真实下单位置计算方法修改

Administrator

2023-10-16 5ed30c03ddfedd4cf79cd8fea9fc45b05821d898

真实下单位置计算方法修改

 l2/huaxin/huaxin_delegate_postion_manager.py

@@ -3,9 +3,12 @@
"""
import time

from huaxin_client import constant as huaxin_client_constant
from l2 import l2_data_util
from l2.l2_data_util import L2DataUtil
from log_module import async_log_util
from log_module.log import hx_logger_trade_debug, logger_real_place_order_position
from utils import tool

_place_order_info_dict = {}

@@ -31,7 +34,7 @@


# L2数据列表
def get_l2_place_order_position(code, datas):
def get_l2_place_order_position(code, limit_up_price, datas):
    order_info = get_order_info(code)
    if not order_info:
        # 暂无下单信息
@@ -44,33 +47,61 @@
    is_sz = code.startswith("00")
    # 提交到交易所的时间预估
    min_space_time_ms = -1 if is_sz else 50

    shadow_place_order_index = None
    # 查找影子挂单
    for d in datas:
        val = d['val']
        # 判断影子订单位置
        if val["num"] != huaxin_client_constant.SHADOW_ORDER_VOLUME // 100:
            continue
        if abs(tool.get_buy_min_price(limit_up_price) - float(val["price"])) >= 0.01:
            continue
        if d["index"] <= exec_data["index"]:
            continue
        if L2DataUtil.time_sub_as_ms(val, exec_data['val']) >= 1000:
            continue
        shadow_place_order_index = d["index"]
        break
    if shadow_place_order_index is None:
        return None
    total_datas = l2_data_util.local_today_datas.get(code)
    start_index = max(shadow_place_order_index - 10, 0)
    end_index = min(shadow_place_order_index + 10, datas[-1]["index"])
    real_place_index = None
    # 从中间向两头遍历
    for i in range(shadow_place_order_index - 1, start_index, -1):
        d = total_datas[i]
        if d["val"]["num"] != volume // 100:
            continue
        if abs(float(price) - float(d["val"]["price"])) >= 0.01:
            continue

        # 必须是买入
        if not L2DataUtil.is_limit_up_price_buy(d["val"]):
            continue

        # 不可能比下单执行位置还早
        if d["index"] <= exec_data["index"]:
            continue
        # 时间差不能小于预估下单用时
        if L2DataUtil.time_sub_as_ms(d['val'], exec_data['val']) <= min_space_time_ms:
            continue
        # 真实下单位置与挂单位置不能相差1s
        if L2DataUtil.time_sub_as_ms(d["val"], exec_data['val']) >= 1000:
            continue
        # 获取到了下单位置
        async_log_util.info(hx_logger_trade_debug, f"真实下单位置：{code}-{d['index']}")
        async_log_util.info(logger_real_place_order_position, f"真实下单位置：{code}-{d['index']}")
        if code in _place_order_info_dict:
            _place_order_info_dict.pop(code)
        __place_order_position[code] = d['index']
        return d["index"]
    return None
        real_place_index = i
        break
    if not real_place_index:
        for i in range(shadow_place_order_index + 1, end_index):
            d = total_datas[i]
            if d["val"]["num"] != volume // 100:
                continue
            if abs(float(price) - float(d["val"]["price"])) >= 0.01:
                continue
            # 必须是买入
            if not L2DataUtil.is_limit_up_price_buy(d["val"]):
                continue
            real_place_index = i
            break
    if not real_place_index:
        real_place_index = shadow_place_order_index
    # 获取到了下单位置
    async_log_util.info(hx_logger_trade_debug, f"真实下单位置：{code}-{real_place_index}")
    async_log_util.info(logger_real_place_order_position, f"真实下单位置：{code}-{real_place_index}")
    if code in _place_order_info_dict:
        _place_order_info_dict.pop(code)
    __place_order_position[code] = real_place_index
    return real_place_index


# 获取真实下单位置

 l2/l2_data_manager_new.py

@@ -337,7 +337,8 @@
            if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
                try:
                    # 获取下单位置
                    place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, add_datas)
                    place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, float(
                        gpcode_manager.get_limit_up_price(code)), add_datas)
                    if place_order_index:
                        buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
                            code)
@@ -1304,6 +1305,7 @@
    except:
        pass


if __name__ == "__main__":
    test_trade_record()
    # yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]

 test/l2_trade_test.py

@@ -176,7 +176,7 @@
        l2.l2_data_util.load_l2_data(code)
        total_datas = deepcopy(l2.l2_data_util.local_today_datas[code])
        huaxin_delegate_postion_manager.place_order(code, 17.36, 100, total_datas[753])
        huaxin_delegate_postion_manager.get_l2_place_order_position(code,total_datas[755:1038])
        huaxin_delegate_postion_manager.get_l2_place_order_position(code, total_datas[755:1038])

    @unittest.skip("跳过此单元测试")
    def test_h_cancel(self):

 third_data/data_server.py

@@ -532,15 +532,15 @@
                                            current_limit_up_datas = []
                                        if not limit_up_record_datas:
                                            limit_up_record_datas = []
                                        if CodePlateKeyBuyManager.is_need_cancel(code, limit_up_reasons.get(code),
                                                                                 current_limit_up_datas,
                                                                                 limit_up_record_datas,
                                                                                 yesterday_current_limit_up_codes,
                                                                                 before_blocks_dict):
                                            # TODO 测试暂时注释
                                            l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code,
                                                                                                f"涨停原因（{limit_up_reasons.get(code)}）不是老大撤单",
                                                                                                "板块撤")
                                        # TODO 测试暂时注释
                                        # if CodePlateKeyBuyManager.is_need_cancel(code, limit_up_reasons.get(code),
                                        #                                          current_limit_up_datas,
                                        #                                          limit_up_record_datas,
                                        #                                          yesterday_current_limit_up_codes,
                                        #                                          before_blocks_dict):
                                        #     l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code,
                                        #                                                         f"涨停原因（{limit_up_reasons.get(code)}）不是老大撤单",
                                        #                                                         "板块撤")
                            except Exception as e:
                                logger_debug.exception(e)
                kpl_data_manager.KPLLimitUpDataRecordManager.save_record(tool.get_now_date_str(), result_list_)