import logging
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import time
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import dask
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import constant
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from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer
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from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager
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from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer
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from code_attribute import gpcode_manager
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from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log, data_callback
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from l2.cancel_buy_strategy import FCancelBigNumComputer, \
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NewGCancelBigNumComputer, \
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NBCancelBigNumComputer
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from l2.huaxin import l2_huaxin_util
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from l2.l2_data_manager import OrderBeginPosInfo
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from l2.l2_data_manager_new import L2TradeDataProcessor
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from l2.l2_data_util import L2DataUtil
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from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
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from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
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from l2.place_order_single_data_manager import L2TradeSingleDataProcessor
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from log_module import async_log_util
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from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload, \
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logger_trade, logger_l2_trade
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from trade import current_price_process_manager, trade_constant
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import concurrent.futures
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from trade.buy_radical import radical_buy_strategy
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from trade.buy_radical.radical_buy_data_manager import RadicalBuyDataManager, EveryLimitupBigDealOrderManager
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from utils import tool
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class HuaXinTransactionDatasProcessor:
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__statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2)
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__TradeBuyQueue = transaction_progress.TradeBuyQueue()
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# 计算成交进度
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@classmethod
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def __compute_latest_trade_progress(cls, code, fdatas):
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buyno_map = l2_data_util.local_today_buyno_map.get(code)
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if not buyno_map:
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return None
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buy_progress_index = None
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for i in range(len(fdatas) - 1, -1, -1):
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d = fdatas[i]
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buy_no = f"{d[0][6]}"
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if buyno_map and buy_no in buyno_map:
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# 成交进度位必须是涨停买
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if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]):
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buy_progress_index = buyno_map[buy_no]["index"]
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break
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return buy_progress_index
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@classmethod
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def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo):
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"""
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统计大单成交
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@param code:
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@param fdatas: 格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
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@return:
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"""
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@dask.delayed
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def statistic_big_buy_data():
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buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price)
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if buy_datas:
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BigOrderDealManager().add_buy_datas(code, buy_datas)
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active_big_buy_orders = []
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if buy_datas:
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for x in buy_datas:
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if x[0] > x[6]:
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# (买单号, 成交金额, 最后成交时间)
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active_big_buy_orders.append((x[0], x[2], x[4]))
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EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders)
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try:
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is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
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if is_placed_order:
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if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:
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RadicalBuyDataManager.big_order_deal(code)
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if bigger_buy_datas:
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# 有大于50w的大单成交
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buyno_map = l2_data_util.local_today_buyno_map.get(code)
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if buyno_map:
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for buy_data in bigger_buy_datas:
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order_no = f"{buy_data[0]}"
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if order_no in buyno_map:
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LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"],
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order_begin_pos.buy_single_index)
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except Exception as e:
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logger_debug.exception(e)
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return buy_datas
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@dask.delayed
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def statistic_big_sell_data():
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sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas)
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if sell_datas:
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BigOrderDealManager().add_sell_datas(code, sell_datas)
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return sell_datas
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@dask.delayed
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def statistic_big_data(f1_, f2_):
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temp_data = f1_, f2_
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return temp_data
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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# 并行处理买单与卖单
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f1 = statistic_big_buy_data()
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f2 = statistic_big_sell_data()
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dask_result = statistic_big_data(f1, f2)
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buy_datas, sell_datas = dask_result.compute()
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# L撤的比例与买卖大单无直接关系了
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# if buy_datas or sell_datas:
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# buy_money = BigOrderDealManager().get_total_buy_money(code)
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# sell_money = BigOrderDealManager().get_total_sell_money(code)
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# LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money)
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@classmethod
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def process_huaxin_transaction_datas(cls, code, o_datas):
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# 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
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# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
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# data['SellNo'], data['ExecType']))
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fdatas = [
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[d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', '']
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for d in o_datas]
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temp_time_dict = {}
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for d in fdatas:
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if d[0][3] not in temp_time_dict:
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temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True)
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d[5] = temp_time_dict.get(d[0][3])
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d[4] = d[5][:8]
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temp_time_dict.clear()
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__start_time = time.time()
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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# 设置成交价
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try:
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current_price_process_manager.set_trade_price(code, fdatas[-1][0][1])
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if limit_up_price > fdatas[-1][0][1]:
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# 没有涨停
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EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}")
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radical_buy_strategy.clear_data(code)
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except:
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pass
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total_datas = l2_data_util.local_today_datas.get(code)
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use_time_list = []
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try:
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buyno_map = l2_data_util.local_today_buyno_map.get(code)
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if buyno_map is None:
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buyno_map = {}
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order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
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# 是否已经下单
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is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
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_start_time = time.time()
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# 设置涨停卖成交数据
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L2LimitUpSellDataManager.set_deal_datas(code, fdatas)
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use_time_list.append(("统计涨停卖成交", time.time() - _start_time))
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_start_time = time.time()
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# 大单统计
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# cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
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try:
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cls.statistic_big_order_infos(code, fdatas, order_begin_pos)
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except Exception as e:
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async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}")
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use_time_list.append(("统计大单数据", time.time() - _start_time))
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_start_time = time.time()
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try:
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# 统计上板时间
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try:
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for d in fdatas:
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if d[1]:
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# 主动买
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if d[2]:
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# 涨停
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current_price_process_manager.set_latest_not_limit_up_time(code, d[5])
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else:
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# 主动卖（板上）
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if d[2]:
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L2LimitUpSellDataManager.clear_data(code)
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break
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except:
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pass
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big_sell_order_info = None
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# 统计卖单
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big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas(
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code, fdatas,
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limit_up_price)
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use_time_list.append(("处理卖单成交数据", time.time() - _start_time))
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_start_time = time.time()
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if is_placed_order:
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LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
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# need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,
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# big_sell_order_info,
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# order_begin_pos)
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need_cancel, cancel_msg = False, ""
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cancel_type = None
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if need_cancel:
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cancel_msg = f"S撤:{cancel_msg}"
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cancel_type = trade_constant.CANCEL_TYPE_S
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if not need_cancel:
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need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
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order_begin_pos)
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cancel_type = trade_constant.CANCEL_TYPE_P
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# 判断时间是否与本地时间相差5s以上
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if tool.trade_time_sub(tool.get_now_time_str(), fdatas[-1][4]) > 10:
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now_seconds = int(tool.get_now_time_str().replace(":", ""))
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if now_seconds < int("093100"): # or int("130000") <= now_seconds < int("130200"):
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need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{fdatas[-1][4]}"
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cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY
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if need_cancel:
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L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
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# GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
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use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time))
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_start_time = time.time()
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# 统计涨停卖成交
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HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price)
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use_time_list.append(("统计成交量数据", time.time() - _start_time))
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except Exception as e:
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async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}")
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logger_debug.exception(e)
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_start_time = time.time()
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# if big_money_count > 0:
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# LCancelRateManager.compute_big_num_deal_rate(code)
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buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
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if buy_progress_index is not None:
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buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
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total_datas)
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async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code,
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buy_progress_index)
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if is_placed_order:
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NewGCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
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buy_progress_index)
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LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
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buy_progress_index,
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total_datas)
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cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
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if cancel_result[0]:
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L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}",
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cancel_type=trade_constant.CANCEL_TYPE_F)
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if not cancel_result[0]:
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try:
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cancel_result = NBCancelBigNumComputer().need_cancel(code, buy_progress_index)
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if cancel_result[0]:
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L2TradeDataProcessor.cancel_buy(code, f"大市值无大单撤:{cancel_result[1]}",
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cancel_type=trade_constant.CANCEL_TYPE_NB)
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except:
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pass
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if not cancel_result[0] and buy_progress_index_changed:
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try:
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cancel_result = FCancelBigNumComputer().need_cancel_for_w(code)
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if cancel_result[0]:
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L2TradeDataProcessor.cancel_buy(code, f"W撤:{cancel_result[1]}",
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cancel_type=trade_constant.CANCEL_TYPE_W)
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except:
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pass
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SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
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buy_progress_index)
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HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
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buy_progress_index)
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else:
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pass
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if is_placed_order:
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# 触发L撤上重新计算
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LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index)
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use_time_list.append(("处理成交进度相关撤", time.time() - _start_time))
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except Exception as e:
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logging.exception(e)
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hx_logger_l2_debug.exception(e)
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finally:
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use_time = int((time.time() - __start_time) * 1000)
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if use_time > 5:
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l2_log.info(code, hx_logger_l2_upload,
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f"{code}处理成交用时：{use_time} 数据数量：{len(fdatas)} 详情:{use_time_list}")
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@classmethod
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def process_huaxin_transaction_datas_v2(cls, code, o_datas):
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"""
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新版处理华鑫成交数据：
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尚未下单的时候异步统计成交，同步遍历获取最后一个涨停卖委托数据，当最后一个涨停卖成交的时候就是下单时机
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@param code:
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@param o_datas:
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@return:
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"""
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def __process_placed_order():
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"""
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处理处于下单状态的数据
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@return:
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"""
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try:
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cls.statistic_big_order_infos(code, fdatas, order_begin_pos)
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except Exception as e:
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async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}")
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# 统计连续的卖单数据，用于撤单，只有当下单之后才会执行
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big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas(
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code, fdatas,
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limit_up_price)
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LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
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need_cancel, cancel_msg = False, ""
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cancel_type = None
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if not need_cancel:
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need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
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order_begin_pos)
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cancel_type = trade_constant.CANCEL_TYPE_P
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if need_cancel:
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L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
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# 统计涨停主动卖成交，为了F撤准备数据
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HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price)
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# 计算成交进度
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buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
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if buy_progress_index is not None:
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total_datas = l2_data_util.local_today_datas.get(code)
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buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
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total_datas)
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async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code,
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buy_progress_index)
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if is_placed_order:
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LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
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buy_progress_index,
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total_datas)
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cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
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if cancel_result[0]:
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L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}",
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cancel_type=trade_constant.CANCEL_TYPE_F)
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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# =====格式化数据=====
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# 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
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use_time_list = []
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__start_time = int(time.time()*1000)
|
fdatas = [
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[d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', '']
|
for d in o_datas]
|
temp_time_dict = {}
|
for d in fdatas:
|
if d[0][3] not in temp_time_dict:
|
temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True)
|
d[5] = temp_time_dict.get(d[0][3])
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d[4] = d[5][:8]
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temp_time_dict.clear()
|
_start_time = int(time.time() * 1000)
|
use_time_list.append((_start_time - __start_time , "数据整形"))
|
|
try:
|
|
# ======需要同步处理的数据========
|
# 设置成交价
|
try:
|
current_price_process_manager.set_trade_price(code, fdatas[-1][0][1])
|
if limit_up_price > fdatas[-1][0][1]:
|
# 没有涨停
|
EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}")
|
radical_buy_strategy.clear_data(code)
|
except:
|
pass
|
|
# 统计上板时间
|
try:
|
last_data = fdatas[-1]
|
if last_data[1] and last_data[2]:
|
# 涨停主动买
|
current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5])
|
elif not last_data[1] and last_data[2]:
|
# 涨停主动卖
|
if last_data[2]:
|
L2LimitUpSellDataManager.clear_data(code)
|
except:
|
pass
|
|
# ==========处于委托状态就同步处理数据，没有下过单就异步处理数据==========
|
order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
|
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
|
if is_placed_order:
|
# 下过单了
|
__process_placed_order()
|
else:
|
filter_datas = L2TradeSingleDataProcessor.filter_last_limit_up_sell_data(code, fdatas)
|
_start_time = int(time.time() * 1000)
|
use_time_list.append((_start_time - __start_time, "处理涨停卖"))
|
# 回调数据
|
if filter_datas:
|
l2_log.info(code, logger_l2_trade, f"最后一笔涨停卖被吃：{filter_datas[0]}")
|
data_callback.l2_trade_single_callback.OnLastLimitUpSellDeal(code, filter_datas[0][0])
|
|
_start_time = int(time.time() * 1000)
|
use_time_list.append((_start_time - __start_time, "处理买入信号"))
|
|
# 如果是被动买就更新成交进度
|
if not fdatas[-1][1]:
|
buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
|
if buy_progress_index is not None:
|
total_datas = l2_data_util.local_today_datas.get(code)
|
cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
|
total_datas)
|
# 如果数据量大于20条就采用线程池更新数据
|
if len(fdatas) >= 20:
|
cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, fdatas, order_begin_pos)
|
else:
|
cls.statistic_big_order_infos(code, fdatas, order_begin_pos)
|
|
_start_time = int(time.time() * 1000)
|
use_time_list.append((_start_time - __start_time, "统计大单"))
|
except Exception as e:
|
hx_logger_l2_debug.exception(e)
|
finally:
|
_start_time = int(time.time() * 1000)
|
if _start_time - __start_time > 5:
|
l2_log.info(code, hx_logger_l2_upload,
|
f"{code}处理成交用时：{_start_time - __start_time} 数据数量：{len(fdatas)} 详情:{use_time_list}")
|
