大单净流入对撤单比例影响

Administrator

2024-04-22 30b8187bb288e69750e3280d3e1f4cccc0a01d85

 l2/l2_transaction_data_manager.py

@@ -10,10 +10,88 @@
from l2.l2_data_util import local_today_sellno_map, local_today_datas
from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager

from log_module import async_log_util
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell
from log_module import async_log_util, log_export
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell, \
    hx_logger_l2_transaction_big_buy_order, hx_logger_l2_transaction_big_sell_order

from utils import tool


class BigOrderDealManager:
    """
    大单成交管理
    """
    __total_buy_datas_dict = {}
    __total_sell_datas_dict = {}
    __instance=None

    def __new__(cls, *args, **kwargs):
        if not cls.__instance:
            cls.__instance = super(BigOrderDealManager, cls).__new__(cls, *args, **kwargs)
            cls.__load_datas()
        return cls.__instance

    @classmethod
    def __load_datas(cls):
        # 从日志加载数据
        buy_order_map = log_export.load_huaxin_big_buy_order()
        if buy_order_map:
            for code in buy_order_map:
                cls.__total_buy_datas_dict[code] = buy_order_map[code]

        sell_order_map = log_export.load_huaxin_big_sell_order()
        if sell_order_map:
            for code in sell_order_map:
                cls.__total_sell_datas_dict[code] = sell_order_map[code]

    def add_buy_datas(self, code, datas):
        """
        添加大买单数据
        @param code: 代码
        @param datas:[(买单号,总股数,总成交额)]
        @return:
        """
        if not datas:
            return
        if code not in self.__total_buy_datas_dict:
            self.__total_buy_datas_dict[code] = []
        self.__total_buy_datas_dict[code].extend(datas)
        # 将数据保存到日志
        l2_log.info(code, hx_logger_l2_transaction_big_buy_order, f"{datas}")

    def add_sell_datas(self, code, datas):
        """
        添加大卖单数据
        @param code: 代码
        @param datas:[(卖单号,总股数,总成交额)]
        @return:
        """
        if not datas:
            return
        if code not in self.__total_sell_datas_dict:
            self.__total_sell_datas_dict[code] = []
        self.__total_sell_datas_dict[code].extend(datas)
        l2_log.info(code, hx_logger_l2_transaction_big_sell_order, f"{datas}")

    def get_total_buy_money(self, code):
        """
        获取总共的大单买金额
        @param code:
        @return:
        """
        if code not in self.__total_buy_datas_dict:
            return 0
        return int(sum([x[2] for x in self.__total_buy_datas_dict[code]]))

    def get_total_sell_money(self, code):
        """
        获取总共的大单卖金额
        @param code:
        @return:
        """
        if code not in self.__total_sell_datas_dict:
            return 0
        return int(sum([x[2] for x in self.__total_sell_datas_dict[code]]))


# 成交数据统计
@@ -56,34 +134,48 @@
            RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
                             json.dumps(self.__dealing_order_info_dict[code]))

    # 获取代码正在成交的信息
    # 返回数据：[订单号，总股数，开始成交时间，结束成交时间, 总买]
    @classmethod
    def get_dealing_order_info(cls, code):
        """
        获取当前正在成交的数据
        @param code:
        @return: [买单号,总股数,总金额]
        """
        return cls.__dealing_order_info_dict.get(code)

    # 统计成交的情况
    @classmethod
    def statistic_deal_desc(cls, code, data, total_buy_num):
        if code not in cls.__dealing_order_info_dict:
            # 数据格式[订单号，总股数，开始成交时间，结束成交时间, 总买]
            cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
        if cls.__dealing_order_info_dict[code][0] == data[6]:
            # 成交同一个订单号
            cls.__dealing_order_info_dict[code][1] += data[2]
            cls.__dealing_order_info_dict[code][3] = data[3]
        else:
            # 保存上一条数据
            async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
            # 设置最近成交完成的一条数据
            deal_info = (
                cls.__dealing_order_info_dict[code][0],
                cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1])
            cls.__latest_deal_order_info_dict[code] = deal_info
            # 初始化本条数据
            cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
            return deal_info
        return None
    def statistic_big_buy_data(cls, code, datas):
        """
        统计大单买
        @param code:
        @param datas:
        @return: 返回数据里面成交的大单
        """
        big_buy_datas = []
        for data in datas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))

            if code not in cls.__dealing_order_info_dict:
                # 数据格式[订单号，总股数，成交金额]
                cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1]]
            if cls.__dealing_order_info_dict[code][0] == data[6]:
                # 成交同一个订单号
                cls.__dealing_order_info_dict[code][1] += data[2]
                cls.__dealing_order_info_dict[code][2] += data[2] * data[1]
            else:
                # 保存上一条数据
                async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
                # 设置最近成交完成的一条数据
                deal_info = cls.__dealing_order_info_dict[code]
                cls.__latest_deal_order_info_dict[code] = deal_info
                # 是否为大买单
                if deal_info[2] >= 2990000:
                    big_buy_datas.append(deal_info)
                # 初始化本条数据
                cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1]]
        return big_buy_datas


# 卖单统计数据
@@ -110,6 +202,41 @@

    __last_trade_data_dict = {}

    # 用来暂时存放统计结果
    __dealing_order_info_dict = {}

    @classmethod
    def statistic_big_sell_data(cls, code, datas):
        """
        统计大卖单
        @param code:
        @param datas:
        @return: 返回数据里面成交的大单
        """
        big_sell_datas = []
        for data in datas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            if code not in cls.__dealing_order_info_dict:
                # 数据格式[订单号，总股数，成交金额]
                cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
            if cls.__dealing_order_info_dict[code][0] == data[7]:
                # 成交同一个订单号
                cls.__dealing_order_info_dict[code][1] += data[2]
                cls.__dealing_order_info_dict[code][2] += data[2] * data[1]
            else:
                # 保存上一条数据
                async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
                # 设置最近成交完成的一条数据
                deal_info = cls.__dealing_order_info_dict[code]
                # 是否为大买单
                if deal_info[2] >= 2990000:
                    big_sell_datas.append(deal_info)
                # 初始化本条数据
                cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
        return big_sell_datas

    # 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）),...])
    @classmethod
    def add_transaction_datas(cls, code, datas, limit_up_price=None):