"""
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L2数据溯源
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"""
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import constant
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from log_module.log import logger_l2_error
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from utils import tool
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class L2DataSourceUtils(object):
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__cancel_and_buy_map = {}
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__buy_and_cancel_map = {}
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@classmethod
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def __save_map(cls, code, buy_index, cancel_index):
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if cls.__cancel_and_buy_map.get(code) is None:
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cls.__cancel_and_buy_map[code] = {}
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cls.__cancel_and_buy_map[code][cancel_index] = buy_index
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if cls.__buy_and_cancel_map.get(code) is None:
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cls.__buy_and_cancel_map[code] = {}
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cls.__buy_and_cancel_map[code][buy_index] = cancel_index
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@classmethod
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def __get_cancel_index_cache(cls, code, buy_index):
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if code not in cls.__buy_and_cancel_map:
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return None
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return cls.__buy_and_cancel_map[code].get(buy_index)
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@classmethod
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def __get_buy_index_cache(cls, code, cancel_index):
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if code not in cls.__cancel_and_buy_map:
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return None
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return cls.__cancel_and_buy_map[code].get(cancel_index)
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@classmethod
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def __compare_time(cls, time1, time2):
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result = int(time1.replace(":", "", 2)) - int(time2.replace(":", "", 2))
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return result
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# 计算时间的区间
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@classmethod
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def __compute_time_space_as_second(cls, cancel_time, cancel_time_unit):
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__time = int(cancel_time)
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if int(cancel_time) == 0:
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return 0, 0
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unit = int(cancel_time_unit)
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if unit == 0:
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# 秒
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return __time, (__time + 1)
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elif unit == 1:
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# 分钟
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return __time * 60, (__time + 1) * 60
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elif unit == 2:
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# 小时
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return __time * 3600, (__time + 1) * 3600
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# 华鑫渠道的L2，根据买撤数据查找买入数据
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@classmethod
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def __get_buy_index_with_cancel_data_by_huaxin_l2(cls, code, cancel_data, local_today_num_operate_map):
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buy_datas = local_today_num_operate_map.get(
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"{}-{}-{}".format(cancel_data["val"]["num"], "0", cancel_data["val"]["price"]))
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if buy_datas is None:
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# 无数据
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return None
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# orderNo
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for bd in buy_datas:
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# 根据订单号做匹配
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if bd["val"]["orderNo"] == cancel_data["val"]["orderNo"]:
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return bd["index"]
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return None
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# 同花顺渠道的L2，根据买撤数据查找买入数据
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@classmethod
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def __get_buy_index_with_cancel_data_by_ths_l2(cls, code, cancel_data, local_today_num_operate_map):
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buy_datas = local_today_num_operate_map.get(
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"{}-{}-{}".format(cancel_data["val"]["num"], "0", cancel_data["val"]["price"]))
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if buy_datas is None:
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# 无数据
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return None
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min_space, max_space = cls.__compute_time_space_as_second(cancel_data["val"]["cancelTime"],
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cancel_data["val"]["cancelTimeUnit"])
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max_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - min_space)
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min_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - max_space)
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# 匹配到的index
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suit_indexes = []
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for i in range(0, len(buy_datas)):
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data = buy_datas[i]
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if int(data["val"]["operateType"]) != 0:
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continue
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if int(data["val"]["num"]) != int(cancel_data["val"]["num"]):
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continue
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# 如果能找到对应的买撤就需要返回
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cancel_index = cls.__get_cancel_index_cache(code, data["index"])
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if cancel_index is not None and cancel_index != cancel_data["index"]:
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continue
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if min_space == 0 and max_space == 0:
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if cls.__compare_time(data["val"]["time"], min_time) == 0:
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suit_indexes.append(data["index"])
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elif cls.__compare_time(data["val"]["time"], min_time) > 0 and cls.__compare_time(data["val"]["time"],
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max_time) <= 0:
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suit_indexes.append(data["index"])
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if len(suit_indexes) >= 2:
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# 多个匹配项，优先溯源离取消位置最近的数据
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suit_indexes.sort(key=lambda t: cancel_data["index"] - t)
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if len(suit_indexes) >= 1:
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cls.__save_map(code, suit_indexes[0], cancel_data["index"])
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return suit_indexes[0]
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return None
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@classmethod
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def __get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
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buy_index = cls.__get_buy_index_cache(code, cancel_data["index"])
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if buy_index is not None:
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return buy_index
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if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
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return cls.__get_buy_index_with_cancel_data_by_huaxin_l2(code, cancel_data, local_today_num_operate_map)
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else:
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return cls.__get_buy_index_with_cancel_data_by_ths_l2(code, cancel_data, local_today_num_operate_map)
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# 根据买撤数据(与今日总的数据)计算买入数据
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@classmethod
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def get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
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key = "{}-{}-{}".format(cancel_data["val"]["num"], "1", cancel_data["val"]["price"])
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cancel_datas = local_today_num_operate_map.get(key)
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if cancel_datas:
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try:
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cancel_datas.sort(key=lambda t: t["index"])
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except Exception as e:
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# print("测试")
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pass
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for item in cancel_datas:
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# 提前做计算
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cls.__get_buy_index_with_cancel_data(code, item, local_today_num_operate_map)
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return cls.__get_buy_index_with_cancel_data(code, cancel_data, local_today_num_operate_map)
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# 根据买撤数据计算买入数据（华鑫原生L2数据适用）
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@classmethod
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def get_buy_index_with_cancel_data_v2(cls, cancel_data, buyno_map):
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order_no = str(cancel_data["val"]["orderNo"])
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buy_data = buyno_map.get(order_no)
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if buy_data:
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return buy_data["index"]
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return None
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# 获取没撤的笔数
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@classmethod
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def get_limit_up_buy_no_canceled_count(cls, code, index, total_data, local_today_num_operate_map):
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data = None
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try:
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data = total_data[index]
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except Exception as e:
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logger_l2_error.error(f"未找到买入索引对应的数据：index-{index} total_data长度-{len(total_data) if total_data else 0} 错误原因：{str(e)}")
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val = data["val"]
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# 判断当前买是否已经买撤
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cancel_datas = local_today_num_operate_map.get(
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"{}-{}-{}".format(val["num"], "1", val["price"]))
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canceled = False
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if cancel_datas:
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for cancel_data in cancel_datas:
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buy_index = cls.get_buy_index_with_cancel_data(code, cancel_data, local_today_num_operate_map)
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if buy_index == index:
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canceled = True
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count = data["re"] - cancel_data["re"]
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if count > 0:
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return count
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break
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if not canceled:
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count = data["re"]
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return count
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return 0
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# 获取没撤的笔数
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# 获取涨停买没有撤单的数量
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@classmethod
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def get_limit_up_buy_no_canceled_count_v2(cls, code, index, total_data, canceled_buyno_map):
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data = None
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try:
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data = total_data[index]
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except Exception as e:
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logger_l2_error.error(
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f"未找到买入索引对应的数据：index-{index} total_data长度-{len(total_data) if total_data else 0} 错误原因：{str(e)}")
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val = data["val"]
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order_no = str(val["orderNo"])
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canceled_data = canceled_buyno_map.get(order_no)
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if canceled_data:
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return data["re"] - canceled_data["re"]
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else:
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return data["re"]
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@classmethod
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def get_limit_up_buy_canceled_data_v2(cls, code, index, total_data, canceled_buyno_map):
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data = None
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try:
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data = total_data[index]
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except Exception as e:
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logger_l2_error.error(
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f"未找到买入索引对应的数据：index-{index} total_data长度-{len(total_data) if total_data else 0} 错误原因：{str(e)}")
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val = data["val"]
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order_no = str(val["orderNo"])
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canceled_data = canceled_buyno_map.get(order_no)
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if canceled_data:
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return canceled_data
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else:
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return None
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# if __name__ == "__main__":
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# code = "000925"
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# l2_data_util.load_l2_data(code)
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# total_datas = l2_data_util.local_today_datas.get(code)
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# local_today_num_operate_map = l2_data_util.local_today_num_operate_map.get(code)
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# cancel_index = 900
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# index = L2DataSourceUtils.get_buy_index_with_cancel_data(code, total_datas[cancel_index],
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# l2_data_util.local_today_num_operate_map.get(code))
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# print("溯源位置：", index)
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