新版深证下单完善

Administrator

2024-04-12 b92c5507bc73f043882ccf39fa5376686b4684d6

 l2/l2_transaction_data_manager.py

@@ -8,7 +8,7 @@
from l2 import l2_log
from l2.huaxin import l2_huaxin_util
from l2.l2_data_util import local_today_sellno_map, local_today_datas
from l2.place_order_single_data_manager import L2TradeSingleManager
from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager

from log_module import async_log_util
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
@@ -108,6 +108,8 @@
    # 保存最近成交的价格
    __latest_trade_price_dict = {}

    __last_trade_data_dict = {}

    # 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):
@@ -141,41 +143,53 @@

        for d in datas:
            # 获取当前是否为主动买
            _is_active_sell = is_active_sell(d[7], d[6])
            if not _is_active_sell and d[1] == limit_up_price:
                # 被动涨停卖,这个卖的订单是否在最近的涨停卖列表中
                L2TradeSingleManager.process_passive_limit_up_sell_data(d)
            try:
                _is_active_sell = is_active_sell(d[7], d[6])
                if not _is_active_sell and d[1] == limit_up_price:
                    # 被动涨停卖,这个卖的订单是否在最近的涨停卖列表中
                    L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(d)

            if not _is_active_sell:
                continue
            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:
                    info = cls.__latest_sell_order_dict[code]
                if not _is_active_sell:
                    continue

                    # 上个卖单成交完成
                    # 封存数据，计算新起点
                    # 大于50w的卖单才会保存
                    # 大于50w加入卖单
                    money = info[1] * info[2]
                    if money >= 500000:
                        # 订单里面有成交是主动卖就算主动卖
                        l2_log.info(code, hx_logger_l2_transaction_sell_order,
                                    f"{cls.__latest_sell_order_dict[code]}")
                        cls.__big_sell_order_ids_dict[code].add(info[0])
                        cls.__big_sell_order_info_dict[code][info[0]] = info
                        cls.__big_sell_order_info_list_dict[code].append(info)
                    # 只保留10w以上的单
                    if money > 100000:
                        cls.__latest_all_sell_orders_dict[code].append(info)

                # 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:
                        # 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)
                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:
                        info = cls.__latest_sell_order_dict[code]

                        # 上个卖单成交完成
                        # 封存数据，计算新起点
                        # 大于50w的卖单才会保存
                        # 大于50w加入卖单
                        money = info[1] * info[2]
                        if money >= 500000:
                            # 订单里面有成交是主动卖就算主动卖
                            l2_log.info(code, hx_logger_l2_transaction_sell_order,
                                        f"{cls.__latest_sell_order_dict[code]}")
                            cls.__big_sell_order_ids_dict[code].add(info[0])
                            cls.__big_sell_order_info_dict[code][info[0]] = info
                            cls.__big_sell_order_info_list_dict[code].append(info)
                        # 只保留10w以上的单
                        if money > 100000:
                            cls.__latest_all_sell_orders_dict[code].append(info)

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

        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(".", ""))