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| | | import logging |
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| | | import time |
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| | | import constant |
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| | | from code_attribute import gpcode_manager |
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| | | from l2 import l2_data_util, l2_data_manager, transaction_progress |
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| | | from l2.cancel_buy_strategy import FCancelBigNumComputer, LCancelBigNumComputer, LCancelRateManager, \ |
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| | | GCancelBigNumComputer, SCancelBigNumComputer, HourCancelBigNumComputer |
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| | | from l2.l2_data_manager_new import L2TradeDataProcessor |
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| | | from l2.l2_data_util import L2DataUtil |
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| | | from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager |
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| | | from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager |
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| | | from log_module import async_log_util |
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| | | from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload |
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| | | from trade import current_price_process_manager |
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| | | from trade.deal_big_money_manager import DealOrderNoManager |
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| | | import concurrent.futures |
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| | | |
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| | | class HuaXinTransactionDatasProcessor: |
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| | | __statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2) |
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| | | __TradeBuyQueue = transaction_progress.TradeBuyQueue() |
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| | | |
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| | | # 计算成交进度 |
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| | | return buy_progress_index |
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| | | |
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| | | @classmethod |
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| | | def statistic_big_order_infos(cls, code, datas): |
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| | | """ |
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| | | 统计大单成交 |
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| | | @param code: |
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| | | @param datas: |
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| | | @return: |
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| | | """ |
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| | | buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, datas) |
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| | | if buy_datas: |
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| | | BigOrderDealManager().add_buy_datas(code, buy_datas) |
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| | | |
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| | | sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, datas) |
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| | | if sell_datas: |
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| | | BigOrderDealManager().add_sell_datas(code, sell_datas) |
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| | | |
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| | | if buy_datas or sell_datas: |
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| | | buy_money = BigOrderDealManager().get_total_buy_money(code) |
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| | | sell_money = BigOrderDealManager().get_total_sell_money(code) |
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| | | LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money) |
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| | | |
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| | | @classmethod |
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| | | def process_huaxin_transaction_datas(cls, code, datas): |
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| | | __start_time = time.time() |
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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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| | | use_time_list = [] |
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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 buyno_map is None: |
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| | |
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| | | limit_up_price = round(float(limit_up_price), 2) |
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| | | # 统计卖单 |
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| | | big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas, limit_up_price) |
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| | | |
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| | | _start_time = time.time() |
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| | | use_time_list.append(("处理卖单成交数据", _start_time - __start_time)) |
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| | | if is_placed_order: |
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| | | need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code, |
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| | | big_sell_order_info, |
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| | | if need_cancel: |
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| | | L2TradeDataProcessor.cancel_buy(code, cancel_msg) |
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| | | |
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| | | GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) |
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| | | # GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) |
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| | | use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time)) |
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| | | _start_time = time.time() |
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| | | except Exception as e: |
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| | | async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}") |
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| | | logger_debug.exception(e) |
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| | | |
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| | | _start_time = time.time() |
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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 = HuaXinBuyOrderManager.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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| | | # 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 = HuaXinBuyOrderManager.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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| | | # # 暂时不需要这种复杂的机制 |
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| | | # # LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index) |
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| | | cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas) |
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| | | |
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| | | use_time_list.append(("统计买单数据", time.time() - _start_time)) |
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| | | _start_time = time.time() |
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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 = cls.__compute_latest_trade_progress(code, buyno_map, datas) |
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| | | |
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| | | if is_placed_order: |
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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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| | | use_time_list.append(("处理成交进度相关撤", time.time() - _start_time)) |
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| | | |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | |
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| | | finally: |
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| | | use_time = int((time.time() - __start_time) * 1000) |
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| | | if use_time > 5: |
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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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| | | async_log_util.info(hx_logger_l2_upload, f"{code}处理成交用时：{use_time} 详情:{use_time_list}") |
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