L后默认撤单率修改/启用F撤

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6 天以前 0e642d0c27e40df326733401be6f8c8115e54911

L后默认撤单率修改/启用F撤

 cancel_strategy/s_l_h_cancel_strategy.py

@@ -590,26 +590,27 @@
                    return max(constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate), True, (
                        constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate)
                else:
                    deal_big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code,
                                                                                                 gpcode_manager.get_limit_up_price_as_num(
                                                                                                     code))
                    # 根据成交额的大单成交占比来计算撤单比例
                    big_money_rate = radical_buy_data_manager.TotalDealBigOrderInfoManager.get_big_order_rate(code)
                    if big_money_rate is not None:
                        threshold_rate = min(big_money_rate * 3, 0.8)
                        if deal_big_order_info[0] <= 0:
                            # 大单足够，将基础比例调整至79%
                            threshold_rate = max(threshold_rate, 0.79)
                        return human_rate if human_rate > 0 else threshold_rate, False, (threshold_rate, human_rate)
                    else:
                        deal_rate = round(deal_big_order_info[1] / deal_big_order_info[2], 2)
                        threshold_rate = 0.5 * deal_rate + 0.35
                        threshold_rate = max(threshold_rate, 0.375)
                        threshold_rate = min(threshold_rate, 0.8)
                        if deal_big_order_info[0] <= 0:
                            # 大单足够，将基础比例调整至79%
                            threshold_rate = max(threshold_rate, 0.79)
                        return human_rate if human_rate > 0 else threshold_rate, False, (threshold_rate, human_rate)
                    # deal_big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code,
                    #                                                                              gpcode_manager.get_limit_up_price_as_num(
                    #                                                                                  code))
                    # # 根据成交额的大单成交占比来计算撤单比例
                    # big_money_rate = radical_buy_data_manager.TotalDealBigOrderInfoManager.get_big_order_rate(code)
                    # if big_money_rate is not None:
                    #     threshold_rate = min(big_money_rate * 3, 0.8)
                    #     if deal_big_order_info[0] <= 0:
                    #         # 大单足够，将基础比例调整至79%
                    #         threshold_rate = max(threshold_rate, 0.79)
                    #     return human_rate if human_rate > 0 else threshold_rate, False, (threshold_rate, human_rate)
                    # else:
                    #     deal_rate = round(deal_big_order_info[1] / deal_big_order_info[2], 2)
                    #     threshold_rate = 0.5 * deal_rate + 0.35
                    #     threshold_rate = max(threshold_rate, 0.375)
                    #     threshold_rate = min(threshold_rate, 0.8)
                    #     if deal_big_order_info[0] <= 0:
                    #         # 大单足够，将基础比例调整至79%
                    #         threshold_rate = max(threshold_rate, 0.79)
                    threshold_rate = constant.L_CANCEL_RATE
                    return human_rate if human_rate > 0 else threshold_rate, False, (threshold_rate, human_rate)
            if must_buy:
                if is_up:
                    return constant.L_CANCEL_RATE_UP_WITH_MUST_BUY, True, None

 constant.py

@@ -134,7 +134,7 @@

L_CANCEL_MIN_WATCH_COUNT = 10
# 撤单比例
L_CANCEL_RATE = 0.6  # L后
L_CANCEL_RATE = 0.39  # L后

L_CANCEL_RATE_WITH_MUST_BUY = 0.9  # 加红L后


 l2/cancel_buy_strategy.py

@@ -11,6 +11,7 @@

import constant
from cancel_strategy import s_l_h_cancel_strategy
from cancel_strategy.s_l_h_cancel_strategy import CancelRateHumanSettingManager
from code_attribute import big_money_num_manager, gpcode_manager, code_volumn_manager
import l2_data_util
from db import redis_manager_delegate as redis_manager
@@ -473,6 +474,11 @@

    # 下单3分钟内距离下单位置不足3笔（包含正在成交）且不到300w就需要撤单
    def need_cancel_for_deal_fast(self, code, trade_index=None):
        # 人为改了撤单比例之后不能生效
        human_rate = CancelRateHumanSettingManager().get_l_down(code)
        if human_rate:
            return False, "人为修改了撤单比例"

        if trade_index is None:
            trade_info = TradeBuyQueue().get_traded_index(code)
            if trade_info and not trade_info[1] and trade_info[0] is not None:
@@ -495,27 +501,26 @@
        # 是否是下单1分钟内
        if tool.trade_time_sub(tool.get_now_time_str(), total_datas[real_order_index]['val']['time']) > 1 * 60:
            return False, "下单超过60s"
        try:
            if code in self.__max_buy_order_num_cache:
                max_num = self.__max_buy_order_num_cache[code]
                if max_num and tool.is_ge_code(code):
                    max_num = max_num * 6.6
                details = HuaXinSellOrderStatisticManager.get_latest_3s_continue_deal_volumes(code)
                threshold_num = int(max_num * 0.5 * 100)
                count = 0
                for d in details:
                    if d[1] > threshold_num:
                        count += 1
                if count >= 2:
                    return True, f"连续3秒有2s抛压过大：{details} 最大值：{max_num}"
        except Exception as e:
            l2_log.f_cancel_debug(code, f"大抛压撤单计算出错：{str(e)}")
        # try:
        #     if code in self.__max_buy_order_num_cache:
        #         max_num = self.__max_buy_order_num_cache[code]
        #         if max_num and tool.is_ge_code(code):
        #             max_num = max_num * 6.6
        #         details = HuaXinSellOrderStatisticManager.get_latest_3s_continue_deal_volumes(code)
        #         threshold_num = int(max_num * 0.5 * 100)
        #         count = 0
        #         for d in details:
        #             if d[1] > threshold_num:
        #                 count += 1
        #         if count >= 2:
        #             return True, f"连续3秒有2s抛压过大：{details} 最大值：{max_num}"
        # except Exception as e:
        #     l2_log.f_cancel_debug(code, f"大抛压撤单计算出错：{str(e)}")

        # 查询最近2秒成交是否超过阈值

        THRESHOLD_MONEY_W, THRESHOLD_COUNT = self.__get_fast_deal_threshold_value(code,
                                                                                  total_datas[real_order_index]['val'][
                                                                                      'time'])
        THRESHOLD_MONEY_W, THRESHOLD_COUNT = 1200, 3  # self.__get_fast_deal_threshold_value(code,
        #                                     total_datas[real_order_index]['val'][
        #                                         'time'])

        total_left_count = 0
        total_left_num = 0

 l2/l2_data_manager_new.py

@@ -862,7 +862,7 @@
                cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
            finally:
                l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}, 下单模式：{}", cancel_data["index"], cancel_msg,
                         f"{order_begin_pos.mode}")
                             f"{order_begin_pos.mode}")
        else:
            pass

@@ -1064,7 +1064,8 @@
                                                                 order_begin_pos.buy_exec_index,
                                                                 local_today_datas.get(code))
                        return False
                    l2_log.debug(code, "可以下单，原因：{}， 下单模式：{} 最小订单号：{}", reason, order_begin_pos.mode, order_begin_pos.min_order_no)
                    l2_log.debug(code, "可以下单，原因：{}， 下单模式：{} 最小订单号：{}", reason, order_begin_pos.mode,
                                 order_begin_pos.min_order_no)
                    l2_log.debug(code, "开始执行买入")
                    trade_manager.start_buy(code, capture_timestamp, last_data,
                                            last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
@@ -1405,14 +1406,14 @@
            # 扫入下单只有L撤能撤单
            if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL and cancel_type not in {
                trade_constant.CANCEL_TYPE_L_DOWN, trade_constant.CANCEL_TYPE_L, trade_constant.CANCEL_TYPE_RD,
                trade_constant.CANCEL_TYPE_P}:
                trade_constant.CANCEL_TYPE_P, trade_constant.CANCEL_TYPE_F}:
                l2_log.cancel_debug(code, "撤单中断，原因：{}", "扫入下单不是L撤")
                return False
            # 加绿只有L撤/人撤生效
            if gpcode_manager.GreenListCodeManager().is_in_cache(code):
                if cancel_type not in {trade_constant.CANCEL_TYPE_L, trade_constant.CANCEL_TYPE_L_UP,
                                       trade_constant.CANCEL_TYPE_L_DOWN, trade_constant.CANCEL_TYPE_RD,
                                       trade_constant.CANCEL_TYPE_P}:
                                       trade_constant.CANCEL_TYPE_P, trade_constant.CANCEL_TYPE_F}:
                    l2_log.cancel_debug(code, "撤单中断，原因：{}", "加绿不是L撤")
                    return False