"""
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L2成交数据处理器
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"""
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import time
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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
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from l2.cancel_buy_strategy import LCancelRateManager, DCancelBigNumComputer, LCancelBigNumComputer, \
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SecondCancelBigNumComputer
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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 log_module import async_log_util
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from log_module.log import hx_logger_l2_transaction, logger_l2_trade_buy_queue, hx_logger_l2_upload
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from trade import current_price_process_manager, trade_manager, l2_trade_factor
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from trade.deal_big_money_manager import DealOrderNoManager
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from trade.l2_trade_factor import L2PlaceOrderParamsManager
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class HuaXinTransactionDatasProcessor:
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__TradeBuyQueue = transaction_progress.TradeBuyQueue()
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@classmethod
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def process_huaxin_transaction_datas(cls, code, datas):
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# 设置成交价
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current_price_process_manager.set_trade_price(code, datas[-1][1])
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total_datas = l2_data_util.local_today_datas.get(code)
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__start_time = time.time()
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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 not buyno_map:
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if trade_manager.CodesTradeStateManager().get_trade_state(
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code) != trade_manager.TRADE_STATE_NOT_TRADE:
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l2_data_util.load_l2_data(code)
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buyno_map = l2_data_util.local_today_buyno_map.get(code)
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# async_log_util.debug(hx_logger_l2_transaction,
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# f"{code}的买入订单号数量:{len(buyno_map.keys()) if buyno_map else 0}")
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if buyno_map is None:
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buyno_map = {}
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buy_progress_index = None
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for i in range(len(datas) - 1, -1, -1):
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d = datas[i]
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buy_no = f"{d[6]}"
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if buyno_map and buy_no in buyno_map:
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async_log_util.info(hx_logger_l2_transaction, f"{code}成交进度：{buyno_map[buy_no]['index']}")
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buy_progress_index = buyno_map[buy_no]["index"]
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break
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# ------统计保存成交大单订单号------
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origin_ordernos = set()
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for d in datas:
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buy_no = f"{d[6]}"
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origin_ordernos.add(buy_no)
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# ---------------------处理成交大单----------------------
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big_money_count = 0
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for buy_no in origin_ordernos:
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# 查询是否为大单
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if buy_no in buyno_map:
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data = buyno_map[buy_no]
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val = data["val"]
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if not L2DataUtil.is_limit_up_price_buy(val):
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continue
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if l2_data_util.is_big_money(val):
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# 涨停买的大单
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big_money_count += 1
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DealOrderNoManager().add_orderno(code, buy_no)
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if big_money_count > 0:
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# 统计大单/m值成交比
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total_deal_nums = DealOrderNoManager().get_deal_nums(code, buyno_map)
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thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
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limit_up_price = gpcode_manager.get_limit_up_price(code)
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if limit_up_price:
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rate = round(total_deal_nums / (thresh_hold_money // (float(limit_up_price) * 100)), 2)
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LCancelRateManager().set_big_num_deal_rate(code, rate)
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if buy_progress_index is not None:
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# 获取执行位时间
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buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(
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code)
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cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index)
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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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limit_up_price = gpcode_manager.get_limit_up_price(code)
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if buy_exec_index and buy_exec_index > -1:
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m_base_val = L2PlaceOrderParamsManager.get_base_m_val(code)
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need_cancel, msg = DCancelBigNumComputer().set_trade_progress(code,
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buy_progress_index,
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buy_exec_index,
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total_datas,
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m_base_val,
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limit_up_price)
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if need_cancel:
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L2TradeDataProcessor.cancel_buy(code, f"D撤:{msg}", source="d_cancel")
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LCancelBigNumComputer().set_trade_progress(code, buy_progress_index, total_datas)
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SecondCancelBigNumComputer().set_transaction_index(
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code,
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buy_progress_index)
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else:
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pass
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except Exception as e:
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hx_logger_l2_transaction.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 > 10:
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async_log_util.info(hx_logger_l2_upload, f"{code}处理成交用时：{use_time}")
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