From cb4589db74aac2822f2aeb97eb3c28d2b7d59338 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 19 八月 2025 18:32:52 +0800
Subject: [PATCH] 最后一笔卖被消耗触发下单信号
---
l2/l2_data_manager_new.py | 206 ++++++++++++++++++++++++++++-----------------------
1 files changed, 112 insertions(+), 94 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 9db1944..9b20c06 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -262,6 +262,7 @@
"""
if code in cls.__human_radical_buy_mark_info:
return True
+ return False
@classmethod
def is_valid(cls, code, data):
@@ -546,29 +547,6 @@
logger_l2_error.exception(e)
finally:
buy_open_limit_up_strategy.BuyOpenLimitupDataManager().remove_place_order_info(code)
-
- # 鑾峰彇涓嬪崟浣嶇疆
-
- if constant.IS_NEW_VERSION_PLACE_ORDER:
- place_order_index, order_info, compute_type = huaxin_delegate_postion_manager.RealDelegateOrderPositionManager.compute_l2_place_order_position(
- code, add_datas)
- else:
- place_order_index, order_info, compute_type = huaxin_delegate_postion_manager.get_l2_place_order_position(
- code, float(
- gpcode_manager.get_limit_up_price(code)), add_datas)
-
- if place_order_index:
- order_begin_pos = cls.__get_order_begin_pos(
- code)
- cls.set_real_place_order_index(code, place_order_index, order_begin_pos, order_info[1])
- try:
- cls.__re_compute_threading_pool.submit(
- cls.__recompute_real_order_index, code, place_order_index, order_info,
- compute_type)
- except:
- pass
- async_log_util.info(logger_l2_process, f"code:{code} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{place_order_index}")
-
# 澶勭悊娑ㄥ仠鍗栦笌娑ㄥ仠鍗栨挙
try:
for d in add_datas:
@@ -579,6 +557,9 @@
d['val']['orderNo'])
except Exception as e:
logger_debug.exception(e)
+ finally:
+ # 鎵ц鏈�鍚庡啀鑾峰彇鐪熷疄涓嬪崟浣嶇疆锛岄槻姝笅鍗曚綅缃偅鎵规暟鎹湁澶ф壒閲忕殑鎾ゅ崟
+ pass
except:
async_log_util.error(logger_l2_error, f"{code} 澶勭悊鐪熷疄涓嬪崟浣嶇疆鍑洪敊")
# 绗�1鏉℃暟鎹槸鍚︿负09:30:00
@@ -654,6 +635,28 @@
# 宸叉寕鍗�
place_ordered_desc = "宸蹭笅鍗�"
cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)
+ # ======鑾峰彇涓嬪崟浣嶇疆
+ state = cls.__CodesTradeStateManager.get_trade_state_cache(code)
+ if trade_util.is_delegated(state):
+ if constant.IS_NEW_VERSION_PLACE_ORDER:
+ place_order_index, order_info, compute_type = huaxin_delegate_postion_manager.RealDelegateOrderPositionManager.compute_l2_place_order_position(
+ code, add_datas)
+ else:
+ place_order_index, order_info, compute_type = huaxin_delegate_postion_manager.get_l2_place_order_position(
+ code, float(
+ gpcode_manager.get_limit_up_price(code)), add_datas)
+
+ if place_order_index:
+ order_begin_pos = cls.__get_order_begin_pos(
+ code)
+ cls.set_real_place_order_index(code, place_order_index, order_begin_pos, order_info[1])
+ try:
+ cls.__re_compute_threading_pool.submit(
+ cls.__recompute_real_order_index, code, place_order_index, order_info,
+ compute_type)
+ except:
+ pass
+ async_log_util.info(logger_l2_process, f"code:{code} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{place_order_index}")
else:
place_ordered_desc = "鏈笅鍗�"
# 鏈寕鍗�,鏃堕棿鐩稿樊涓嶅ぇ鎵嶈兘鎸傚崟
@@ -791,11 +794,14 @@
b_need_cancel, b_cancel_data, extra_msg = RDCancelBigNumComputer().need_cancel(code, start_index,
end_index)
if b_need_cancel and b_cancel_data:
+ l2_log.d_cancel_debug(code, f"鍑嗗RD鎾�({start_index}-{end_index}): {extra_msg}")
big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code,
gpcode_manager.get_limit_up_price_as_num(
code))
if big_order_info[0] > 0:
return b_cancel_data, f"RD鎾�({extra_msg})", trade_constant.CANCEL_TYPE_RD
+ else:
+ l2_log.d_cancel_debug(code, f"瑙﹀彂RD鎾わ紝浣嗘槸澶у崟宸茬粡瓒冲锛歿big_order_info}")
except Exception as e:
async_log_util.error(logger_l2_error,
f"RD鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 閿欒鍘熷洜锛歿str(e)}")
@@ -815,42 +821,25 @@
if order_begin_pos.buy_volume_rate is None:
order_begin_pos.buy_volume_rate = 0.2
cancel_data, cancel_msg, cancel_type = None, "", None
- if order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:
- if not cancel_data:
- cancel_data, cancel_msg, cancel_type = rd_cancel(order_begin_pos.buy_single_index,
- order_begin_pos.buy_exec_index)
+ if not cancel_data:
+ cancel_data, cancel_msg, cancel_type = rd_cancel(order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index)
- # 鎵叆涓嬪崟鍙湁L鎾�
- if not cancel_data:
- cancel_data, cancel_msg, cancel_type = l_cancel(order_begin_pos.buy_single_index,
- order_begin_pos.buy_exec_index)
- else:
- if not cancel_data:
- cancel_data, cancel_msg = g_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
- cancel_type = trade_constant.CANCEL_TYPE_G
- # 渚濇澶勭悊
- if not cancel_data:
- cancel_data, cancel_msg, cancel_type = l_cancel(order_begin_pos.buy_single_index,
- order_begin_pos.buy_exec_index)
- # B鎾�
- if not cancel_data:
- cancel_data, cancel_msg = b_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
- cancel_type = trade_constant.CANCEL_TYPE_G
- if not cancel_data:
- cancel_data, cancel_msg = h_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
- cancel_type = trade_constant.CANCEL_TYPE_H
- # J鎾�
- if not cancel_data:
- cancel_data, cancel_msg = j_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
- cancel_type = trade_constant.CANCEL_TYPE_J
+ # 鎵叆涓嬪崟鍙湁L鎾�
+ if not cancel_data:
+ cancel_data, cancel_msg, cancel_type = l_cancel(order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index)
if cancel_data and not DCancelBigNumComputer().has_auto_cancel_rules(code):
- l2_log.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, cancel_msg, cancel_index=cancel_data["index"], cancel_type=cancel_type)
- # 鎾ゅ崟鎴愬姛锛岀户缁绠椾笅鍗�
- cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
+ try:
+ # 鎾ゅ崟
+ cls.cancel_buy(code, cancel_msg, cancel_index=cancel_data["index"], cancel_type=cancel_type)
+ # 鎾ゅ崟鎴愬姛锛岀户缁绠椾笅鍗�
+ cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
+ finally:
+ l2_log.debug(code, "瑙﹀彂鎾ゅ崟锛屾挙鍗曚綅缃細{} 锛屾挙鍗曞師鍥狅細{}, 涓嬪崟妯″紡锛歿}", cancel_data["index"], cancel_msg,
+ f"{order_begin_pos.mode}")
else:
pass
@@ -872,8 +861,16 @@
now_time_int = int(tool.get_now_time_str().replace(":", ""))
if now_time_int >= 145700:
return False, True, f"14:57鍚庝笉鑳戒氦鏄�", True
- # if now_time_int < 93100:
- # return False, True, f"09:31涔嬪墠涓嶈兘浜ゆ槗", True
+ if now_time_int < 93200:
+ return False, True, f"09:32涔嬪墠涓嶈兘浜ゆ槗", True
+ if 125950 < now_time_int < 130100:
+ # 鍒ゆ柇澶у崟鏄惁瓒冲
+ deal_big_order_info = radical_buy_data_manager.get_total_deal_big_order_info(code, gpcode_manager.get_limit_up_price_as_num(code))
+ if 5000e4 <= deal_big_order_info[5] < deal_big_order_info[1]:
+ pass
+ else:
+ return False, True, f"13:01涔嬪墠涓嶈兘浜ゆ槗", True
+
# 浜屾澘浠ヤ笂鐨勭エ涓嶄拱
yesterday_codes = kpl_data_manager.get_yesterday_limit_up_codes()
if yesterday_codes and code in yesterday_codes:
@@ -896,6 +893,13 @@
else:
if average_rate < 0.04:
return False, True, f"鍧囦环娑ㄥ箙({average_rate})灏忎簬4%", True
+
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ if tool.is_ge_code(code) and limit_up_price < 2:
+ return False, True, f"鍒涗笟鏉胯偂浠�<({limit_up_price})2鍧�", True
+
+ if limit_up_price < 1:
+ return False, True, f"鑲′环<({limit_up_price})1鍧�", True
return True, False, f"", False
@@ -1040,7 +1044,6 @@
else:
try:
-
# 鍒ゆ柇鏄惁涓洪灏佷笅鍗�
order_begin_pos.first_limit_up_buy = radical_buy_data_manager.is_first_limit_up_buy(code)
@@ -1053,7 +1056,8 @@
order_begin_pos.buy_exec_index,
local_today_datas.get(code))
return False
- l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}锛� 涓嬪崟妯″紡锛歿}", reason, order_begin_pos.mode)
+ l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}锛� 涓嬪崟妯″紡锛歿} 鏈�灏忚鍗曞彿锛歿}", reason, order_begin_pos.mode,
+ order_begin_pos.min_order_no)
l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
trade_manager.start_buy(code, capture_timestamp, last_data,
last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
@@ -1394,14 +1398,14 @@
# 鎵叆涓嬪崟鍙湁L鎾よ兘鎾ゅ崟
if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL and cancel_type not in {
trade_constant.CANCEL_TYPE_L_DOWN, trade_constant.CANCEL_TYPE_L, trade_constant.CANCEL_TYPE_RD,
- trade_constant.CANCEL_TYPE_P}:
+ trade_constant.CANCEL_TYPE_P, trade_constant.CANCEL_TYPE_F}:
l2_log.cancel_debug(code, "鎾ゅ崟涓柇锛屽師鍥狅細{}", "鎵叆涓嬪崟涓嶆槸L鎾�")
return False
# 鍔犵豢鍙湁L鎾�/浜烘挙鐢熸晥
if gpcode_manager.GreenListCodeManager().is_in_cache(code):
if cancel_type not in {trade_constant.CANCEL_TYPE_L, trade_constant.CANCEL_TYPE_L_UP,
trade_constant.CANCEL_TYPE_L_DOWN, trade_constant.CANCEL_TYPE_RD,
- trade_constant.CANCEL_TYPE_P}:
+ trade_constant.CANCEL_TYPE_P, trade_constant.CANCEL_TYPE_F}:
l2_log.cancel_debug(code, "鎾ゅ崟涓柇锛屽師鍥狅細{}", "鍔犵豢涓嶆槸L鎾�")
return False
@@ -1521,32 +1525,35 @@
_start_time = tool.get_now_timestamp()
total_datas = local_today_datas[code]
- if not HumanRadicalBuySingleManager.has_single(code):
- # ---------璁＄畻婵�杩涗拱鍏ョ殑淇″彿---------
- radical_result = cls.__compute_radical_order_begin_pos(code, compute_start_index, compute_end_index)
- else:
- human_radical_result = cls.__compute_human_radical_order_begin_pos(code, compute_start_index,
- compute_end_index)
- l2_log.debug(code, f"澶у崟瓒冲锛屼汉涓轰笅鍗曡绠楃粨鏋�({compute_start_index}-{compute_end_index}):{human_radical_result}")
- if human_radical_result[0]:
- radical_result = list(human_radical_result[2])
- # 鏀瑰彉鎵ц浣嶇疆
- radical_result[1] = human_radical_result[1]["index"]
- else:
- radical_result = None
+ # 涓嶉渶瑕佹牴鎹汉涓轰笅鍗曟潵涓嬪崟
+ # if not HumanRadicalBuySingleManager.has_single(code):
+ # # ---------璁＄畻婵�杩涗拱鍏ョ殑淇″彿---------
+ # radical_result = cls.__compute_radical_order_begin_pos(code, compute_start_index, compute_end_index)
+ # else:
+ # human_radical_result = cls.__compute_human_radical_order_begin_pos(code, compute_start_index,
+ # compute_end_index)
+ # l2_log.debug(code, f"澶у崟瓒冲锛屼汉涓轰笅鍗曡绠楃粨鏋�({compute_start_index}-{compute_end_index}):{human_radical_result}")
+ # if human_radical_result[0]:
+ # radical_result = list(human_radical_result[2])
+ # # 鏀瑰彉鎵ц浣嶇疆
+ # radical_result[1] = human_radical_result[1]["index"]
+ # else:
+ # radical_result = None
+
+ radical_result = cls.__compute_radical_order_begin_pos(code, compute_start_index, compute_end_index)
if radical_result and radical_result[0]:
- if not HumanRadicalBuySingleManager.has_single(code):
- big_order_deal_enough_result = radical_buy_data_manager.is_big_order_deal_enough(code,
- code_volumn_manager.CodeVolumeManager().get_volume_rate_refer_in_5days(
- code), 0)
- if big_order_deal_enough_result[6] <= 0:
- HumanRadicalBuySingleManager.add_single(code, total_datas[-1], radical_result)
- async_log_util.info(logger_l2_not_buy_reasons, f"{code}#澶у崟瓒冲锛岄渶瑕佹牴鎹汉涓轰笅鍗�({compute_start_index}-{compute_end_index})锛歿radical_result[1]}")
- return
- # 涓嬪崟鍓嶄竴姝ワ紝绉婚櫎浜轰负涓嬪崟淇″彿
- is_human_radical_buy = HumanRadicalBuySingleManager.has_single(code)
- HumanRadicalBuySingleManager.remove_single(code)
+ # if not HumanRadicalBuySingleManager.has_single(code):
+ # big_order_deal_enough_result = radical_buy_data_manager.is_big_order_deal_enough(code,
+ # code_volumn_manager.CodeVolumeManager().get_volume_rate_refer_in_5days(
+ # code), 0)
+ # if big_order_deal_enough_result[6] <= 0:
+ # HumanRadicalBuySingleManager.add_single(code, total_datas[-1], radical_result)
+ # async_log_util.info(logger_l2_not_buy_reasons, f"{code}#澶у崟瓒冲锛岄渶瑕佹牴鎹汉涓轰笅鍗�({compute_start_index}-{compute_end_index})锛歿radical_result[1]}")
+ # return
+ # #涓嬪崟鍓嶄竴姝ワ紝绉婚櫎浜轰负涓嬪崟淇″彿
+ # is_human_radical_buy = HumanRadicalBuySingleManager.has_single(code)
+ # HumanRadicalBuySingleManager.remove_single(code)
buy_single_index, buy_exec_index = radical_result[1], radical_result[1]
buy_volume_rate = cls.volume_rate_info[code][0]
@@ -1565,9 +1572,11 @@
max_num_set=set(),
buy_volume_rate=buy_volume_rate,
mode=OrderBeginPosInfo.MODE_RADICAL,
- mode_desc=f"澶у崟涓嶈冻鎵叆:{radical_result[2]} 鏄惁璺熶汉涔板叆-{is_human_radical_buy}",
+ mode_desc=f"澶у崟涓嶈冻鎵叆:{radical_result[2]}",
sell_info=sell_info,
- threshold_money=threshold_money)
+ threshold_money=threshold_money,
+ min_order_no=radical_result[5]
+ )
order_begin_pos_info.at_limit_up = cls.__is_at_limit_up_buy(code)
ordered = cls.__process_with_find_exec_index(code, order_begin_pos_info, compute_end_index,
block_info=radical_result[3])
@@ -2020,11 +2029,10 @@
@param code:
@param start_index:
@param end_index:
- @return: (鏄惁鑾峰彇鍒颁俊鍙�, 淇″彿浣嶇疆, 鎵叆鏉垮潡/娑堟伅, 鎵叆鏉垮潡澶у崟娴佸叆淇℃伅, 闇�瑕佺洃鍚殑澶у崟)
+ @return: (鏄惁鑾峰彇鍒颁俊鍙�, 淇″彿浣嶇疆, 鎵叆鏉垮潡/娑堟伅, 鎵叆鏉垮潡澶у崟娴佸叆淇℃伅, 闇�瑕佺洃鍚殑澶у崟, 缁熻涓婃澘澶у崟鎴愪氦鐨勬渶灏忚鍗曞彿)
"""
# 婵�杩涗拱淇″彿鐨勬椂闂�
-
def __can_order():
# 鍒ゆ柇鏄惁鏄澘涓婃斁閲�
# if cls.__is_at_limit_up_buy(code, start_index):
@@ -2050,6 +2058,7 @@
radical_data[5])
# 缂轰箯鐨勫ぇ鍗曢噾棰�
current_lack_money = int(big_order_deal_enough_result[5])
+ current_deal_order_ids = big_order_deal_enough_result[7]
total_lack_money = int(big_order_deal_enough_result[6])
# 濡傛灉鏈夊ぇ鍗曟垚浜ゅ氨涓嶉渶瑕佺湅澶у崟
if constant.CAN_RADICAL_BUY_NEED_BIG_ORDER_EVERYTIME:
@@ -2115,8 +2124,9 @@
if val["num"] >= bigger_money_num:
watch_indexes.add(i)
- if val["num"] >= current_min_num:
+ if val["num"] >= current_min_num and int(val["orderNo"]) not in current_deal_order_ids:
current_lack_money -= round(val["price"], 2) * val["num"] * 100
+ current_deal_order_ids.add(val["orderNo"])
if val["num"] >= total_min_num:
total_lack_money -= round(val["price"], 2) * val["num"] * 100
@@ -2125,8 +2135,13 @@
single_index = i
break
if single_index is not None:
- return True, single_index, f"鏈夊ぇ鍗�,澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}", watch_indexes
- return False, None, f"澶у崟涓嶈冻锛歿trade_index}-{end_index} 缂哄皯鐨勫ぇ鍗�-{max(current_lack_money, total_lack_money)} 澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}", watch_indexes
+ every_time_big_orders = EveryLimitupBigDealOrderManager.list_big_buy_deal_orders(code)
+ if every_time_big_orders:
+ min_order_no = min(min(every_time_big_orders, key=lambda e: e[0])[0], radical_data[1])
+ else:
+ min_order_no = radical_data[1]
+ return True, single_index, f"鏈夊ぇ鍗�,澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}, 鏈壒娆′笂鏉垮ぇ鍗曪細{current_deal_order_ids}", watch_indexes, min_order_no
+ return False, None, f"澶у崟涓嶈冻锛歿trade_index}-{end_index} 缂哄皯鐨勫ぇ鍗�-{max(current_lack_money, total_lack_money)} 澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}", watch_indexes, None
radical_data = RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict.get(code)
record_codes = radical_buy_data_manager.BlockPlaceOrderRecordManager().get_codes()
@@ -2170,7 +2185,7 @@
# 濡傛灉鏉夸笂鏀鹃噺涓嶅彲涔板叆灏遍渶瑕佸垹闄や俊鍙�
if not constant.CAN_RADICAL_BUY_AT_LIMIT_UP and code in RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict:
RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict.pop(code)
- return True, result[1], radical_data[2], radical_data[4], result[3]
+ return True, result[1], radical_data[2], radical_data[4], result[3], result[4]
else:
async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{result[2]}")
return result
@@ -2216,7 +2231,8 @@
return False, None, "瓒呰繃淇″彿鐢熸晥鏃堕棿"
is_valid = False
# 鍒ゆ柇璺濈涓婁釜50w涔板崟鐨勬椂闂存槸鍚﹁秴杩囦簡space_time_ms
- for ii in range(i - 1, -1, -1):
+ buy_exec_index = radical_result[1]
+ for ii in range(i - 1, buy_exec_index, -1):
data_child = total_datas[ii]
val_child = data_child["val"]
if not L2DataUtil.is_limit_up_price_buy(val_child):
@@ -2243,6 +2259,8 @@
@param end_index:
@return: 淇″彿淇℃伅锛堜俊鍙蜂綅,鎵ц浣嶏級, 娑堟伅, 鍙拱鍏ョ殑鏉垮潡
"""
+ if True:
+ return None, "姝ゆ潯涓嶇敓鏁�", None
if not tool.is_sz_code(code):
return None, "闈炴繁璇佺殑绁�", None
# 鍒ゆ柇鎶涘帇鏄惁澶т簬5000w
--
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