# -*- 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 queue
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import threading
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import time
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from huaxin_client import socket_util
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from huaxin_client.client_network import SendResponseSkManager
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# 活动时间
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from huaxin_client.code_queue_distribute_manager import CodeQueueDistributeManager
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from log_module import 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_error, logger_system, logger_local_huaxin_l2_subscript
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from utils import tool
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import collections
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order_detail_upload_active_time_dict = {}
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transaction_upload_active_time_dict = {}
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# 临时数据
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tmep_order_detail_queue_dict = {}
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tmep_transaction_queue_dict = {}
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target_codes = set()
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target_codes_add_time = {}
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common_queue = queue.Queue()
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# L2上传数据管理器
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class L2DataUploadManager:
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def __init__(self, order_queue_distribute_manager: CodeQueueDistributeManager,
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transaction_queue_distribute_manager: CodeQueueDistributeManager,
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market_data_queue: multiprocessing.Queue):
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self.order_queue_distribute_manager = order_queue_distribute_manager
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self.transaction_queue_distribute_manager = transaction_queue_distribute_manager
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self.market_data_queue = market_data_queue
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self.temp_order_queue_dict = {}
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self.temp_transaction_queue_dict = {}
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self.filter_order_condition_dict = {}
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self.upload_l2_data_task_dict = {}
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self.l2_order_codes = set()
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self.l2_transaction_codes = set()
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# 设置订单过滤条件
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# special_price:过滤的1手的价格
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def set_order_fileter_condition(self, code, min_volume, limit_up_price, special_price, special_volumes=None,
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special_volumes_expire_time=None):
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if special_volumes is None:
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special_volumes = set()
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if code in self.filter_order_condition_dict and not special_volumes and not special_volumes_expire_time:
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self.filter_order_condition_dict[code][0] = (min_volume, limit_up_price, special_price)
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huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
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f"({code})常规过滤条件设置：{self.filter_order_condition_dict[code]}")
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else:
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self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, special_price), special_volumes,
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special_volumes_expire_time]
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huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
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f"({code})下单后过滤条件设置：{self.filter_order_condition_dict[code]}")
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# 过滤订单
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def __filter_order(self, item):
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filter_condition = self.filter_order_condition_dict.get(item[0])
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if filter_condition:
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# item[2]为量
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if item[2] >= filter_condition[0][0]:
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return item
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# 1手的买单满足价格
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if item[2] == 100 and item[3] == '1' and abs(filter_condition[0][2] - item[1]) < 0.001:
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return item
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if filter_condition[1] and item[2] in filter_condition[1]:
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if filter_condition[2] and time.time() > filter_condition[2]:
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# 超时了，需要清除特殊量数据
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filter_condition[1] = set()
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filter_condition[2] = None
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return None
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return item
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return None
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return item
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# 过滤订单
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def __filter_transaction(self, item):
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filter_condition = self.filter_order_condition_dict.get(item[0])
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if filter_condition:
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# item[2]为量
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if abs(item[1] - filter_condition[0][1]) < 0.201:
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return item
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return None
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return item
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# 添加委托详情
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def add_l2_order_detail(self, data, start_time=0, istransaction=False):
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code = data["SecurityID"]
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# 不直接加入
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# queue_info = self.order_queue_distribute_manager.get_distributed_queue(code)
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# if not queue_info:
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# return
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# queue_info[1].put_nowait(
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# (data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
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# data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
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q: collections.deque = self.temp_order_queue_dict.get(code)
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q.append((data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
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data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
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# 添加逐笔成交
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def add_transaction_detail(self, data):
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code = data["SecurityID"]
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# 不直接加入
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# queue_info = self.transaction_queue_distribute_manager.get_distributed_queue(code)
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# if not queue_info:
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# return
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# # 判断是否为大单成交
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# queue_info[1].put_nowait((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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q: collections.deque = self.temp_transaction_queue_dict.get(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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def add_market_data(self, data):
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# 加入上传队列
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self.market_data_queue.put_nowait(data)
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# 分配上传队列
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def distribute_upload_queue(self, code):
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if not self.order_queue_distribute_manager.get_distributed_queue(code):
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self.order_queue_distribute_manager.distribute_queue(code)
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if not self.transaction_queue_distribute_manager.get_distributed_queue(code):
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self.transaction_queue_distribute_manager.distribute_queue(code)
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if code not in self.temp_order_queue_dict:
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self.temp_order_queue_dict[code] = collections.deque()
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if code not in self.temp_transaction_queue_dict:
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self.temp_transaction_queue_dict[code] = collections.deque()
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if code not in self.upload_l2_data_task_dict:
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t1 = threading.Thread(target=lambda: self.__run_upload_order_task(code), daemon=True)
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t1.start()
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t2 = threading.Thread(target=lambda: self.__run_upload_transaction_task(code), daemon=True)
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t2.start()
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self.upload_l2_data_task_dict[code] = (t1, t2)
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# 释放已经分配的队列
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def release_distributed_upload_queue(self, code):
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self.order_queue_distribute_manager.release_distribute_queue(code)
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self.transaction_queue_distribute_manager.release_distribute_queue(code)
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if code in self.temp_order_queue_dict:
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self.temp_order_queue_dict[code].clear()
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self.temp_order_queue_dict.pop(code)
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if code in self.temp_transaction_queue_dict:
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self.temp_transaction_queue_dict[code].clear()
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self.temp_transaction_queue_dict.pop(code)
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if code in self.upload_l2_data_task_dict:
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self.upload_l2_data_task_dict.pop(code)
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def __upload_l2_data(self, code, _queue, datas):
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_queue.put_nowait((code, datas, time.time()))
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# 处理订单数据并上传
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def __run_upload_order_task(self, code):
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q: collections.deque = self.temp_order_queue_dict.get(code)
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temp_list = []
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queue_info = self.order_queue_distribute_manager.get_distributed_queue(code)
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upload_queue = queue_info[1]
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while True:
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try:
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while len(q) > 0:
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data = q.popleft()
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# 前置数据处理，过滤掉无用的数据
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data = self.__filter_order(data)
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if data:
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temp_list.append(data)
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if temp_list:
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# 上传数据
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self.__upload_l2_data(code, upload_queue, temp_list)
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temp_list = []
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else:
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if code not in self.temp_order_queue_dict:
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self.l2_order_codes.discard(code)
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break
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self.l2_order_codes.add(code)
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time.sleep(0.001)
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except Exception as e:
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logging.exception(e)
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finally:
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pass
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# 处理成交数据并上传
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def __run_upload_transaction_task(self, code):
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q: collections.deque = self.temp_transaction_queue_dict.get(code)
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queue_info = self.transaction_queue_distribute_manager.get_distributed_queue(code)
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upload_queue = queue_info[1]
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temp_list = []
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while True:
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try:
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while len(q) > 0:
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data = q.popleft()
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data = self.__filter_transaction(data)
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if data:
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temp_list.append(data)
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if temp_list:
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# 上传数据
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self.__upload_l2_data(code, upload_queue, temp_list)
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temp_list = []
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else:
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if code not in self.temp_transaction_queue_dict:
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self.l2_transaction_codes.discard(code)
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break
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self.l2_transaction_codes.add(code)
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time.sleep(0.002)
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except:
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pass
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finally:
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pass
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def add_target_code(code):
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target_codes.add(code)
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# 记录代码加入时间
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target_codes_add_time[code] = time.time()
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def del_target_code(code):
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target_codes.discard(code)
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if code in target_codes_add_time:
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target_codes_add_time.pop(code)
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def add_subscript_codes(codes):
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print("add_subscript_codes", codes)
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# 加入上传队列
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common_queue.put(('', "l2_subscript_codes", list(codes)))
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def __send_response(sk, msg):
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msg = socket_util.load_header(msg)
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sk.sendall(msg)
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result, header_str = socket_util.recv_data(sk)
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if result:
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result_json = json.loads(result)
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if result_json.get("code") == 0:
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return True
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return False
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# 发送消息
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def send_response(type, msg):
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try:
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sk = SendResponseSkManager.get_send_response_sk(type)
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if __send_response(sk, msg):
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return True
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else:
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# 再次发送
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print("再次发送")
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return __send_response(sk, msg)
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except ConnectionResetError as e:
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SendResponseSkManager.del_send_response_sk(type)
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sk = SendResponseSkManager.get_send_response_sk(type)
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return __send_response(sk, msg)
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except BrokenPipeError as e:
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SendResponseSkManager.del_send_response_sk(type)
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sk = SendResponseSkManager.get_send_response_sk(type)
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return __send_response(sk, msg)
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# 上传数据
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def upload_data(code, _type, datas, new_sk=False):
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key = f"{_type}_{code}"
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fdata = json.dumps(
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{"type": _type, "data": {"code": code, "data": datas, "time": round(time.time() * 1000)}})
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result = None
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try:
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if new_sk:
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sk = SendResponseSkManager.create_send_response_sk()
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result = __send_response(sk, fdata.encode('utf-8'))
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else:
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result = send_response(key, fdata.encode('utf-8'))
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except Exception as e:
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logging.exception(e)
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finally:
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pass
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def __run_upload_common():
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print("__run_upload_common")
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logger_system.info(f"l2_client __run_upload_common 线程ID:{tool.get_thread_id()}")
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while True:
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try:
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while not common_queue.empty():
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temp = common_queue.get()
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upload_data(temp[0], temp[1], temp[2])
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except Exception as e:
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logger_local_huaxin_l2_error.exception(e)
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logger_local_huaxin_l2_error.error(f"上传普通数据出错：{str(e)}")
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finally:
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time.sleep(0.01)
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def __run_log():
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print("__run_log")
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logger_system.info(f"l2_client __run_log 线程ID:{tool.get_thread_id()}")
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async_log_util.huaxin_l2_log.run_sync()
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# 采用socket传输数据
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def run_upload_common():
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t = threading.Thread(target=lambda: __run_upload_common(), daemon=True)
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t.start()
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def run_log():
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t = threading.Thread(target=lambda: __run_log(), daemon=True)
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t.start()
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def __test():
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# 分配数据
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pass
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def run_test():
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t = threading.Thread(target=lambda: __test(), daemon=True)
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t.start()
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def test():
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pass
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