默认交易模式变更/真实下单位置计算位置修改

Administrator

15 小时以前 2f2516749615da866e96d8d24e499b7ecbb63a3e

 utils/buy_strategy_util.py

@@ -45,7 +45,7 @@
                        break
            continue
        # 与当前时间相差3s的结束
        if tool.trade_time_sub_with_ms(end_time_with_ms, l2_data_util.L2DataUtil.get_time_with_ms(val)) > 6000:
        if tool.trade_time_sub_with_ms(end_time_with_ms, l2_data_util.L2DataUtil.get_time_with_ms(val)) > 10000:
            break

        cancel_count += 1
@@ -147,8 +147,8 @@
    # today = get_today_volumn(code)
    # max60, yesterday = get_histry_volumn(code)
    try:
        today_volume = code_volumn_manager.get_today_volumn_cache(code)
        histry_volumn = code_volumn_manager.get_histry_volumn(code)
        today_volume = code_volumn_manager.CodeVolumeManager().get_today_volumn_cache(code)
        histry_volumn = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code)
        if not today_volume or not histry_volumn:
            return False, "尚未获取到量"
        threshhold_volume = (histry_volumn[0][0] - today_volume) // 3
@@ -199,18 +199,33 @@
    @param end_index:
    @return:(是否是量化, 下次可以下单时间)
    """
    THRESHOLD_BUY_COUNT = 20
    if end_index - start_index + 1 < THRESHOLD_BUY_COUNT:
        # 总数小于阈值
        return False, None

    # 阈值的取值范围
    THRESHOLD_MONEY_RANGE = 1e5, 3e5
    today_volume = code_volumn_manager.CodeVolumeManager().get_today_volumn_cache(code)
    histry_volumn = code_volumn_manager.CodeVolumeManager().get_histry_volumn(code)
    if not today_volume or not histry_volumn:
        return False, "尚未获取到量"
    threshhold_volume = (histry_volumn[0][0] - today_volume) // 6 // 100
    limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
    threshhold_volumes_range = int(THRESHOLD_MONEY_RANGE[0] / limit_up_price), int(
        THRESHOLD_MONEY_RANGE[1] / limit_up_price)
    if threshhold_volume < threshhold_volumes_range[0]:
        threshhold_volume = threshhold_volumes_range[0]
    if threshhold_volume > threshhold_volumes_range[1]:
        threshhold_volume = threshhold_volumes_range[1]
    total_datas = l2_data_util.local_today_datas.get(code)

    time_as_ms = tool.trade_time_sub_with_ms(
        L2DataUtil.get_time_with_ms(total_datas[end_index]["val"]),
        L2DataUtil.get_time_with_ms(total_datas[start_index]["val"]))
    if time_as_ms > (10 if tool.is_sz_code(code) else 100):
        return False, "非量化"

    limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)

    buy_count = 0
    total_buy_nums = 0
    min_num = int(5000 / limit_up_price)
    trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code)
    if trade_index is None:
        trade_index = 0
    # 获取成交进度位
    for i in range(start_index, end_index + 1):
        val = total_datas[i]["val"]
@@ -218,25 +233,20 @@
            continue
        if val["num"] < min_num:
            continue
        buy_count += 1
        if buy_count > THRESHOLD_BUY_COUNT:
        total_buy_nums += val["num"]
        if total_buy_nums > threshhold_volume:
            break
    if buy_count > THRESHOLD_BUY_COUNT:
    if total_buy_nums > threshhold_volume:
        # 判断是否为量化
        time_as_ms = tool.trade_time_sub_with_ms(
            L2DataUtil.get_time_with_ms(total_datas[end_index]["val"]),
            L2DataUtil.get_time_with_ms(total_datas[start_index]["val"]))
        if time_as_ms <= 10 if tool.is_sz_code(code) else 100:
            # 深证10ms内，上证100ms内就判定为量化
            HuaXinSellOrderStatisticManager.clear_latest_deal_volume(code)
            next_buy_time = time.time() + buy_condition_util.get_cancel_and_buy_space_time(
                code) / 1000
            # 如果是首次下单，增加一次下单次数
            place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
            if place_order_count == 0:
                trade_data_manager.PlaceOrderCountManager().place_order(code)
            return True, next_buy_time, f"执行位批次数据量({buy_count})大于{THRESHOLD_BUY_COUNT}  {start_index}-{end_index}"
        return False, None
        # 深证10ms内，上证100ms内就判定为量化
        HuaXinSellOrderStatisticManager.clear_latest_deal_volume(code)
        next_buy_time = time.time() + buy_condition_util.get_cancel_and_buy_space_time(
            code) / 1000
        # 如果是首次下单，增加一次下单次数
        place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
        if place_order_count == 0:
            trade_data_manager.PlaceOrderCountManager().place_order(code)
        return True, next_buy_time, f"执行位批次数据量({total_buy_nums})大于{threshhold_volume}  {start_index}-{end_index}"
    else:
        return False, None