From 954e42723fab626b33f6dbff9246bd235981fe7a Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 09 十二月 2022 19:22:38 +0800
Subject: [PATCH] 撤单策略初步修改
---
l2_data_manager_new.py | 161 ++++++++++++++++++++++++++++++++++++++++++++++++++---
1 files changed, 151 insertions(+), 10 deletions(-)
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index 7a795bd..a1df0b4 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -217,14 +217,15 @@
state = trade_manager.get_trade_state(code)
start_index = len(total_datas) - len(add_datas)
end_index = len(total_datas) - 1
- if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER:
+ if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
# 宸叉寕鍗�
cls.__process_order(code, start_index, end_index, capture_timestamp)
else:
# 鏈寕鍗�
cls.__process_not_order(code, start_index, end_index, capture_timestamp)
- logger_l2_process.info("code:{} 澶勭悊鏁版嵁鑼冨洿: {}-{} 澶勭悊鏃堕棿:{}", code, add_datas[0]["index"],
- add_datas[-1]["index"], round(t.time() * 1000) - __start_time)
+ logger_l2_process.info("code:{} 澶勭悊鏁版嵁鑼冨洿: {}-{} 澶勭悊鏃堕棿:{} 鎴浘鏃堕棿鎴筹細{}", code, add_datas[0]["index"],
+ add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
+ capture_timestamp)
__start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, "l2鏁版嵁澶勭悊鏃堕棿")
# 淇濆瓨鏁版嵁
l2_data_manager.save_l2_data(code, datas, add_datas)
@@ -258,7 +259,7 @@
buy_single_index, buy_exec_index, buy_compute_index, num, count = 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,
- buy_single_index)
+ buy_single_index, buy_exec_index)
# 璁＄畻m鍊煎ぇ鍗�
cls.l2BigNumForMProcessor.process(code, max(buy_single_index, start_index), end_index,
@@ -368,7 +369,7 @@
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�
+ # 姘翠笅鎹炰笖鏉垮潡涓殑绁ㄥ皬浜�16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))
@@ -518,7 +519,8 @@
l2_data_manager.TradePointManager.delete_buy_cancel_point(code)
# 娑ㄥ仠灏佸崟棰濊绠�
- L2LimitUpMoneyStatisticUtil.process_data(code, buy_single_index, compute_index, buy_single_index, False)
+ L2LimitUpMoneyStatisticUtil.process_data(code, buy_single_index, compute_index, buy_single_index,
+ buy_exec_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")
@@ -628,7 +630,13 @@
count = threshold_count - sub_threshold_count
if count < 3:
count = 3
- return round(count*buy1_factor)
+ count = round(count * buy1_factor)
+ # 鏈�楂�30绗旓紝鏈�浣�8绗�
+ if count > 30:
+ count = 30
+ if count < 8:
+ count = 8
+ return count
_start_time = t.time()
total_datas = local_today_datas[code]
@@ -846,6 +854,17 @@
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"
+ @classmethod
+ def test3(cls):
+ code = "002693"
+ load_l2_data(code, True)
+ start_index = 334
+ end_index = 341
+ buy_single_index = 152
+ cls.random_key[code] = random.randint(0, 100000)
+ L2LimitUpMoneyStatisticUtil.process_data(code, start_index, end_index,
+ buy_single_index)
+
# 娑ㄥ仠灏佸崟棰濈粺璁�
class L2LimitUpMoneyStatisticUtil:
@@ -969,12 +988,13 @@
# 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):
+ def process_data(cls, code, start_index, end_index, buy_single_begin_index, buy_exec_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 = {}
+ # 鍧愭爣-閲忕殑map
num_dict = {}
# 缁熻鏃堕棿鍒嗗竷
time_dict = {}
@@ -1022,8 +1042,39 @@
time_list = []
# 鍒板綋鍓嶆椂闂寸疮绉殑涔�1閲�
time_total_num_dict = {}
+
+ # 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])
+ # 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):
data = total_datas[i]
+ # 缁熻鎾ら攢鏁伴噺
+ if big_money_num_manager.is_big_num(data["val"]):
+ if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]):
+ cancel_big_num_count += int(data["re"])
+ # TODO 澶ч噺閲嶅鐨勫伐浣滈渶瑕佸鐞嗭紝鍙互鏆傚瓨鍦ㄥ唴瀛樹腑锛屼粠鑰屽噺灏戣绠�
+ # 鑾峰彇鏄惁鍦ㄤ拱鍏ユ墽琛屼俊鍙峰懆鍥�2s
+ buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(data["val"],
+ local_today_num_operate_map.get(
+ code))
+ if buy_index is not None and buy_data is not None:
+ # 鐩稿樊1s
+ buy_time = buy_data["val"]["time"]
+ if abs(buy_exec_time - tool.get_time_as_second(buy_time)) < 2:
+ cancel_big_num_count += int(data["re"])
+
+ elif L2DataUtil.is_limit_up_price_buy(data["val"]):
+ cancel_big_num_count -= int(data["re"])
+
+ threshold_rate = 0.5
+ if cancel_big_num_count >= 0:
+ if cancel_big_num_count < 10:
+ threshold_rate = threshold_rate - cancel_big_num_count * 0.01
+ else:
+ threshold_rate = threshold_rate - 10 * 0.01
+
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�
@@ -1048,12 +1099,27 @@
# 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:
+ last_second_total_volumn - total_num) / last_second_total_volumn >= threshold_rate:
# 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
+ # 璁板綍涓湁涓�2涓暟鎹�
+ if len(time_list) >= 2:
+ # 鍊掓暟绗�2涓暟鎹�
+ last_2_second_total_volumn = time_total_num_dict.get(time_list[-2])
+ if last_2_second_total_volumn > 0:
+ if last_2_second_total_volumn > last_second_total_volumn > total_num:
+ dif = last_2_second_total_volumn - total_num
+ if dif / last_2_second_total_volumn >= threshold_rate:
+ cancel_index = i
+ cancel_msg = "鐩搁偦3s({})鍐呯殑灏佸崟閲�(绗�3绉� 涓� 绗�1鐨� 鍑忓皬姣斾緥)鍑忓皬50%({}->{}->{})".format(time_,
+ last_2_second_total_volumn,
+ last_second_total_volumn,
+ total_num)
+ break
+
if not with_cancel:
cancel_index = None
@@ -1072,7 +1138,82 @@
return None, None
+# 娑ㄥ仠鍗栫粺璁�
+class L2LimitUpSellStatisticUtil:
+ _redisManager = redis_manager.RedisManager(0)
+
+ @classmethod
+ def __get_redis(cls):
+ return cls._redisManager.getRedis()
+
+ # 鏂板鍗栨暟鎹�
+ @classmethod
+ def __incre_sell_data(cls, code, num):
+ key = "limit_up_sell_num-{}".format(code)
+ cls.__get_redis().incrby(key, num)
+
+ @classmethod
+ def __get_sell_data(cls, code):
+ key = "limit_up_sell_num-{}".format(code)
+ val = cls.__get_redis().get(key)
+ if val is None:
+ return 0
+ return int(val)
+
+ @classmethod
+ def __save_process_index(cls, code, index):
+ key = "limit_up_sell_index-{}".format(code)
+ cls.__get_redis().setex(key, tool.get_expire(), index)
+
+ @classmethod
+ def __get_process_index(cls, code):
+ key = "limit_up_sell_index-{}".format(code)
+ val = cls.__get_redis().get(key)
+ if val is None:
+ return -1
+ return int(val)
+
+ # 娓呴櫎鏁版嵁
+ @classmethod
+ def delete(cls, code):
+ key = "limit_up_sell_num-{}".format(code)
+ cls.__get_redis().delete(key)
+ key = "limit_up_sell_index-{}".format(code)
+ cls.__get_redis().delete(key)
+
+ # 澶勭悊鏁版嵁锛岃繑鍥炴槸鍚﹂渶瑕佹挙鍗�
+ @classmethod
+ def process(cls, code, start_index, end_index, buy_exec_index):
+ # 鑾峰彇娑ㄥ仠鍗栫殑闃堝��
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ zyltgb = l2_trade_factor.L2TradeFactorUtil.get_zyltgb(code)
+ threshold_num = zyltgb * 0.015 // (limit_up_price * 100)
+ total_num = cls.__get_sell_data(code)
+ cancel_index = None
+ process_index = cls.__get_process_index(code)
+ for i in range(start_index, end_index + 1):
+ if i < buy_exec_index:
+ continue
+ if i <= process_index:
+ continue
+ total_datas = local_today_datas.get(code)
+ if L2DataUtil.is_limit_up_price_sell(total_datas[i]["val"]):
+ num = int(total_datas[i]["val"]["num"])
+ cls.__incre_sell_data(code, num)
+ total_num += num
+ if total_num > threshold_num:
+ cancel_index = i
+ break
+ if cancel_index is not None:
+ process_index = cancel_index
+ else:
+ process_index = end_index
+ # 淇濆瓨澶勭悊鐨勪綅缃�
+ cls.__save_process_index(code, process_index)
+ return cancel_index
+
+
if __name__ == "__main__":
- L2TradeDataProcessor.test2()
+ L2TradeDataProcessor.test3()
print("----------------------")
# L2TradeDataProcessor.test()
--
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