| | |
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| | | @classmethod |
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| | | def statistic_big_sell_data(cls, code, fdatas): |
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| | | """ |
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| | | 统计大卖单 |
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| | | 统计大卖单(299w以上) |
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| | | @param code: |
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| | | @param fdatas: [(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: 返回数据里面成交的大单 |
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| | | """ |
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| | | big_sell_datas = [] |
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| | | # 正在成交的卖单 |
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| | | dealing_order_info = cls.__dealing_order_info_dict.get(code) |
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| | | for data in fdatas: |
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| | | if not data[2]: |
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| | | # 只计算板上成交 |
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| | |
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| | | # q.append((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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| | | if code not in cls.__dealing_order_info_dict: |
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| | | if dealing_order_info is None: |
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| | | # 数据格式[订单号，总股数，成交金额] |
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| | | cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money] |
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| | | if cls.__dealing_order_info_dict[code][0] == data[0][7]: |
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| | | # 成交同一个订单号 |
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| | | cls.__dealing_order_info_dict[code][1] += data[0][2] |
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| | | cls.__dealing_order_info_dict[code][2] += money |
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| | | dealing_order_info = [data[0][7], data[0][2], money] |
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| | | else: |
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| | | # 保存上一条数据 |
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| | | l2_log.info(code, hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}") |
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| | | # 设置最近成交完成的一条数据 |
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| | | deal_info = cls.__dealing_order_info_dict[code] |
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| | | # 是否为大买单 |
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| | | if deal_info[2] >= 2990000: |
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| | | big_sell_datas.append(deal_info) |
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| | | # 初始化本条数据 |
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| | | cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money] |
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| | | if dealing_order_info[0] == data[0][7]: |
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| | | # 成交同一个订单号 |
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| | | dealing_order_info[1] += data[0][2] |
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| | | dealing_order_info[2] += money |
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| | | else: |
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| | | # 保存上一条数据 |
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| | | # 设置最近成交完成的一条数据 |
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| | | deal_info = dealing_order_info |
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| | | # 保存上一条数据 |
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| | | if deal_info[2] >= 2990000: |
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| | | # 是否为大买单 |
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| | | l2_log.info(code, hx_logger_l2_transaction_desc, |
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| | | f"{code}#{deal_info}") |
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| | | big_sell_datas.append(deal_info) |
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| | | # 初始化本条数据 |
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| | | dealing_order_info = [data[0][7], data[0][2], money] |
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| | | # 保存最后一条数据的状态 |
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| | | cls.__dealing_order_info_dict[code] = dealing_order_info |
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| | | return big_sell_datas |
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| | | |
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| | | # 统计所有的成交量 |
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| | |
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| | | use_time = time.time() - __start_time |
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| | | __start_time = time.time() |
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| | | use_time_list.append(("处理涨停卖", use_time)) |
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| | | latest_sell_order = cls.__latest_sell_order_dict.get(code) |
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| | | big_sell_order_ids = cls.__big_sell_order_ids_dict.get(code) |
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| | | if big_sell_order_ids is None: |
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| | | big_sell_order_ids = set() |
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| | | big_sell_order_info = cls.__big_sell_order_info_dict.get(code) |
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| | | if big_sell_order_info is None: |
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| | | big_sell_order_info = {} |
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| | | big_sell_order_info_list = cls.__big_sell_order_info_list_dict.get(code) |
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| | | if big_sell_order_info_list is None: |
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| | | big_sell_order_info_list = [] |
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| | | |
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| | | latest_all_sell_orders = cls.__latest_all_sell_orders_dict.get(code) |
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| | | if latest_all_sell_orders is None: |
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| | | latest_all_sell_orders = [] |
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| | | |
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| | | last_trade_data = cls.__last_trade_data_dict.get(code) |
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| | | for d in fdatas: |
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| | | # 获取当前是否为主动买 |
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| | | if d[1]: |
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| | | # 主动买 |
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| | | continue |
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| | | try: |
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| | | if d[1]: |
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| | | # 主动买 |
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| | | continue |
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| | | if d[2]: |
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| | | # 涨停主动卖 |
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| | | L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0]) |
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| | | |
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| | | # 判断是否是涨停被动变主动 |
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| | | last_trade_data = cls.__last_trade_data_dict.get(code) |
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| | | if last_trade_data and last_trade_data[1] and last_trade_data[2]: |
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| | | if d[2]: |
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| | | # 涨停被动变主动 |
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| | | L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data[0], d[0]) |
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| | | # cls.__latest_sell_order_info_list_dict[code].append(d) |
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| | | if code not in cls.__latest_sell_order_dict: |
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| | | cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), |
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| | | (d[0][3], d[0][6])] |
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| | | if latest_sell_order is None: |
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| | | latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])] |
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| | | else: |
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| | | if cls.__latest_sell_order_dict[code][0] == d[0][7]: |
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| | | cls.__latest_sell_order_dict[code][1] += d[0][2] |
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| | | cls.__latest_sell_order_dict[code][2] = d[0][1] |
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| | | cls.__latest_sell_order_dict[code][4] = (d[0][3], d[0][6]) |
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| | | if latest_sell_order[0] == d[0][7]: |
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| | | latest_sell_order[1] += d[0][2] |
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| | | latest_sell_order[2] = d[0][1] |
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| | | latest_sell_order[4] = (d[0][3], d[0][6]) |
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| | | else: |
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| | | info = cls.__latest_sell_order_dict[code] |
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| | | info = latest_sell_order |
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| | | |
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| | | # 上个卖单成交完成 |
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| | | # 封存数据，计算新起点 |
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| | |
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| | | # 大于50w加入卖单 |
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| | | money = info[1] * info[2] |
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| | | if money >= 500000: |
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| | | cls.__big_sell_order_ids_dict[code].add(info[0]) |
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| | | cls.__big_sell_order_info_dict[code][info[0]] = info |
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| | | cls.__big_sell_order_info_list_dict[code].append(info) |
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| | | big_sell_order_ids.add(info[0]) |
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| | | big_sell_order_info[info[0]] = info |
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| | | big_sell_order_info_list.append(info) |
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| | | # 只保留10w以上的单 |
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| | | if money > 100000: |
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| | | cls.__latest_all_sell_orders_dict[code].append(info) |
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| | | latest_all_sell_orders.append(info) |
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| | | l2_log.info(code, hx_logger_l2_transaction_sell_order, |
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| | | f"{info}") |
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| | | if limit_up_price == info[2]: |
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| | | # 将涨停主动卖记入日志 |
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| | | l2_log.info(code, hx_logger_l2_active_sell, f"{info}") |
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| | | |
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| | | cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), |
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| | | (d[0][3], d[0][6])] |
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| | | latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), |
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| | | (d[0][3], d[0][6])] |
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| | | finally: |
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| | | cls.__last_trade_data_dict[code] = d |
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| | | last_trade_data = d |
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| | | |
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| | | cls.__last_trade_data_dict[code] = last_trade_data |
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| | | if latest_sell_order: |
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| | | cls.__latest_sell_order_dict[code] = latest_sell_order |
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| | | if big_sell_order_ids: |
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| | | cls.__big_sell_order_ids_dict[code] = big_sell_order_ids |
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| | | if big_sell_order_info: |
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| | | cls.__big_sell_order_info_dict[code] = big_sell_order_info |
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| | | if big_sell_order_info_list: |
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| | | cls.__big_sell_order_info_list_dict[code] = big_sell_order_info_list |
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| | | if latest_all_sell_orders: |
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| | | cls.__latest_all_sell_orders_dict[code] = latest_all_sell_orders |
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| | | |
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| | | use_time = time.time() - __start_time |
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| | | __start_time = time.time() |
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