# -*- coding: utf-8 -*-
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import json
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import logging
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import queue
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import random
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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 log_module.log import logger_local_huaxin_l2_error
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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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common_queue = queue.Queue()
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trading_canceled_queue = queue.Queue()
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# 买入订单号的字典
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buy_order_nos_dict = {}
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# 最近的大单成交单号
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latest_big_order_transaction_order_dict = {}
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# 获取最近的大单成交订单号
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def get_latest_transaction_order_no(code):
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return latest_big_order_transaction_order_dict.get(code)
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# 正在成交的订单撤单了
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def trading_order_canceled(code_, order_no):
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trading_canceled_queue.put((code_, order_no))
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# 添加委托详情
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def add_l2_order_detail(data, istransaction=False):
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code = data["SecurityID"]
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if code not in tmep_order_detail_queue_dict:
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tmep_order_detail_queue_dict[code] = queue.Queue()
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if istransaction:
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pass
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else:
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pass
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# 原来的格式
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# {"SecurityID": pOrderDetail['SecurityID'], "Price": pOrderDetail['Price'],
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# "Volume": pOrderDetail['Volume'],
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# "Side": pOrderDetail['Side'].decode(), "OrderType": pOrderDetail['OrderType'].decode(),
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# "OrderTime": pOrderDetail['OrderTime'], "MainSeq": pOrderDetail['MainSeq'],
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# "SubSeq": pOrderDetail['SubSeq'], "OrderNO": pOrderDetail['OrderNO'],
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# "OrderStatus": pOrderDetail['OrderStatus'].decode()}
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if data['Side'] == "1":
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# 记录所有买入的订单号
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if data['SecurityID'] not in buy_order_nos_dict:
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buy_order_nos_dict[data['SecurityID']] = set()
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buy_order_nos_dict[data['SecurityID']].add(data['OrderNO'])
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tmep_order_detail_queue_dict[code].put(
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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'], int(time.time()*1000)))
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# 添加逐笔成交
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def add_transaction_detail(data):
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code = data["SecurityID"]
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if code not in tmep_transaction_queue_dict:
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tmep_transaction_queue_dict[code] = queue.Queue()
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# 原来的格式
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# 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'], "SellNo": pTransaction['SellNo'],
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# "ExecType": pTransaction['ExecType'].decode()}
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# 判断是否为大单成交
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code = data['SecurityID']
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if code in buy_order_nos_dict:
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if data['BuyNo'] in buy_order_nos_dict[code]:
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latest_big_order_transaction_order_dict[code] = data['BuyNo']
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tmep_transaction_queue_dict[code].put((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(data):
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code = data['securityID']
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# 加入上传队列
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common_queue.put((code, "l2_market_data", data))
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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):
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uid = random.randint(0, 100000)
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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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# print("数据长度：", len(datas), len(fdata), f"{fdata[:20]}...{fdata[-20:]}", )
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# print("请求开始", uid, len(datas), len(fdata), f"{fdata[:20]}...{fdata[-20:]}")
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result = None
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start_time = time.time()
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# logger_local_huaxin_l2_upload.info(f"{code} 上传数据开始-{_type}")
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try:
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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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# print("请求结束", uid, result)
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# logger_local_huaxin_l2_upload.info(
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# f"{code} 上传数据耗时-{_type}： {round((time.time() - start_time) * 1000, 1)} 数据量:{len(datas)}")
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# print("上传结果", result)
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# 循环读取上传数据
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def __run_upload_order(code):
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if code not in tmep_order_detail_queue_dict:
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tmep_order_detail_queue_dict[code] = queue.Queue()
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while True:
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# print("order task")
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try:
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if code not in target_codes:
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break
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order_detail_upload_active_time_dict[code] = time.time()
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udatas = []
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while not tmep_order_detail_queue_dict[code].empty():
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temp = tmep_order_detail_queue_dict[code].get()
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udatas.append(temp)
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if udatas:
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upload_data(code, "l2_order", udatas)
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time.sleep(0.01)
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except Exception as e:
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logger_local_huaxin_l2_error.error(f"上传订单数据出错：{str(e)}")
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pass
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def __run_upload_trans(code):
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if code not in tmep_transaction_queue_dict:
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tmep_transaction_queue_dict[code] = queue.Queue()
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while True:
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# print("trans task")
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try:
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if code not in target_codes:
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break
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transaction_upload_active_time_dict[code] = time.time()
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udatas = []
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while not tmep_transaction_queue_dict[code].empty():
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temp = tmep_transaction_queue_dict[code].get()
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udatas.append(temp)
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if udatas:
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upload_data(code, "l2_trans", udatas)
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time.sleep(0.01)
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except Exception as e:
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logger_local_huaxin_l2_error.error(f"上传成交数据出错：{str(e)}")
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def __run_upload_common():
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print("__run_upload_common")
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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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time.sleep(0.01)
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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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def __run_upload_trading_canceled():
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print("__run_upload_trading_canceled")
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while True:
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try:
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temp = trading_canceled_queue.get()
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upload_data(temp[0], "trading_order_canceled", temp[1])
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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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# 运行上传任务
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def run_upload_task(code):
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# 如果代码没有在目标代码中就不需要运行
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if code not in target_codes:
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return
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# 如果最近的活动时间小于2s就不需要运行
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if code not in order_detail_upload_active_time_dict or time.time() - order_detail_upload_active_time_dict[code] > 2:
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t = threading.Thread(target=lambda: __run_upload_order(code), daemon=True)
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t.start()
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if code not in transaction_upload_active_time_dict or time.time() - transaction_upload_active_time_dict[code] > 2:
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t = threading.Thread(target=lambda: __run_upload_trans(code), daemon=True)
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t.start()
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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_upload_trading_canceled():
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t = threading.Thread(target=lambda: __run_upload_trading_canceled(), daemon=True)
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t.start()
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if __name__ == "__main__":
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code = "603809"
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target_codes.add(code)
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run_upload_task(code)
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while True:
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for i in range(0, 5):
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add_l2_order_detail({"SecurityID": code, "Price": 11.28, "Volume": 500, "Side": "2", "OrderType": "\u0000",
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"OrderTime": 14591555, "MainSeq": 1, "SubSeq": 11050942, "OrderNO": 10692868,
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"OrderStatus": "A"}, False)
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time.sleep(0.001)
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