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| | | from db.redis_manager_delegate import RedisUtils |
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| | | from l2 import l2_log |
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| | | from l2.huaxin import l2_huaxin_util |
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| | | from l2.l2_data_util import local_today_sellno_map, local_today_datas |
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| | | from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager |
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| | | from log_module import async_log_util |
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| | | from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order |
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| | | from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell |
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| | | |
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| | | from utils import tool |
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| | | |
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| | | # 最近的卖单, 格式{code:[卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）]} |
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| | | __latest_sell_order_dict = {} |
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| | | # 最近所有的卖单 |
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| | | __latest_all_sell_orders_dict = {} |
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| | | |
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| | | # 保存最近成交的价格 |
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| | | __latest_trade_price_dict = {} |
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| | | |
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| | | __last_trade_data_dict = {} |
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| | | |
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| | | # 返回最近1s的大单卖：(总卖金额,[(卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）),...]) |
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| | | @classmethod |
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| | | def add_transaction_datas(cls, code, datas): |
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| | | def add_transaction_datas(cls, code, datas, limit_up_price=None): |
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| | | # 是否为主动卖 |
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| | | def is_active_sell(sell_no, buy_no): |
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| | | return sell_no > buy_no |
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| | | |
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| | | # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'], |
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| | | # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'], |
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| | | # data['SellNo'], data['ExecType'])) |
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| | | if code not in cls.__big_sell_order_info_list_dict: |
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| | | cls.__big_sell_order_info_list_dict[code] = [] |
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| | | |
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| | | for d in datas: |
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| | | cls.__latest_sell_order_info_list_dict[code].append(d) |
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| | | if code not in cls.__latest_sell_order_dict: |
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| | | cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])] |
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| | | else: |
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| | | if cls.__latest_sell_order_dict[code][0] == d[7]: |
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| | | cls.__latest_sell_order_dict[code][1] += d[2] |
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| | | cls.__latest_sell_order_dict[code][2] = d[1] |
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| | | cls.__latest_sell_order_dict[code][4] = (d[3], d[6]) |
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| | | else: |
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| | | info = cls.__latest_sell_order_dict[code] |
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| | | # 上个卖单成交完成 |
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| | | # 封存数据，计算新起点 |
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| | | # 大于50w的卖单才会保存 |
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| | | # 大于50w加入卖单 |
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| | | if info[1] * info[2] >= 500000: |
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| | | l2_log.info(code, hx_logger_l2_transaction_sell_order, f"{cls.__latest_sell_order_dict[code]}") |
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| | | cls.__big_sell_order_ids_dict[code].add(info[0]) |
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| | | cls.__big_sell_order_info_dict[code][info[0]] = info |
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| | | cls.__big_sell_order_info_list_dict[code].append(info) |
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| | | if code not in cls.__latest_all_sell_orders_dict: |
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| | | cls.__latest_all_sell_orders_dict[code] = [] |
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| | | |
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| | | sell_no_map = local_today_sellno_map.get(code) |
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| | | total_datas = local_today_datas.get(code) |
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| | | if not sell_no_map: |
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| | | sell_no_map = {} |
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| | | |
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| | | # 保存最近的成交价格:(价格,成交时间) |
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| | | cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3]) |
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| | | |
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| | | L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas, limit_up_price) |
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| | | |
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| | | for d in datas: |
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| | | # 获取当前是否为主动买 |
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| | | try: |
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| | | _is_active_sell = is_active_sell(d[7], d[6]) |
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| | | if not _is_active_sell: |
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| | | continue |
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| | | |
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| | | if d[1] == limit_up_price: |
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| | | # 涨停主动卖 |
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| | | L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d) |
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| | | |
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| | | # 判断是否是涨停被动变主动 |
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| | | last_trade_data = cls.__last_trade_data_dict.get(code) |
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| | | if last_trade_data and not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[ |
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| | | 1] == limit_up_price: |
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| | | if d[1] == limit_up_price: |
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| | | # 涨停被动变主动 |
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| | | L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data, d) |
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| | | cls.__latest_sell_order_info_list_dict[code].append(d) |
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| | | if code not in cls.__latest_sell_order_dict: |
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| | | cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])] |
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| | | else: |
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| | | if cls.__latest_sell_order_dict[code][0] == d[7]: |
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| | | cls.__latest_sell_order_dict[code][1] += d[2] |
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| | | cls.__latest_sell_order_dict[code][2] = d[1] |
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| | | cls.__latest_sell_order_dict[code][4] = (d[3], d[6]) |
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| | | else: |
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| | | info = cls.__latest_sell_order_dict[code] |
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| | | |
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| | | # 上个卖单成交完成 |
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| | | # 封存数据，计算新起点 |
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| | | # 大于50w的卖单才会保存 |
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| | | # 大于50w加入卖单 |
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| | | money = info[1] * info[2] |
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| | | if money >= 500000: |
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| | | # 订单里面有成交是主动卖就算主动卖 |
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| | | l2_log.info(code, hx_logger_l2_transaction_sell_order, |
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| | | f"{cls.__latest_sell_order_dict[code]}") |
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| | | cls.__big_sell_order_ids_dict[code].add(info[0]) |
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| | | cls.__big_sell_order_info_dict[code][info[0]] = info |
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| | | cls.__big_sell_order_info_list_dict[code].append(info) |
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| | | # 只保留10w以上的单 |
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| | | if money > 100000: |
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| | | cls.__latest_all_sell_orders_dict[code].append(info) |
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| | | if limit_up_price == info[2]: |
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| | | # 将涨停主动卖记入日志 |
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| | | l2_log.info(code, hx_logger_l2_active_sell, f"{info}") |
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| | | |
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| | | cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])] |
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| | | finally: |
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| | | cls.__last_trade_data_dict[code] = d |
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| | | |
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| | | latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True) |
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| | | min_time = tool.trade_time_add_millionsecond(latest_time, -1000) |
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| | | min_time_int = int(min_time.replace(":", "").replace(".", "")) |
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| | | # 计算最近1s的大单成交 |
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| | | total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code) |
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| | | start_index = 0 |
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| | | |
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| | | total_sell_info = [0, None] # 总资金,开始成交信息,结束成交信息 |
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| | | latest_sell_order_info = cls.__latest_sell_order_dict[code] |
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| | | big_sell_order_ids = cls.__big_sell_order_ids_dict[code] |
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| | | # print("大卖单", big_sell_order_ids) |
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| | | big_sell_orders = [] |
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| | | temp_sell_order_ids = set() |
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| | | # 统计已经结算出的大单 |
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| | | print(f"总大单数量：{len(total_big_sell_datas)}") |
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| | | for i in range(len(total_big_sell_datas) - 1, -1, -1): |
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| | | bd = total_big_sell_datas[i] |
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| | | if bd[0] != latest_sell_order_info[0]: |
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| | | # 不是最近的成交且不是大单直接过滤 |
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| | | if bd[0] not in big_sell_order_ids: |
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| | | continue |
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| | | latest_sell_order_info = cls.__latest_sell_order_dict.get(code) |
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| | | if latest_sell_order_info: |
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| | | # 不是第一次非主动卖上传 |
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| | | big_sell_order_ids = cls.__big_sell_order_ids_dict[code] |
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| | | # print("大卖单", big_sell_order_ids) |
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| | | big_sell_orders = [] |
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| | | temp_sell_order_ids = set() |
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| | | # 统计已经结算出的大单 |
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| | | for i in range(len(total_big_sell_datas) - 1, -1, -1): |
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| | | bd = total_big_sell_datas[i] |
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| | | if min_time_int > int( |
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| | | l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")): |
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| | | break |
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| | | if bd[0] != latest_sell_order_info[0]: |
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| | | # 不是最近的成交且不是大单直接过滤 |
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| | | if bd[0] not in big_sell_order_ids: |
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| | | continue |
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| | | else: |
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| | | if bd[0] not in temp_sell_order_ids: |
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| | | big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0])) |
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| | | temp_sell_order_ids.add(bd[0]) |
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| | | else: |
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| | | if bd[0] not in temp_sell_order_ids: |
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| | | big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0])) |
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| | | temp_sell_order_ids.add(bd[0]) |
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| | | else: |
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| | | # 是最近的但不是大单需要过滤 |
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| | | if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000: |
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| | | continue |
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| | | else: |
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| | | if latest_sell_order_info[0] not in temp_sell_order_ids: |
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| | | big_sell_orders.append(latest_sell_order_info) |
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| | | temp_sell_order_ids.add(latest_sell_order_info[0]) |
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| | | # 是最近的但不是大单需要过滤 |
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| | | if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000: |
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| | | continue |
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| | | else: |
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| | | if latest_sell_order_info[0] not in temp_sell_order_ids: |
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| | | big_sell_orders.append(latest_sell_order_info) |
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| | | temp_sell_order_ids.add(latest_sell_order_info[0]) |
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| | | |
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| | | if min_time_int > int( |
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| | | l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")): |
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| | | start_index = i |
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| | | break |
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| | | # 统计最近1s的大卖单数据 |
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| | | total_sell_info[0] += int(bd[1] * bd[2]) |
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| | | # 统计最近的大单 |
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| | | if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000: |
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| | | if latest_sell_order_info[0] not in temp_sell_order_ids: |
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| | | big_sell_orders.append(latest_sell_order_info) |
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| | | temp_sell_order_ids.add(latest_sell_order_info[0]) |
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| | | |
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| | | big_sell_orders.reverse() |
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| | | total_sell_info[1] = big_sell_orders |
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| | | cls.__latest_sell_order_info_list_dict[code] = cls.__latest_sell_order_info_list_dict[code][start_index:] |
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| | | # 统计最近1s的大卖单数据 |
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| | | total_sell_info[0] += int(bd[1] * bd[2]) |
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| | | # 统计最近的大单 |
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| | | if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000: |
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| | | if latest_sell_order_info[0] not in temp_sell_order_ids: |
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| | | # if is_active_sell(latest_sell_order_info[0], latest_sell_order_info[3][1]): |
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| | | big_sell_orders.append(latest_sell_order_info) |
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| | | temp_sell_order_ids.add(latest_sell_order_info[0]) |
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| | | total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2]) |
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| | | big_sell_orders.reverse() |
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| | | total_sell_info[1] = big_sell_orders |
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| | | return total_sell_info |
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| | | |
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| | | # 获取最近成交数据 |
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| | | @classmethod |
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| | | def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None): |
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| | | total_orders = [] |
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| | | sell_orders = cls.__latest_all_sell_orders_dict.get(code) |
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| | | if sell_orders: |
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| | | for i in range(len(sell_orders) - 1, -1, -1): |
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| | | if min_deal_time and tool.trade_time_sub(min_deal_time, |
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| | | l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0: |
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| | | break |
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| | | |
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| | | if min_sell_order_no and min_sell_order_no > sell_orders[i][0]: |
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| | | continue |
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| | | total_orders.append(sell_orders[i]) |
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| | | if code in cls.__latest_sell_order_dict: |
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| | | if min_sell_order_no: |
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| | | if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no: |
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| | | total_orders.append(cls.__latest_sell_order_dict[code]) |
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| | | else: |
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| | | total_orders.append(cls.__latest_sell_order_dict[code]) |
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| | | return total_orders |
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| | | |
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| | | # 获取最近成交价格信息, 返回格式：（价格,时间） |
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| | | @classmethod |
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| | | def get_latest_trade_price_info(cls, code): |
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| | | return cls.__latest_trade_price_dict.get(code) |
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