重新启用F撤

Administrator

2024-04-09 1a548140ff25cc88b8bae67e4df6caefe0dadb74

重新启用F撤

 l2/cancel_buy_strategy.py

@@ -1642,6 +1642,62 @@
    def cancel_success(self, code):
        self.clear(code)

    # 下单3分钟内距离下单位置不足3笔且不到300w就需要撤单
    def need_cancel_for_deal_fast(self, code, trade_index=None):
        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:
                trade_index = trade_info[0]
        if trade_index is None:
            return False, "没获取到成交进度位"

        # 判断是否具有真实的下单位置
        real_order_index_info = self.__get_real_order_index_cache(code)
        if not real_order_index_info:
            return False, "没找到真实下单位"
        if real_order_index_info[1]:
            return False, "真实下单位为默认"
        if real_order_index_info[0] <= trade_index:
            return False, "真实下单位在成交位之前"
        real_order_index = real_order_index_info[0]
        # 统计未撤订单的数量与金额
        total_datas = local_today_datas.get(code)

        # 是否是下单3分钟内
        if tool.trade_time_sub(tool.get_now_time_str(), total_datas[real_order_index]['val']['time']) > 3 * 60:
            return False, "下单超过180s"

        THRESHOLD_COUNT = 3

        total_left_count = 0
        total_left_num = 0
        # 成交位到真实下单位剩余的未成交的单
        for i in range(trade_index, real_order_index_info[0]):
            data = total_datas[i]
            val = data["val"]
            if not L2DataUtil.is_limit_up_price_buy(val):
                continue
            if val["num"] * float(val["price"]) < 5000:
                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:
                total_left_count += left_count
                total_left_num += val["num"] * left_count
                if total_left_count > THRESHOLD_COUNT:
                    break
            if trade_index == i:
                dealing_info = HuaXinBuyOrderManager.get_dealing_order_info(code)
                if dealing_info and str(dealing_info[0]) == str(val["orderNo"]):
                    total_left_num -= dealing_info[1] // 100
        limit_up_price = gpcode_manager.get_limit_up_price(code)
        if total_left_count <= THRESHOLD_COUNT and limit_up_price and total_left_num * float(limit_up_price) < 300 * 100:
            return True, f"剩余笔数({total_left_count})/金额({round(total_left_num * float(limit_up_price) * 100)})不足，成交进度：{trade_index},真实下单位置：{real_order_index}"
        return False, "不满足撤单条件"

    # 距离太近，封单不足，有大单50w大单砸下来就撤
    def need_cancel_for_p(self, code, big_sell_order_info, order_begin_pos):
        if not order_begin_pos or not order_begin_pos.buy_exec_index or order_begin_pos.buy_exec_index < 0:
@@ -2039,10 +2095,8 @@
            return True, total_datas[cancel_half_index], f"B撤:撤单索引-{cancel_half_index}"
        return False, None, "还有大单没撤单"


    def place_order_success(self, code):
        self.clear(code)


    def cancel_success(self, code):
        self.clear(code)

 l2/l2_transaction_data_processor.py

@@ -106,7 +106,11 @@

                LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index,
                                                           total_datas)

                if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
                    cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code,buy_progress_index)
                    if cancel_result[0]:
                        L2TradeDataProcessor.cancel_buy(code, cancel_result[1])
                    HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
                                                                     buy_progress_index)
            else: