From b9404847333a972b55766924ad3aa41aac5fd4f4 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 15 八月 2024 18:30:07 +0800
Subject: [PATCH] 下单条件修改
---
l2/l2_data_manager_new.py | 135 ++++++++++++++++++++------------------------
1 files changed, 61 insertions(+), 74 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 50cd000..5c15e67 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -260,6 +260,9 @@
# 涓嬫涔扮殑鏃堕棿
__next_buy_time_dict = {}
+ # 涓柇鏈壒娆′拱鍏ユ暟鎹鐞�
+ __break_current_batch_data_for_buy_dict = {}
+
# 鑾峰彇浠ｇ爜璇勫垎
@classmethod
def get_code_scores(cls):
@@ -518,6 +521,7 @@
# 澶勭悊鏈寕鍗�
@classmethod
def __process_not_order(cls, code, start_index, end_index, capture_time, is_first_code):
+ cls.__break_current_batch_data_for_buy_dict[code] = False
__start_time = round(t.time() * 1000)
# 鑾峰彇闃堝��
threshold_money, msg = cls.__get_threshmoney(code)
@@ -728,6 +732,8 @@
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:
+ # 涓柇涔板叆
+ cls.__break_current_batch_data_for_buy_dict[code] = True
trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
order_begin_pos.buy_exec_index,
local_today_datas.get(code))
@@ -910,59 +916,67 @@
if int(limit_up_time.replace(":", "")) < int("093000"):
return False, True, f"涓婅瘉寮�涓�09:32涔嬪墠涓嶄笅鍗�"
+ # ------------鎸傚崟鏃堕棿绾︽潫----------
order_begin_pos = cls.__get_order_begin_pos(
code)
if not trade_result_manager.can_place_order_for_cancel_time(code, total_data[order_begin_pos.buy_exec_index]):
return False, True, f"璺濈涓婃鎸傚崟灏忎簬鏃堕棿闄愬埗"
+
+ # ------------鏉垮潡绾︽潫-------------
+ if not cls.__WantBuyCodesManager.is_in_cache(code):
+ # 鎯充拱鍗曟棤鏉垮潡绾︽潫
+ block_buy_result = buy_strategy_util.is_block_can_buy(code, cls.__get_can_buy_block(code))
+ if not block_buy_result[0]:
+ return block_buy_result
+
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
+ # ---------------------鍒ゆ柇鏄惁涓烘澘涓婃斁閲�----------------------
trade_price = current_price_process_manager.get_trade_price(code)
if trade_price is None:
return False, True, f"灏氭湭鑾峰彇鍒板綋鍓嶆垚浜や环"
# 鍒ゆ柇鏄惁涓烘澘涓婃斁閲忥細
# 1.褰撳墠鎴愪氦浠蜂负娑ㄥ仠浠�
- # 2.鎬诲崠棰濅负0
+ # 2.璺濈鏈�杩戠殑闈炴澘涓婃垚浜ょ殑鏃堕棿澶т簬涓�涓槇鍊�
if abs(limit_up_price - float(trade_price)) < 0.001:
# 鑾峰彇鏈�杩戠殑闈炴定鍋滀环鎴愪氦鏃堕棿
- not_limit_up_info = current_price_process_manager.get_trade_not_limit_up_info(code)
- if not not_limit_up_info or tool.trade_time_sub(total_data[-1]['val']['time'],
- not_limit_up_info[1]) > 10:
- # 鑾峰彇鏈�杩�2s鐨勬垚浜�
- deal_list = HuaXinSellOrderStatisticManager.get_latest_2s_continue_deal_volumes(code)
- total_deal_volume = 0
- if deal_list:
- total_deal_volume = sum([x[1] for x in deal_list])
- total_deal_money = int(total_deal_volume * float(limit_up_price))
- # 鑾峰彇涔�1鐨勫皝鍗曢
+ not_limit_up_trade_time_with_ms = current_price_process_manager.get_trade_not_limit_up_time_with_ms(
+ code)
+ threshold_time_space = buy_condition_util.get_cancel_and_buy_space_time(code)
+ if not not_limit_up_trade_time_with_ms or tool.trade_time_sub_with_ms(
+ L2DataUtil.get_time_with_ms(total_data[-1]['val']),
+ not_limit_up_trade_time_with_ms) >= threshold_time_space:
+ # 鍒ゆ柇鎴愪氦杩涘害鍒板綋鍓嶆暟鎹殑绗旀暟锛屽鏋滃皯浜�10绗斾笖杩樻湁鏈垚浜ょ殑澶у崟锛�>=299锛夊氨鍙互涓嬪崟
+ trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
+ if trade_index is None:
+ trade_index = 0
+ can_place_order, msg = buy_strategy_util.is_near_by_trade_index(code, trade_index)
+ if not can_place_order:
+ try:
+ # 涓嶈兘涓嬪崟锛屽垽鏂皬缇ゆ挙鏄惁鍙互涓�
+ if buy_strategy_util.is_has_small_batch_cancel(code, trade_index,
+ order_begin_pos.buy_single_index):
+ # 鍒ゆ柇鎾ゅ崟姣斾緥鏄惁瓒冲
+ if not buy_strategy_util.is_cancel_rate_reieved(code, 0.69, trade_index,
+ order_begin_pos.buy_single_index):
+ return False, True, f"鏉夸笂鏀鹃噺璺濈杩�({not_limit_up_trade_time_with_ms})锛屾湁灏忕兢鎾�, 鏁翠綋鎾ゅ崟姣斾緥涓嶈冻锛坽trade_index}-{order_begin_pos.buy_single_index}锛�"
+ else:
+ return False, True, f"鏉夸笂鏀鹃噺璺濈杩�({not_limit_up_trade_time_with_ms})锛屾病鏈夊皬缇ゆ挙锛坽trade_index}-{order_begin_pos.buy_single_index}锛�"
+ except Exception as e:
+ l2_log.info(code, logger_l2_error, f"鏉夸笂鏀鹃噺({not_limit_up_trade_time_with_ms})涓嶈冻寮傚父锛歿str(e)}")
+ return False, True, f"鏉夸笂鏀鹃噺璁＄畻寮傚父"
+
+ # -------鏄惁璺濈鎴愪氦杩涘害浣嶅お杩�--------
buy1_money = code_price_manager.Buy1PriceManager().get_latest_buy1_money(code)
buy1_price = code_price_manager.Buy1PriceManager().get_buy1_price(code)
if buy1_price and abs(limit_up_price - buy1_price) > 0.0001:
# 涔�1鏈定鍋�
buy1_money = 0
-
if not buy1_money:
buy1_money = 1
- deal_rate = round(total_deal_money / buy1_money, 2)
- if deal_rate < 0.5:
- # 鍒ゆ柇鎴愪氦杩涘害鍒板綋鍓嶆暟鎹殑绗旀暟锛屽鏋滃皯浜�10绗斾笖杩樻湁鏈垚浜ょ殑澶у崟锛�>=299锛夊氨鍙互涓嬪崟
- trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
- if trade_index is None:
- trade_index = 0
- can_place_order, msg = buy_strategy_util.is_near_by_trade_index(code, trade_index)
- if not can_place_order:
- try:
- # 涓嶈兘涓嬪崟锛屽垽鏂皬缇ゆ挙鏄惁鍙互涓�
- if buy_strategy_util.is_has_small_batch_cancel(code, trade_index,
- order_begin_pos.buy_single_index):
- # 鍒ゆ柇鎾ゅ崟姣斾緥鏄惁瓒冲
- if not buy_strategy_util.is_cancel_rate_reieved(code, 0.69, trade_index,
- order_begin_pos.buy_single_index):
- return False, True, f"鏉夸笂鏀鹃噺涓嶈冻锛屾湁灏忕兢鎾�, 鏁翠綋鎾ゅ崟姣斾緥涓嶈冻锛坽trade_index}-{order_begin_pos.buy_single_index}锛�"
- else:
- return False, True, f"鏉夸笂鏀鹃噺涓嶈冻锛屼笖娌℃湁灏忕兢鎾わ紙{trade_index}-{order_begin_pos.buy_single_index}锛�"
- except Exception as e:
- l2_log.info(code, logger_l2_error, "鏉夸笂鏀鹃噺涓嶈冻寮傚父锛歿}", str(e))
- return False, True, f"鏉夸笂鏀鹃噺涓嶈冻"
- # 涓婅瘉涓嬪崟闇�瑕佹湁鎴愪氦澶у崟锛堝寘鍚富鍔ㄤ拱涓庤鍔ㄤ拱锛夋垨鑰呮寕涔扮殑澶у崟
+ if buy_strategy_util.is_far_away_from_trade_index(code, trade_index, buy1_money):
+ return False, True, f"璺濈鎴愪氦杩涘害浣嶅お杩滐細鎴愪氦杩涘害-{trade_index} 涔�1-{buy1_money}"
+
+ # ------------------涓婅瘉涓嬪崟闇�瑕佹湁鎴愪氦澶у崟锛堝寘鍚富鍔ㄤ拱涓庤鍔ㄤ拱锛夋垨鑰呮寕涔扮殑澶у崟-----------------
if tool.is_sh_code(code):
deal_big_order_count = BigOrderDealManager().get_total_buy_count(code)
if deal_big_order_count < 1:
@@ -983,7 +997,7 @@
if left_count < 1:
return False, False, f"娌℃湁宸叉寕鎴栬�呮垚浜ょ殑澶у崟"
place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
- # 绗竴鍜岀浜屾涓嬪崟閮藉繀椤昏鏈夎嚦灏戜竴绗旀湭鎴愪氦鐨勫ぇ鍗�
+ # ------------------绗竴鍜岀浜屾涓嬪崟閮藉繀椤昏鏈夎嚦灏戜竴绗旀湭鎴愪氦鐨勫ぇ鍗�--------------------------
# 璁＄畻澶у崟
total_datas = local_today_datas.get(code)
if place_order_count < 2:
@@ -997,47 +1011,16 @@
if left_count < 1:
return False, False, f"绗瑊place_order_count + 1}涓嬪崟鏃犲緟鎴愪氦鐨勫ぇ鍗�"
- # 鎵ц浣嶉偅涓�鎴虫暟鎹灏忎簬20鏉℃暟鎹�
- THRESHOLD_BUY_COUNT = 20
- buy_count = 0
- min_num = int(5000 / limit_up_price)
+ # -------鍒ゆ柇鏄惁鏄噺鍖栦笅鍗曪紝濡傛灉鏄氨涓嶈窡鍒颁笅鍗�--------
+ # 閲嶈锛氶噺鍖栦笅鍗曚細澧炲姞涓嬪崟娆℃暟锛屾澘鍧椾笅鍗曚腑鏈変笅鍗曟鏁扮殑浣跨敤锛屾墍浠ユ澘鍧楅渶瑕佸湪閲忓寲鍒ゆ柇涔嬪墠
+ # 鍙湁鏉垮潡婊¤冻涓嬪崟涔嬪悗鎵嶈兘鍒ゆ柇鍏跺畠鏉′欢
range_indexes = cls.__processing_data_indexes.get(code)
- trade_index, is_default = transaction_progress.TradeBuyQueue().get_traded_index(code)
- if trade_index is None:
- trade_index = 0
if range_indexes:
- # 鑾峰彇鎴愪氦杩涘害浣�
- for i in range(range_indexes[0], range_indexes[1] + 1):
- val = total_datas[i]["val"]
- if not L2DataUtil.is_limit_up_price_buy(val):
- continue
- if val["num"] < min_num:
- continue
- buy_count += 1
- if buy_count > THRESHOLD_BUY_COUNT:
- break
- if buy_count > THRESHOLD_BUY_COUNT:
- # 鍒ゆ柇鏄惁涓洪噺鍖�
- time_as_ms = tool.trade_time_sub_with_ms(
- L2DataUtil.get_time_with_ms(total_datas[range_indexes[1]]["val"]),
- L2DataUtil.get_time_with_ms(total_datas[range_indexes[0]]["val"]))
- if time_as_ms <= 10 if tool.is_sz_code(code) else 100:
- # 娣辫瘉10ms鍐咃紝涓婅瘉100ms鍐呭氨鍒ゅ畾涓洪噺鍖�
- HuaXinSellOrderStatisticManager.clear_latest_deal_volume(code)
- cls.__next_buy_time_dict[code] = t.time() + buy_condition_util.get_cancel_and_buy_space_time(
- code) / 1000
- # 濡傛灉鏄娆′笅鍗曪紝澧炲姞涓�娆′笅鍗曟鏁�
- place_order_count = trade_data_manager.PlaceOrderCountManager().get_place_order_count(code)
- if place_order_count == 0:
- trade_data_manager.PlaceOrderCountManager().place_order(code)
- return False, True, f"鎵ц浣嶆壒娆℃暟鎹噺({buy_count})澶т簬{THRESHOLD_BUY_COUNT} {range_indexes[0]}-{range_indexes[1]}"
- # 鏆傛椂娉ㄩ噴鎯充拱鍗曞姛鑳�
- if not cls.__WantBuyCodesManager.is_in_cache(code):
- # if cls.__TradeTargetCodeModeManager.get_mode_cache() == TradeTargetCodeModeManager.MODE_ONLY_BUY_WANT_CODES:
- # return False, True, f"鍙拱鎯充拱鍗曚腑鐨勪唬鐮�"
- return cls.can_buy_first_new(code, limit_up_price)
- else:
- return True, False, "鍦ㄦ兂涔板崟涓�"
+ is_quantization_result = buy_strategy_util.is_quantization(code, range_indexes[0], range_indexes[1])
+ if is_quantization_result[0]:
+ cls.__next_buy_time_dict[code] = is_quantization_result[1]
+ return False, True, is_quantization_result[2]
+ return True, False, "婊¤冻涓嬪崟鏉′欢"
# 鑾峰彇鍙互涔扮殑鏉垮潡
@classmethod
@@ -1348,6 +1331,10 @@
is_first_code,
new_add=True):
+ # 涓柇褰撳墠鎵规涔板叆鏁版嵁澶勭悊
+ if cls.__break_current_batch_data_for_buy_dict.get(code):
+ return
+
# 鍒ゆ柇涓嬫涔板叆鏃堕棿鏄惁姝ｇ‘
if code in cls.__next_buy_time_dict and t.time() < cls.__next_buy_time_dict[code]:
return
--
Gitblit v1.8.0