From f03eb72394a3fac097bb3ab1f956a83f99f7bd0e Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 03 十一月 2022 17:11:37 +0800
Subject: [PATCH] 优化撤单与动态m值计算
---
l2_data_manager_new.py | 75 ++++++++++++++++++++++---------------
1 files changed, 44 insertions(+), 31 deletions(-)
diff --git a/l2_data_manager_new.py b/l2_data_manager_new.py
index 81a9a86..4c01846 100644
--- a/l2_data_manager_new.py
+++ b/l2_data_manager_new.py
@@ -226,7 +226,8 @@
__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)
- __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time, "淇濆瓨鏁版嵁鏃堕棿")
+ __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
+ "淇濆瓨鏁版嵁鏃堕棿锛坽}锛�".format(len(add_datas)))
finally:
if code in cls.unreal_buy_dict:
@@ -235,23 +236,10 @@
# 澶勭悊鏈寕鍗�
@classmethod
def __process_not_order(cls, code, start_index, end_index, capture_time):
+ _start_time = t.time()
# 鑾峰彇闃堝��
threshold_money, msg = cls.__get_threshmoney(code)
cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time)
-
- @classmethod
- def __statistic_count_l2_data_for_cancel(cls, code, start_index, end_index, has_cancel_single=False):
- index, old_buy_count, old_cancel_count = l2_data_manager.TradePointManager.get_count_info_for_cancel_buy(code)
- for i in range(start_index, end_index + 1):
- buy_count, buy_cancel_count = cls.__count_l2_data_for_cancel(code, i, i)
- old_buy_count += buy_count
-
- old_cancel_count += buy_cancel_count
- if old_buy_count > 0 and (old_buy_count - old_cancel_count) / old_buy_count < 0.3 and has_cancel_single:
- return i, True
- l2_data_manager.TradePointManager.set_count_info_for_cancel_buy(code, end_index, old_buy_count,
- old_cancel_count)
- return end_index, False
# 澶勭悊宸叉寕鍗�
@classmethod
@@ -274,7 +262,7 @@
if cancel_data:
cls.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)
# 鎾ゅ崟
- cls.cancel_buy(code)
+ cls.cancel_buy(code,cancel_msg)
# 缁х画璁＄畻涓嬪崟
cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time)
else:
@@ -338,12 +326,12 @@
if codes_index.get(code) != 0:
return False, "姘翠笅鎹�,涓嶆槸鑰佸ぇ锛屾槸鑰亄}".format(codes_index.get(code))
- # 13:00鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
+ # 13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�
limit_up_time = limit_up_time_manager.get_limit_up_time(code)
if limit_up_time is not None:
- if int(limit_up_time.replace(":", "")) >= 130000 and global_util.industry_hot_num.get(industry) is not None:
- if global_util.industry_hot_num.get(industry) < 29:
- return False, "13:00鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<29涓嶈兘涔�"
+ if int(limit_up_time.replace(":", "")) >= 133000 and global_util.industry_hot_num.get(industry) is not None:
+ if global_util.industry_hot_num.get(industry) < 16:
+ return False, "13:30鍚庢定鍋滐紝鏈澘鍧椾腑娑ㄥ仠绁ㄦ暟<16涓嶈兘涔�"
if codes_index.get(code) is not None and codes_index.get(code) == 1:
# 濡傛灉鑰佸ぇ宸茬粡涔版垚鍔熶簡锛岃�佷簩灏变笉闇�瑕佷拱浜�
@@ -392,11 +380,8 @@
cls.debug(code, "鎵ц鎾ゅ崟寮傚父锛歿}", str(e))
@classmethod
- def cancel_buy(cls, code):
- # 鍒犻櫎澶х兢鎾や簨浠剁殑澶у崟
- l2_data_manager.L2BetchCancelBigNumProcessor.del_recod(code)
+ def cancel_buy(cls, code, msg=None):
l2_data_manager.L2ContinueLimitUpCountManager.del_data(code)
-
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
# 鍙栨秷涔板叆鏍囪瘑
@@ -404,22 +389,22 @@
l2_data_manager.TradePointManager.delete_buy_cancel_point(code)
l2_data_manager.TradePointManager.delete_compute_info_for_cancel_buy(code)
l2_data_manager.TradePointManager.delete_count_info_for_cancel_buy(code)
- # 鍒犻櫎澶х兢鎾や簨浠剁殑澶у崟
- l2_data_manager.L2BetchCancelBigNumProcessor.del_recod(code)
else:
cls.__cancel_buy(code)
l2_data_manager.L2BigNumProcessor.del_big_num_pos(code)
+ cls.debug(code, "鎵ц鎾ゅ崟鎴愬姛锛屽師鍥狅細{}", msg)
@classmethod
def __start_compute_buy(cls, code, compute_start_index, compute_end_index, threshold_money, capture_time,
new_add=True):
if compute_end_index < compute_start_index:
return
-
+ _start_time = t.time()
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 = cls.__get_order_begin_pos(code)
+
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
if buy_single_index is None:
# 鏈変拱鍏ヤ俊鍙�
@@ -436,10 +421,16 @@
if buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
+
+ _start_time = t.time()
+
# 璁＄畻m鍊煎ぇ鍗�
cls.l2BigNumForMProcessor.process(code, max(buy_single_index, compute_start_index), compute_end_index,
gpcode_manager.get_limit_up_price(code))
+ _start_time = t.time()
+
threshold_money, msg = cls.__get_threshmoney(code)
+ _start_time = t.time()
# 涔板叆绾拱棰濈粺璁�
compute_index, buy_nums, buy_count, rebegin_buy_pos = cls.__sum_buy_num_for_order_3(code, max(buy_single_index,
compute_start_index),
@@ -447,8 +438,10 @@
count, threshold_money,
buy_single_index,
capture_time)
+
cls.debug(code, "m鍊�-{} m鍊煎洜瀛�-{}", threshold_money, msg)
+ _start_time = t.time()
# 涔板叆淇″彿浣嶄笌璁＄畻浣嶇疆闂撮殧2s鍙婁互涓婁簡
if rebegin_buy_pos is not None:
# 闇�瑕侀噸鏂拌绠楃函涔伴
@@ -485,6 +478,8 @@
# 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)
+ print("淇濆瓨澶у崟鏃堕棿", round((t.time() - _start_time) * 1000))
+ _start_time = t.time()
pass
# 鑾峰彇涓嬪崟璧峰淇″彿
@@ -551,6 +546,7 @@
@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, capture_time):
+ _start_time = t.time()
total_datas = local_today_datas[code]
buy_nums = origin_num
buy_count = origin_count
@@ -563,6 +559,7 @@
threshold_count = l2_trade_factor.L2TradeFactorUtil.get_safe_buy_count(code)
buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+
for i in range(compute_start_index, compute_end_index + 1):
data = total_datas[i]
_val = total_datas[i]["val"]
@@ -617,14 +614,16 @@
cls.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣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} 鐩爣绾拱鍗曟暟锛歿}", compute_start_index,
buy_nums,
threshold_num, buy_count, threshold_count)
+
return None, buy_nums, buy_count, None
@classmethod
def test(cls):
- code = "002898"
+ code = "002556"
l2_trade_test.clear_trade_data(code)
load_l2_data(code, True)
+ _start = t.time()
if True:
state = trade_manager.get_trade_state(code)
cls.random_key[code] = random.randint(0, 100000)
@@ -632,15 +631,15 @@
try:
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER:
# 宸叉寕鍗�
- cls.__process_order(code, 0, 140, capture_timestamp)
+ cls.__process_order(code, 1552, 1641, capture_timestamp)
else:
# 鏈寕鍗�
- cls.__process_not_order(code, 0, 140, capture_timestamp)
+ cls.__process_not_order(code, 1552, 1641, capture_timestamp)
except Exception as e:
logging.exception(e)
+ print("澶勭悊鏃堕棿", round((t.time() - _start) * 1000))
return
- _start = t.time()
# 鎸塻鎵归噺鍖栨暟鎹�
total_datas = local_today_datas[code]
start_time = total_datas[0]["val"]["time"]
@@ -671,6 +670,20 @@
print("鏃堕棿鑺辫垂:", round((t.time() - _start) * 1000))
+ @classmethod
+ def test1(cls):
+ code = "002556"
+ l2_trade_test.clear_trade_data(code)
+ l2_data_manager.local_latest_datas[code] = []
+ load_l2_data(code, True)
+ _start = t.time()
+ capture_timestamp = 1999999999
+ cls.process(code, l2_data_manager.local_today_datas[code][1552:1641], capture_timestamp)
+ print("鏃堕棿鑺辫垂:", round((t.time() - _start) * 1000))
+ pass
+
if __name__ == "__main__":
L2TradeDataProcessor.test()
+ print("----------------------")
+ L2TradeDataProcessor.test()
--
Gitblit v1.8.0