逼近成交时L后囊括范围修改

Administrator

2024-07-16 ce027c78134a354fb0e7d8808de674ea3884f7fc

逼近成交时L后囊括范围修改

 cancel_strategy/s_l_h_cancel_strategy.py

@@ -659,6 +659,8 @@

    __l_down_after_by_big_order_dict = {}

    # 权重
    __l_down_after_by_big_order_weight_dict = {}
    __instance = None

    def __new__(cls, *args, **kwargs):
@@ -773,6 +775,8 @@
            self.del_watch_index(code)
            if code in self.__l_down_after_by_big_order_dict:
                self.__l_down_after_by_big_order_dict.pop(code)
            if code in self.__l_down_after_by_big_order_weight_dict:
                self.__l_down_after_by_big_order_weight_dict.pop(code)
            if code in self.__real_place_order_index_dict:
                self.__real_place_order_index_dict.pop(code)
                RedisUtils.delete_async(self.__db, f"l_cancel_real_place_order_index-{code}")
@@ -797,6 +801,7 @@
            for k in keys:
                RedisUtils.delete(self.__get_redis(), k)
            self.__l_down_after_by_big_order_dict.clear()
            self.__l_down_after_by_big_order_weight_dict.clear()

        # 重新计算L上

@@ -1076,8 +1081,10 @@
        limit_up_price = round(float(limit_up_price), 2)
        bigger_num = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) // (limit_up_price * 100)
        min_num = 500000 // (limit_up_price * 100)
        count = -1
        index = -1
        watch_indexes = set()
        if code not in self.__l_down_after_by_big_order_weight_dict:
            self.__l_down_after_by_big_order_weight_dict[code] = {}
        for i in range(real_place_order_index + 1, total_datas[-1]["index"]):
            data = total_datas[i]
            val = data["val"]
@@ -1095,14 +1102,15 @@
                                                                                                         code))
            if left_count > 0:
                if val["num"] >= bigger_num:
                    if count < 0:
                    if index < 0:
                        # 开始计数
                        count = 0
                        index = 0
                    # 加入大单监听
                    self.__l_down_after_by_big_order_weight_dict[code][str(i)] = int(str(index))
                    watch_indexes.add(i)
                if count >= 0:
                    count += 1
                    if count > 10:
                if index >= 0:
                    index += 1
                    if index > 10:
                        break
        self.__l_down_after_by_big_order_dict[code] = watch_indexes
        l2_log.l_cancel_debug(code, f"L后后半段大单备用囊括范围：{watch_indexes}")
@@ -1345,6 +1353,16 @@
        watch_indexes_info = self.__get_watch_indexes_cache(code)
        if not watch_indexes_info:
            return False, None

        # 这是下单位置之后的索引: key为字符串
        after_place_order_index_dict = self.__get_cancel_l_down_after_place_order_index_dict(code)
        if after_place_order_index_dict is None:
            after_place_order_index_dict = {}
        after_place_order_index_by_dict = self.__l_down_after_by_big_order_weight_dict.get(code)
        if after_place_order_index_by_dict is None:
            after_place_order_index_by_dict = {}


        watch_indexes = set([int(i) for i in watch_indexes_info[2]])
        try:
            # 将备用订单加进去
@@ -1352,23 +1370,22 @@
            if watch_indexes_by:
                # 是否是下单30分钟内
                real_place_order_info = self.__real_place_order_index_dict.get(code)
                if real_place_order_info and tool.trade_time_sub(total_data[-1]["val"]["time"] , total_data[real_place_order_info[0]]["val"]["time"]) < 30*60:
                if real_place_order_info and tool.trade_time_sub(total_data[-1]["val"]["time"],
                                                                 total_data[real_place_order_info[0]]["val"][
                                                                     "time"]) < 30 * 60:
                    # 下单30分钟内有效
                    watch_indexes|=watch_indexes_by
                    watch_indexes |= watch_indexes_by
                else:
                    # 清除备用大单
                    watch_indexes_by.clear()
        except Exception as e:
            l2_log.l_cancel_debug(code,"将L2后后半段备用大单加入计算出错：{}", str(e))
            l2_log.l_cancel_debug(code, "将L2后后半段备用大单加入计算出错：{}", str(e))
        # 计算监听的总条数
        total_num = 0
        max_num = 0
        thresh_hold_rate, must_buy = LCancelRateManager.get_cancel_rate(code,
                                                                        total_data[buy_exec_index]["val"]["time"])
        # 这是下单位置之后的索引: key为字符串
        after_place_order_index_dict = self.__get_cancel_l_down_after_place_order_index_dict(code)
        if after_place_order_index_dict is None:
            after_place_order_index_dict = {}

        for wi in watch_indexes:
            if str(wi) in after_place_order_index_dict:
                # 如果加红就需要计算分母
@@ -1376,6 +1393,13 @@
                    total_num += total_data[wi]["val"]["num"] * (
                            10 - after_place_order_index_dict[str(wi)]) // 10
                continue
            elif str(wi) in after_place_order_index_by_dict:
                if must_buy:
                    total_num += total_data[wi]["val"]["num"] * (
                            10 - after_place_order_index_by_dict[str(wi)]) // 10
                continue


            total_num += total_data[wi]["val"]["num"] * total_data[wi]["re"]
            if total_data[wi]["val"]["num"] > max_num:
                max_num = total_data[wi]["val"]["num"]
@@ -1411,6 +1435,9 @@
                        # 真实下单位置之后的按照权重比例来计算
                        canceled_num += total_data[wi]["val"]["num"] * (
                                10 - after_place_order_index_dict[str(wi)]) // 10
                    elif str(wi) in after_place_order_index_by_dict:
                        canceled_num += total_data[wi]["val"]["num"] * (
                                10 - after_place_order_index_by_dict[str(wi)]) // 10
                    else:
                        canceled_num += total_data[wi]["val"]["num"]