L上撤阻断机制

Administrator

2023-10-12 ecbbd226f62dcf7a9a1c222ca308cc551ee34e9e

L上撤阻断机制

 l2/cancel_buy_strategy.py

@@ -664,7 +664,7 @@

    # 获取撤单比例
    @classmethod
    def get_cancel_rate(cls, code,is_up=False):
    def get_cancel_rate(cls, code, is_up=False):
        base_rate = constant.L_CANCEL_RATE
        if is_up:
            base_rate = constant.L_CANCEL_RATE_UP
@@ -1023,9 +1023,37 @@
                    canceled_indexes.append(canceled_data["index"])
                    canceled_count += total_data[wi]["re"]
            rate = round(canceled_count / total_count, 3)
            thresh_cancel_rate = LCancelRateManager.get_cancel_rate(code,is_up=True)
            thresh_cancel_rate = LCancelRateManager.get_cancel_rate(code, is_up=True)
            l2_log.l_cancel_debug(code, f"计算范围：{start_index}-{end_index},成交位临近已撤单比例：{rate}/{thresh_cancel_rate}")
            if rate >= thresh_cancel_rate:
                # 计算成交进度位置到当前下单位置的纯买额
                real_place_order_index = self.__real_place_order_index_dict.get(code)
                trade_progress_index = self.__last_trade_progress_dict.get(code)
                if real_place_order_index and trade_progress_index:
                    total_num = 0
                    thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
                    thresh_hold_money = thresh_hold_money * 2
                    # 阈值为2倍m值
                    thresh_hold_num = thresh_hold_money // (float(gpcode_manager.get_limit_up_price(code)) * 100)
                    for i in range(trade_progress_index + 1, real_place_order_index):
                        data = total_data[i]
                        val = data['val']
                        if not L2DataUtil.is_limit_up_price_buy(val):
                            continue
                        canceled_data = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_canceled_data_v2(code,
                                                                                                                i,
                                                                                                                total_data,
                                                                                                                local_today_canceled_buyno_map.get(
                                                                                                                    code))
                        if not canceled_data:
                            # 没有撤单
                            total_num += val["num"] * data["re"]
                            if total_num > thresh_hold_num:
                                # 成交位到下单位还有足够的单没撤
                                l2_log.l_cancel_debug(code,
                                                      f"L上撤阻断： 成交位-{trade_progress_index} 真实下单位-{real_place_order_index} 阈值-{thresh_hold_money}")
                                return False, None

                canceled_indexes.sort()
                l2_log.l_cancel_debug(code, f"L上撤单,撤单位置：{canceled_indexes[-1]}")
                return True, total_data[canceled_indexes[-1]]