L撤/D撤接入

Administrator

2023-07-18 86192a7fd4bd7bde5745e82495c717967b8493a2

L撤/D撤接入

 inited_data.py

@@ -22,7 +22,7 @@

from third_data.history_k_data_util import HistoryKDatasUtils
from trade import l2_trade_util, trade_manager
from l2.cancel_buy_strategy import L2LimitUpSellStatisticUtil, LCancelBigNumComputer
from l2.cancel_buy_strategy import L2LimitUpSellStatisticUtil, LCancelBigNumComputer, DCancelBigNumComputer
from log_module.log import logger_juejin_tick, logger_system
from trade.trade_data_manager import CodeActualPriceProcessor
from trade.trade_queue_manager import JueJinBuy1VolumnManager
@@ -80,8 +80,10 @@
        trade_manager.ForbiddenBuyCodeByScoreManager.clear()
        # 清空暂停交易代码
        gpcode_manager.PauseBuyCodesManager.clear()

        # 清除L撤数据
        LCancelBigNumComputer.clear()
        # 清除D撤数据
        DCancelBigNumComputer.clear()


# 每日初始化

 l2/cancel_buy_strategy.py

@@ -355,7 +355,10 @@
            latest_progress_index = -1
        # 监听的数据
        watch_indexs_dict = {}
        total_nums = 0
        if start_index >= 1956:
            print("进入测试")
        # 初始化为1防止分母为0
        total_nums = 1
        if origin_progress_index is not None:
            # 获取成交位置到执行位置的监控数据
            watch_indexs = cls.__get_watch_index_set(code)[0]
@@ -804,8 +807,8 @@
                    is_first_code):
        time_space = tool.trade_time_sub(total_data[start_index]["val"]["time"],
                                         total_data[buy_exec_index]["val"]["time"])
        # 守护30s以外的数据
        if time_space <= constant.S_CANCEL_EXPIRE_TIME:
        # 守护S撤以外的数据
        if time_space <= constant.S_CANCEL_EXPIRE_TIME or int(tool.get_now_time_str().replace(":", "")) > int("145000"):
            return False, None
        watch_indexes = cls.__get_watch_indexes(code)
        if not watch_indexes:

 l2/l2_data_manager_new.py

@@ -15,7 +15,7 @@
from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager, \
    transaction_progress
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, L2LimitUpMoneyStatisticUtil, \
    L2LimitUpSellStatisticUtil, DCancelBigNumComputer
    L2LimitUpSellStatisticUtil, DCancelBigNumComputer, LCancelBigNumComputer
from l2.l2_data_manager import L2DataException, TradePointManager
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
    local_latest_datas
@@ -417,6 +417,24 @@
                l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算")
            return None, ""

        # L撤
        @dask.delayed
        def l_cancel():
            _start_time = round(t.time() * 1000)
            try:
                b_need_cancel, b_cancel_data = LCancelBigNumComputer.need_cancel(code,
                                                                                 buy_exec_index, start_index,
                                                                                 end_index, total_data,
                                                                                 local_today_num_operate_map.get(
                                                                                     code), is_first_code)
                if b_need_cancel and b_cancel_data:
                    return b_cancel_data, "L撤销比例触发阈值"
            except Exception as e:
                logging.exception(e)
            finally:
                l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")
            return None, ""

        # 板上卖撤
        @dask.delayed
        def sell_cancel():
@@ -464,9 +482,10 @@
        f4 = h_cancel()
        f5 = buy_1_cancel()
        f6 = sell_cancel()
        dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6)
        f7 = l_cancel()
        dask_result = is_need_cancel(f1, f2, f3, f4, f5, f6, f7)
        if is_first_code:
            dask_result = is_need_cancel(f3, f4)
            dask_result = is_need_cancel(f3, f4, f7)

        cancel_data, cancel_msg = dask_result.compute()


 test/l2_trade_test.py

@@ -88,7 +88,7 @@

    # @unittest.skip("跳过此单元测试")
    def test_trade(self):
        code = "002387"
        code = "002213"
        clear_trade_data(code)
        l2.l2_data_util.load_l2_data(code)
        total_datas = deepcopy(l2.l2_data_util.local_today_datas[code])

 trade/huaxin/trade_server.py

@@ -14,6 +14,7 @@
from l2 import l2_data_manager_new, l2_log, code_price_manager, l2_data_util, l2_data_manager, transaction_progress
from l2.cancel_buy_strategy import HourCancelBigNumComputer, LCancelBigNumComputer, DCancelBigNumComputer
from l2.huaxin import huaxin_target_codes_manager
from l2.l2_data_manager_new import L2TradeDataProcessor
from log_module.log import hx_logger_l2_upload, hx_logger_contact_debug, hx_logger_trade_callback, \
    hx_logger_l2_orderdetail, hx_logger_l2_transaction, hx_logger_l2_market_data, logger_l2_trade_buy_queue
from third_data import block_info
@@ -189,9 +190,19 @@
                                                                   buy_progress_index)
                                    buy_time = total_datas[buy_progress_index]["val"][
                                        "time"]
                                    HourCancelBigNumComputer.set_trade_progress(code, buy_time, buy_exec_index,
                                                                                buy_progress_index, total_datas,
                                                                                num_operate_map)
                                    limit_up_price = gpcode_manager.get_limit_up_price(code)
                                    if buy_exec_index:
                                        need_cancel, msg = DCancelBigNumComputer.set_trade_progress(code,
                                                                                                    buy_progress_index,
                                                                                                    buy_exec_index,
                                                                                                    total_datas,
                                                                                                    num_operate_map,
                                                                                                    num * 100 * float(
                                                                                                        limit_up_price),
                                                                                                    limit_up_price)
                                        if need_cancel:
                                            L2TradeDataProcessor.cancel_buy(code, f"D撤:{msg}", source="d_cancel")

                                    f1 = dask.delayed(HourCancelBigNumComputer.set_trade_progress)(code, buy_time,
                                                                                                   buy_exec_index,
                                                                                                   buy_progress_index,
@@ -204,15 +215,7 @@
                                                                                                 buy_progress_index,
                                                                                                 total_datas,
                                                                                                 num_operate_map)
                                    f4 = dask.delayed(DCancelBigNumComputer.set_trade_progress)(code,
                                                                                                buy_progress_index,
                                                                                                buy_exec_index,
                                                                                                total_datas,
                                                                                                num_operate_map,
                                                                                                1000 * 10000,
                                                                                                gpcode_manager.get_limit_up_price(
                                                                                                    code))
                                    dask.compute(f1, f2, f3, f4)
                                    dask.compute(f1, f2, f3)
                        except Exception as e:
                            hx_logger_l2_transaction.exception(e)