"""
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L2成交数据处理器
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"""
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import json
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from db import redis_manager
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from db.redis_manager_delegate import RedisUtils
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from l2 import l2_log
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from l2.huaxin import l2_huaxin_util
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from l2.l2_data_util import local_today_sellno_map, local_today_datas
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from log_module import async_log_util
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from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
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from utils import tool
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# 成交数据统计
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class HuaXinBuyOrderManager:
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__db = 0
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__instance = None
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__redis_manager = redis_manager.RedisManager(0)
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# 正在成交的订单
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__dealing_order_info_dict = {}
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# 最近成交的订单{"code":(订单号，是否成交完成)}
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__latest_deal_order_info_dict = {}
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def __new__(cls, *args, **kwargs):
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if not cls.__instance:
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cls.__instance = super(HuaXinBuyOrderManager, cls).__new__(cls, *args, **kwargs)
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cls.__load_datas()
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return cls.__instance
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@classmethod
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def __get_redis(cls):
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return cls.__redis_manager.getRedis()
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@classmethod
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def __load_datas(cls):
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__redis = cls.__get_redis()
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try:
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keys = RedisUtils.keys(__redis, "dealing_order_info-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(__redis, k)
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val = json.loads(val)
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tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
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finally:
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RedisUtils.realse(__redis)
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# 将数据持久化到数据库
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def sync_dealing_data_to_db(self):
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for code in self.__dealing_order_info_dict:
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RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
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json.dumps(self.__dealing_order_info_dict[code]))
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# 获取代码正在成交的信息
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# 返回数据：[订单号，总股数，开始成交时间，结束成交时间, 总买]
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@classmethod
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def get_dealing_order_info(cls, code):
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return cls.__dealing_order_info_dict.get(code)
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# 统计成交的情况
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@classmethod
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def statistic_deal_desc(cls, code, data, total_buy_num):
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if code not in cls.__dealing_order_info_dict:
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# 数据格式[订单号，总股数，开始成交时间，结束成交时间, 总买]
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cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
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if cls.__dealing_order_info_dict[code][0] == data[6]:
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# 成交同一个订单号
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cls.__dealing_order_info_dict[code][1] += data[2]
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cls.__dealing_order_info_dict[code][3] = data[3]
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else:
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# 保存上一条数据
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async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
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# 设置最近成交完成的一条数据
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deal_info = (
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cls.__dealing_order_info_dict[code][0],
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cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1])
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cls.__latest_deal_order_info_dict[code] = deal_info
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# 初始化本条数据
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cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
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return deal_info
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return None
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# 卖单统计数据
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class HuaXinSellOrderStatisticManager:
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# 最近的大卖单成交，格式:{code:[卖单信息,...]}
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__latest_sell_order_info_list_dict = {}
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# 大单卖单号的集合，格式：{code:{卖单号}}
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__big_sell_order_ids_dict = {}
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# 大卖单的卖单号->卖单信息映射
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__big_sell_order_info_dict = {}
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# 大单列表
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__big_sell_order_info_list_dict = {}
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# 最近的卖单, 格式{code:[卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）]}
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__latest_sell_order_dict = {}
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# 最近所有的卖单
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__latest_all_sell_orders_dict = {}
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# 返回最近1s的大单卖：(总卖金额,[(卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）),...])
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@classmethod
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def add_transaction_datas(cls, code, datas, buy_exec_index=None):
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# 是否为主动卖
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def is_active_sell(sell_no):
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if buy_exec_index is not None:
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return sell_no > int(total_datas[buy_exec_index]["val"]["orderNo"])
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else:
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return f"{sell_no}" not in sell_no_map
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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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if code not in cls.__latest_sell_order_info_list_dict:
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cls.__latest_sell_order_info_list_dict[code] = []
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if code not in cls.__big_sell_order_ids_dict:
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cls.__big_sell_order_ids_dict[code] = set()
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if code not in cls.__big_sell_order_info_dict:
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cls.__big_sell_order_info_dict[code] = {}
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if code not in cls.__big_sell_order_info_list_dict:
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cls.__big_sell_order_info_list_dict[code] = []
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if code not in cls.__latest_all_sell_orders_dict:
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cls.__latest_all_sell_orders_dict[code] = []
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sell_no_map = local_today_sellno_map.get(code)
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total_datas = local_today_datas.get(code)
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if not sell_no_map:
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sell_no_map = {}
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for d in datas:
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cls.__latest_sell_order_info_list_dict[code].append(d)
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if code not in cls.__latest_sell_order_dict:
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cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
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else:
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if cls.__latest_sell_order_dict[code][0] == d[7]:
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cls.__latest_sell_order_dict[code][1] += d[2]
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cls.__latest_sell_order_dict[code][2] = d[1]
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cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
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else:
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info = cls.__latest_sell_order_dict[code]
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# 上个卖单成交完成
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# 封存数据，计算新起点
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# 大于50w的卖单才会保存
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# 大于50w加入卖单
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money = info[1] * info[2]
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if money >= 500000:
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if is_active_sell(info[0]):
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l2_log.info(code, hx_logger_l2_transaction_sell_order,
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f"{cls.__latest_sell_order_dict[code]}")
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cls.__big_sell_order_ids_dict[code].add(info[0])
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cls.__big_sell_order_info_dict[code][info[0]] = info
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cls.__big_sell_order_info_list_dict[code].append(info)
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# 只保留10w以上的单
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if money > 100000:
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cls.__latest_all_sell_orders_dict[code].append(info)
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cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
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latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
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min_time = tool.trade_time_add_millionsecond(latest_time, -1000)
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min_time_int = int(min_time.replace(":", "").replace(".", ""))
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# 计算最近1s的大单成交
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total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)
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total_sell_info = [0, None] # 总资金,开始成交信息,结束成交信息
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latest_sell_order_info = cls.__latest_sell_order_dict[code]
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big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
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# print("大卖单", big_sell_order_ids)
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big_sell_orders = []
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temp_sell_order_ids = set()
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# 统计已经结算出的大单
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for i in range(len(total_big_sell_datas) - 1, -1, -1):
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bd = total_big_sell_datas[i]
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if min_time_int > int(
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l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
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break
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if bd[0] != latest_sell_order_info[0]:
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# 不是最近的成交且不是大单直接过滤
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if bd[0] not in big_sell_order_ids:
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continue
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else:
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if bd[0] not in temp_sell_order_ids:
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big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
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temp_sell_order_ids.add(bd[0])
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else:
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# 是最近的但不是大单需要过滤
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if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
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continue
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else:
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if latest_sell_order_info[0] not in temp_sell_order_ids:
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big_sell_orders.append(latest_sell_order_info)
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temp_sell_order_ids.add(latest_sell_order_info[0])
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# 统计最近1s的大卖单数据
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total_sell_info[0] += int(bd[1] * bd[2])
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# 统计最近的大单
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if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
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if latest_sell_order_info[0] not in temp_sell_order_ids:
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if is_active_sell(latest_sell_order_info[0]):
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big_sell_orders.append(latest_sell_order_info)
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temp_sell_order_ids.add(latest_sell_order_info[0])
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total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2])
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big_sell_orders.reverse()
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total_sell_info[1] = big_sell_orders
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return total_sell_info
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# 获取最近成交数据
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@classmethod
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def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None):
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total_orders = []
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sell_orders = cls.__latest_all_sell_orders_dict.get(code)
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if sell_orders:
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for i in range(len(sell_orders) - 1, -1, -1):
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if min_deal_time and tool.trade_time_sub(min_deal_time,
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l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0:
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break
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if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
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continue
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total_orders.append(sell_orders[i])
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if code in cls.__latest_sell_order_dict:
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if min_sell_order_no:
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if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no:
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total_orders.append(cls.__latest_sell_order_dict[code])
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else:
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total_orders.append(cls.__latest_sell_order_dict[code])
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return total_orders
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