From 6a0d3ff5832e57ee1b1374d086f24b3c1679b332 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 05 九月 2025 18:22:24 +0800
Subject: [PATCH] bug修复/降低测撤单率
---
l2/l2_limitup_sell_data_manager.py | 147 ++++++++++++++++++++++++++++++------------------
1 files changed, 91 insertions(+), 56 deletions(-)
diff --git a/l2/l2_limitup_sell_data_manager.py b/l2/l2_limitup_sell_data_manager.py
index f0f24af..674ee5a 100644
--- a/l2/l2_limitup_sell_data_manager.py
+++ b/l2/l2_limitup_sell_data_manager.py
@@ -3,8 +3,10 @@
"""
from code_attribute import gpcode_manager
from l2 import l2_log
+from l2.l2_data_util import L2DataUtil
from log_module import async_log_util, log_export
-from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal
+from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal, logger_debug
+from utils import tool
class L2LimitUpSellDataManager:
@@ -23,11 +25,11 @@
__delegating_sell_num_dict = {}
@classmethod
- def add_l2_origin_data(cls, code, origin_datas):
+ def add_l2_data(cls, code, add_datas):
"""
娣诲姞L2濮旀墭鍘熷鏁版嵁
@param code: 浠ｇ爜
- @param origin_datas: 鍘熷鏁版嵁
+ @param add_datas: 鏂板鐨勬牸寮忓寲鏁版嵁
@return:
"""
try:
@@ -39,25 +41,23 @@
cls.__delegating_sell_num_dict[code] = 0
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
- for d in origin_datas:
- order_no, price, volume = d[8], d[1], d[2]
- if price != limit_up_price:
- continue
- if d[9] == 'D':
- if d[3] != '1':
- # 鍗栨挙
- cls.__order_no_set_dict[code].discard(order_no)
- cls.__delegating_sell_num_dict[code] -= volume
- async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
- f"{code}-鍗栨挙-{order_no, price, volume}")
- else:
- if d[3] != '1':
- # 鍗�
- cls.__order_no_data_map_dict[code][order_no] = (order_no, price, volume)
- cls.__order_no_set_dict[code].add(order_no)
- cls.__delegating_sell_num_dict[code] += volume
- async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
- f"{code}-鍗�-{order_no, price, volume}")
+ for d in add_datas:
+ val = d["val"]
+ if L2DataUtil.is_limit_up_price_sell(val):
+ # 鍗�
+ order_no, price, volume = val["orderNo"], val["price"], val["num"] * 100
+ cls.__order_no_data_map_dict[code][order_no] = (order_no, price, volume)
+ cls.__order_no_set_dict[code].add(order_no)
+ cls.__delegating_sell_num_dict[code] += volume
+ async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
+ f"{code}-鍗�-{(order_no, price, volume)}-{cls.__delegating_sell_num_dict[code]}")
+ elif L2DataUtil.is_limit_up_price_sell_cancel(val):
+ # 鍗栨挙
+ order_no, price, volume = val["orderNo"], val["price"], val["num"] * 100
+ cls.__order_no_set_dict[code].discard(order_no)
+ cls.__delegating_sell_num_dict[code] -= volume
+ async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
+ f"{code}-鍗栨挙-{(order_no, price, volume)}-{cls.__delegating_sell_num_dict[code]}")
except:
pass
@@ -71,41 +71,42 @@
return cls.__delegating_sell_num_dict.get(code)
@classmethod
- def set_deal_datas(cls, code, datas):
+ def set_deal_datas(cls, code, fdatas):
"""
璁剧疆鎴愪氦鐨勫崠鍗�
@param code:
- @param datas: q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType']))
+ @param fdatas: 鏁版嵁鏈韩鏍煎紡锛� (data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType'])
+ [(鏁版嵁鏈韩, 鏄惁涓诲姩涔�, 鏄惁娑ㄥ仠, 鎬绘垚浜ら, 涓嶅惈ms鏃堕棿锛屽惈ms鏃堕棿)]
@return: 鏄惁瑙﹀彂璁＄畻
"""
try:
- limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
- has_limit_up_active_buy = False
order_no_set = cls.__order_no_set_dict.get(code)
if order_no_set is None:
order_no_set = set()
- for d in datas:
- if d[1] != limit_up_price:
- continue
+ # 缁熻娑ㄥ仠鍗栧崟鐨勬垚浜�
+ # 鍗栧崟鎴愪氦瀛楀吀
+ __deal_order_volume_dict = {}
+ for d in fdatas:
# 鏄惁鏈夋定鍋滀富鍔ㄤ拱鎴愪氦
- if d[6] < d[7]:
+ if not d[1] or not d[2]:
continue
- has_limit_up_active_buy = True
- break
- total_deal_volume = 0
- if code in cls.__delegating_sell_num_dict:
- for d in datas:
- # 鍑忓幓
- if d[7] in order_no_set:
- total_deal_volume += d[2]
- cls.__delegating_sell_num_dict[code] -= total_deal_volume
+ if d[0][7] not in __deal_order_volume_dict:
+ __deal_order_volume_dict[d[0][7]] = 0
+ __deal_order_volume_dict[d[0][7]] += d[0][2]
- if has_limit_up_active_buy:
+ # 鍑忓幓
+ add_order_nos = order_no_set & __deal_order_volume_dict.keys()
+ _total_deal_volume = sum([__deal_order_volume_dict[x] for x in add_order_nos])
+ if code in cls.__delegating_sell_num_dict:
+ cls.__delegating_sell_num_dict[code] -= _total_deal_volume
+ if _total_deal_volume > 0:
+ l2_log.info(code, hx_logger_l2_sell_deal,
+ f"娑ㄥ仠涓诲姩涔版垚浜わ細{_total_deal_volume}")
# 鎵撳嵃鏃ュ織
- async_log_util.l2_data_log.info(hx_logger_l2_sell_deal,
- f"鏈夋定鍋滀富鍔ㄥ崠锛歿code}-{datas[-1][3]}-{cls.__delegating_sell_num_dict.get(code)}, 鎴愪氦閲�-{total_deal_volume}")
- except:
- pass
+ l2_log.info(code, hx_logger_l2_sell_deal,
+ f"鏈夋定鍋滀富鍔ㄥ崠锛歿code}-{fdatas[-1][0][3]}-{cls.__delegating_sell_num_dict.get(code)}, 鎴愪氦閲�-{_total_deal_volume}")
+ except Exception as e:
+ logger_debug.exception(e)
@classmethod
def clear_data(cls, code):
@@ -114,22 +115,56 @@
@param code:
@return:
"""
- if code in cls.__order_no_set_dict:
- cls.__order_no_set_dict.pop(code)
+ if cls.__order_no_set_dict.get(code):
+ cls.__order_no_set_dict[code].clear()
- if code in cls.__order_no_data_map_dict:
- cls.__order_no_data_map_dict.pop(code)
+ if cls.__order_no_data_map_dict.get(code):
+ cls.__order_no_data_map_dict[code].clear()
- if code in cls.__delegating_sell_num_dict:
- cls.__delegating_sell_num_dict.pop(code)
+ if cls.__delegating_sell_num_dict.get(code):
+ cls.__delegating_sell_num_dict[code] = 0
+ l2_log.info(code, hx_logger_l2_sell_delegate,
+ f"鍑虹幇涓诲姩鍗栨竻闄ゆ暟鎹細{code}")
if __name__ == "__main__":
- code = "300479"
- datas = log_export.load_huaxin_l2_sell_deal(code).get(code)
+ # 娴嬭瘯娑ㄥ仠鎬诲崠鍚冩帀鐨勬儏鍐�
+ code = "002681"
+ datas = log_export.load_huaxin_l2_sell_deal_list(code).get(code)
print(datas)
- total_volume = sum([x[1] for x in datas])
- print("娑ㄥ仠鍗栨垚浜�", total_volume * 20.41)
+ deal_datas = []
+ deal_order_nos = set()
+ for i in range(len(datas)):
+ if 100100 <= int(datas[i][0].replace(":", "")) <= 100230:
+ deal_datas.append(datas[i])
+ for x in deal_datas:
+ for xx in x[1]:
+ deal_order_nos.add(xx[7])
+
+ total_deal_volume = sum([sum([xx[2] for xx in x[1]]) for x in deal_datas])
+ print("娑ㄥ仠鍗栨垚浜ら噺", total_deal_volume)
datas = log_export.load_huaxin_l2_sell_delegate(code).get(code)
- total_delegate = sum([x[2][2] for x in datas])
- print("鎬诲鎵�",total_delegate)
+ fdatas = []
+ for x in datas:
+ # if int("101821") < int(x[0].replace(":", "")) < int("102841"):
+ if 14578165 >= x[2][0] >= 14565438:
+ fdatas.append(x)
+ delegate_order_nos = set()
+ total_delegate = 0
+ for x in fdatas:
+ if x[1] == '鍗�':
+ total_delegate += x[2][2]
+ delegate_order_nos.add(x[2][0])
+ elif x[1] == '鍗栨挙':
+ total_delegate -= x[2][2]
+ delegate_order_nos.discard(x[2][0])
+ print(fdatas)
+ for d in fdatas:
+ print(d)
+ print("鎬绘垚浜�", total_deal_volume, total_deal_volume * 17.28)
+ print("鎬诲鎵�", total_delegate, total_delegate * 17.28)
+ print("濮旀墭鍓╀綑", total_delegate - total_deal_volume, (total_delegate - total_deal_volume) * 17.28)
+
+ not_deal_order_nos = delegate_order_nos - deal_order_nos
+ for x in not_deal_order_nos:
+ print("鏈垚浜わ細", x)
--
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