辨识度修改/临时大单bug修改

Administrator

2025-01-22 f2dfe1818b6286e4ff25e97c4d72a17bae4eea42

 l2/l2_transaction_data_manager.py

@@ -3,17 +3,138 @@
"""
import json

from db import redis_manager
import l2_data_util
from db import redis_manager_delegate as redis_manager
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 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, hx_logger_l2_active_sell
from log_module import async_log_util, log_export
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell, \
    hx_logger_l2_transaction_big_buy_order, hx_logger_l2_transaction_big_sell_order

from utils import tool


class BigOrderDealManager:
    """
    成交大单管理
    """
    __total_buy_datas_dict = {}
    __total_sell_datas_dict = {}
    __instance = None

    def __new__(cls, *args, **kwargs):
        if not cls.__instance:
            cls.__instance = super(BigOrderDealManager, cls).__new__(cls, *args, **kwargs)
            cls.__load_datas()
        return cls.__instance

    @classmethod
    def __load_datas(cls):
        # 从日志加载数据
        buy_order_map = log_export.load_huaxin_big_buy_order()
        if buy_order_map:
            for code in buy_order_map:
                cls.__total_buy_datas_dict[code] = buy_order_map[code]

        sell_order_map = log_export.load_huaxin_big_sell_order()
        if sell_order_map:
            for code in sell_order_map:
                cls.__total_sell_datas_dict[code] = sell_order_map[code]

    def add_buy_datas(self, code, datas):
        """
        添加大买单数据
        @param code: 代码
        @param datas:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
        @return:
        """
        if not datas:
            return
        if code not in self.__total_buy_datas_dict:
            self.__total_buy_datas_dict[code] = []
        self.__total_buy_datas_dict[code].extend(datas)
        # 将数据保存到日志
        l2_log.info(code, hx_logger_l2_transaction_big_buy_order, f"{datas}")

    def add_sell_datas(self, code, datas):
        """
        添加大卖单数据
        @param code: 代码
        @param datas:[(卖单号,总股数,总成交额)]
        @return:
        """
        if not datas:
            return
        if code not in self.__total_sell_datas_dict:
            self.__total_sell_datas_dict[code] = []
        self.__total_sell_datas_dict[code].extend(datas)
        l2_log.info(code, hx_logger_l2_transaction_big_sell_order, f"{datas}")

    def get_total_buy_money(self, code):
        """
        获取总共的大单买金额
        @param code:
        @return:
        """
        if code not in self.__total_buy_datas_dict:
            return 0
        return int(sum([x[2] for x in self.__total_buy_datas_dict[code]]))

    def get_total_buy_order_ids(self, code):
        """
        获取成交大单的订单号
        @param code:
        @return:
        """
        if code not in self.__total_buy_datas_dict:
            return set()
        return set([x[0] 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 []
        return [x[2] for x in self.__total_buy_datas_dict[code]]

    def get_total_buy_data_list(self, code):
        """
        获取所有的买单数据列表
        @param code:
        @return:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
        """
        return self.__total_buy_datas_dict.get(code)

    def get_total_sell_money(self, code, threshold_money=None):
        """
        获取总共的大单卖金额
        @param threshold_money: 大单阈值
        @param code:
        @return:
        """
        if code not in self.__total_sell_datas_dict:
            return 0
        if threshold_money:
            return int(sum([x[2] if x[2] >= threshold_money else 0 for x in self.__total_sell_datas_dict[code]]))
        else:
            return int(sum([x[2] for x in self.__total_sell_datas_dict[code]]))


# 成交数据统计
@@ -24,6 +145,9 @@

    # 正在成交的订单
    __dealing_order_info_dict = {}

    # 正在成交的主动买的订单
    __dealing_active_buy_order_info_dict = {}
    # 最近成交的订单{"code":(订单号，是否成交完成)}
    __latest_deal_order_info_dict = {}

@@ -56,34 +180,99 @@
            RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
                             json.dumps(self.__dealing_order_info_dict[code]))

    # 获取代码正在成交的信息
    # 返回数据：[订单号，总股数，开始成交时间，结束成交时间, 总买]
    @classmethod
    def get_dealing_order_info(cls, code):
        """
        获取当前正在成交的数据
        @param code:
        @return: [订单号，总股数，成交金额,成交开始时间,成交结束时间]
        """
        return cls.__dealing_order_info_dict.get(code)

    # 统计成交的情况
    @classmethod
    def statistic_deal_desc(cls, code, data, total_buy_num):
        if code not in cls.__dealing_order_info_dict:
            # 数据格式[订单号，总股数，开始成交时间，结束成交时间, 总买]
            cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
        if cls.__dealing_order_info_dict[code][0] == data[6]:
            # 成交同一个订单号
            cls.__dealing_order_info_dict[code][1] += data[2]
            cls.__dealing_order_info_dict[code][3] = data[3]
        else:
            # 保存上一条数据
            async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
            # 设置最近成交完成的一条数据
            deal_info = (
                cls.__dealing_order_info_dict[code][0],
                cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1])
            cls.__latest_deal_order_info_dict[code] = deal_info
            # 初始化本条数据
            cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
            return deal_info
        return None
    def get_dealing_active_order_info(cls, code):
        """
        获取正在主动成交的数据
        @param code:
        @return:[订单号，总股数，成交金额,成交开始时间,成交结束时间]
        """
        return cls.__dealing_active_buy_order_info_dict.get(code)

    @classmethod
    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,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, tool.is_ge_code(code))
        for data in datas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            is_limit_up = abs(data[1] - limit_up_price) < 0.0001
            money = data[2] * data[1]
            if code not in cls.__dealing_order_info_dict:
                # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间, 最近的成交价格, 最近的卖单号, 涨停价成交金额]
                cls.__dealing_order_info_dict[code] = [data[6], data[2], money, data[3], data[3], data[1],
                                                       data[7], 0]
                if is_limit_up:
                    cls.__dealing_order_info_dict[code][7] += money
            else:
                if cls.__dealing_order_info_dict[code][0] == data[6]:
                    # 成交同一个订单号
                    cls.__dealing_order_info_dict[code][1] += data[2]
                    cls.__dealing_order_info_dict[code][2] += money
                    cls.__dealing_order_info_dict[code][4] = data[3]
                    cls.__dealing_order_info_dict[code][5] = data[1]
                    cls.__dealing_order_info_dict[code][6] = data[7]
                    if is_limit_up:
                        cls.__dealing_order_info_dict[code][7] += money
                else:
                    # 保存上一条数据
                    async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
                    # 设置最近成交完成的一条数据
                    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[7] >= threshold_big_money:
                        # # 如果最后一笔成交价格不是涨停价就不算
                        # if abs(deal_info[5] - limit_up_price) < 0.0001:
                        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], money, data[3], data[3],
                                                           data[1], data[7], 0]
                    if is_limit_up:
                        cls.__dealing_order_info_dict[code][7] += money

            # 统计主动买(买单号大于卖单号)
            try:
                if data[6] > data[7]:
                    if code not in cls.__dealing_active_buy_order_info_dict:
                        # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间]
                        cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3],
                                                                          data[3]]
                    else:
                        if cls.__dealing_active_buy_order_info_dict[code][0] == data[6]:
                            # 成交同一个订单号
                            cls.__dealing_active_buy_order_info_dict[code][1] += data[2]
                            cls.__dealing_active_buy_order_info_dict[code][2] += data[2] * data[1]
                            cls.__dealing_active_buy_order_info_dict[code][4] = data[3]
                        else:
                            # 初始化本条数据
                            cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1],
                                                                              data[3], data[3]]
            except:
                pass

        return big_buy_datas, normal_buy_datas


# 卖单统计数据
@@ -109,6 +298,166 @@
    __latest_trade_price_dict = {}

    __last_trade_data_dict = {}

    # 用来暂时存放统计结果
    __dealing_order_info_dict = {}

    @classmethod
    def statistic_big_sell_data(cls, code, datas):
        """
        统计大卖单
        @param code:
        @param datas:
        @return: 返回数据里面成交的大单
        """
        big_sell_datas = []
        for data in datas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            if code not in cls.__dealing_order_info_dict:
                # 数据格式[订单号，总股数，成交金额]
                cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
            if cls.__dealing_order_info_dict[code][0] == data[7]:
                # 成交同一个订单号
                cls.__dealing_order_info_dict[code][1] += data[2]
                cls.__dealing_order_info_dict[code][2] += data[2] * data[1]
            else:
                # 保存上一条数据
                async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
                # 设置最近成交完成的一条数据
                deal_info = cls.__dealing_order_info_dict[code]
                # 是否为大买单
                if deal_info[2] >= 2990000:
                    big_sell_datas.append(deal_info)
                # 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 = {}
    # 统计涨停主动买的成交量
    __deal_active_buy_volume_list_dict = {}

    @classmethod
    def statistic_total_deal_volume(cls, code, datas, limit_up_price):
        # 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:]

        try:
            # 统计主动买的成交量
            if code not in cls.__deal_active_buy_volume_list_dict:
                cls.__deal_active_buy_volume_list_dict[code] = []
            for d in datas:
                # 只统计主动买
                if d[7] > d[6]:
                    continue
                # 只统计涨停买
                if d[1] != limit_up_price:
                    continue
                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_active_buy_volume_list_dict[code]:
                    if cls.__deal_active_buy_volume_list_dict[code][-1][0] == time_str:
                        # 如果是同一秒
                        cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[2]
                    else:
                        # 不是同一秒
                        cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
                else:
                    cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
            # 删除超过10条数据
            if len(cls.__deal_active_buy_volume_list_dict[code]) > 10:
                cls.__deal_active_buy_volume_list_dict[code] = cls.__deal_active_buy_volume_list_dict[code][-10:]
        except:
            pass

        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 get_latest_6s_active_buy_deal_volumes(cls, code):
        """
        获取最近6s的主动买成交
        @param code:
        @return: [(时间,量)]
        """
        deal_list = cls.__deal_active_buy_volume_list_dict.get(code)
        if not deal_list:
            return []
        latest_time = deal_list[-1][0]
        fdatas = []
        # 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(latest_time, deal_list[i][0]) < 6:
                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
@@ -178,15 +527,14 @@
                        # 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}")
@@ -243,11 +591,34 @@
                    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
        # ----------------统计涨停主动买-----------------
        try:
            limit_up_active_buy_datas = []
            for d in datas:
                if is_active_sell(d[7], d[6]):
                    # 被动买
                    continue
                # 是否是涨停
                if d[1] == limit_up_price:
                    # 有涨停主动买
                    limit_up_active_buy_datas.append(d)
            L2TradeSingleDataManager.set_limit_up_active_buy(code, limit_up_active_buy_datas)
        except:
            pass

        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):
    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:
@@ -258,6 +629,10 @@

                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: