影子订单不参与处理

Administrator

2023-10-16 b6fddc2f32b5cde1181e6b9de2a3a952ea45a12b

影子订单不参与处理

 code_attribute/gpcode_manager.py

@@ -587,6 +587,12 @@
    return limit_up_price


def get_limit_up_price_cache(code):
    if code in __limit_up_price_dict:
        return __limit_up_price_dict[code]
    return None


def get_limit_up_price_by_preprice(price):
    if price is None:
        return None

 huaxin_client/trade_client.py

@@ -184,7 +184,7 @@
                shadow_cancel_order_ref = shadow_order_ref + 1
                self.cancel_buy(code, f"s_c_{shadow_order_ref}", order_sys_id=None,
                                order_ref=shadow_order_ref,
                                order_action_ref=shadow_cancel_order_ref, delay_s=0.05)
                                order_action_ref=None, delay_s=0.05)

        return ret


 trade/huaxin/huaxin_trade_api.py

@@ -70,20 +70,21 @@
                                limitPrice = data.get("limitPrice")
                                volume = data.get("volume")

                                order = HuaxinOrderEntity(code, orderStatus, orderRef, accountID, orderSysID,
                                                          insertTime=insertTime, acceptTime=acceptTime,
                                                          insertDate=insertDate, direction=direction)
                                TradeResultProcessor.process_order(order)

                                is_shadow_order = False
                                # 获取涨停价
                                limit_up_price = gpcode_manager.get_limit_up_price(code)

                                if limit_up_price and volume == huaxin_client_constant.SHADOW_ORDER_VOLUME and abs(
                                        float(limitPrice) - float(limit_up_price)) < 0.01:
                                    # 影子订单变化
                                    # 如果是影子订单就不应该更新
                                    pass
                                else:
                                    is_shadow_order = True

                                order = HuaxinOrderEntity(code, orderStatus, orderRef, accountID, orderSysID,
                                                          insertTime=insertTime, acceptTime=acceptTime,
                                                          insertDate=insertDate, direction=direction,
                                                          is_shadow_order=is_shadow_order)
                                TradeResultProcessor.process_order(order)

                                if not is_shadow_order:
                                    # 订单相关回调
                                    # 重新请求委托列表与资金
                                    huaxin_trade_data_update.add_delegate_list("来自交易管道")

 trade/huaxin/huaxin_trade_data_update.py

@@ -6,14 +6,13 @@
import threading
import time

from l2 import cancel_buy_strategy
from l2.l2_data_manager import TradePointManager
from code_attribute import gpcode_manager
from huaxin_client import constant as huaxin_client_constant
from log_module import async_log_util
from log_module.log import hx_logger_trade_debug, logger_system
from trade import trade_huaxin, trade_manager
from trade import trade_manager
from trade.huaxin import huaxin_trade_api, huaxin_trade_record_manager
from trade.huaxin.huaxin_trade_record_manager import TradeOrderIdManager
from trade.huaxin.huaxin_trade_order_processor import CancelOrderManager, HuaxinOrderEntity, TradeResultProcessor
from trade.huaxin.huaxin_trade_order_processor import HuaxinOrderEntity, TradeResultProcessor
from utils import huaxin_util

trade_data_request_queue = queue.Queue()
@@ -51,12 +50,20 @@
                                    acceptTime = d.get('acceptTime')
                                    insertDate = d.get('insertDate')
                                    direction = d.get("direction")

                                    limitPrice = d.get("limitPrice")
                                    volume = d.get("volume")
                                    # 获取涨停价
                                    is_shadow_order = False
                                    limit_up_price = gpcode_manager.get_limit_up_price_cache(code)
                                    if limit_up_price and volume == huaxin_client_constant.SHADOW_ORDER_VOLUME and abs(
                                            float(limitPrice) - float(limit_up_price)) < 0.01:
                                        is_shadow_order = True
                                    order = HuaxinOrderEntity(code, orderStatus, orderRef, accountID, orderSysID,
                                                              insertTime=insertTime, acceptTime=acceptTime,
                                                              insertDate=insertDate, direction=direction)
                                                              insertDate=insertDate, direction=direction,
                                                              is_shadow_order=is_shadow_order)
                                    TradeResultProcessor.process_order(order)
                                    if huaxin_util.is_can_cancel(orderStatus):
                                    if not is_shadow_order and huaxin_util.is_can_cancel(orderStatus):
                                        codes.append(code)
                                if codes:
                                    try:

 trade/huaxin/huaxin_trade_order_processor.py

@@ -19,7 +19,7 @@
class HuaxinOrderEntity:
    def __init__(self, code, orderStatus, orderRef, accountID, orderSysID, direction=None, insertDate=None,
                 insertTime=None,
                 acceptTime=None):
                 acceptTime=None, is_shadow_order=False):
        self.code = code
        self.orderStatus = orderStatus
        self.orderRef = orderRef
@@ -29,6 +29,7 @@
        self.insertDate = insertDate
        self.acceptTime = acceptTime
        self.direction = direction
        self.is_shadow_order = is_shadow_order


class CancelOrderManager:
@@ -133,6 +134,10 @@
        if order.direction != str(huaxin_util.TORA_TSTP_D_Buy):
            return

        # 只处理正式订单，不处理影子订单
        if order.is_shadow_order:
            return

        # 同一订单号只有状态变化了才需要处理
        key = f"{order.insertDate}_{order.code}_{order.orderSysID}_{order.orderStatus}"
        if key in cls.__processed_keys: