| | |
| | | L2成交数据处理器 |
| | | """ |
| | | import json |
| | | import time |
| | | |
| | | import l2_data_util |
| | | from db import redis_manager |
| | | 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, log_export |
| | | from log_module import 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 |
| | | hx_logger_l2_transaction_big_buy_order, hx_logger_l2_transaction_big_sell_order, hx_logger_l2_upload |
| | | |
| | | from utils import tool |
| | | |
| | |
| | | """ |
| | | 添加大买单数据 |
| | | @param code: 代码 |
| | | @param datas:[(买单号,总股数,总成交额)] |
| | | @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: |
| | |
| | | |
| | | def add_sell_datas(self, code, datas): |
| | | """ |
| | | 添加大卖单数据 |
| | | 添加大卖单数据:只计算板上成交 |
| | | @param code: 代码 |
| | | @param datas:[(卖单号,总股数,总成交额)] |
| | | @return: |
| | |
| | | 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 |
| | |
| | | @return: |
| | | """ |
| | | if code not in self.__total_buy_datas_dict: |
| | | return 0 |
| | | return [] |
| | | return [x[2] for x in self.__total_buy_datas_dict[code]] |
| | | |
| | | def get_total_sell_money(self, 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 |
| | | return int(sum([x[2] for x in self.__total_sell_datas_dict[code]])) |
| | | 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 |
| | |
| | | __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: |
| | |
| | | @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): |
| | |
| | | return cls.__dealing_active_buy_order_info_dict.get(code) |
| | | |
| | | @classmethod |
| | | def statistic_big_buy_data(cls, code, datas, limit_up_price): |
| | | def statistic_big_buy_data(cls, code, fdatas, limit_up_price): |
| | | """ |
| | | 统计大单买 |
| | | @param code: |
| | | @param datas: |
| | | @param fdatas: [(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: 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: |
| | | |
| | | 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'], |
| | | # data['SellNo'], data['ExecType'])) |
| | | is_limit_up = data[2] |
| | | money = data[3] |
| | | current_order_info = data[0] |
| | | |
| | | 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] |
| | | cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]] |
| | | if dealing_order_info is None: |
| | | # 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] |
| | | dealing_order_info = [current_order_info[6], current_order_info[2], money, |
| | | current_order_info[3], current_order_info[3], |
| | | current_order_info[1], |
| | | current_order_info[7], 0] |
| | | if is_limit_up: |
| | | dealing_order_info[7] += money |
| | | cls.__dealing_order_info_dict[code] = dealing_order_info |
| | | else: |
| | | if cls.__dealing_order_info_dict[code][0] == data[6]: |
| | | if dealing_order_info[0] == current_order_info[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] += data[2] * data[1] |
| | | cls.__dealing_order_info_dict[code][4] = data[3] |
| | | dealing_order_info[1] += current_order_info[2] |
| | | dealing_order_info[2] += money |
| | | dealing_order_info[4] = current_order_info[3] |
| | | dealing_order_info[5] = current_order_info[1] |
| | | dealing_order_info[6] = current_order_info[7] |
| | | if is_limit_up: |
| | | dealing_order_info[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]}") |
| | | l2_log.info(code, hx_logger_l2_transaction_desc, f"{code}#{dealing_order_info}") |
| | | # 设置最近成交完成的一条数据 |
| | | deal_info = cls.__dealing_order_info_dict[code] |
| | | deal_info = dealing_order_info |
| | | cls.__latest_deal_order_info_dict[code] = deal_info |
| | | # 是否为大买单 |
| | | if deal_info[2] >= threshold_big_money: |
| | | 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: |
| | | deal_buy_order_nos.add(deal_info[0]) |
| | | 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]] |
| | | # 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 |
| | | dealing_order_info = [current_order_info[6], current_order_info[2], money, |
| | | current_order_info[3], current_order_info[3], |
| | | current_order_info[1], current_order_info[7], 0] |
| | | if is_limit_up: |
| | | dealing_order_info[7] += money |
| | | cls.__dealing_order_info_dict[code] = dealing_order_info |
| | | |
| | | # 统计主动买(买单号大于卖单号) |
| | | if data[1]: |
| | | 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] = [current_order_info[6], current_order_info[2], |
| | | money, current_order_info[3], |
| | | current_order_info[3]] |
| | | else: |
| | | dealing_active_buy_order_info = cls.__dealing_active_buy_order_info_dict[code] |
| | | if dealing_active_buy_order_info[0] == current_order_info[6]: |
| | | # 成交同一个订单号 |
| | | dealing_active_buy_order_info[1] += current_order_info[2] |
| | | dealing_active_buy_order_info[2] += money |
| | | dealing_active_buy_order_info[4] = current_order_info[3] |
| | | else: |
| | | # 初始化本条数据 |
| | | cls.__dealing_active_buy_order_info_dict[code] = [current_order_info[6], |
| | | current_order_info[2], money, |
| | | 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 |
| | | class HuaXinSellOrderStatisticManager: |
| | | # 最近的大卖单成交,格式:{code:[卖单信息,...]} |
| | | __latest_sell_order_info_list_dict = {} |
| | | # __latest_sell_order_info_list_dict = {} |
| | | |
| | | # 大单卖单号的集合,格式:{code:{卖单号}} |
| | | __big_sell_order_ids_dict = {} |
| | |
| | | __dealing_order_info_dict = {} |
| | | |
| | | @classmethod |
| | | def statistic_big_sell_data(cls, code, datas): |
| | | def statistic_big_sell_data(cls, code, fdatas): |
| | | """ |
| | | 统计大卖单 |
| | | 统计大卖单(299w以上) |
| | | @param code: |
| | | @param datas: |
| | | @param fdatas: [(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: 返回数据里面成交的大单 |
| | | """ |
| | | big_sell_datas = [] |
| | | for data in datas: |
| | | # 正在成交的卖单 |
| | | dealing_order_info = cls.__dealing_order_info_dict.get(code) |
| | | for data in fdatas: |
| | | if not data[2]: |
| | | # 只计算板上成交 |
| | | continue |
| | | money = data[3] |
| | | # 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: |
| | | if dealing_order_info is None: |
| | | # 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] |
| | | dealing_order_info = [data[0][7], data[0][2], 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] |
| | | # 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]] |
| | | if dealing_order_info[0] == data[0][7]: |
| | | # 成交同一个订单号 |
| | | dealing_order_info[1] += data[0][2] |
| | | dealing_order_info[2] += money |
| | | else: |
| | | # 保存上一条数据 |
| | | # 设置最近成交完成的一条数据 |
| | | deal_info = dealing_order_info |
| | | # 保存上一条数据 |
| | | if deal_info[2] >= 2990000: |
| | | # 是否为大买单 |
| | | l2_log.info(code, hx_logger_l2_transaction_desc, |
| | | f"{code}#{deal_info}") |
| | | big_sell_datas.append(deal_info) |
| | | # 初始化本条数据 |
| | | dealing_order_info = [data[0][7], data[0][2], money] |
| | | # 保存最后一条数据的状态 |
| | | cls.__dealing_order_info_dict[code] = dealing_order_info |
| | | 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): |
| | | def statistic_active_sell_deal_volume(cls, code, fdatas, limit_up_price): |
| | | """ |
| | | 统计主动卖成交 |
| | | @param code: |
| | | @param fdatas: [(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)] |
| | | @param limit_up_price: |
| | | @return: |
| | | """ |
| | | # 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: |
| | | # 为了加速处理,如果第一条数据和最后一条数据都是主动买就返回 |
| | | if fdatas[0][1] and fdatas[-1][1]: |
| | | return |
| | | for d in fdatas: |
| | | # 只统计被动买 |
| | | if d[7] < d[6]: |
| | | if d[1]: |
| | | 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]] |
| | | time_str = d[4] |
| | | 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] |
| | | cls.__deal_volume_list_dict[code][-1][1] += d[0][2] |
| | | else: |
| | | # 不是同一秒 |
| | | cls.__deal_volume_list_dict[code].append([time_str, d[2]]) |
| | | cls.__deal_volume_list_dict[code].append([time_str, d[0][2]]) |
| | | else: |
| | | cls.__deal_volume_list_dict[code].append([time_str, d[2]]) |
| | | cls.__deal_volume_list_dict[code].append([time_str, d[0][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): |
| | |
| | | |
| | | # 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 |
| | | def add_transaction_datas(cls, code, datas, limit_up_price=None): |
| | | # 是否为主动卖 |
| | | def is_active_sell(sell_no, buy_no): |
| | | return sell_no > buy_no |
| | | def statistic_continue_limit_up_sell_transaction_datas(cls, code, fdatas, limit_up_price=None): |
| | | """ |
| | | 统计连续涨停卖成交的数据 |
| | | @param code: |
| | | @param fdatas: [(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)] |
| | | @param limit_up_price: |
| | | @return: |
| | | """ |
| | | |
| | | f_start_time = time.time() |
| | | use_time_list = [] |
| | | # 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.__latest_sell_order_info_list_dict: |
| | | cls.__latest_sell_order_info_list_dict[code] = [] |
| | | # if code not in cls.__latest_sell_order_info_list_dict: |
| | | # cls.__latest_sell_order_info_list_dict[code] = [] |
| | | if code not in cls.__big_sell_order_ids_dict: |
| | | cls.__big_sell_order_ids_dict[code] = set() |
| | | if code not in cls.__big_sell_order_info_dict: |
| | |
| | | if code not in cls.__latest_all_sell_orders_dict: |
| | | cls.__latest_all_sell_orders_dict[code] = [] |
| | | |
| | | sell_no_map = local_today_sellno_map.get(code) |
| | | total_datas = local_today_datas.get(code) |
| | | if not sell_no_map: |
| | | sell_no_map = {} |
| | | |
| | | # 保存最近的成交价格:(价格,成交时间) |
| | | cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3]) |
| | | cls.__latest_trade_price_dict[code] = (fdatas[-1][0][1], fdatas[-1][0][3]) |
| | | |
| | | L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas, limit_up_price) |
| | | __start_time = time.time() |
| | | # 是否还有涨停卖剩下 |
| | | no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas) |
| | | 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 = [] |
| | | |
| | | for d in datas: |
| | | 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]: |
| | | # 主动买 |
| | | continue |
| | | try: |
| | | _is_active_sell = is_active_sell(d[7], d[6]) |
| | | if not _is_active_sell: |
| | | continue |
| | | |
| | | if d[1] == limit_up_price: |
| | | if d[2]: |
| | | # 涨停主动卖 |
| | | L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d) |
| | | 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 not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[ |
| | | 1] == limit_up_price: |
| | | if d[1] == limit_up_price: |
| | | 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, d) |
| | | 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[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])] |
| | | 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 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[7]: |
| | | cls.__latest_sell_order_dict[code][1] += d[2] |
| | | cls.__latest_sell_order_dict[code][2] = d[1] |
| | | cls.__latest_sell_order_dict[code][4] = (d[3], d[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 |
| | |
| | | # 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[7], d[2], d[1], (d[3], d[6]), (d[3], d[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 |
| | | |
| | | latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True) |
| | | 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() |
| | | use_time_list.append(("大单统计", use_time)) |
| | | |
| | | latest_time = fdatas[-1][5] |
| | | min_time = tool.trade_time_add_millionsecond(latest_time, -1000) |
| | | min_time_int = int(min_time.replace(":", "").replace(".", "")) |
| | | # 计算最近1s的大单成交 |
| | |
| | | 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 |
| | | |
| | | use_time = time.time() - __start_time |
| | | __start_time = time.time() |
| | | use_time_list.append(("最近大单统计", use_time)) |
| | | |
| | | # ----------------统计涨停主动买----------------- |
| | | try: |
| | | limit_up_active_buy_datas = [] |
| | | for d in fdatas: |
| | | if not d[1]: |
| | | # 被动买 |
| | | continue |
| | | # 是否是涨停 |
| | | if d[2]: |
| | | # 有涨停主动买 |
| | | limit_up_active_buy_datas.append(d[0]) |
| | | L2TradeSingleDataManager.set_limit_up_active_buy(code, limit_up_active_buy_datas, no_left_limit_up_sell) |
| | | |
| | | use_time = time.time() - __start_time |
| | | __start_time = time.time() |
| | | use_time_list.append(("涨停主动买成交", use_time)) |
| | | except: |
| | | pass |
| | | |
| | | use_time = time.time() - f_start_time |
| | | if use_time > 0.01: |
| | | l2_log.info(code, hx_logger_l2_upload, |
| | | f"{code}处理成交详细用时:{use_time} 数据数量:{len(fdatas)} 详情:{use_time_list}") |
| | | return total_sell_info |
| | | |
| | | # 获取最近成交数据 |
| | |
| | | @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) |