打开H撤

Administrator

2023-09-11 0d242997021955dce4a1d39b4c9e7836a15e873a

打开H撤

 huaxin_client/l2_client.py

@@ -11,7 +11,7 @@
from huaxin_client import l2_data_manager
import lev2mdapi
from huaxin_client.command_manager import L2ActionCallback
from log_module import log
from log_module import log, async_log_util
from log_module.log import logger_local_huaxin_l2_subscript, logger_system, logger_local_huaxin_l2_transaction, \
    logger_local_huaxin_g_cancel, logger_l2_codes_subscript

@@ -284,7 +284,7 @@
            if transaction_big_order_nos and pTransaction['BuyNo'] in transaction_big_order_nos:
                # 正在成交的订单撤单了
                l2_data_manager.trading_order_canceled(code, pTransaction['BuyNo'])
                logger_local_huaxin_g_cancel.info(f"G撤撤单：{code} - {pTransaction['BuyNo']}")
                async_log_util.info(logger_local_huaxin_g_cancel, f"G撤撤单：{code} - {pTransaction['BuyNo']}")
            if min_volume is None:
                # 默认筛选50w
                if pTransaction['TradePrice'] * pTransaction['Volume'] < 500000:
@@ -360,7 +360,7 @@
                if transaction_big_order_nos and pOrderDetail['OrderNO'] in transaction_big_order_nos:
                    # 正在成交的订单撤单了
                    l2_data_manager.trading_order_canceled(code, pOrderDetail['OrderNO'])
                    logger_local_huaxin_g_cancel.info(f"G撤撤单：{code} - {pOrderDetail['OrderNO']}")
                    async_log_util.info(logger_local_huaxin_g_cancel, f"G撤撤单：{code} - {pOrderDetail['OrderNO']}")

            min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
            if min_volume is None:

 huaxin_client/trade_client.py

@@ -824,8 +824,8 @@
                # 买
                try:
                    req_rid_dict[sinfo] = (client_id, request_id, sk, local_order_id)
                    self.__tradeSimpleApi.buy(code, volume, price, sinfo)

                    threading.Thread(target=lambda: self.__tradeSimpleApi.buy(code, volume, price, sinfo),
                                     daemon=True).start()
                except Exception as e:
                    send_response(json.dumps({"code": 1, "msg": str(e)}), TYPE_ORDER, client_id,
                                  request_id)

 l2/l2_data_manager_new.py

@@ -288,8 +288,8 @@
                cls.unreal_buy_dict.pop(code)

    @classmethod
    def set_real_place_order_index(cls, code, index,buy_single_index):
        cancel_buy_strategy.set_real_place_position(code, index,buy_single_index)
    def set_real_place_order_index(cls, code, index, buy_single_index):
        cancel_buy_strategy.set_real_place_position(code, index, buy_single_index)

    # 处理华鑫L2数据
    @classmethod
@@ -312,17 +312,6 @@
                _start_index = total_datas[-1]["index"] + 1
            datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas,
                                                       gpcode_manager.get_limit_up_price(code), _start_index)
            try:
                # 获取下单位置
                place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, datas)
                if place_order_index:
                    buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
                        code)
                    cls.set_real_place_order_index(code, place_order_index, buy_single_index)
                    async_log_util.info(logger_l2_process, "code:{} 获取到下单真实位置：{}", code, place_order_index)
            except:
                logger_l2_error.exception(f"{code} 处理真实下单位置出错")

            __start_time = round(t.time() * 1000)
            if len(datas) > 0:
                cls.process_add_datas(code, datas, 0, __start_time)
@@ -358,7 +347,17 @@
            local_today_datas[code].extend(add_datas)
            l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
            l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)

            if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
                try:
                    # 获取下单位置
                    place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, add_datas)
                    if place_order_index:
                        buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
                            code)
                        cls.set_real_place_order_index(code, place_order_index, buy_single_index)
                        async_log_util.info(logger_l2_process, "code:{} 获取到下单真实位置：{}", code, place_order_index)
                except:
                    logger_l2_error.exception(f"{code} 处理真实下单位置出错")
            # 第1条数据是否为09:30:00
            if add_datas[0]["val"]["time"] == "09:30:00":
                if global_util.cuurent_prices.get(code):
@@ -555,10 +554,11 @@

        # 依次处理
        cancel_data, cancel_msg = s_cancel(buy_single_index, buy_exec_index)
        # if not cancel_data:
        #     cancel_data, cancel_msg = h_cancel(buy_single_index, buy_exec_index)
        if not cancel_data:
            cancel_data, cancel_msg = l_cancel(buy_single_index, buy_exec_index)

        if not cancel_data:
            cancel_data, cancel_msg = h_cancel(buy_single_index, buy_exec_index)
        # l2_log.debug(code, "撤单计算结束")
        # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
        #                                   "已下单-撤单 判断是否需要撤单")
@@ -931,7 +931,6 @@
            return False
        finally:
            pass


    @classmethod
    def cancel_buy(cls, code, msg=None, source="l2"):

 trade/huaxin/huaxin_trade_data_update.py

@@ -30,7 +30,7 @@
                hx_logger_trade_debug.info(f"获取交易数据开始：{type_}")
                try:
                    if type_ == "delegate_list":
                        dataJSON = huaxin_trade_api.get_delegate_list(can_cancel=False)
                        dataJSON = huaxin_trade_api.get_delegate_list(can_cancel=False, timeout=10)
                        print("获取委托列表", dataJSON)
                        if dataJSON["code"] == 0:
                            data = dataJSON["data"]
@@ -47,10 +47,12 @@
                                                                                           d['orderSysID'],
                                                                                           d['insertTime'])
                                        if new_place_order_index:
                                            cancel_buy_strategy.set_real_place_position(d['securityID'], new_place_order_index)
                                            cancel_buy_strategy.set_real_place_position(d['securityID'],
                                                                                        new_place_order_index)


                                    elif huaxin_util.is_canceled(d["orderStatus"]) or huaxin_util.is_deal(d["orderStatus"]):
                                    elif huaxin_util.is_canceled(d["orderStatus"]) or huaxin_util.is_deal(
                                            d["orderStatus"]):
                                        # 已经撤单/已经成交，需要处理临时保存的系统订单号
                                        TradeOrderIdManager().remove_order_id(d['securityID'],
                                                                              d['accountID'],

 trade/l2_trade_factor.py

@@ -254,10 +254,12 @@
    # 获取撤销比例
    @staticmethod
    def get_cancel_rate(volume_rate_index):
        rates = [0.35, 0.45, 0.55, 0.65, 0.65, 0.75, 0.75, 0.75]
        if volume_rate_index >= len(rates):
            volume_rate_index = -1
        return rates[volume_rate_index]
        # 暂时固定死
        # rates = [0.35, 0.45, 0.55, 0.65, 0.65, 0.75, 0.75, 0.75]
        # if volume_rate_index >= len(rates):
        #     volume_rate_index = -1
        # return rates[volume_rate_index]
        return 0.89


class L2TradeFactorUtil:

 utils/data_export_util.py

@@ -210,4 +210,4 @@


if __name__ == "__main__":
    export_l2_excel("002207")
    export_l2_excel("600360", date="2023-09-11")