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| | | L2成交数据处理器 |
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| | | """ |
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| | | import json |
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| | | import logging |
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| | | import time |
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| | | |
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| | | from code_attribute import gpcode_manager |
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| | | from db import redis_manager |
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| | | from db.redis_manager_delegate import RedisUtils |
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| | | from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_data_source_util |
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| | | from l2.cancel_buy_strategy import LCancelRateManager, LCancelBigNumComputer, \ |
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| | | SecondCancelBigNumComputer, HourCancelBigNumComputer, \ |
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| | | GCancelBigNumComputer, FCancelBigNumComputer |
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| | | from l2.l2_data_manager_new import L2TradeDataProcessor |
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| | | from l2.l2_data_util import L2DataUtil, local_today_canceled_buyno_map |
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| | | |
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| | | from log_module import async_log_util |
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| | | from log_module.log import logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug, \ |
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| | | hx_logger_l2_transaction_desc, logger_debug |
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| | | from msg import push_msg_manager |
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| | | from third_data import kpl_data_manager |
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| | | from trade import current_price_process_manager, trade_manager, l2_trade_factor |
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| | | from trade.deal_big_money_manager import DealOrderNoManager |
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| | | from log_module.log import hx_logger_l2_transaction_desc |
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| | | |
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| | | from utils import tool |
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| | | |
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| | | |
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| | | class HuaXinTransactionDatasProcessor: |
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| | | class HuaXinTransactionDataManager: |
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| | | __db = 0 |
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| | | __instance = None |
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| | | __redis_manager = redis_manager.RedisManager(0) |
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| | | |
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| | | __TradeBuyQueue = transaction_progress.TradeBuyQueue() |
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| | | |
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| | | # 正在成交的订单 |
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| | | __dealing_order_info_dict = {} |
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| | | # 最近成交的订单{"code":(订单号，是否成交完成)} |
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| | | |
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| | | def __new__(cls, *args, **kwargs): |
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| | | if not cls.__instance: |
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| | | cls.__instance = super(HuaXinTransactionDatasProcessor, cls).__new__(cls, *args, **kwargs) |
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| | | cls.__instance = super(HuaXinTransactionDataManager, cls).__new__(cls, *args, **kwargs) |
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| | | cls.__load_datas() |
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| | | return cls.__instance |
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| | | |
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| | | RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(), |
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| | | json.dumps(self.__dealing_order_info_dict[code])) |
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| | | |
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| | | # 统计成交的情况 |
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| | | # 获取代码正在成交的信息 |
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| | | # 返回数据：[订单号，总股数，开始成交时间，结束成交时间, 总买] |
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| | | @classmethod |
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| | | def get_dealing_order_info(cls, code): |
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| | | return cls.__dealing_order_info_dict.get(code) |
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| | | |
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| | | def __statistic_deal_desc(self, code, data, total_buy_num): |
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| | | if code not in self.__dealing_order_info_dict: |
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| | | # 数据格式[订单号，总手数，开始成交时间，结束成交时间, 总买] |
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| | | self.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num] |
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| | | if self.__dealing_order_info_dict[code][0] == data[6]: |
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| | | # 统计成交的情况 |
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| | | @classmethod |
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| | | def statistic_deal_desc(cls, code, data, total_buy_num): |
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| | | if code not in cls.__dealing_order_info_dict: |
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| | | # 数据格式[订单号，总股数，开始成交时间，结束成交时间, 总买] |
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| | | cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num] |
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| | | if cls.__dealing_order_info_dict[code][0] == data[6]: |
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| | | # 成交同一个订单号 |
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| | | self.__dealing_order_info_dict[code][1] += data[2] |
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| | | self.__dealing_order_info_dict[code][3] = data[3] |
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| | | cls.__dealing_order_info_dict[code][1] += data[2] |
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| | | cls.__dealing_order_info_dict[code][3] = data[3] |
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| | | else: |
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| | | # 保存上一条数据 |
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| | | async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{self.__dealing_order_info_dict[code]}") |
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| | | async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}") |
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| | | # 设置最近成交完成的一条数据 |
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| | | deal_info = ( |
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| | | self.__dealing_order_info_dict[code][0], |
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| | | self.__dealing_order_info_dict[code][4] == self.__dealing_order_info_dict[code][1]) |
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| | | self.__latest_deal_order_info_dict[code] = deal_info |
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| | | cls.__dealing_order_info_dict[code][0], |
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| | | cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1]) |
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| | | cls.__latest_deal_order_info_dict[code] = deal_info |
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| | | # 初始化本条数据 |
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| | | self.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num] |
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| | | cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num] |
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| | | return deal_info |
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| | | return None |
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| | | |
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| | | # 计算成交进度 |
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| | | def __compute_latest_trade_progress(self, code, buyno_map, datas): |
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| | | buy_progress_index = None |
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| | | for i in range(len(datas) - 1, -1, -1): |
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| | | d = datas[i] |
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| | | buy_no = f"{d[6]}" |
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| | | if buyno_map and buy_no in buyno_map: |
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| | | async_log_util.info(hx_logger_l2_debug, f"{code}成交进度：{buyno_map[buy_no]['index']}") |
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| | | buy_progress_index = buyno_map[buy_no]["index"] |
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| | | break |
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| | | return buy_progress_index |
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| | | |
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| | | def process_huaxin_transaction_datas(self, code, datas): |
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| | | # 设置成交价 |
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| | | current_price_process_manager.set_trade_price(code, datas[-1][1]) |
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| | | total_datas = l2_data_util.local_today_datas.get(code) |
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| | | __start_time = time.time() |
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| | | try: |
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| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
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| | | if not buyno_map: |
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| | | if trade_manager.CodesTradeStateManager().get_trade_state( |
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| | | code) != trade_manager.TRADE_STATE_NOT_TRADE: |
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| | | l2_data_util.load_l2_data(code) |
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| | | buyno_map = l2_data_util.local_today_buyno_map.get(code) |
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| | | if buyno_map is None: |
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| | | buyno_map = {} |
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| | | |
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| | | order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) |
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| | | |
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| | | if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1: |
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| | | # 已经下单的需要统计F撤 |
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| | | try: |
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| | | for d in datas: |
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| | | if FCancelBigNumComputer().need_cancel(d)[0]: |
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| | | L2TradeDataProcessor.cancel_buy(code, f"F撤撤单:{d}") |
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| | | order_begin_pos = None |
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| | | break |
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| | | except Exception as e: |
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| | | async_log_util.error(hx_logger_l2_debug, str(e)) |
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| | | try: |
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| | | for d in datas: |
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| | | if LCancelBigNumComputer().add_transaction_data(d)[0]: |
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| | | L2TradeDataProcessor.cancel_buy(code, f"L后成交太快撤单:{d}") |
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| | | order_begin_pos = None |
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| | | break |
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| | | except Exception as e: |
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| | | async_log_util.error(hx_logger_l2_debug, str(e)) |
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| | | |
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| | | |
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| | | # 计算已经成交的大单 |
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| | | big_money_count = 0 |
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| | | for d in datas: |
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| | | data = buyno_map.get(f"{d[6]}") |
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| | | buy_num = None |
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| | | if data: |
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| | | buy_num = data["val"]["num"] * 100 |
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| | | # 统计成交单 |
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| | | deal_info = self.__statistic_deal_desc(code, d, buy_num) |
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| | | if deal_info and deal_info[1]: |
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| | | data = buyno_map.get(f"{deal_info[0]}") |
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| | | print("已经成交索引：", data["index"]) |
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| | | val = data["val"] |
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| | | if l2_data_util.is_big_money(val) and L2DataUtil.is_limit_up_price_buy(val): |
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| | | big_money_count += 1 |
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| | | DealOrderNoManager().add_orderno(code, f"{deal_info[0]}") |
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| | | # L后是否有成交，如果有成交就需要除去当前笔数，然后重新囊括一笔 |
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| | | LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index) |
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| | | if big_money_count > 0: |
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| | | LCancelRateManager.compute_big_num_deal_rate(code) |
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| | | |
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| | | buy_progress_index = self.__compute_latest_trade_progress(code, buyno_map, datas) |
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| | | |
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| | | if buy_progress_index is not None: |
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| | | buy_progress_index_changed = self.__TradeBuyQueue.set_traded_index(code, buy_progress_index, |
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| | | total_datas) |
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| | | |
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| | | async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功： code-{} index-{}", code, |
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| | | buy_progress_index) |
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| | | |
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| | | GCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index) |
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| | | |
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| | | LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index, |
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| | | total_datas) |
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| | | SecondCancelBigNumComputer().set_transaction_index( |
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| | | code, |
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| | | buy_progress_index) |
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| | | if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1: |
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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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| | | # ---------------------------------判断板块是否跟上来了------------------------------- |
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| | | try: |
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| | | pass |
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| | | # order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) |
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| | | # volume_rate = 0 |
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| | | # volume_info = L2TradeDataProcessor.volume_rate_info.get(code) |
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| | | # if volume_info: |
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| | | # volume_rate = volume_info[0] |
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| | | # need_cancel, msg = UCancelBigNumComputer().need_cancel(code, buy_progress_index, order_begin_pos, |
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| | | # kpl_data_manager.KPLLimitUpDataRecordManager.get_current_reason_codes_dict(), |
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| | | # volume_rate) |
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| | | # if need_cancel: |
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| | | # L2TradeDataProcessor.cancel_buy(code, msg) |
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| | | except Exception as e: |
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| | | logger_debug.exception(e) |
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| | | if buy_progress_index_changed: |
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| | | # 交易进度变化，判断到真实下单位置的距离 |
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| | | real_order_index = SecondCancelBigNumComputer().get_real_place_order_index_cache(code) |
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| | | if real_order_index and real_order_index >= buy_progress_index: |
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| | | left_count = 0 |
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| | | for i in range(buy_progress_index + 1, real_order_index): |
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| | | val = total_datas[i]["val"] |
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| | | if not L2DataUtil.is_limit_up_price_buy(val): |
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| | | continue |
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| | | if val["num"] * float(val["price"]) < 5000: |
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| | | continue |
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| | | left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2( |
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| | | code, i, |
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| | | total_datas, |
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| | | local_today_canceled_buyno_map.get( |
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| | | code)) |
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| | | if left_count > 0: |
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| | | left_count += 1 |
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| | | if left_count <= 3: |
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| | | # 当成交进度距离真实下单位置不足3笔时推送即将成交的消息 |
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| | | push_msg_manager.push_order_almost_deal(code, gpcode_manager.get_code_name(code)) |
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| | | |
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| | | else: |
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| | | pass |
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| | | if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1: |
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| | | # 触发L撤上重新计算 |
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| | | LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index) |
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| | | |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | hx_logger_l2_debug.exception(e) |
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| | | finally: |
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| | | use_time = int((time.time() - __start_time) * 1000) |
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| | | if use_time > 10: |
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| | | async_log_util.info(hx_logger_l2_upload, f"{code}处理成交用时：{use_time}") |
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