# -*- coding: utf-8 -*-
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"""
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可转债正股L2订阅
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"""
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import decimal
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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 code_atrribute.history_k_data_util import JueJinHttpApi, JueJinApi
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from huaxin_client import command_manager
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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 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 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_l2_codes_subscript, \
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logger_local_huaxin_l2_transaction, logger_local_huaxin_l2_upload
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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 = []
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SH_XTS_Securities = []
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SZ_Securities = []
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SZ_Bond_Securities = []
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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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limit_up_price_dict = {}
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__is_limit_up_dict = {}
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# 买入的大单订单号
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def __init__(self, api, ):
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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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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 or code.find("30") == 0:
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szse_codes.append(code.encode())
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elif code.find("60") == 0 or code.find("68") == 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.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.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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l2_data_manager.del_target_code(c)
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for c in codes:
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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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pass
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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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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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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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def OnRspSubTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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huaxin_l2_log.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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self.subscripted_codes.add(pSpecificSecurity['SecurityID'])
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if bIsLast == 1:
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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def OnRspUnSubTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, 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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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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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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if pTransaction['TradePrice'] == self.limit_up_price_dict.get(pTransaction['SecurityID']):
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# TODO 成交价是涨停价才输出
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huaxin_l2_log.info(logger_local_huaxin_l2_transaction, f"{item}")
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if not self.__is_limit_up_dict[ pTransaction['SecurityID']]:
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huaxin_l2_log.info(logger_local_huaxin_l2_upload, f"{pTransaction['TradeTime']} {pTransaction['SecurityID']} 下单")
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self.__is_limit_up_dict[pTransaction['SecurityID']] = True
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else:
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self.__is_limit_up_dict[ pTransaction['SecurityID']] = False
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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():
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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)
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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 get_subscript_codes():
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"""
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获取需要订阅的代码
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:return:
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"""
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results = JueJinHttpApi.get_exchanges_codes("SHSE,SZSE", sec_types=[8], skip_suspended=True, skip_st=True,
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fields="symbol, sec_type, sec_id,sec_name, underlying_symbol, delisted_date, sec_level")
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fresults = []
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for r in results:
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if r['sec_name'].find('转') == -1 or r['sec_level'] != 1 or int(tool.get_now_date_str('%Y%m%d')) >= int(
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r['delisted_date'].strftime('%Y%m%d')):
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continue
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fresults.append(r)
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# 排除同一股票有2个转债
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cb_count_dict = {}
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exclude_codes = []
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for r in fresults:
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if r['underlying_symbol'] not in cb_count_dict:
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cb_count_dict[r['underlying_symbol']] = []
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cb_count_dict[r['underlying_symbol']].append(r['symbol'])
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if len(cb_count_dict[r['underlying_symbol']]) > 1:
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print(r['underlying_symbol'], cb_count_dict[r['underlying_symbol']])
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exclude_codes.extend(cb_count_dict[r['underlying_symbol']])
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ffresults = []
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for x in fresults:
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if x['symbol'] in exclude_codes:
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continue
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ffresults.append(x)
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return [x['underlying_symbol'].split('.')[1] for x in ffresults]
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def get_pre_price(codes):
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"""
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获取昨日收盘价
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:param codes:
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:return:
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"""
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symbols = JueJinApi.get_juejin_code_list_with_prefix(codes)
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results = JueJinHttpApi.get_instruments(symbols, 'pre_close,sec_id')
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return {x['sec_id']: round(x['pre_close'], 2) for x in results}
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def __init_data():
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"""
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初始化数据
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:return:
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"""
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codes = []
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# 获取目标代码
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for i in range(3):
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try:
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codes = get_subscript_codes()
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if codes:
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break
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except Exception as e:
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logger_system.exception(e)
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time.sleep(5)
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logger_system.info(f'可转债正股数量：{len(codes)}')
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if codes:
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# 设置订阅代码
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spi.set_codes_data(codes)
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# 获取目标代码的收盘价
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pre_price_dict = {}
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for i in range(3):
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try:
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pre_price_dict = get_pre_price(codes)
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if pre_price_dict:
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break
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except Exception as e:
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logger_system.exception(e)
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time.sleep(5)
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logger_system.info(f'可转债正股昨日收盘价数量：{len(codes)}')
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if pre_price_dict:
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for k in pre_price_dict:
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if k.find("00") == 0 or k.find("60") == 0:
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limit_up_price = tool.to_price(decimal.Decimal(str(pre_price_dict[k])) * decimal.Decimal("1.1"))
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else:
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limit_up_price = tool.to_price(decimal.Decimal(str(pre_price_dict[k])) * decimal.Decimal("1.2"))
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Lev2MdSpi.limit_up_price_dict[k] = round(float(limit_up_price), 2)
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def run() -> None:
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logger_system.info("可转债L2进程ID：{}", os.getpid())
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logger_system.info(f"可转债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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# 初始化
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__init_l2()
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__init_data()
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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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logger_system.info("可转债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)
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while True:
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time.sleep(2)
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if __name__ == "__main__":
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run()
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