gp-server.git - Gitblit

			@@ -541,7 +541,7 @@

			if watch_indexes or watch_indexes_up:
			watch_indexes \|= watch_indexes_up
			self.__save_watch_index_set(code, buy_single_index, watch_indexes)
			self.__save_watch_index_set(code, buy_single_index, watch_indexes)
			l2_log.h_cancel_debug(code, f"设置监听范围，数据范围：{real_place_order_index}-{end_index} 监听范围-{watch_indexes}")
			# 设置真实下单位置

			@@ -609,7 +609,7 @@
			temp_index = int(temp_count * 9 / 10)
			self.__start_compute_index_dict[code] = not_cancel_indexes[temp_index]
			except Exception as e:
			async_log_util.exception(logger_l2_h_cancel,e)
			async_log_util.exception(logger_l2_h_cancel, e)
			l2_log.h_cancel_debug(code, "设置真实下单位置出错：{}", str(e))

			def need_cancel(self, code, buy_single_index, buy_exec_index, start_index, end_index, total_data,
			@@ -807,7 +807,8 @@
			if temp_rate >= 1:
			if temp_rate > 3:
			temp_rate = 3
			deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4) if is_up else round((temp_rate * 10.5 - 7.5) / 100, 4)
			deal_rate = round((temp_rate * 3.5 - 2.5) / 100, 4) if is_up else round(
			(temp_rate * 10.5 - 7.5) / 100, 4)

			base_rate += block_rate
			base_rate += deal_rate
			@@ -905,7 +906,8 @@
			if indexes:
			trade_record_log_util.add_cancel_watch_indexes_log(code,
			trade_record_log_util.CancelWatchIndexesInfo(
			trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_DOWN,buy_single_index,
			trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_DOWN,
			buy_single_index,
			list(indexes)))

			def __get_watch_indexes(self, code):
			@@ -921,7 +923,8 @@
			if indexes:
			trade_record_log_util.add_cancel_watch_indexes_log(code,
			trade_record_log_util.CancelWatchIndexesInfo(
			trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_UP,buy_single_index,
			trade_record_log_util.CancelWatchIndexesInfo.CANCEL_TYPE_L_UP,
			buy_single_index,
			list(indexes)))
			self.__near_by_trade_progress_index_cache[code] = indexes
			RedisUtils.setex_async(self.__db, f"l_cancel_near_by_index-{code}", tool.get_expire(),
			@@ -960,108 +963,117 @@

			# 计算观察索引，倒序计算
			def compute_watch_index(self, code, buy_single_index, start_index, end_index):
			total_datas = local_today_datas.get(code)
			if total_datas:
			# 计算的上截至位距离下截至位纯买额要小于2.5倍m值
			# thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
			# thresh_hold_money = int(thresh_hold_money * 2.5)
			min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
			# 统计净涨停买的数量
			not_cancel_indexes = []
			re_start_index = start_index
			MAX_COUNT = 5
			for j in range(start_index, end_index):
			data = total_datas[j]
			val = data['val']
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue

			if val["num"] < min_num:
			continue

			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			j,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			not_cancel_indexes.append(j)
			if not_cancel_indexes:
			temp_count = len(not_cancel_indexes)
			# 取后1/3的数据
			if temp_count >= 30:
			temp_index = int(temp_count * 5 / 6)
			re_start_index = not_cancel_indexes[temp_index]
			MAX_COUNT = len(not_cancel_indexes[temp_index:])
			elif temp_count >= 5:
			re_start_index = not_cancel_indexes[-5]
			else:
			re_start_index = not_cancel_indexes[0]
			MIN_MONEYS = [300, 200, 100, 50]
			watch_indexes = set()
			for min_money in MIN_MONEYS:
			for i in range(end_index, re_start_index, -1):
			try:
			data = total_datas[i]
			val = data['val']
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			# 小金额过滤
			if float(val['price']) * val['num'] < min_money * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			i,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			if len(watch_indexes) >= MAX_COUNT:
			break
			except Exception as e:
			logger_l2_l_cancel.error(f"{code}: 范围： {start_index}-{end_index} 位置：{i}")
			logger_l2_l_cancel.exception(e)
			if len(watch_indexes) >= MAX_COUNT:
			break
			if watch_indexes:
			##判断监听的数据中是否有大单##
			has_big_num = False
			for i in watch_indexes:
			# 是否有大单
			data = total_datas[i]
			try:
			l2_log.l_cancel_debug(code, f"计算L后囊括范围：{start_index}-{end_index}")
			total_datas = local_today_datas.get(code)
			if total_datas:
			# 计算的上截至位距离下截至位纯买额要小于2.5倍m值
			# thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
			# thresh_hold_money = int(thresh_hold_money * 2.5)
			min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
			# 统计净涨停买的数量
			not_cancel_indexes = []
			re_start_index = start_index
			MAX_COUNT = 5
			for j in range(start_index, end_index):
			data = total_datas[j]
			val = data['val']
			if float(val['price']) * val['num'] > 100 * 100:
			has_big_num = True
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue

			if val["num"] < min_num:
			continue

			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			j,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			not_cancel_indexes.append(j)
			if not_cancel_indexes:
			temp_count = len(not_cancel_indexes)
			# 取后1/3的数据
			if temp_count >= 30:
			temp_index = int(temp_count * 5 / 6)
			re_start_index = not_cancel_indexes[temp_index]
			MAX_COUNT = len(not_cancel_indexes[temp_index:])
			elif temp_count >= 5:
			re_start_index = not_cancel_indexes[-5]
			else:
			re_start_index = not_cancel_indexes[0]
			MIN_MONEYS = [300, 200, 100, 50]
			watch_indexes = set()
			for min_money in MIN_MONEYS:
			for i in range(end_index, re_start_index, -1):
			try:
			data = total_datas[i]
			val = data['val']
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			# 小金额过滤
			if float(val['price']) * val['num'] < min_money * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
			code,
			i,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			if len(watch_indexes) >= MAX_COUNT:
			break
			except Exception as e:
			logger_l2_l_cancel.error(f"{code}: 范围： {start_index}-{end_index} 位置：{i}")
			logger_l2_l_cancel.exception(e)
			if len(watch_indexes) >= MAX_COUNT:
			break
			if not has_big_num:
			# 无大单，需要找大单
			for i in range(re_start_index, start_index, -1):
			if watch_indexes:
			##判断监听的数据中是否有大单##
			has_big_num = False
			for i in watch_indexes:
			# 是否有大单
			data = total_datas[i]
			val = data['val']
			# 涨停买，且未撤单
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			# 小金额过滤
			if float(val['price']) * val['num'] < 100 * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			i,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			if float(val['price']) * val['num'] > 100 * 100:
			has_big_num = True
			break
			self.__set_watch_indexes(code,buy_single_index, watch_indexes)
			l2_log.l_cancel_debug(code, f"设置监听范围，数据范围：{re_start_index}-{end_index} 监听范围-{watch_indexes}")
			if not has_big_num:
			# 无大单，需要找大单
			for i in range(re_start_index, start_index, -1):
			data = total_datas[i]
			val = data['val']
			# 涨停买，且未撤单
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			# 小金额过滤
			if float(val['price']) * val['num'] < 100 * 100:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
			code,
			i,
			total_datas,
			local_today_canceled_buyno_map.get(
			code))
			if left_count > 0:
			watch_indexes.add(i)
			break
			self.__set_watch_indexes(code, buy_single_index, watch_indexes)
			l2_log.l_cancel_debug(code, f"设置监听范围，数据范围：{re_start_index}-{end_index} 监听范围-{watch_indexes}")
			except Exception as e:
			l2_log.l_cancel_debug(code, f"计算L后囊括范围出错：{str(e)}")
			async_log_util.exception(logger_l2_l_cancel, e)

			# 设置真实下单位置
			def set_real_place_order_index(self, code, index, buy_single_index=None):
			l2_log.l_cancel_debug(code, f"设置真实下单位-{index}，buy_single_index-{buy_single_index}")
			self.__real_place_order_index_dict[code] = index
			if buy_single_index:
			self.compute_watch_index(code, buy_single_index, buy_single_index, index)
			if self.__last_trade_progress_dict.get(code):
			self.__compute_trade_progress_near_by_indexes(code,buy_single_index, self.__last_trade_progress_dict.get(code) + 1, index)
			self.__compute_trade_progress_near_by_indexes(code, buy_single_index,
			self.__last_trade_progress_dict.get(code) + 1, index)
			else:
			self.__compute_trade_progress_near_by_indexes(code, buy_single_index, buy_single_index, index)

			@@ -1072,7 +1084,8 @@
			if code not in self.__real_place_order_index_dict:
			return
			if code not in self.__last_l_up_compute_info or time.time() - self.__last_l_up_compute_info[code][0] >= 3:
			self.__compute_trade_progress_near_by_indexes(code,buy_single_index, self.__last_trade_progress_dict.get(code) + 1,
			self.__compute_trade_progress_near_by_indexes(code, buy_single_index,
			self.__last_trade_progress_dict.get(code) + 1,
			self.__real_place_order_index_dict.get(code))

			# 计算范围内的成交位临近未撤大单
			@@ -1111,7 +1124,7 @@
			# 保存数据
			if changed:
			l2_log.l_cancel_debug(code, f"设置成交位临近撤单监控范围：{watch_indexes} 计算范围：{start_index}-{end_index}")
			self.__set_near_by_trade_progress_indexes(code,buy_single_index, watch_indexes)
			self.__set_near_by_trade_progress_indexes(code, buy_single_index, watch_indexes)
			self.__last_l_up_compute_info[code] = (time.time(), watch_indexes)

			# 设置成交位置,成交位置变化之后相应的监听数据也会发生变化
			@@ -1121,7 +1134,8 @@
			self.__last_trade_progress_dict[code] = index

			# 重新计算成交位置临近大单撤单
			self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1, self.__real_place_order_index_dict.get(code))
			self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1,
			self.__real_place_order_index_dict.get(code))

			# 成交进度与L下撤无关
			# try:
			@@ -1140,7 +1154,6 @@
			def __compute_need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
			watch_indexes = self.__get_watch_indexes_cache(code)
			if not watch_indexes:

			return False, None
			watch_indexes = set([int(i) for i in watch_indexes])
			# 计算监听的总条数
			@@ -1412,7 +1425,7 @@
			if len(watch_indexes) >= MAX_COUNT:
			break
			# 保存数据
			l2_log.f_cancel_debug(code,f"监听范围：{watch_indexes} 计算起始点：{c_start_index}")
			l2_log.f_cancel_debug(code, f"监听范围：{watch_indexes} 计算起始点：{c_start_index}")
			self.__set_watch_indexes(code, watch_indexes)

			def set_trade_progress(self, code, index):

	l2/cancel_buy_strategy.py	213 ●●●●● 补丁 \| 查看 \| 原始文档 \| blame \| 历史
	l2/l2_data_manager_new.py	6 ●●●●● 补丁 \| 查看 \| 原始文档 \| blame \| 历史

			@@ -295,6 +295,7 @@
			l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}", index, "F撤不够2笔触发撤单")
			cls.cancel_buy(code, msg="F撤不够2笔触发撤单")
			return
			l2_log.debug(code, "设置真实下单位：{}",index)
			cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index)

			# 处理华鑫L2数据
			@@ -485,7 +486,8 @@
			logging.exception(e)
			async_log_util.error(logger_l2_error,
			f"H撤出错参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} {str(e)}")
			async_log_util.exception(logger_l2_error, e)
			# async_log_util.exception(logger_l2_error, e)
			logger_l2_error.exception(e)
			finally:
			# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算")
			pass
			@@ -520,7 +522,7 @@
			except Exception as e:
			async_log_util.error(logger_l2_error,
			f"L撤出错参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
			logger_l2_error.exception(e)
			# logger_l2_error.exception(e)
			async_log_util.exception(logger_l2_error, e)
			finally:
			# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")