# -*- 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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###A类###
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if constant.IS_A:
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Front_Address = "tcp://10.0.1.101:6900"
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Multicast_Address = "udp://224.224.22.3:8889"
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Multicast_Address2 = "udp://224.224.224.231:4889"
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Local_Interface_Address = "172.16.22.111"
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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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self.codes_volume_and_price_dict = {}
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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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self.__api.UnSubscribeMarketData(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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self.__api.UnSubscribeMarketData(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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result = self.__api.SubscribeMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"市场订阅结果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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result = self.__api.SubscribeMarketData(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"市场订阅结果sz：{result}")
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def __process_codes_data(self, codes_data, from_cache=False, delay=0.0):
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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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codes = set()
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for d in codes_data:
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code = d[0]
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codes.add(code)
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self.codes_volume_and_price_dict[code] = (d[1], d[2], d[3], d[4])
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self.l2_data_upload_manager.set_order_fileter_condition(code, d[1], round(float(d[2]), 2), d[3], d[4])
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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,最低手数,涨停价)]
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def set_codes_data(self, codes_data):
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try:
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self.__process_codes_data(codes_data)
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except Exception as 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_data)
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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 OnRspSubMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubMarketData")
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def OnRspSubIndex(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubIndex")
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def OnRspSubTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubTransaction")
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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 OnRspSubBondMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondMarketData")
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def OnRspSubBondTransaction(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondTransaction")
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def OnRspSubBondOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubBondOrderDetail")
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def OnRspSubXTSMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubXTSMarketData")
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def OnRspSubXTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubXTSTick")
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# 4.0.5版本接口
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def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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print("OnRspSubNGTSTick")
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def OnRtnMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
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FirstLevelSellOrderVolumes):
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# 传入：时间，现价,成交总量,买1，买2，买3,买4,买5,卖1,卖2,卖3,卖4,卖5
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try:
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d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
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"lastPrice": pDepthMarketData['LastPrice'],
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"totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
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"totalValueTrade": pDepthMarketData['TotalValueTrade'],
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"totalAskVolume": pDepthMarketData['TotalAskVolume'],
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"avgAskPrice": pDepthMarketData["AvgAskPrice"],
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"buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
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(pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
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(pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
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(pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
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(pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])],
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"sell": [
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(pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
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(pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
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(pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
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(pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
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(pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
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]}
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market_code_dict[pDepthMarketData['SecurityID']] = time.time()
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self.l2_data_upload_manager.add_market_data(d)
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except:
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pass
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def OnRtnIndex(self, pIndex):
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# 输出指数行情数据
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print(
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"OnRtnIndex SecurityID[%s] LastIndex[%.2f] LowIndex[%.2f] HighIndex[%.2f] TotalVolumeTraded[%d] Turnover[%.2f]" % (
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pIndex['SecurityID'],
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pIndex['LastIndex'],
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pIndex['LowIndex'],
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pIndex['HighIndex'],
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pIndex['TotalVolumeTraded'],
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pIndex['Turnover']))
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def OnRtnTransaction(self, pTransaction):
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code = str(pTransaction['SecurityID'])
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# min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
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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:
|
# 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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# if abs(pTransaction['TradePrice'] - limit_up_price) < 0.201:
|
# 涨停价
|
# 成交
|
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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# 暂时注释掉同1单号至多上传1次
|
# key = f"{item['SecurityID']}_{item['TradePrice']}_{item['BuyNo']}"
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# if self.__last_transaction_keys_dict.get(code) == key:
|
# return
|
# self.__last_transaction_keys_dict[code] = key
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# print("逐笔成交", item)
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self.l2_data_upload_manager.add_transaction_detail(item)
|
|
def OnRtnOrderDetail(self, pOrderDetail):
|
# can_listen = False
|
# code = str(pOrderDetail['SecurityID'])
|
# start_time = 0
|
# if code in self.special_code_volume_for_order_dict:
|
# start_time = time.time()
|
# if self.special_code_volume_for_order_dict[code][0] == pOrderDetail[
|
# 'Volume'] or constant.SHADOW_ORDER_VOLUME == pOrderDetail['Volume']:
|
# # 监控目标订单与影子订单
|
# if self.special_code_volume_for_order_dict[code][1] > time.time():
|
# # 特殊量监听
|
# can_listen = True
|
# else:
|
# self.special_code_volume_for_order_dict.pop(code)
|
# if not can_listen:
|
# min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
|
# if min_volume is None:
|
# # 默认筛选50w
|
# if pOrderDetail['Price'] * pOrderDetail['Volume'] < 500000:
|
# return
|
# elif pOrderDetail['Volume'] < min_volume:
|
# return
|
# 输出逐笔委托数据
|
# 上证OrderStatus=b"D"表示撤单
|
item = {"SecurityID": pOrderDetail['SecurityID'], "Price": pOrderDetail['Price'],
|
"Volume": pOrderDetail['Volume'],
|
"Side": pOrderDetail['Side'].decode(), "OrderType": pOrderDetail['OrderType'].decode(),
|
"OrderTime": pOrderDetail['OrderTime'], "MainSeq": pOrderDetail['MainSeq'],
|
"SubSeq": pOrderDetail['SubSeq'], "OrderNO": pOrderDetail['OrderNO'],
|
"OrderStatus": pOrderDetail['OrderStatus'].decode()}
|
self.l2_data_upload_manager.add_l2_order_detail(item, 0)
|
|
def OnRtnBondMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
|
FirstLevelSellOrderVolumes):
|
# 输出行情快照数据
|
print(
|
"OnRtnBondMarketData SecurityID[%s] LastPrice[%.2f] TotalVolumeTrade[%d] TotalValueTrade[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d]" % (
|
pDepthMarketData['SecurityID'],
|
pDepthMarketData['LastPrice'],
|
pDepthMarketData['TotalValueTrade'],
|
pDepthMarketData['TotalValueTrade'],
|
pDepthMarketData['BidPrice1'],
|
pDepthMarketData['BidVolume1'],
|
pDepthMarketData['AskPrice1'],
|
pDepthMarketData['AskVolume1']))
|
|
# 输出一档价位买队列前50笔委托数量
|
for buy_index in range(0, FirstLevelBuyNum):
|
print("first level buy [%d] : [%d]" % (buy_index, FirstLevelBuyOrderVolumes[buy_index]))
|
|
# 输出一档价位卖队列前50笔委托数量
|
for sell_index in range(0, FirstLevelSellNum):
|
print("first level sell [%d] : [%d]" % (sell_index, FirstLevelSellOrderVolumes[sell_index]))
|
|
def OnRtnBondTransaction(self, pTransaction):
|
# 输出逐笔成交数据
|
print(
|
"OnRtnBondTransaction SecurityID[%s] TradePrice[%.2f] TradeVolume[%d] TradeTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d] ExecType[%d]" % (
|
pTransaction['SecurityID'],
|
pTransaction['TradePrice'],
|
pTransaction['TradeVolume'],
|
pTransaction['TradeTime'],
|
pTransaction['MainSeq'],
|
pTransaction['SubSeq'],
|
pTransaction['BuyNo'],
|
pTransaction['SellNo'],
|
pTransaction['ExecType'],
|
))
|
|
def OnRtnBondOrderDetail(self, pOrderDetail):
|
# 输出逐笔委托数据
|
print(
|
"OnRtnBondOrderDetail SecurityID[%s] Price[%.2f] Volume[%d] Side[%s] OrderType[%s] OrderTime[%d] MainSeq[%d] SubSeq[%d]" % (
|
pOrderDetail['SecurityID'],
|
pOrderDetail['Price'],
|
pOrderDetail['Volume'],
|
pOrderDetail['Side'],
|
pOrderDetail['OrderType'],
|
pOrderDetail['OrderTime'],
|
pOrderDetail['MainSeq'],
|
pOrderDetail['SubSeq']))
|
|
def OnRtnXTSMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
|
FirstLevelSellOrderVolumes):
|
# 输出行情快照数据
|
print(
|
"OnRtnXTSMarketData SecurityID[%s] LastPrice[%.2f] TotalVolumeTrade[%d] TotalValueTrade[%.2f] BidPrice1[%.2f] BidVolume1[%d] AskPrice1[%.2f] AskVolume1[%d]" % (
|
pDepthMarketData['SecurityID'],
|
pDepthMarketData['LastPrice'],
|
pDepthMarketData['TotalValueTrade'],
|
pDepthMarketData['TotalValueTrade'],
|
pDepthMarketData['BidPrice1'],
|
pDepthMarketData['BidVolume1'],
|
pDepthMarketData['AskPrice1'],
|
pDepthMarketData['AskVolume1']))
|
|
# 输出一档价位买队列前50笔委托数量
|
for buy_index in range(0, FirstLevelBuyNum):
|
print("first level buy [%d] : [%d]" % (buy_index, FirstLevelBuyOrderVolumes[buy_index]))
|
|
# 输出一档价位卖队列前50笔委托数量
|
for sell_index in range(0, FirstLevelSellNum):
|
print("first level sell [%d] : [%d]" % (sell_index, FirstLevelSellOrderVolumes[sell_index]))
|
|
def OnRtnXTSTick(self, pTick):
|
# 输出上海债券逐笔数据’
|
print(
|
"OnXTSTick TickType[%s] SecurityID[%s] Price[%.2f] Volume[%d] TickTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
|
pTick['TickType'],
|
pTick['SecurityID'],
|
pTick['Price'],
|
pTick['Volume'],
|
pTick['TickTime'],
|
pTick['MainSeq'],
|
pTick['SubSeq'],
|
pTick['BuyNo'],
|
pTick['SellNo']))
|
|
def OnRtnNGTSTick(self, pTick):
|
# 输出上海股基逐笔数据’
|
print(
|
"OnRtnNGTSTick TickType[%s] SecurityID[%s] Price[%.2f] Volume[%d] TickTime[%d] MainSeq[%d] SubSeq[%d] BuyNo[%d] SellNo[%d]" % (
|
pTick['TickType'],
|
pTick['SecurityID'],
|
pTick['Price'],
|
pTick['Volume'],
|
pTick['TickTime'],
|
pTick['MainSeq'],
|
pTick['SubSeq'],
|
pTick['BuyNo'],
|
pTick['SellNo']))
|
|
|
class MyL2ActionCallback(L2ActionCallback):
|
|
def OnSetL2Position(self, codes_data):
|
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_data))
|
try:
|
spi.set_codes_data(codes_data)
|
except Exception as e:
|
logging.exception(e)
|
|
|
def __init_l2(l2_data_upload_manager):
|
print(lev2mdapi.CTORATstpLev2MdApi_GetApiVersion())
|
# case 1: Tcp方式
|
# g_SubMode=lev2mdapi.TORA_TSTP_MST_TCP
|
# case 2: 组播方式
|
g_SubMode = lev2mdapi.TORA_TSTP_MST_MCAST
|
|
# case 1缓存模式
|
api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, True)
|
# case 2非缓存模式
|
# api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, False)
|
global spi
|
spi = Lev2MdSpi(api, l2_data_upload_manager)
|
api.RegisterSpi(spi)
|
# -------------------正式模式-------------------------------------
|
if g_SubMode != lev2mdapi.TORA_TSTP_MST_MCAST:
|
api.RegisterFront(Front_Address)
|
else:
|
# case 1 从一个组播地址收取行情
|
api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "")
|
# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "")
|
|
# case 2:注册多个组播地址同时收行情
|
# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "");
|
# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "");
|
|
# case 3:efvi模式收行情
|
# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "", "enp101s0f0",4096, True);
|
|
# case 1 不绑核运行
|
api.Init()
|
|
|
__l2_cmd_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=3)
|
|
|
def __receive_from_queue_trade(queue_trade_w_l2_r: multiprocessing.Queue):
|
logger_system.info(f"l2_client __receive_from_pipe_trade 线程ID:{tool.get_thread_id()}")
|
while True:
|
try:
|
value = queue_trade_w_l2_r.get()
|
if value:
|
if type(value) == bytes:
|
value = value.decode("utf-8")
|
data = json.loads(value)
|
_type = data["type"]
|
if _type == "l2_cmd":
|
__start_time = time.time()
|
# 线程池
|
__l2_cmd_thread_pool.submit(
|
lambda: l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data))
|
use_time = time.time() - __start_time
|
if use_time > 0.005:
|
huaxin_l2_log.info(logger_local_huaxin_l2_subscript, f"l2_cmd耗时：{use_time}s")
|
|
except Exception as e:
|
logging.exception(e)
|
|
|
pipe_strategy = None
|
|
|
def test_add_codes(queue_r):
|
time.sleep(10)
|
# if value:
|
# if type(value) == bytes:
|
# value = value.decode("utf-8")
|
# data = json.loads(value)
|
# _type = data["type"]
|
# if _type == "listen_volume":
|
# volume = data["data"]["volume"]
|
# code = data["data"]["code"]
|
# spi.set_code_special_watch_volume(code, volume)
|
# elif _type == "l2_cmd":
|
# l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data)
|
|
demo_datas = [("603002", int(50 * 10000 / 6.35), 6.35, 6.00, 200),
|
("002654", int(50 * 10000 / 15.59), 15.59, 15.3, 200),
|
("603701", int(50 * 10000 / 14.28), 14.28, 14.00, 200),
|
("002908", int(50 * 10000 / 12.78), 12.78, 12.00, 200)]
|
|
queue_r.put_nowait(json.dumps({"type": "l2_cmd", "data": [demo_datas[0]]}))
|
time.sleep(10)
|
while True:
|
try:
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 275000, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739147, 'OrderNO': 5512466, 'OrderStatus': 'D'}, 0)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 200, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
# queue_r.put_nowait(json.dumps({"type": "listen_volume", "data": {"code": "603002", "volume": 100}}))
|
time.sleep(0.1)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 100, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
except Exception as e:
|
logging.exception(e)
|
finally:
|
time.sleep(10)
|
|
|
def run(queue_r: multiprocessing.Queue, data_callbacks: list) -> None:
|
logger_system.info("L2进程ID：{}", os.getpid())
|
logger_system.info(f"l2_client 线程ID:{tool.get_thread_id()}")
|
try:
|
log.close_print()
|
if queue_r is not None:
|
t1 = threading.Thread(target=lambda: __receive_from_queue_trade(queue_r), daemon=True)
|
t1.start()
|
|
# 初始化
|
data_callback_distribute_manager = CodeDataCallbackDistributeManager(data_callbacks)
|
l2_data_upload_manager = L2DataUploadManager(data_callback_distribute_manager)
|
__init_l2(l2_data_upload_manager)
|
l2_data_manager.run_upload_common()
|
l2_data_manager.run_log()
|
# TODO 测试
|
# threading.Thread(target=lambda: test_add_codes(queue_r), daemon=True).start()
|
global l2CommandManager
|
l2CommandManager = command_manager.L2CommandManager()
|
l2CommandManager.init(MyL2ActionCallback())
|
logger_system.info("L2订阅服务启动成功")
|
except Exception as e:
|
logger_system.exception(e)
|
while True:
|
time.sleep(2)
|
|
|
def test():
|
def test_add_codes():
|
time.sleep(5)
|
# if value:
|
# if type(value) == bytes:
|
# value = value.decode("utf-8")
|
# data = json.loads(value)
|
# _type = data["type"]
|
# if _type == "listen_volume":
|
# volume = data["data"]["volume"]
|
# code = data["data"]["code"]
|
# spi.set_code_special_watch_volume(code, volume)
|
# elif _type == "l2_cmd":
|
# l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data)
|
|
demo_datas = [("603002", int(50 * 10000 / 6.35), 6.35), ("002654", int(50 * 10000 / 15.59), 15.59),
|
("603701", int(50 * 10000 / 14.28), 14.28), ("002908", int(50 * 10000 / 12.78), 12.78)]
|
|
queue_r.put_nowait(json.dumps({"type": "l2_cmd", "data": [demo_datas[0]]}))
|
time.sleep(1)
|
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 275000, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739147, 'OrderNO': 5512466, 'OrderStatus': 'D'}, 0)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 200, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
queue_r.put_nowait(json.dumps({"type": "listen_volume", "data": {"code": "603002", "volume": 100}}))
|
time.sleep(0.1)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 100, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
|
queue_r = multiprocessing.Queue()
|
order_queues = []
|
transaction_queues = []
|
market_queue = multiprocessing.Queue()
|
for i in range(20):
|
order_queues.append(multiprocessing.Queue())
|
transaction_queues.append(multiprocessing.Queue())
|
threading.Thread(target=test_add_codes).start()
|
|
run(queue_r, order_queues, transaction_queues, market_queue)
|
|
|
if __name__ == "__main__":
|
input()
|
