新版深证下单完善

Administrator

2024-04-15 dc6e9831b77984b280b08ebb546a7ddf7e22733b

新版深证下单完善

 l2/l2_data_manager_new.py

@@ -2130,6 +2130,7 @@
        threshold_money = threshold_money_origin
        # 目标手数
        threshold_num = round(threshold_money / (limit_up_price * 100))
        bigger_threshold_num = round(5000 / (limit_up_price))

        # buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])

@@ -2168,6 +2169,8 @@
            #     threshold_num = round(threshold_money / (limit_up_price * 100))
            # 涨停买
            elif L2DataUtil.is_limit_up_price_buy(_val):
                if _val['num'] < bigger_threshold_num:
                    continue
                if l2_data_util.is_big_money(_val):
                    max_buy_num_set.add(i)
                trigger_buy = True

 log_module/log_export.py

@@ -531,9 +531,7 @@
def load_huaxin_active_sell_map(date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/logs/huaxin/trade/l2_active_sell.{date}.log"
    fdatas = {}
    if os.path.exists(path):
        with open(path, 'r', encoding="utf-8") as f:
            lines = f.readlines()
    lines = __load_file_content(path)
            for line in lines:
                if line:
                    try:
@@ -546,7 +544,6 @@
                        code = data[:data.find(" ")].strip()
                        data = data[data.find(" "):].strip()
                        data = eval(data)
                        l2_data = eval(data.split("#")[1])
                        if code not in fdatas:
                            fdatas[code] = set()
                        fdatas[code].add(data[0])
@@ -556,7 +553,7 @@


if __name__ == '__main__':
    fdatas = load_huaxin_transaction_sell_no("600990")
    fdatas = load_huaxin_active_sell_map()
    print(len(fdatas))
    # print(get_h_cancel_compute_info("603912"))


 utils/data_export_util.py

@@ -44,8 +44,11 @@

    sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
    sell_nos = sell_no_dict.get(code)

    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos)
    active_sell_map = log_export.load_huaxin_active_sell_map(date=date)
    active_sell_set = active_sell_map.get(code)
    if not active_sell_set:
        active_sell_set = set()
    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos, active_sell_set)
    return fdatas


@@ -58,7 +61,7 @@
    return fdatas


def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos):
def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,active_sell_nos):
    def find_process_index(index):
        for i in range(0, len(process_indexs)):
            if process_indexs[i][0] <= index <= process_indexs[i][1]:
@@ -91,6 +94,9 @@
    fdatas = []
    for data in datas:
        index += 1
        if data['val']['orderNo'] in active_sell_nos:
            # 过滤主动卖
            continue
        trade_info = find_trade_index(data["index"])
        if not trade_info:
            # 获取真实下单位置