卖提交之后2s内没有成交的需要撤单

Administrator

2023-11-26 0deaa8930569222d8f4787d97a70a0a89496b44a

卖提交之后2s内没有成交的需要撤单

 trade/huaxin/huaxin_trade_api.py

@@ -95,7 +95,8 @@
                                                          insertDate=insertDate, direction=direction,
                                                          is_shadow_order=is_shadow_order)
                                try:
                                    TradeResultProcessor.process_order(order)
                                    TradeResultProcessor.process_buy_order(order)
                                    TradeResultProcessor.process_sell_order(order)
                                finally:
                                    try:
                                        # 加入2次，增大加入成功率

 trade/huaxin/huaxin_trade_data_update.py

@@ -67,7 +67,7 @@
                                                              insertTime=insertTime, acceptTime=acceptTime,
                                                              insertDate=insertDate, direction=direction,
                                                              is_shadow_order=is_shadow_order)
                                    TradeResultProcessor.process_order(order)
                                    TradeResultProcessor.process_buy_order(order)
                                    if huaxin_util.is_can_cancel(orderStatus):
                                        codes.append(code)
                                if codes:

 trade/huaxin/huaxin_trade_order_processor.py

@@ -111,9 +111,12 @@
    __TradeOrderIdManager = TradeOrderIdManager()
    __processed_keys = set()
    __thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=50)
    # 订单索引号字典
    order_ref_dict = {}

    # 处理买单
    @classmethod
    def process_order(cls, order: HuaxinOrderEntity):
    def process_buy_order(cls, order: HuaxinOrderEntity):
        # 处理下单成功
        def process_order_success(order_: HuaxinOrderEntity, delay_s=0.0):
            if delay_s > 0:
@@ -168,6 +171,17 @@
            async_log_util.exception(hx_logger_trade_debug, e)

    @classmethod
    def process_sell_order(cls, order: HuaxinOrderEntity):
        # 处理卖单
        if order.direction != str(huaxin_util.TORA_TSTP_D_Sell):
            return
        cls.order_ref_dict[order.orderRef] = order

    @classmethod
    def get_huaxin_order_by_order_ref(cls, order_ref) -> HuaxinOrderEntity:
        return cls.order_ref_dict.get(order_ref)

    @classmethod
    def order_success(cls, order: HuaxinOrderEntity):
        async_log_util.info(hx_logger_trade_debug, f"处理华鑫订单下单成功：{order.code}, {order.orderRef}, {order.orderSysID}")
        # 加入系统订单号
@@ -185,7 +199,8 @@
                        # 4s内才会校验
                        volume = total_datas[place_index]["val"]["num"]
                        for i in range(place_index + 1, len(total_datas)):
                            if total_datas[i]["val"]["num"] == volume and order.acceptTime == total_datas[i]["val"]["time"]:
                            if total_datas[i]["val"]["num"] == volume and order.acceptTime == total_datas[i]["val"][
                                "time"]:
                                huaxin_delegate_postion_manager.set_place_order_position(order.code, i)
                                async_log_util.info(hx_logger_trade_debug, "{}校验真实下单成功，{}->{}", order.code, place_index,
                                                    i)

 trade/huaxin/huaxin_trade_server.py

@@ -57,7 +57,7 @@
from trade.deal_big_money_manager import DealOrderNoManager

from trade.huaxin import huaxin_trade_api as trade_api, huaxin_trade_api, huaxin_trade_data_update, \
    huaxin_trade_record_manager
    huaxin_trade_record_manager, huaxin_trade_order_processor
from trade.huaxin.huaxin_trade_record_manager import PositionManager
from trade.l2_trade_factor import L2PlaceOrderParamsManager
from trade.sell_rule_manager import SellRuleManager, SellRule
@@ -469,6 +469,8 @@


class OutsideApiCommandCallback(outside_api_command_manager.ActionCallback):
    __cancel_sell_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=8)

    @classmethod
    def __send_response(cls, data_bytes):
        sk = SendResponseSkManager.create_send_response_sk(addr=huaxin_client.constant.SERVER_IP,
@@ -494,6 +496,20 @@
            except Exception as e1:
                logging.exception(e1)

    # 撤卖单
    def __cancel_sell_order(self, code, order_ref):
        for i in range(0,10):
            time.sleep(0.2)
            order_entity = huaxin_trade_order_processor.TradeResultProcessor.get_huaxin_order_by_order_ref(order_ref)
            if order_entity:
                if order_entity.orderStatus == huaxin_util.TORA_TSTP_OST_AllTraded:
                    # 成交的就不需要撤单了
                    return
        try:
            result = huaxin_trade_api.cancel_order(2, code, None, orderRef=order_ref)
        except Exception as e:
            logger_trade.exception(e)

    # 交易
    def OnTrade(self, client_id, request_id, data):
        try:
@@ -505,9 +521,9 @@
                price_type = data["price_type"]
                price = data["price"]
                sinfo = data["sinfo"]
                if direction == huaxin_util.TORA_TSTP_D_Sell:
                    pass
                if direction == 2:
                    # price_type: 0-价格笼子 1-跌停价  2-涨停价 3-现价
                    async_log_util.info(logger_trade, f"API卖: 接收数据-{data}")
                    # 获取现价
                    if price_type == 0:
                        current_price = TradeServerProcessor.get_l1_current_price(code)
@@ -529,8 +545,14 @@
                        if not current_price:
                            raise Exception("没有获取到L1现价")
                        price = current_price
                    async_log_util.info(logger_trade, f"API卖:  单价-{price}")
                    result = huaxin_trade_api.order(direction, code, volume, price, sinfo=sinfo,
                                                    blocking=True, request_id=request_id)
                                                    blocking=False, request_id=request_id)
                    order_ref = result["order_ref"]
                    # 如果是在正常交易时间提交的2s之内还未成交的需要撤单
                    if int("092958") <= int(tool.get_now_time_str().replace(":", "")) <= int("150000"):
                        self.__cancel_sell_thread_pool.submit(lambda: self.__cancel_sell_order(code, order_ref))

                    self.send_response({"code": 0, "data": result}, client_id, request_id)
                else:
                    result = huaxin_trade_api.order(direction, code, volume, price, price_type=price_type, sinfo=sinfo,