parent: 7e8854fb | 补丁 | 提交 | ignore whitespace
Administrator
2023-08-23 a587a61c11a43182a13f1c04e276839299629e4e 
L撤参数修改
4个文件已修改
47 ■■■■■ 已修改文件
constant.py 6 ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史
l2/cancel_buy_strategy.py 23 ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史
log_module/log.py 5 ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史
trade/huaxin/trade_server.py 13 ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 
 constant.py


@@ -114,6 +114,12 @@


# 最小金额


L_CANCEL_MIN_MONEY = 50




# 小金额订单数量


L_CANCEL_MIN_MONEY_COUNT = 2




# 大金额


L_CANCEL_BIG_MONEY = 100




# 华鑫L2的卡位数量


HUAXIN_L2_MAX_CODES_COUNT = 50






 l2/cancel_buy_strategy.py


@@ -503,7 +503,6 @@




        processed_index, cancel_num = self.__get_compute_data_cache(code)






        # 获取下单次数


        cancel_rate_threshold = self.__hCancelParamsManager.get_cancel_rate(volume_index)


        process_index = start_index


@@ -532,10 +531,10 @@


                val = data["val"]


                if L2DataUtil.is_limit_up_price_buy_cancel(val):


                    # 查询买入位置


                    l2_log.cancel_debug(code,"查询买入位置开始：{}",i)


                    l2_log.cancel_debug(code, "查询买入位置开始：{}", i)


                    buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, data,


                                                                                                     local_today_num_operate_map)


                    l2_log.cancel_debug(code, "查询买入位置结束:{}",i)


                    l2_log.cancel_debug(code, "查询买入位置结束:{}", i)


                    if buy_index is not None and buy_index in watch_indexs_dict:


                        has_watch_canceled = True


                        cancel_num += data["re"] * val["num"]


@@ -964,13 +963,23 @@


            return




        watch_indexes = set()


        # 小金额


        watch_indexes_small_money = set()


        for i in range(index + 1, total_data[-1]["index"] + 1):


            data = total_data[i]


            val = data['val']


            if not L2DataUtil.is_limit_up_price_buy(val):


                continue


            if val["num"] * float(val["price"]) <= constant.L_CANCEL_MIN_MONEY * 100:


            money = val["num"] * float(val["price"])


            if money <= constant.L_CANCEL_MIN_MONEY * 100:


                continue


            is_small_money = money < constant.L_CANCEL_BIG_MONEY * 100




            if len(


                    watch_indexes_small_money) >= constant.L_CANCEL_MIN_MONEY_COUNT and is_small_money:


                # 小金额的个数已满


                continue




            cancel_datas = local_today_num_operate_map.get(


                "{}-{}-{}".format(val["num"], "1", val["price"]))


            canceled = False


@@ -983,6 +992,10 @@


                        break


            if not canceled:


                watch_indexes.add(i)


                if is_small_money:


                    # 添加小金额


                    watch_indexes_small_money.add(i)




                if len(watch_indexes) >= constant.L_CANCEL_MAX_WATCH_COUNT:


                    break


        logger_l2_l_cancel.info(f"{code}:设置监听范围，成交进度-{index} 监听范围-{watch_indexes}")


@@ -1006,7 +1019,7 @@


        # 计算监听的总条数


        total_num = 0


        for wi in watch_indexes:


            total_num += total_data[wi]["re"]*int(total_data[wi]["val"]["num"])


            total_num += total_data[wi]["re"] * int(total_data[wi]["val"]["num"])


        # 判断撤单中是否有监听中的索引


        need_compute = False


        for i in range(start_index, end_index + 1):




 log_module/log.py


@@ -60,6 +60,10 @@


                   filter=lambda record: record["extra"].get("name") == "l_cancel",


                   rotation="00:00", compression="zip", enqueue=True)




        logger.add(self.get_path("l2", "cancel/g_cancel"),


                   filter=lambda record: record["extra"].get("name") == "g_cancel",


                   rotation="00:00", compression="zip", enqueue=True)




        logger.add(self.get_path("l2", "cancel/d_cancel"),


                   filter=lambda record: record["extra"].get("name") == "d_cancel",


                   rotation="00:00", compression="zip", enqueue=True)


@@ -267,6 +271,7 @@


logger_l2_h_cancel = __mylogger.get_logger("h_cancel")


logger_l2_d_cancel = __mylogger.get_logger("d_cancel")


logger_l2_l_cancel = __mylogger.get_logger("l_cancel")


logger_l2_g_cancel = __mylogger.get_logger("g_cancel")


logger_l2_trade_buy = __mylogger.get_logger("l2_trade_buy")


logger_l2_trade_queue = __mylogger.get_logger("l2_trade_queue")


logger_l2_trade_buy_queue = __mylogger.get_logger("l2_trade_buy_queue")




 trade/huaxin/trade_server.py


@@ -30,7 +30,8 @@


from l2.l2_data_manager_new import L2TradeDataProcessor


from log_module import async_log_util


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


    hx_logger_l2_orderdetail, hx_logger_l2_transaction, hx_logger_l2_market_data, logger_l2_trade_buy_queue, \


    logger_l2_g_cancel


from third_data import block_info, kpl_api, kpl_data_manager


from third_data.code_plate_key_manager import KPLCodeJXBlockManager, CodePlateKeyBuyManager


from third_data.history_k_data_util import JueJinApi, HistoryKDatasUtils


@@ -181,7 +182,8 @@


                            code = data["code"]


                            timestamp = data.get("time")


                            datas = data["data"]


                            async_log_util.info(hx_logger_l2_orderdetail,f"{code}#{timestamp}->{int(time.time()*1000)}#{datas}")


                            async_log_util.info(hx_logger_l2_orderdetail,


                                                f"{code}#耗时：{int(time.time() * 1000) - timestamp}#{datas}")


                            l2_log.threadIds[code] = random.randint(0, 100000)


                            l2_data_manager_new.L2TradeDataProcessor.process_huaxin(code, datas)


                        finally:


@@ -345,12 +347,7 @@


                        data = data_json["data"]


                        code = data["code"]


                        order_no = data["data"]


                        hx_logger_l2_upload.info(f"{code}-正在成交的订单撤单，order_no:{order_no}")


                        # buyno_map = l2_data_util.local_today_buyno_map.get(code)


                        # if buyno_map:


                        #     l2_data = buyno_map.get(order_no)


                        #     buyno_map.get(order_no)


                        # 执行撤单


                        logger_l2_g_cancel.info(f"{code}-正在成交的订单撤单，order_no:{order_no}")


                        l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code, "G撤撤单", "G撤")


                else:


                    # 断开连接