G撤比例调整/日历导出调整

Administrator

2024-04-24 0db02a41d645aaa1ef938292dacef9a78c4b93df

G撤比例调整/日历导出调整

 constant.py

@@ -147,9 +147,9 @@
F_CANCEL_CACEL_RATE = 0.69

# G撤单
G_CANCEL_RATE = 0.39
G_CANCEL_RATE = 0.59
# 行情好时的撤单比例
G_CANCEL_RATE_FOR_GOOD_MARKET = 0.39
G_CANCEL_RATE_FOR_GOOD_MARKET = 0.59

# 华鑫L2的卡位数量
HUAXIN_L2_MAX_CODES_COUNT = 70

 l2/cancel_buy_strategy.py

@@ -243,9 +243,12 @@
                if val['orderNo'] == watch_info[1]:
                    total_num -= watch_info[2]
        min_index = min(watch_info[0])
        sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, total_datas[
            real_place_order_info[0]]['val'][
            'orderNo'])
        # 过滤最小金额
        zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
        zyltgb_unit_y = round(zyltgb / 100000000, 1)
        min_sell_money = int((zyltgb_unit_y / 2 + 5) * 10000)
        sell_orders = HuaXinSellOrderStatisticManager.get_latest_transaction_datas(code, min_sell_order_no=
        total_datas[real_place_order_info[0]]['val']['orderNo'], min_sell_money=min_sell_money)
        sell_order_num = sum([x[1] for x in sell_orders]) // 100
        rate = round(sell_order_num / total_num, 2)
        if rate > 0.49:
@@ -311,8 +314,12 @@
            else:
                m = x[1] * x[2]
                total_deal_money += m
        if total_deal_money >= 4990000:
            return True, f"1s内大于499w大卖单（{total_deal_money}）"

        zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
        zyltgb_unit_y = round(zyltgb / 100000000, 1)
        threshold_big_deal = (2*zyltgb_unit_y + 339)*10000
        if total_deal_money >= threshold_big_deal:
            return True, f"1s内大于{threshold_big_deal}大卖单（{total_deal_money}）"

        limit_up_price = gpcode_manager.get_limit_up_price(code)
        # 判断是否为激进下单
@@ -1877,7 +1884,7 @@

    # 重新设置G撤守护时间
    def __reset_expire_time(self, code, now_time):
        self.__expire_time_dict[code] = tool.trade_time_add_second(now_time, 15)
        self.__expire_time_dict[code] = tool.trade_time_add_second(now_time, 9)

    # 大有单卖
    # 暂时不启用
@@ -1898,10 +1905,10 @@
        if trade_index is None:
            trade_index = 0

        # 下单15s之后才会重新触发
        # 下单9s之后才会重新触发
        total_datas = local_today_datas.get(code)
        if tool.trade_time_sub(total_datas[-1]['val']['time'],
                               total_datas[real_place_order_info[0]]['val']['time']) <= 15:
                               total_datas[real_place_order_info[0]]['val']['time']) <= 9:
            return

        # 不重复处理同一卖单号

 l2/l2_data_manager_new.py

@@ -1334,7 +1334,6 @@
        if buy_single_index is None:
            # ------------------------------确定信号种类----------------------------------
            # 第一步：获取激进下单信号
            continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
            # if code.find('60') == 0:
            # 激进买
            continue_count = 1

 l2/l2_transaction_data_manager.py

@@ -374,7 +374,15 @@

    # 获取最近成交数据
    @classmethod
    def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None):
    def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None, min_sell_money=None):
        """
        获取最近的主动卖成交信息
        @param code:
        @param min_sell_order_no:
        @param min_deal_time:
        @param min_sell_money:
        @return:
        """
        total_orders = []
        sell_orders = cls.__latest_all_sell_orders_dict.get(code)
        if sell_orders:
@@ -385,6 +393,10 @@

                if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
                    continue
                if min_sell_money and sell_orders[i][1] * sell_orders[i][2] < min_sell_money:
                    # 过滤小金额
                    continue

                total_orders.append(sell_orders[i])
        if code in cls.__latest_sell_order_dict:
            if min_sell_order_no:

 test/test_l2.py

@@ -1,10 +1,11 @@
from l2 import l2_data_util
from l2.l2_data_manager_new import L2TradeDataProcessor
from l2.l2_sell_manager import L2MarketSellManager

if __name__ == "__main__":
    codes = ["002194"]
    for code in codes:
        l2_data_util.load_l2_data(code)
        L2MarketSellManager().set_current_total_sell_data(code,"10:20:54",1500000,45612,(8.94,1200))
        L2TradeDataProcessor.test__compute_active_order_begin_pos(code, 1, 5886, 5896)
    # codes = ["002194"]
    # for code in codes:
    #     l2_data_util.load_l2_data(code)
    #     L2MarketSellManager().set_current_total_sell_data(code,"10:20:54",1500000,45612,(8.94,1200))
    #     L2TradeDataProcessor.test__compute_active_order_begin_pos(code, 1, 5886, 5896)
    zyltgb = 310*1e8
    zyltgb_unit_y = round(zyltgb / 100000000, 1)
    threshold_big_deal = (2 * zyltgb_unit_y + 339) * 10000
    print(threshold_big_deal)

 utils/data_export_util.py

@@ -17,6 +17,9 @@
from trade import deal_big_money_manager
from utils import tool

# 缓存L2数据，格式：{"日期":{数据}}
__l2_data_cache = {}


def export_l2_excel(code, date=None):
    # 获取L2的数据
@@ -30,7 +33,11 @@
        date = tool.get_now_date_str()
    datas = today_datas
    if datas is None:
        local_today_datas = log_export.load_l2_from_log(date)
        if date in __l2_data_cache:
            local_today_datas = __l2_data_cache.get(date)
        else:
            local_today_datas = log_export.load_l2_from_log(date)
            __l2_data_cache[code] = local_today_datas
        datas = local_today_datas.get(code)
    if not datas:
        datas = []