From cfba83b787a60317424f6b6ae2a282aaa8df612b Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 29 七月 2025 15:49:05 +0800
Subject: [PATCH] 每次上板大单bug修复/成交进度位近似处理
---
l2/l2_transaction_data_processor.py | 62 +++++++++++++++++++++++++------
1 files changed, 50 insertions(+), 12 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index aac5019..0811b3e 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -38,10 +38,17 @@
# 璁＄畻鎴愪氦杩涘害
@classmethod
- def __compute_latest_trade_progress(cls, code, fdatas):
+ def __compute_latest_trade_progress(cls, code, fdatas, buy_exec_index=None):
+ """
+ 璁＄畻鐪熷疄涓嬪崟浣嶇疆
+ @param code:
+ @param fdatas:
+ @param buy_exec_index:
+ @return:鐪熷疄涓嬪崟浣嶇疆, 鏄惁鏄繎浼艰绠�
+ """
buyno_map = l2_data_util.local_today_buyno_map.get(code)
if not buyno_map:
- return None
+ return None, False
buy_progress_index = None
for i in range(len(fdatas) - 1, -1, -1):
d = fdatas[i]
@@ -51,7 +58,37 @@
if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]):
buy_progress_index = buyno_map[buy_no]["index"]
break
- return buy_progress_index
+ if buy_progress_index is None and buy_exec_index is not None:
+ # 娌℃湁鎵惧埌鐪熷疄鎴愪氦杩涘害浣嶄笖鏈変拱鍏ユ墽琛屼綅缃�
+ # 鏍规嵁鏈�杩戠殑鎴愪氦涔板崟鍙疯绠楃湡瀹炴垚浜や綅缃�
+ try:
+ latest_buy_order_no = fdatas[-1][0][6]
+ total_datas = l2_data_util.local_today_datas.get(code)
+ if tool.trade_time_sub(total_datas[-1]["val"]["time"], total_datas[buy_exec_index]["val"]["time"]) < 60:
+ # 涓嬪崟60s鍐呮墠杩欐牱璁＄畻
+ # 鍙栨渶鏂扮殑鎴愪氦涔板崟鍙凤紝鍦ㄤ袱涓定鍋滃鎵樹拱涔嬮棿鐨勫悗涓�涓暟鎹�
+ index_1 = None
+ max_index = total_datas[-1]["index"]
+ for i in range(max_index, -1, -1):
+ data = total_datas[i]
+ val = data['val']
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val['orderNo'] < latest_buy_order_no:
+ index_1 = i
+ break
+ if index_1 is not None:
+ for i in range(index_1 + 1, max_index + 1):
+ data = total_datas[i]
+ val = data['val']
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val['orderNo'] > latest_buy_order_no:
+ buy_progress_index = i
+ return buy_progress_index, True
+ except Exception as e:
+ async_log_util.info(logger_debug, f"璁＄畻鐪熷疄鎴愪氦杩涘害浣嶅嚭閿欙細{str(e)}")
+ return buy_progress_index, False
@classmethod
def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo):
@@ -251,7 +288,7 @@
# if big_money_count > 0:
# LCancelRateManager.compute_big_num_deal_rate(code)
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
+ buy_progress_index, is_similar = cls.__compute_latest_trade_progress(code, fdatas)
if buy_progress_index is not None:
buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
@@ -339,18 +376,19 @@
# 缁熻娑ㄥ仠涓诲姩鍗栨垚浜わ紝涓轰簡F鎾ゅ噯澶囨暟鎹�
HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price)
# 璁＄畻鎴愪氦杩涘害
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
- if buy_progress_index is not None:
+ _buy_progress_index, _is_similar = cls.__compute_latest_trade_progress(code, fdatas,
+ order_begin_pos.buy_exec_index)
+ if _buy_progress_index is not None:
total_datas = l2_data_util.local_today_datas.get(code)
- buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
+ buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, _buy_progress_index,
total_datas)
- async_log_util.info(logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{}", code,
- buy_progress_index)
+ async_log_util.info(logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{} similar-{}", code,
+ _buy_progress_index, _is_similar)
if is_placed_order:
LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
- buy_progress_index,
+ _buy_progress_index,
total_datas)
- cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
+ cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, _buy_progress_index)
if cancel_result[0]:
L2TradeDataProcessor.cancel_buy(code, f"F鎾�:{cancel_result[1]}",
cancel_type=trade_constant.CANCEL_TYPE_F)
@@ -418,7 +456,7 @@
# 濡傛灉鏄鍔ㄤ拱灏辨洿鏂版垚浜よ繘搴�
if not fdatas[-1][1]:
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
+ buy_progress_index, is_similar = cls.__compute_latest_trade_progress(code, fdatas)
if buy_progress_index is not None:
total_datas = l2_data_util.local_today_datas.get(code)
cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
--
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