真实下单位修改/L2成交处理速度提升

Administrator

2025-03-13 984e59be6787f06b927d5ec612f443f54e145044

 l2/l2_transaction_data_manager.py

@@ -199,37 +199,37 @@
        return cls.__dealing_active_buy_order_info_dict.get(code)

    @classmethod
    def statistic_big_buy_data(cls, code, datas, limit_up_price):
    def statistic_big_buy_data(cls, code, fdatas, limit_up_price):
        """
        统计大单买
        @param code:
        @param datas:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @return: 返回数据里面(成交的大单,50w以上的单）
        """
        big_buy_datas = []
        normal_buy_datas = []
        # 大单阈值
        threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
        for data in datas:
        for data in fdatas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            is_limit_up = abs(data[1] - limit_up_price) < 0.0001
            money = data[2] * data[1]
            is_limit_up = data[2]
            money = data[3]
            if code not in cls.__dealing_order_info_dict:
                # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间, 最近的成交价格, 最近的卖单号, 涨停价成交金额]
                cls.__dealing_order_info_dict[code] = [data[6], data[2], money, data[3], data[3], data[1],
                                                       data[7], 0]
                cls.__dealing_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3], data[0][3], data[0][1],
                                                       data[0][7], 0]
                if is_limit_up:
                    cls.__dealing_order_info_dict[code][7] += money
            else:
                if cls.__dealing_order_info_dict[code][0] == data[6]:
                if cls.__dealing_order_info_dict[code][0] == data[0][6]:
                    # 成交同一个订单号
                    cls.__dealing_order_info_dict[code][1] += data[2]
                    cls.__dealing_order_info_dict[code][1] += data[0][2]
                    cls.__dealing_order_info_dict[code][2] += money
                    cls.__dealing_order_info_dict[code][4] = data[3]
                    cls.__dealing_order_info_dict[code][5] = data[1]
                    cls.__dealing_order_info_dict[code][6] = data[7]
                    cls.__dealing_order_info_dict[code][4] = data[0][3]
                    cls.__dealing_order_info_dict[code][5] = data[0][1]
                    cls.__dealing_order_info_dict[code][6] = data[0][7]
                    if is_limit_up:
                        cls.__dealing_order_info_dict[code][7] += money
                else:
@@ -247,28 +247,28 @@
                        normal_buy_datas.append(deal_info)

                    # 初始化本条数据
                    cls.__dealing_order_info_dict[code] = [data[6], data[2], money, data[3], data[3],
                                                           data[1], data[7], 0]
                    cls.__dealing_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3], data[0][3],
                                                           data[0][1], data[0][7], 0]
                    if is_limit_up:
                        cls.__dealing_order_info_dict[code][7] += money

            # 统计主动买(买单号大于卖单号)
            try:
                if data[6] > data[7]:
                if data[1]:
                    if code not in cls.__dealing_active_buy_order_info_dict:
                        # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间]
                        cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3],
                                                                          data[3]]
                        cls.__dealing_active_buy_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3],
                                                                          data[0][3]]
                    else:
                        if cls.__dealing_active_buy_order_info_dict[code][0] == data[6]:
                        if cls.__dealing_active_buy_order_info_dict[code][0] == data[0][6]:
                            # 成交同一个订单号
                            cls.__dealing_active_buy_order_info_dict[code][1] += data[2]
                            cls.__dealing_active_buy_order_info_dict[code][2] += data[2] * data[1]
                            cls.__dealing_active_buy_order_info_dict[code][4] = data[3]
                            cls.__dealing_active_buy_order_info_dict[code][1] += data[0][2]
                            cls.__dealing_active_buy_order_info_dict[code][2] += money
                            cls.__dealing_active_buy_order_info_dict[code][4] = data[0][3]
                        else:
                            # 初始化本条数据
                            cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1],
                                                                              data[3], data[3]]
                            cls.__dealing_active_buy_order_info_dict[code] = [data[0][6], data[0][2], money,
                                                                              data[0][3], data[0][3]]
            except:
                pass

@@ -278,7 +278,7 @@
# 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 = {}
    # __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 = {}
@@ -303,25 +303,26 @@
    __dealing_order_info_dict = {}

    @classmethod
    def statistic_big_sell_data(cls, code, datas):
    def statistic_big_sell_data(cls, code, fdatas):
        """
        统计大卖单
        @param code:
        @param datas:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @return: 返回数据里面成交的大单
        """
        big_sell_datas = []
        for data in datas:
        for data in fdatas:
            money = data[3]
            # 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]:
                cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money]
            if cls.__dealing_order_info_dict[code][0] == data[0][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]
                cls.__dealing_order_info_dict[code][1] += data[0][2]
                cls.__dealing_order_info_dict[code][2] += money
            else:
                # 保存上一条数据
                l2_log.info(code, hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
@@ -331,7 +332,7 @@
                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]]
                cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money]
        return big_sell_datas

    # 统计所有的成交量
@@ -340,31 +341,32 @@
    __deal_active_buy_volume_list_dict = {}

    @classmethod
    def statistic_total_deal_volume(cls, code, datas, limit_up_price):
    def statistic_total_deal_volume(cls, code, fdatas, limit_up_price):
        """
        统计总共的成交量
        @param code:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @param limit_up_price:
        @return:
        """
        # 只统计被动买
        if code not in cls.__deal_volume_list_dict:
            cls.__deal_volume_list_dict[code] = []

        time_dict = {}
        for d in datas:
        for d in fdatas:
            # 只统计被动买
            if d[7] < d[6]:
            if d[1]:
                continue
            time_str = ''
            if d[3] in time_dict:
                time_str = time_dict[d[3]]
            else:
                time_dict[d[3]] = l2_huaxin_util.convert_time(d[3])
                time_str = time_dict[d[3]]
            time_str = d[4]
            if cls.__deal_volume_list_dict[code]:
                if cls.__deal_volume_list_dict[code][-1][0] == time_str:
                    # 如果是同一秒
                    cls.__deal_volume_list_dict[code][-1][1] += d[2]
                    cls.__deal_volume_list_dict[code][-1][1] += d[0][2]
                else:
                    # 不是同一秒
                    cls.__deal_volume_list_dict[code].append([time_str, d[2]])
                    cls.__deal_volume_list_dict[code].append([time_str, d[0][2]])
            else:
                cls.__deal_volume_list_dict[code].append([time_str, d[2]])
                cls.__deal_volume_list_dict[code].append([time_str, d[0][2]])
        # 删除超过5条数据
        if len(cls.__deal_volume_list_dict[code]) > 5:
            cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]
@@ -373,34 +375,28 @@
            # 统计主动买的成交量
            if code not in cls.__deal_active_buy_volume_list_dict:
                cls.__deal_active_buy_volume_list_dict[code] = []
            for d in datas:
            for d in fdatas:
                # 只统计主动买
                if d[7] > d[6]:
                if not d[1]:
                    continue
                # 只统计涨停买
                if d[1] != limit_up_price:
                if not d[2]:
                    continue
                if d[3] in time_dict:
                    time_str = time_dict[d[3]]
                else:
                    time_dict[d[3]] = l2_huaxin_util.convert_time(d[3])
                    time_str = time_dict[d[3]]
                time_str = d[4]
                if cls.__deal_active_buy_volume_list_dict[code]:
                    if cls.__deal_active_buy_volume_list_dict[code][-1][0] == time_str:
                        # 如果是同一秒
                        cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[2]
                        cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[0][2]
                    else:
                        # 不是同一秒
                        cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
                        cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
                else:
                    cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
                    cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
            # 删除超过10条数据
            if len(cls.__deal_active_buy_volume_list_dict[code]) > 10:
                cls.__deal_active_buy_volume_list_dict[code] = cls.__deal_active_buy_volume_list_dict[code][-10:]
        except:
            pass

        time_dict.clear()

    @classmethod
    def get_latest_3s_continue_deal_volumes(cls, code):
@@ -461,18 +457,21 @@

    # 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):
        # 是否为主动卖
        def is_active_sell(sell_no, buy_no):
            return sell_no > buy_no
    def add_transaction_datas(cls, code, fdatas, limit_up_price=None):
        """
        @param code:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @param limit_up_price:
        @return:
        """

        f_start_time = time.time()
        use_time_list = []
        # 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.__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:
@@ -485,41 +484,39 @@
            cls.__latest_all_sell_orders_dict[code] = []

        # 保存最近的成交价格:(价格,成交时间)
        cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3])
        cls.__latest_trade_price_dict[code] = (fdatas[-1][0][1], fdatas[-1][0][3])

        __start_time = time.time()
        # 是否还有涨停卖剩下
        no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas,
        no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas,
                                                                                              limit_up_price)
        use_time = time.time() - __start_time
        __start_time = time.time()
        use_time_list.append(("处理涨停卖", use_time))
        for d in datas:
        for d in fdatas:
            # 获取当前是否为主动买
            try:
                _is_active_sell = is_active_sell(d[7], d[6])
                if not _is_active_sell:
                if d[1]:
                    # 主动买
                    continue

                if d[1] == limit_up_price:
                if d[2]:
                    # 涨停主动卖
                    L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d)
                    L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0])

                # 判断是否是涨停被动变主动
                last_trade_data = cls.__last_trade_data_dict.get(code)
                if last_trade_data and not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[
                    1] == limit_up_price:
                    if d[1] == limit_up_price:
                if last_trade_data and last_trade_data[1] and last_trade_data[2]:
                    if d[2]:
                        # 涨停被动变主动
                        L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data, d)
                cls.__latest_sell_order_info_list_dict[code].append(d)
                        L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data[0], d[0])
                # 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])]
                    cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][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])
                    if cls.__latest_sell_order_dict[code][0] == d[0][7]:
                        cls.__latest_sell_order_dict[code][1] += d[0][2]
                        cls.__latest_sell_order_dict[code][2] = d[0][1]
                        cls.__latest_sell_order_dict[code][4] = (d[0][3], d[0][6])
                    else:
                        info = cls.__latest_sell_order_dict[code]

@@ -541,7 +538,7 @@
                            # 将涨停主动卖记入日志
                            l2_log.info(code, hx_logger_l2_active_sell, f"{info}")

                        cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
                        cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])]
            finally:
                cls.__last_trade_data_dict[code] = d

@@ -549,7 +546,7 @@
        __start_time = time.time()
        use_time_list.append(("大单统计", use_time))

        latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
        latest_time = fdatas[-1][5]
        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
@@ -605,14 +602,14 @@
        # ----------------统计涨停主动买-----------------
        try:
            limit_up_active_buy_datas = []
            for d in datas:
                if is_active_sell(d[7], d[6]):
            for d in fdatas:
                if not d[1]:
                    # 被动买
                    continue
                # 是否是涨停
                if d[1] == limit_up_price:
                if d[2]:
                    # 有涨停主动买
                    limit_up_active_buy_datas.append(d)
                    limit_up_active_buy_datas.append(d[0])
            L2TradeSingleDataManager.set_limit_up_active_buy(code, limit_up_active_buy_datas, no_left_limit_up_sell)

            use_time = time.time() - __start_time
@@ -624,7 +621,7 @@
        use_time = time.time() - f_start_time
        if use_time > 0.01:
            l2_log.info(code, hx_logger_l2_upload,
                        f"{code}处理成交详细用时：{use_time} 数据数量：{len(datas)}  详情:{use_time_list}")
                        f"{code}处理成交详细用时：{use_time} 数据数量：{len(fdatas)}  详情:{use_time_list}")
        return total_sell_info

    # 获取最近成交数据