L后默认撤单率修改/启用F撤

Administrator

9 小时以前 0e642d0c27e40df326733401be6f8c8115e54911

 l2/l2_limitup_sell_data_manager.py

@@ -5,7 +5,7 @@
from l2 import l2_log
from l2.l2_data_util import L2DataUtil
from log_module import async_log_util, log_export
from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal
from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal, logger_debug
from utils import tool


@@ -71,42 +71,42 @@
        return cls.__delegating_sell_num_dict.get(code)

    @classmethod
    def set_deal_datas(cls, code, datas):
    def set_deal_datas(cls, code, fdatas):
        """
        设置成交的卖单
        @param code:
        @param datas:  q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType']))
        @param fdatas:  数据本身格式： (data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType'])
                        [(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)]
        @return: 是否触发计算
        """
        try:
            limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
            order_no_set = cls.__order_no_set_dict.get(code)
            if order_no_set is None:
                order_no_set = set()
            limit_up_active_buy_datas = []
            for d in datas:
                if d[1] != limit_up_price:
                    continue
            # 统计涨停卖单的成交
            # 卖单成交字典
            __deal_order_volume_dict = {}
            for d in fdatas:
                # 是否有涨停主动买成交
                if d[6] < d[7]:
                if not d[1] or not d[2]:
                    continue
                limit_up_active_buy_datas.append(d)
            total_deal_volume = 0
            if code in cls.__delegating_sell_num_dict:
                for d in datas:
                    # 减去
                    if d[7] in order_no_set:
                        total_deal_volume += d[2]
                cls.__delegating_sell_num_dict[code] -= total_deal_volume
                if d[0][7] not in __deal_order_volume_dict:
                    __deal_order_volume_dict[d[0][7]] = 0
                __deal_order_volume_dict[d[0][7]] += d[0][2]

            if len(limit_up_active_buy_datas):
                async_log_util.l2_data_log.info(hx_logger_l2_sell_deal,
                                                f"涨停主动买成交：{limit_up_active_buy_datas}")
                # 减去
            add_order_nos = order_no_set & __deal_order_volume_dict.keys()
            _total_deal_volume = sum([__deal_order_volume_dict[x] for x in add_order_nos])
            if code in cls.__delegating_sell_num_dict:
                cls.__delegating_sell_num_dict[code] -= _total_deal_volume
            if _total_deal_volume > 0:
                l2_log.info(code, hx_logger_l2_sell_deal,
                            f"涨停主动买成交：{_total_deal_volume}")
                # 打印日志
                async_log_util.l2_data_log.info(hx_logger_l2_sell_deal,
                                                f"有涨停主动卖：{code}-{datas[-1][3]}-{cls.__delegating_sell_num_dict.get(code)}, 成交量-{total_deal_volume}")
        except:
            pass
                l2_log.info(code, hx_logger_l2_sell_deal,
                            f"有涨停主动卖：{code}-{fdatas[-1][0][3]}-{cls.__delegating_sell_num_dict.get(code)}, 成交量-{_total_deal_volume}")
        except Exception as e:
            logger_debug.exception(e)

    @classmethod
    def clear_data(cls, code):
@@ -123,37 +123,48 @@

        if cls.__delegating_sell_num_dict.get(code):
            cls.__delegating_sell_num_dict[code] = 0
            async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate,
                                            f"出现主动卖清除数据：{code}")
            l2_log.info(code, hx_logger_l2_sell_delegate,
                        f"出现主动卖清除数据：{code}")


if __name__ == "__main__":
    # 测试涨停总卖吃掉的情况
    code = "000887"
    datas = log_export.load_huaxin_l2_sell_deal(code).get(code)
    code = "002681"
    datas = log_export.load_huaxin_l2_sell_deal_list(code).get(code)
    print(datas)
    deal_datas = []
    deal_order_no = set()
    deal_order_nos = set()
    for i in range(len(datas)):
        if 102245 <= int(datas[i][0].replace(":", "")) <= 102318:
        if 100100 <= int(datas[i][0].replace(":", "")) <= 100230:
            deal_datas.append(datas[i])
    total_deal_volume = sum([x[1] for x in deal_datas])
    for x in deal_datas:
        for xx in x[1]:
            deal_order_nos.add(xx[7])

    total_deal_volume = sum([sum([xx[2] for xx in x[1]]) for x in deal_datas])
    print("涨停卖成交量", total_deal_volume)
    datas = log_export.load_huaxin_l2_sell_delegate(code).get(code)
    fdatas = []
    for x in datas:
        if int("102245") < int(x[0].replace(":", "")) < int("102318"):
            if x[2][0]>=21531404:
                fdatas.append(x)
        # if int("101821") < int(x[0].replace(":", "")) < int("102841"):
        if 14578165 >= x[2][0] >= 14565438:
            fdatas.append(x)
    delegate_order_nos = set()
    total_delegate = 0
    for x in fdatas:
        if x[1] == '卖':
            total_delegate += x[2][2]
            delegate_order_nos.add(x[2][0])
        elif x[1] == '卖撤':
            total_delegate -= x[2][2]
            delegate_order_nos.discard(x[2][0])
    print(fdatas)
    for d in fdatas:
        print(d)
    print("总成交", total_deal_volume, total_deal_volume * 17.28)
    print("总委托", total_delegate, total_delegate * 17.28)
    print("委托剩余", total_delegate-total_deal_volume, (total_delegate-total_deal_volume) * 17.28)
    print("委托剩余", total_delegate - total_deal_volume, (total_delegate - total_deal_volume) * 17.28)

    not_deal_order_nos = delegate_order_nos - deal_order_nos
    for x in not_deal_order_nos:
        print("未成交：", x)