From 81f328532e366eef171b71810b221a9294dda78f Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 21 十二月 2023 14:31:58 +0800
Subject: [PATCH] 买入条件调整/L撤调整
---
l2/cancel_buy_strategy.py | 91 +++++++++++++++++++++++++++------------------
1 files changed, 55 insertions(+), 36 deletions(-)
diff --git a/l2/cancel_buy_strategy.py b/l2/cancel_buy_strategy.py
index f2c7814..c7f3ab8 100644
--- a/l2/cancel_buy_strategy.py
+++ b/l2/cancel_buy_strategy.py
@@ -35,6 +35,7 @@
SecondCancelBigNumComputer().set_real_place_order_index(code, index)
LCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index=buy_single_index)
HourCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index)
+ GCancelBigNumComputer().set_real_place_order_index(code, index)
class SecondCancelBigNumComputer:
@@ -686,7 +687,7 @@
code))
cancel_num += val['num'] * (data['re'] - left_count)
rate = round(cancel_num / total_num, 4)
- must_buy_cancel_rate = constant.H_CANCEL_RATE
+ must_buy_cancel_rate = constant.H_CANCEL_RATE
try:
temp_rate = gpcode_manager.MustBuyCodesManager().get_cancel_rate_cache(code)
if temp_rate:
@@ -834,7 +835,7 @@
if must_buy_cancel_rate is not None:
return must_buy_cancel_rate
except Exception as e:
- async_log_util.error(logger_l2_l_cancel,str(e))
+ async_log_util.error(logger_l2_l_cancel, str(e))
base_rate = constant.L_CANCEL_RATE
if is_up:
@@ -913,8 +914,6 @@
__near_by_trade_progress_index_cache = {}
__SecondCancelBigNumComputer = SecondCancelBigNumComputer()
-
-
__last_l_up_compute_info = {}
@@ -1286,8 +1285,11 @@
watch_indexes = set([int(i) for i in watch_indexes_info[2]])
# 璁＄畻鐩戝惉鐨勬�绘潯鏁�
total_num = 0
+ max_num = 0
for wi in watch_indexes:
total_num += total_data[wi]["val"]["num"] * total_data[wi]["re"]
+ if total_data[wi]["val"]["num"] > max_num:
+ max_num = total_data[wi]["val"]["num"]
# 鍒ゆ柇鎾ゅ崟涓槸鍚︽湁鐩戝惉涓殑绱㈠紩
need_compute = False
for i in range(start_index, end_index + 1):
@@ -1324,6 +1326,9 @@
rate = round(canceled_num / total_num, 3)
thresh_hold_rate = LCancelRateManager.get_cancel_rate(code)
+ # 闄ゅ紑鏈�澶у崟鐨勫奖鍝嶆潈閲�
+ temp_thresh_hold_rate = round((total_num - max_num)*0.9/total_num, 2)
+ thresh_hold_rate = min(thresh_hold_rate, temp_thresh_hold_rate)
l2_log.l_cancel_debug(code, f"璁＄畻鑼冨洿锛歿start_index}-{end_index},宸叉挙鍗曟瘮渚嬶細{rate}/{thresh_hold_rate}")
if rate >= thresh_hold_rate:
canceled_indexes.sort()
@@ -1452,7 +1457,7 @@
def need_cancel(self, code, buy_exec_index, start_index, end_index, total_data, is_first_code):
if buy_exec_index is None:
- return False, "灏氭湭鎵惧埌涓嬪崟浣嶇疆", ""
+ return False, None, "灏氭湭鎵惧埌涓嬪崟浣嶇疆"
# 瀹堟姢S鎾や互澶栫殑鏁版嵁
if int(tool.get_now_time_str().replace(":", "")) > int("145700") and not constant.TEST:
return False, None, ""
@@ -1666,38 +1671,52 @@
# ---------------------------------G鎾�-------------------------------
class GCancelBigNumComputer:
- __SecondCancelBigNumComputer = SecondCancelBigNumComputer()
+ __real_place_order_index_dict = {}
+ __instance = None
- # 寮�濮嬫挙鍗�
- def start_cancel(self, code, buy_no, total_datas, m_val_num):
- # TODO 鏆傛椂娉ㄩ噴鎺塆鎾�
- return False, "鏆傛椂涓嶆墽琛孏鎾�"
- thresh_num = int(m_val_num * 1)
- place_order_index = self.__SecondCancelBigNumComputer.get_real_place_order_index_cache(code)
- if place_order_index is None:
- raise Exception("鏈幏鍙栧埌涓嬪崟鐪熷疄浣嶇疆")
- buy_data = buy_order_no_map.get(buy_no)
- if not buy_data:
- raise Exception(f"灏氭湭鑾峰彇鍒版挙涔板崟璇︽儏鏁版嵁: order_no:{buy_no} map鏁伴噺锛歿len(buy_order_no_map)}")
- # 浠庢垚浜や綅缃埌涓嬪崟浣嶇疆璁＄畻m鍊�
- transaction_index = buy_data["index"]
- need_cancel = True
- buy_nums = 0
- for index in range(transaction_index + 1, place_order_index):
- data = total_datas[index]
- if L2DataUtil.is_limit_up_price_buy(data["val"]):
- # 鑾峰彇鏄惁鍦ㄤ拱鍏ユ墽琛屼俊鍙峰懆鍥�2s
- left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, index,
- total_datas,
- local_today_canceled_buyno_map.get(
- code))
- if left_count > 0:
- buy_nums += left_count * data["val"]["num"]
- if buy_nums > thresh_num:
- break
- if buy_nums > thresh_num:
- need_cancel = False
- return need_cancel, f"鎴愪氦杩涘害浣�({transaction_index})-鐪熷疄涓嬪崟浣�({place_order_index}) 绾拱鎵嬫暟:{buy_nums}/1.8鍊峬鍊兼墜鏁�:{thresh_num}"
+ def __new__(cls, *args, **kwargs):
+ if not cls.__instance:
+ cls.__instance = super(GCancelBigNumComputer, cls).__new__(cls, *args, **kwargs)
+ return cls.__instance
+
+ def set_real_place_order_index(self, code, index):
+ self.__real_place_order_index_dict[code] = index
+
+ def clear(self, code=None):
+ if code:
+ if code in self.__real_place_order_index_dict:
+ self.__real_place_order_index_dict.pop(code)
+ else:
+ self.__real_place_order_index_dict.clear()
+
+ def need_cancel(self, code, buy_exec_index, start_index, end_index):
+ if code not in self.__real_place_order_index_dict:
+ return False, None, "娌℃湁鎵惧埌鐪熷疄涓嬪崟浣�"
+ real_place_order_index = self.__real_place_order_index_dict.get(code)
+ total_datas = local_today_datas.get(code)
+ # 30s鍐呮湁鏁�
+ if tool.trade_time_sub(total_datas[end_index]["val"]["time"], total_datas[buy_exec_index]["val"]["time"]) > 30:
+ return False, None, "涓嬪崟30s鍐呮墠鐢熸晥"
+
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ if not L2DataUtil.is_limit_up_price_buy_cancel(val):
+ continue
+ if val["num"] * float(val["price"]) < 30000:
+ continue
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(data,
+ local_today_buyno_map.get(
+ code))
+ if buy_index is not None and buy_index < real_place_order_index:
+ return True, data, ""
+ return False, None, ""
+
+ def place_order_success(self, code):
+ self.clear(code)
+
+ def cancel_success(self, code):
+ self.clear(code)
# ---------------------------------鐙嫍鎾�-------------------------------
--
Gitblit v1.8.0