"""
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L2的数据处理
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"""
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import json
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from db import redis_manager_delegate as redis_manager
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from db.redis_manager_delegate import RedisUtils
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from utils import tool
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from utils.tool import CodeDataCacheUtil
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_db = 1
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_redisManager = redis_manager.RedisManager(1)
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# 下单临时信息
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class OrderBeginPosInfo(object):
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MODE_NORMAL = 0 # 普通下单
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MODE_FAST = 1
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MODE_ACTIVE = 2 # 积极动买
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MODE_RADICAL = 3 # 扫入
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MODE_OPEN_LIMIT_UP = 4 # 排1
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# mode: 0-普通交易 1-快速交易
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def __init__(self, buy_single_index=None, buy_exec_index=-1, buy_compute_index=None, num=0, count=0,
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max_num_set=None, buy_volume_rate=None, sell_info=None, threshold_money=None, mode=0, mode_desc=None,
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at_limit_up=False, first_limit_up_buy=False, min_order_no = None):
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self.buy_single_index = buy_single_index
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self.buy_exec_index = buy_exec_index
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self.buy_compute_index = buy_compute_index
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self.num = num
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self.count = count
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self.threshold_money = threshold_money
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if max_num_set:
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self.max_num_set = list(max_num_set)
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else:
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self.max_num_set = []
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self.buy_volume_rate = buy_volume_rate
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self.sell_info = sell_info
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self.mode = mode
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self.mode_desc = mode_desc
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# 是否是板上买
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self.at_limit_up = at_limit_up
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# 是否为首封买
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self.first_limit_up_buy = first_limit_up_buy
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# 统计批次大单成交的最小订单号
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self.min_order_no = min_order_no
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def get_max_num_set(self):
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if self.max_num_set:
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return set(self.max_num_set)
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return None
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def to_json_str(self):
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return json.dumps(vars(self))
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def to_dict(self):
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return vars(self)
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@classmethod
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def to_object(cls, json_str: str):
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d = json.loads(json_str)
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return OrderBeginPosInfo(**d)
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class L2DataException(Exception):
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# 价格不匹配
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CODE_PRICE_ERROR = 1
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# 无收盘价
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CODE_NO_CLOSE_PRICE = 2
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def __init__(self, code, msg):
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super().__init__(self)
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self.code = code
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self.msg = msg
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def __str__(self):
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return self.msg
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def get_code(self):
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return self.code
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# 交易点管理器，用于管理买入点；买撤点；距离买入点的净买入数据；距离买撤点的买撤数据
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class TradePointManager:
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__db = 1
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__redisManager = redis_manager.RedisManager(1)
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__buy_compute_index_info_cache = {}
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__buy_cancel_single_pos_cache = {}
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__instance = None
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# 最近的下单模式
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__latest_place_order_mode_cache = {}
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def __new__(cls, *args, **kwargs):
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if not cls.__instance:
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cls.__instance = super(TradePointManager, cls).__new__(cls, *args, **kwargs)
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cls.load_data()
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return cls.__instance
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@classmethod
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def __get_redis(cls):
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return cls.__redisManager.getRedis()
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@classmethod
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def load_data(cls):
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redis_ = cls.__get_redis()
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keys = RedisUtils.keys(redis_, "buy_compute_index_info-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(redis_, k)
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order = OrderBeginPosInfo.to_object(val)
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CodeDataCacheUtil.set_cache(cls.__buy_compute_index_info_cache, code, order)
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keys = RedisUtils.keys(redis_, "buy_cancel_single_pos-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(redis_, k)
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CodeDataCacheUtil.set_cache(cls.__buy_cancel_single_pos_cache, code, int(val))
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# 删除买入点数据
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def delete_buy_point(self, code):
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CodeDataCacheUtil.clear_cache(self.__buy_compute_index_info_cache, code)
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RedisUtils.delete_async(self.__db, "buy_compute_index_info-{}".format(code))
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# 获取买入点信息
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# 返回数据为：买入点 累计纯买额 已经计算的数据索引
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def get_buy_compute_start_data(self, code):
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_key = "buy_compute_index_info-{}".format(code)
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_data_json = RedisUtils.get(self.__get_redis(), _key)
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if _data_json is None:
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return None, None, None, 0, 0, [], 0
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_data = json.loads(_data_json)
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return _data[0], _data[1], _data[2], _data[3], _data[4], _data[5], _data[6]
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def get_buy_compute_start_data_cache(self, code) -> OrderBeginPosInfo:
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cache_result = CodeDataCacheUtil.get_cache(self.__buy_compute_index_info_cache, code)
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if cache_result[0]:
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return cache_result[1]
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return OrderBeginPosInfo()
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# 设置买入点的值
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# buy_single_index 买入信号位
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# buy_exec_index 买入执行位
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# compute_index 计算位置
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# nums 累计纯买额
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def set_buy_compute_start_data_v2(self, code, order: OrderBeginPosInfo):
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if order.mode is not None:
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self.__latest_place_order_mode_cache[code] = order.mode
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expire = tool.get_expire()
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_key = "buy_compute_index_info-{}".format(code)
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data_ = None
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if order.buy_single_index is not None:
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data_ = order
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else:
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old_order = self.get_buy_compute_start_data_cache(code)
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order.buy_single_index = old_order.buy_single_index
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data_ = order
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CodeDataCacheUtil.set_cache(self.__buy_compute_index_info_cache, code, data_)
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RedisUtils.setex_async(self.__db, _key, expire, data_.to_json_str())
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# 是否已经下单
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@classmethod
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def is_placed_order(cls, order_begin_pos: OrderBeginPosInfo):
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return order_begin_pos and order_begin_pos.buy_exec_index is not None and order_begin_pos.buy_exec_index > -1
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@classmethod
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def get_latest_place_order_mode(cls, code):
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"""
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获取最近下单的模式
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@param code:
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@return:
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"""
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return cls.__latest_place_order_mode_cache.get(code)
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# 清除l2数据
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def clear_l2_data(code):
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redis_l2 = redis_manager.RedisManager(1).getRedis()
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try:
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keys = RedisUtils.keys(redis_l2, "l2-{}-*".format(code), auto_free=False)
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for k in keys:
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RedisUtils.delete(redis_l2, k, auto_free=False)
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RedisUtils.delete(redis_l2, "l2-data-latest-{}".format(code), auto_free=False)
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finally:
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RedisUtils.realse(redis_l2)
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second_930 = 9 * 3600 + 30 * 60 + 0
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# 初始化l2固定代码库
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def init_l2_fixed_codes():
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key = "l2-fixed-codes"
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redis = _redisManager.getRedis()
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try:
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count = RedisUtils.scard(redis, key, auto_free=False)
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if count > 0:
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RedisUtils.delete(redis, key, auto_free=False)
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RedisUtils.sadd(redis, key, "000000", auto_free=False)
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RedisUtils.expire(redis, key, tool.get_expire(), auto_free=False)
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finally:
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RedisUtils.realse(redis)
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# 移除l2固定监控代码
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def remove_from_l2_fixed_codes(code):
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key = "l2-fixed-codes"
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RedisUtils.srem(_redisManager.getRedis(), key, code)
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# 添加代码到L2固定监控
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def add_to_l2_fixed_codes(code):
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key = "l2-fixed-codes"
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RedisUtils.sadd(_redisManager.getRedis(), key, code)
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RedisUtils.expire(_redisManager.getRedis(), key, tool.get_expire())
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# 是否在l2固定监控代码中
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def is_in_l2_fixed_codes(code):
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key = "l2-fixed-codes"
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return RedisUtils.sismember(_redisManager.getRedis(), key, code)
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if __name__ == "__main__":
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code = "002886"
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TradePointManager().set_buy_compute_start_data_v2(code, OrderBeginPosInfo(buy_single_index=10,
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buy_exec_index=30,
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buy_compute_index=40,
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num=20000, count=10,
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buy_volume_rate=0.6,
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mode=OrderBeginPosInfo.MODE_NORMAL,
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))
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print(TradePointManager().get_buy_compute_start_data_cache(code).max_num_set)
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RedisUtils.run_loop()
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