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| | | |
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| | | from l2.huaxin import huaxin_target_codes_manager |
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| | | from log_module import async_log_util |
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| | | from log_module.log import logger_l2_codes_subscript |
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| | | from ths import client_manager |
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| | | from log_module.log import logger_l2_codes_subscript, logger_debug |
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| | | import constant |
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| | | from code_attribute import gpcode_manager |
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| | | from third_data import kpl_data_constant |
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| | | from third_data.code_plate_key_manager import KPLPlateForbiddenManager |
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| | | from third_data.kpl_data_constant import LimitUpCodesBlockRecordManager, LimitUpDataConstant |
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| | | from trade.buy_money_count_setting import BuyMoneyUtil |
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| | | from trade.buy_radical import radical_buy_data_manager, new_block_processor |
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| | | from trade.buy_radical.block_special_codes_manager import BlockSpecialCodesManager |
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| | | from trade.buy_radical.radical_buy_data_manager import RadicalBuyBlockManager, RadicalBuyDataManager |
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| | | from trade.order_statistic import DealAndDelegateWithBuyModeDataManager |
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| | | from utils import tool, import_util |
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| | | from ths.l2_code_operate import L2CodeOperate |
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| | | from trade import trade_manager, l2_trade_util |
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| | | from trade.trade_data_manager import CodeActualPriceProcessor |
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| | | from trade import trade_manager, l2_trade_util, trade_constant |
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| | | from trade.trade_data_manager import CodeActualPriceProcessor, RadicalBuyDealCodesManager |
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| | | import concurrent.futures |
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| | | |
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| | | trade_gui = import_util.import_lib("trade.trade_gui") |
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| | | |
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| | | __actualPriceProcessor = CodeActualPriceProcessor() |
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| | | |
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| | | __pre_big_order_deal_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10) |
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| | | |
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| | | latest_add_codes = set() |
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| | | |
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| | | |
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| | | def accept_prices(prices, request_id=None): |
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| | | # 获取首板代码 |
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| | | first_codes = gpcode_manager.FirstGPCodesManager().get_first_gp_codes_cache() |
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| | | def compute_code_order(code, top_in_blocks=None, yesterday_limit_up_codes=None, today_history_limit_up_codes=None, |
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| | | top_out_blocks=None): |
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| | | """ |
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| | | 计算代码的排序 |
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| | | @param code: |
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| | | @param top_in_blocks: 净流入前几 |
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| | | @return: 排序值，若为负值不订阅 |
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| | | """ |
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| | | # 想买单/隔夜单排序位 |
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| | | if yesterday_limit_up_codes is None: |
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| | | yesterday_limit_up_codes = set() |
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| | | if top_in_blocks is None: |
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| | | top_in_blocks = [] |
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| | | if top_out_blocks is None: |
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| | | top_out_blocks = [] |
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| | | if today_history_limit_up_codes is None: |
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| | | today_history_limit_up_codes = set() |
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| | | # 高位板 |
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| | | if code in yesterday_limit_up_codes: |
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| | | return -1 |
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| | | # 黑名单 |
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| | | trade_state = trade_manager.CodesTradeStateManager().get_trade_state_cache(code) |
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| | | # 处于委托状态的必须订阅 |
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| | | if trade_state == trade_constant.TRADE_STATE_BUY_DELEGATED or trade_state == trade_constant.TRADE_STATE_BUY_PLACE_ORDER: |
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| | | return 0 |
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| | | if l2_trade_util.is_in_forbidden_trade_codes(code): |
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| | | # 没有成交 |
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| | | if trade_state == trade_constant.TRADE_STATE_BUY_SUCCESS: |
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| | | # 成交的票 |
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| | | return 998 |
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| | | else: |
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| | | return -1 |
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| | | deal_codes = RadicalBuyDealCodesManager().get_deal_codes() |
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| | | result = RadicalBuyDataManager().is_code_can_buy(code, deal_codes) |
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| | | if not result[0]: |
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| | | if len(result) > 2 and result[2]: |
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| | | # 可以拉黑 |
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| | | if new_block_processor.is_can_forbidden(code): |
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| | | l2_trade_util.forbidden_trade(code, msg=result[1]) |
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| | | return -1 |
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| | | |
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| | | print("总价格代码数量：", len(prices)) |
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| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS: |
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| | | __actualPriceProcessor.save_current_price_codes_count(len(prices)) |
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| | | # 采集的代码数量不对, 暂时不需要 |
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| | | # if len(gpcode_manager.get_gp_list()) - len(prices) > 10: |
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| | | # logger_l2_codes_subscript.info("采集到的代码数量不正确:{}", len(prices)) |
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| | | # return |
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| | | now_str = tool.get_now_time_str() |
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| | | # 获取想买单 |
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| | | want_codes = gpcode_manager.WantBuyCodesManager().list_code_cache() |
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| | | # 想买单 |
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| | | if gpcode_manager.WantBuyCodesManager().is_in_cache(code): |
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| | | return 0 |
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| | | # 隔夜单排一 |
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| | | if gpcode_manager.BuyOpenLimitUpCodeManager().is_in_cache(code): |
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| | | return 0 |
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| | | |
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| | | # 如果当前清单处于委托状态就不能移除 |
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| | | if trade_state == trade_constant.TRADE_STATE_BUY_PLACE_ORDER or trade_state == trade_constant.TRADE_STATE_BUY_DELEGATED: |
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| | | return 0 |
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| | | |
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| | | # 板块 |
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| | | blocks = LimitUpCodesBlockRecordManager().get_radical_buy_blocks(code) |
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| | | if not blocks: |
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| | | return -1 |
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| | | if code in today_history_limit_up_codes: |
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| | | # 涨停过的代码才会计算板块身位 |
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| | | for b in blocks: |
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| | | index = None |
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| | | # 只订阅有辨识度的票和新板块前3 |
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| | | special_codes = BlockSpecialCodesManager().get_block_codes(b) |
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| | | if special_codes and code in special_codes: |
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| | | # 有辨识度在净流入中则订阅 |
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| | | if b in top_in_blocks: |
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| | | index = top_in_blocks.index(b) |
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| | | return index + 1 |
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| | | else: |
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| | | # 辨识度的票没在净流入中，只要不在净流出中就订阅 |
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| | | if b not in top_out_blocks: |
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| | | return 200 |
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| | | else: |
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| | | # 没有辨识度，新板块订阅前3 |
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| | | new_blocks = kpl_data_constant.get_new_blocks(code) |
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| | | if new_blocks and b in new_blocks: |
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| | | info = RadicalBuyBlockManager().get_history_index(code, b, yesterday_limit_up_codes) |
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| | | if info[0] > 0: |
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| | | info = RadicalBuyBlockManager().filter_before_codes(code, b, info[0], info[1], |
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| | | yesterday_limit_up_codes) |
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| | | if info[0] < 3: |
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| | | if b in top_in_blocks: |
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| | | index = top_in_blocks.index(b) |
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| | | return index + 1 |
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| | | else: |
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| | | return 200 |
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| | | else: |
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| | | # 尚未涨停过的代码，订阅板块有辨识度的前6 |
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| | | for b in blocks: |
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| | | if b not in top_in_blocks and tool.get_now_time_as_int() >= 100000: |
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| | | # 10点之后才考虑净流入 |
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| | | continue |
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| | | if b in top_in_blocks: |
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| | | index = top_in_blocks.index(b) |
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| | | else: |
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| | | index = 1000 |
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| | | special_codes = BlockSpecialCodesManager().get_block_codes(b) |
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| | | if not special_codes or code not in special_codes: |
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| | | continue |
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| | | # 净流入 + 辨识度 |
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| | | return index + 1 |
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| | | # 判断今日辨识度 |
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| | | try: |
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| | | for b in blocks: |
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| | | if radical_buy_data_manager.RadicalBuyBlockManager.is_today_block_special_codes(code, b, |
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| | | yesterday_limit_up_codes): |
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| | | if b in top_in_blocks: |
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| | | index = top_in_blocks.index(b) |
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| | | return index + 1 |
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| | | except Exception as e: |
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| | | logger_debug.exception(e) |
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| | | |
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| | | return 10000 |
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| | | |
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| | | |
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| | | def accept_prices(prices, request_id=None, top_in_blocks=None, yesterday_limit_up_codes=None, top_out_blocks=None): |
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| | | """ |
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| | | 接收价格，处理订阅 |
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| | | @param yesterday_limit_up_codes: 昨日涨停数据 |
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| | | @param history_limit_up_datas: 历史涨停数据 |
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| | | @param prices: |
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| | | @param request_id: |
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| | | @param top_in_blocks: 净流入前几的代码 |
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| | | @return: |
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| | | """ |
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| | | # logger_debug.debug(f"接收L1数据测试：流入前20-{top_in_blocks}") |
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| | | if True: |
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| | | today_history_limit_up_codes = set([d[3] for d in LimitUpDataConstant.history_limit_up_datas]) |
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| | | _code_list = [] |
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| | | _delete_list = [] |
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| | | temp_prices = [] |
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| | | temp_rates = [] |
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| | | now_time_int = tool.get_now_time_as_int() |
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| | | for d in prices: |
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| | | code, price = d["code"], float(d["price"]) |
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| | | temp_prices.append((code, price)) |
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| | | # 获取收盘价 |
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| | | pricePre = gpcode_manager.CodePrePriceManager.get_price_pre_cache(code) |
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| | | if pricePre is not None: |
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| | | # 是否是想买单 |
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| | | order_index = compute_code_order(code, top_in_blocks, yesterday_limit_up_codes, |
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| | | today_history_limit_up_codes, top_out_blocks=top_out_blocks) |
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| | | rate = round((price - pricePre) * 100 / pricePre, 2) |
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| | | if first_codes and code in first_codes: |
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| | | if tool.is_ge_code(code): |
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| | | # 创业板的涨幅需要打折 |
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| | | rate = rate / 2 |
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| | | if rate >= 0 and not trade_manager.ForbiddenBuyCodeByScoreManager().is_in_cache(code): |
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| | | # 暂存涨幅为正的代码 |
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| | | _code_list.append((rate, code, 1 if code in want_codes else 0)) |
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| | | if order_index >= 0: |
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| | | if order_index < 1000 and rate >= 5: |
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| | | # 涨幅大于3%的才能订阅 |
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| | | _code_list.append((rate, code, order_index)) |
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| | | else: |
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| | | _delete_list.append((rate, code, 0)) |
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| | | else: |
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| | | # 暂存涨幅为负的代码 |
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| | | _delete_list.append((rate, code, 0)) |
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| | | try: |
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| | | temp_rates.append((code, rate)) |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | |
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| | | try: |
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| | | __actualPriceProcessor.save_current_price(code, price, |
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| | | gpcode_manager.get_limit_up_price_by_preprice( |
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| | | pricePre) == tool.to_price( |
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| | | gpcode_manager.get_limit_up_price_by_preprice(code, |
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| | | pricePre) == tool.to_price( |
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| | | decimal.Decimal(d["price"]))) |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | logger_l2_codes_subscript.exception(e) |
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| | | gpcode_manager.set_prices(temp_prices) |
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| | | __actualPriceProcessor.process_rates(temp_rates, now_str) |
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| | | # -------------------------------处理交易位置分配--------------------------------- |
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| | | # 排序 |
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| | | new_code_list = sorted(_code_list, key=lambda e: (e.__getitem__(2), e.__getitem__(0)), reverse=True) |
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| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS: |
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| | | # 预填充下单代码 |
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| | | _buy_win_codes = [] |
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| | | for d in new_code_list: |
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| | | _buy_win_codes.append(d[1]) |
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| | | for d in _delete_list: |
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| | | _buy_win_codes.append(d[1]) |
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| | | try: |
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| | | if not constant.API_TRADE_ENABLE and trade_gui is not None: |
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| | | trade_gui.THSBuyWinManagerNew.fill_codes(_buy_win_codes) |
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| | | except Exception as e: |
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| | | logging.exception(e) |
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| | | pass |
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| | | |
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| | | new_code_list = sorted(_code_list, key=lambda e: (e[2], -e[0])) |
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| | | # logger_debug.debug(f"接收L1数据测试：排序过后的代码-{new_code_list[:75]}") |
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| | | # -------------------------------处理L2监听--------------------------------- |
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| | | max_count = 0 |
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| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS: |
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| | | client_ids = client_manager.getValidL2Clients() |
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| | | # 最多填充的代码数量 |
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| | | max_count = len(client_ids) * constant.L2_CODE_COUNT_PER_DEVICE |
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| | | if max_count == 0: |
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| | | max_count = constant.L2_CODE_COUNT_PER_DEVICE |
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| | | else: |
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| | | max_count = constant.HUAXIN_L2_MAX_CODES_COUNT |
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| | | max_count = constant.HUAXIN_L2_MAX_CODES_COUNT |
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| | | |
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| | | _delete_list = [] |
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| | | for item in new_code_list: |
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| | | if l2_trade_util.is_in_forbidden_trade_codes(item[1]) or item[0] < 0: |
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| | | trade_state = trade_manager.CodesTradeStateManager().get_trade_state_cache(item[1]) |
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| | | if l2_trade_util.is_in_forbidden_trade_codes( |
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| | | item[1]) and trade_state != trade_constant.TRADE_STATE_BUY_SUCCESS: |
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| | | # 拉黑的尚未成交的代码 |
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| | | _delete_list.append(item) |
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| | | elif item[0] < 0: |
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| | | # 在（黑名单）/（涨幅小于）的数据 |
|---|
| | | # if trade_manager.CodesTradeStateManager().get_trade_state_cache( |
|---|
| | | # item[1]) != trade_constant.TRADE_STATE_BUY_SUCCESS: |
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| | | # 没成交才会加入删除 |
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| | | _delete_list.append(item) |
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| | | |
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| | | for item in _delete_list: |
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| | | new_code_list.remove(item) |
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| | | # 截取前几个代码填充 |
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| | | add_list = new_code_list[:max_count] |
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| | | async_log_util.info(logger_l2_codes_subscript, |
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| | | f"({request_id})需要订阅的代码：{add_list}") |
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| | | |
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| | | # 后面的代码全部删除 |
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| | | _delete_list.extend(new_code_list[max_count:]) |
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| | | |
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| | |
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| | | for d in _delete_list: |
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| | | del_code_list.append(d[1]) |
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| | | |
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| | | if del_code_list: |
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| | | async_log_util.info(logger_l2_codes_subscript, |
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| | | f"({request_id})需要删除订阅的代码：{del_code_list}") |
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| | | |
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| | | if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN: |
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| | | # 华鑫L2,获取加入代码的涨停价 |
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| | | |
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| | | # 是否和上次一样 |
|---|
| | | try: |
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| | | add_code_set = set(add_code_list) |
|---|
| | | # global latest_add_codes |
|---|
| | | # if not latest_add_codes: |
|---|
| | | # latest_add_codes = set() |
|---|
| | | global latest_add_codes |
|---|
| | | if not latest_add_codes: |
|---|
| | | latest_add_codes = set() |
|---|
| | | # # 判断设置的代码是否相同 |
|---|
| | | # dif1 = latest_add_codes - add_code_set |
|---|
| | | # dif2 = add_code_set - latest_add_codes |
|---|
| | | # if dif1 or dif2: |
|---|
| | | dif2 = add_code_set - latest_add_codes |
|---|
| | | if dif2: |
|---|
| | | # 新增加的订阅需要拉取之前的大单 |
|---|
| | | __pre_big_order_deal_thread_pool.submit(radical_buy_data_manager.pull_pre_deal_big_orders_by_codes, dif2) |
|---|
| | | if True: |
|---|
| | | print("设置L2代码数量：", len(add_code_set)) |
|---|
| | | global latest_add_codes |
|---|
| | | async_log_util.info(logger_l2_codes_subscript, |
|---|
| | | f"({request_id})预处理新增订阅代码：{add_code_set - latest_add_codes}") |
|---|
| | | f"({request_id})预处理新增订阅代码：{dif2}") |
|---|
| | | latest_add_codes = add_code_set |
|---|
| | | add_datas = [] |
|---|
| | | for d in add_code_list: |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price(d) |
|---|
| | | limit_up_price = round(float(limit_up_price), 2) |
|---|
| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(d) |
|---|
| | | min_volume = int(round(50 * 10000 / limit_up_price)) |
|---|
| | | # 传递笼子价 |
|---|
| | | # 需要订阅的特殊的量 |
|---|
| | | special_volumes = BuyMoneyUtil.get_possible_buy_volumes(limit_up_price) |
|---|
| | | special_volumes |= set([tool.get_buy_volume_by_money(limit_up_price, x) for x in |
|---|
| | | constant.AVAILABLE_BUY_MONEYS]) |
|---|
| | | add_datas.append( |
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| | | (d, min_volume, limit_up_price, round(tool.get_shadow_price(limit_up_price), 2),tool.get_buy_volume(limit_up_price))) |
|---|
| | | # （代码, 最小量, 涨停价，影子订单价格,买量, 特殊价格） |
|---|
| | | (d, min_volume, limit_up_price, round(tool.get_shadow_price(limit_up_price), 2), |
|---|
| | | tool.get_buy_volume(limit_up_price), list(special_volumes))) |
|---|
| | | huaxin_target_codes_manager.HuaXinL2SubscriptCodesManager.push(add_datas, request_id) |
|---|
| | | except Exception as e: |
|---|
| | | logging.exception(e) |
|---|
| | | logger_debug.exception(e) |
|---|
| | | else: |
|---|
| | | # 后面的代码数量 |
|---|
| | | # 先删除应该删除的代码 |
|---|
| | | for code in del_code_list: |
|---|
| | | if gpcode_manager.is_listen_old(code): |
|---|
| | | cid, pid = gpcode_manager.get_listen_code_pos(code) |
|---|
| | | # 强制移除 |
|---|
| | | if cid and pid: |
|---|
| | | gpcode_manager.set_listen_code_by_pos(cid, pid, "") |
|---|
| | | # 判断是否在监听里面 |
|---|
| | | L2CodeOperate.get_instance().add_operate(0, code, "现价变化") |
|---|
| | | # 增加应该增加的代码 |
|---|
| | | for code in add_code_list: |
|---|
| | | if not gpcode_manager.is_listen_old(code): |
|---|
| | | L2CodeOperate.get_instance().add_operate(1, code, "现价变化") |
|---|
| | | |
|---|
| | | # 获取卡位数量 |
|---|
| | | free_count = gpcode_manager.get_free_listen_pos_count() |
|---|
| | | if free_count < 2: |
|---|
| | | # 空闲位置不足 |
|---|
| | | listen_codes = gpcode_manager.get_listen_codes() |
|---|
| | | for code in listen_codes: |
|---|
| | | if not gpcode_manager.is_in_gp_pool(code): |
|---|
| | | client_id, pos = gpcode_manager.get_listen_code_pos(code) |
|---|
| | | gpcode_manager.set_listen_code_by_pos(client_id, pos, "") |
|---|
| | | free_count += 1 |
|---|
| | | if free_count > 2: |
|---|
| | | break |
|---|
| | | |
|---|
| | | print(add_code_list, del_code_list) |
|---|
| | | pass |
|---|
| | | |
|---|
| | | |
|---|
| | | __trade_price_dict = {} |
|---|
| | | |
|---|
| | | # 最近的非涨停价成交的信息,数据结构：{code:(价格,时间)} |
|---|
| | | __trade_price_not_limit_up_info_dict = {} |
|---|
| | | |
|---|
| | | |
|---|
| | | # 设置成交价 |
|---|
| | |
|---|
| | | __trade_price_dict[code] = price |
|---|
| | | |
|---|
| | | |
|---|
| | | def set_latest_not_limit_up_time(code, time_str_with_ms): |
|---|
| | | """ |
|---|
| | | 记录最近的一次上板时间（最近的一笔主动买就是上板时间） |
|---|
| | | @param code: |
|---|
| | | @param time_str: |
|---|
| | | @return: |
|---|
| | | """ |
|---|
| | | __trade_price_not_limit_up_info_dict[code] = time_str_with_ms |
|---|
| | | |
|---|
| | | |
|---|
| | | # 获取成交价 |
|---|
| | | def get_trade_price(code): |
|---|
| | | return __trade_price_dict.get(code) |
|---|
| | | |
|---|
| | | |
|---|
| | | def get_trade_not_limit_up_time_with_ms(code): |
|---|
| | | """ |
|---|
| | | 获取最近的非板上成交的时间 |
|---|
| | | @param code: |
|---|
| | | @return:(价格, 时间) |
|---|
| | | """ |
|---|
| | | return __trade_price_not_limit_up_info_dict.get(code) |
|---|
