删除老的F撤

Administrator

2024-01-12 ad3de9ee593d5ed555104b7229e26a71746ae477

删除老的F撤

 l2/cancel_buy_strategy.py

@@ -16,6 +16,7 @@
from db import redis_manager_delegate as redis_manager
from db.redis_manager_delegate import RedisUtils
from l2.code_price_manager import Buy1PriceManager
from l2.huaxin import l2_huaxin_util
from l2.l2_data_manager import OrderBeginPosInfo
from l2.l2_sell_manager import L2LimitUpSellManager
from log_module import async_log_util
@@ -36,6 +37,7 @@
    LCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index=buy_single_index)
    HourCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index)
    GCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index)
    FCancelBigNumComputer().set_real_order_index(code, index)


class SecondCancelBigNumComputer:
@@ -969,7 +971,7 @@
        self.__cancel_watch_index_info_cache[code] = (buy_single_index, re_compute, indexes)
        RedisUtils.delete_async(self.__db, f"l_cancel_watch_index_info-{code}")
        RedisUtils.setex_async(self.__db, f"l_cancel_watch_index_info-{code}", tool.get_expire(),
                               json.dumps ((buy_single_index, re_compute, list(indexes))))
                               json.dumps((buy_single_index, re_compute, list(indexes))))
        if indexes:
            trade_record_log_util.add_cancel_watch_indexes_log(code,
                                                               trade_record_log_util.CancelWatchIndexesInfo(
@@ -1499,197 +1501,17 @@
        self.clear(code)


# F撤
class FastCancelBigNumComputer:
    __db = 0
    __redis_manager = redis_manager.RedisManager(0)
    __cancel_real_order_index_cache = {}
    __watch_indexes_cache = {}
    __last_trade_progress_dict = {}

    __instance = None

    def __new__(cls, *args, **kwargs):
        if not cls.__instance:
            cls.__instance = super(FastCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)

            cls.__load_datas()
        return cls.__instance

    @classmethod
    def __load_datas(cls):
        __redis = cls.__get_redis()
        try:
            keys = RedisUtils.keys(__redis, "f_cancel_real_order_index-*")
            for k in keys:
                code = k.split("-")[-1]
                val = RedisUtils.get(__redis, k)
                CodeDataCacheUtil.set_cache(cls.__cancel_real_order_index_cache, code, int(val))
            keys = RedisUtils.keys(__redis, "f_cancel_watch_index-*")
            for k in keys:
                code = k.split("-")[-1]
                val = RedisUtils.get(__redis, k)
                val = set(json.loads(val))
                CodeDataCacheUtil.set_cache(cls.__watch_indexes_cache, code, val)
        finally:
            RedisUtils.realse(__redis)

    @classmethod
    def __get_redis(cls):
        return cls.__redis_manager.getRedis()

    def __set_real_order_index(self, code, index):
        CodeDataCacheUtil.set_cache(self.__cancel_real_order_index_cache, code, index)
        RedisUtils.setex_async(self.__db, f"f_cancel_real_order_index-{code}", tool.get_expire(), f"{index}")

    def __del_real_order_index(self, code):
        CodeDataCacheUtil.clear_cache(self.__cancel_real_order_index_cache, code)
        RedisUtils.delete_async(self.__db, f"f_cancel_real_order_index-{code}")

    def __get_real_order_index(self, code):
        val = RedisUtils.get(self.__db, f"f_cancel_real_order_index-{code}")
        if val:
            return int(val)
        return None

    def __get_real_order_index_cache(self, code):
        cache_result = CodeDataCacheUtil.get_cache(self.__cancel_real_order_index_cache, code)
        if cache_result[0]:
            return cache_result[1]
        return None

    def __set_watch_indexes(self, code, indexes):
        CodeDataCacheUtil.set_cache(self.__watch_indexes_cache, code, indexes)
        RedisUtils.setex_async(self.__db, f"f_cancel_watch_index-{code}", tool.get_expire(),
                               f"{json.dumps(list(indexes))}")

    def __get_watch_indexes(self, code):
        watch_indexes = self.__watch_indexes_cache.get(code)
        if watch_indexes:
            return watch_indexes
        return set()

    #
    def __compute_watch_indexes(self, code, begin_pos_info: OrderBeginPosInfo, total_datas):
        MAX_COUNT = constant.F_CANCEL_WATCH_COUNT
        watch_indexes = self.__get_watch_indexes(code)
        if watch_indexes and len(watch_indexes) >= MAX_COUNT:
            return
        # 计算开始计算位置
        total_money = 0
        c_start_index = begin_pos_info.buy_exec_index
        for i in range(begin_pos_info.buy_single_index, total_datas[-1]["index"] + 1):
            val = total_datas[i]["val"]
            if not L2DataUtil.is_limit_up_price_buy(val):
                continue
            money = val["num"] * float(val["price"])
            if money < 5000:
                continue
            total_money += int(money * 100)
            if total_money >= begin_pos_info.sell_info[1]:
                c_start_index = i
                break
        for i in range(c_start_index + 1, total_datas[-1]["index"] + 1):
            val = total_datas[i]["val"]
            if not L2DataUtil.is_limit_up_price_buy(val):
                continue
            if val["num"] * float(val["price"]) < 5000:
                continue
            watch_indexes.add(i)
            if len(watch_indexes) >= MAX_COUNT:
                break
        # 保存数据
        l2_log.f_cancel_debug(code, f"监听范围：{watch_indexes} 计算起始点：{c_start_index}")
        self.__set_watch_indexes(code, watch_indexes)

    def set_trade_progress(self, code, index):
        if self.__last_trade_progress_dict.get(code) == index:
            return
        self.__last_trade_progress_dict[code] = index

    def need_cancel(self, code, start_index, end_index, begin_pos_info: OrderBeginPosInfo):
        if begin_pos_info.mode != OrderBeginPosInfo.MODE_FAST:
            return False, None
        if code in self.__cancel_real_order_index_cache:
            # 获取到真实下单位置，不需要守护
            return False, None
        # 计算买入执行位置后的3笔涨停买
        total_datas = local_today_datas.get(code)
        self.__compute_watch_indexes(code, begin_pos_info, total_datas)
        watch_indexes = self.__get_watch_indexes(code)
        cancel_indexes = []
        if watch_indexes:
            # 判断其中一个是否撤单
            for i in watch_indexes:
                cancel_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
                                                                                                      i,
                                                                                                      total_datas,
                                                                                                      local_today_canceled_buyno_map.get(
                                                                                                          code))
                if cancel_data and cancel_data["index"] <= end_index:
                    cancel_indexes.append(cancel_data["index"])
            if len(cancel_indexes) / len(watch_indexes) >= constant.F_CANCEL_CACEL_RATE:
                cancel_indexes.sort()
                return True, total_datas[cancel_indexes[-1]]
        return False, None

    def clear(self, code=None):
        if code:
            self.__del_real_order_index(code)
        else:
            keys = RedisUtils.keys(self.__get_redis(), "f_cancel_real_order_index-*")
            if keys:
                for k in keys:
                    code = k.split("-")[1]
                    self.__del_real_order_index(code)

    # 设置真实的下单位置,返回是否需要撤单
    def set_real_order_index(self, code, index):
        self.__set_real_order_index(code, index)
        l2_log.f_cancel_debug(code, f"下单位置设置：{index}")
        trade_index = self.__last_trade_progress_dict.get(code)
        l2_log.f_cancel_debug(code, f"计算范围：{trade_index}-{index}")
        if trade_index:
            total_datas = local_today_datas.get(code)
            # 真实下单位置
            total_count = 0
            for i in range(trade_index + 1, index):
                data = total_datas[i]
                val = data["val"]
                if not L2DataUtil.is_limit_up_price_buy(val):
                    continue
                if val["num"] * float(val["price"]) < 5000:
                    continue
                left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
                                                                                                         total_datas,
                                                                                                         local_today_canceled_buyno_map.get(
                                                                                                             code))
                if left_count > 0:
                    total_count += left_count
                    if total_count >= 2:
                        l2_log.f_cancel_debug(code, f"交易进度距离下单位置纯买单数超过2单")
                        return False
        return True

    def place_order_success(self, code):
        self.clear(code)

    def cancel_success(self, code):
        self.clear(code)


# 新F撤，根据成交数据来撤
class FCancelBigNumComputer:
    __db = 0
    __redis_manager = redis_manager.RedisManager(0)
    __cancel_real_order_index_cache = {}
    __real_order_index_cache = {}

    __instance = None

    def __new__(cls, *args, **kwargs):
        if not cls.__instance:
            cls.__instance = super(FCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)

            cls.__load_datas()
        return cls.__instance

@@ -1701,7 +1523,7 @@
            for k in keys:
                code = k.split("-")[-1]
                val = RedisUtils.get(__redis, k)
                CodeDataCacheUtil.set_cache(cls.__cancel_real_order_index_cache, code, int(val))
                CodeDataCacheUtil.set_cache(cls.__real_order_index_cache, code, int(val))
        finally:
            RedisUtils.realse(__redis)

@@ -1710,11 +1532,11 @@
        return cls.__redis_manager.getRedis()

    def __set_real_order_index(self, code, index):
        CodeDataCacheUtil.set_cache(self.__cancel_real_order_index_cache, code, index)
        CodeDataCacheUtil.set_cache(self.__real_order_index_cache, code, index)
        RedisUtils.setex_async(self.__db, f"f_cancel_real_order_index-{code}", tool.get_expire(), f"{index}")

    def __del_real_order_index(self, code):
        CodeDataCacheUtil.clear_cache(self.__cancel_real_order_index_cache, code)
        CodeDataCacheUtil.clear_cache(self.__real_order_index_cache, code)
        RedisUtils.delete_async(self.__db, f"f_cancel_real_order_index-{code}")

    def __get_real_order_index(self, code):
@@ -1724,7 +1546,7 @@
        return None

    def __get_real_order_index_cache(self, code):
        cache_result = CodeDataCacheUtil.get_cache(self.__cancel_real_order_index_cache, code)
        cache_result = CodeDataCacheUtil.get_cache(self.__real_order_index_cache, code)
        if cache_result[0]:
            return cache_result[1]
        return None
@@ -1739,6 +1561,41 @@
                    code = k.split("-")[1]
                    self.__del_real_order_index(code)

    # 是否需要撤单
    def need_cancel(self, transaction_data):
        if not transaction_data:
            return False, "成交数据为空"
        if transaction_data[2] < 10000:
            return False, "成交量小于10000"
        # 成交100万以上才算
        if transaction_data[1]*transaction_data[2] < 1000000:
            return False, "金额不满足要求"
        code = transaction_data[0]
        real_order_index = self.__real_order_index_cache.get(code)
        if not real_order_index:
            return False, "真实下单位置没找到"
        # 守护15s
        now_time = l2_huaxin_util.convert_time(transaction_data[3])
        total_datas = local_today_datas.get(code)
        if not total_datas:
            return False, "L2数据为空"
        order_time = total_datas[real_order_index]["val"]["time"]
        if tool.trade_time_sub(now_time, order_time) > 15:
            return False, "只守护15s"
        buyno_map = local_today_buyno_map.get(code)
        if not buyno_map:
            return False, "没找到买单字典"
        buy_data = buyno_map.get(str(transaction_data[6]))
        if not buy_data:
            return False, f"没有找到对应买单({transaction_data[6]})"
        if not l2_data_util.is_big_money(buy_data["val"]):
            return False, f"不为大单"
        # 计算成交比例
        if transaction_data[2] > buy_data["val"]["num"] * 100 * 0.5:
            return True, "快速成交了50%以上"
        else:
            return False, ""

    # 设置真实的下单位置,返回是否需要撤单
    def set_real_order_index(self, code, index):
        self.__set_real_order_index(code, index)
@@ -1748,7 +1605,6 @@

    def cancel_success(self, code):
        self.clear(code)



# ---------------------------------G撤-------------------------------
@@ -1888,7 +1744,8 @@
            buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
                                                                                                local_today_buyno_map.get(
                                                                                                    code))
            if buy_index is not None and buy_index < real_place_order_index and (buy_index in watch_indexes or buy_index in watch_indexes_by):
            if buy_index is not None and buy_index < real_place_order_index and (
                    buy_index in watch_indexes or buy_index in watch_indexes_by):
                return True, data, ""
        return False, None, ""


 l2/l2_data_manager_new.py

@@ -23,7 +23,7 @@
from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
    transaction_progress, cancel_buy_strategy, l2_data_log
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
    LCancelBigNumComputer, LatestCancelIndexManager, FastCancelBigNumComputer, LCancelRateManager, GCancelBigNumComputer
    LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer
from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
    local_latest_datas, local_today_canceled_buyno_map
@@ -296,12 +296,6 @@
    @classmethod
    def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo):
        trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index)
        if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
            need_cancel = FastCancelBigNumComputer().set_real_order_index(code, index)
            if need_cancel:
                l2_log.debug(code, "触发撤单，撤单位置：{} ，撤单原因：{}", index, "F撤不够2笔触发撤单")
                cls.cancel_buy(code, msg="F撤不够2笔触发撤单")
                return
        l2_log.debug(code, "设置真实下单位：{}", index)
        cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index)

@@ -524,20 +518,6 @@
                pass
            return None, ""

        # F撤
        def f_cancel(_buy_single_index, _buy_exec_index):
            try:
                b_need_cancel, b_cancel_data = FastCancelBigNumComputer().need_cancel(code, start_index, end_index,
                                                                                      order_begin_pos)
                if b_need_cancel and b_cancel_data:
                    return b_cancel_data, f"F撤"
            except Exception as e:
                if constant.TEST:
                    logging.exception(e)
                async_log_util.error(logger_l2_error,
                                     f"F撤出错 参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 错误原因：{str(e)}")
                async_log_util.exception(logger_l2_error, e)
            return None, ""

        # L撤
        def l_cancel(_buy_single_index, _buy_exec_index):
@@ -593,9 +573,6 @@
        if order_begin_pos.buy_volume_rate is None:
            buy_volume_rate = 0.2
        cancel_data, cancel_msg = None, ""
        if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
            cancel_data, cancel_msg = f_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)

        if not cancel_data:
            cancel_data, cancel_msg = g_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)


 l2/l2_transaction_data_manager.py

@@ -10,7 +10,7 @@
from db.redis_manager_delegate import RedisUtils
from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_data_source_util
from l2.cancel_buy_strategy import LCancelRateManager, LCancelBigNumComputer, \
    SecondCancelBigNumComputer, HourCancelBigNumComputer, FastCancelBigNumComputer, UCancelBigNumComputer, \
    SecondCancelBigNumComputer, HourCancelBigNumComputer, \
    GCancelBigNumComputer
from l2.l2_data_manager_new import L2TradeDataProcessor
from l2.l2_data_util import L2DataUtil, local_today_canceled_buyno_map
@@ -150,8 +150,6 @@

                LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index,
                                                           total_datas)

                FastCancelBigNumComputer().set_trade_progress(code, buy_progress_index)
                SecondCancelBigNumComputer().set_transaction_index(
                    code,
                    buy_progress_index)

 trade/trade_result_manager.py

@@ -4,7 +4,7 @@
from code_attribute.gpcode_manager import MustBuyCodesManager
from l2 import l2_data_manager
from l2.cancel_buy_strategy import HourCancelBigNumComputer, SecondCancelBigNumComputer, \
    LCancelBigNumComputer, DCancelBigNumComputer, FastCancelBigNumComputer, GCancelBigNumComputer
    LCancelBigNumComputer, DCancelBigNumComputer, GCancelBigNumComputer, FCancelBigNumComputer
from l2.l2_data_manager import OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, local_today_num_operate_map
from l2.l2_sell_manager import L2MarketSellManager
@@ -64,7 +64,7 @@

    def f_cancel(code):
        try:
            FastCancelBigNumComputer().place_order_success(code)
            FCancelBigNumComputer().place_order_success(code)
        except Exception as e:
            logging.exception(e)
            logger_l2_error.exception(e)
@@ -89,7 +89,6 @@
        f_cancel(code)
        # 记录卖盘统计时间被用
        L2MarketSellManager().set_sell_time_used(code, order_begin_pos.sell_info[0])
        FastCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_exec_index)
    # 下单成功
    PlaceOrderCountManager().place_order(code)
    # 下单成功之后移除红名单
@@ -103,7 +102,7 @@
    SecondCancelBigNumComputer().cancel_success(code)
    DCancelBigNumComputer().cancel_success(code)
    LCancelBigNumComputer().cancel_success(code)
    FastCancelBigNumComputer().cancel_success(code)
    FCancelBigNumComputer().cancel_success(code)
    GCancelBigNumComputer().cancel_success(code)