From 38395204ab04bbca22a5e22be988d826afd5b227 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 10 十一月 2022 15:46:27 +0800
Subject: [PATCH] 修复bug，优化下单
---
l2_data_manager_new.py | 370 +++++++++++++++++++++++++++++++++++++++++++++++++---
1 files changed, 348 insertions(+), 22 deletions(-)
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index 4c01846..52f1f4f 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -1,4 +1,5 @@
import datetime
+import json
import logging
import random
import time as t
@@ -18,8 +19,8 @@
import tool
import trade_manager
from l2_data_manager import L2DataException, TradePointManager, local_today_datas, L2DataUtil, load_l2_data, \
- local_today_num_operate_map, L2LimitUpMoneyStatisticUtil
-from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process
+ local_today_num_operate_map
+from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy, logger_l2_process, logger_buy_1_volumn
# TODO l2鏁版嵁绠＄悊
from trade_data_manager import CodeActualPriceProcessor
@@ -205,8 +206,6 @@
total_datas = local_today_datas[code]
__start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, "l2鏁版嵁棰勫鐞嗘椂闂�")
if len(add_datas) > 0:
-
- _start_time = round(t.time() * 1000)
latest_time = add_datas[len(add_datas) - 1]["val"]["time"]
# 鏃堕棿宸笉鑳藉お澶ф墠鑳藉鐞�
# TODO 鏆傛椂鍏抽棴澶勭悊
@@ -236,9 +235,12 @@
# 澶勭悊鏈寕鍗�
@classmethod
def __process_not_order(cls, code, start_index, end_index, capture_time):
- _start_time = t.time()
+ __start_time = t.time()
# 鑾峰彇闃堝��
threshold_money, msg = cls.__get_threshmoney(code)
+ if round(t.time() * 1000) - __start_time > 10:
+ __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
+ "鑾峰彇m鍊兼暟鎹�楁椂")
cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time)
# 澶勭悊宸叉寕鍗�
@@ -262,7 +264,7 @@
if cancel_data:
cls.debug(code, "瑙﹀彂鎾ゅ崟锛屾挙鍗曚綅缃細{} 锛屾挙鍗曞師鍥狅細{}", cancel_data["index"], cancel_msg)
# 鎾ゅ崟
- cls.cancel_buy(code,cancel_msg)
+ cls.cancel_buy(code, cancel_msg)
# 缁х画璁＄畻涓嬪崟
cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time)
else:
@@ -304,6 +306,11 @@
@classmethod
def __can_buy(cls, code):
+ # 閲忔瘮瓒呰繃1.3鐨勪笉鑳戒拱
+ volumn_rate = l2_trade_factor.L2TradeFactorUtil.get_volumn_rate_by_code(code)
+ if volumn_rate >= 1.3:
+ return False, "鏈�澶ч噺姣旇秴杩�1.3涓嶈兘涔�"
+
limit_up_time = limit_up_time_manager.get_limit_up_time(code)
if limit_up_time is not None and l2_data_manager.L2DataUtil.get_time_as_second(
limit_up_time) >= l2_data_manager.L2DataUtil.get_time_as_second(
@@ -320,7 +327,8 @@
if cls.__codeActualPriceProcessor.is_under_water(code):
# 姘翠笅鎹炰笖鏉垮潡涓殑绁ㄥ皬浜�21涓嶈兘涔�
- if global_util.industry_hot_num.get(industry) <= 16:
+ if global_util.industry_hot_num.get(industry) is not None and global_util.industry_hot_num.get(
+ industry) <= 16:
return False, "姘翠笅鎹�,鏉垮潡涓殑绁ㄥ皬浜�2鍙�,涓簕}".format(global_util.industry_hot_num.get(industry))
if codes_index.get(code) != 0:
@@ -418,19 +426,19 @@
# 濡傛灉鏄粖澶╃涓�娆℃湁涓嬪崟寮�濮嬩俊鍙凤紝闇�瑕佽缃ぇ鍗曡捣濮嬬偣
cls.l2BigNumForMProcessor.set_begin_pos(code, buy_single_index)
+ _start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "涓嬪崟淇″彿璁＄畻鏃堕棿")
+
if buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
- _start_time = t.time()
-
# 璁＄畻m鍊煎ぇ鍗�
cls.l2BigNumForMProcessor.process(code, max(buy_single_index, compute_start_index), compute_end_index,
gpcode_manager.get_limit_up_price(code))
- _start_time = t.time()
+
+ _start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "璁＄畻m鍊煎ぇ鍗�")
threshold_money, msg = cls.__get_threshmoney(code)
- _start_time = t.time()
# 涔板叆绾拱棰濈粺璁�
compute_index, buy_nums, buy_count, rebegin_buy_pos = cls.__sum_buy_num_for_order_3(code, max(buy_single_index,
compute_start_index),
@@ -438,10 +446,10 @@
count, threshold_money,
buy_single_index,
capture_time)
+ _start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "绾拱棰濈粺璁℃椂闂�")
cls.debug(code, "m鍊�-{} m鍊煎洜瀛�-{}", threshold_money, msg)
- _start_time = t.time()
# 涔板叆淇″彿浣嶄笌璁＄畻浣嶇疆闂撮殧2s鍙婁互涓婁簡
if rebegin_buy_pos is not None:
# 闇�瑕侀噸鏂拌绠楃函涔伴
@@ -463,6 +471,8 @@
# 娑ㄥ仠灏佸崟棰濊绠�
L2LimitUpMoneyStatisticUtil.process_data(code, buy_single_index, compute_index, buy_single_index, False)
+
+ _start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "璁板綍鎵ц涔板叆鏁版嵁")
# 鏁版嵁鏄惁澶勭悊瀹屾瘯
if compute_index >= compute_end_index:
@@ -542,12 +552,42 @@
def __get_threshmoney(cls, code):
return l2_trade_factor.L2TradeFactorUtil.compute_m_value(code)
+ # 鏄惁涓轰竾鎵嬪摜
+ @classmethod
+ def __is_big_money(cls, limit_up_price, val):
+ if int(val["num"]) >= 7888:
+ return True
+ if int(val["num"]) * limit_up_price >= 29900:
+ return True
+ return False
+
+ # 璁＄畻涓囨墜鍝ョ瑪鏁�
+ @classmethod
+ def __compute_big_money_count(cls, total_datas, start_index, end_index):
+ count = 0
+ for i in range(start_index, end_index + 1):
+ if L2DataUtil.is_limit_up_price_buy(total_datas[i]["val"]):
+ count += total_datas[i]["re"]
+ elif L2DataUtil.is_limit_up_price_buy_cancel(total_datas[i]["val"]):
+ count -= total_datas[i]["re"]
+ return count
+
# 缁熻涔板叆鍑�涔伴噺锛屼笉璁＄畻鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶇殑涔版挙鍗�
@classmethod
def __sum_buy_num_for_order_3(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
threshold_money, buy_single_index, capture_time):
+ def get_threshold_count():
+ count = threshold_count - sub_threshold_count
+ if count < 3:
+ count = 3
+ return count
_start_time = t.time()
total_datas = local_today_datas[code]
+ # 璁＄畻浠庝拱鍏ヤ俊鍙峰紑濮嬪埌璁＄畻寮�濮嬩綅缃殑澶у崟鏁伴噺
+ sub_threshold_count = cls.__compute_big_money_count(total_datas, buy_single_index, compute_start_index - 1)
+ if sub_threshold_count < 0:
+ sub_threshold_count = 0
+
buy_nums = origin_num
buy_count = origin_count
limit_up_price = gpcode_manager.get_limit_up_price(code)
@@ -563,7 +603,8 @@
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
- if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds > 1:
+ # 蹇呴』涓鸿繛缁�3绉掑唴鐨勬暟鎹�
+ if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds > 2:
TradePointManager.delete_buy_point(code)
if i == compute_end_index:
# 鏁版嵁澶勭悊瀹屾瘯
@@ -573,16 +614,19 @@
for ii in range(buy_single_index + 1, compute_end_index + 1):
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
return None, buy_nums, buy_count, ii
-
# 娑ㄥ仠涔�
if L2DataUtil.is_limit_up_price_buy(_val):
+ if cls.__is_big_money(limit_up_price,_val):
+ sub_threshold_count += int(total_datas[i]["re"])
# 娑ㄥ仠涔�
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
buy_count += int(total_datas[i]["re"])
- if buy_nums >= threshold_num and buy_count >= threshold_count:
- logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿}", code, i, buy_nums,
- threshold_num, buy_count, threshold_count)
+ if buy_nums >= threshold_num and buy_count >= get_threshold_count():
+ logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿}, 澶у崟鏁伴噺锛歿}", code, i, buy_nums,
+ threshold_num, buy_count, get_threshold_count(),sub_threshold_count)
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
+ if cls.__is_big_money(limit_up_price, _val):
+ sub_threshold_count -= int(total_datas[i]["re"])
# 娑ㄥ仠涔版挙
# 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(total_datas[i],
@@ -608,12 +652,12 @@
cls.buy_debug(code, "浣嶇疆-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", i,
buy_nums, threshold_num)
# 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
- if buy_nums >= threshold_num and buy_count >= threshold_count:
+ if buy_nums >= threshold_num and buy_count >= get_threshold_count():
return i, buy_nums, buy_count, None
- cls.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿}", compute_start_index,
+ cls.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿} 澶у崟鏁伴噺锛歿}", compute_start_index,
buy_nums,
- threshold_num, buy_count, threshold_count)
+ threshold_num, buy_count, get_threshold_count(),sub_threshold_count)
return None, buy_nums, buy_count, None
@@ -682,8 +726,290 @@
print("鏃堕棿鑺辫垂:", round((t.time() - _start) * 1000))
pass
+ @classmethod
+ def test2(cls):
+ code = "002864"
+ load_l2_data(code)
+ limit_up_time_manager.load_limit_up_time()
+ limit_up_time = limit_up_time_manager.get_limit_up_time(code)
+ if limit_up_time is not None and l2_data_manager.L2DataUtil.get_time_as_second(
+ limit_up_time) >= l2_data_manager.L2DataUtil.get_time_as_second(
+ "14:30:00"):
+ return False, "14:30鍚庢定鍋滅殑涓嶈兘涔帮紝娑ㄥ仠鏃堕棿涓簕}".format(limit_up_time)
+
+ # 鍚屼竴鏉垮潡涓�佷簩鍚庨潰鐨勪笉鑳戒拱
+ industry, codes = ths_industry_util.get_same_industry_codes(code, gpcode_manager.get_gp_list())
+ if industry is None:
+ return True, "娌℃湁鑾峰彇鍒拌涓�"
+ codes_index = limit_up_time_manager.sort_code_by_limit_time(codes)
+ if codes_index is not None and codes_index.get(code) is not None and codes_index.get(code) > 1:
+ return False, "鍚屼竴鏉垮潡涓�佷笁,鑰佸洓,...涓嶈兘涔�"
+
+ if cls.__codeActualPriceProcessor.is_under_water(code):
+ # 姘翠笅鎹炰笖鏉垮潡涓殑绁ㄥ皬浜�21涓嶈兘涔�
+ if global_util.industry_hot_num.get(industry) is not None and global_util.industry_hot_num.get(
+ industry) <= 16:
+ return False, "姘翠笅鎹�,鏉垮潡涓殑绁ㄥ皬浜�2鍙�,涓簕}".format(global_util.industry_hot_num.get(industry))
+
+ if codes_index.get(code) != 0:
+ return False, "姘翠笅鎹�,涓嶆槸鑰佸ぇ锛屾槸鑰亄}".format(codes_index.get(code))
+
+ # 13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
+ limit_up_time = limit_up_time_manager.get_limit_up_time(code)
+ if limit_up_time is not None:
+ if int(limit_up_time.replace(":", "")) >= 133000 and global_util.industry_hot_num.get(industry) is not None:
+ if global_util.industry_hot_num.get(industry) < 16:
+ return False, "13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<16涓嶈兘涔�"
+
+ if codes_index.get(code) is not None and codes_index.get(code) == 1:
+ # 濡傛灉鑰佸ぇ宸茬粡涔版垚鍔熶簡锛岃�佷簩灏变笉闇�瑕佷拱浜�
+ first_codes = []
+ for key in codes_index:
+ if codes_index.get(key) == 0:
+ first_codes.append(key)
+
+ for key in first_codes:
+ state = trade_manager.get_trade_state(key)
+ if state == trade_manager.TRADE_STATE_BUY_SUCCESS:
+ # 鑰佸ぇ宸茬粡涔版垚鍔熶簡
+ return False, "鑰佸ぇ{}宸茬粡涔版垚鍔燂紝鑰佷簩鏃犻渶璐拱".format(key)
+
+ # 鏈�9鐐瑰崐娑ㄥ仠鐨勮�佸ぇ鎵嶈兘涔拌�佷簩锛屼笉鐒朵笉鑳戒拱
+ # 鑾峰彇鑰佸ぇ鐨勬定鍋滄椂闂�
+ for key in first_codes:
+ # 鎵惧埌浜嗚�佸ぇ
+ time_ = limit_up_time_manager.get_limit_up_time(key)
+ if time_ == "09:30:00":
+ return True, "9:30娑ㄥ仠鐨勮�佸ぇ锛岃�佷簩鍙互涓嬪崟"
+ return False, "鑰佸ぇ闈�9:30娑ㄥ仠锛岃�佷簩涓嶈兘涓嬪崟"
+
+
+# 娑ㄥ仠灏佸崟棰濈粺璁�
+class L2LimitUpMoneyStatisticUtil:
+ _redisManager = redis_manager.RedisManager(1)
+
+ @classmethod
+ def __get_redis(cls):
+ return cls._redisManager.getRedis()
+
+ # 璁剧疆l2鐨勬瘡涓�绉掓定鍋滃皝鍗曢鏁版嵁
+ @classmethod
+ def __set_l2_second_money_record(cls, code, time, num, from_index, to_index):
+ old_num, old_from, old_to = cls.__get_l2_second_money_record(code, time)
+ if old_num is None:
+ old_num = num
+ old_from = from_index
+ old_to = to_index
+ else:
+ old_num += num
+ old_to = to_index
+
+ key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
+
+ cls.__get_redis().setex(key, tool.get_expire(), json.dumps((old_num, old_from, old_to)))
+
+ @classmethod
+ def __get_l2_second_money_record(cls, code, time):
+ key = "l2_limit_up_second_money-{}-{}".format(code, time.replace(":", ""))
+ val = cls.__get_redis().get(key)
+ return cls.__format_second_money_record_val(val)
+
+ @classmethod
+ def __format_second_money_record_val(cls, val):
+ if val is None:
+ return None, None, None
+ val = json.loads(val)
+ return val[0], val[1], val[2]
+
+ @classmethod
+ def __get_l2_second_money_record_keys(cls, code, time_regex):
+ key = "l2_limit_up_second_money-{}-{}".format(code, time_regex)
+ keys = cls.__get_redis().keys(key)
+ return keys
+
+ # 璁剧疆l2鏈�鏂扮殑灏佸崟棰濇暟鎹�
+ @classmethod
+ def __set_l2_latest_money_record(cls, code, index, num):
+ key = "l2_limit_up_money-{}".format(code)
+ cls.__get_redis().setex(key, tool.get_expire(), json.dumps((num, index)))
+
+ # 杩斿洖鏁伴噺,绱㈠紩
+ @classmethod
+ def __get_l2_latest_money_record(cls, code):
+ key = "l2_limit_up_money-{}".format(code)
+ result = cls.__get_redis().get(key)
+ if result:
+ result = json.loads(result)
+ return result[0], result[1]
+ else:
+ return 0, -1
+
+ # 鐭鏁版嵁
+ # 鐭鏂规硶涓哄彇鐭鏃堕棿涓や晶鐨勭鍒嗗竷鏁版嵁锛岀敤浜庣‘瀹氳绠楃粨鏉熷潗鏍�
+ @classmethod
+ def verify_num(cls, code, num, time_str):
+ # 璁板綍涔�1鐭鏃ュ織
+ logger_buy_1_volumn.info("娑ㄥ仠灏佸崟閲忕煫姝ｏ細浠ｇ爜-{} 閲�-{} 鏃堕棿-{}", code, num, time_str)
+ time_ = time_str.replace(":", "")
+ key = None
+ for i in range(4, -2, -2):
+ # 鑾峰彇鏈�(鍒嗛挓/灏忔椂/澶�)鍐呯鍒嗗竷鏁版嵁
+ time_regex = "{}*".format(time_[:i])
+ keys_ = cls.__get_l2_second_money_record_keys(code, time_regex)
+ if keys_ and len(keys_) > 1:
+ # 闇�瑕佹帓搴�
+ keys = []
+ for k in keys_:
+ keys.append(k)
+ keys.sort(key=lambda tup: int(tup.split("-")[-1]))
+ # 鏈�2涓厓绱�
+ for index in range(0, len(keys) - 1):
+ time_1 = keys[index].split("-")[-1]
+ time_2 = keys[index + 1].split("-")[-1]
+ if int(time_1) <= int(time_) <= int(time_2):
+ # 鍦ㄦ鏃堕棿鑼冨洿鍐�
+ if time_ == time_2:
+ key = keys[index + 1]
+ else:
+ key = keys[index]
+ break
+ if key:
+ val = cls.__get_redis().get(key)
+ old_num, old_from, old_to = cls.__format_second_money_record_val(val)
+ end_index = old_to
+ # 淇濆瓨鏈�杩戠殑鏁版嵁
+ cls.__set_l2_latest_money_record(code, end_index, num)
+ logger_buy_1_volumn.info("娑ㄥ仠灏佸崟閲忕煫姝ｇ粨鏋滐細浠ｇ爜-{} 浣嶇疆-{} 閲�-{}", code, end_index, num)
+ break
+
+ # 璁＄畻閲忥紝鐢ㄤ簬娑ㄥ仠灏佸崟閲忕殑璁＄畻
+ @classmethod
+ def __compute_num(cls, code, data, buy_single_data):
+ if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]) or L2DataUtil.is_sell(data["val"]):
+ # 娑ㄥ仠涔版挙涓庡崠
+ return 0 - int(data["val"]["num"]) * data["re"]
+ else:
+ # 鍗栨挙
+ if L2DataUtil.is_sell_cancel(data["val"]):
+ # 鍗栨挙鐨勪拱鏁版嵁鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝濡傛灉鍦ㄤ箣鍓嶅氨涓嶈绠楋紝涓嶅湪涔嬪墠灏辫绠�
+ if l2_data_util.is_sell_index_before_target(data, buy_single_data,
+ local_today_num_operate_map.get(code)):
+ return 0
+
+ return int(data["val"]["num"]) * data["re"]
+
+ @classmethod
+ def clear(cls, code):
+ key = "l2_limit_up_money-{}".format(code)
+ cls.__get_redis().delete(key)
+
+ # 杩斿洖鍙栨秷鐨勬爣蹇楁暟鎹�
+ # with_cancel 鏄惁闇�瑕佸垽鏂槸鍚︽挙閿�
+ @classmethod
+ def process_data(cls, code, start_index, end_index, buy_single_begin_index, with_cancel=True):
+ start_time = round(t.time() * 1000)
+ total_datas = local_today_datas[code]
+ time_dict_num = {}
+ # 璁板綍璁＄畻鐨勫潗鏍�
+ time_dict_num_index = {}
+ num_dict = {}
+ # 缁熻鏃堕棿鍒嗗竷
+ time_dict = {}
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ time_ = val["time"]
+ if time_ not in time_dict:
+ time_dict[time_] = i
+
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ time_ = val["time"]
+ if time_ not in time_dict_num:
+ time_dict_num[time_] = 0
+ time_dict_num_index[time_] = {"s": i, "e": i}
+ time_dict_num_index[time_]["e"] = i
+ num = cls.__compute_num(code, data, total_datas[buy_single_begin_index])
+ num_dict[i] = num
+ time_dict_num[time_] = time_dict_num[time_] + num
+ for t_ in time_dict_num:
+ cls.__set_l2_second_money_record(code, t_, time_dict_num[t_], time_dict_num_index[t_]["s"],
+ time_dict_num_index[t_]["e"])
+
+ print("淇濆瓨娑ㄥ仠灏佸崟棰濇椂闂达細", round(t.time() * 1000) - start_time)
+
+ # 绱鏈�鏂扮殑閲戦
+ total_num, index = cls.__get_l2_latest_money_record(code)
+ record_msg = f"鍚岃姳椤轰拱1淇℃伅 {total_num},{index}"
+
+ if index == -1:
+ # 娌℃湁鑾峰彇鍒版渶鏂扮殑鐭灏佸崟棰濓紝闇�瑕佷粠涔板叆淇″彿寮�濮嬬偣璁＄畻
+ index = buy_single_begin_index - 1
+ total_num = 0
+
+ cancel_index = None
+ cancel_msg = None
+ # 寰呰绠楅噺
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ min_volumn = round(10000000 / (limit_up_price * 100))
+ # 涓嶅悓鏃堕棿鐨勬暟鎹紑濮嬪潗鏍�
+ time_start_index_dict = {}
+ # 鏁版嵁鏃堕棿鍒嗗竷
+ time_list = []
+ # 鍒板綋鍓嶆椂闂寸疮绉殑涔�1閲�
+ time_total_num_dict = {}
+ for i in range(index + 1, end_index + 1):
+ data = total_datas[i]
+ time_ = data["val"]["time"]
+ if time_ not in time_start_index_dict:
+ # 璁板綍姣忎竴绉掔殑寮�濮嬩綅缃�
+ time_start_index_dict[time_] = i
+ # 璁板綍鏃堕棿鍒嗗竷
+ time_list.append(time_)
+ # 涓婁竴娈垫椂闂寸殑鎬绘暟
+ time_total_num_dict[time_] = total_num
+
+ val = num_dict.get(i)
+ if val is None:
+ val = cls.__compute_num(code, data, total_datas[buy_single_begin_index])
+ total_num += val
+ # 濡傛灉鏄噺灏忛」锛屼笖鍦ㄥ鐞嗘暟鎹殑鑼冨洿鍐咃紝灏遍渶瑕佸垽鏂槸鍚﹁鎾ゅ崟浜�
+ if val < 0 and start_index <= i <= end_index:
+ # 绱灏佸崟閲戦灏忎簬1000涓�
+ if total_num < min_volumn:
+ cancel_index = i
+ cancel_msg = "灏佸崟閲戦灏忎簬1000涓�"
+ break
+ # 鐩搁偦2s鍐呯殑鏁版嵁鍑忓皬50%
+ # 涓�1s鐨勬�绘暟
+ last_second_total_volumn = time_total_num_dict.get(time_list[-1])
+ if last_second_total_volumn > 0 and (
+ last_second_total_volumn - total_num) / last_second_total_volumn >= 0.5:
+ # 鐩搁偦2s鍐呯殑鏁版嵁鍑忓皬50%
+ cancel_index = i
+ cancel_msg = "鐩搁偦2s({})鍐呯殑灏佸崟閲忓噺灏�50%({}->{})".format(time_, last_second_total_volumn,
+ total_num)
+ break
+ if not with_cancel:
+ cancel_index = None
+
+ print("灏佸崟棰濊绠楁椂闂达細", round(t.time() * 1000) - start_time)
+ process_end_index = end_index
+ if cancel_index:
+ process_end_index = cancel_index
+ # 淇濆瓨鏈�鏂扮疮璁￠噾棰�
+ # cls.__set_l2_latest_money_record(code, process_end_index, total_num)
+ l2_data_log.l2_time(code, round(t.time() * 1000) - start_time, "l2鏁版嵁灏佸崟棰濊绠楁椂闂�",
+ False)
+ if cancel_index:
+ L2TradeDataProcessor.cancel_debug(code, "鏁版嵁澶勭悊浣嶇疆锛歿}-{}锛寋}锛屾渶缁堜拱1涓猴細{}", start_index, end_index, record_msg,
+ total_num)
+ return total_datas[cancel_index], cancel_msg
+ return None, None
+
if __name__ == "__main__":
- L2TradeDataProcessor.test()
+ L2TradeDataProcessor.test2()
print("----------------------")
- L2TradeDataProcessor.test()
+ # L2TradeDataProcessor.test()
--
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