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4 天以前 48fb7a00951f91bdc707e5dd2d196e5bccb752c3

 huaxin_client/l2_data_manager.py

@@ -1,20 +1,22 @@
# -*- coding: utf-8 -*-
import json
import logging
import multiprocessing
import marshal
import queue
import threading
import time

import constant
from huaxin_client import socket_util

from huaxin_client.client_network import SendResponseSkManager

# 活动时间
from huaxin_client.code_queue_distribute_manager import CodeQueueDistributeManager
from huaxin_client.code_queue_distribute_manager import CodeDataCallbackDistributeManager
from log_module import async_log_util
from log_module.async_log_util import huaxin_l2_log
from log_module.log import logger_local_huaxin_l2_error, logger_system, logger_local_huaxin_l2_subscript, \
    logger_local_huaxin_l2_special_volume
    logger_local_huaxin_l2_special_volume, logger_debug, logger_local_huaxin_l2_orderdetail
from utils import tool
import collections
import zmq
@@ -26,20 +28,18 @@
tmep_transaction_queue_dict = {}
target_codes = set()
target_codes_add_time = {}
common_queue = queue.Queue()
common_queue = queue.Queue(maxsize=1000)


# L2上传数据管理器
class L2DataUploadManager:
    def __init__(self, order_queue_distribute_manager: CodeQueueDistributeManager,
                 transaction_queue_distribute_manager: CodeQueueDistributeManager,
                 market_data_queue: multiprocessing.Queue):
        self.order_queue_distribute_manager = order_queue_distribute_manager
        self.transaction_queue_distribute_manager = transaction_queue_distribute_manager
        self.market_data_queue = market_data_queue
    def __init__(self, data_callback_distribute_manager: CodeDataCallbackDistributeManager):
        self.data_callback_distribute_manager = data_callback_distribute_manager
        # 代码分配的对象
        self.temp_order_queue_dict = {}
        self.temp_transaction_queue_dict = {}
        self.temp_log_queue_dict = {}

        self.filter_order_condition_dict = {}
        self.upload_l2_data_task_dict = {}
        self.l2_order_codes = set()
@@ -47,11 +47,18 @@

    # 设置订单过滤条件
    # special_price:过滤的1手的价格
    def set_order_fileter_condition(self, code, min_volume, limit_up_price, shadow_price, buy_volume):
        if code not in self.filter_order_condition_dict:
            self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, shadow_price, buy_volume)]
            huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
                               f"({code})常规过滤条件设置：{self.filter_order_condition_dict[code]}")
    def set_order_fileter_condition(self, code, min_volume, limit_up_price, shadow_price, buy_volume, special_volumes):
        if not special_volumes:
            special_volumes = set()
        # if code not in self.filter_order_condition_dict:
        try:
            # (最小的量, 涨停价格, 影子单价格, 买的量, 废弃使用, 特殊的量集合)
            self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, shadow_price, buy_volume,
                                                       int(min_volume) // 50, set(special_volumes))]
            # huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
            #                    f"({code})常规过滤条件设置：{self.filter_order_condition_dict[code]}")
        except Exception as e:
            logger_debug.error(f"{str(e)} - min_volume-{min_volume}")

    # 过滤订单
    def __filter_order(self, item):
@@ -61,11 +68,22 @@
            if item[2] >= filter_condition[0][0]:
                return item
            # 1手的买单满足价格
            if item[2] == 100 and abs(filter_condition[0][2] - item[1]) < 0.001:
                return item
            # if item[2] == 100 and abs(filter_condition[0][2] - item[1]) < 0.001:
            #     return item
            # 买量
            if item[2] == filter_condition[0][3]:
                return item

            # 所有的涨停卖
            if item[3] != '1':
                # 卖与卖撤
                if abs(item[1] - filter_condition[0][1]) < 0.001:
                    # 涨停价
                    return item
            else:
                if item[2] in filter_condition[0][5]:
                    # 特殊手数
                    return item
            return None
        return item
        # 过滤订单
@@ -95,8 +113,10 @@
        #         log_queue.put_nowait(data)

        q: collections.deque = self.temp_order_queue_dict.get(code)
        q.append((data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
                  data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
        if q is not None:
            q.append(
                (data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
                 data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))

    # 添加逐笔成交
    def add_transaction_detail(self, data):
@@ -111,29 +131,36 @@
        #                           data['SellNo'], data['ExecType']))

        q: collections.deque = self.temp_transaction_queue_dict.get(code)
        q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
                  data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
                  data['SellNo'], data['ExecType']))
        if q is not None:
            q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
                      data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
                      data['SellNo'], data['ExecType'], time.time()))

    def add_market_data(self, data):
        # 加入上传队列
        self.market_data_queue.put_nowait(data)
        # self.market_data_queue.put_nowait(data)
        code = data['securityID']
        callback = self.data_callback_distribute_manager.get_distributed_callback(code)
        if callback:
            callback.OnMarketData(code, data)

    # 分配上传队列
    def distribute_upload_queue(self, code):
        if not self.order_queue_distribute_manager.get_distributed_queue(code):
            self.order_queue_distribute_manager.distribute_queue(code)
        if not self.transaction_queue_distribute_manager.get_distributed_queue(code):
            self.transaction_queue_distribute_manager.distribute_queue(code)
    def distribute_upload_queue(self, code, _target_codes=None):
        """
        分配上传队列
        @param code: 代码
        @param _target_codes: 所有的目标代码
        @return:
        """
        if not self.data_callback_distribute_manager.get_distributed_callback(code):
            self.data_callback_distribute_manager.distribute_callback(code, _target_codes)

        if code not in self.temp_order_queue_dict:
            self.temp_order_queue_dict[code] = collections.deque()
        if code not in self.temp_transaction_queue_dict:
            self.temp_transaction_queue_dict[code] = collections.deque()
        if code not in self.temp_log_queue_dict:
            self.temp_log_queue_dict[code] = queue.Queue()


            self.temp_log_queue_dict[code] = queue.Queue(maxsize=1000)
        if code not in self.upload_l2_data_task_dict:
            t1 = threading.Thread(target=lambda: self.__run_upload_order_task(code), daemon=True)
            t1.start()
@@ -145,8 +172,7 @@
        # 释放已经分配的队列

    def release_distributed_upload_queue(self, code):
        self.order_queue_distribute_manager.release_distribute_queue(code)
        self.transaction_queue_distribute_manager.release_distribute_queue(code)
        self.data_callback_distribute_manager.release_distribute_callback(code)
        if code in self.temp_order_queue_dict:
            self.temp_order_queue_dict[code].clear()
            self.temp_order_queue_dict.pop(code)
@@ -160,14 +186,13 @@
            self.upload_l2_data_task_dict.pop(code)

    def __upload_l2_data(self, code, _queue, datas):
        _queue.put_nowait((code, datas, time.time()))
        _queue.put_nowait(marshal.dumps([code, datas, time.time()]))

    # 处理订单数据并上传
    def __run_upload_order_task(self, code):
        q: collections.deque = self.temp_order_queue_dict.get(code)
        temp_list = []
        queue_info = self.order_queue_distribute_manager.get_distributed_queue(code)
        upload_queue = queue_info[1]
        filter_condition = self.filter_order_condition_dict.get(code)
        while True:
            try:
                while len(q) > 0:
@@ -179,9 +204,22 @@

                if temp_list:
                    # 上传数据
                    self.__upload_l2_data(code, upload_queue, temp_list)
                    # self.__upload_l2_data(code, upload_queue, temp_list)
                    # self.__upload_l2_order_data(code, temp_list)
                    temp_list = []
                    __start_time = time.time()
                    last_data = temp_list[-1]
                    self.data_callback_distribute_manager.get_distributed_callback(code).OnL2Order(code, temp_list,
                                                                                                   time.time())
                    use_time = time.time() - __start_time
                    if use_time > 0.01:
                        # 记录10ms以上的数据
                        huaxin_l2_log.info(logger_local_huaxin_l2_error, f"耗时:{use_time}s  结束数据：{last_data}")

                    # 记录所有的订单号
                    if filter_condition:
                        huaxin_l2_log.info(logger_local_huaxin_l2_orderdetail,
                                           f"{[(x[0], x[1], x[2], x[4], x[8]) for x in temp_list if x[2] >= filter_condition[0][0]]}")
                    temp_list.clear()
                else:
                    if code not in self.temp_order_queue_dict:
                        self.l2_order_codes.discard(code)
@@ -192,13 +230,11 @@
            except Exception as e:
                logging.exception(e)
            finally:
                pass
                temp_list.clear()

    # 处理成交数据并上传
    def __run_upload_transaction_task(self, code):
        q: collections.deque = self.temp_transaction_queue_dict.get(code)
        queue_info = self.transaction_queue_distribute_manager.get_distributed_queue(code)
        upload_queue = queue_info[1]
        temp_list = []
        while True:
            try:
@@ -209,18 +245,20 @@
                        temp_list.append(data)
                if temp_list:
                    # 上传数据
                    self.__upload_l2_data(code, upload_queue, temp_list)
                    # self.__upload_l2_data(code, upload_queue, temp_list)
                    self.data_callback_distribute_manager.get_distributed_callback(code).OnL2Transaction(code,
                                                                                                         temp_list)
                    temp_list = []
                else:
                    if code not in self.temp_transaction_queue_dict:
                        self.l2_transaction_codes.discard(code)
                        break
                    self.l2_transaction_codes.add(code)
                    time.sleep(0.002)
                    time.sleep(0.001)
            except:
                pass
            finally:
                pass
                temp_list.clear()

    def __run_log_task(self, code):
        q: queue.Queue = self.temp_log_queue_dict.get(code)
@@ -247,6 +285,8 @@
        self.code_socket_client_dict = {}
        self.rlock = threading.RLock()
        context = zmq.Context()
        if constant.is_windows():
            return
        for host in self.ipchosts:
            socket = context.socket(zmq.REQ)
            socket.connect(host)
@@ -288,7 +328,7 @@
        if code not in self.code_socket_client_dict:
            raise Exception("尚未分配host")
        host, socket = self.code_socket_client_dict[code]
        socket.send_json(data)
        socket.send(marshal.dumps(data))
        socket.recv_string()


@@ -305,7 +345,7 @@


def add_subscript_codes(codes):
    print("add_subscript_codes", codes)
    # print("add_subscript_codes", codes)
    # 加入上传队列
    common_queue.put(('', "l2_subscript_codes", list(codes)))

@@ -329,7 +369,7 @@
            return True
        else:
            # 再次发送
            print("再次发送")
            # print("再次发送")
            return __send_response(sk, msg)
    except ConnectionResetError as e:
        SendResponseSkManager.del_send_response_sk(type)
@@ -360,7 +400,7 @@


def __run_upload_common():
    print("__run_upload_common")
    # print("__run_upload_common")
    logger_system.info(f"l2_client __run_upload_common 线程ID:{tool.get_thread_id()}")
    while True:
        try:
@@ -376,7 +416,7 @@


def __run_log():
    print("__run_log")
    # print("__run_log")
    logger_system.info(f"l2_client __run_log 线程ID:{tool.get_thread_id()}")
    async_log_util.huaxin_l2_log.run_sync()