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/place_order_single_data_manager.py | 120 +++++++++++++++++++++++++++++++++++++++++++++---------------
1 files changed, 90 insertions(+), 30 deletions(-)
diff --git a/l2/place_order_single_data_manager.py b/l2/place_order_single_data_manager.py
index 7a7b318..7d12cb4 100644
--- a/l2/place_order_single_data_manager.py
+++ b/l2/place_order_single_data_manager.py
@@ -16,6 +16,7 @@
"""
__latest_sell_data = {}
+ # 鏈�杩戠殑娑ㄥ仠鍗栧鎵樺垪琛�
__latest_limit_up_sell_list_dict = {}
__latest_limit_up_sell_order_no_set_dict = {}
@@ -95,12 +96,14 @@
return len(sell_list)
@classmethod
- def process_passive_limit_up_sell_data(cls, code, datas, limit_up_price):
+ def process_passive_limit_up_sell_data(cls, code, fdatas):
"""
娣诲姞娑ㄥ仠琚姩鍗栨垚浜ゆ暟鎹�
- @param data: 鏁版嵁鏍煎紡锛�(data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ @param fdata: 鏁版嵁鏍煎紡锛�(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: 娑ㄥ仠鍗栨槸鍚﹀凡缁忓悆瀹�
"""
try:
@@ -108,25 +111,26 @@
sell_list = cls.__latest_limit_up_sell_list_dict.get(code)
if not sell_list:
return False
- sell_info = sell_list[-1]
- for data in datas:
+ last_sell_info = sell_list[-1]
+ for data in fdatas:
# 杩囨护琚姩涔�
- if data[6] < data[7]:
+ if not data[1]:
# 鍑虹幇琚姩涔伴渶瑕佸皢鍘嗗彶澶у崟娓呯┖
if cls.__active_buy_order_datas_dict.get(code):
cls.__active_buy_order_datas_dict[code].clear()
continue
+ money = data[3]
# 缁熻涔板崟鏁版嵁
if code not in cls.__latest_active_buy_order_data_dict:
# [涔板崟鍙凤紝褰撳墠鎴愪氦鑲℃暟, 褰撳墠鎴愪氦閲戦, 寮�濮嬫椂闂�, 缁撴潫鏃堕棿]
- cls.__latest_active_buy_order_data_dict[code] = [data[6], data[2], data[2] * data[1], data[3],
- data[3]]
+ cls.__latest_active_buy_order_data_dict[code] = [data[0][6], data[0][2], money, data[0][3],
+ data[0][3]]
else:
- if data[6] == cls.__latest_active_buy_order_data_dict[code][0]:
+ if data[0][6] == cls.__latest_active_buy_order_data_dict[code][0]:
# 鍚屼竴涔板崟鍙�
- cls.__latest_active_buy_order_data_dict[code][1] += data[2]
- cls.__latest_active_buy_order_data_dict[code][2] += data[2] * data[1]
- cls.__latest_active_buy_order_data_dict[code][4] = data[3]
+ cls.__latest_active_buy_order_data_dict[code][1] += data[0][2]
+ cls.__latest_active_buy_order_data_dict[code][2] += money
+ cls.__latest_active_buy_order_data_dict[code][4] = data[0][3]
else:
# 涓嶅悓涔板崟鍙�
if cls.__latest_active_buy_order_data_dict[code][2] >= 2990000:
@@ -136,31 +140,29 @@
cls.__active_buy_order_datas_dict[code].append(
cls.__latest_active_buy_order_data_dict[code])
- cls.__latest_active_buy_order_data_dict[code] = [data[6], data[2], data[2] * data[1], data[3],
- data[3]]
+ cls.__latest_active_buy_order_data_dict[code] = [data[0][6], data[0][2], money, data[0][3],
+ data[0][3]]
- if data[1] != limit_up_price:
+ if not data[2]:
# 鎺掗櫎涓诲姩鍗�/闈炴定鍋滃崠
continue
- sell_no = data[7]
- if sell_no != sell_info['val']['orderNo']:
+ sell_no = data[0][7]
+ if sell_no != last_sell_info['val']['orderNo']:
continue
# 闇�瑕佸垽鏂綋鍓嶅崟鏄惁宸茬粡鎴愪氦瀹屾垚
if code not in cls.__latest_sell_data:
- cls.__latest_sell_data[code] = [sell_no, data[2]]
+ cls.__latest_sell_data[code] = [sell_no, data[0][2]]
else:
if cls.__latest_sell_data[code][0] == sell_no:
- cls.__latest_sell_data[code][1] += data[2]
+ cls.__latest_sell_data[code][1] += data[0][2]
else:
- cls.__latest_sell_data[code] = [sell_no, data[2]]
- sell_info_num = sell_info['val']['num']
+ cls.__latest_sell_data[code] = [sell_no, data[0][2]]
+ sell_info_num = last_sell_info['val']['num']
deal_num = cls.__latest_sell_data[code][1] // 100
if sell_info_num == deal_num:
use_time = round((time.time() - start_time) * 1000, 3)
l2_log.info(code, logger_l2_trade_buy,
- f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿sell_info['val']['orderNo']}, 鎴愪氦鏁版嵁锛歿data} 璁＄畻鑰楁椂锛歿use_time}ms, 鍙互瑙﹀彂涓嬪崟")
-
-
+ f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿last_sell_info['val']['orderNo']}, 鎴愪氦鏁版嵁锛歿data} 璁＄畻鑰楁椂锛歿use_time}ms, 鍙互瑙﹀彂涓嬪崟")
# 灏嗗巻鍙插ぇ鍗曞垪琛ㄤ笌鏈�杩戠殑澶у崟鍔犲叆鍒楄〃
big_buy_order_datas = []
@@ -175,10 +177,61 @@
# 娑ㄥ仠涓诲姩鍗栧凡缁忚鍚冨畬锛屽彲浠ユ竻闄�
return True
break
- # l2_log.info(code, logger_l2_trade_buy, f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿data['val']['orderNo']}, 鍙互瑙﹀彂涓嬪崟")
except Exception as e:
logger_debug.exception(e)
return False
+
+ @classmethod
+ def filter_last_limit_up_sell_data(cls, code, fdatas):
+ """
+ 绛涢�夊嚭鏈�鍚庝竴鏉℃定鍋滃崠鎴愪氦鏁版嵁
+ @param code:
+ @param fdatas:
+ @return: (鎴愪氦鏁版嵁, 鍗栧崟鏁版嵁)
+ """
+
+ def compute_last_sell():
+ # 鏈�澶т拱鍗曞彿
+ max_buy_order_no = fdatas[-1][0][6]
+ for i in range(len(sell_list) - 1, -1, -1):
+ if sell_list[i]['val']['orderNo'] > max_buy_order_no:
+ continue
+ return sell_list[i]
+ return None
+
+ if not fdatas[-1][2]:
+ # 鏈�鍚庝竴鏉℃暟鎹笉鏄定鍋滄垚浜ゆ暟鎹�
+ return None
+
+ sell_list = cls.__latest_limit_up_sell_list_dict.get(code)
+ if not sell_list:
+ return None
+ last_sell_info = compute_last_sell()
+ if not last_sell_info:
+ return None
+ for data in fdatas:
+ if not data[2]:
+ # 鎺掗櫎涓诲姩鍗�/闈炴定鍋滃崠
+ continue
+ sell_no = data[0][7]
+ if sell_no != last_sell_info['val']['orderNo']:
+ continue
+ # 闇�瑕佸垽鏂綋鍓嶅崟鏄惁宸茬粡鎴愪氦瀹屾垚
+ if code not in cls.__latest_sell_data:
+ cls.__latest_sell_data[code] = [sell_no, data[0][2]]
+ else:
+ if cls.__latest_sell_data[code][0] == sell_no:
+ cls.__latest_sell_data[code][1] += data[0][2]
+ else:
+ cls.__latest_sell_data[code] = [sell_no, data[0][2]]
+ sell_info_num = last_sell_info['val']['num']
+ deal_num = cls.__latest_sell_data[code][1] // 100
+ if sell_info_num == deal_num:
+ # 鏈�鍚庝竴绗旀定鍋滃崠宸茬粡鎴愪氦瀹屾垚
+ l2_log.info(code, logger_l2_trade_buy,
+ f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿last_sell_info}, 鎴愪氦鏁版嵁锛歿data} 鍙互瑙﹀彂涓嬪崟")
+ return data, last_sell_info
+ return None
@classmethod
def add_active_limit_up_sell_data(cls, data):
@@ -222,6 +275,14 @@
@return:
"""
+ def OnLastLimitUpSellDeal(self, code, data):
+ """
+ 鏈�鍚庝竴绗旀定鍋滃崠鎴愪氦
+ @param code: 浠ｇ爜
+ @param data: 鎴愪氦鐨勬暟鎹�
+ @return:
+ """
+
class L2TradeSingleDataManager:
__callback = None
@@ -243,28 +304,27 @@
cls.__callback = callback
@classmethod
- def set_latest_sell_data(cls, code, data, big_active_buy_order_datas):
+ def set_latest_sell_data(cls, code, fdata, big_active_buy_order_datas):
"""
璁剧疆鏈�杩戞垚浜ょ殑娑ㄥ仠鍗栬鍔ㄦ垚浜ゆ暟鎹�
@param code: 浠ｇ爜
- @param data: L2閫愮瑪鎴愪氦鏁版嵁 鏁版嵁鏍煎紡锛�(data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ @param fdata: L2閫愮瑪鎴愪氦鏁版嵁 鏁版嵁鏍煎紡锛�(data['SecurityID'], data['TradePrice'], data['TradeVolume'],
# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
# data['SellNo'], data['ExecType'])
@param big_active_buy_order_datas: 澶т富鍔ㄤ拱鍗曟暟鎹細[[涔板崟鍙凤紝褰撳墠鎴愪氦鑲℃暟, 褰撳墠鎴愪氦閲戦, 寮�濮嬫椂闂�, 缁撴潫鏃堕棿],....]
@return:
"""
- deal_time = l2_huaxin_util.convert_time(data[3], True)
+ deal_time = fdata[5]
# 鐢熸晥鏃堕棿鍦�1s浠ュ唴
- cls.__latest_sell_data_dict[code] = (data, tool.trade_time_add_millionsecond(deal_time, 1000))
+ cls.__latest_sell_data_dict[code] = (fdata[0], tool.trade_time_add_millionsecond(deal_time, 1000))
if cls.__callback:
big_buy_order_count = 0
if big_active_buy_order_datas:
for b in big_active_buy_order_datas:
- if b[0] > data[7]:
+ if b[0] > fdata[0][7]:
# 涔板崟鍦ㄥ崠鍗曚箣鍚�
big_buy_order_count += 1
-
cls.__callback.OnTradeSingle(code, big_buy_order_count, cls.TYPE_PASSIVE, cls.__latest_sell_data_dict[code])
@classmethod
--
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