L后稳定后囊括修复/真实下单位完善/单笔下单金额改为2w

Administrator

2024-07-24 8fbf059d5e60fd00d80d2033f5c466b9158f4f4d

L后稳定后囊括修复/真实下单位完善/单笔下单金额改为2w

 cancel_strategy/s_l_h_cancel_strategy.py

@@ -1841,8 +1841,9 @@
            if tool.trade_time_sub(total_datas[-1]["val"]["time"],
                                   canceled_buyno_map[orderNo]["val"]["time"]) < 10 * 60:
                continue
            val = total_datas[index]["val"]
            time_str = L2DataUtil.get_time_with_ms(val)
            # 统计撤单时间
            cancel_val = canceled_buyno_map[orderNo]["val"]
            time_str = L2DataUtil.get_time_with_ms(cancel_val)
            if time_str not in cancel_time_dict:
                cancel_time_dict[time_str] = set()
            cancel_time_dict[time_str].add(index)

 constant.py

@@ -181,7 +181,7 @@
########华鑫配置########
if not is_windows() or True:
    # 下单1手
    BUY_MONEY_PER_CODE = 500 if constant.IS_A else 15000
    BUY_MONEY_PER_CODE = 500 if constant.IS_A else 20000
    L2_SOURCE_TYPE = L2_SOURCE_TYPE_HUAXIN
    JUEJIN_LOCAL_API = False
    TRADE_WAY = TRADE_WAY_HUAXIN

 l2/huaxin/huaxin_delegate_postion_manager.py

@@ -89,6 +89,13 @@
# L2数据列表
# 范围（位置信息,可信的类型）
def get_l2_place_order_position(code, limit_up_price, datas):
    """
    计算真实下单位置
    @param code:
    @param limit_up_price:
    @param datas:
    @return:（真实下单位置，下单数据，真实下单计算类型）
    """
    order_info = get_order_info(code)
    if not order_info:
        # 暂无下单信息
@@ -134,6 +141,7 @@
        end_index = min(shadow_place_order_index + 10, datas[-1]["index"])
        real_place_index = None
        # 从中间向两头遍历
        # 从虚拟单位置向上找
        for i in range(shadow_place_order_index - 1, start_index - 1, -1):
            d = total_datas[i]
            if d["val"]["num"] != volume // 100:
@@ -146,6 +154,7 @@
            real_place_index = i
            break
        if not real_place_index:
            # 从虚拟单位置向下找
            for i in range(shadow_place_order_index + 1, end_index):
                d = total_datas[i]
                if d["val"]["num"] != volume // 100:
@@ -159,7 +168,9 @@
                break

        if not real_place_index:
            real_place_index_info = shadow_place_order_index, RELIABILITY_TYPE_VIRTUAL
            # 与真实下单下单时间超过500ms才能以虚拟单的位置作为真实下单位置
            if time.time() - order_time > 0.5:
                real_place_index_info = shadow_place_order_index, RELIABILITY_TYPE_VIRTUAL
        else:
            real_place_index_info = real_place_index, RELIABILITY_TYPE_REAL
    elif tool.trade_time_sub(datas[-1]['val']['time'], exec_data['val']['time']) >= estimate_time_space and time.time() - order_time >5:
@@ -174,18 +185,18 @@
        if code in _place_order_info_dict:
            _place_order_info_dict.pop(code)
        __place_order_position[code] = real_place_index_info[0]
        return real_place_index_info[0], order_info
        return real_place_index_info[0], order_info, real_place_index_info[1]
    else:
        return None, order_info
        return None, order_info, None


# 因为L2数据慢的问题而重新计算
def recompute_for_slow_time(code, order_info, real_place_index):
def recompute_for_slow_time(code, order_info, real_place_index, compute_type):
    try:
        # 计算当前时间是否满足时间条件
        now_time_str = tool.get_now_time_str()
        if tool.trade_time_sub(now_time_str, "09:30:00") < 60 or 0 <= tool.trade_time_sub(now_time_str,
                                                                                          "13:00:00") <= 60:
                                                                                          "13:00:00") <= 60 or compute_type == RELIABILITY_TYPE_VIRTUAL:
            price = order_info[0]
            volume = order_info[1]
            exec_data = order_info[2]

 l2/l2_data_manager_new.py

@@ -361,9 +361,10 @@
            origin_datas.clear()

    @classmethod
    def __recompute_real_order_index(cls, code, pre_real_order_index, order_info):
    def __recompute_real_order_index(cls, code, pre_real_order_index, order_info, compute_type):
        # 因为数据慢的问题重新计算
        real_order_index = huaxin_delegate_postion_manager.recompute_for_slow_time(code, order_info,
                                                                                   pre_real_order_index)
                                                                                   pre_real_order_index, compute_type)
        if real_order_index:
            try:
                exec_index = order_info[6]
@@ -400,7 +401,7 @@
                        #     cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
                    else:
                        # 获取下单位置
                        place_order_index, order_info = huaxin_delegate_postion_manager.get_l2_place_order_position(
                        place_order_index, order_info, compute_type = huaxin_delegate_postion_manager.get_l2_place_order_position(
                            code, float(
                                gpcode_manager.get_limit_up_price(code)), add_datas)
                        if place_order_index:
@@ -409,7 +410,7 @@
                            cls.set_real_place_order_index(code, place_order_index, order_begin_pos)
                            try:
                                cls.__re_compute_threading_pool.submit(
                                    cls.__recompute_real_order_index, code, place_order_index, order_info)
                                    cls.__recompute_real_order_index, code, place_order_index, order_info, compute_type)
                            except:
                                pass
                            async_log_util.info(logger_l2_process, f"code:{code} 获取到下单真实位置：{place_order_index}")
@@ -1271,8 +1272,11 @@
            if cancel_index is None:
                cancel_index = total_datas[-1]["index"]
            cls.__LatestCancelIndexManager.set_latest_cancel_index(code, cancel_index)

            # 记录撤单日志
            real_place_order_index = SCancelBigNumComputer().get_real_place_order_index_cache(code)
            # 添加撤单日志记录
            trade_record_log_util.add_cancel_msg_log(code, msg)
            trade_record_log_util.add_cancel_msg_log(code, real_place_order_index, msg)
            cancel_result = cls.__cancel_buy(code)
            if cancel_result:
                trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,

 trade/trade_record_log_util.py

@@ -18,7 +18,7 @@

class PlaceOrderInfo(object):
    def __init__(self, buy_single_index=None, buy_exec_index=None, m_val=None, safe_count=None, big_num_indexes=None,
                 kpl_blocks=None, kpl_match_blocks=None, mode=None, mode_desc=None, sell_info = None):
                 kpl_blocks=None, kpl_match_blocks=None, mode=None, mode_desc=None, sell_info=None):
        self.buy_single_index = buy_single_index
        self.buy_exec_index = buy_exec_index
        self.m_val = m_val
@@ -126,8 +126,8 @@


# 添加撤单信息
def add_cancel_msg_log(code, msg):
    __add_log(TYPE_CANCEL, code, {"msg": msg})
def add_cancel_msg_log(code, real_place_order_index, msg):
    __add_log(TYPE_CANCEL, code, {"msg": msg, "real_place_order_index": real_place_order_index})


if __name__ == "__main__":