From 8c7f84cbd0afde7600b0c67a8032fa19c57d8c41 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 05 二月 2024 11:18:33 +0800
Subject: [PATCH] L撤快速成交触发撤单修改
---
l2/l2_transaction_data_processor.py | 9 ++--
huaxin_client/l1_client_for_trade.py | 4 +-
l2/cancel_buy_strategy.py | 69 ++++++++++++++++------------------
l2/l2_data_manager_new.py | 18 +++++++++
4 files changed, 56 insertions(+), 44 deletions(-)
diff --git a/huaxin_client/l1_client_for_trade.py b/huaxin_client/l1_client_for_trade.py
index 80a8261..4acddc6 100644
--- a/huaxin_client/l1_client_for_trade.py
+++ b/huaxin_client/l1_client_for_trade.py
@@ -62,8 +62,8 @@
def subscribe(self, codes: set):
del_codes = self.__subscribed_codes - codes
add_codes = codes - self.__subscribed_codes
- if add_codes:
- codes_sh, codes_sz = self.__seperate_codes(add_codes)
+ if codes:
+ codes_sh, codes_sz = self.__seperate_codes(codes)
logger_local_huaxin_l1.info(f"鏂板璁㈤槄锛歿codes_sh} {codes_sz}")
if codes_sh:
ret = self.__api.SubscribeMarketData(codes_sh, xmdapi.TORA_TSTP_EXD_SSE)
diff --git a/l2/cancel_buy_strategy.py b/l2/cancel_buy_strategy.py
index 8837171..696c75c 100644
--- a/l2/cancel_buy_strategy.py
+++ b/l2/cancel_buy_strategy.py
@@ -32,10 +32,11 @@
from utils.tool import CodeDataCacheUtil
-def set_real_place_position(code, index, buy_single_index=None, is_default = True):
+def set_real_place_position(code, index, buy_single_index=None, is_default=True):
# DCancelBigNumComputer().set_real_order_index(code, index)
SecondCancelBigNumComputer().set_real_place_order_index(code, index)
- LCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index=buy_single_index)
+ LCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index=buy_single_index,
+ is_default=is_default)
HourCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index)
GCancelBigNumComputer().set_real_place_order_index(code, index, buy_single_index, is_default)
FCancelBigNumComputer().set_real_order_index(code, index)
@@ -836,7 +837,7 @@
# 鑾峰彇鎾ゅ崟姣斾緥,杩斿洖锛堟挙鍗曟瘮渚�,鏄惁蹇呬拱锛�
@classmethod
- def get_cancel_rate(cls, code, buy_exec_time, is_up=False, is_l_down_recomputed = False):
+ def get_cancel_rate(cls, code, buy_exec_time, is_up=False, is_l_down_recomputed=False):
# 涓嬪崟15s鍐呮挙鍗曟瘮渚嬩负璁剧疆涓�29% -- 鏆傛椂涓嶇敓鏁�
# if not is_up and tool.trade_time_sub(tool.get_now_time_str(), buy_exec_time) <= 15:
# return 0.29, False
@@ -958,7 +959,7 @@
for k in keys:
code = k.split("-")[-1]
val = RedisUtils.get(__redis, k)
- val = int(val)
+ val = json.loads(val)
CodeDataCacheUtil.set_cache(cls.__real_place_order_index_dict, code, val)
keys = RedisUtils.keys(__redis, "l_cancel_near_by_index-*")
@@ -1048,11 +1049,12 @@
if not watch_index_info or watch_index_info[1] > 0:
return
# 鑾峰彇鎴愪氦杩涘害浣嶄笌鐪熷疄涓嬪崟浣嶇疆
- real_place_order_index = self.__real_place_order_index_dict.get(code)
+ real_place_order_index_info = self.__real_place_order_index_dict.get(code)
last_trade_progress_index = self.__last_trade_progress_dict.get(code)
- if not real_place_order_index or not last_trade_progress_index:
+ if not real_place_order_index_info or not last_trade_progress_index:
return
- self.compute_watch_index(code, watch_index_info[0], last_trade_progress_index + 1, real_place_order_index,
+ self.compute_watch_index(code, watch_index_info[0], last_trade_progress_index + 1,
+ real_place_order_index_info[0],
re_compute=1)
# 璁＄畻瑙傚療绱㈠紩锛屽�掑簭璁＄畻
@@ -1168,9 +1170,9 @@
async_log_util.exception(logger_l2_l_cancel, e)
# 璁剧疆鐪熷疄涓嬪崟浣嶇疆
- def set_real_place_order_index(self, code, index, buy_single_index=None):
+ def set_real_place_order_index(self, code, index, buy_single_index=None, is_default=False):
l2_log.l_cancel_debug(code, f"璁剧疆鐪熷疄涓嬪崟浣�-{index}锛宐uy_single_index-{buy_single_index}")
- self.__real_place_order_index_dict[code] = index
+ self.__real_place_order_index_dict[code] = (index, is_default)
RedisUtils.setex_async(self.__db, f"l_cancel_real_place_order_index-{code}", tool.get_expire(), index)
if buy_single_index is not None:
self.compute_watch_index(code, buy_single_index, buy_single_index, index)
@@ -1189,7 +1191,7 @@
if code not in self.__last_l_up_compute_info or time.time() - self.__last_l_up_compute_info[code][0] >= 3:
self.__compute_trade_progress_near_by_indexes(code, buy_single_index,
self.__last_trade_progress_dict.get(code) + 1,
- self.__real_place_order_index_dict.get(code))
+ self.__real_place_order_index_dict.get(code)[0])
# 璁＄畻鑼冨洿鍐呯殑鎴愪氦浣嶄复杩戞湭鎾ゅぇ鍗�
def __compute_trade_progress_near_by_indexes(self, code, buy_single_index, start_index, end_index):
@@ -1234,7 +1236,6 @@
def __compute_total_l_down_not_deal_num(self, code):
# 鍙湁鐪熷疄鑾峰彇鍒颁笅鍗曚綅缃悗鎵嶅紑濮嬭绠�
-
try:
if code in self.__total_l_down_not_deal_num_dict and time.time() - \
self.__total_l_down_not_deal_num_dict[code][
@@ -1271,7 +1272,7 @@
dealing_info = HuaXinTransactionDataManager.get_dealing_order_info(code)
if dealing_info:
if str(val["orderNo"]) == str(dealing_info[0]):
- fnum -= dealing_info[1]//100
+ fnum -= dealing_info[1] // 100
total_left_num += fnum
self.__total_l_down_not_deal_num_dict[code] = (total_left_num, time.time())
except Exception as e:
@@ -1289,23 +1290,13 @@
# L鍚庡凡缁忎笉鑳藉畧鎶�
HourCancelBigNumComputer().start_compute_watch_indexes(code, buy_single_index)
- # 閲嶆柊璁＄畻鎴愪氦浣嶇疆涓磋繎澶у崟鎾ゅ崟
- self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1,
- self.__real_place_order_index_dict.get(code))
+ real_place_order_index_info = self.__real_place_order_index_dict.get(code)
+ real_place_order_index = None
+ if real_place_order_index_info:
+ real_place_order_index = real_place_order_index_info[0]
- # 鎴愪氦杩涘害涓嶭涓嬫挙鏃犲叧
- # try:
- # # 宸茬粡鏈夎绠楃殑鏃犳硶瑙﹀彂璁＄畻
- # old_watch_indexes = self.__get_watch_indexes_cache(code)
- # if old_watch_indexes and self.__last_trade_progress_dict.get(code):
- # return
- # finally:
- # self.__last_trade_progress_dict[code] = index
- #
- # if self.__real_place_order_index_dict.get(code):
- # # 瑙﹀彂璁＄畻
- # self.compute_watch_index(code, self.__last_trade_progress_dict.get(code),
- # self.__real_place_order_index_dict.get(code))
+ # 閲嶆柊璁＄畻鎴愪氦浣嶇疆涓磋繎澶у崟鎾ゅ崟
+ self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index + 1, real_place_order_index)
def add_transaction_datas(self, code, transaction_datas):
if not transaction_datas:
@@ -1347,13 +1338,17 @@
if orgin_deal_data is None:
return False, "L鍚庢殏鏃舵棤鎴愪氦"
+ real_place_order_index_info = self.__real_place_order_index_dict.get(code)
+ if real_place_order_index_info and real_place_order_index_info[1]:
+ return False, "娌¤幏鍙栧埌鐪熷疄鐨勪笅鍗曚綅"
+
threshold_rate = constant.L_CANCEL_FAST_DEAL_RATE
rate = orgin_deal_data[0] / (total_l_down_not_deal_num[0] * 100)
if rate > threshold_rate:
limit_up_price = float(gpcode_manager.get_limit_up_price(code))
deal_money = limit_up_price * orgin_deal_data[0]
if deal_money >= constant.L_CANCEL_FAST_DEAL_MIN_MONEY:
- return True, f"杈惧埌鎾ゅ崟姣斾緥锛歿rate}/{threshold_rate} 鎴愪氦璇︽儏锛歿 orgin_deal_data}/{total_l_down_not_deal_num}"
+ return True, f"杈惧埌鎾ゅ崟姣斾緥锛歿rate}/{threshold_rate} 鎴愪氦璇︽儏锛歿orgin_deal_data}/{total_l_down_not_deal_num}"
else:
return False, f"宸茶揪鍒版挙鍗曟瘮渚嬶紝鏈揪鍒版挙鍗曢噾棰濓細{deal_money}"
else:
@@ -1370,11 +1365,11 @@
if buy_single_index is None:
return
# 閲嶆柊鍥婃嫭1绗�
- real_place_order_index = self.__real_place_order_index_dict.get(code)
- if real_place_order_index and real_place_order_index > index:
+ real_place_order_info = self.__real_place_order_index_dict.get(code)
+ if real_place_order_info and real_place_order_info[0] > index:
total_datas = local_today_datas.get(code)
min_num = int(5000 / (float(gpcode_manager.get_limit_up_price(code))))
- for j in range(index + 1, real_place_order_index):
+ for j in range(index + 1, real_place_order_info[0]):
data = total_datas[j]
val = data['val']
if data["index"] in watch_indexes:
@@ -1514,15 +1509,15 @@
l2_log.l_cancel_debug(code, f"璁＄畻鑼冨洿锛歿start_index}-{end_index},鎴愪氦浣嶄复杩戝凡鎾ゅ崟姣斾緥锛歿rate}/{thresh_cancel_rate}")
if rate >= thresh_cancel_rate:
# 璁＄畻鎴愪氦杩涘害浣嶇疆鍒板綋鍓嶄笅鍗曚綅缃殑绾拱棰�
- real_place_order_index = self.__real_place_order_index_dict.get(code)
+ real_place_order_index_info = 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:
+ if real_place_order_index_info 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 * 3
# 闃堝�间负2鍊峬鍊�
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):
+ for i in range(trade_progress_index + 1, real_place_order_index_info[0]):
data = total_data[i]
val = data['val']
if not L2DataUtil.is_limit_up_price_buy(val):
@@ -1538,7 +1533,7 @@
if total_num > thresh_hold_num:
# 鎴愪氦浣嶅埌涓嬪崟浣嶈繕鏈夎冻澶熺殑鍗曟病鎾�
l2_log.l_cancel_debug(code,
- f"L涓婃挙闃绘柇锛� 鎴愪氦浣�-{trade_progress_index} 鐪熷疄涓嬪崟浣�-{real_place_order_index} 闃堝��-{thresh_hold_money}")
+ f"L涓婃挙闃绘柇锛� 鎴愪氦浣�-{trade_progress_index} 鐪熷疄涓嬪崟浣�-{real_place_order_index_info[0]} 闃堝��-{thresh_hold_money}")
return False, None
canceled_indexes.sort()
@@ -1759,7 +1754,7 @@
def __commpute_watch_indexes(self, code, traded_index, real_order_index_info, from_real_order_index_changed=False):
if traded_index is None or real_order_index_info is None:
return
- real_order_index, is_default = real_order_index_info[0],real_order_index_info[1]
+ real_order_index, is_default = real_order_index_info[0], real_order_index_info[1]
origin_watch_index = self.__watch_indexes_dict.get(code)
if origin_watch_index is None:
origin_watch_index = set()
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 3c597a5..f73a540 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -1574,6 +1574,22 @@
count -= total_datas[i]["re"]
return count
+ # 灏嗗凡缁忔垚浜ょ殑杩囨护鎺�
+
+ @classmethod
+ def __filter_not_deal_indexes(cls, code, indexes):
+ trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code)
+ if is_default:
+ return indexes
+ if trade_index is None:
+ return indexes
+ findexes = set()
+ for index in indexes:
+ if index < trade_index:
+ continue
+ findexes.add(index)
+ return findexes
+
# 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,
@@ -1695,6 +1711,7 @@
buy_nums, threshold_num)
max_buy_num_set_count = 0
+ max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
for i1 in max_buy_num_set:
max_buy_num_set_count += total_datas[i1]["re"]
@@ -1833,6 +1850,7 @@
not_buy_msg = f"銆恵i}銆戝畨鍏ㄧ瑪鏁颁笉瓒筹紝{buy_count}/{5}"
continue
+ max_buy_num_set = cls.__filter_not_deal_indexes(code, max_buy_num_set)
if place_order_count == 0:
if len(max_buy_num_set) < 1:
not_buy_msg = f"銆恵i}銆戦娆′笅鍗曟棤澶у崟"
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index f157e5c..406cd94 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -62,11 +62,10 @@
async_log_util.error(hx_logger_l2_debug, str(e))
try:
# 涓嬪崟2s鍚庢墠寮�濮嬬敓鏁�
- if tool.trade_time_sub(total_datas[-1]["val"]["time"],total_datas[order_begin_pos.buy_exec_index]["val"]["time"]) > 2:
- cresult = LCancelBigNumComputer().add_transaction_datas(code, datas)
- if cresult[0]:
- L2TradeDataProcessor.cancel_buy(code, f"L鍚庢垚浜ゅお蹇挙鍗�:{cresult[1]}")
- order_begin_pos = None
+ cresult = LCancelBigNumComputer().add_transaction_datas(code, datas)
+ if cresult[0]:
+ L2TradeDataProcessor.cancel_buy(code, f"L鍚庢垚浜ゅお蹇挙鍗�:{cresult[1]}")
+ order_begin_pos = None
except Exception as e:
async_log_util.error(hx_logger_l2_debug, str(e))
--
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