From a5eaa98f55e665de19564022993503d9427d74c8 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 07 十一月 2023 17:06:50 +0800
Subject: [PATCH] 非快速下单增加板上买模式
---
l2/l2_data_manager_new.py | 92 +++++++++++++++++++++++++++++++++++++++++-----
1 files changed, 82 insertions(+), 10 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 9a21ba1..6abd491 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -9,6 +9,7 @@
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 l2.transaction_progress import TradeBuyQueue
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
@@ -203,6 +204,8 @@
class L2TradeDataProcessor:
unreal_buy_dict = {}
volume_rate_info = {}
+ # 鏈�杩戠殑闂數涓嬪崟浣嶇疆,鏍煎紡涓簕code:(鎬诲崠鏃堕棿,鎬诲崠棰�)}
+ __latest_fast_place_order_info_dict = {}
__codeActualPriceProcessor = CodeActualPriceProcessor()
__ths_l2_trade_queue_manager = trade_queue_manager.thsl2tradequeuemanager()
__thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager()
@@ -1008,10 +1011,27 @@
cls.unreal_buy_dict[code] = (buy_exec_index, capture_time)
trade_result_manager.virtual_buy_success(code)
+ # 鏄惁鏄湪鏉夸笂涔�
+ @classmethod
+ def __is_at_limit_up_buy(cls, code_):
+ # 鎬诲崠涓�0锛屽綋鍓嶆垚浜や环涓烘定鍋滀环灏卞垽鏂负鏉夸笂涔�
+ current_sell_data = cls.__L2MarketSellManager.get_current_total_sell_data(code_)
+ if current_sell_data and tool.trade_time_sub(tool.get_now_time_str(), current_sell_data[0]) < 5:
+ # 5s鍐呯殑鏁版嵁鎵嶆湁鏁�
+ if current_sell_data[1] <= 0:
+ # 鎬诲崠涓�0
+ trade_price = current_price_process_manager.get_trade_price(code_)
+ limit_up_price = gpcode_manager.get_limit_up_price(code_)
+ if trade_price and limit_up_price and abs(float(trade_price) - float(limit_up_price)) <= 0.001:
+ # 褰撳墠鎴愪氦浠蜂负娑ㄥ仠浠�
+ return True
+ return False
+
@classmethod
def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time,
is_first_code,
new_add=True):
+
if compute_end_index < compute_start_index:
return
@@ -1057,6 +1077,37 @@
_index = None
buy_single_index = _index
if has_single:
+ # 鍒ゆ柇鏄惁鏄澘涓婁拱
+ order_begin_pos.at_limit_up = cls.__is_at_limit_up_buy(code)
+ # -------------璁＄畻淇″彿浣嶅埌鎴愪氦浣嶇殑绾拱棰濓紙杩囪繙鍒欎负鏃犳晥浣嶇疆锛�-------------------
+ if order_begin_pos.at_limit_up:
+ # 鑾峰彇鎴愪氦杩涘害浣嶇疆
+ trade_index, is_default = TradeBuyQueue().get_traded_index(code)
+ if trade_index and not is_default:
+ m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
+ thresh_hold_num = m_base_val // (float(gpcode_manager.get_limit_up_price(code)) * 100)
+ # 鐪熷疄涓嬪崟浣嶅埌鎴愪氦浣嶇疆鐨勭函涔伴
+ total_num = 0
+ for i in range(trade_index + 1, order_begin_pos.buy_single_index):
+ data = total_datas[i]
+ val = data["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
+ code,
+ data["index"],
+ total_datas,
+ local_today_canceled_buyno_map.get(
+ code))
+ total_num += left_count * val["num"]
+ if total_num > thresh_hold_num:
+ break
+ if total_num > thresh_hold_num:
+ # 璺濈鎴愪氦杩涘害浣嶇疆杩囪繙
+ l2_log.debug(code,
+ f"鑾峰彇鐨勪俊鍙蜂綅鏃犳晥锛堟澘涓婁拱锛岃寖鍥达細{trade_index + 1}-{order_begin_pos.buy_single_index} 鏈垚浜ゆ�绘墜{total_num}/闃堝�納thresh_hold_num}锛�")
+ return None
+
cls.__last_buy_single_dict[code] = buy_single_index
new_get_single = True
order_begin_pos.num = 0
@@ -1066,11 +1117,12 @@
# 鏆傛椂鎵�8鎶�
order_begin_pos.threshold_money = int(sell_info[1] * 0.8)
# 娣辫瘉鎬诲崠澶т簬1000涓囩殑绁紝m鍊兼墦5鎶�
- if code.find('00')==0 and sell_info[1] > 1000*10000:
+ if code.find('00') == 0 and sell_info[1] > 1000 * 10000:
order_begin_pos.threshold_money = int(sell_info[1] * 0.5)
- 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}锛坽}锛�", buy_single_index,
+ 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{}锛屾槸鍚︽澘涓婁拱锛歿}锛屾暟鎹細{} 妯″紡锛歿}锛坽}锛�", buy_single_index,
compute_start_index,
- compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index],
+ compute_end_index, cls.volume_rate_info[code], order_begin_pos.at_limit_up,
+ total_datas[buy_single_index],
order_begin_pos.mode, fast_msg)
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "涓嬪崟淇″彿璁＄畻鏃堕棿")
@@ -1114,7 +1166,8 @@
order_begin_pos.count,
threshold_money,
order_begin_pos.buy_single_index,
- order_begin_pos.max_num_set)
+ order_begin_pos.max_num_set,
+ order_begin_pos.at_limit_up)
l2_log.debug(code, "m鍊�-{} 閲忔瘮:{} rebegin_buy_pos:{}", threshold_money, cls.volume_rate_info[code][0],
rebegin_buy_pos)
@@ -1126,10 +1179,10 @@
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:{} ,涓嬪崟妯″紡锛歿}", new_buy_exec_index,
+ 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} 鏄惁鏉夸笂涔帮細{} 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], order_begin_pos.mode)
+ buy_count, order_begin_pos.at_limit_up, 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,
@@ -1143,6 +1196,10 @@
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)
+
+ # 淇濆瓨闂數涓嬪崟鐨勪拱鍏ヤ俊鎭�
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ cls.__latest_fast_place_order_info_dict[code] = (order_begin_pos.sell_info[0], order_begin_pos.sell_info[1])
# 鏁版嵁鏄惁澶勭悊瀹屾瘯
if new_buy_exec_index < compute_end_index:
@@ -1312,7 +1369,7 @@
# 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,
- threshold_money, buy_single_index, max_num_set):
+ threshold_money, buy_single_index, max_num_set, at_limit_up=False):
_start_time = t.time()
total_datas = local_today_datas[code]
# is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
@@ -1322,10 +1379,25 @@
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�")
- # 鐩爣鎵嬫暟
- threshold_num = round(threshold_money / (limit_up_price * 100))
+
+ threshold_num = None
# 澶х洰鏍囨墜鏁帮紙婊¤冻杩欎釜灏变笉闇�瑕佺湅瀹夊叏绗旀暟锛�
- threshold_max_num = int(threshold_num * 1.2)
+ threshold_max_num = None
+ # ----------------璋冩暣鏉夸笂涓嬪崟鐨刴鍊间笌瀹夊叏绗旀暟----------------
+ if at_limit_up:
+ # 鏉夸笂涔帮紝鑾峰彇鏈�杩戜竴娆￠棯鐢典笅鍗曠殑鎬诲崠棰�
+ sell_data = cls.__latest_fast_place_order_info_dict.get(code)
+ if sell_data:
+ # 鏈夎繃闂數涓嬪崟
+ # 鎬诲崠鐨勪竴鍗婁綔涓簃鍊�
+ threshold_num = int(sell_data[1] / (limit_up_price * 100)) // 2
+ threshold_max_num = 0
+
+ if not threshold_num:
+ # 鐩爣鎵嬫暟
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ if not threshold_max_num:
+ threshold_max_num = int(threshold_num * 1.2)
# place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
# 鐩爣璁㈠崟鏁伴噺
--
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