| l2/cancel_buy_strategy.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| l2/l2_transaction_data_processor.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| trade/huaxin/huaxin_trade_server.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 |
l2/cancel_buy_strategy.py
@@ -846,7 +846,6 @@ base_rate = constant.L_CANCEL_RATE if is_up: base_rate = constant.L_CANCEL_RATE_UP try: block_rate = 0 if code in cls.__block_limit_up_count_dict: @@ -858,13 +857,13 @@ block_rate = rates[count] deal_rate = 0 if code in cls.__big_num_deal_rate_dict: temp_rate = cls.__big_num_deal_rate_dict[code] if temp_rate >= 1: if temp_rate > 3: temp_rate = 3 deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4) if is_up else round( (temp_rate * 5.25 - 3.75) / 100, 4) # if code in cls.__big_num_deal_rate_dict: # temp_rate = cls.__big_num_deal_rate_dict[code] # if temp_rate >= 1: # if temp_rate > 3: # temp_rate = 3 # deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4) if is_up else round( # (temp_rate * 5.25 - 3.75) / 100, 4) base_rate += block_rate base_rate += deal_rate @@ -1342,64 +1341,15 @@ # 重新计算成交位置临近大单撤单 self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1, real_place_order_index) def add_transaction_datas(self, code, transaction_datas): if not transaction_datas: return False, "成交数据为空" buyno_map = local_today_buyno_map.get(code) if not buyno_map: return False, "没找到买单字典" total_datas = local_today_datas.get(code) if not total_datas: return False, "L2数据为空" l_down_cancel_info = self.__cancel_watch_index_info_cache.get(code) if not l_down_cancel_info: return False, "L撤为空" l_down_indexes = l_down_cancel_info[2] for transaction_data in transaction_datas: buy_data = buyno_map.get(str(transaction_data[6])) if not buy_data: continue if buy_data["index"] not in l_down_indexes: continue # 统计数据 orgin_deal_data = self.__l_down_latest_deal_info_dict.get(code) if not orgin_deal_data: orgin_deal_data = [0, None] time_str = l2_huaxin_util.convert_time(transaction_data[3]) if orgin_deal_data[1] != time_str: orgin_deal_data[0] = transaction_data[2] orgin_deal_data[1] = time_str else: orgin_deal_data[0] += transaction_data[2] self.__l_down_latest_deal_info_dict[code] = orgin_deal_data # 计算成交比例 total_l_down_not_deal_num = self.__total_l_down_not_deal_num_dict.get(code) if total_l_down_not_deal_num is None: return False, "L撤未成交统计为空" orgin_deal_data = self.__l_down_latest_deal_info_dict.get(code) if orgin_deal_data is None: return False, "L后暂时无成交" real_place_order_index_info = self.__real_place_order_index_dict.get(code) if real_place_order_index_info and real_place_order_index_info[1]: return False, "没获取到真实的下单位" threshold_rate = LCancelRateManager.get_fast_deal_cancel_rate(code) rate = orgin_deal_data[0] / (total_l_down_not_deal_num[0] * 100) if rate > threshold_rate: limit_up_price = float(gpcode_manager.get_limit_up_price(code)) deal_money = limit_up_price * orgin_deal_data[0] if deal_money >= constant.L_CANCEL_FAST_DEAL_MIN_MONEY: return True, f"达到撤单比例：{rate}/{threshold_rate} 成交详情：{orgin_deal_data}/{total_l_down_not_deal_num}" else: return False, f"已达到撤单比例，未达到撤单金额：{deal_money}" else: return False, "尚未达到撤单比例" # 已经成交的索引 def add_deal_index(self, code, index, buy_single_index): """ L后囊括范围成交一笔重新囊括1笔 @param code: @param index: @param buy_single_index: @return: """ watch_indexes_info = self.__get_watch_indexes_cache(code) if not watch_indexes_info: return l2/l2_transaction_data_processor.py
@@ -92,7 +92,8 @@ big_money_count += 1 DealOrderNoManager().add_orderno(code, f"{deal_info[0]}") # L后是否有成交，如果有成交就需要除去当前笔数，然后重新囊括一笔 LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index) # 暂时不需要这种复杂的机制 # LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index) use_time_list.append(("统计买单数据", time.time() - _start_time)) _start_time = time.time() trade/huaxin/huaxin_trade_server.py
@@ -470,29 +470,30 @@ sell_1_price, sell_1_volume // 100, average_rate) latest_3m_buy1_money_list = code_price_manager.Buy1PriceManager().get_latest_3m_buy1_money_list(code) # -----------------------------重新计算L撤后--------------------------- # 暂时不更新，无意义 # 如果时涨停状态 if abs(float(limit_up_price) - float(buy_1_price)) < 0.001: # 是否处于下单状态 state = trade_manager.CodesTradeStateManager().get_trade_state_cache(code) if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or constant.TEST: if latest_3m_buy1_money_list and tool.trade_time_sub(latest_3m_buy1_money_list[-1][0], latest_3m_buy1_money_list[0][0]) >= 2 * 60: # 2分钟以内,标准差在10%以内 c_start_index = None for i in range(len(latest_3m_buy1_money_list) - 1, -1, -1): if tool.trade_time_sub(latest_3m_buy1_money_list[-1][0], latest_3m_buy1_money_list[i][0]) >= 2 * 60: c_start_index = i break if c_start_index is not None: latest_3m_buy1_money_list = copy.deepcopy(latest_3m_buy1_money_list[c_start_index:]) latest_3m_buy1_money_list = [x[1] for x in latest_3m_buy1_money_list] avg_val = numpy.mean(numpy.array(latest_3m_buy1_money_list)) max_val = max(latest_3m_buy1_money_list) min_val = min(latest_3m_buy1_money_list) if abs(max_val - avg_val) / avg_val < 0.1 and abs(min_val - avg_val) / avg_val < 0.1: # 买1封单额平稳 LCancelBigNumComputer().re_compute_l_down_watch_indexes(code) # if abs(float(limit_up_price) - float(buy_1_price)) < 0.001: # # 是否处于下单状态 # state = trade_manager.CodesTradeStateManager().get_trade_state_cache(code) # if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or constant.TEST: # if latest_3m_buy1_money_list and tool.trade_time_sub(latest_3m_buy1_money_list[-1][0], # latest_3m_buy1_money_list[0][0]) >= 2 * 60: # # 2分钟以内,标准差在10%以内 # c_start_index = None # for i in range(len(latest_3m_buy1_money_list) - 1, -1, -1): # if tool.trade_time_sub(latest_3m_buy1_money_list[-1][0], # latest_3m_buy1_money_list[i][0]) >= 2 * 60: # c_start_index = i # break # if c_start_index is not None: # latest_3m_buy1_money_list = copy.deepcopy(latest_3m_buy1_money_list[c_start_index:]) # latest_3m_buy1_money_list = [x[1] for x in latest_3m_buy1_money_list] # avg_val = numpy.mean(numpy.array(latest_3m_buy1_money_list)) # max_val = max(latest_3m_buy1_money_list) # min_val = min(latest_3m_buy1_money_list) # if abs(max_val - avg_val) / avg_val < 0.1 and abs(min_val - avg_val) / avg_val < 0.1: # # 买1封单额平稳 # LCancelBigNumComputer().re_compute_l_down_watch_indexes(code) threading.Thread(target=lambda: update_kpl_jx_block(code, buy_1_price, limit_up_price), daemon=True).start()
