# -*- coding: utf-8 -*-
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import json
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import logging
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import os
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import queue
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import threading
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import time
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import concurrent.futures
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from huaxin_client import command_manager
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from huaxin_client import constant
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from huaxin_client import l2_data_manager
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import lev2mdapi
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from huaxin_client.code_queue_distribute_manager import CodeDataCallbackDistributeManager
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from huaxin_client.command_manager import L2ActionCallback
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from huaxin_client.l2_data_manager import L2DataUploadManager
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from log_module import log, 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_subscript, logger_system, logger_l2_codes_subscript, printlog, \
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logger_debug, logger_local_huaxin_l2_market
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from utils import tool
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###B类###
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Front_Address = "tcp://10.0.1.101:6900"
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Multicast_Address = "udp://224.224.2.19:7889"
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Multicast_Address2 = "udp://224.224.224.234:7890"
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Local_Interface_Address = constant.LOCAL_IP
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g_SubMarketData = False
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g_SubTransaction = False
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g_SubOrderDetail = False
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g_SubXTSTick = False
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g_SubXTSMarketData = False
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g_SubNGTSTick = False
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g_SubBondMarketData = False
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g_SubBondTransaction = False
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g_SubBondOrderDetail = False
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SH_Securities = [b"603000", b"600225", b"600469", b"600616", b"600059", b"002849", b"605188", b"603630", b"600105",
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b"603773", b"603915", b"603569", b"603322", b"603798", b"605198", b"603079", b"600415", b"600601"]
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SH_XTS_Securities = [b"018003", b"113565"]
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SZ_Securities = [b"002456", b"002849", b"002281", b"002336", b"000936", b"000920", b"000757", b"002896", b"002725",
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b"000952", b"000526", b"000753", b"000681", b"002088", b"002436"]
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SZ_Bond_Securities = [b"100303", b"109559", b"112617"]
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set_codes_data_queue = queue.Queue()
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market_code_dict = {}
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class Lev2MdSpi(lev2mdapi.CTORATstpLev2MdSpi):
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latest_codes_set = set()
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special_code_volume_for_order_dict = {}
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# 已经订阅的代码
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subscripted_codes = set()
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# 代码的上次成交的订单唯一索引
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__last_transaction_keys_dict = {}
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# 买入的大单订单号
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def __init__(self, api, l2_data_upload_manager: L2DataUploadManager, codes):
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lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
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self.__api = api
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self.is_login = False
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self.l2_data_upload_manager = l2_data_upload_manager
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self.codes = codes
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def __split_codes(self, codes):
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"""
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分离代码
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:param codes:
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:return:上证股票代码, 上证非股票代码, 深证代码
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"""
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szse_codes = []
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sse_other_codes = []
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sse_stock_codes = []
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for code in codes:
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market_type = tool.get_market_type(code)
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if market_type == tool.MARKET_TYPE_SZSE:
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szse_codes.append(code.encode())
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elif market_type == tool.MARKET_TYPE_SSE:
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if tool.is_stock(code):
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sse_stock_codes.append(code.encode())
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else:
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sse_other_codes.append(code.encode())
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return sse_stock_codes, sse_other_codes, szse_codes
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# 新增订阅
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# 取消订阅
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def __unsubscribe(self, _codes):
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sh_stock, sh_other, sz = self.__split_codes(_codes)
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logger_local_huaxin_l2_subscript.info(f"取消订阅上证股票：{sh_stock}")
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logger_local_huaxin_l2_subscript.info(f"取消订阅上证其他：{sh_other}")
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logger_local_huaxin_l2_subscript.info(f"取消订阅深证：{sz}")
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if sh_stock:
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# 取消订阅
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result = self.__api.UnSubscribeNGTSTick(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔NGTS订阅结果sh：{result}")
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self.__api.UnSubscribeMarketData(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
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if sh_other:
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self.__api.UnSubscribeOrderDetail(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
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self.__api.UnSubscribeTransaction(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
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if sz:
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self.__api.UnSubscribeOrderDetail(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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self.__api.UnSubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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self.__api.UnSubscribeMarketData(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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def __subscribe(self, _codes):
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sh_stock, sh_other, sz = self.__split_codes(_codes)
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logger_local_huaxin_l2_subscript.info(f"订阅上证股票：{sh_stock}")
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logger_local_huaxin_l2_subscript.info(f"订阅上证其他：{sh_other}")
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logger_local_huaxin_l2_subscript.info(f"订阅深证：{sz}")
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if sh_stock:
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# 订阅上证逐笔
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result = self.__api.SubscribeNGTSTick(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔NGTS订阅结果sh：{result}")
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result = self.__api.SubscribeMarketData(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"市场订阅结果sh：{result}")
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if sh_other:
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# 订阅上证逐笔
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result = self.__api.SubscribeOrderDetail(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔委托订阅结果sh：{result}")
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result = self.__api.SubscribeTransaction(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔成交订阅结果sh：{result}")
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if sz:
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result = self.__api.SubscribeOrderDetail(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔委托订阅结果sz：{result}")
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result = self.__api.SubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"逐笔成交订阅结果sz：{result}")
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result = self.__api.SubscribeMarketData(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
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logger_local_huaxin_l2_subscript.info(f"市场订阅结果sz：{result}")
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def __process_codes_data(self, codes, from_cache=False, delay=0.0):
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codes = set(codes)
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if not self.is_login and not constant.TEST:
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raise Exception("L2尚未登录")
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if delay > 0:
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time.sleep(delay)
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add_codes = codes - self.subscripted_codes
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del_codes = self.subscripted_codes - codes
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printlog("add del codes", add_codes, del_codes)
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try:
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for c in del_codes:
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self.l2_data_upload_manager.release_distributed_upload_queue(c)
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l2_data_manager.del_target_code(c)
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for c in codes:
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self.l2_data_upload_manager.distribute_upload_queue(c)
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l2_data_manager.add_target_code(c)
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except Exception as e:
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logger_system.error(f"L2代码分配上传队列出错:{str(e)}")
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logger_system.exception(e)
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self.__subscribe(add_codes)
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self.__unsubscribe(del_codes)
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if add_codes:
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logger_system.info(f"新增L2订阅代码数量({'缓存' if from_cache else ''}):{len(add_codes)}")
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logger_l2_codes_subscript.info("华鑫L2订阅结束，add-{} del-{}", len(add_codes), len(del_codes))
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# 设置最近的代码列表
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self.latest_codes_set = codes
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# 订阅代码,[代码,...]
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def set_codes_data(self, codes):
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try:
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self.__process_codes_data(codes)
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except Exception as e:
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logging.exception(e)
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logger_l2_codes_subscript.exception(e)
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finally:
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# 保存一份最新的数据
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# self.__set_latest_datas(codes)
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pass
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def OnFrontConnected(self):
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printlog("OnFrontConnected")
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logger_system.info(f"l2_client OnFrontConnected 线程ID:{tool.get_thread_id()}")
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logout_req = lev2mdapi.CTORATstpUserLogoutField()
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self.__api.ReqUserLogout(logout_req, 1)
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time.sleep(1)
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# 请求登录
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login_req = lev2mdapi.CTORATstpReqUserLoginField()
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self.__api.ReqUserLogin(login_req, 2)
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def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
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printlog("OnRspUserLogin: ErrorID[%d] ErrorMsg[%s] RequestID[%d] IsLast[%d]" % (
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pRspInfo['ErrorID'], pRspInfo['ErrorMsg'], nRequestID, bIsLast))
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if pRspInfo['ErrorID'] == 0:
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printlog("----L2行情登录成功----")
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self.is_login = True
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logger_system.info(f"L2行情登录成功")
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self.__process_codes_data(self.codes)
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def OnRspSubOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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printlog("OnRspSubOrderDetail", pRspInfo)
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# try:
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printlog("订阅结果：", pSpecificSecurity["ExchangeID"], pSpecificSecurity["SecurityID"], pRspInfo["ErrorID"],
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pRspInfo["ErrorMsg"])
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async_log_util.info(logger_local_huaxin_l2_subscript,
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f"订阅结果：{pSpecificSecurity['SecurityID']} {pRspInfo['ErrorID']} {pRspInfo['ErrorMsg']}")
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if pRspInfo["ErrorID"] == 0:
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printlog("订阅成功")
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self.subscripted_codes.add(pSpecificSecurity['SecurityID'])
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if bIsLast == 1:
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printlog("订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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def OnRspUnSubOrderDetail(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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printlog("OnRspUnSubOrderDetail", bIsLast)
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try:
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code = pSpecificSecurity['SecurityID']
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self.subscripted_codes.discard(code)
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if bIsLast == 1:
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printlog("取消订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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except Exception as e:
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logging.exception(e)
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def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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async_log_util.info(logger_local_huaxin_l2_subscript,
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f"NGTS订阅结果：{pSpecificSecurity['SecurityID']} {pRspInfo['ErrorID']} {pRspInfo['ErrorMsg']}")
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if pRspInfo["ErrorID"] == 0:
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print("订阅成功")
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self.subscripted_codes.add(pSpecificSecurity['SecurityID'])
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if bIsLast == 1:
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print("订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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def OnRspUnSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
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try:
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code = pSpecificSecurity['SecurityID']
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logger_local_huaxin_l2_subscript.info(f"NGTS取消订阅：{code}")
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self.subscripted_codes.discard(code)
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if bIsLast == 1:
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print("取消订阅响应结束", self.subscripted_codes)
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l2_data_manager.add_subscript_codes(self.subscripted_codes)
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except Exception as e:
|
logging.exception(e)
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def OnRtnTransaction(self, pTransaction):
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# 输出逐笔成交数据
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if pTransaction['ExecType'] == b"2":
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# 撤单
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item = {"SecurityID": pTransaction['SecurityID'], "Price": pTransaction['TradePrice'],
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"Volume": pTransaction['TradeVolume'],
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"OrderType": "2",
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"OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
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"SubSeq": pTransaction['SubSeq'],
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"OrderStatus": "D"}
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buyNo = pTransaction['BuyNo']
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sellNo = pTransaction['SellNo']
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if buyNo > 0:
|
# 买
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item["OrderNO"] = buyNo
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item["Side"] = "1"
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elif sellNo > 0:
|
# 卖
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item["OrderNO"] = sellNo
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item["Side"] = "2"
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self.l2_data_upload_manager.add_l2_order_detail(item, 0, True)
|
else:
|
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'],
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"SellNo": pTransaction['SellNo'],
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"ExecType": pTransaction['ExecType'].decode()}
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self.l2_data_upload_manager.add_transaction_detail(item)
|
|
def OnRtnOrderDetail(self, pOrderDetail):
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# 输出逐笔委托数据
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# 上证OrderStatus=b"D"表示撤单
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item = {"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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self.l2_data_upload_manager.add_l2_order_detail(item, 0)
|
|
def OnRtnNGTSTick(self, pTick):
|
# logger_debug.info(f"OnRtnNGTSTick: {pTick}")
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# 输出逐笔成交数据
|
try:
|
if pTick['TickType'] == b'T':
|
item = {"SecurityID": pTick['SecurityID'], "TradePrice": pTick['Price'],
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"TradeVolume": pTick['Volume'],
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"OrderTime": pTick['TickTime'], "MainSeq": pTick['MainSeq'],
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"SubSeq": pTick['SubSeq'], "BuyNo": pTick['BuyNo'],
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"SellNo": pTick['SellNo'],
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"ExecType": '1'}
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self.l2_data_upload_manager.add_transaction_detail(item)
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elif pTick['TickType'] == b'A' or pTick['TickType'] == b'D':
|
# 撤单
|
item = {"SecurityID": pTick['SecurityID'], "Price": pTick['Price'],
|
"Volume": pTick['Volume'],
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"Side": pTick['Side'].decode(), "OrderType": pTick['TickType'].decode(),
|
"OrderTime": pTick['TickTime'], "MainSeq": pTick['MainSeq'],
|
"SubSeq": pTick['SubSeq'], "OrderNO": '',
|
"OrderStatus": pTick['TickType'].decode()}
|
if pTick['Side'] == b'1':
|
item['OrderNO'] = pTick['BuyNo']
|
elif pTick['Side'] == b'2':
|
item['OrderNO'] = pTick['SellNo']
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self.l2_data_upload_manager.add_l2_order_detail(item, 0)
|
except Exception as e:
|
logger_debug.exception(e)
|
|
def OnRtnMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
|
FirstLevelSellOrderVolumes):
|
# 传入：时间，现价,成交总量,买1，买2，买3,买4,买5,卖1,卖2,卖3,卖4,卖5
|
try:
|
buys = [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
|
(pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
|
(pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
|
(pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
|
(pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])]
|
sells = [
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(pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
|
(pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
|
(pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
|
(pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
|
(pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
|
]
|
|
d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
|
"lastPrice": pDepthMarketData['LastPrice'],
|
"totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
|
"totalValueTrade": pDepthMarketData['TotalValueTrade'],
|
"totalAskVolume": pDepthMarketData['TotalAskVolume'],
|
"avgAskPrice": pDepthMarketData["AvgAskPrice"],
|
"buy": buys,
|
"sell": sells}
|
huaxin_l2_log.info(logger_local_huaxin_l2_market, f"{d}")
|
# market_code_dict[pDepthMarketData['SecurityID']] = time.time()
|
self.l2_data_upload_manager.add_market_data(d)
|
except:
|
pass
|
|
|
class MyL2ActionCallback(L2ActionCallback):
|
|
def OnSetL2Position(self, codes):
|
huaxin_l2_log.info(logger_l2_codes_subscript, "华鑫L2代码处理队列获取到数据：数量-{}", len(codes))
|
try:
|
spi.set_codes_data(codes)
|
except Exception as e:
|
logging.exception(e)
|
|
|
def __init_l2(l2_data_upload_manager, codes):
|
printlog(lev2mdapi.CTORATstpLev2MdApi_GetApiVersion())
|
# case 1: Tcp方式
|
# g_SubMode=lev2mdapi.TORA_TSTP_MST_TCP
|
# case 2: 组播方式
|
g_SubMode = lev2mdapi.TORA_TSTP_MST_MCAST
|
|
# case 1缓存模式
|
api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, True)
|
# case 2非缓存模式
|
# api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, False)
|
global spi
|
spi = Lev2MdSpi(api, l2_data_upload_manager, codes)
|
api.RegisterSpi(spi)
|
# -------------------正式模式-------------------------------------
|
if g_SubMode != lev2mdapi.TORA_TSTP_MST_MCAST:
|
api.RegisterFront(Front_Address)
|
else:
|
# case 1 从一个组播地址收取行情
|
api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "")
|
# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "")
|
|
# case 2:注册多个组播地址同时收行情
|
# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "");
|
# api.RegisterMulticast(Multicast_Address2, Local_Interface_Address, "");
|
|
# case 3:efvi模式收行情
|
# api.RegisterMulticast(Multicast_Address, Local_Interface_Address, "", "enp101s0f0",4096, True);
|
|
# case 1 不绑核运行
|
api.Init()
|
|
|
__l2_cmd_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=3)
|
|
pipe_strategy = None
|
|
|
def test_add_codes(queue_r):
|
time.sleep(10)
|
# if value:
|
# if type(value) == bytes:
|
# value = value.decode("utf-8")
|
# data = json.loads(value)
|
# _type = data["type"]
|
# if _type == "listen_volume":
|
# volume = data["data"]["volume"]
|
# code = data["data"]["code"]
|
# spi.set_code_special_watch_volume(code, volume)
|
# elif _type == "l2_cmd":
|
# l2CommandManager.process_command(command_manager.CLIENT_TYPE_CMD_L2, None, data)
|
|
time.sleep(2)
|
demo_datas = ["603002",
|
"002654",
|
"603701",
|
"002908"]
|
queue_r.put_nowait(json.dumps({"type": "l2_cmd", "data": demo_datas}))
|
time.sleep(10)
|
while True:
|
try:
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 275000, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739147, 'OrderNO': 5512466, 'OrderStatus': 'D'}, 0)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 200, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
# queue_r.put_nowait(json.dumps({"type": "listen_volume", "data": {"code": "603002", "volume": 100}}))
|
time.sleep(0.1)
|
spi.l2_data_upload_manager.add_l2_order_detail(
|
{'SecurityID': '603002', 'Price': 6.35, 'Volume': 100, 'Side': "1", 'OrderType': '0',
|
'OrderTime': '13000015',
|
'MainSeq': 2, 'SubSeq': 6739148, 'OrderNO': 5512467, 'OrderStatus': 'D'}, 0)
|
except Exception as e:
|
logging.exception(e)
|
finally:
|
time.sleep(10)
|
|
|
def run(codes, data_callbacks: list) -> None:
|
logger_system.info("L2进程ID：{}", os.getpid())
|
logger_system.info(f"l2_client 线程ID:{tool.get_thread_id()}")
|
try:
|
# log.close_print()
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# 初始化
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data_callback_distribute_manager = CodeDataCallbackDistributeManager(data_callbacks)
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l2_data_upload_manager = L2DataUploadManager(data_callback_distribute_manager)
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__init_l2(l2_data_upload_manager, codes)
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threading.Thread(target=huaxin_l2_log.run_sync, daemon=True).start()
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# 测试
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# threading.Thread(target=lambda: test_add_codes(queue_r), daemon=True).start()
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global l2CommandManager
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l2CommandManager = command_manager.L2CommandManager()
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l2CommandManager.init(MyL2ActionCallback())
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logger_system.info("L2订阅服务启动成功")
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except Exception as e:
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logger_system.exception(e)
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while True:
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time.sleep(2)
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|
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if __name__ == "__main__":
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input()
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