blame | 历史 | 补丁 | 提交 | 提交对比 | ignore whitespace
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2025-03-12 b37fe91f5eed9ac691a4ee9acaec506af1267506 
 l2/l2_transaction_data_processor.py


@@ -6,7 +6,7 @@


from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager


from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer


from code_attribute import gpcode_manager


from l2 import l2_data_util, l2_data_manager, transaction_progress


from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log


from l2.cancel_buy_strategy import FCancelBigNumComputer, \


    NewGCancelBigNumComputer, \


    NBCancelBigNumComputer


@@ -21,7 +21,8 @@


from trade import current_price_process_manager, trade_constant


import concurrent.futures




from trade.radical_buy_data_manager import RedicalBuyDataManager


from trade.buy_radical import radical_buy_strategy


from trade.buy_radical.radical_buy_data_manager import RadicalBuyDataManager, EveryLimitupBigDealOrderManager


from utils import tool






@@ -51,23 +52,32 @@


        @param datas:


        @return:


        """


        limit_up_price = round(float(gpcode_manager.get_limit_up_price(code)), 2)


        limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)


        buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, datas, limit_up_price)


        if buy_datas:


            BigOrderDealManager().add_buy_datas(code, buy_datas)


            if order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:


                RedicalBuyDataManager.big_order_deal(code)


            active_big_buy_orders = []


            if buy_datas:


                for x in buy_datas:


                    if x[0] > x[6]:


                        # (买单号, 成交金额, 最后成交时间)


                        active_big_buy_orders.append((x[0], x[2], x[4]))


            EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders)


        try:


            is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)


            if is_placed_order and bigger_buy_datas:


                # 有大于50w的大单成交


                buyno_map = l2_data_util.local_today_buyno_map.get(code)


                if buyno_map:


                    for buy_data in bigger_buy_datas:


                        order_no = f"{buy_data[0]}"


                        if order_no in buyno_map:


                            LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"],


                                                                   order_begin_pos.buy_single_index)


            if is_placed_order:


                if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:


                    RadicalBuyDataManager.big_order_deal(code)




                if bigger_buy_datas:


                    # 有大于50w的大单成交


                    buyno_map = l2_data_util.local_today_buyno_map.get(code)


                    if buyno_map:


                        for buy_data in bigger_buy_datas:


                            order_no = f"{buy_data[0]}"


                            if order_no in buyno_map:


                                LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"],


                                                                       order_begin_pos.buy_single_index)


        except Exception as e:


            logger_debug.exception(e)




@@ -87,8 +97,13 @@


        # 设置成交价


        try:


            current_price_process_manager.set_trade_price(code, datas[-1][1])


            if limit_up_price > datas[-1][1]:


                # 没有涨停


                EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{datas[-1][1]}")


                radical_buy_strategy.clear_data(code)


        except:


            pass




        total_datas = l2_data_util.local_today_datas.get(code)


        use_time_list = []


        try:


@@ -99,6 +114,19 @@


            order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)


            # 是否已经下单


            is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)




            _start_time = time.time()


            L2LimitUpSellDataManager.set_deal_datas(code, datas)


            use_time_list.append(("统计涨停卖成交", time.time() - _start_time))


            _start_time = time.time()


            #  大单统计


            # cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)


            try:


                cls.statistic_big_order_infos(code, datas, order_begin_pos)


            except Exception as e:


                async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}")


            use_time_list.append(("统计大单数据", time.time() - _start_time))


            _start_time = time.time()




            big_sell_order_info = None


            try:


@@ -123,13 +151,17 @@


                # 统计卖单


                big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas, limit_up_price)




                use_time_list.append(("处理卖单成交数据", time.time() - _start_time))


                _start_time = time.time()


                use_time_list.append(("处理卖单成交数据", _start_time - __start_time))




                if is_placed_order:




                    need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,


                                                                                                         big_sell_order_info,


                                                                                                         order_begin_pos)


                    LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)




                    # need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,


                    #                                                                                      big_sell_order_info,


                    #                                                                                      order_begin_pos)


                    need_cancel, cancel_msg = False, ""


                    cancel_type = None


                    if need_cancel:


                        cancel_msg = f"S撤:{cancel_msg}"


@@ -137,11 +169,11 @@


                    if not need_cancel:


                        need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,


                                                                                            order_begin_pos)


                        cancel_type = trade_constant.CANCEL_TYPE_F


                        cancel_type = trade_constant.CANCEL_TYPE_P


                    # 判断时间是否与本地时间相差5s以上


                    if tool.trade_time_sub(tool.get_now_time_str(), l2_huaxin_util.convert_time(datas[-1][3])) > 10:


                        now_seconds = int(tool.get_now_time_str().replace(":", ""))


                        if now_seconds < int("093200"):  # or int("130000") <= now_seconds < int("130200"):


                        if now_seconds < int("093100"):  # or int("130000") <= now_seconds < int("130200"):


                            need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{l2_huaxin_util.convert_time(datas[-1][3])}"


                            cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY


                    if need_cancel:


@@ -156,11 +188,7 @@


            except Exception as e:


                async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}")


                logger_debug.exception(e)


            _start_time = time.time()


            L2LimitUpSellDataManager.set_deal_datas(code, datas)


            cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)




            use_time_list.append(("统计买单数据", time.time() - _start_time))


            _start_time = time.time()


            # if big_money_count > 0:


            #     LCancelRateManager.compute_big_num_deal_rate(code)


@@ -195,7 +223,8 @@


                        try:


                            cancel_result = FCancelBigNumComputer().need_cancel_for_w(code)


                            if cancel_result[0]:


                                L2TradeDataProcessor.cancel_buy(code, f"W撤:{cancel_result[1]}", cancel_type=trade_constant.CANCEL_TYPE_W)


                                L2TradeDataProcessor.cancel_buy(code, f"W撤:{cancel_result[1]}",


                                                                cancel_type=trade_constant.CANCEL_TYPE_W)


                        except:


                            pass




@@ -216,5 +245,5 @@


        finally:


            use_time = int((time.time() - __start_time) * 1000)


            if use_time > 5:


                async_log_util.info(hx_logger_l2_upload,


                                    f"{code}处理成交用时：{use_time} 数据数量：{len(datas)}  详情:{use_time_list}")


                l2_log.info(code, hx_logger_l2_upload,


                            f"{code}处理成交用时：{use_time} 数据数量：{len(datas)}  详情:{use_time_list}")