From 97cc7f2d7428ea890c0a0ada76e5bffafd2463e4 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 26 十月 2023 22:56:11 +0800
Subject: [PATCH] L2总卖实现
---
l2/l2_data_manager_new.py | 386 +++++++++++++++++++++++++++++++++++++++++++-----------
1 files changed, 304 insertions(+), 82 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index dd3e5fb..9ca3fe1 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -1,6 +1,4 @@
-import io
import logging
-import threading
import time as t
from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \
@@ -8,6 +6,7 @@
import constant
from db.redis_manager_delegate import RedisUtils
from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
+from l2.l2_sell_manager import L2MarketSellManager
from log_module import async_log_util, log_export
from third_data import kpl_data_manager, block_info
from utils import global_util, ths_industry_util, tool
@@ -16,21 +15,17 @@
from third_data.code_plate_key_manager import CodePlateKeyBuyManager, KPLCodeJXBlockManager
from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util
-from l2 import safe_count_manager, l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
+from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
transaction_progress, cancel_buy_strategy, l2_data_log
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
- LCancelBigNumComputer, LatestCancelIndexManager
-from l2.l2_data_manager import L2DataException
+ LCancelBigNumComputer, LatestCancelIndexManager, FastCancelBigNumComputer
+from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
local_latest_datas, local_today_canceled_buyno_map
import l2.l2_data_util
-from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_profile, logger_debug
+from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug
from trade.trade_data_manager import CodeActualPriceProcessor
-
-from line_profiler import LineProfiler
-
-import dask
from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager
@@ -234,6 +229,7 @@
__TradeTargetCodeModeManager = TradeTargetCodeModeManager()
__TradeOrderIdManager = trade_huaxin.TradeOrderIdManager()
__LatestCancelIndexManager = LatestCancelIndexManager()
+ __L2MarketSellManager = L2MarketSellManager()
# 鑾峰彇浠ｇ爜璇勫垎
@classmethod
@@ -289,7 +285,11 @@
@classmethod
def set_real_place_order_index(cls, code, index, buy_single_index):
trade_record_log_util.add_real_place_order_position_log(code, index, buy_single_index)
- cancel_buy_strategy.set_real_place_position(code, index, buy_single_index)
+ need_cancel = FastCancelBigNumComputer().set_real_order_index(code, index)
+ if need_cancel:
+ cls.cancel_buy(code, msg="F鎾や笉澶�2绗旇Е鍙戞挙鍗�")
+ else:
+ cancel_buy_strategy.set_real_place_position(code, index, buy_single_index)
# 澶勭悊鍗庨懌L2鏁版嵁
@classmethod
@@ -336,14 +336,21 @@
l2_data_log.l2_time_log(code, "process_add_datas 鍔犺浇瀹屾暟鎹�")
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, 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)
- cls.set_real_place_order_index(code, place_order_index, buy_single_index)
- async_log_util.info(logger_l2_process, "code:{} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{}", code, place_order_index)
+ if constant.TEST:
+ pass
+ # order_begin_pos = cls.__get_order_begin_pos(code)
+ # if order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index>=0:
+ # place_order_index = add_datas[-1]["index"]
+ # cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
+ else:
+ # 鑾峰彇涓嬪崟浣嶇疆
+ 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:
+ order_begin_pos = cls.__get_order_begin_pos(
+ code)
+ cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
+ async_log_util.info(logger_l2_process, "code:{} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{}", code, place_order_index)
except:
async_log_util.error(logger_l2_error, f"{code} 澶勭悊鐪熷疄涓嬪崟浣嶇疆鍑洪敊")
# 绗�1鏉℃暟鎹槸鍚︿负09:30:00
@@ -462,18 +469,35 @@
_buy_exec_index, start_index,
end_index, total_data,
code_volumn_manager.get_volume_rate_index(
- buy_volume_rate),
+ order_begin_pos.buy_volume_rate),
cls.volume_rate_info[code][1],
is_first_code)
if b_need_cancel and b_cancel_data:
return b_cancel_data, "H鎾ら攢姣斾緥瑙﹀彂闃堝��"
except Exception as e:
+ if constant.TEST:
+ logging.exception(e)
async_log_util.error(logger_l2_error,
f"H鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} {str(e)}")
async_log_util.exception(logger_l2_error, e)
finally:
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "宸蹭笅鍗�-H鎾ゅぇ鍗曡绠�")
pass
+ return None, ""
+
+ # F鎾�
+ def f_cancel(_buy_single_index, _buy_exec_index):
+ try:
+ b_need_cancel, b_cancel_data = FastCancelBigNumComputer().need_cancel(code, start_index, end_index,
+ order_begin_pos)
+ if b_need_cancel and b_cancel_data:
+ return b_cancel_data, f"F鎾�"
+ except Exception as e:
+ if constant.TEST:
+ logging.exception(e)
+ async_log_util.error(logger_l2_error,
+ f"F鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 閿欒鍘熷洜锛歿str(e)}")
+ async_log_util.exception(logger_l2_error, e)
return None, ""
# L鎾�
@@ -505,19 +529,23 @@
total_data = local_today_datas.get(code)
_start_time = tool.get_now_timestamp()
# 鑾峰彇涔板叆淇″彿璧峰鐐�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
# 榛樿閲忎负0.2
- if buy_volume_rate is None:
+ if order_begin_pos.buy_volume_rate is None:
buy_volume_rate = 0.2
+ cancel_data, cancel_msg = None, ""
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ cancel_data, cancel_msg = f_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
# 渚濇澶勭悊
- cancel_data, cancel_msg = l_cancel(buy_single_index, buy_exec_index)
+ if not cancel_data:
+ cancel_data, cancel_msg = l_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
# 鏆傛椂鍙栨秷S鎾�
# if not cancel_data:
# cancel_data, cancel_msg = s_cancel(buy_single_index, buy_exec_index)
if not cancel_data:
- cancel_data, cancel_msg = h_cancel(buy_single_index, buy_exec_index)
+ cancel_data, cancel_msg = h_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
if cancel_data:
l2_log.debug(code, "瑙﹀彂鎾ゅ崟锛屾挙鍗曚綅缃細{} 锛屾挙鍗曞師鍥狅細{}", cancel_data["index"], cancel_msg)
@@ -542,13 +570,14 @@
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
if not can:
l2_log.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
trade_record_log_util.add_cant_place_order_log(code, reason)
if need_clear_data:
- trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index,
+ trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index,
local_today_datas.get(code))
return False
else:
@@ -556,12 +585,12 @@
try:
l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
trade_manager.start_buy(code, capture_timestamp, last_data,
- last_data_index)
+ last_data_index, order_begin_pos.mode)
l2_log.debug(code, "鎵ц涔板叆鎴愬姛")
################涓嬪崟鎴愬姛澶勭悊################
trade_result_manager.real_buy_success(code, cls.__TradePointManager)
cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
- buy_single_index)
+ order_begin_pos.buy_single_index)
l2_log.debug(code, "澶勭悊涔板叆鎴愬姛")
params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc()
l2_log.debug(code, params_desc)
@@ -570,7 +599,7 @@
jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
info = cls.__trade_log_placr_order_info_dict[code]
- info.set_buy_index(buy_single_index, buy_exec_index)
+ info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
if jx_blocks:
info.set_kpl_blocks(list(jx_blocks))
elif jx_blocks_by:
@@ -666,10 +695,9 @@
if sell1_time is not None and sell1_volumn > 0:
# 鑾峰彇鎵ц浣嶄俊鎭�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
- code)
- buy_nums = num
- for i in range(buy_exec_index + 1, total_datas[-1]["index"] + 1):
+ order_begin_pos = cls.__get_order_begin_pos(code)
+ buy_nums = order_begin_pos.num
+ for i in range(order_begin_pos.buy_exec_index + 1, total_datas[-1]["index"] + 1):
_val = total_datas[i]["val"]
# 娑ㄥ仠涔�
if L2DataUtil.is_limit_up_price_buy(_val):
@@ -783,11 +811,11 @@
return False, True, f"灏氭湭鑾峰彇鍒板綋鍓嶆垚浜や环"
if float(limit_up_price) - float(trade_price) > 0.00001:
# 璁＄畻淇″彿璧峰浣嶇疆鍒板綋鍓嶇殑鎵嬫暟
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
num_operate_map = local_today_num_operate_map.get(code)
total_num = 0
- for i in range(buy_single_index, total_data[-1]["index"] + 1):
+ for i in range(order_begin_pos.buy_single_index, total_data[-1]["index"] + 1):
data = total_data[i]
val = data["val"]
if not L2DataUtil.is_limit_up_price_buy(val):
@@ -934,20 +962,21 @@
@classmethod
def cancel_buy(cls, code, msg=None, source="l2", cancel_index=None):
# 鏄惁鏄氦鏄撻槦鍒楄Е鍙�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
total_datas = local_today_datas[code]
if source == "trade_queue":
# 浜ゆ槗闃熷垪瑙﹀彂鐨勯渶瑕佷笅鍗曞悗5s
- if buy_exec_index is not None and buy_exec_index > 0:
+ if order_begin_pos.buy_exec_index is not None and order_begin_pos.buy_exec_index > 0:
now_time_str = tool.get_now_time_str()
- if tool.trade_time_sub(now_time_str, total_datas[buy_exec_index]["val"]["time"]) < 5:
+ if tool.trade_time_sub(now_time_str, total_datas[order_begin_pos.buy_exec_index]["val"]["time"]) < 5:
return False
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
# 鍙栨秷涔板叆鏍囪瘑
- trade_result_manager.virtual_cancel_success(code, buy_single_index, buy_exec_index, total_datas)
+ trade_result_manager.virtual_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index, total_datas)
else:
can_cancel, reason = cls.__can_cancel(code)
if not can_cancel:
@@ -962,7 +991,8 @@
trade_record_log_util.add_cancel_msg_log(code, msg)
cancel_result = cls.__cancel_buy(code)
if cancel_result:
- trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index, total_datas)
+ trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index, total_datas)
l2_log.debug(code, "鎵ц鎾ゅ崟缁撴潫锛屽師鍥狅細{}", msg)
return True
@@ -993,42 +1023,55 @@
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, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
new_get_single = False
+ buy_single_index = order_begin_pos.buy_single_index
if buy_single_index is None:
- continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
- # 鏈変拱鍏ヤ俊鍙�
- has_single, _index = cls.__compute_order_begin_pos(code, max(
- (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
- compute_end_index)
+ # 灏濊瘯璁＄畻蹇�熸垚浜や俊鍙�
+ has_single, _index, sell_info = cls.__compute_fast_order_begin_pos(code, compute_start_index,
+ compute_end_index)
+ if has_single:
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_FAST
+ order_begin_pos.sell_info = sell_info
+ elif _index is not None and _index < 0:
+ continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
+ # 鏈変拱鍏ヤ俊鍙�
+ has_single, _index = cls.__compute_order_begin_pos(code, max(
+ (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
+ compute_end_index)
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_NORMAL
# 濡傛灉涔板叆淇″彿涓庝笂娆＄殑涔板叆淇″彿涓�鏍峰氨涓嶈兘绠楁柊鐨勪俊鍙�
if cls.__last_buy_single_dict.get(code) == _index:
has_single = None
_index = None
- if _index == 106:
- print("杩涘叆璋冭瘯")
buy_single_index = _index
if has_single:
cls.__last_buy_single_dict[code] = buy_single_index
new_get_single = True
- num = 0
- count = 0
- l2_log.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}-{} 锛岄噺姣旓細{}锛屾暟鎹細{}", buy_single_index, compute_start_index,
- compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index])
+ order_begin_pos.num = 0
+ order_begin_pos.count = 0
+ order_begin_pos.buy_single_index = buy_single_index
+
+ if sell_info:
+ order_begin_pos.threshold_money = sell_info[1]
+ l2_log.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}-{} 锛岄噺姣旓細{}锛屾暟鎹細{} 妯″紡锛歿}", buy_single_index,
+ compute_start_index,
+ compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index],
+ order_begin_pos.mode)
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "涓嬪崟淇″彿璁＄畻鏃堕棿")
- if buy_single_index is None:
+ if order_begin_pos.buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
# 寮�濮嬭绠楃殑浣嶇疆
- start_process_index = max(buy_single_index, compute_start_index)
+ start_process_index = max(order_begin_pos.buy_single_index, compute_start_index)
if new_get_single:
- start_process_index = buy_single_index
+ start_process_index = order_begin_pos.buy_single_index
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "璁＄畻m鍊煎ぇ鍗�")
@@ -1037,16 +1080,30 @@
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m鍊奸槇鍊艰绠�")
# 涔板叆绾拱棰濈粺璁�
- new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(code,
- start_process_index,
- compute_end_index,
- num,
- count,
- threshold_money,
- buy_single_index,
- max_num_set)
- # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "绾拱棰濈粺璁℃椂闂�")
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = None, None, None, None, []
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ threshold_money = order_begin_pos.threshold_money
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new = cls.__sum_buy_num_for_order_fast(
+ code,
+ start_process_index,
+ compute_end_index,
+ order_begin_pos.num,
+ order_begin_pos.count,
+ threshold_money,
+ order_begin_pos.buy_single_index)
+ threshold_money = threshold_money_new
+ order_begin_pos.threshold_money = threshold_money
+ else:
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(
+ code,
+ start_process_index,
+ compute_end_index,
+ order_begin_pos.num,
+ order_begin_pos.count,
+ threshold_money,
+ order_begin_pos.buy_single_index,
+ order_begin_pos.max_num_set)
l2_log.debug(code, "m鍊�-{} 閲忔瘮:{} rebegin_buy_pos:{}", threshold_money, cls.volume_rate_info[code][0],
rebegin_buy_pos)
@@ -1058,14 +1115,20 @@
return
if new_buy_exec_index is not None:
- l2_log.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 绾拱鎵嬫暟锛歿} 绾拱鍗曟暟锛歿} 鏁版嵁锛歿} ,閲忔瘮:{} ", new_buy_exec_index, threshold_money,
+ l2_log.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 绾拱鎵嬫暟锛歿} 绾拱鍗曟暟锛歿} 鏁版嵁锛歿} ,閲忔瘮:{} ,涓嬪崟妯″紡锛歿}", new_buy_exec_index,
+ threshold_money,
buy_nums,
- buy_count, total_datas[new_buy_exec_index], cls.volume_rate_info[code])
- cls.__save_order_begin_data(code, buy_single_index, new_buy_exec_index, new_buy_exec_index,
- buy_nums, buy_count, max_num_set_new,
- cls.volume_rate_info[code][0])
+ buy_count, total_datas[new_buy_exec_index], cls.volume_rate_info[code], order_begin_pos.mode)
+ cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index,
+ buy_exec_index=new_buy_exec_index,
+ buy_compute_index=new_buy_exec_index,
+ num=buy_nums, count=buy_count,
+ max_num_set=max_num_set_new,
+ buy_volume_rate=cls.volume_rate_info[code][0],
+ mode=order_begin_pos.mode,
+ sell_info=order_begin_pos.sell_info,
+ threshold_money=threshold_money))
cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[new_buy_exec_index]["val"]["time"])
- cls.__TradePointManager.delete_buy_cancel_point(code)
l2_log.debug(code, "delete_buy_cancel_point")
# 鐩存帴涓嬪崟
ordered = cls.__buy(code, capture_time, total_datas[-1], total_datas[-1]["index"], is_first_code)
@@ -1082,25 +1145,26 @@
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,
- max_num_set_new, None)
+ cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index, buy_exec_index=-1,
+ buy_compute_index=compute_end_index, num=buy_nums,
+ count=buy_count,
+ max_num_set=max_num_set_new, mode=order_begin_pos.mode,
+ sell_info=order_begin_pos.sell_info,
+ threshold_money=threshold_money))
_start_time = t.time()
l2_data_log.l2_time_log(code, "__start_compute_buy 缁撴潫")
# 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, max_num_set, volume_rate = cls.__TradePointManager.get_buy_compute_start_data_cache(
+ def __get_order_begin_pos(cls, code) -> OrderBeginPosInfo:
+ order_begin_pos = cls.__TradePointManager.get_buy_compute_start_data_cache(
code)
- return buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate
+ return order_begin_pos
# 淇濆瓨涓嬪崟璧峰淇″彿
@classmethod
- def __save_order_begin_data(cls, code, buy_single_index, buy_exec_index, compute_index, num, count, max_num_set,
- volume_rate):
- cls.__TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num,
- count,
- max_num_set, volume_rate)
+ def __save_order_begin_data(cls, code, info: OrderBeginPosInfo):
+ cls.__TradePointManager.set_buy_compute_start_data_v2(code, info)
# 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
@@ -1157,6 +1221,63 @@
start = None
return False, None
+
+ # 蹇�熶拱鍏ユ硶鐨勪俊鍙蜂綅缃煡鎵�
+ @classmethod
+ def __compute_fast_order_begin_pos(cls, code, start_index, end_index):
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if float(limit_up_price) >= 10:
+ return False, -1, "鑲′环澶т簬10鍧�"
+ total_datas = local_today_datas[code]
+ start_time_str = total_datas[start_index]["val"]["time"]
+ if tool.trade_time_sub(start_time_str, "10:00:00") > 0:
+ return False, -1, "瓒呰繃瑙勫畾鏃堕棿"
+ refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str)
+ if refer_sell_data is None:
+ return False, -1, "鎬诲崠涓虹┖"
+ if cls.__L2MarketSellManager.is_refer_sell_time_used(code, refer_sell_data[0]):
+ return False, -1, "鎬诲崠缁熻鏃堕棿宸茶浣跨敤"
+ # 鏄惁澶т簬500涓�
+ if refer_sell_data[1] < 500 * 10000:
+ return False, -1, "鎬诲崠灏忎簬鎸囧畾閲戦"
+ # 缁熻涔嬪墠鐨勫崠
+ threshold_money = refer_sell_data[1]
+ for i in range(start_index - 1, -1, -1):
+ val = total_datas[i]["val"]
+ if tool.compare_time(val["time"], refer_sell_data[0]) <= 0:
+ break
+ if L2DataUtil.is_sell(val):
+ threshold_money += val["num"] * int(float(val["price"]) * 100)
+ elif L2DataUtil.is_sell_cancel(val):
+ threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ # 鏄惁涓烘湰绉掔殑绗竴涓定鍋滀拱
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data['val']
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ # 瑕佺粺璁″崠涓庡崠鎾�
+ if L2DataUtil.is_sell(val):
+ threshold_money += val["num"] * int(float(val["price"]) * 100)
+ elif L2DataUtil.is_sell_cancel(val):
+ threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ continue
+ # 50 涓囦互涓嬬殑涓嶉渶瑕�
+ if val["num"] * float(val["price"]) < 5000:
+ continue
+ # 鏄惁涓烘湰s鐨勭涓�娆℃定鍋�
+ is_first_limit_up = True
+ for j in range(i - 1, -1, -1):
+ temp_val = total_datas[j]["val"]
+ if temp_val["time"] == val["time"]:
+ if L2DataUtil.is_limit_up_price_buy(temp_val) and temp_val["num"] * float(
+ temp_val["price"]) >= 5000:
+ is_first_limit_up = True
+ break
+ else:
+ break
+ if is_first_limit_up:
+ return True, i, [refer_sell_data[0], threshold_money]
+ return False, None, None
@classmethod
def __get_threshmoney(cls, code):
@@ -1296,6 +1417,105 @@
return None, buy_nums, buy_count, None, max_buy_num_set
+ # 杩斿洖(涔板叆鎵ц鐐�, 鎬绘墜, 鎬荤瑪鏁�, 浠庢柊璁＄畻璧风偣, 绾拱棰濋槇鍊�)
+ # 璁＄畻蹇�熶拱鍏�
+ @classmethod
+ def __sum_buy_num_for_order_fast(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
+ threshold_money_origin, buy_single_index):
+ _start_time = t.time()
+ total_datas = local_today_datas[code]
+ # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
+
+ buy_nums = origin_num
+ buy_count = origin_count
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price is None:
+ raise Exception("娑ㄥ仠浠锋棤娉曡幏鍙�")
+ limit_up_price = float(limit_up_price)
+
+ threshold_money = threshold_money_origin
+ # 鐩爣鎵嬫暟
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+
+ buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+
+ # 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
+ # 闂撮殧鏈�澶ф椂闂翠负3s
+ max_space_time = 3
+ for i in range(compute_start_index, compute_end_index + 1):
+ data = total_datas[i]
+ _val = total_datas[i]["val"]
+ trigger_buy = False
+ # 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
+ if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
+ cls.__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, threshold_money
+ 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, threshold_money
+ if L2DataUtil.is_sell(_val):
+ threshold_money += _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ elif L2DataUtil.is_sell_cancel(_val):
+ threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ # 娑ㄥ仠涔�
+ elif L2DataUtil.is_limit_up_price_buy(_val):
+ 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"])
+ buy_count += int(total_datas[i]["re"])
+ if buy_nums >= threshold_num:
+ async_log_util.info(logger_l2_trade_buy,
+ f"{code}鑾峰彇鍒颁拱鍏ユ墽琛岀偣(蹇�熶拱鍏�)锛歿i} 缁熻绾拱鎵嬫暟锛歿buy_nums} 鐩爣绾拱鎵嬫暟锛歿threshold_num} 缁熻绾拱鍗曟暟锛歿buy_count}")
+ elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
+ # 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ local_today_buyno_map.get(
+ code))
+ if buy_index is not None:
+ # 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
+ if buy_index >= buy_single_index:
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍚� 鎾や拱绾拱鎵嬫暟锛歿} 鐩爣鎵嬫暟锛歿}", i, buy_nums, threshold_num)
+ else:
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝涔板叆浣嶏細{}", i, buy_index)
+ if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
+ # 鍚屼竴绉�,褰撲綔涔板叆淇″彿涔嬪悗澶勭悊
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ # 澶у崟鎾ら攢
+ l2_log.buy_debug(code, "{}鏁版嵁涔板叆浣嶄笌棰勪及涔板叆浣嶅湪鍚屼竴绉�", i)
+ else:
+ # 鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�
+ l2_log.buy_debug(code, "鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�: 浣嶇疆-{} 鏁版嵁-{}", i, data)
+ buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
+ buy_count -= int(total_datas[i]["re"])
+ l2_log.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 trigger_buy:
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, 0, [])
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+
+ return i, buy_nums, buy_count, None, threshold_money
+
+ l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣(蹇�熶拱鍏�)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}",
+ compute_start_index,
+ buy_nums,
+ threshold_num, buy_count)
+
+ return None, buy_nums, buy_count, None, threshold_money
+
def test_trade_record():
code = "000333"
@@ -1328,8 +1548,10 @@
if datas is None:
datas = []
l2.l2_data_util.local_today_datas[code] = datas[:191]
- l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map,code, l2.l2_data_util.local_today_datas[code])
- l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, l2.l2_data_util.local_today_datas[code])
+ l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map, code,
+ l2.l2_data_util.local_today_datas[code])
+ l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code,
+ l2.l2_data_util.local_today_datas[code])
start_index = 73
end_index = 190
LCancelBigNumComputer().compute_watch_index(code, start_index, end_index)
--
Gitblit v1.8.0