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_trade_factor.py | 58 ++++++++++++++++++++++++++++++----------------------------
1 files changed, 30 insertions(+), 28 deletions(-)
diff --git a/l2_trade_factor.py b/l2_trade_factor.py
index 0694c38..906b5df 100644
--- a/l2_trade_factor.py
+++ b/l2_trade_factor.py
@@ -16,12 +16,15 @@
yi = round(zyltgb / 100000000)
if yi < 1:
yi = 1
- return 5000000 + (yi - 1) * 500000
+ m = 5000000 + (yi - 1) * 500000
+ return round(m * 0.7)
# 鑾峰彇琛屼笟褰卞搷姣斾緥
# total_limit_percent涓虹粺璁＄殑姣斾緥涔嬪拰涔樹互100
@classmethod
def get_industry_rate(cls, total_limit_percent):
+ if total_limit_percent is None:
+ return 0
t = total_limit_percent / 10
if t < 0.9:
return 0
@@ -29,26 +32,15 @@
return 0.2
elif t <= 1.6:
return 0
- elif t <= 2.1:
- return 0.03
- elif t <= 2.6:
- return 0.06
- elif t <= 3.1:
- return 0.09
- elif t <= 3.6:
- return 0.12
- elif t <= 4.1:
- return 0.15
- elif t <= 4.6:
- return 0.18
- elif t <= 5.1:
- return 0.21
- elif t <= 5.6:
- return 0.24
- elif t <= 6.1:
- return 0.27
else:
- return 0.30
+ rate = 0
+ for i in range(0, 30):
+ if t <= 2.1 + 0.5 * i:
+ rate = 0.03 * (i + 1)
+ break
+ if rate > 0.9:
+ rate = 0.9
+ return rate
# 鑾峰彇閲忓奖鍝嶆瘮渚�
@classmethod
@@ -138,9 +130,9 @@
factors = cls.__get_rate_factors(code)
return cls.compute_rate(factors[0], factors[1], factors[2], factors[3], factors[4], factors[5], factors[6])
+ # 鑾峰彇浠ｇ爜褰撳墠鎵�鍦ㄧ殑琛屼笟鐑害
@classmethod
- def __get_rate_factors(cls, code):
- zyltgb = global_util.zyltgb_map.get(code)
+ def __get_industry_limit_percent(cls, code):
# 鑾峰彇琛屼笟鐑害
industry = global_util.code_industry_map.get(code)
if industry is None:
@@ -149,10 +141,16 @@
total_industry_limit_percent = global_util.industry_hot_num.get(industry) if industry is not None else None
# 褰撳墠绁ㄦ槸鍚︽定鍋�
- if total_industry_limit_percent is not None:
- if code in global_util.limit_up_codes_percent:
- total_industry_limit_percent -= global_util.limit_up_codes_percent[code]
+ # if total_industry_limit_percent is not None:
+ # if code in global_util.limit_up_codes_percent:
+ # # 鍑忓幓褰撳墠绁ㄧ殑娑ㄥ箙
+ # total_industry_limit_percent -= global_util.limit_up_codes_percent[code]
+ return total_industry_limit_percent
+ @classmethod
+ def __get_rate_factors(cls, code):
+ zyltgb = global_util.zyltgb_map.get(code)
+ total_industry_limit_percent = cls.__get_industry_limit_percent(code)
# 鑾峰彇閲�
volumn_day60_max, volumn_yest, volumn_today = global_util.max60_volumn.get(
code), global_util.yesterday_volumn.get(code), global_util.today_volumn.get(code)
@@ -208,9 +206,9 @@
return 8
count = gb // 100000000
if count > 30:
- return 30
+ count = 30
if count < 5:
- return 5
+ count = 5
big_money_num = global_util.big_money_num.get(code)
if big_money_num is None:
@@ -219,7 +217,11 @@
if big_money_num is not None:
rate = cls.get_big_money_rate(big_money_num)
- return round(count*(1-rate/2))
+ # 鑾峰彇琛屼笟鐑害瀵瑰簲鐨勬瘮渚�
+ total_industry_limit_percent = cls.__get_industry_limit_percent(code)
+ industry_rate = cls.get_industry_rate(total_industry_limit_percent)
+ # 鍙栧ぇ鍗曞奖鍝嶅�间笌琛屼笟褰卞搷鍊肩殑杈冨ぇ鍊�
+ return round(count * (1 - max(rate, industry_rate)))
# l2鍥犲瓙褰掑洜鏁版嵁
--
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