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| | | """ |
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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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| | | import logging |
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| | | import time |
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| | | |
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| | | from code_attribute import gpcode_manager |
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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_data_util, l2_data_manager, transaction_progress |
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| | | from l2.cancel_buy_strategy import LCancelRateManager, LCancelBigNumComputer, \ |
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| | | SecondCancelBigNumComputer, HourCancelBigNumComputer, FastCancelBigNumComputer |
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| | | from l2.l2_data_util import L2DataUtil |
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| | | from log_module import async_log_util |
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| | | from log_module.log import logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug |
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| | | from log_module.log import logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug, \ |
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| | | hx_logger_l2_transaction_desc |
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| | | from trade import current_price_process_manager, trade_manager, l2_trade_factor |
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| | | from trade.deal_big_money_manager import DealOrderNoManager |
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| | | from utils import tool |
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| | | |
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| | | |
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| | | class HuaXinTransactionDatasProcessor: |
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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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| | | |
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| | | __TradeBuyQueue = transaction_progress.TradeBuyQueue() |
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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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| | | |
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| | | def __new__(cls, *args, **kwargs): |
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| | | if not cls.__instance: |
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| | | cls.__instance = super(HuaXinTransactionDatasProcessor, cls).__new__(cls, *args, **kwargs) |
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| | | cls.__load_datas() |
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| | | return cls.__instance |
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| | | |
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| | | @classmethod |
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| | | def process_huaxin_transaction_datas(cls, code, datas): |
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| | | def __get_redis(cls): |
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| | | return cls.__redis_manager.getRedis() |
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| | | |
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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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| | | |
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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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| | | |
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| | | # 统计成交的情况 |
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| | | |
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| | | def __statistic_deal_desc(self, code, data, total_buy_num): |
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| | | if code not in self.__dealing_order_info_dict: |
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| | | # 数据格式[订单号，总手数，开始成交时间，结束成交时间, 总买] |
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| | | self.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num] |
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| | | if self.__dealing_order_info_dict[code][0] == data[6]: |
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| | | # 成交同一个订单号 |
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| | | self.__dealing_order_info_dict[code][1] += data[2] |
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| | | self.__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}#{self.__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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| | | self.__dealing_order_info_dict[code][0], |
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| | | self.__dealing_order_info_dict[code][4] == self.__dealing_order_info_dict[code][1]) |
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| | | self.__latest_deal_order_info_dict[code] = deal_info |
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| | | # 初始化本条数据 |
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| | | self.__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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| | | |
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| | | # 计算成交进度 |
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| | | def __compute_latest_trade_progress(self, code, buyno_map, datas): |
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| | | buy_progress_index = None |
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| | | for i in range(len(datas) - 1, -1, -1): |
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| | | d = datas[i] |
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| | | buy_no = f"{d[6]}" |
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| | | if buyno_map and buy_no in buyno_map: |
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| | | async_log_util.info(hx_logger_l2_debug, f"{code}成交进度：{buyno_map[buy_no]['index']}") |
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| | | buy_progress_index = buyno_map[buy_no]["index"] |
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| | | break |
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| | | return buy_progress_index |
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| | | |
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| | | def process_huaxin_transaction_datas(self, code, datas): |
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| | | # 设置成交价 |
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| | | current_price_process_manager.set_trade_price(code, datas[-1][1]) |
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| | | total_datas = l2_data_util.local_today_datas.get(code) |
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| | |
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| | | code) != trade_manager.TRADE_STATE_NOT_TRADE: |
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| | | l2_data_util.load_l2_data(code) |
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| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
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| | | # async_log_util.debug(hx_logger_l2_transaction, |
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| | | # f"{code}的买入订单号数量:{len(buyno_map.keys()) if buyno_map else 0}") |
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| | | if buyno_map is None: |
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| | | buyno_map = {} |
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| | | buy_progress_index = None |
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| | | for i in range(len(datas) - 1, -1, -1): |
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| | | d = datas[i] |
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| | | buy_no = f"{d[6]}" |
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| | | if buyno_map and buy_no in buyno_map: |
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| | | async_log_util.info(hx_logger_l2_debug, f"{code}成交进度：{buyno_map[buy_no]['index']}") |
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| | | buy_progress_index = buyno_map[buy_no]["index"] |
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| | | break |
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| | | # ------统计保存成交大单订单号------ |
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| | | origin_ordernos = set() |
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| | | for d in datas: |
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| | | buy_no = f"{d[6]}" |
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| | | origin_ordernos.add(buy_no) |
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| | | |
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| | | # ---------------------处理成交大单---------------------- |
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| | | order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) |
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| | | |
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| | | # 计算已经成交的大单 |
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| | | big_money_count = 0 |
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| | | for buy_no in origin_ordernos: |
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| | | # 查询是否为大单 |
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| | | if buy_no in buyno_map: |
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| | | data = buyno_map[buy_no] |
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| | | for d in datas: |
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| | | data = buyno_map.get(f"{d[6]}") |
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| | | buy_num = None |
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| | | if data: |
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| | | buy_num = data["val"]["num"] * 100 |
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| | | deal_info = self.__statistic_deal_desc(code, d, buy_num) |
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| | | if deal_info and deal_info[1]: |
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| | | data = buyno_map.get(f"{deal_info[0]}") |
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| | | print("已经成交索引：", data["index"]) |
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| | | val = data["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | if l2_data_util.is_big_money(val): |
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| | | # 涨停买的大单 |
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| | | if l2_data_util.is_big_money(val) and L2DataUtil.is_limit_up_price_buy(val): |
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| | | big_money_count += 1 |
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| | | DealOrderNoManager().add_orderno(code, buy_no) |
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| | | DealOrderNoManager().add_orderno(code, deal_info[0]) |
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| | | # L后是否有成交，如果有成交就需要除去当前笔数，然后重新囊括一笔 |
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| | | LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index) |
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| | | if big_money_count > 0: |
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| | | # 统计大单/m值成交比 |
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| | | total_deal_nums = DealOrderNoManager().get_deal_nums(code, buyno_map) |
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| | |
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| | | if limit_up_price: |
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| | | rate = round(total_deal_nums / (thresh_hold_money // (float(limit_up_price) * 100)), 2) |
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| | | LCancelRateManager().set_big_num_deal_rate(code, rate) |
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| | | |
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| | | # 获取执行位时间 |
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| | | order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) |
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| | | |
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| | | buy_progress_index = self.__compute_latest_trade_progress(code, buyno_map, datas) |
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| | | if buy_progress_index is not None: |
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| | | cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, total_datas) |
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| | | self.__TradeBuyQueue.set_traded_index(code, buy_progress_index, total_datas) |
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| | | async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code, |
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| | | buy_progress_index) |
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| | | |
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| | | if buy_progress_index is not None: |
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| | | LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index, |
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| | | total_datas) |
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| | | FastCancelBigNumComputer().set_trade_progress(code, buy_progress_index) |
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| | | LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index) |
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| | | |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | hx_logger_l2_debug.exception(e) |
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| | | finally: |
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| | | use_time = int((time.time() - __start_time) * 1000) |
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