blame | 历史 | 补丁 | 提交 | 提交对比 | ignore whitespace
Administrator
2023-09-15 1ff185866bcf0796d2367699bc000abb326360d5 
 l2/l2_data_manager_new.py


@@ -18,7 +18,7 @@


from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \


    trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin


from l2 import safe_count_manager, l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \


    transaction_progress, cancel_buy_strategy


    transaction_progress, cancel_buy_strategy, l2_data_log


from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \


    LCancelBigNumComputer


from l2.l2_data_manager import L2DataException


@@ -294,47 +294,32 @@


    # 处理华鑫L2数据


    @classmethod


    def process_huaxin(cls, code, origin_datas):


        print("process_huaxin", code, len(origin_datas))


        datas = None


        origin_start_time = round(t.time() * 1000)


        try:


            l2_data_log.l2_time_log(code, "开始加载历史数据")


            # 加载历史的L2数据


            is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False)


            if not is_normal:


                print("历史数据异常:", code)


                # 数据不正常需要禁止交易


                l2_trade_util.forbidden_trade(code, msg="L2历史数据异常")


            origin_start_time = round(t.time() * 1000)


            # 转换数据格式


            _start_index = 0


            total_datas = local_today_datas.get(code)


            if total_datas:


                _start_index = total_datas[-1]["index"] + 1


            l2_data_log.l2_time_log(code, "开始格式化原始数据")


            datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas,


                                                       gpcode_manager.get_limit_up_price(code), _start_index)


            __start_time = round(t.time() * 1000)


            l2_data_log.l2_time_log(code, "开始处理数据")


            if len(datas) > 0:


                cls.process_add_datas(code, datas, 0, __start_time)


            else:


                pass


                # lp = LineProfiler()


                # lp.enable()


                # lp_wrap = lp(cls.process_add_datas)


                # lp_wrap(code, datas, 0, __start_time)


                # output = io.StringIO()


                # lp.print_stats(stream=output)


                # lp.disable()


                # with open(f"/home/logs/profile/{code}_{datas[0]['index']}_{datas[-1]['index']}.txt", 'w') as f:


                #     f.write(output.getvalue())


            # lp.dump_stats(f"/home/logs/profile/{code}_{round(t.time() * 1000)}.txt")


        except Exception as e:


            async_log_util.error(logger_l2_error,f"code:{code}")


            async_log_util.error(logger_l2_error, f"code:{code}")


            async_log_util.exception(logger_l2_error, e)


        finally:


            # l2_data_log.l2_time(code, round(t.time() * 1000) - origin_start_time,


            #                     "l2数据处理总耗时",


            #                     True)


            if datas:


                l2_data_log.l2_time_log(code, "开始保存数据")


                l2.l2_data_util.save_l2_data(code, None, datas)




    @classmethod


@@ -402,21 +387,7 @@


                end_index = len(total_datas) - 1


                if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:


                    # 已挂单


                    if True:  # len(add_datas) < 10:


                        cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)


                    else:


                        pass


                        # lp = LineProfiler()


                        # lp.enable()


                        # lp_wrap = lp(cls.__process_order)


                        # lp_wrap(code, start_index, end_index, capture_timestamp, is_first_code)


                        # output = io.StringIO()


                        # lp.print_stats(stream=output)


                        # lp.disable()


                        # with open(


                        #         f"/home/logs/profile/{code}_process_order_{add_datas[0]['index']}_{add_datas[-1]['index']}.txt",


                        #         'w') as f:


                        #     f.write(output.getvalue())


                    cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)


                else:


                    # 未挂单,时间相差不大才能挂单


                    if l2.l2_data_util.L2DataUtil.is_same_time(now_time_str, latest_time):


@@ -426,8 +397,6 @@


                                add_datas[0]["index"],


                                add_datas[-1]["index"], round(t.time() * 1000) - __start_time,


                                capture_timestamp)


            # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,


            #                                    "l2数据处理时间")




    # 处理未挂单


    @classmethod


@@ -484,7 +453,8 @@


                    return b_cancel_data, "S大单撤销比例触发阈值"


            except Exception as e:


                logging.exception(e)


                async_log_util.error(logger_l2_error, f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.error(logger_l2_error,


                                     f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.exception(logger_l2_error, e)


            finally:


                # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time,


@@ -508,7 +478,8 @@


                if b_need_cancel and b_cancel_data:


                    return b_cancel_data, "H撤销比例触发阈值"


            except Exception as e:


                async_log_util.error(logger_l2_error, f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.error(logger_l2_error,


                                     f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.exception(logger_l2_error, e)


            finally:


                # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-H撤大单计算")


@@ -527,7 +498,8 @@


                if b_need_cancel and b_cancel_data:


                    return b_cancel_data, "L撤销比例触发阈值"


            except Exception as e:


                async_log_util.error(logger_l2_error, f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.error(logger_l2_error,


                                     f"参数：buy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")


                async_log_util.exception(logger_l2_error, e)


            finally:


                # l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "已下单-L撤大单计算")


@@ -975,7 +947,8 @@




        unique_key = f"{compute_start_index}-{compute_end_index}"


        if cls.__latest_process_not_order_unique_keys.get(code) == unique_key:


            async_log_util.error(logger_l2_error, f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}")


            async_log_util.error(logger_l2_error,


                                 f"重复处理数据：code-{code} start_index-{compute_start_index} end_index-{compute_end_index}")


            return


        cls.__latest_process_not_order_unique_keys[code] = unique_key




@@ -1147,11 +1120,11 @@




    @classmethod


    def __get_threshmoney(cls, code):


        m,msg = cls.__l2PlaceOrderParamsManagerDict[code].get_m_val()


        m, msg = cls.__l2PlaceOrderParamsManagerDict[code].get_m_val()


        if trade_manager.CodesTradeStateManager().get_trade_state_cache(code) == trade_manager.TRADE_STATE_NOT_TRADE:


            # 首次下单m值扩大1.5倍


            m = int(m * 1.5)


        return m,msg


        return m, msg




    # 计算万手哥笔数


    @classmethod