| | |
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| | | |
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| | | import constant |
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| | | from cancel_strategy import s_l_h_cancel_strategy |
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| | | from cancel_strategy.s_l_h_cancel_strategy import CancelRateHumanSettingManager |
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| | | from code_attribute import big_money_num_manager, gpcode_manager, code_volumn_manager |
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| | | import l2_data_util |
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| | | from db import redis_manager_delegate as redis_manager |
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| | |
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| | | from utils import tool |
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| | | from l2.transaction_progress import TradeBuyQueue |
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| | | from trade import trade_queue_manager, l2_trade_factor, trade_manager, trade_data_manager |
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| | | from l2 import l2_log, l2_data_source_util |
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| | | from l2 import l2_log, l2_data_source_util, code_price_manager |
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| | | from l2.l2_data_util import L2DataUtil, local_today_num_operate_map, local_today_datas, local_today_buyno_map, \ |
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| | | local_today_canceled_buyno_map |
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| | | from log_module.log import logger_buy_1_volumn, logger_l2_error |
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| | |
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| | | FCancelBigNumComputer().set_real_order_index(code, index, is_default) |
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| | | JCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
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| | | NBCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
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| | | RDCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default) |
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| | | |
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| | | |
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| | | class BaseCancel: |
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| | |
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| | | max_info = (i, val["num"]) |
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| | | return total_datas[max_info[0]] |
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| | | |
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| | | @classmethod |
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| | | def is_canceled(cls, code, index, total_datas, canceled_buyno_map, trade_index, deal_order_nos): |
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| | | """ |
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| | | 是否已经撤单 |
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| | | @param deal_order_nos: 成交大单集合 |
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| | | @param trade_index: 成交进度位 |
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| | | @param index: 索引 |
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| | | @param code: 代码 |
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| | | @param total_datas: |
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| | | @param canceled_buyno_map:撤单的订单号 |
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| | | @return: |
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| | | """ |
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| | | cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code, index, |
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| | | total_datas, |
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| | | canceled_buyno_map) |
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| | | if cancel_data: |
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| | | # 已经撤单 |
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| | | return True |
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| | | else: |
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| | | if trade_index and trade_index > index: |
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| | | # 成交进度大于索引位置，且还没成交 |
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| | | if total_datas[index]["val"]["orderNo"] not in deal_order_nos: |
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| | | return True |
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| | | return False |
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| | | |
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| | | |
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| | | # ---------------------------------D撤------------------------------- |
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| | | # 计算 成交位->真实下单位置 总共还剩下多少手没有撤单 |
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| | |
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| | | self.__clear_data(code) |
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| | | |
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| | | |
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| | | # ---------------------------------RD撤------------------------------- |
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| | | # 扫入下单大单撤 |
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| | | class RDCancelBigNumComputer: |
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| | | __db = 0 |
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| | | __redis_manager = redis_manager.RedisManager(0) |
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| | | |
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| | | __instance = None |
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| | | |
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| | | # 下单位之后的封单中的大单 |
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| | | __watch_indexes_cache = {} |
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| | | |
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| | | def __new__(cls, *args, **kwargs): |
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| | | if not cls.__instance: |
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| | | cls.__instance = super(RDCancelBigNumComputer, cls).__new__(cls, *args, **kwargs) |
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| | | cls.__load_datas() |
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| | | return cls.__instance |
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| | | |
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| | | @classmethod |
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| | | def __get_redis(cls): |
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| | | return cls.__redis_manager.getRedis() |
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| | | |
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| | | @classmethod |
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| | | def __load_datas(cls): |
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| | | keys = RedisUtils.keys(cls.__get_redis(), "radical_big_order_watch-*") |
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| | | for k in keys: |
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| | | code = k.split("-")[1] |
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| | | val = RedisUtils.get(cls.__get_redis(), k) |
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| | | val = json.loads(val) |
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| | | cls.__watch_indexes_cache[code] = set(val) |
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| | | |
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| | | def set_watch_indexes(self, code, indexes): |
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| | | l2_log.d_cancel_debug(code, f"扫入大单监听:{indexes}") |
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| | | self.__watch_indexes_cache[code] = set(indexes) |
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| | | RedisUtils.setex_async(self.__db, f"radical_big_order_watch-{code}", tool.get_expire(), |
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| | | json.dumps(list(indexes))) |
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| | | |
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| | | def set_real_place_order_index(self, code, index, buy_single_index, is_default): |
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| | | if is_default: |
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| | | return |
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| | | if code in self.__watch_indexes_cache and len(self.__watch_indexes_cache[code]) > 1: |
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| | | # 囊括的单大于1个 |
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| | | return |
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| | | # 从买入信号位开始囊括 |
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| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
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| | | min_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) |
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| | | min_num = int(round(min_money / limit_up_price / 100)) |
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| | | total_datas = local_today_datas.get(code) |
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| | | watch_indexes = set() |
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| | | for i in range(buy_single_index, index): |
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| | | data = total_datas[i] |
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| | | val = data["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | if val["num"] < min_num: |
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| | | continue |
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| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, |
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| | | i, |
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| | | total_datas, |
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| | | local_today_canceled_buyno_map.get( |
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| | | code)) |
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| | | if left_count > 0: |
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| | | watch_indexes.add(i) |
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| | | if watch_indexes: |
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| | | l2_log.d_cancel_debug(code, f"更新扫入大单监听:{watch_indexes}") |
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| | | self.__watch_indexes_cache[code] = watch_indexes |
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| | | |
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| | | def need_cancel(self, code, start_index, end_index): |
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| | | """ |
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| | | 是否需要撤单 |
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| | | @param code: |
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| | | @param start_index: |
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| | | @param end_index: |
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| | | @return: 是否需要撤单,撤单索引, 消息 |
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| | | """ |
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| | | watch_indexes = self.__watch_indexes_cache.get(code) |
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| | | if not watch_indexes: |
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| | | return False, None, "无大单监听" |
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| | | total_datas = local_today_datas.get(code) |
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| | | if tool.trade_time_sub(total_datas[start_index]["val"]["time"], |
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| | | total_datas[list(watch_indexes)[0]]["val"]["time"]) > 60: |
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| | | return False, None, "只有前60s生效" |
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| | | |
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| | | cancel_indexes = set() |
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| | | canceled_buyno_map = local_today_canceled_buyno_map.get(code) |
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| | | if True: |
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| | | cancel_count = 0 |
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| | | cancel_data = None |
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| | | # 成交买单号 |
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| | | deal_order_nos = HuaXinBuyOrderManager().get_deal_buy_order_nos(code) |
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| | | if deal_order_nos is None: |
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| | | deal_order_nos = set() |
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| | | trade_index, is_default = TradeBuyQueue().get_traded_index(code) |
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| | | if is_default: |
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| | | trade_index = None |
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| | | for index in watch_indexes: |
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| | | if L2DataComputeUtil.is_canceled(code, index, total_datas, canceled_buyno_map, trade_index, |
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| | | deal_order_nos): |
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| | | # 买单已撤单 |
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| | | cancel_count += 1 |
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| | | cancel_indexes.add(index) |
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| | | if cancel_indexes: |
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| | | l2_log.d_cancel_debug(code, f"已撤单：{cancel_indexes}") |
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| | | rate = round(cancel_count / len(watch_indexes), 2) |
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| | | if rate >= 0.8: |
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| | | return True, cancel_data, f"撤单比例-{rate}，大单撤单({cancel_indexes})" |
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| | | return False, None, "无大单撤单" |
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| | | |
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| | | def __clear_data(self, code): |
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| | | if code in self.__watch_indexes_cache: |
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| | | l2_log.d_cancel_debug(code, f"清除大单监听") |
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| | | self.__watch_indexes_cache.pop(code) |
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| | | RedisUtils.delete_async(self.__db, f"radical_big_order_watch-{code}") |
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| | | |
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| | | def clear_data(self, code): |
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| | | self.__clear_data(code) |
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| | | |
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| | | |
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| | | # 新F撤，根据成交数据来撤 |
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| | | class FCancelBigNumComputer: |
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| | | __db = 0 |
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| | | __redis_manager = redis_manager.RedisManager(0) |
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| | | __real_order_index_cache = {} |
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| | | __max_buy_order_num_cache = {} |
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| | | # 下单距离太远计算 |
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| | | __far_away_computed_cache = {} |
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| | | |
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| | | __instance = None |
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| | | |
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| | |
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| | | # 设置真实的下单位置 |
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| | | def set_real_order_index(self, code, index, is_default): |
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| | | self.__set_real_order_index(code, index, is_default) |
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| | | self.__far_away_computed_cache[code] = False |
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| | | # if not is_default and code.find("60") == 0: |
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| | | try: |
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| | | # 统计未成交的最大单 |
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| | |
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| | | @param place_order_time_str:下单时间 |
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| | | @return:（金额（单位:W）,笔数） |
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| | | """ |
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| | | max60, yesterday = code_volumn_manager.get_histry_volumn(code) |
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| | | max60, yesterday = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code) |
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| | | if max60: |
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| | | money_y = code_volumn_manager.get_reference_volume_as_money_y(code) |
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| | | money_y = code_volumn_manager.CodeVolumeManager().get_reference_volume_as_money_y(code) |
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| | | money = int(200 * money_y + 280) |
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| | | if tool.trade_time_sub(place_order_time_str, "10:00:00") <= 0: |
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| | | # 10点前下单打7折 |
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| | |
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| | | |
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| | | # 下单3分钟内距离下单位置不足3笔（包含正在成交）且不到300w就需要撤单 |
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| | | def need_cancel_for_deal_fast(self, code, trade_index=None): |
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| | | # 人为改了撤单比例之后不能生效 |
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| | | human_rate = CancelRateHumanSettingManager().get_l_down(code) |
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| | | if human_rate: |
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| | | return False, "人为修改了撤单比例" |
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| | | |
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| | | if trade_index is None: |
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| | | trade_info = TradeBuyQueue().get_traded_index(code) |
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| | | if trade_info and not trade_info[1] and trade_info[0] is not None: |
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| | |
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| | | # 是否是下单1分钟内 |
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| | | if tool.trade_time_sub(tool.get_now_time_str(), total_datas[real_order_index]['val']['time']) > 1 * 60: |
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| | | return False, "下单超过60s" |
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| | | try: |
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| | | if code in self.__max_buy_order_num_cache: |
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| | | max_num = self.__max_buy_order_num_cache[code] |
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| | | details = HuaXinSellOrderStatisticManager.get_latest_3s_continue_deal_volumes(code) |
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| | | threshold_num = int(max_num * 0.5 * 100) |
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| | | count = 0 |
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| | | for d in details: |
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| | | if d[1] > threshold_num: |
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| | | count += 1 |
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| | | if count >= 2: |
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| | | return True, f"连续3秒有2s抛压过大：{details} 最大值：{max_num}" |
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| | | except Exception as e: |
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| | | l2_log.f_cancel_debug(code, f"大抛压撤单计算出错：{str(e)}") |
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| | | # try: |
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| | | # if code in self.__max_buy_order_num_cache: |
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| | | # max_num = self.__max_buy_order_num_cache[code] |
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| | | # if max_num and tool.is_ge_code(code): |
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| | | # max_num = max_num * 6.6 |
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| | | # details = HuaXinSellOrderStatisticManager.get_latest_3s_continue_deal_volumes(code) |
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| | | # threshold_num = int(max_num * 0.5 * 100) |
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| | | # count = 0 |
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| | | # for d in details: |
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| | | # if d[1] > threshold_num: |
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| | | # count += 1 |
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| | | # if count >= 2: |
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| | | # return True, f"连续3秒有2s抛压过大：{details} 最大值：{max_num}" |
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| | | # except Exception as e: |
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| | | # l2_log.f_cancel_debug(code, f"大抛压撤单计算出错：{str(e)}") |
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| | | |
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| | | # 查询最近2秒成交是否超过阈值 |
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| | | |
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| | | THRESHOLD_MONEY_W, THRESHOLD_COUNT = self.__get_fast_deal_threshold_value(code, |
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| | | total_datas[real_order_index]['val'][ |
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| | | 'time']) |
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| | | THRESHOLD_MONEY_W, THRESHOLD_COUNT = 1200, 3 # self.__get_fast_deal_threshold_value(code, |
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| | | # total_datas[real_order_index]['val'][ |
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| | | # 'time']) |
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| | | |
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| | | total_left_count = 0 |
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| | | total_left_num = 0 |
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| | |
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| | | if dealing_info and str(dealing_info[0]) == str(val["orderNo"]): |
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| | | total_left_num -= dealing_info[1] // 100 |
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| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
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| | | if total_left_count <= 1 or (total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float( |
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| | | total_left_money = total_left_num * float(limit_up_price) * 100 |
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| | | if total_left_money < 1e8: |
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| | | if total_left_count <= 1 or ( |
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| | | total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float( |
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| | | limit_up_price) < THRESHOLD_MONEY_W * 100): |
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| | | 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}) " |
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| | | 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}) " |
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| | | 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}" |
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| | | |
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| | | # 距离太近，封单不足 |
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| | | def need_cancel_for_p(self, code, order_begin_pos): |
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| | | |
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| | | if True: |
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| | | return False, "" |
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| | | |
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| | | if gpcode_manager.MustBuyCodesManager().is_in_cache(code): |
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| | | return False, "已加红" |
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| | | |
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| | | if not order_begin_pos or not order_begin_pos.buy_exec_index or order_begin_pos.buy_exec_index < 0: |
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| | | return False, "尚未下单" |
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| | | |
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| | |
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| | | total_datas = local_today_datas.get(code) |
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| | | # 是否是下单3分钟内 |
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| | | sub_time = tool.trade_time_sub(total_datas[-1]['val']['time'], total_datas[real_order_index]['val']['time']) |
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| | | if sub_time > 30: |
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| | | return False, "下单超过30s" |
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| | | if sub_time > 60: |
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| | | return False, "下单超过60s" |
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| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
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| | | # 判断累计大单数量 |
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| | | min_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) |
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| | | total_count, total_num = L2DataComputeUtil.compute_left_buy_order(code, trade_index, real_order_index, |
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| | | limit_up_price, min_money) |
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| | | |
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| | | if sub_time <= 2: |
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| | | return False, "下单在2s内" |
|---|
| | | # 下单后3秒，排撤比例≥65%则撤掉，视为P撤的一种，排得太后了。 |
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| | | # if sub_time > 3 and not self.__far_away_computed_cache.get(code): |
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| | | # self.__far_away_computed_cache[code] = True |
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| | | # # 成交进度位到真实下单位的位置过远 |
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| | | # total_count_, total_num_ = L2DataComputeUtil.compute_left_buy_order(code, trade_index, real_order_index, |
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| | | # limit_up_price, 500000) |
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| | | # # 获取买1金额 |
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| | | # buy1_money = code_price_manager.Buy1PriceManager().get_latest_buy1_money(code) |
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| | | # if buy1_money: |
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| | | # if total_num_ * limit_up_price * 100 > buy1_money * 0.65: |
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| | | # 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}" |
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| | | min_time_s, max_time_s = 2, 60 |
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| | | # if total_num * limit_up_price >= 299 * 100: |
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| | | # min_time_s, max_time_s = 30, 60 |
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| | | |
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| | | limit_up_price = gpcode_manager.get_limit_up_price(code) |
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| | | if sub_time <= min_time_s: |
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| | | return False, f"下单在{min_time_s}s内" |
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| | | |
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| | | if sub_time > max_time_s: |
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| | | return False, f"下单超过{max_time_s}s" |
|---|
| | | |
|---|
| | | # 计算我们后面的大单与涨停纯买额 |
|---|
| | | total_left_num = 0 |
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| | | total_big_num_count = 0 |
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| | | canceled_buyno_map = local_today_canceled_buyno_map.get(code) |
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| | | for i in range(real_order_index + 1, len(total_datas)): |
|---|
| | | data = total_datas[i] |
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| | | 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 |
|---|
| | | min_money = l2_data_util.get_big_money_val(limit_up_price) |
|---|
| | | |
|---|
| | | min_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) |
|---|
| | | 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" |
|---|
| | | |
|---|
| | | |
|---|
| | | # ---------------------------------G撤------------------------------- |
|---|
| | | # 已不效 |
|---|
| | | class GCancelBigNumComputer: |
|---|
| | | __real_place_order_index_dict = {} |
|---|
| | | __trade_progress_index_dict = {} |
|---|
| | |
|---|
| | | |
|---|
| | | total_datas = local_today_datas.get(code) |
|---|
| | | watch_indexes = set() |
|---|
| | | for i in range(start_index, real_order_index): |
|---|
| | | # G撤的囊括范围向后面延申5笔 |
|---|
| | | end_index = real_order_index |
|---|
| | | count = 0 |
|---|
| | | for i in range(real_order_index + 1, total_datas[-1]["index"] + 1): |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | if not L2DataUtil.is_limit_up_price_buy(val): |
|---|
| | | continue |
|---|
| | | if val["num"] * float(val["price"]) < 5000: |
|---|
| | | 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: |
|---|
| | | continue |
|---|
| | | count += 1 |
|---|
| | | if count > 5: |
|---|
| | | break |
|---|
| | | end_index = i |
|---|
| | | |
|---|
| | | for i in range(start_index, end_index + 1): |
|---|
| | | # 判断是否有未撤的大单 |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | |
|---|
| | | code)) |
|---|
| | | if left_count > 0: |
|---|
| | | watch_indexes.add(i) |
|---|
| | | |
|---|
| | | if watch_indexes: |
|---|
| | | # 还有300万以上的大单没有撤单 |
|---|
| | | if from_real_order_index_changed or recompute: |
|---|
| | | # 真实下单位改变后才会更新 |
|---|
| | | final_watch_indexes = origin_watch_index | watch_indexes |
|---|
| | | self.__watch_indexes_dict[code] = final_watch_indexes |
|---|
| | | l2_log.g_cancel_debug(code, f"大单监听：{final_watch_indexes} 是否重新计算：{recompute}") |
|---|
| | | l2_log.g_cancel_debug(code, |
|---|
| | | f"大单监听：{final_watch_indexes} 是否重新计算：{recompute} 计算范围：{start_index}-{end_index}") |
|---|
| | | # 有大单监听，需要移除之前的小单监听 |
|---|
| | | if code in self.__watch_indexes_by_dict: |
|---|
| | | self.__watch_indexes_by_dict[code].clear() |
|---|
| | |
|---|
| | | # B撤单 |
|---|
| | | # 剩余一个大单撤半截就撤单 |
|---|
| | | def need_cancel_for_b(self, code, start_index, end_index): |
|---|
| | | if gpcode_manager.MustBuyCodesManager().is_in_cache(code): |
|---|
| | | return False, None, "已加红" |
|---|
| | | real_place_order_info = self.__real_place_order_index_dict.get(code) |
|---|
| | | if not real_place_order_info or real_place_order_info[1]: |
|---|
| | | # 没有真实下单位置 |
|---|
| | |
|---|
| | | start_index = traded_index + 1 |
|---|
| | | |
|---|
| | | total_datas = local_today_datas.get(code) |
|---|
| | | watch_indexes = set() |
|---|
| | | for i in range(start_index, real_order_index): |
|---|
| | | |
|---|
| | | # 查找成交进度位到真实下单位置所有的索引 |
|---|
| | | watch_indexes_info = [] |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | big_num = int(l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) / (limit_up_price * 100)) |
|---|
| | | for i in range(start_index, real_order_index + 1): |
|---|
| | | # 判断是否有未撤的大单 |
|---|
| | | data = total_datas[i] |
|---|
| | | val = data["val"] |
|---|
| | | if not L2DataUtil.is_limit_up_price_buy(val): |
|---|
| | | continue |
|---|
| | | if val["num"] * float(val["price"]) < 29900: |
|---|
| | | if val["num"] < big_num: |
|---|
| | | continue |
|---|
| | | # 是否已撤单 |
|---|
| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i, |
|---|
| | |
|---|
| | | local_today_canceled_buyno_map.get( |
|---|
| | | code)) |
|---|
| | | if left_count > 0: |
|---|
| | | watch_indexes.add(i) |
|---|
| | | watch_indexes_info.append((i, val["num"])) |
|---|
| | | # 当所有大单≤6笔时则G撤全部囊括 |
|---|
| | | # 大单＞6笔时囊括其三分之一 |
|---|
| | | if len(watch_indexes_info) > 6: |
|---|
| | | watch_indexes = set([x[0] for x in watch_indexes_info[:int(round(len(watch_indexes_info) / 3, 0))]]) |
|---|
| | | # 找出最大单 |
|---|
| | | max_info = watch_indexes_info[0] |
|---|
| | | for mi in watch_indexes_info: |
|---|
| | | if mi[1] > max_info[1]: |
|---|
| | | max_info = mi |
|---|
| | | watch_indexes.add(max_info[0]) |
|---|
| | | else: |
|---|
| | | watch_indexes = set([x[0] for x in watch_indexes_info]) |
|---|
| | | |
|---|
| | | if watch_indexes: |
|---|
| | | # 还有300万以上的大单没有撤单 |
|---|
| | | if from_real_order_index_changed or recompute: |
|---|
| | | # 真实下单位改变后才会更新 |
|---|
| | | final_watch_indexes = origin_watch_index | watch_indexes |
|---|
| | | self.__set_watch_index(code, final_watch_indexes) |
|---|
| | | l2_log.g_cancel_debug(code, f"大单监听：{final_watch_indexes} 是否重新计算：{recompute}") |
|---|
| | | l2_log.g_cancel_debug(code, |
|---|
| | | f"大单监听：{final_watch_indexes} 是否重新计算：{recompute} 计算范围：{start_index}-{real_order_index}") |
|---|
| | | |
|---|
| | | def set_trade_progress(self, code, buy_single_index, index): |
|---|
| | | # if self.__trade_progress_index_dict.get(code) != index: |
|---|
| | |
|---|
| | | self.__set_l2_second_money_record(code, t_, time_dict_num[t_], time_dict_num_index[t_]["s"], |
|---|
| | | time_dict_num_index[t_]["e"]) |
|---|
| | | |
|---|
| | | print("保存涨停封单额时间：", round(time.time() * 1000) - start_time) |
|---|
| | | # print("保存涨停封单额时间：", round(time.time() * 1000) - start_time) |
|---|
| | | |
|---|
| | | # 累计最新的金额 |
|---|
| | | total_num, index = self.__get_l2_latest_money_record(code) |
|---|
| | |
|---|
| | | if not with_cancel: |
|---|
| | | cancel_index = None |
|---|
| | | |
|---|
| | | print("封单额计算时间：", round(time.time() * 1000) - start_time) |
|---|
| | | # print("封单额计算时间：", round(time.time() * 1000) - start_time) |
|---|
| | | process_end_index = end_index |
|---|
| | | if cancel_index: |
|---|
| | | process_end_index = cancel_index |
|---|
| | |
|---|
| | | 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" |
|---|
| | | |
|---|
