From 5ed30c03ddfedd4cf79cd8fea9fc45b05821d898 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 16 十月 2023 12:44:07 +0800
Subject: [PATCH] 真实下单位置计算方法修改
---
third_data/data_server.py | 18 ++++----
l2/huaxin/huaxin_delegate_postion_manager.py | 71 +++++++++++++++++++++++++----------
test/l2_trade_test.py | 2
l2/l2_data_manager_new.py | 4 +
4 files changed, 64 insertions(+), 31 deletions(-)
diff --git a/l2/huaxin/huaxin_delegate_postion_manager.py b/l2/huaxin/huaxin_delegate_postion_manager.py
index 31fa507..deb69d6 100644
--- a/l2/huaxin/huaxin_delegate_postion_manager.py
+++ b/l2/huaxin/huaxin_delegate_postion_manager.py
@@ -3,9 +3,12 @@
"""
import time
+from huaxin_client import constant as huaxin_client_constant
+from l2 import l2_data_util
from l2.l2_data_util import L2DataUtil
from log_module import async_log_util
from log_module.log import hx_logger_trade_debug, logger_real_place_order_position
+from utils import tool
_place_order_info_dict = {}
@@ -31,7 +34,7 @@
# L2鏁版嵁鍒楄〃
-def get_l2_place_order_position(code, datas):
+def get_l2_place_order_position(code, limit_up_price, datas):
order_info = get_order_info(code)
if not order_info:
# 鏆傛棤涓嬪崟淇℃伅
@@ -44,33 +47,61 @@
is_sz = code.startswith("00")
# 鎻愪氦鍒颁氦鏄撴墍鐨勬椂闂撮浼�
min_space_time_ms = -1 if is_sz else 50
+
+ shadow_place_order_index = None
+ # 鏌ユ壘褰卞瓙鎸傚崟
for d in datas:
+ val = d['val']
+ # 鍒ゆ柇褰卞瓙璁㈠崟浣嶇疆
+ if val["num"] != huaxin_client_constant.SHADOW_ORDER_VOLUME // 100:
+ continue
+ if abs(tool.get_buy_min_price(limit_up_price) - float(val["price"])) >= 0.01:
+ continue
+ if d["index"] <= exec_data["index"]:
+ continue
+ if L2DataUtil.time_sub_as_ms(val, exec_data['val']) >= 1000:
+ continue
+ shadow_place_order_index = d["index"]
+ break
+ if shadow_place_order_index is None:
+ return None
+ total_datas = l2_data_util.local_today_datas.get(code)
+ start_index = max(shadow_place_order_index - 10, 0)
+ end_index = min(shadow_place_order_index + 10, datas[-1]["index"])
+ real_place_index = None
+ # 浠庝腑闂村悜涓ゅご閬嶅巻
+ for i in range(shadow_place_order_index - 1, start_index, -1):
+ d = total_datas[i]
if d["val"]["num"] != volume // 100:
continue
if abs(float(price) - float(d["val"]["price"])) >= 0.01:
continue
-
# 蹇呴』鏄拱鍏�
if not L2DataUtil.is_limit_up_price_buy(d["val"]):
continue
-
- # 涓嶅彲鑳芥瘮涓嬪崟鎵ц浣嶇疆杩樻棭
- if d["index"] <= exec_data["index"]:
- continue
- # 鏃堕棿宸笉鑳藉皬浜庨浼颁笅鍗曠敤鏃�
- if L2DataUtil.time_sub_as_ms(d['val'], exec_data['val']) <= min_space_time_ms:
- continue
- # 鐪熷疄涓嬪崟浣嶇疆涓庢寕鍗曚綅缃笉鑳界浉宸�1s
- if L2DataUtil.time_sub_as_ms(d["val"], exec_data['val']) >= 1000:
- continue
- # 鑾峰彇鍒颁簡涓嬪崟浣嶇疆
- async_log_util.info(hx_logger_trade_debug, f"鐪熷疄涓嬪崟浣嶇疆锛歿code}-{d['index']}")
- async_log_util.info(logger_real_place_order_position, f"鐪熷疄涓嬪崟浣嶇疆锛歿code}-{d['index']}")
- if code in _place_order_info_dict:
- _place_order_info_dict.pop(code)
- __place_order_position[code] = d['index']
- return d["index"]
- return None
+ real_place_index = i
+ break
+ if not real_place_index:
+ for i in range(shadow_place_order_index + 1, end_index):
+ d = total_datas[i]
+ if d["val"]["num"] != volume // 100:
+ continue
+ if abs(float(price) - float(d["val"]["price"])) >= 0.01:
+ continue
+ # 蹇呴』鏄拱鍏�
+ if not L2DataUtil.is_limit_up_price_buy(d["val"]):
+ continue
+ real_place_index = i
+ break
+ if not real_place_index:
+ real_place_index = shadow_place_order_index
+ # 鑾峰彇鍒颁簡涓嬪崟浣嶇疆
+ async_log_util.info(hx_logger_trade_debug, f"鐪熷疄涓嬪崟浣嶇疆锛歿code}-{real_place_index}")
+ async_log_util.info(logger_real_place_order_position, f"鐪熷疄涓嬪崟浣嶇疆锛歿code}-{real_place_index}")
+ if code in _place_order_info_dict:
+ _place_order_info_dict.pop(code)
+ __place_order_position[code] = real_place_index
+ return real_place_index
# 鑾峰彇鐪熷疄涓嬪崟浣嶇疆
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index e263301..a9a6755 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -337,7 +337,8 @@
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
try:
# 鑾峰彇涓嬪崟浣嶇疆
- place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, add_datas)
+ place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, float(
+ gpcode_manager.get_limit_up_price(code)), add_datas)
if place_order_index:
buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
code)
@@ -1304,6 +1305,7 @@
except:
pass
+
if __name__ == "__main__":
test_trade_record()
# yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]
diff --git a/test/l2_trade_test.py b/test/l2_trade_test.py
index dd6428a..a647b9f 100644
--- a/test/l2_trade_test.py
+++ b/test/l2_trade_test.py
@@ -176,7 +176,7 @@
l2.l2_data_util.load_l2_data(code)
total_datas = deepcopy(l2.l2_data_util.local_today_datas[code])
huaxin_delegate_postion_manager.place_order(code, 17.36, 100, total_datas[753])
- huaxin_delegate_postion_manager.get_l2_place_order_position(code,total_datas[755:1038])
+ huaxin_delegate_postion_manager.get_l2_place_order_position(code, total_datas[755:1038])
@unittest.skip("璺宠繃姝ゅ崟鍏冩祴璇�")
def test_h_cancel(self):
diff --git a/third_data/data_server.py b/third_data/data_server.py
index c8189f9..7d52171 100644
--- a/third_data/data_server.py
+++ b/third_data/data_server.py
@@ -532,15 +532,15 @@
current_limit_up_datas = []
if not limit_up_record_datas:
limit_up_record_datas = []
- if CodePlateKeyBuyManager.is_need_cancel(code, limit_up_reasons.get(code),
- current_limit_up_datas,
- limit_up_record_datas,
- yesterday_current_limit_up_codes,
- before_blocks_dict):
- # TODO 娴嬭瘯鏆傛椂娉ㄩ噴
- l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code,
- f"娑ㄥ仠鍘熷洜锛坽limit_up_reasons.get(code)}锛変笉鏄�佸ぇ鎾ゅ崟",
- "鏉垮潡鎾�")
+ # TODO 娴嬭瘯鏆傛椂娉ㄩ噴
+ # if CodePlateKeyBuyManager.is_need_cancel(code, limit_up_reasons.get(code),
+ # current_limit_up_datas,
+ # limit_up_record_datas,
+ # yesterday_current_limit_up_codes,
+ # before_blocks_dict):
+ # l2_data_manager_new.L2TradeDataProcessor.cancel_buy(code,
+ # f"娑ㄥ仠鍘熷洜锛坽limit_up_reasons.get(code)}锛変笉鏄�佸ぇ鎾ゅ崟",
+ # "鏉垮潡鎾�")
except Exception as e:
logger_debug.exception(e)
kpl_data_manager.KPLLimitUpDataRecordManager.save_record(tool.get_now_date_str(), result_list_)
--
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