import logging
|
import time
|
|
import constant
|
from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer
|
from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager
|
from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer
|
from code_attribute import gpcode_manager
|
from l2 import l2_data_util, l2_data_manager, transaction_progress
|
from l2.cancel_buy_strategy import FCancelBigNumComputer, \
|
NewGCancelBigNumComputer, \
|
NBCancelBigNumComputer
|
from l2.huaxin import l2_huaxin_util
|
from l2.l2_data_manager import OrderBeginPosInfo
|
from l2.l2_data_manager_new import L2TradeDataProcessor
|
from l2.l2_data_util import L2DataUtil
|
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
|
from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
|
from log_module import async_log_util
|
from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload
|
from trade import current_price_process_manager, trade_constant
|
import concurrent.futures
|
|
from trade.buy_radical.radical_buy_data_manager import RadicalBuyDataManager, EveryLimitupBigDealOrderManager
|
from utils import tool
|
|
|
class HuaXinTransactionDatasProcessor:
|
__statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2)
|
__TradeBuyQueue = transaction_progress.TradeBuyQueue()
|
|
# 计算成交进度
|
@classmethod
|
def __compute_latest_trade_progress(cls, code, buyno_map, datas):
|
buy_progress_index = None
|
for i in range(len(datas) - 1, -1, -1):
|
d = datas[i]
|
buy_no = f"{d[6]}"
|
if buyno_map and buy_no in buyno_map:
|
# 成交进度位必须是涨停买
|
if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]):
|
buy_progress_index = buyno_map[buy_no]["index"]
|
break
|
return buy_progress_index
|
|
@classmethod
|
def statistic_big_order_infos(cls, code, datas, order_begin_pos: OrderBeginPosInfo):
|
"""
|
统计大单成交
|
@param code:
|
@param datas:
|
@return:
|
"""
|
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
|
buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, datas, limit_up_price)
|
if buy_datas:
|
BigOrderDealManager().add_buy_datas(code, buy_datas)
|
EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, [x[0] for x in buy_datas])
|
try:
|
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
|
if is_placed_order:
|
if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:
|
RadicalBuyDataManager.big_order_deal(code)
|
|
if is_placed_order and bigger_buy_datas:
|
# 有大于50w的大单成交
|
buyno_map = l2_data_util.local_today_buyno_map.get(code)
|
if buyno_map:
|
for buy_data in bigger_buy_datas:
|
order_no = f"{buy_data[0]}"
|
if order_no in buyno_map:
|
LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"],
|
order_begin_pos.buy_single_index)
|
except Exception as e:
|
logger_debug.exception(e)
|
|
sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, datas)
|
if sell_datas:
|
BigOrderDealManager().add_sell_datas(code, sell_datas)
|
|
if buy_datas or sell_datas:
|
buy_money = BigOrderDealManager().get_total_buy_money(code)
|
sell_money = BigOrderDealManager().get_total_sell_money(code)
|
LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money)
|
|
@classmethod
|
def process_huaxin_transaction_datas(cls, code, datas):
|
__start_time = time.time()
|
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
|
# 设置成交价
|
try:
|
current_price_process_manager.set_trade_price(code, datas[-1][1])
|
if limit_up_price > datas[-1][1]:
|
# 没有涨停
|
EveryLimitupBigDealOrderManager.open_limit_up(code)
|
except:
|
pass
|
|
total_datas = l2_data_util.local_today_datas.get(code)
|
use_time_list = []
|
try:
|
buyno_map = l2_data_util.local_today_buyno_map.get(code)
|
if buyno_map is None:
|
buyno_map = {}
|
|
order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
|
# 是否已经下单
|
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
|
|
_start_time = time.time()
|
L2LimitUpSellDataManager.set_deal_datas(code, datas)
|
# 大单统计
|
# cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
|
try:
|
cls.statistic_big_order_infos(code, datas, order_begin_pos)
|
except Exception as e:
|
hx_logger_l2_debug.error(f"统计大单出错：{str(e)}")
|
use_time_list.append(("统计买单数据", time.time() - _start_time))
|
_start_time = time.time()
|
|
big_sell_order_info = None
|
try:
|
# 统计上板时间
|
try:
|
for d in datas:
|
if d[6] > d[7]:
|
# 主动买
|
if d[1] == limit_up_price:
|
# 涨停
|
current_price_process_manager.set_latest_not_limit_up_time(code,
|
l2_huaxin_util.convert_time(
|
d[3], with_ms=True))
|
else:
|
# 主动卖（板上）
|
if d[1] == limit_up_price:
|
L2LimitUpSellDataManager.clear_data(code)
|
break
|
except:
|
pass
|
|
# 统计卖单
|
big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas, limit_up_price)
|
|
_start_time = time.time()
|
use_time_list.append(("处理卖单成交数据", _start_time - __start_time))
|
if is_placed_order:
|
|
need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,
|
big_sell_order_info,
|
order_begin_pos)
|
cancel_type = None
|
if need_cancel:
|
cancel_msg = f"S撤:{cancel_msg}"
|
cancel_type = trade_constant.CANCEL_TYPE_S
|
if not need_cancel:
|
need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
|
order_begin_pos)
|
cancel_type = trade_constant.CANCEL_TYPE_F
|
# 判断时间是否与本地时间相差5s以上
|
if tool.trade_time_sub(tool.get_now_time_str(), l2_huaxin_util.convert_time(datas[-1][3])) > 10:
|
now_seconds = int(tool.get_now_time_str().replace(":", ""))
|
if now_seconds < int("093200"): # or int("130000") <= now_seconds < int("130200"):
|
need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{l2_huaxin_util.convert_time(datas[-1][3])}"
|
cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY
|
if need_cancel:
|
L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
|
|
# GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
|
use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time))
|
_start_time = time.time()
|
# 统计涨停卖成交
|
HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas, limit_up_price)
|
use_time_list.append(("统计成交量数据", time.time() - _start_time))
|
except Exception as e:
|
async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}")
|
logger_debug.exception(e)
|
|
_start_time = time.time()
|
# if big_money_count > 0:
|
# LCancelRateManager.compute_big_num_deal_rate(code)
|
|
buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, datas)
|
|
if buy_progress_index is not None:
|
buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
|
total_datas)
|
async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code,
|
buy_progress_index)
|
if is_placed_order:
|
NewGCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
|
buy_progress_index)
|
LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
|
buy_progress_index,
|
total_datas)
|
cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
|
if cancel_result[0]:
|
L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}",
|
cancel_type=trade_constant.CANCEL_TYPE_F)
|
if not cancel_result[0]:
|
try:
|
cancel_result = NBCancelBigNumComputer().need_cancel(code, buy_progress_index)
|
if cancel_result[0]:
|
L2TradeDataProcessor.cancel_buy(code, f"大市值无大单撤:{cancel_result[1]}",
|
cancel_type=trade_constant.CANCEL_TYPE_NB)
|
except:
|
pass
|
|
if not cancel_result[0] and buy_progress_index_changed:
|
try:
|
cancel_result = FCancelBigNumComputer().need_cancel_for_w(code)
|
if cancel_result[0]:
|
L2TradeDataProcessor.cancel_buy(code, f"W撤:{cancel_result[1]}",
|
cancel_type=trade_constant.CANCEL_TYPE_W)
|
except:
|
pass
|
|
SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
|
buy_progress_index)
|
HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
|
buy_progress_index)
|
else:
|
pass
|
if is_placed_order:
|
# 触发L撤上重新计算
|
LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index)
|
use_time_list.append(("处理成交进度相关撤", time.time() - _start_time))
|
|
except Exception as e:
|
logging.exception(e)
|
hx_logger_l2_debug.exception(e)
|
finally:
|
use_time = int((time.time() - __start_time) * 1000)
|
if use_time > 5:
|
async_log_util.info(hx_logger_l2_upload,
|
f"{code}处理成交用时：{use_time} 数据数量：{len(datas)} 详情:{use_time_list}")
|
