"""
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涨停卖数据管理
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"""
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from code_attribute import gpcode_manager
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from l2 import l2_log
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from l2.l2_data_util import L2DataUtil
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from log_module import async_log_util, log_export
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from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal, logger_debug
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from utils import tool
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class L2LimitUpSellDataManager:
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"""
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涨停卖数据管理：
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用来扫代码使用，当涨停卖有成交的时候就代表在吃最后一档
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此时统计涨停卖的金额作为快照
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当板上成交额大于涨停卖数据一定的比值就下单
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"""
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# 卖单集合
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__order_no_set_dict = {}
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# 订单号与数据的对照表：{code:{orderno:[order_no,price,volume]}}
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__order_no_data_map_dict = {}
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# 挂起的卖手数
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__delegating_sell_num_dict = {}
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@classmethod
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def add_l2_data(cls, code, add_datas):
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"""
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添加L2委托原始数据
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@param code: 代码
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@param add_datas: 新增的格式化数据
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@return:
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"""
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try:
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if code not in cls.__order_no_set_dict:
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cls.__order_no_set_dict[code] = set()
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if code not in cls.__order_no_data_map_dict:
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cls.__order_no_data_map_dict[code] = {}
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if code not in cls.__delegating_sell_num_dict:
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cls.__delegating_sell_num_dict[code] = 0
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limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
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for d in add_datas:
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val = d["val"]
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if L2DataUtil.is_limit_up_price_sell(val):
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# 卖
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order_no, price, volume = val["orderNo"], val["price"], val["num"] * 100
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cls.__order_no_data_map_dict[code][order_no] = (order_no, price, volume)
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cls.__order_no_set_dict[code].add(order_no)
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cls.__delegating_sell_num_dict[code] += volume
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async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
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f"{code}-卖-{(order_no, price, volume)}-{cls.__delegating_sell_num_dict[code]}")
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elif L2DataUtil.is_limit_up_price_sell_cancel(val):
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# 卖撤
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order_no, price, volume = val["orderNo"], val["price"], val["num"] * 100
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cls.__order_no_set_dict[code].discard(order_no)
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cls.__delegating_sell_num_dict[code] -= volume
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async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
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f"{code}-卖撤-{(order_no, price, volume)}-{cls.__delegating_sell_num_dict[code]}")
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except:
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pass
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@classmethod
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def get_delegating_sell_num(cls, code):
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"""
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获取处于委托状态的卖单总手数
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@param code:
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@return:
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"""
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return cls.__delegating_sell_num_dict.get(code)
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@classmethod
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def set_deal_datas(cls, code, fdatas):
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"""
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设置成交的卖单
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@param code:
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@param fdatas: 数据本身格式： (data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType'])
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[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
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@return: 是否触发计算
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"""
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try:
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order_no_set = cls.__order_no_set_dict.get(code)
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if order_no_set is None:
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order_no_set = set()
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# 统计涨停卖单的成交
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# 卖单成交字典
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__deal_order_volume_dict = {}
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for d in fdatas:
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# 是否有涨停主动买成交
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if not d[1] or not d[2]:
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continue
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if d[0][7] not in __deal_order_volume_dict:
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__deal_order_volume_dict[d[0][7]] = 0
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__deal_order_volume_dict[d[0][7]] += d[0][2]
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# 减去
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add_order_nos = order_no_set & __deal_order_volume_dict.keys()
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_total_deal_volume = sum([__deal_order_volume_dict[x] for x in add_order_nos])
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if code in cls.__delegating_sell_num_dict:
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cls.__delegating_sell_num_dict[code] -= _total_deal_volume
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if _total_deal_volume > 0:
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l2_log.info(code, hx_logger_l2_sell_deal,
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f"涨停主动买成交：{_total_deal_volume}")
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# 打印日志
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l2_log.info(code, hx_logger_l2_sell_deal,
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f"有涨停主动卖：{code}-{fdatas[-1][0][3]}-{cls.__delegating_sell_num_dict.get(code)}, 成交量-{_total_deal_volume}")
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except Exception as e:
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logger_debug.exception(e)
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@classmethod
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def clear_data(cls, code):
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"""
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清除数据：当出现主动卖的时候就可以清除数据
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@param code:
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@return:
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"""
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if cls.__order_no_set_dict.get(code):
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cls.__order_no_set_dict[code].clear()
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if cls.__order_no_data_map_dict.get(code):
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cls.__order_no_data_map_dict[code].clear()
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if cls.__delegating_sell_num_dict.get(code):
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cls.__delegating_sell_num_dict[code] = 0
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l2_log.info(code, hx_logger_l2_sell_delegate,
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f"出现主动卖清除数据：{code}")
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if __name__ == "__main__":
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# 测试涨停总卖吃掉的情况
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code = "002681"
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datas = log_export.load_huaxin_l2_sell_deal_list(code).get(code)
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print(datas)
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deal_datas = []
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deal_order_nos = set()
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for i in range(len(datas)):
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if 100100 <= int(datas[i][0].replace(":", "")) <= 100230:
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deal_datas.append(datas[i])
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for x in deal_datas:
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for xx in x[1]:
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deal_order_nos.add(xx[7])
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total_deal_volume = sum([sum([xx[2] for xx in x[1]]) for x in deal_datas])
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print("涨停卖成交量", total_deal_volume)
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datas = log_export.load_huaxin_l2_sell_delegate(code).get(code)
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fdatas = []
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for x in datas:
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# if int("101821") < int(x[0].replace(":", "")) < int("102841"):
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if 14578165 >= x[2][0] >= 14565438:
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fdatas.append(x)
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delegate_order_nos = set()
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total_delegate = 0
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for x in fdatas:
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if x[1] == '卖':
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total_delegate += x[2][2]
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delegate_order_nos.add(x[2][0])
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elif x[1] == '卖撤':
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total_delegate -= x[2][2]
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delegate_order_nos.discard(x[2][0])
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print(fdatas)
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for d in fdatas:
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print(d)
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print("总成交", total_deal_volume, total_deal_volume * 17.28)
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print("总委托", total_delegate, total_delegate * 17.28)
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print("委托剩余", total_delegate - total_deal_volume, (total_delegate - total_deal_volume) * 17.28)
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not_deal_order_nos = delegate_order_nos - deal_order_nos
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for x in not_deal_order_nos:
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print("未成交：", x)
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