import json
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import time
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# 交易撤销数据管理器
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import l2_data_util
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import redis_manager
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import tool
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from log import logger_trade
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class TradeCancelDataManager:
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capture_time_dict = {}
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# 保存截图时间
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@classmethod
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def save_l2_capture_time(cls, client_id, pos, code, capture_time):
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cls.capture_time_dict["{}-{}-{}".format(client_id, pos, code)] = {"create_time": round(time.time() * 1000),
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"capture_time": capture_time}
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# 获取最近一次的截图时间
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@classmethod
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def get_latest_l2_capture_time(cls, client_id, pos, code):
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val = cls.capture_time_dict.get("{}-{}-{}".format(client_id, pos, code))
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if val is None:
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return -1
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# 间隔时间不能大于1s
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if round(time.time() * 1000) - val["create_time"] > 1000:
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return -1
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return val["capture_time"]
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# 获取l2数据的增长速度
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@classmethod
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def get_l2_data_grow_speed(cls, client_id, pos, code, add_datas, capture_time):
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count = 0
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for data in add_datas:
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count += data["re"]
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lastest_capture_time = cls.get_latest_l2_capture_time(client_id, pos, code)
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if lastest_capture_time < 0:
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raise Exception("获取上次l2数据截图时间出错")
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return count / (capture_time - lastest_capture_time)
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# 获取买入确认点的位置
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@classmethod
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def get_buy_sure_position(cls, index, speed, trade_time):
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return index + round(speed * trade_time)
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class TradeBuyDataManager:
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redisManager = redis_manager.RedisManager(0)
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buy_sure_position_dict = {}
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# 设置买入点的信息
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# trade_time: 买入点截图时间与下单提交时间差值
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# capture_time: 买入点截图时间
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# last_data: 买入点最后一条数据
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@classmethod
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def set_buy_position_info(cls, code, capture_time, trade_time, last_data, last_data_index):
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redis = cls.redisManager.getRedis()
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redis.setex("buy_position_info-{}".format(code), tool.get_expire(),
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json.dumps((capture_time, trade_time, last_data, last_data_index)))
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# 获取买入点信息
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@classmethod
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def get_buy_position_info(cls, code):
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redis = cls.redisManager.getRedis()
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val_str = redis.get("buy_position_info-{}".format(code))
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if val_str is None:
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return None, None, None,None
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else:
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val = json.loads(val_str)
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return val[0], val[1], val[2], val[3]
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# 删除买入点信息
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@classmethod
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def remove_buy_position_info(cls, code):
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redis = cls.redisManager.getRedis()
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redis.delete("buy_position_info-{}".format(code))
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# 设置买入确认点信息
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@classmethod
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def __set_buy_sure_position(cls, code, index, data):
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logger_trade.debug("买入确认点信息： code:{} index:{} data:{}", code, index, data)
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redis = cls.redisManager.getRedis()
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key = "buy_sure_position-{}".format(code)
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redis.setex(key, tool.get_expire(), json.dumps((index, data)))
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cls.buy_sure_position_dict[code] = (index, data)
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# 移除下单信号的详细信息
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cls.remove_buy_position_info(code)
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# 清除买入确认点信息
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@classmethod
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def __clear_buy_sure_position(cls, code):
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redis = cls.redisManager.getRedis()
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key = "buy_sure_position-{}".format(code)
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redis.delete(key)
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if code in cls.buy_sure_position_dict:
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cls.buy_sure_position_dict.pop(code)
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# 获取买入确认点信息
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@classmethod
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def get_buy_sure_position(cls, code):
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temp = cls.buy_sure_position_dict.get(code)
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if temp is not None:
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return temp[0], temp[1]
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redis = cls.redisManager.getRedis()
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key = "buy_sure_position-{}".format(code)
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val = redis.get(key)
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if val is None:
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return None, None
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else:
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val = json.loads(val)
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cls.buy_sure_position_dict[code] = (val[0], val[1])
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return val[0], val[1]
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# 处理买入确认点信息
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@classmethod
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def process_buy_sure_position_info(cls, code, capture_time, l2_today_datas, l2_latest_data, l2_add_datas):
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buy_capture_time, trade_time, l2_data, l2_data_index = cls.get_buy_position_info(code)
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if buy_capture_time is None:
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# 没有购买者信息
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return None
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if capture_time - buy_capture_time < trade_time:
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# 时间未等待足够
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return None
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# 时间差是否相差2s及以上
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old_time = l2_data["val"]["time"]
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new_time = l2_latest_data["val"]["time"]
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old_time_int = l2_data_util.get_time_as_seconds(old_time)
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new_time_int = l2_data_util.get_time_as_seconds(new_time)
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if new_time_int - old_time_int >= 2:
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# 间隔2s及其以上表示数据异常
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# 间隔2s以上的就以下单时间下一秒末尾作为确认点
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start_index = l2_data_index
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if len(l2_today_datas)-1 > start_index:
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for i in range(start_index + 1, len(l2_today_datas)):
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_time = l2_today_datas[i]["val"]["time"]
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if l2_data_util.get_time_as_seconds(_time) - old_time_int >= 2:
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index = i - 1
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data = l2_today_datas[index]
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cls.__set_buy_sure_position(code, index, data)
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break
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else:
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cls.__set_buy_sure_position(code, l2_data_index, l2_data)
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elif new_time_int - old_time_int >= 0:
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# 间隔2s内表示数据正常,将其位置设置为新增数据的中间位置
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index = len(l2_today_datas)-1 - (len(l2_add_datas)) // 2
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data = l2_today_datas[index]
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cls.__set_buy_sure_position(code, index, data)
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else:
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# 间隔时间小于0 ，一般产生原因是数据回溯产生，故不做处理
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logger_trade.warning("预估委托位置错误：数据间隔时间小于0 code-{}", code)
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pass
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if __name__ == "__main__":
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TradeBuyDataManager.set_buy_capture_time("123456", 178938828, 1232)
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print(TradeBuyDataManager.get_buy_capture_time("123456"))
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