L上撤调整/以涨停买5价下单

Administrator

2023-10-12 9b9e97366af13d6184b28a15a066b3e72252e71e

L上撤调整/以涨停买5价下单

 constant.py

@@ -116,6 +116,8 @@
L_CANCEL_MIN_WATCH_COUNT = 10
# 撤单比例
L_CANCEL_RATE = 0.6
# L上撤单比例
L_CANCEL_RATE_UP = 0.7
# 大金额
L_CANCEL_BIG_MONEY = 100
# 小金额

 huaxin_client/l2_client.py

@@ -354,19 +354,6 @@
                # print("逐笔成交", item)
                l2_data_manager.add_transaction_detail(item)

        # logger_local_huaxin_l2_transaction.info(
        #     "OnRtnTransaction SecurityID[%s] TradePrice[%.2f] TradeVolume[%d] TradeTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d] ExecType[%s]" % (
        #         pTransaction['SecurityID'],
        #         pTransaction['TradePrice'],
        #         pTransaction['TradeVolume'],
        #         pTransaction['TradeTime'],
        #         pTransaction['MainSeq'],
        #         pTransaction['SubSeq'],
        #         pTransaction['BuyNo'],
        #         pTransaction['SellNo'],
        #         pTransaction['ExecType'],
        #     ))

    def OnRtnOrderDetail(self, pOrderDetail):
        can_listen = False
        code = str(pOrderDetail['SecurityID'])
@@ -580,7 +567,8 @@
pipe_strategy = None


def run(queue_trade_w_l2_r:multiprocessing.Queue, _pipe_strategy, _l2_data_callback: l2_data_transform_protocol.L2DataCallBack) -> None:
def run(queue_trade_w_l2_r: multiprocessing.Queue, _pipe_strategy,
        _l2_data_callback: l2_data_transform_protocol.L2DataCallBack) -> None:
    logger_system.info("L2进程ID：{}", os.getpid())
    logger_system.info(f"l2_client 线程ID:{tool.get_thread_id()}")
    try:

 l2/cancel_buy_strategy.py

@@ -664,8 +664,11 @@

    # 获取撤单比例
    @classmethod
    def get_cancel_rate(cls, code):
    def get_cancel_rate(cls, code,is_up=False):
        base_rate = constant.L_CANCEL_RATE
        if is_up:
            base_rate = constant.L_CANCEL_RATE_UP

        try:
            block_rate = 0
            if code in cls.__block_limit_up_count_dict:
@@ -884,7 +887,7 @@
            return
        total_datas = local_today_datas.get(code)
        MIN_MONEY = 99 * 100
        MAX_COUNT = 10
        MAX_COUNT = 15
        watch_indexes = set()
        total_num = 0
        # thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
@@ -1020,7 +1023,7 @@
                    canceled_indexes.append(canceled_data["index"])
                    canceled_count += total_data[wi]["re"]
            rate = round(canceled_count / total_count, 3)
            thresh_cancel_rate = LCancelRateManager.get_cancel_rate(code)
            thresh_cancel_rate = LCancelRateManager.get_cancel_rate(code,is_up=True)
            l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},成交位临近已撤单比例：{rate}/{thresh_cancel_rate}")
            if rate >= thresh_cancel_rate:
                canceled_indexes.sort()

 trade/trade_huaxin.py

@@ -37,6 +37,8 @@
    async_log_util.info(logger_trade, f"{code} trade_huaxin.order_volume 开始")
    try:
        price = round(float(price), 2)
        # todo 测试买5价下单
        price = price - 0.05
        if code.find("00") != 0 and code.find("60") != 0:
            raise Exception("只支持00开头与60开头的代码下单")
        # 保存下单信息