| | |
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| | | return len(sell_list) |
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| | | |
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| | | @classmethod |
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| | | def process_passive_limit_up_sell_data(cls, code, datas, limit_up_price): |
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| | | def process_passive_limit_up_sell_data(cls, code, fdatas, limit_up_price): |
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| | | """ |
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| | | 添加涨停被动卖成交数据 |
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| | | @param data: 数据格式：(data['SecurityID'], data['TradePrice'], data['TradeVolume'], |
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| | | @param fdata: 数据格式：(data['SecurityID'], data['TradePrice'], data['TradeVolume'], |
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| | | # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'], |
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| | | # data['SellNo'], data['ExecType']) |
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| | | |
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| | | [(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)] |
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| | | @return: 涨停卖是否已经吃完 |
|---|
| | | """ |
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| | | try: |
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| | |
|---|
| | | if not sell_list: |
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| | | return False |
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| | | sell_info = sell_list[-1] |
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| | | for data in datas: |
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| | | for data in fdatas: |
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| | | # 过滤被动买 |
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| | | if data[6] < data[7]: |
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| | | if not data[1]: |
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| | | # 出现被动买需要将历史大单清空 |
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| | | if cls.__active_buy_order_datas_dict.get(code): |
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| | | cls.__active_buy_order_datas_dict[code].clear() |
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| | | continue |
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| | | money = data[3] |
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| | | # 统计买单数据 |
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| | | if code not in cls.__latest_active_buy_order_data_dict: |
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| | | # [买单号，当前成交股数, 当前成交金额, 开始时间, 结束时间] |
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| | | cls.__latest_active_buy_order_data_dict[code] = [data[6], data[2], data[2] * data[1], data[3], |
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| | | data[3]] |
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| | | cls.__latest_active_buy_order_data_dict[code] = [data[0][6], data[0][2], money, data[0][3], |
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| | | data[0][3]] |
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| | | else: |
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| | | if data[6] == cls.__latest_active_buy_order_data_dict[code][0]: |
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| | | if data[0][6] == cls.__latest_active_buy_order_data_dict[code][0]: |
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| | | # 同一买单号 |
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| | | cls.__latest_active_buy_order_data_dict[code][1] += data[2] |
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| | | cls.__latest_active_buy_order_data_dict[code][2] += data[2] * data[1] |
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| | | cls.__latest_active_buy_order_data_dict[code][4] = data[3] |
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| | | cls.__latest_active_buy_order_data_dict[code][1] += data[0][2] |
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| | | cls.__latest_active_buy_order_data_dict[code][2] += money |
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| | | cls.__latest_active_buy_order_data_dict[code][4] = data[0][3] |
|---|
| | | else: |
|---|
| | | # 不同买单号 |
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| | | if cls.__latest_active_buy_order_data_dict[code][2] >= 2990000: |
|---|
| | |
|---|
| | | cls.__active_buy_order_datas_dict[code].append( |
|---|
| | | cls.__latest_active_buy_order_data_dict[code]) |
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| | | |
|---|
| | | cls.__latest_active_buy_order_data_dict[code] = [data[6], data[2], data[2] * data[1], data[3], |
|---|
| | | data[3]] |
|---|
| | | cls.__latest_active_buy_order_data_dict[code] = [data[0][6], data[0][2], money, data[0][3], |
|---|
| | | data[0][3]] |
|---|
| | | |
|---|
| | | if data[1] != limit_up_price: |
|---|
| | | if not data[2]: |
|---|
| | | # 排除主动卖/非涨停卖 |
|---|
| | | continue |
|---|
| | | sell_no = data[7] |
|---|
| | | sell_no = data[0][7] |
|---|
| | | if sell_no != sell_info['val']['orderNo']: |
|---|
| | | continue |
|---|
| | | # 需要判断当前单是否已经成交完成 |
|---|
| | | if code not in cls.__latest_sell_data: |
|---|
| | | cls.__latest_sell_data[code] = [sell_no, data[2]] |
|---|
| | | cls.__latest_sell_data[code] = [sell_no, data[0][2]] |
|---|
| | | else: |
|---|
| | | if cls.__latest_sell_data[code][0] == sell_no: |
|---|
| | | cls.__latest_sell_data[code][1] += data[2] |
|---|
| | | cls.__latest_sell_data[code][1] += data[0][2] |
|---|
| | | else: |
|---|
| | | cls.__latest_sell_data[code] = [sell_no, data[2]] |
|---|
| | | cls.__latest_sell_data[code] = [sell_no, data[0][2]] |
|---|
| | | sell_info_num = sell_info['val']['num'] |
|---|
| | | deal_num = cls.__latest_sell_data[code][1] // 100 |
|---|
| | | if sell_info_num == deal_num: |
|---|
| | | use_time = round((time.time() - start_time) * 1000, 3) |
|---|
| | | l2_log.info(code, logger_l2_trade_buy, |
|---|
| | | f"找到最近的被动涨停卖单数据：{sell_info['val']['orderNo']}, 成交数据：{data} 计算耗时：{use_time}ms, 可以触发下单") |
|---|
| | | |
|---|
| | | |
|---|
| | | |
|---|
| | | # 将历史大单列表与最近的大单加入列表 |
|---|
| | | big_buy_order_datas = [] |
|---|
| | |
|---|
| | | cls.__callback = callback |
|---|
| | | |
|---|
| | | @classmethod |
|---|
| | | def set_latest_sell_data(cls, code, data, big_active_buy_order_datas): |
|---|
| | | def set_latest_sell_data(cls, code, fdata, big_active_buy_order_datas): |
|---|
| | | |
|---|
| | | """ |
|---|
| | | 设置最近成交的涨停卖被动成交数据 |
|---|
| | |
|---|
| | | @param big_active_buy_order_datas: 大主动买单数据：[[买单号，当前成交股数, 当前成交金额, 开始时间, 结束时间],....] |
|---|
| | | @return: |
|---|
| | | """ |
|---|
| | | deal_time = l2_huaxin_util.convert_time(data[3], True) |
|---|
| | | deal_time = fdata[5] |
|---|
| | | # 生效时间在1s以内 |
|---|
| | | cls.__latest_sell_data_dict[code] = (data, tool.trade_time_add_millionsecond(deal_time, 1000)) |
|---|
| | | cls.__latest_sell_data_dict[code] = (fdata[0], tool.trade_time_add_millionsecond(deal_time, 1000)) |
|---|
| | | if cls.__callback: |
|---|
| | | big_buy_order_count = 0 |
|---|
| | | if big_active_buy_order_datas: |
|---|
| | | for b in big_active_buy_order_datas: |
|---|
| | | if b[0] > data[7]: |
|---|
| | | if b[0] > fdata[0][7]: |
|---|
| | | # 买单在卖单之后 |
|---|
| | | big_buy_order_count += 1 |
|---|
| | | |
|---|
