| cancel_strategy/s_l_h_cancel_strategy.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| constant.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| trade/buy_radical/radical_buy_data_manager.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| trade/trade_result_manager.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 |
cancel_strategy/s_l_h_cancel_strategy.py
@@ -571,15 +571,21 @@ try: must_buy = cls.__MustBuyCodesManager.is_in_cache(code) if buy_mode == OrderBeginPosInfo.MODE_RADICAL: try: human_rate = CancelRateHumanSettingManager().get_l_down(code) if human_rate is None: human_rate = 0 except: human_rate = 0 if must_buy: # 扫入加红 return constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, True return max(constant.L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY, human_rate), True else: # 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) return threshold_rate, False return max(threshold_rate, human_rate), False else: deal_big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code, gpcode_manager.get_limit_up_price_as_num( @@ -588,7 +594,7 @@ threshold_rate = 0.5 * deal_rate + 0.35 threshold_rate = max(threshold_rate, 0.375) threshold_rate = min(threshold_rate, 0.8) return threshold_rate, False return max(threshold_rate, human_rate), False if must_buy: if is_up: return constant.L_CANCEL_RATE_UP_WITH_MUST_BUY, True @@ -668,6 +674,27 @@ total_buy_money = BigOrderDealManager().get_total_buy_money(code) total_sell_money = BigOrderDealManager().get_total_sell_money(code) cls.set_big_num_deal_info(code, total_buy_money, total_sell_money) @tool.singleton class CancelRateHumanSettingManager: """ 手动撤单率设置 """ def __init__(self): # L后撤单 self.l_down = {} def set_l_down(self, code, rate): self.l_down[code] = rate def get_l_down(self, code): return self.l_down.get(code) def remove_l_down(self, code): if code in self.l_down: self.l_down.pop(code) # 计算成交位置之后的大单（特定笔数）的撤单比例 @@ -1530,7 +1557,8 @@ trade_index = None canceled_buyno_map = local_today_canceled_buyno_map.get(code) for wi in watch_indexes: cancel_data = L2DataComputeUtil.is_canceled(code, wi, total_data, canceled_buyno_map, trade_index, deal_order_nos) cancel_data = L2DataComputeUtil.is_canceled(code, wi, total_data, canceled_buyno_map, trade_index, deal_order_nos) if cancel_data: if str(wi) in after_place_order_index_dict: # 真实下单位置之后的按照权重比例来计算 constant.py
@@ -138,7 +138,7 @@ L_CANCEL_RATE_WITH_MUST_BUY = 0.9 # 加红L后 L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY = 0.95 # 扫入加红 L_CANCEL_RATE_WITH_MUST_BUY_FOR_REDICAL_BUY = 0.9 # 扫入加红 L_CANCEL_RATE_WITH_HALF_MUST_BUY_FOR_REDICAL_BUY = 0.85 # 扫入半加红
@@ -625,7 +625,7 @@ @param count: @return: """ cls.__process_add_white(code) cls.__process_add_must(code) if gpcode_manager.MustBuyCodesManager().is_in_cache(code): return total_deal_big_order_result = get_total_deal_big_order_info(code, @@ -647,10 +647,10 @@ return gpcode_manager.MustBuyCodesManager().add_code(code) trade_record_log_util.add_must_buy(code, "累计成交大单足够") cls.__process_add_white(code) cls.__process_add_must(code) @classmethod def __process_add_white(cls, code): def __process_add_must(cls, code): """ 处理加白 @param code: @@ -658,7 +658,7 @@ """ if not constant.CAN_AUTO_ADD_WHITE: return if gpcode_manager.WhiteListCodeManager().is_in_cache(code): if gpcode_manager.MustBuyCodesManager().is_in_cache(code): return human_setting_money = TotalDealBigOrderThresholdMoneyManager().get_money_cache(code) if not human_setting_money: @@ -680,7 +680,7 @@ total_buy_data_list = BigOrderDealManager().get_total_buy_data_list(code) min_order_no = order_begin_pos.min_order_no if min_order_no is None: async_log_util.warning(logger_debug, "处理成交大单足够加白: 最小订单号为空") async_log_util.warning(logger_debug, "处理成交大单足够加红: 最小订单号为空") return bigger_money = l2_data_util.get_big_money_val(gpcode_manager.get_limit_up_price_as_num(code), tool.is_ge_code(code)) @@ -690,9 +690,9 @@ THRESHOLD_MONEY, is_temp_threshold_money = BeforeSubDealBigOrderManager().get_big_order_threshold_info( code) if deal_money >= 2 * THRESHOLD_MONEY: gpcode_manager.WhiteListCodeManager().add_code(code) trade_record_log_util.add_common_msg(code, "加白", f"{code}大单成交足够加白， 本批次成交金额-{deal_money}/{THRESHOLD_MONEY * 2} 累计大单金额：{total_deal_big_order_result[1]}/{total_deal_big_order_result[2]}") gpcode_manager.MustBuyCodesManager().add_code(code) trade_record_log_util.add_common_msg(code, "加红", f"{code}大单成交足够加红， 本批次成交金额-{deal_money}/{THRESHOLD_MONEY * 2} 累计大单金额：{total_deal_big_order_result[1]}/{total_deal_big_order_result[2]}") else: async_log_util.info(logger_debug, f"{code}-成交大单少({deal_money}/{2 * THRESHOLD_MONEY}，最小订单号-{order_begin_pos.min_order_no})，不能加白") @@ -722,20 +722,10 @@ @param code: @return: """ if 1 > 0: # 大单足够暂时不做处理 return # 如果加绿了就直接拉白 if gpcode_manager.GreenListCodeManager().is_in_cache(code): if gpcode_manager.WhiteListCodeManager().is_in_cache(code): return gpcode_manager.WhiteListCodeManager().add_code(code) trade_record_log_util.add_white_buy(code, "已加绿且大单足够") else: if gpcode_manager.MustBuyCodesManager().is_in_cache(code): return gpcode_manager.MustBuyCodesManager().add_code(code) trade_record_log_util.add_must_buy(code, "大单足够") # if not gpcode_manager.MustBuyCodesManager().is_in_cache(code): # gpcode_manager.MustBuyCodesManager().add_code(code) # trade_record_log_util.add_must_buy(code, "大单足够") pass class RadicalBuyBlockManager: trade/trade_result_manager.py
@@ -1,7 +1,7 @@ # 虚拟买成功 import logging from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer, CancelRateHumanSettingManager from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer from code_attribute.gpcode_manager import MustBuyCodesManager, GreenListCodeManager, WantBuyCodesManager, \ @@ -142,6 +142,7 @@ NewGCancelBigNumComputer().cancel_success(code) JCancelBigNumComputer().cancel_success(code) NBCancelBigNumComputer().cancel_success(code) CancelRateHumanSettingManager().remove_l_down(code) # 记录最近的撤单时间 if from_real_cancel: __latest_cancel_l2_data_dict[code] = total_datas[-1]
