L2数据插入主动卖单

Administrator

2024-03-21 300cd8f128dd74ae7c3602ae3895f4d34312193e

 l2/l2_data_manager_new.py

@@ -316,6 +316,8 @@
            # 转换数据格式
            _start_index = 0
            total_datas = local_today_datas.get(code)
            if code not in local_today_datas:
                local_today_datas[code] = []
            if total_datas:
                _start_index = total_datas[-1]["index"] + 1
            datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas,
@@ -341,7 +343,8 @@
                exec_data = order_info[2]
                order_begin_pos = cls.__get_order_begin_pos(
                    code)
                async_log_util.info(logger_debug, f"下单位矫正：真实下单位-{real_order_index} 订单信息-{order_info}  下单信息-{order_begin_pos}")
                async_log_util.info(logger_debug,
                                    f"下单位矫正：真实下单位-{real_order_index} 订单信息-{order_info}  下单信息-{order_begin_pos}")
                if order_begin_pos and order_begin_pos.buy_exec_index == exec_data["index"]:
                    cls.set_real_place_order_index(code, real_order_index, order_begin_pos)
                    async_log_util.info(logger_real_place_order_position,
@@ -382,7 +385,8 @@
                                    cls.__recompute_real_order_index, code, place_order_index, order_info)
                            except:
                                pass
                            async_log_util.info(logger_l2_process, "code:{} 获取到下单真实位置：{}", code, place_order_index)
                            async_log_util.info(logger_l2_process, f"code:{code} 获取到下单真实位置：{place_order_index}")

                except:
                    async_log_util.error(logger_l2_error, f"{code} 处理真实下单位置出错")
            # 第1条数据是否为09:30:00
@@ -391,7 +395,7 @@
                    price_data = global_util.cuurent_prices.get(code)
                    if price_data[1]:
                        # 当前涨停价，设置涨停时间
                        async_log_util.info(logger_l2_process, "开盘涨停：{}", code)
                        async_log_util.info(logger_l2_process, f"开盘涨停：{code}")
                        # 保存涨停时间
                        cls.__LimitUpTimeManager.save_limit_up_time(code, "09:30:00")

@@ -458,11 +462,10 @@
                    # 未挂单,时间相差不大才能挂单
                    # if tool.trade_time_sub(latest_time, "09:32:00") < 0 or l2.l2_data_util.L2DataUtil.is_same_time(now_time_str, latest_time):
                    cls.__process_not_order(code, start_index, end_index, capture_timestamp, is_first_code)

            async_log_util.info(logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 线程ID：{}", code,
                                add_datas[0]["index"],
                                add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
                                l2_log.threadIds.get(code))
            l2_log.info(code, logger_l2_process, "code:{} 处理数据范围: {}-{} 处理时间:{} 线程ID：{}", code,
                        add_datas[0]["index"],
                        add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
                        l2_log.threadIds.get(code))

    # 处理未挂单
    @classmethod
@@ -492,7 +495,8 @@
            _start_time = round(t.time() * 1000)
            # S撤单计算，看秒级大单撤单
            try:
                b_need_cancel, b_cancel_msg = cls.__SCancelBigNumComputer.need_cancel_for_down(code, start_index,end_index)
                b_need_cancel, b_cancel_msg = cls.__SCancelBigNumComputer.need_cancel_for_down(code, start_index,
                                                                                               end_index)
                if b_need_cancel:
                    async_log_util.error(logger_debug, f"{code} S后撤单：{b_cancel_msg}")
                    return total_data[end_index], f"S后撤({b_cancel_msg})"
@@ -862,9 +866,9 @@
        if cls.__PauseBuyCodesManager.is_in_cache(code):
            return False, True, f"该代码被暂停交易"
        now_time_int = int(tool.get_now_time_str().replace(":", ""))
        if  now_time_int>= 145700:
        if now_time_int >= 145700:
            return False, True, f"14:57后不能交易"
        if  130100>=now_time_int>= 112900:
        if 130100 >= now_time_int >= 112900:
            return False, True, f"11:29:00-13:01:00不能交易"

        limit_up_price = gpcode_manager.get_limit_up_price(code)
@@ -1730,8 +1734,8 @@
                    buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
                    buy_count += int(total_datas[i]["re"])
                    if (buy_nums >= threshold_num and buy_count >= threshold_count) or buy_nums >= threshold_max_num:
                        async_log_util.info(logger_l2_trade_buy,
                                            f"{code}获取到买入执行点：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num}/{threshold_max_num} 统计纯买单数：{buy_count} 目标纯买单数：{threshold_count}, 大单数量：{len(max_buy_num_set)}")
                        l2_log.info(code, logger_l2_trade_buy,
                                    f"{code}获取到买入执行点：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num}/{threshold_max_num} 统计纯买单数：{buy_count} 目标纯买单数：{threshold_count}, 大单数量：{len(max_buy_num_set)}")
            elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
                if _val["num"] >= bigger_num:
                    # 只统计59万以上的金额
@@ -1863,8 +1867,8 @@
                buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
                buy_count += int(total_datas[i]["re"])
                if buy_nums >= threshold_num:
                    async_log_util.info(logger_l2_trade_buy,
                                        f"{code}获取到买入执行点(快速买入)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}")
                    l2_log.info(code, logger_l2_trade_buy,
                                f"{code}获取到买入执行点(快速买入)：{i} 统计纯买手数：{buy_nums} 目标纯买手数：{threshold_num} 统计纯买单数：{buy_count}")
            elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
                # 判断买入位置是否在买入信号之前
                buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],