S撤实现

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2024-03-19 8e8a2a2767e2784a6548cd07a2bf7dd6558e3f43

 l2/l2_transaction_data_manager.py

@@ -5,18 +5,20 @@

from db import redis_manager
from db.redis_manager_delegate import RedisUtils
from l2 import l2_log
from l2.huaxin import l2_huaxin_util

from log_module import async_log_util
from log_module.log import hx_logger_l2_transaction_desc
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order

from utils import tool


class HuaXinTransactionDataManager:
# 成交数据统计
class HuaXinBuyOrderManager:
    __db = 0
    __instance = None
    __redis_manager = redis_manager.RedisManager(0)


    # 正在成交的订单
    __dealing_order_info_dict = {}
@@ -25,7 +27,7 @@

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

@@ -82,3 +84,88 @@
        return None


# 卖单统计数据
class HuaXinSellOrderStatisticManager:
    # 最近的大卖单成交，格式:{code:[卖单信息,...]}
    __latest_sell_order_info_list_dict = {}

    # 大单卖单号的集合，格式：{code:{卖单号}}
    __big_sell_order_ids_dict = {}

    # 大卖单的卖单号->卖单信息映射
    __big_sell_order_info_dict = {}

    # 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）]}
    __latest_sell_order_dict = {}

    @classmethod
    def add_transaction_datas(cls, code, 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.__latest_sell_order_info_list_dict:
            cls.__latest_sell_order_info_list_dict[code] = []
        if code not in cls.__big_sell_order_ids_dict:
            cls.__big_sell_order_ids_dict[code] = set()
        if code not in cls.__big_sell_order_info_dict:
            cls.__big_sell_order_info_dict[code] = {}
        for d in datas:
            cls.__latest_sell_order_info_list_dict[code].append(d)
            if code not in cls.__latest_sell_order_dict:
                cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
            else:
                if cls.__latest_sell_order_dict[code][0] == d[7]:
                    cls.__latest_sell_order_dict[code][1] += d[2]
                    cls.__latest_sell_order_dict[code][2] = d[1]
                    cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
                else:
                    # 封存数据，计算新起点
                    l2_log.info(code, hx_logger_l2_transaction_sell_order, f"{cls.__latest_sell_order_dict[code]}")
                    # 大于50w加入卖单
                    info = cls.__latest_sell_order_dict[code]
                    if info[1] * info[2] >= 500000:
                        cls.__big_sell_order_ids_dict[code].add(info[0])
                        cls.__big_sell_order_info_dict[code][info[0]] = info

                    cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
        latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
        min_time = tool.trade_time_add_millionsecond(latest_time, -1000)
        min_time_int = int(min_time.replace(":", "").replace(".", ""))
        # 计算最近1s的大单成交
        total_datas = cls.__latest_sell_order_info_list_dict.get(code)
        start_index = 0

        total_sell_info = [0, None]  # 总资金,开始成交信息,结束成交信息
        latest_sell_order_info = cls.__latest_sell_order_dict[code]
        big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
        # print("大卖单", big_sell_order_ids)
        big_sell_orders = []
        temp_sell_order_ids = set()
        for i in range(len(datas) - 1, -1, -1):
            d = datas[i]
            if d[7] != latest_sell_order_info[0]:
                # 不是最近的成交且不是大单直接过滤
                if d[7] not in big_sell_order_ids:
                    continue
                else:
                    if d[7] not in temp_sell_order_ids:
                        big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(d[7]))
                        temp_sell_order_ids.add(d[7])
            else:
                # 是最近的但不是大单需要过滤
                if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
                    continue
                else:
                    if latest_sell_order_info[0] not in temp_sell_order_ids:
                        big_sell_orders.append(latest_sell_order_info)
                        temp_sell_order_ids.add(latest_sell_order_info[0])

            if min_time_int > int(l2_huaxin_util.convert_time(d[3], with_ms=True).replace(":", "").replace(".", "")):
                start_index = i
                break
            # 统计最近1s的大卖单数据
            total_sell_info[0] += int(d[1] * d[2])
        big_sell_orders.reverse()
        total_sell_info[1] = big_sell_orders
        cls.__latest_sell_order_info_list_dict[code] = cls.__latest_sell_order_info_list_dict[code][start_index:]
        return total_sell_info