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4 天以前 48fb7a00951f91bdc707e5dd2d196e5bccb752c3

 l2/l2_transaction_data_manager.py

@@ -150,6 +150,8 @@
    __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 = {}
    # 成交的买单号集合：{"代码":set()}
    __deal_buy_order_nos_dict = {}

    def __new__(cls, *args, **kwargs):
        if not cls.__instance:
@@ -164,15 +166,17 @@
    @classmethod
    def __load_datas(cls):
        __redis = cls.__get_redis()
        try:
            keys = RedisUtils.keys(__redis, "dealing_order_info-*")
            for k in keys:
                code = k.split("-")[-1]
                val = RedisUtils.get(__redis, k)
                val = json.loads(val)
                tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
        finally:
            RedisUtils.realse(__redis)

        keys = RedisUtils.keys(__redis, "dealing_order_info-*")
        for k in keys:
            code = k.split("-")[-1]
            val = RedisUtils.get(__redis, k)
            val = json.loads(val)
            tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
        # 读取已经成交的大单
        deal_data_list_dict = log_export.load_huaxin_deal_record_all()
        for code in deal_data_list_dict:
            cls.__deal_buy_order_nos_dict[code] = set([x[0] for x in deal_data_list_dict[code]])

    # 将数据持久化到数据库
    def sync_dealing_data_to_db(self):
@@ -213,6 +217,10 @@

        dealing_order_info = cls.__dealing_order_info_dict.get(code)

        if code not in cls.__deal_buy_order_nos_dict:
            cls.__deal_buy_order_nos_dict[code] = set()
        deal_buy_order_nos = cls.__deal_buy_order_nos_dict[code]

        for data in fdatas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
@@ -252,6 +260,7 @@
                        # if abs(deal_info[5] - limit_up_price) < 0.0001:
                        big_buy_datas.append(deal_info)
                    if deal_info[2] >= 500000:
                        deal_buy_order_nos.add(deal_info[0])
                        normal_buy_datas.append(deal_info)
                    # 初始化本条数据
                    dealing_order_info = [current_order_info[6], current_order_info[2], money,
@@ -282,6 +291,14 @@
                                                                          current_order_info[3],
                                                                          current_order_info[3]]
        return big_buy_datas, normal_buy_datas

    def get_deal_buy_order_nos(self, code):
        """
        获取成交大单集合
        @param code:
        @return:
        """
        return self.__deal_buy_order_nos_dict.get(code)


# 卖单统计数据
@@ -467,6 +484,22 @@
        use_time = time.time() - __start_time
        __start_time = time.time()
        use_time_list.append(("处理涨停卖", use_time))
        latest_sell_order = cls.__latest_sell_order_dict.get(code)
        big_sell_order_ids = cls.__big_sell_order_ids_dict.get(code)
        if big_sell_order_ids is None:
            big_sell_order_ids = set()
        big_sell_order_info = cls.__big_sell_order_info_dict.get(code)
        if big_sell_order_info is None:
            big_sell_order_info = {}
        big_sell_order_info_list = cls.__big_sell_order_info_list_dict.get(code)
        if big_sell_order_info_list is None:
            big_sell_order_info_list = []

        latest_all_sell_orders = cls.__latest_all_sell_orders_dict.get(code)
        if latest_all_sell_orders is None:
            latest_all_sell_orders = []

        last_trade_data = cls.__last_trade_data_dict.get(code)
        for d in fdatas:
            # 获取当前是否为主动买
            if d[1]:
@@ -478,22 +511,20 @@
                    L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0])

                # 判断是否是涨停被动变主动
                last_trade_data = cls.__last_trade_data_dict.get(code)
                if last_trade_data and last_trade_data[1] and last_trade_data[2]:
                    if d[2]:
                        # 涨停被动变主动
                        L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data[0], d[0])
                # cls.__latest_sell_order_info_list_dict[code].append(d)
                if code not in cls.__latest_sell_order_dict:
                    cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
                                                          (d[0][3], d[0][6])]
                if latest_sell_order is None:
                    latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])]
                else:
                    if cls.__latest_sell_order_dict[code][0] == d[0][7]:
                        cls.__latest_sell_order_dict[code][1] += d[0][2]
                        cls.__latest_sell_order_dict[code][2] = d[0][1]
                        cls.__latest_sell_order_dict[code][4] = (d[0][3], d[0][6])
                    if latest_sell_order[0] == d[0][7]:
                        latest_sell_order[1] += d[0][2]
                        latest_sell_order[2] = d[0][1]
                        latest_sell_order[4] = (d[0][3], d[0][6])
                    else:
                        info = cls.__latest_sell_order_dict[code]
                        info = latest_sell_order

                        # 上个卖单成交完成
                        # 封存数据，计算新起点
@@ -501,22 +532,34 @@
                        # 大于50w加入卖单
                        money = info[1] * info[2]
                        if money >= 500000:
                            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)
                            big_sell_order_ids.add(info[0])
                            big_sell_order_info[info[0]] = info
                            big_sell_order_info_list.append(info)
                        # 只保留10w以上的单
                        if money > 100000:
                            cls.__latest_all_sell_orders_dict[code].append(info)
                            latest_all_sell_orders.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}")

                        cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
                                                              (d[0][3], d[0][6])]
                        latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
                                             (d[0][3], d[0][6])]
            finally:
                cls.__last_trade_data_dict[code] = d
                last_trade_data = d

        cls.__last_trade_data_dict[code] = last_trade_data
        if latest_sell_order:
            cls.__latest_sell_order_dict[code] = latest_sell_order
        if big_sell_order_ids:
            cls.__big_sell_order_ids_dict[code] = big_sell_order_ids
        if big_sell_order_info:
            cls.__big_sell_order_info_dict[code] = big_sell_order_info
        if big_sell_order_info_list:
            cls.__big_sell_order_info_list_dict[code] = big_sell_order_info_list
        if latest_all_sell_orders:
            cls.__latest_all_sell_orders_dict[code] = latest_all_sell_orders

        use_time = time.time() - __start_time
        __start_time = time.time()
@@ -638,3 +681,9 @@
    @classmethod
    def get_latest_trade_price_info(cls, code):
        return cls.__latest_trade_price_dict.get(code)


if __name__ == "__main__":
    code = "603300"
    order_nos = HuaXinBuyOrderManager().get_deal_buy_order_nos(code)
    print(order_nos)