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2024-06-13 ddd49deef7ac6daff95086f112a0061a641c4fe3

 l2/l2_transaction_data_manager.py

@@ -3,6 +3,7 @@
"""
import json

import l2_data_util
from db import redis_manager
from db.redis_manager_delegate import RedisUtils
from l2 import l2_log
@@ -19,7 +20,7 @@

class BigOrderDealManager:
    """
    大单成交管理
    成交大单管理
    """
    __total_buy_datas_dict = {}
    __total_sell_datas_dict = {}
@@ -83,6 +84,26 @@
            return 0
        return int(sum([x[2] for x in self.__total_buy_datas_dict[code]]))

    def get_total_buy_count(self, code):
        """
        获取大单成交的笔数
        @param code:
        @return:
        """
        if code not in self.__total_buy_datas_dict:
            return 0
        return len(self.__total_buy_datas_dict[code])

    def get_total_buy_money_list(self, code):
        """
        获取大单列表
        @param code:
        @return:
        """
        if code not in self.__total_buy_datas_dict:
            return 0
        return [x[2] for x in self.__total_buy_datas_dict[code]]

    def get_total_sell_money(self, code):
        """
        获取总共的大单卖金额
@@ -144,14 +165,17 @@
        return cls.__dealing_order_info_dict.get(code)

    @classmethod
    def statistic_big_buy_data(cls, code, datas):
    def statistic_big_buy_data(cls, code, datas, limit_up_price):
        """
        统计大单买
        @param code:
        @param datas:
        @return: 返回数据里面成交的大单
        @return: 返回数据里面(成交的大单,50w以上的单）
        """
        big_buy_datas = []
        normal_buy_datas = []
        # 大单阈值
        threshold_big_money = l2_data_util.get_big_money_val(limit_up_price)
        for data in datas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
@@ -172,11 +196,14 @@
                deal_info = cls.__dealing_order_info_dict[code]
                cls.__latest_deal_order_info_dict[code] = deal_info
                # 是否为大买单
                if deal_info[2] >= 2990000:
                if deal_info[2] >= threshold_big_money:
                    big_buy_datas.append(deal_info)
                if deal_info[2] >= 500000:
                    normal_buy_datas.append(deal_info)

                # 初始化本条数据
                cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]]
        return big_buy_datas
        return big_buy_datas, normal_buy_datas


# 卖单统计数据
@@ -237,6 +264,78 @@
                # 初始化本条数据
                cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
        return big_sell_datas

    # 统计所有的成交量
    __deal_volume_list_dict = {}

    @classmethod
    def statistic_total_deal_volume(cls, code, datas):
        # 只统计被动买
        if code not in cls.__deal_volume_list_dict:
            cls.__deal_volume_list_dict[code] = []
        time_dict = {}
        for d in datas:
            # 只统计被动买
            if d[7] < d[6]:
                continue
            time_str = ''
            if d[3] in time_dict:
                time_str = time_dict[d[3]]
            else:
                time_dict[d[3]] = l2_huaxin_util.convert_time(d[3])
                time_str = time_dict[d[3]]
            if cls.__deal_volume_list_dict[code]:
                if cls.__deal_volume_list_dict[code][-1][0] == time_str:
                    # 如果是同一秒
                    cls.__deal_volume_list_dict[code][-1][1] += d[2]
                else:
                    # 不是同一秒
                    cls.__deal_volume_list_dict[code].append([time_str, d[2]])
            else:
                cls.__deal_volume_list_dict[code].append([time_str, d[2]])
        # 删除超过5条数据
        if len(cls.__deal_volume_list_dict[code]) > 5:
            cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]
        time_dict.clear()

    @classmethod
    def get_latest_3s_continue_deal_volumes(cls, code):
        """
        获取最近3s的成交量分布
        @param code:
        @return: [(时间,量)]
        """
        deal_list = cls.__deal_volume_list_dict.get(code)
        if not deal_list:
            return []
        fdatas = [deal_list[-1]]
        # 从倒数第二个数据计算
        for i in range(len(deal_list) - 2, -1, -1):
            if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 3:
                fdatas.append(deal_list[i])
        return fdatas

    @classmethod
    def get_latest_2s_continue_deal_volumes(cls, code):
        """
        获取最近2s的成交量分布
        @param code:
        @return: [(时间,量)]
        """
        deal_list = cls.__deal_volume_list_dict.get(code)
        if not deal_list:
            return []
        fdatas = [deal_list[-1]]
        # 从倒数第二个数据计算
        for i in range(len(deal_list) - 1, -1, -1):
            if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 2:
                fdatas.append(deal_list[i])
        return fdatas

    @classmethod
    def clear_latest_deal_volume(cls, code):
        if code in cls.__deal_volume_list_dict:
            cls.__deal_volume_list_dict.pop(code)

    # 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
@@ -306,15 +405,14 @@
                        # 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)
                            l2_log.info(code, hx_logger_l2_transaction_sell_order,
                                        f"{info}")
                        if limit_up_price == info[2]:
                            # 将涨停主动卖记入日志
                            l2_log.info(code, hx_logger_l2_active_sell, f"{info}")
@@ -375,7 +473,15 @@

    # 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):
    def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None, min_sell_money=None):
        """
        获取最近的主动卖成交信息
        @param code:
        @param min_sell_order_no:
        @param min_deal_time:
        @param min_sell_money:
        @return:
        """
        total_orders = []
        sell_orders = cls.__latest_all_sell_orders_dict.get(code)
        if sell_orders:
@@ -386,6 +492,10 @@

                if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
                    continue
                if min_sell_money and sell_orders[i][1] * sell_orders[i][2] < min_sell_money:
                    # 过滤小金额
                    continue

                total_orders.append(sell_orders[i])
        if code in cls.__latest_sell_order_dict:
            if min_sell_order_no: