gp-server.git - Gitblit

			@@ -62,7 +62,7 @@

			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:
			@@ -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):
			@@ -210,33 +214,45 @@
			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))

			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]
			if code not in cls.__dealing_order_info_dict:
			current_order_info = data[0]

			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]
			cls.__dealing_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3], data[0][3], data[0][1],
			data[0][7], 0]
			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:
			cls.__dealing_order_info_dict[code][7] += money
			dealing_order_info[7] += money
			cls.__dealing_order_info_dict[code] = dealing_order_info
			else:
			if cls.__dealing_order_info_dict[code][0] == data[0][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[0][2]
			cls.__dealing_order_info_dict[code][2] += money
			cls.__dealing_order_info_dict[code][4] = data[0][3]
			cls.__dealing_order_info_dict[code][5] = data[0][1]
			cls.__dealing_order_info_dict[code][6] = data[0][7]
			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:
			cls.__dealing_order_info_dict[code][7] += money
			dealing_order_info[7] += money
			else:
			# 保存上一条数据
			l2_log.info(code, 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[7] >= threshold_big_money:
			@@ -244,35 +260,45 @@
			# 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[0][6], data[0][2], money, data[0][3], data[0][3],
			data[0][1], data[0][7], 0]
			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:
			cls.__dealing_order_info_dict[code][7] += money
			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)
			try:
			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] = [data[0][6], data[0][2], money, data[0][3],
			data[0][3]]
			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:
			if cls.__dealing_active_buy_order_info_dict[code][0] == data[0][6]:
			# 成交同一个订单号
			cls.__dealing_active_buy_order_info_dict[code][1] += data[0][2]
			cls.__dealing_active_buy_order_info_dict[code][2] += money
			cls.__dealing_active_buy_order_info_dict[code][4] = data[0][3]
			else:
			# 初始化本条数据
			cls.__dealing_active_buy_order_info_dict[code] = [data[0][6], data[0][2], money,
			data[0][3], data[0][3]]
			except:
			pass

			# 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
			@@ -305,34 +331,44 @@
			@classmethod
			def statistic_big_sell_data(cls, code, fdatas):
			"""
			统计大卖单
			统计大卖单(299w以上)
			@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)]
			@return: 返回数据里面成交的大单
			"""
			big_sell_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[0][7], data[0][2], money]
			if cls.__dealing_order_info_dict[code][0] == data[0][7]:
			# 成交同一个订单号
			cls.__dealing_order_info_dict[code][1] += data[0][2]
			cls.__dealing_order_info_dict[code][2] += money
			dealing_order_info = [data[0][7], data[0][2], money]
			else:
			# 保存上一条数据
			l2_log.info(code, 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[0][7], data[0][2], money]
			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
			@@ -405,7 +441,6 @@
			fdatas.append(deal_list[i])
			return fdatas


			@classmethod
			def clear_latest_deal_volume(cls, code):
			if code in cls.__deal_volume_list_dict:
			@@ -449,32 +484,47 @@
			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]:
			# 主动买
			continue
			try:
			if d[1]:
			# 主动买
			continue
			if d[2]:
			# 涨停主动卖
			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
			@@ -482,21 +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()
			@@ -618,3 +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)