From 48dcb788e821d40be37fa05c9789b751a6e2a69b Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 13 一月 2023 16:38:45 +0800
Subject: [PATCH] H撤大单修改
---
l2_data_manager_new.py | 265 ++++++++++++++++++++++++++++++++++++----------------
1 files changed, 183 insertions(+), 82 deletions(-)
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index acf94b3..279b9c5 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -301,7 +301,8 @@
if end_index < start_index:
return
# 鑾峰彇涔板叆淇″彿璧峰鐐�
- buy_single_index, buy_exec_index, buy_compute_index, num, count = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_index = cls.__get_order_begin_pos(
+ code)
# 鎾ゅ崟璁＄畻,鍙湅涔�1
cancel_data, cancel_msg = L2LimitUpMoneyStatisticUtil.process_data(code, start_index, end_index,
@@ -389,7 +390,8 @@
trade_data_manager.placeordercountmanager.place_order(code)
# 鑾峰彇涔板叆浣嶇疆淇℃伅
try:
- buy_single_index, buy_exec_index, buy_compute_index, num, count = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_index = cls.__get_order_begin_pos(
+ code)
SecondAverageBigNumComputer.place_order_success(code, buy_single_index, buy_exec_index)
AverageBigNumComputer.place_order_success(code, buy_single_index, buy_exec_index)
LongAverageBigNumComputer.place_order_success(code, buy_single_index, buy_exec_index)
@@ -454,7 +456,8 @@
if sell1_time is not None and sell1_volumn > 0:
# 鑾峰彇鎵ц浣嶄俊鎭�
total_datas = local_today_datas[code]
- buy_single_index, buy_exec_index, buy_compute_index, num, count = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_index = cls.__get_order_begin_pos(
+ code)
buy_nums = num
for i in range(buy_exec_index + 1, total_datas[-1]["index"] + 1):
_val = total_datas[i]["val"]
@@ -558,7 +561,8 @@
# 鏄惁鏄氦鏄撻槦鍒楄Е鍙�
if source == "trade_queue":
# 浜ゆ槗闃熷垪瑙﹀彂鐨勯渶瑕佷笅鍗曞悗5s
- buy_single_index, buy_exec_index, buy_compute_index, num, count = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_index = cls.__get_order_begin_pos(
+ code)
total_datas = local_today_datas[code]
if buy_exec_index is not None and buy_exec_index > 0:
now_time_str = datetime.datetime.now().strftime("%H:%M:%S")
@@ -603,7 +607,8 @@
_start_time = round(t.time() * 1000)
total_datas = local_today_datas[code]
# 鑾峰彇涔板叆淇″彿璁＄畻璧峰浣嶇疆
- buy_single_index, buy_exec_index, buy_compute_index, num, count = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_index = cls.__get_order_begin_pos(
+ code)
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
if buy_single_index is None:
@@ -619,7 +624,8 @@
if has_single:
num = 0
count = 0
- cls.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} 鏁版嵁锛歿}", buy_single_index, total_datas[buy_single_index])
+ cls.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} ,璁＄畻鑼冨洿锛歿}-{} 锛屾暟鎹細{}", buy_single_index, compute_start_index,
+ compute_end_index, total_datas[buy_single_index])
# 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)
@@ -637,12 +643,16 @@
threshold_money, msg = cls.__get_threshmoney(code)
# 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),
- compute_end_index, num,
- count, threshold_money,
- buy_single_index,
- capture_time)
+ compute_index, buy_nums, buy_count, rebegin_buy_pos, max_num_index_new = cls.__sum_buy_num_for_order_3(code,
+ max(
+ buy_single_index,
+ compute_start_index),
+ compute_end_index,
+ num,
+ count,
+ threshold_money,
+ buy_single_index,
+ max_num_index)
_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)
@@ -658,7 +668,8 @@
buy_count,
total_datas[compute_index])
# 璁板綍涔板叆淇″彿浣嶇疆
- cls.__save_order_begin_data(code, buy_single_index, compute_index, compute_index, buy_nums, buy_count)
+ cls.__save_order_begin_data(code, buy_single_index, compute_index, compute_index, buy_nums, buy_count,
+ max_num_index_new)
# 濡傛灉鏄粖澶╃涓�娆℃湁涓嬪崟鎵ц淇″彿锛屾定鍋滄椂闂达紙涔板叆鎵ц浣嶆椂闂达級
limit_up_time_manager.save_limit_up_time(code, total_datas[compute_index]["val"]["time"])
# 铏氭嫙涓嬪崟
@@ -702,7 +713,8 @@
else:
# 鏈揪鍒颁笅鍗曟潯浠讹紝淇濆瓨绾拱棰濓紝璁剧疆绾拱棰�
# 璁板綍涔板叆淇″彿浣嶇疆
- cls.__save_order_begin_data(code, buy_single_index, -1, compute_end_index, buy_nums, buy_count)
+ cls.__save_order_begin_data(code, buy_single_index, -1, compute_end_index, buy_nums, buy_count,
+ max_num_index_new)
print("淇濆瓨澶у崟鏃堕棿", round((t.time() - _start_time) * 1000))
_start_time = t.time()
pass
@@ -710,14 +722,15 @@
# 鑾峰彇涓嬪崟璧峰淇″彿
@classmethod
def __get_order_begin_pos(cls, code):
- buy_single_index, buy_exec_index, compute_index, num, count = l2_data_manager.TradePointManager.get_buy_compute_start_data(
+ buy_single_index, buy_exec_index, compute_index, num, count, max_num_index = l2_data_manager.TradePointManager.get_buy_compute_start_data(
code)
- return buy_single_index, buy_exec_index, compute_index, num, count
+ return buy_single_index, buy_exec_index, compute_index, num, count, max_num_index
# 淇濆瓨涓嬪崟璧峰淇″彿
@classmethod
- def __save_order_begin_data(self, code, buy_single_index, buy_exec_index, compute_index, num, count):
- TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num, count)
+ def __save_order_begin_data(self, code, buy_single_index, buy_exec_index, compute_index, num, count, max_num_index):
+ TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num, count,
+ max_num_index)
# 璁＄畻涓嬪崟璧峰淇″彿
# compute_data_count 鐢ㄤ簬璁＄畻鐨刲2鏁版嵁鏁伴噺
@@ -770,9 +783,9 @@
# 鏄惁涓轰竾鎵嬪摜
@classmethod
def __is_big_money(cls, limit_up_price, val):
- if int(val["num"]) >= 7888:
+ if int(val["num"]) >= constant.BIG_MONEY_NUM:
return True
- if int(val["num"]) * limit_up_price >= 29900:
+ if int(val["num"]) * limit_up_price >= constant.BIG_MONEY_AMOUNT:
return True
return False
@@ -790,7 +803,7 @@
# 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):
+ threshold_money, buy_single_index, max_num_index):
def get_threshold_count():
count = threshold_count - sub_threshold_count
if count < 3:
@@ -837,10 +850,15 @@
# 鍙互瑙﹀彂涔帮紝褰撴湁娑ㄥ仠涔颁俊鍙锋椂鎵嶄細瑙﹀彂涔�
trigger_buy = True
place_order_count = trade_data_manager.placeordercountmanager.get_place_order_count(code)
- if place_order_count>3:
+ if place_order_count > 3:
place_order_count = 3
# 闂撮殧鏈�澶ф椂闂翠緷娆′负锛�3,9,27,81
- max_space_time = pow(3,place_order_count + 1) - 1
+ max_space_time = pow(3, place_order_count + 1) - 1
+ # 鏈�澶т拱閲�
+ max_buy_num = 0
+ max_buy_num_index = max_num_index
+ if max_num_index > -1:
+ max_buy_num = int(total_datas[max_num_index]["val"]["num"])
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
@@ -850,17 +868,20 @@
TradePointManager.delete_buy_point(code)
if i == compute_end_index:
# 鏁版嵁澶勭悊瀹屾瘯
- return None, buy_nums, buy_count, None
+ return None, buy_nums, buy_count, None, max_buy_num_index
else:
# 璁＄畻涔板叆淇″彿锛屼笉鑳藉悓涓�鏃堕棿寮�濮嬭绠�
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
+ return None, buy_nums, buy_count, ii, max_buy_num_index
# 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"])
if round(int(_val["num"]) * float(_val["price"])) >= 5900:
+ if int(_val["num"]) > max_buy_num:
+ max_buy_num = int(_val["num"])
+ max_buy_num_index = i
trigger_buy = True
# 鍙粺璁�59涓囦互涓婄殑閲戦
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
@@ -901,15 +922,16 @@
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 >= get_threshold_count() and trigger_buy:
- return i, buy_nums, buy_count, None
+ if buy_nums >= threshold_num and buy_count >= get_threshold_count() and trigger_buy and max_buy_num_index > -1 and cls.__is_big_money(
+ limit_up_price, total_datas[max_buy_num_index]["val"]):
+ return i, buy_nums, buy_count, None, max_buy_num_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, get_threshold_count(), sub_threshold_count)
- return None, buy_nums, buy_count, None
+ return None, buy_nums, buy_count, None, max_buy_num_index
@classmethod
def test(cls):
@@ -1063,6 +1085,7 @@
# 娑ㄥ仠灏佸崟棰濈粺璁�
class L2LimitUpMoneyStatisticUtil:
_redisManager = redis_manager.RedisManager(1)
+ _thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager()
@classmethod
def __get_redis(cls):
@@ -1243,6 +1266,10 @@
# 澶у崟鎾ら攢绗旀暟
cancel_big_num_count = 0
buy_exec_time = tool.get_time_as_second(total_datas[buy_exec_index]["val"]["time"])
+
+ # 鑾峰彇鏈�澶у皝鍗曢
+ max_buy1_volume = cls._thsBuy1VolumnManager.get_max_buy1_volume(code)
+
# 浠庡悓鑺遍『涔�1鐭杩囧悗鐨勪綅缃紑濮嬭绠楋紝鍒癳nd_index缁撴潫
for i in range(index + 1, end_index + 1):
@@ -1294,6 +1321,12 @@
if start_index <= i <= end_index:
# 濡傛灉鏄噺灏忛」
if val < 0:
+ # 褰撳墠閲忓皬浜庢渶澶ч噺鐨�24%鍒欓渶瑕佸彇娑�
+ if exec_time_offset >= 30:
+ if total_num <= min_volumn_big and max_buy1_volume * 0.24 > total_num:
+ cancel_index = i
+ cancel_msg = "灏佹澘棰濆皬浜庢渶楂樺皝鏉块鐨�24% {}/{}".format(total_num, max_buy1_volume)
+ break
# 绱灏佸崟閲戦灏忎簬1000涓�
if total_num < min_volumn:
# 涓庢墽琛屼綅鐩搁殧>=5s鏃惰鍒欑敓鏁�
@@ -1331,7 +1364,7 @@
break
# ------澶у崟鎾ゅ鐞�-------
# if total_num < min_volumn_big:
- if exec_time_offset < 1800:
+ if exec_time_offset < 31:
pass
# try:
# b_need_cancel, b_cancel_index = AverageBigNumComputer.need_cancel(code, i, i)
@@ -1341,14 +1374,14 @@
# break
# except Exception as e:
# logging.exception(e)
- # 30鍒嗛挓澶栨墠鎵ц
- elif 1800 <= exec_time_offset <= 5400:
+ # 30s澶栨墠鎵ц
+ elif 31 <= exec_time_offset:
try:
b_need_cancel, b_cancel_index = LongAverageBigNumComputer.need_cancel(code, buy_exec_index, i,
i)
if b_need_cancel:
cancel_index = b_cancel_index
- cancel_msg = "60s-1h鍐呭ぇ鍗曟挙閿�姣斾緥瑙﹀彂闃堝��"
+ cancel_msg = "30s鍚庡唴澶у崟鎾ら攢姣斾緥瑙﹀彂闃堝��"
break
except Exception as e:
logging.exception(e)
@@ -1520,41 +1553,65 @@
val = cls.__getRedis().get(key)
return val
+ # 淇濆瓨缁撴潫浣嶇疆
+ @classmethod
+ def __save_end_index(cls, code, end_index):
+ key = "s_average_big_num_end_index_set-{}".format(code)
+ cls.__getRedis().sadd(key, end_index)
+
+ @classmethod
+ def __list_end_indexs(cls, code):
+ key = "s_average_big_num_end_index_set-{}".format(code)
+ vals = cls.__getRedis().smembers(key)
+ if vals is None:
+ return None
+ results = []
+ for val in vals:
+ results.append(int(val))
+ results.sort()
+ return results
+
@classmethod
def __clear_data(cls, code):
- key = "s_average_big_num_comput_info-{}".format(code)
- cls.__getRedis().delete(key)
- key = "s_average_big_num-{}".format(code)
- cls.__getRedis().delete(key)
+ ks = ["s_average_big_num_comput_info-{}".format(code), "s_average_big_num-{}".format(code),
+ "s_average_big_num_end_index_set-{}".format(code)]
+ for key in ks:
+ cls.__getRedis().delete(key)
@classmethod
def clear_data(cls):
- key = "s_average_big_num_comput_info-*"
- keys = cls.__getRedis().keys(key)
- for k in keys:
- cls.__getRedis().delete(k)
- key = "s_average_big_num-*"
- keys = cls.__getRedis().keys(key)
- for k in keys:
- cls.__getRedis().delete(k)
+ ks = ["s_average_big_num_comput_info-*", "s_average_big_num-*", "s_average_big_num_end_index_set-*"]
+ for key in ks:
+ keys = cls.__getRedis().keys(key)
+ for k in keys:
+ cls.__getRedis().delete(k)
# 璁＄畻骞冲潎鎵嬫暟
# 璁＄畻鑼冨洿锛氫拱鍏ヤ俊鍙疯捣濮嬬偣鍒颁拱鍏ユ墽琛屼綅鐨勪笅涓�寮犲浘缁撴潫鐐规暟鎹负姝�
@classmethod
def compute_average_big_num(cls, code, buy_single_index, start_index, end_index):
+ cls.__save_end_index(code, end_index)
+ # 淇濆瓨缁撴潫浣嶇疆
+ end_indexs = cls.__list_end_indexs(code)
print("compute_average_big_num", code, buy_single_index, start_index, end_index)
L2TradeDataProcessor.cancel_debug(code, "寮�濮嬭绠楃煭澶у崟浣嶇疆")
total_data = local_today_datas[code]
num = 0
count = 0
- apply_time_second = int(cls.get_apply_time(code).replace(":", ""))
+ apply_time = cls.get_apply_time(code)
+ apply_time_second = int(apply_time.replace(":", ""))
+ for ei in end_indexs:
+ if int(total_data[ei]["val"]["time"].replace(":", "")) >= apply_time_second:
+ end_index = ei
+ break
+
for i in range(start_index, end_index + 1):
data = total_data[i]
val = data["val"]
- if int(val["time"].replace(":", "")) > apply_time_second:
- # 閲嶆柊璁剧疆璁＄畻缁撴潫浣嶇疆
- end_index = i - 1
- break
+ # if int(val["time"].replace(":", "")) > apply_time_second:
+ # # 閲嶆柊璁剧疆璁＄畻缁撴潫浣嶇疆
+ # end_index = i - 1
+ # break
if L2DataUtil.is_limit_up_price_buy(val): # and float(val["price"]) * int(val["num"]) > 7500:
# 75涓囦互涓婄殑鎵嶅弬涓庤绠楀钩鍧囧ぇ鍗�
@@ -1573,7 +1630,8 @@
num += int(val["num"])
average_num = num // count
- average_num = round(5900 / gpcode_manager.get_limit_up_price(code))
+ average_num = min(constant.BIG_MONEY_NUM,
+ round(constant.BIG_MONEY_AMOUNT / gpcode_manager.get_limit_up_price(code)))
average_up_count = 0
for i in range(start_index, end_index + 1):
data = total_data[i]
@@ -1591,10 +1649,16 @@
@classmethod
def need_cancel(cls, code, buy_single_index, buy_exec_index, start_index, end_index, need_cancel=True):
average_num, average_up_count, a_start_index, a_end_index = cls.__get_average_data(code)
- L2TradeDataProcessor.cancel_debug(code,"s绾ф槸鍚﹂渶瑕佹挙鍗曪紝鏁版嵁鑼冨洿锛歿}-{} 骞冲潎澶у崟淇℃伅-({},{},{},{})",start_index,end_index,average_num, average_up_count, a_start_index, a_end_index)
+ L2TradeDataProcessor.cancel_debug(code, "s绾ф槸鍚﹂渶瑕佹挙鍗曪紝鏁版嵁鑼冨洿锛歿}-{} 骞冲潎澶у崟淇℃伅-({},{},{},{})", start_index, end_index,
+ average_num, average_up_count, a_start_index, a_end_index)
if average_num is None:
return False, None
total_data = local_today_datas[code]
+
+ # 鍙畧鎶�30s
+ if tool.trade_time_sub(total_data[start_index]["val"]["time"], total_data[buy_exec_index]["val"]["time"]) > 30:
+ return False, None
+
# 濡傛灉start_index涓巄uy_single_index鐩稿悓锛屽嵆鏄笅鍗曞悗鐨勭涓�娆¤绠�
# 闇�瑕佹煡璇拱鍏ヤ俊鍙蜂箣鍓嶇殑鍚�1s鏄惁鏈夋定鍋滄挙鐨勬暟鎹�
if buy_single_index == start_index:
@@ -1625,6 +1689,17 @@
code))
if buy_index is not None and a_start_index <= buy_index <= a_end_index:
cls.__save_cancel_data(code, i)
+ else:
+ # 鏈夐儴鍒嗘挙閿�浠庤�屽鑷寸殑鏃犳硶婧簮锛岃繖鏃跺氨闇�瑕佸垽鏂浼颁拱鍏ユ椂闂存槸鍚﹀湪a_start_index鍒癮_end_index鐨勬椂闂村尯闂�
+ min_space, max_space = l2_data_util.compute_time_space_as_second(val["cancelTime"],
+ val["cancelTimeUnit"])
+ # 鍙垽鏂璖绾ф挙閿�,鍙湁s绾ф挙閿�鎵嶆湁鍙兘鐩哥瓑
+ if max_space - min_space <= 1:
+ buy_time = tool.trade_time_add_second(val["time"], 0 - min_space)
+ if int(total_data[a_start_index]["val"]["time"].replace(":", "")) <= int(
+ buy_time.replace(":", "")) <= int(
+ total_data[a_end_index]["val"]["time"].replace(":", "")):
+ cls.__save_cancel_data(code, i)
if need_cancel:
# 璁＄畻涔版挙澶у崟鏆傛瘮
cancel_datas = cls.__get_cancel_datas(code)
@@ -1635,9 +1710,9 @@
if place_order_count <= 1:
cancel_rate_threshold = 0.49
elif place_order_count <= 2:
- cancel_rate_threshold = 0.549
- else:
cancel_rate_threshold = 0.59
+ else:
+ cancel_rate_threshold = 0.69
cancel_indexs = []
for index in cancel_datas:
cancel_indexs.append(int(index))
@@ -1717,9 +1792,16 @@
@classmethod
def test(cls):
- cls.__test(("000909", 607, 646, 646, 694))
+ # cls.__test(("000909", 607, 646, 646, 694))
# 浠ｇ爜 涔板叆淇″彿璧峰鐐� 涔板叆淇℃伅鎵ц浣嶇疆 璁＄畻鏈綅 鏈�杩滆绠椾綅缃�
# cls.__test(("002793", 292, 308, 314, 410))
+ cls.__save_end_index("000333", 200)
+ cls.__save_end_index("000333", 101)
+ cls.__save_end_index("000333", 99)
+ cls.__save_end_index("000333", 120)
+ cls.__save_end_index("000333", 126)
+ cls.__save_end_index("000333", 126)
+ print(cls.__list_end_indexs("000333"))
# 鎵ц鏄惁闇�瑕佹挙閿�
@@ -1810,7 +1892,8 @@
average_num = num // count
# average_num = 0
- average_num = round(5900 / gpcode_manager.get_limit_up_price(code))
+ average_num = min(constant.BIG_MONEY_NUM,
+ round(constant.BIG_MONEY_AMOUNT / gpcode_manager.get_limit_up_price(code)))
average_up_count = 0
for i in range(start_index, end_index + 1):
data = total_data[i]
@@ -1825,6 +1908,8 @@
# 鏄惁闇�瑕佹挙鍗�
@classmethod
def need_cancel(cls, code, buy_single_index, buy_exec_index, start_index, end_index, need_cancel=True):
+ # 鏆傛椂鍙栨秷姝ゆ挙鍗曟潯浠�
+ return False, None
average_num, average_up_count, a_start_index, a_end_index = cls.__get_average_data(code)
if average_num is None:
return False, None
@@ -1946,27 +2031,29 @@
return cls.__redis_manager.getRedis()
@classmethod
- def __save_average_data(cls, code, average_num, average_up_count, start_index, end_index):
- L2TradeDataProcessor.cancel_debug(code, "鑾峰彇鍒伴暱澶у崟浣嶇疆淇℃伅锛氬钩鍧囨墜鏁�-{} 澶у崟鏁伴噺-{} 璁＄畻寮�濮嬭寖鍥�-{}:{}".format(average_num,
- average_up_count,
- start_index,
- end_index))
+ def __save_average_data(cls, code, average_num, average_up_count, total_count, start_index, end_index):
+ L2TradeDataProcessor.cancel_debug(code, "鑾峰彇鍒伴暱澶у崟浣嶇疆淇℃伅锛氬钩鍧囨墜鏁�-{} 澶у崟鏁伴噺-{} 鏍锋湰鏁伴噺-{} 璁＄畻寮�濮嬭寖鍥�-{}:{}".format(average_num,
+ average_up_count,
+ total_count,
+ start_index,
+ end_index))
key = "l_average_big_num-{}".format(code)
- cls.__getRedis().setex(key, 3600, json.dumps((average_num, average_up_count, start_index, end_index)))
+ cls.__getRedis().setex(key, tool.get_expire(),
+ json.dumps((average_num, average_up_count, total_count, start_index, end_index)))
@classmethod
def __get_average_data(cls, code):
key = "l_average_big_num-{}".format(code)
val = cls.__getRedis().get(key)
if val is None:
- return None, None, None, None
+ return None, None, None, None, None
val = json.loads(val)
- return val[0], val[1], val[2], val[3]
+ return val[0], val[1], val[2], val[3], val[4]
@classmethod
def __save_compute_info(cls, code, cancel_count, process_index):
key = "l_average_big_num_comput_info-{}".format(code)
- cls.__getRedis().setex(key, 3600, json.dumps((cancel_count, process_index)))
+ cls.__getRedis().setex(key, tool.get_expire(), json.dumps((cancel_count, process_index)))
@classmethod
def __get_compute_info(cls, code):
@@ -1989,14 +2076,14 @@
@classmethod
def compute_average_big_num(cls, code, buy_single_index, buy_exec_index):
total_data = local_today_datas[code]
+ latest_index = total_data[-1]["index"]
end_index = total_data[-1]["index"]
- start_index = buy_single_index
+ start_index = buy_exec_index
if tool.trade_time_sub(total_data[end_index]["val"]["time"], total_data[buy_exec_index]["val"]["time"]) < 3:
return
-
exec_time = total_data[buy_exec_index]["val"]["time"]
- o_average_num, o_average_up_count, o_start_index, o_start_index = cls.__get_average_data(code)
- if o_average_num is not None:
+ o_average_num, o_average_up_count, o_count, o_start_index, o_start_index = cls.__get_average_data(code)
+ if o_average_num is not None and o_count >= constant.H_CANCEL_BUY_COUNT:
return
# 鑾峰彇涔板叆鎵ц浣嶅悗2s鐨勬暟鎹湯浣�
for i in range(end_index, buy_exec_index, - 1):
@@ -2009,32 +2096,46 @@
for i in range(start_index, end_index + 1):
data = total_data[i]
val = data["val"]
- if L2DataUtil.is_limit_up_price_buy(val):
+ if L2DataUtil.is_limit_up_price_buy(val) and int(val["num"]) * float(val["price"]) >= 5900:
count += data["re"]
- num += int(val["num"])
- average_num = num / count
- average_num = round(average_num)
+ num += int(val["num"]) * data["re"]
+ # 濡傛灉灏忎簬30绗旓紝闇�瑕佸啀寰�鍚庤绠�
+ if count < constant.H_CANCEL_BUY_COUNT:
+ for i in range(end_index + 1, latest_index + 1, 1):
+ data = total_data[i]
+ val = data["val"]
+ if L2DataUtil.is_limit_up_price_buy(val) and int(val["num"]) * float(val["price"]) >= 5900:
+ count += data["re"]
+ num += int(val["num"]) * data["re"]
+ if count >= constant.H_CANCEL_BUY_COUNT:
+ end_index = i
+ break
+ # 鑾峰彇澶у崟鏁伴噺
average_up_count = 0
+ average_num = round(num / count)
for i in range(start_index, end_index + 1):
data = total_data[i]
val = data["val"]
- if L2DataUtil.is_limit_up_price_buy(val):
- if int(val["num"]) >= average_num:
- average_up_count += data["re"]
+ if int(val["num"]) >= average_num:
+ average_up_count += data["re"]
+
# 淇濆瓨鏁版嵁
- cls.__save_average_data(code, average_num, average_up_count, start_index, end_index)
+ cls.__save_average_data(code, average_num, average_up_count, count, start_index, end_index)
cls.__save_compute_info(code, 0, buy_exec_index)
# 鏄惁闇�瑕佹挙鍗�
@classmethod
def need_cancel(cls, code, buy_exec_index, start_index, end_index):
- average_num, average_up_count, a_start_index, a_end_index = cls.__get_average_data(code)
+ average_num, average_up_count, total_count, a_start_index, a_end_index = cls.__get_average_data(code)
if average_num is None:
return False, None
cancel_count, process_index = cls.__get_compute_info(code)
total_data = local_today_datas[code]
+ # 14:30杩囧悗涓嶅啀瀹堟姢
+ if int(total_data[end_index]["val"]["time"].replace(":", "")) > int("143000"):
+ return False, None
try:
- for i in range(start_index, end_index + 1):
+ for i in range(min(start_index, buy_exec_index + 1), end_index + 1):
if i <= buy_exec_index:
continue
if process_index >= i:
@@ -2050,11 +2151,9 @@
# 涔板叆浣嶇疆瑕佸湪骞冲潎鍊艰绠楄寖鍥村唴
cancel_count += data["re"]
process_index = i
- if tool.trade_time_sub(val["time"], total_data[buy_exec_index]["val"]["time"]) > 3600:
- continue
sj = 0 # 5 * tool.trade_time_sub(val["time"],total_data[buy_exec_index]["val"]["time"])
- print("璁＄畻缁撴灉", cancel_count, average_up_count, sj)
- if cancel_count / (average_up_count - sj) >= 0.79:
+ print("h骞冲潎澶у崟璁＄畻缁撴灉:", "鍙栨秷鏁伴噺", cancel_count, "澶у崟鎬绘暟", average_up_count, sj)
+ if cancel_count / (average_up_count - sj) >= 0.75:
return True, i
finally:
cls.__save_compute_info(code, cancel_count, process_index)
@@ -2094,6 +2193,8 @@
if __name__ == "__main__":
+ # trade_manager.start_cancel_buy("000637")
+ # t.sleep(10)
# AverageBigNumComputer.test()
# LongAverageBigNumComputer.test()
# L2TradeDataProcessor.test()
--
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