| | |
|---|
| | | import logging |
|---|
| | | import time |
|---|
| | | |
|---|
| | | import dask |
|---|
| | | |
|---|
| | | import constant |
|---|
| | | from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer |
|---|
| | | from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager |
|---|
| | | from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer |
|---|
| | | from code_attribute import gpcode_manager |
|---|
| | | from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log |
|---|
| | | from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log, data_callback |
|---|
| | | from l2.cancel_buy_strategy import FCancelBigNumComputer, \ |
|---|
| | | NewGCancelBigNumComputer, \ |
|---|
| | | NBCancelBigNumComputer |
|---|
| | |
|---|
| | | from l2.l2_data_util import L2DataUtil |
|---|
| | | from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager |
|---|
| | | from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager |
|---|
| | | from l2.place_order_single_data_manager import L2TradeSingleDataProcessor |
|---|
| | | from log_module import async_log_util |
|---|
| | | from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload |
|---|
| | | from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload, \ |
|---|
| | | logger_trade, logger_l2_trade |
|---|
| | | from trade import current_price_process_manager, trade_constant |
|---|
| | | import concurrent.futures |
|---|
| | | |
|---|
| | |
|---|
| | | class HuaXinTransactionDatasProcessor: |
|---|
| | | __statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2) |
|---|
| | | __TradeBuyQueue = transaction_progress.TradeBuyQueue() |
|---|
| | | # 非涨停成交时间 |
|---|
| | | __not_limit_up_time_dict = {} |
|---|
| | | |
|---|
| | | # 计算成交进度 |
|---|
| | | @classmethod |
|---|
| | | def __compute_latest_trade_progress(cls, code, buyno_map, datas): |
|---|
| | | def __compute_latest_trade_progress(cls, code, fdatas): |
|---|
| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
|---|
| | | if not buyno_map: |
|---|
| | | return None |
|---|
| | | buy_progress_index = None |
|---|
| | | for i in range(len(datas) - 1, -1, -1): |
|---|
| | | d = datas[i] |
|---|
| | | buy_no = f"{d[6]}" |
|---|
| | | for i in range(len(fdatas) - 1, -1, -1): |
|---|
| | | d = fdatas[i] |
|---|
| | | buy_no = f"{d[0][6]}" |
|---|
| | | if buyno_map and buy_no in buyno_map: |
|---|
| | | # 成交进度位必须是涨停买 |
|---|
| | | if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]): |
|---|
| | |
|---|
| | | return buy_progress_index |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def statistic_big_order_infos(cls, code, datas, order_begin_pos: OrderBeginPosInfo): |
|---|
| | | def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo): |
|---|
| | | """ |
|---|
| | | 统计大单成交 |
|---|
| | | @param code: |
|---|
| | | @param datas: |
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| | | @param fdatas: 格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] |
|---|
| | | @return: |
|---|
| | | """ |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, datas, limit_up_price) |
|---|
| | | if buy_datas: |
|---|
| | | BigOrderDealManager().add_buy_datas(code, buy_datas) |
|---|
| | | active_big_buy_orders = [] |
|---|
| | | |
|---|
| | | def statistic_big_buy_data(): |
|---|
| | | use_time_list = [] |
|---|
| | | __start_time = time.time() |
|---|
| | | buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price) |
|---|
| | | use_time_list.append((time.time() - __start_time, "买单统计")) |
|---|
| | | if buy_datas: |
|---|
| | | for x in buy_datas: |
|---|
| | | if x[0] > x[6]: |
|---|
| | | # (买单号, 成交金额, 最后成交时间) |
|---|
| | | active_big_buy_orders.append((x[0], x[2], x[4])) |
|---|
| | | EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders) |
|---|
| | | try: |
|---|
| | | is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) |
|---|
| | | if is_placed_order: |
|---|
| | | if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL: |
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| | | RadicalBuyDataManager.big_order_deal(code) |
|---|
| | | BigOrderDealManager().add_buy_datas(code, buy_datas) |
|---|
| | | active_big_buy_orders = [] |
|---|
| | | if buy_datas: |
|---|
| | | for x in buy_datas: |
|---|
| | | if x[0] > x[6]: |
|---|
| | | # (买单号, 成交金额, 最后成交时间) |
|---|
| | | active_big_buy_orders.append((x[0], x[2], x[4])) |
|---|
| | | EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders) |
|---|
| | | use_time_list.append((time.time() - __start_time, "买单统计结果处理")) |
|---|
| | | try: |
|---|
| | | is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) |
|---|
| | | if is_placed_order: |
|---|
| | | if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL: |
|---|
| | | RadicalBuyDataManager.big_order_deal(code) |
|---|
| | | |
|---|
| | | if bigger_buy_datas: |
|---|
| | | # 有大于50w的大单成交 |
|---|
| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
|---|
| | | if buyno_map: |
|---|
| | | for buy_data in bigger_buy_datas: |
|---|
| | | order_no = f"{buy_data[0]}" |
|---|
| | | if order_no in buyno_map: |
|---|
| | | LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"], |
|---|
| | | order_begin_pos.buy_single_index) |
|---|
| | | except Exception as e: |
|---|
| | | logger_debug.exception(e) |
|---|
| | | if bigger_buy_datas: |
|---|
| | | # 有大于50w的大单成交 |
|---|
| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
|---|
| | | if buyno_map: |
|---|
| | | for buy_data in bigger_buy_datas: |
|---|
| | | order_no = f"{buy_data[0]}" |
|---|
| | | if order_no in buyno_map: |
|---|
| | | LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"], |
|---|
| | | order_begin_pos.buy_single_index) |
|---|
| | | except Exception as e: |
|---|
| | | logger_debug.exception(e) |
|---|
| | | if use_time_list and use_time_list[-1][0] > 0.005: |
|---|
| | | l2_log.info(code, hx_logger_l2_upload, |
|---|
| | | f"买单统计+处理耗时：{use_time_list[-1][0]} 详情:{use_time_list}") |
|---|
| | | |
|---|
| | | sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, datas) |
|---|
| | | if sell_datas: |
|---|
| | | BigOrderDealManager().add_sell_datas(code, sell_datas) |
|---|
| | | return buy_datas |
|---|
| | | |
|---|
| | | if buy_datas or sell_datas: |
|---|
| | | buy_money = BigOrderDealManager().get_total_buy_money(code) |
|---|
| | | sell_money = BigOrderDealManager().get_total_sell_money(code) |
|---|
| | | LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money) |
|---|
| | | def statistic_big_sell_data(): |
|---|
| | | use_time_list = [] |
|---|
| | | __start_time = time.time() |
|---|
| | | sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas) |
|---|
| | | if sell_datas: |
|---|
| | | BigOrderDealManager().add_sell_datas(code, sell_datas) |
|---|
| | | use_time_list.append((time.time() - __start_time, "卖单统计")) |
|---|
| | | if use_time_list and use_time_list[-1][0] > 0.005: |
|---|
| | | l2_log.info(code, hx_logger_l2_upload, |
|---|
| | | f"卖单统计+处理耗时：{use_time_list[-1][0]} 详情:{use_time_list}") |
|---|
| | | return sell_datas |
|---|
| | | |
|---|
| | | def statistic_big_data(f1_, f2_): |
|---|
| | | temp_data = f1_, f2_ |
|---|
| | | return temp_data |
|---|
| | | |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | |
|---|
| | | if False and len(fdatas) > 100: |
|---|
| | | # 并行处理买单与卖单 |
|---|
| | | # 超过100条数据才需要并行处理 |
|---|
| | | f1 = dask.delayed(statistic_big_buy_data)() |
|---|
| | | f2 = dask.delayed(statistic_big_sell_data)() |
|---|
| | | dask_result = dask.delayed(statistic_big_data)(f1, f2) |
|---|
| | | buy_datas, sell_datas = dask_result.compute() |
|---|
| | | else: |
|---|
| | | buy_datas = statistic_big_buy_data() |
|---|
| | | sell_datas = statistic_big_sell_data() |
|---|
| | | # L撤的比例与买卖大单无直接关系了 |
|---|
| | | # if buy_datas or sell_datas: |
|---|
| | | # buy_money = BigOrderDealManager().get_total_buy_money(code) |
|---|
| | | # sell_money = BigOrderDealManager().get_total_sell_money(code) |
|---|
| | | # LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money) |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def process_huaxin_transaction_datas(cls, code, datas): |
|---|
| | | __start_time = time.time() |
|---|
| | | def process_huaxin_transaction_datas(cls, code, o_datas): |
|---|
| | | # 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'], |
|---|
| | | # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'], |
|---|
| | | # data['SellNo'], data['ExecType'])) |
|---|
| | | fdatas = [ |
|---|
| | | [d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', ''] |
|---|
| | | for d in o_datas] |
|---|
| | | temp_time_dict = {} |
|---|
| | | for d in fdatas: |
|---|
| | | if d[0][3] not in temp_time_dict: |
|---|
| | | temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True) |
|---|
| | | d[5] = temp_time_dict.get(d[0][3]) |
|---|
| | | d[4] = d[5][:8] |
|---|
| | | temp_time_dict.clear() |
|---|
| | | |
|---|
| | | __start_time = time.time() |
|---|
| | | # 设置成交价 |
|---|
| | | try: |
|---|
| | | current_price_process_manager.set_trade_price(code, datas[-1][1]) |
|---|
| | | if limit_up_price > datas[-1][1]: |
|---|
| | | # 没有涨停 |
|---|
| | | EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{datas[-1][1]}") |
|---|
| | | radical_buy_strategy.clear_data(code) |
|---|
| | | except: |
|---|
| | | pass |
|---|
| | | current_price_process_manager.set_trade_price(code, fdatas[-1][0][1]) |
|---|
| | | if not fdatas[-1][2]: |
|---|
| | | if code not in cls.__not_limit_up_time_dict: |
|---|
| | | cls.__not_limit_up_time_dict[code] = fdatas[-1][5] |
|---|
| | | last_time = cls.__not_limit_up_time_dict[code] |
|---|
| | | # 炸板时间持续500ms以上算炸板 |
|---|
| | | if tool.trade_time_sub_with_ms(fdatas[-1][5], last_time) > 500: |
|---|
| | | # 没有涨停 |
|---|
| | | EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}") |
|---|
| | | radical_buy_strategy.clear_data(code, msg=f"没有涨停：{fdatas[-1][0]}") |
|---|
| | | else: |
|---|
| | | if code in cls.__not_limit_up_time_dict: |
|---|
| | | cls.__not_limit_up_time_dict.pop(code) |
|---|
| | | except Exception as e: |
|---|
| | | async_log_util.error(logger_debug, f"L2成交开板计算错误：{str(e)}") |
|---|
| | | |
|---|
| | | total_datas = l2_data_util.local_today_datas.get(code) |
|---|
| | | use_time_list = [] |
|---|
| | |
|---|
| | | is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) |
|---|
| | | |
|---|
| | | _start_time = time.time() |
|---|
| | | L2LimitUpSellDataManager.set_deal_datas(code, datas) |
|---|
| | | # 设置涨停卖成交数据 |
|---|
| | | L2LimitUpSellDataManager.set_deal_datas(code, fdatas) |
|---|
| | | use_time_list.append(("统计涨停卖成交", time.time() - _start_time)) |
|---|
| | | _start_time = time.time() |
|---|
| | | # 大单统计 |
|---|
| | | # cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos) |
|---|
| | | try: |
|---|
| | | cls.statistic_big_order_infos(code, datas, order_begin_pos) |
|---|
| | | cls.statistic_big_order_infos(code, fdatas, order_begin_pos) |
|---|
| | | except Exception as e: |
|---|
| | | async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}") |
|---|
| | | use_time_list.append(("统计大单数据", time.time() - _start_time)) |
|---|
| | | _start_time = time.time() |
|---|
| | | |
|---|
| | | big_sell_order_info = None |
|---|
| | | try: |
|---|
| | | last_data = fdatas[-1] |
|---|
| | | # 统计上板时间 |
|---|
| | | try: |
|---|
| | | for d in datas: |
|---|
| | | if d[6] > d[7]: |
|---|
| | | # 主动买 |
|---|
| | | if d[1] == limit_up_price: |
|---|
| | | # 涨停 |
|---|
| | | current_price_process_manager.set_latest_not_limit_up_time(code, |
|---|
| | | l2_huaxin_util.convert_time( |
|---|
| | | d[3], with_ms=True)) |
|---|
| | | else: |
|---|
| | | # 主动卖（板上） |
|---|
| | | if d[1] == limit_up_price: |
|---|
| | | L2LimitUpSellDataManager.clear_data(code) |
|---|
| | | break |
|---|
| | | except: |
|---|
| | | pass |
|---|
| | | |
|---|
| | | if last_data[1] and last_data[2]: |
|---|
| | | current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5]) |
|---|
| | | if not last_data[1] and last_data[2]: |
|---|
| | | L2LimitUpSellDataManager.clear_data(code) |
|---|
| | | big_sell_order_info = None |
|---|
| | | # 统计卖单 |
|---|
| | | big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas, limit_up_price) |
|---|
| | | big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas( |
|---|
| | | code, fdatas, |
|---|
| | | limit_up_price) |
|---|
| | | |
|---|
| | | use_time_list.append(("处理卖单成交数据", time.time() - _start_time)) |
|---|
| | | _start_time = time.time() |
|---|
| | | |
|---|
| | | if is_placed_order: |
|---|
| | | |
|---|
| | | need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code, |
|---|
| | | big_sell_order_info, |
|---|
| | | order_begin_pos) |
|---|
| | | LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) |
|---|
| | | |
|---|
| | | # need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code, |
|---|
| | | # big_sell_order_info, |
|---|
| | | # order_begin_pos) |
|---|
| | | need_cancel, cancel_msg = False, "" |
|---|
| | | cancel_type = None |
|---|
| | | if need_cancel: |
|---|
| | | cancel_msg = f"S撤:{cancel_msg}" |
|---|
| | |
|---|
| | | order_begin_pos) |
|---|
| | | cancel_type = trade_constant.CANCEL_TYPE_P |
|---|
| | | # 判断时间是否与本地时间相差5s以上 |
|---|
| | | if tool.trade_time_sub(tool.get_now_time_str(), l2_huaxin_util.convert_time(datas[-1][3])) > 10: |
|---|
| | | if tool.trade_time_sub(tool.get_now_time_str(), fdatas[-1][4]) > 10: |
|---|
| | | now_seconds = int(tool.get_now_time_str().replace(":", "")) |
|---|
| | | if now_seconds < int("093100"): # or int("130000") <= now_seconds < int("130200"): |
|---|
| | | need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{l2_huaxin_util.convert_time(datas[-1][3])}" |
|---|
| | | need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{fdatas[-1][4]}" |
|---|
| | | cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY |
|---|
| | | if need_cancel: |
|---|
| | | L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type) |
|---|
| | |
|---|
| | | use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time)) |
|---|
| | | _start_time = time.time() |
|---|
| | | # 统计涨停卖成交 |
|---|
| | | HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas, limit_up_price) |
|---|
| | | HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price) |
|---|
| | | use_time_list.append(("统计成交量数据", time.time() - _start_time)) |
|---|
| | | except Exception as e: |
|---|
| | | async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}") |
|---|
| | |
|---|
| | | # if big_money_count > 0: |
|---|
| | | # LCancelRateManager.compute_big_num_deal_rate(code) |
|---|
| | | |
|---|
| | | buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, datas) |
|---|
| | | buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) |
|---|
| | | |
|---|
| | | if buy_progress_index is not None: |
|---|
| | | buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, |
|---|
| | | total_datas) |
|---|
| | | async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code, |
|---|
| | | buy_progress_index) |
|---|
| | | l2_log.info(code, logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code, buy_progress_index) |
|---|
| | | if is_placed_order: |
|---|
| | | NewGCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, |
|---|
| | | buy_progress_index) |
|---|
| | | # NewGCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, |
|---|
| | | # buy_progress_index) |
|---|
| | | LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, |
|---|
| | | buy_progress_index, |
|---|
| | | total_datas) |
|---|
| | |
|---|
| | | cancel_type=trade_constant.CANCEL_TYPE_W) |
|---|
| | | except: |
|---|
| | | pass |
|---|
| | | |
|---|
| | | SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, |
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| | | buy_progress_index) |
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| | | HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, |
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| | | buy_progress_index) |
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| | | # SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, |
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| | | # buy_progress_index) |
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| | | # HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, |
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| | | # buy_progress_index) |
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| | | else: |
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| | | pass |
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| | | if is_placed_order: |
|---|
| | |
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| | | use_time = int((time.time() - __start_time) * 1000) |
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| | | if use_time > 5: |
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| | | l2_log.info(code, hx_logger_l2_upload, |
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| | | f"{code}处理成交用时：{use_time} 数据数量：{len(datas)} 详情:{use_time_list}") |
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| | | f"{code}处理成交用时：{use_time} 数据数量：{len(fdatas)} 详情:{use_time_list}") |
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| | | |
|---|
| | | @classmethod |
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| | | def process_huaxin_transaction_datas_v2(cls, code, o_datas): |
|---|
| | | """ |
|---|
| | | 新版处理华鑫成交数据： |
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| | | 尚未下单的时候异步统计成交，同步遍历获取最后一个涨停卖委托数据，当最后一个涨停卖成交的时候就是下单时机 |
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| | | @param code: |
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| | | @param o_datas: |
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| | | @return: |
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| | | """ |
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| | | |
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| | | def __process_placed_order(): |
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| | | """ |
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| | | 处理处于下单状态的数据 |
|---|
| | | @return: |
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| | | """ |
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| | | try: |
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| | | cls.statistic_big_order_infos(code, fdatas, order_begin_pos) |
|---|
| | | except Exception as e: |
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| | | async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}") |
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| | | # 统计连续的卖单数据，用于撤单，只有当下单之后才会执行 |
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| | | big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas( |
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| | | code, fdatas, |
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| | | limit_up_price) |
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| | | LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) |
|---|
| | | need_cancel, cancel_msg = False, "" |
|---|
| | | cancel_type = None |
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| | | if not need_cancel: |
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| | | need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code, |
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| | | order_begin_pos) |
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| | | cancel_type = trade_constant.CANCEL_TYPE_P |
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| | | if need_cancel: |
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| | | L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type) |
|---|
| | | # 统计涨停主动卖成交，为了F撤准备数据 |
|---|
| | | HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price) |
|---|
| | | # 计算成交进度 |
|---|
| | | buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) |
|---|
| | | if buy_progress_index is not None: |
|---|
| | | total_datas = l2_data_util.local_today_datas.get(code) |
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| | | buy_progress_index_changed = cls.__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, |
|---|
| | | buy_progress_index) |
|---|
| | | if is_placed_order: |
|---|
| | | LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, |
|---|
| | | buy_progress_index, |
|---|
| | | total_datas) |
|---|
| | | cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index) |
|---|
| | | if cancel_result[0]: |
|---|
| | | L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}", |
|---|
| | | cancel_type=trade_constant.CANCEL_TYPE_F) |
|---|
| | | |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
|---|
| | | # =====格式化数据===== |
|---|
| | | # 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] |
|---|
| | | use_time_list = [] |
|---|
| | | __start_time = int(time.time() * 1000) |
|---|
| | | fdatas = [ |
|---|
| | | [d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', ''] |
|---|
| | | for d in o_datas] |
|---|
| | | temp_time_dict = {} |
|---|
| | | for d in fdatas: |
|---|
| | | if d[0][3] not in temp_time_dict: |
|---|
| | | temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True) |
|---|
| | | d[5] = temp_time_dict.get(d[0][3]) |
|---|
| | | d[4] = d[5][:8] |
|---|
| | | temp_time_dict.clear() |
|---|
| | | _start_time = int(time.time() * 1000) |
|---|
| | | use_time_list.append((_start_time - __start_time, "数据整形")) |
|---|
| | | |
|---|
| | | try: |
|---|
| | | |
|---|
| | | # ======需要同步处理的数据======== |
|---|
| | | # 设置成交价 |
|---|
| | | try: |
|---|
| | | current_price_process_manager.set_trade_price(code, fdatas[-1][0][1]) |
|---|
| | | if not fdatas[-1][2]: |
|---|
| | | # 没有涨停 |
|---|
| | | EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}") |
|---|
| | | radical_buy_strategy.clear_data(code) |
|---|
| | | except: |
|---|
| | | pass |
|---|
| | | |
|---|
| | | # 统计上板时间 |
|---|
| | | try: |
|---|
| | | last_data = fdatas[-1] |
|---|
| | | if last_data[1] and last_data[2]: |
|---|
| | | # 涨停主动买 |
|---|
| | | current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5]) |
|---|
| | | elif not last_data[1] and last_data[2]: |
|---|
| | | # 涨停主动卖 |
|---|
| | | L2LimitUpSellDataManager.clear_data(code) |
|---|
| | | except: |
|---|
| | | pass |
|---|
| | | |
|---|
| | | # ==========处于委托状态就同步处理数据，没有下过单就异步处理数据========== |
|---|
| | | order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) |
|---|
| | | is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) |
|---|
| | | if is_placed_order: |
|---|
| | | # 下过单了 |
|---|
| | | __process_placed_order() |
|---|
| | | else: |
|---|
| | | filter_datas = L2TradeSingleDataProcessor.filter_last_limit_up_sell_data(code, fdatas) |
|---|
| | | _start_time = int(time.time() * 1000) |
|---|
| | | use_time_list.append((_start_time - __start_time, "处理涨停卖")) |
|---|
| | | # 回调数据 |
|---|
| | | if filter_datas is not None: |
|---|
| | | l2_log.info(code, logger_l2_trade, f"最后一笔涨停卖被吃：{filter_datas[0]}") |
|---|
| | | data_callback.l2_trade_single_callback.OnLastLimitUpSellDeal(code, filter_datas[0][0]) |
|---|
| | | |
|---|
| | | _start_time = int(time.time() * 1000) |
|---|
| | | use_time_list.append((_start_time - __start_time, "处理买入信号")) |
|---|
| | | |
|---|
| | | # 如果是被动买就更新成交进度 |
|---|
| | | if not fdatas[-1][1]: |
|---|
| | | buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) |
|---|
| | | if buy_progress_index is not None: |
|---|
| | | total_datas = l2_data_util.local_today_datas.get(code) |
|---|
| | | cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, |
|---|
| | | total_datas) |
|---|
| | | # 如果数据量大于20条就采用线程池更新数据 |
|---|
| | | if len(fdatas) >= 20: |
|---|
| | | cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, fdatas, order_begin_pos) |
|---|
| | | else: |
|---|
| | | cls.statistic_big_order_infos(code, fdatas, order_begin_pos) |
|---|
| | | |
|---|
| | | _start_time = int(time.time() * 1000) |
|---|
| | | use_time_list.append((_start_time - __start_time, "统计大单")) |
|---|
| | | except Exception as e: |
|---|
| | | hx_logger_l2_debug.exception(e) |
|---|
| | | finally: |
|---|
| | | _start_time = int(time.time() * 1000) |
|---|
| | | if _start_time - __start_time > 5: |
|---|
| | | l2_log.info(code, hx_logger_l2_upload, |
|---|
| | | f"{code}处理成交用时：{_start_time - __start_time} 数据数量：{len(fdatas)} 详情:{use_time_list}") |
|---|
