 100 |
|---|
| | | if total_left_money < 1e8: |
|---|
| | | if total_left_count <= 1 or ( |
|---|
| | | total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float( |
|---|
| | | limit_up_price) < THRESHOLD_MONEY_W * 100): |
|---|
| | | return True, f"剩余笔数({total_left_count})/金额({round(total_left_num * float(limit_up_price) * 100)})不足，成交进度：{trade_index},真实下单位置：{real_order_index} 阈值：({THRESHOLD_MONEY_W},{THRESHOLD_COUNT}) " |
|---|
| | | return False, f"不满足撤单条件: 成交进度-{trade_index} 真实下单位置-{real_order_index} total_left_count-{total_left_count} total_left_num-{total_left_num}" |
|---|
| | | |
|---|
| | | # 距离太近，封单不足 |
|---|
| | | def need_cancel_for_p(self, code, order_begin_pos): |
|---|
| | | |
|---|
| | | if True: |
|---|
| | | return False, "" |
|---|
| | | |
|---|
| | | if gpcode_manager.MustBuyCodesManager().is_in_cache(code): |
|---|
| | | return False, "已加红" |
|---|
| | | |
|---|
| | |
|---|
| | | # if buy1_money: |
|---|
| | | # if total_num_ * limit_up_price * 100 > buy1_money * 0.65: |
|---|
| | | # return True, f"P撤：成交位置距离下单位置太远 成交位-{trade_index} 下单位-{real_order_index} 买1-{buy1_money}" |
|---|
| | | min_time_s, max_time_s = 2, 30 |
|---|
| | | if total_num * limit_up_price >= 299 * 100: |
|---|
| | | min_time_s, max_time_s = 30, 60 |
|---|
| | | min_time_s, max_time_s = 2, 60 |
|---|
| | | # if total_num * limit_up_price >= 299 * 100: |
|---|
| | | # min_time_s, max_time_s = 30, 60 |
|---|
| | | |
|---|
| | | if sub_time <= min_time_s: |
|---|
| | | return False, f"下单在{min_time_s}s内" |
|---|
| | |
|---|
| | | # 计算我们后面的大单与涨停纯买额 |
|---|
| | | total_left_num = 0 |
|---|
| | | total_big_num_count = 0 |
|---|
| | | canceled_buyno_map = local_today_canceled_buyno_map.get(code) |
|---|
| | | for i in range(real_order_index + 1, len(total_datas)): |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | if not L2DataUtil.is_limit_up_price_buy(val): |
|---|
| | | continue |
|---|
| | | money = val["num"] * float(val["price"]) |
|---|
| | | if money < 5000: |
|---|
| | | money = val["num"] * float(val["price"]) * 100 |
|---|
| | | if money < 500000: |
|---|
| | | continue |
|---|
| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, |
|---|
| | | i, |
|---|
| | | total_datas, |
|---|
| | | local_today_canceled_buyno_map.get( |
|---|
| | | code)) |
|---|
| | | canceled_buyno_map) |
|---|
| | | if left_count > 0: |
|---|
| | | if money > 299 * 100: |
|---|
| | | if money >= min_money: |
|---|
| | | total_big_num_count += 1 |
|---|
| | | total_left_num += val["num"] |
|---|
| | | left_money = total_left_num * float(limit_up_price) |
|---|
| | | if left_money < 1000 * 100: |
|---|
| | | if left_money < 1000 * 100 or total_big_num_count < 2: |
|---|
| | | # 实际下单位后方所有涨停纯买额≤1000万 |
|---|
| | | return True, f"P撤：封单纯买额-{round(left_money / 100, 1)}万 大单数量-{total_big_num_count} 下单位-{real_order_index}" |
|---|
| | | return True, f"P撤：封单纯买额-{round(left_money / 100, 1)}万 剩余大单数量-{total_big_num_count} 下单位-{real_order_index}" |
|---|
| | | return False, "不满足撤单条件" |
|---|
| | | |
|---|
| | | # w撤 |
|---|
| | |
|---|
| | | total_datas = local_today_datas.get(code) |
|---|
| | | if tool.trade_time_sub(total_datas[-1]['val']['time'], total_datas[real_order_index]['val']['time']) > 60: |
|---|
| | | return False, "超过守护时间" |
|---|
| | | limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2) |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | end_index = L2DataComputeUtil.compute_end_index(code, real_order_index + 1, total_datas[-1]["index"], |
|---|
| | | limit_up_price, 10) |
|---|
| | | # 从成交进度位到截至位置计算大单 |
|---|
| | |
|---|
| | | left_count, left_money = L2DataComputeUtil.compute_left_buy_order(code, trade_index, end_index, limit_up_price, |
|---|
| | | min_money=min_money) |
|---|
| | | if left_count < 1: |
|---|
| | | return True, f"范围：{real_order_index}-{end_index} 大单数量：{left_count}" |
|---|
| | | return True, f"范围：{trade_index}-{end_index} 大单数量：{left_count}" |
|---|
| | | return False, "大单数量够" |
|---|
| | | |
|---|
| | | |
|---|
| | |
|---|
| | | if not outoftime: |
|---|
| | | # 上次计算还未超时 |
|---|
| | | return |
|---|
| | | limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2) |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | |
|---|
| | | if cancel_single_info and outoftime: |
|---|
| | | # 更新需要计算信号 |
|---|
| | |
|---|
| | | return False, None, "超过生效时间" |
|---|
| | | |
|---|
| | | buyno_map = local_today_buyno_map.get(code) |
|---|
| | | limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2) |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | min_volume = 50 * 10000 // int(limit_up_price * 100) |
|---|
| | | # 计算纯买额 |
|---|
| | | for i in range(start_index, end_index + 1): |
|---|
| | |
|---|
| | | self.__real_place_order_index_info_dict[code] = (index, is_default) |
|---|
| | | |
|---|
| | | def need_cancel(self, code, trade_index): |
|---|
| | | if gpcode_manager.MustBuyCodesManager().is_in_cache(code): |
|---|
| | | return False, "已加红" |
|---|
| | | # [时间, 真实下单位置, 信号总手数, 目前手数, 最新计算的索引] |
|---|
| | | real_place_order_index_info = self.__real_place_order_index_info_dict.get(code) |
|---|
| | | if not real_place_order_index_info or real_place_order_index_info[1]: |
|---|
| | | return False, "没有找到真实下单位" |
|---|
| | | real_place_order_index = real_place_order_index_info[0] |
|---|
| | | |
|---|
| | | limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2) |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | if limit_up_price < 3: |
|---|
| | | return False, "股价小于3块" |
|---|
| | | |
|---|
