bug修改

Administrator

2024-04-03 bcf69d0d6589c0ee39c77326e8fb2d4bcbb144ed

 l2/l2_transaction_data_manager.py

@@ -7,6 +7,7 @@
from db.redis_manager_delegate import RedisUtils
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 log_module import async_log_util
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
@@ -95,11 +96,24 @@
    # 大卖单的卖单号->卖单信息映射
    __big_sell_order_info_dict = {}

    # 大单列表
    __big_sell_order_info_list_dict = {}

    # 最近的卖单, 格式{code:[卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）]}
    __latest_sell_order_dict = {}
    # 最近所有的卖单
    __latest_all_sell_orders_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):
    def add_transaction_datas(cls, code, datas, buy_exec_index=None):
        # 是否为主动卖
        def is_active_sell(sell_no):
            if buy_exec_index is not None:
                return sell_no > int(total_datas[buy_exec_index]["val"]["orderNo"])
            else:
                return f"{sell_no}" not in sell_no_map

        # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
        #           data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
        #           data['SellNo'], data['ExecType']))
@@ -109,6 +123,17 @@
            cls.__big_sell_order_ids_dict[code] = set()
        if code not in cls.__big_sell_order_info_dict:
            cls.__big_sell_order_info_dict[code] = {}

        if code not in cls.__big_sell_order_info_list_dict:
            cls.__big_sell_order_info_list_dict[code] = []

        if code not in cls.__latest_all_sell_orders_dict:
            cls.__latest_all_sell_orders_dict[code] = []

        sell_no_map = local_today_sellno_map.get(code)
        total_datas = local_today_datas.get(code)
        if not sell_no_map:
            sell_no_map = {}
        for d in datas:
            cls.__latest_sell_order_info_list_dict[code].append(d)
            if code not in cls.__latest_sell_order_dict:
@@ -119,23 +144,30 @@
                    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
                    if cls.__latest_sell_order_dict[code][1] * cls.__latest_sell_order_dict[code][2] > 50*10000:
                        l2_log.info(code, hx_logger_l2_transaction_sell_order, f"{cls.__latest_sell_order_dict[code]}")
                    # 大于50w加入卖单
                    info = cls.__latest_sell_order_dict[code]
                    if info[1] * info[2] >= 500000:
                        cls.__big_sell_order_ids_dict[code].add(info[0])
                        cls.__big_sell_order_info_dict[code][info[0]] = info
                    money = info[1] * info[2]
                    if money >= 500000:
                        if is_active_sell(info[0]):
                            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])]
        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(".", ""))
        # 计算最近1s的大单成交
        total_datas = cls.__latest_sell_order_info_list_dict.get(code)
        start_index = 0
        total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)

        total_sell_info = [0, None]  # 总资金,开始成交信息,结束成交信息
        latest_sell_order_info = cls.__latest_sell_order_dict[code]
@@ -143,16 +175,20 @@
        # print("大卖单", big_sell_order_ids)
        big_sell_orders = []
        temp_sell_order_ids = set()
        for i in range(len(datas) - 1, -1, -1):
            d = datas[i]
            if d[7] != latest_sell_order_info[0]:
        # 统计已经结算出的大单
        for i in range(len(total_big_sell_datas) - 1, -1, -1):
            bd = total_big_sell_datas[i]
            if min_time_int > int(
                    l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
                break
            if bd[0] != latest_sell_order_info[0]:
                # 不是最近的成交且不是大单直接过滤
                if d[7] not in big_sell_order_ids:
                if bd[0] not in big_sell_order_ids:
                    continue
                else:
                    if d[7] not in temp_sell_order_ids:
                        big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(d[7]))
                        temp_sell_order_ids.add(d[7])
                    if bd[0] not in temp_sell_order_ids:
                        big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
                        temp_sell_order_ids.add(bd[0])
            else:
                # 是最近的但不是大单需要过滤
                if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
@@ -162,12 +198,37 @@
                        big_sell_orders.append(latest_sell_order_info)
                        temp_sell_order_ids.add(latest_sell_order_info[0])

            if min_time_int > int(l2_huaxin_util.convert_time(d[3], with_ms=True).replace(":", "").replace(".", "")):
                start_index = i
                break
            # 统计最近1s的大卖单数据
            total_sell_info[0] += int(d[1] * d[2])
            total_sell_info[0] += int(bd[1] * bd[2])
        # 统计最近的大单
        if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
            if latest_sell_order_info[0] not in temp_sell_order_ids:
                if is_active_sell(latest_sell_order_info[0]):
                    big_sell_orders.append(latest_sell_order_info)
                    temp_sell_order_ids.add(latest_sell_order_info[0])
                    total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2])
        big_sell_orders.reverse()
        total_sell_info[1] = big_sell_orders
        cls.__latest_sell_order_info_list_dict[code] = cls.__latest_sell_order_info_list_dict[code][start_index:]
        return total_sell_info

    # 获取最近成交数据
    @classmethod
    def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None):
        total_orders = []
        sell_orders = cls.__latest_all_sell_orders_dict.get(code)
        if sell_orders:
            for i in range(len(sell_orders) - 1, -1, -1):
                if min_deal_time and tool.trade_time_sub(min_deal_time,
                                                         l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0:
                    break

                if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
                    continue
                total_orders.append(sell_orders[i])
        if code in cls.__latest_sell_order_dict:
            if min_sell_order_no:
                if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no:
                    total_orders.append(cls.__latest_sell_order_dict[code])
            else:
                total_orders.append(cls.__latest_sell_order_dict[code])
        return total_orders