# -*- coding: utf-8 -*-
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import json
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import logging
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import multiprocessing
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import os
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import queue
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import threading
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import time
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import concurrent.futures
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from typing import List
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from huaxin_client import command_manager, l2_data_transform_protocol
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from huaxin_client import constant
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from huaxin_client import l2_data_manager
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import lev2mdapi
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from huaxin_client.code_queue_distribute_manager import CodeQueueDistributeManager, CodeDataCallbackDistributeManager
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from huaxin_client.command_manager import L2ActionCallback
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from huaxin_client.l2_data_manager import L2DataUploadManager
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from huaxin_client.l2_data_transform_protocol import L2DataCallBack
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from log_module import log, async_log_util
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from log_module.async_log_util import huaxin_l2_log
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from log_module.log import logger_local_huaxin_l2_subscript, logger_system, logger_local_huaxin_l2_transaction, \
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logger_local_huaxin_g_cancel, logger_l2_codes_subscript
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from utils import tool
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###B类###
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Front_Address = "tcp://10.0.1.101:6900"
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Multicast_Address = "udp://224.224.2.19:7889"
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Multicast_Address2 = "udp://224.224.224.234:7890"
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Local_Interface_Address = constant.LOCAL_IP
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g_SubMarketData = False
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g_SubTransaction = False
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g_SubOrderDetail = False
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g_SubXTSTick = False
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g_SubXTSMarketData = False
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g_SubNGTSTick = False
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g_SubBondMarketData = False
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g_SubBondTransaction = False
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g_SubBondOrderDetail = False
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SH_Securities = [b"603000", b"600225", b"600469", b"600616", b"600059", b"002849", b"605188", b"603630", b"600105",
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b"603773", b"603915", b"603569", b"603322", b"603798", b"605198", b"603079", b"600415", b"600601"]
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SH_XTS_Securities = [b"018003", b"113565"]
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SZ_Securities = [b"002456", b"002849", b"002281", b"002336", b"000936", b"000920", b"000757", b"002896", b"002725",
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b"000952", b"000526", b"000753", b"000681", b"002088", b"002436"]
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SZ_Bond_Securities = [b"100303", b"109559", b"112617"]
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set_codes_data_queue = queue.Queue()
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market_code_dict = {}
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class Lev2MdSpi(lev2mdapi.CTORATstpLev2MdSpi):
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latest_codes_set = set()
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special_code_volume_for_order_dict = {}
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# 已经订阅的代码
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subscripted_codes = set()
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# 代码的上次成交的订单唯一索引
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__last_transaction_keys_dict = {}
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# 买入的大单订单号
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def __init__(self, api, l2_data_upload_manager: L2DataUploadManager):
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lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
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self.__api = api
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self.is_login = False
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self.l2_data_upload_manager = l2_data_upload_manager
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def __split_codes(self, codes):
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szse_codes = []
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sse_codes = []
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for code in codes:
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if code.find("00") == 0:
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szse_codes.append(code.encode())
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elif code.find("60") == 0:
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sse_codes.append(code.encode())
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return sse_codes, szse_codes
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# 新增订阅
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# 取消订阅
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def __unsubscribe(self, _codes):
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sh, sz = self.__split_codes(_codes)
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logger_local_huaxin_l2_subscript.info(f"取消订阅上证：{sh}")
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logger_local_huaxin_l2_subscript.info(f"取消订阅深证：{sz}")
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if sh:
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# 取消订阅逐笔委托
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self.__api.UnSubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
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# 取消订阅逐笔成交
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self.__api.UnSubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
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if sz:
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self.__api.UnSubscribeOrderDetail(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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self.__api.UnSubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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def __subscribe(self, _codes):
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sh, sz = self.__split_codes(_codes)
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logger_local_huaxin_l2_subscript.info(f"订阅上证：{sh}")
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logger_local_huaxin_l2_subscript.info(f"订阅深证：{sz}")
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if sh:
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# 订阅逐笔委托
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result = self.__api.SubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔委托订阅结果sh：{result}")
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# 订阅逐笔成交
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result = self.__api.SubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔成交订阅结果sh：{result}")
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if sz:
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result = self.__api.SubscribeOrderDetail(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔委托订阅结果sz：{result}")
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result = self.__api.SubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔成交订阅结果sz：{result}")
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def __process_codes_data(self, codes, from_cache=False, delay=0.0):
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codes = set(codes)
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if not self.is_login and not constant.TEST:
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raise Exception("L2尚未登录")
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if delay > 0:
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time.sleep(delay)
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add_codes = codes - self.subscripted_codes
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del_codes = self.subscripted_codes - codes
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print("add del codes", add_codes, del_codes)
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try:
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for c in del_codes:
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self.l2_data_upload_manager.release_distributed_upload_queue(c)
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l2_data_manager.del_target_code(c)
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for c in codes:
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self.l2_data_upload_manager.distribute_upload_queue(c)
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l2_data_manager.add_target_code(c)
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except Exception as e:
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logger_system.error(f"L2代码分配上传队列出错:{str(e)}")
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logger_system.exception(e)
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self.__subscribe(add_codes)
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self.__unsubscribe(del_codes)
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if add_codes:
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logger_system.info(f"新增L2订阅代码数量({'缓存' if from_cache else ''}):{len(add_codes)}")
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logger_l2_codes_subscript.info("华鑫L2订阅结束，add-{} del-{}", len(add_codes), len(del_codes))
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# 设置最近的代码列表
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self.latest_codes_set = codes
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# 订阅代码,[代码,...]
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def set_codes_data(self, codes):
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try:
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self.__process_codes_data(codes)
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except Exception as e:
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logging.exception(e)
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logger_l2_codes_subscript.exception(e)
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finally:
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# 保存一份最新的数据
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self.__set_latest_datas(codes)
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@classmethod
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def __set_latest_datas(cls, codes_data):
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data_str = json.dumps([tool.get_now_date_str(), codes_data])
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with open(constant.L2_CODES_INFO_PATH, mode='w') as f:
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f.write(data_str)
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@classmethod
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def __get_latest_datas(cls):
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if os.path.exists(constant.L2_CODES_INFO_PATH):
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with open(constant.L2_CODES_INFO_PATH, mode='r') as f:
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str_ = f.readline()
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data_json = json.loads(str_)
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if data_json[0] == tool.get_now_date_str():
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return data_json[1]
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return []
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def OnFrontConnected(self):
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print("OnFrontConnected")
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logger_system.info(f"l2_client OnFrontConnected 线程ID:{tool.get_thread_id()}")
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logout_req = lev2mdapi.CTORATstpUserLogoutField()
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self.__api.ReqUserLogout(logout_req, 1)
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time.sleep(1)
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# 请求登录
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login_req = lev2mdapi.CTORATstpReqUserLoginField()
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self.__api.ReqUserLogin(login_req, 2)
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def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
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print("OnRspUserLogin: ErrorID[%d] ErrorMsg[%s] RequestID[%d] IsLast[%d]" % (
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pRspInfo['ErrorID'], pRspInfo['ErrorMsg'], nRequestID, bIsLast))
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if pRspInfo['ErrorID'] == 0:
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print("----L2行情登录成功----")
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self.is_login = True
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logger_system.info(f"L2行情登录成功")
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# 初始设置值
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threading.Thread(
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target=lambda: self.__process_codes_data(self.__get_latest_datas(), from_cache=True, delay=6.0),
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daemon=True).start()
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def OnRspSubOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubOrderDetail", pRspInfo)
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# try:
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print("订阅结果：", pSpecificSecurity["ExchangeID"], pSpecificSecurity["SecurityID"], pRspInfo["ErrorID"],
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pRspInfo["ErrorMsg"])
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async_log_util.info(logger_local_huaxin_l2_subscript,
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f"订阅结果：{pSpecificSecurity['SecurityID']} {pRspInfo['ErrorID']} {pRspInfo['ErrorMsg']}")
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if pRspInfo["ErrorID"] == 0:
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print("订阅成功")
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self.subscripted_codes.add(pSpecificSecurity['SecurityID'])
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if bIsLast == 1:
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print("订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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def OnRspUnSubOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspUnSubOrderDetail", bIsLast)
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try:
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code = pSpecificSecurity['SecurityID']
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self.subscripted_codes.discard(code)
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if bIsLast == 1:
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print("取消订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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except Exception as e:
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logging.exception(e)
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def OnRtnTransaction(self, pTransaction):
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# 输出逐笔成交数据
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if pTransaction['ExecType'] == b"2":
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# 撤单
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item = {"SecurityID": pTransaction['SecurityID'], "Price": pTransaction['TradePrice'],
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"Volume": pTransaction['TradeVolume'],
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"OrderType": "2",
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"OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
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"SubSeq": pTransaction['SubSeq'],
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"OrderStatus": "D"}
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buyNo = pTransaction['BuyNo']
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sellNo = pTransaction['SellNo']
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if buyNo > 0:
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# 买
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item["OrderNO"] = buyNo
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item["Side"] = "1"
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elif sellNo > 0:
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# 卖
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item["OrderNO"] = sellNo
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item["Side"] = "2"
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self.l2_data_upload_manager.add_l2_order_detail(item, 0, True)
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else:
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item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
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"TradeVolume": pTransaction['TradeVolume'],
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"OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
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"SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
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"SellNo": pTransaction['SellNo'],
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"ExecType": pTransaction['ExecType'].decode()}
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self.l2_data_upload_manager.add_transaction_detail(item)
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def OnRtnOrderDetail(self, pOrderDetail):
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# 输出逐笔委托数据
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# 上证OrderStatus=b"D"表示撤单
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item = {"SecurityID": pOrderDetail['SecurityID'], "Price": pOrderDetail['Price'],
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"Volume": pOrderDetail['Volume'],
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"Side": pOrderDetail['Side'].decode(), "OrderType": pOrderDetail['OrderType'].decode(),
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"OrderTime": pOrderDetail['OrderTime'], "MainSeq": pOrderDetail['MainSeq'],
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"SubSeq": pOrderDetail['SubSeq'], "OrderNO": pOrderDetail['OrderNO'],
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"OrderStatus": pOrderDetail['OrderStatus'].decode()}
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self.l2_data_upload_manager.add_l2_order_detail(item, 0)
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class MyL2ActionCallback(L2ActionCallback):
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def OnSetL2Position(self, codes):
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huaxin_l2_log.info(logger_l2_codes_subscript, "华鑫L2代码处理队列获取到数据：数量-{}", len(codes))
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try:
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spi.set_codes_data(codes)
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except Exception as e:
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logging.exception(e)
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def __init_l2(l2_data_upload_manager):
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print(lev2mdapi.CTORATstpLev2MdApi_GetApiVersion())
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# case 1: Tcp方式
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# g_SubMode=lev2mdapi.TORA_TSTP_MST_TCP
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# case 2: 组播方式
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g_SubMode = lev2mdapi.TORA_TSTP_MST_MCAST
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# case 1缓存模式
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api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, True)
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# case 2非缓存模式
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# api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, False)
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global spi
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spi = Lev2MdSpi(api, l2_data_upload_manager)
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api.RegisterSpi(spi)
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# -------------------正式模式-------------------------------------
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if g_SubMode != lev2mdapi.TORA_TSTP_MST_MCAST:
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api.RegisterFront(Front_Address)
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else:
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# case 1 从一个组播地址收取行情
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api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "")
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# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "")
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# case 2:注册多个组播地址同时收行情
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# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "");
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# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "");
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# case 3:efvi模式收行情
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# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "", "enp101s0f0",4096, True);
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# case 1 不绑核运行
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api.Init()
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__l2_cmd_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=3)
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def __receive_from_queue_trade(queue_trade_w_l2_r: multiprocessing.Queue):
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logger_system.info(f"l2_client __receive_from_pipe_trade 线程ID:{tool.get_thread_id()}")
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while True:
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try:
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value = queue_trade_w_l2_r.get()
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if value:
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if type(value) == bytes:
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value = value.decode("utf-8")
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data = json.loads(value)
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_type = data["type"]
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if _type == "l2_cmd":
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huaxin_l2_log.info(logger_local_huaxin_l2_subscript, f"订阅代码：{data}")
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__start_time = time.time()
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# 线程池
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__l2_cmd_thread_pool.submit(
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lambda: l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data))
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use_time = time.time() - __start_time
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if use_time > 0.005:
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huaxin_l2_log.info(logger_local_huaxin_l2_subscript, f"l2_cmd耗时：{use_time}s")
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except Exception as e:
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logging.exception(e)
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pipe_strategy = None
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def test_add_codes(queue_r):
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time.sleep(10)
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# if value:
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# if type(value) == bytes:
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# value = value.decode("utf-8")
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# data = json.loads(value)
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# _type = data["type"]
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# if _type == "listen_volume":
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# volume = data["data"]["volume"]
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# code = data["data"]["code"]
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# spi.set_code_special_watch_volume(code, volume)
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# elif _type == "l2_cmd":
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# l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data)
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time.sleep(2)
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demo_datas = ["603002",
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"002654",
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"603701",
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"002908"]
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queue_r.put_nowait(json.dumps({"type": "l2_cmd", "data": demo_datas}))
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time.sleep(10)
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while True:
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try:
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spi.l2_data_upload_manager.add_l2_order_detail(
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{'SecurityID': '603002', 'Price': 6.35, 'Volume': 275000, 'Side': "1", 'OrderType': '0',
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'OrderTime': '13000015',
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'MainSeq': 2, 'SubSeq': 6739147, 'OrderNO': 5512466, 'OrderStatus': 'D'}, 0)
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spi.l2_data_upload_manager.add_l2_order_detail(
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{'SecurityID': '603002', 'Price': 6.35, 'Volume': 200, 'Side': "1", 'OrderType': '0',
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'OrderTime': '13000015',
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'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
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# queue_r.put_nowait(json.dumps({"type": "listen_volume", "data": {"code": "603002", "volume": 100}}))
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time.sleep(0.1)
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spi.l2_data_upload_manager.add_l2_order_detail(
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{'SecurityID': '603002', 'Price': 6.35, 'Volume': 100, 'Side': "1", 'OrderType': '0',
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'OrderTime': '13000015',
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'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
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except Exception as e:
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logging.exception(e)
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finally:
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time.sleep(10)
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def run(queue_r: multiprocessing.Queue, data_callbacks: list) -> None:
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logger_system.info("L2进程ID：{}", os.getpid())
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logger_system.info(f"l2_client 线程ID:{tool.get_thread_id()}")
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try:
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log.close_print()
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if queue_r is not None:
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t1 = threading.Thread(target=lambda: __receive_from_queue_trade(queue_r), daemon=True)
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t1.start()
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# 初始化
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data_callback_distribute_manager = CodeDataCallbackDistributeManager(data_callbacks)
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l2_data_upload_manager = L2DataUploadManager(data_callback_distribute_manager)
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__init_l2(l2_data_upload_manager)
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threading.Thread(target=huaxin_l2_log.run_sync, daemon=True).start()
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# TODO 测试
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# threading.Thread(target=lambda: test_add_codes(queue_r), daemon=True).start()
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global l2CommandManager
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l2CommandManager = command_manager.L2CommandManager()
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l2CommandManager.init(MyL2ActionCallback())
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logger_system.info("L2订阅服务启动成功")
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except Exception as e:
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logger_system.exception(e)
|
while True:
|
time.sleep(2)
|
|
|
if __name__ == "__main__":
|
input()
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