gp-server.git - Gitblit

			@@ -4,12 +4,13 @@
			import time

			from huaxin_client import constant as huaxin_client_constant
			from l2 import l2_data_util
			from l2 import l2_data_util, l2_data_source_util
			from l2.l2_data_util import L2DataUtil
			from log_module import async_log_util
			from log_module.log import hx_logger_trade_debug, logger_real_place_order_position, logger_debug
			from trade.huaxin import huaxin_trade_record_manager
			from utils import tool
			import concurrent.futures

			_place_order_info_dict = {}

			@@ -83,6 +84,9 @@
			if L2DataUtil.time_sub_as_ms(total_datas[i]['val'], exec_data["val"]) >= THRESH_MS:
			return i
			return None


			__re_compute_threading_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10)


			# L2数据列表
			@@ -174,11 +178,117 @@
			if code in _place_order_info_dict:
			_place_order_info_dict.pop(code)
			__place_order_position[code] = real_place_index_info[0]
			__re_compute_threading_pool.submit(__recompute_for_slow_time, code, order_info, real_place_index_info[0])
			return real_place_index_info[0]
			else:
			return None


			# 因为L2数据慢的问题而重新计算
			def __recompute_for_slow_time(code, order_info, real_place_index):
			try:
			# 计算当前时间是否满足时间条件
			now_time_str = tool.get_now_time_str()
			if tool.trade_time_sub(now_time_str, "09:30:00") < 60 or 0 <= tool.trade_time_sub(now_time_str, "13:00:00") <= 60:
			price = order_info[0]
			volume = order_info[1]
			exec_data = order_info[2]
			order_time = order_info[3] # 下单时间
			order_ref = order_info[4]
			shadow_price = order_info[5]
			# 在重新计算真实下单位置，在2s后计算
			for t in range(0, 10):
			time.sleep(1)
			# 判断是否需要重新计算（手数不一致/已撤单）
			total_datas = l2_data_util.local_today_datas.get(code)
			real_place_index_data = total_datas[real_place_index]
			try:
			current_delegates = huaxin_trade_record_manager.DelegateRecordManager().list_current_delegates(code)
			if not current_delegates:
			continue
			delegate_info = current_delegates[0]

			if str(delegate_info["orderRef"]) != str(order_ref):
			continue
			# 看是否需要矫正
			need_update = False
			if not need_update and delegate_info["acceptTime"] != real_place_index_data["val"]["time"]:
			# 下单时间不一致
			need_update = True

			if not need_update and real_place_index_data["val"]["num"] != volume:
			# 下单量不一致
			need_update = True

			if not need_update and L2DataUtil.is_limit_up_price_buy(real_place_index_data["val"]):
			# 不是涨停买
			need_update = True

			if not need_update:
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
			real_place_index,
			total_datas,
			l2_data_util.local_today_canceled_buyno_map.get(
			code))
			if left_count < 1:
			# 已经撤单
			need_update = True
			if need_update:
			# 需要更新真实下单位置
			# 在时间内找引子单
			shadow_order_indexes = []
			for i in range(exec_data["index"] + 1, total_datas[-1]["index"]):
			data = total_datas[i]
			val = data['val']
			# 默认引子单与真实单下单时间一致
			if val["time"] != delegate_info["acceptTime"]:
			continue
			if not L2DataUtil.is_buy(val):
			continue
			if val["num"] != huaxin_client_constant.SHADOW_ORDER_VOLUME // 100:
			continue
			if abs(shadow_price - float(val["price"])) >= 0.01:
			continue
			shadow_order_indexes.append(i)

			# 获取引子单前最近且符合真实下单位置特征的数据
			findexes_info = []
			for index in shadow_order_indexes:

			for i in range(index - 1, exec_data["index"], -1):
			data = total_datas[i]
			val = data['val']
			if val["time"] != total_datas[index]["val"]["time"]:
			continue
			if not L2DataUtil.is_limit_up_price_buy(val):
			continue
			if volume != val["num"]:
			continue
			left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
			code,
			i,
			total_datas,
			l2_data_util.local_today_canceled_buyno_map.get(
			code))
			if left_count < 1:
			continue
			findexes_info.append((index, i))
			break
			if findexes_info:
			findexes_info.sort(key=lambda x: x[0] - x[1])
			# 获取成功
			real_place_index = findexes_info[0][1]
			async_log_util.info(logger_real_place_order_position,
			f"真实下单位矫正：{code}-{real_place_index} 下单数据：{order_info}")
			finally:
			pass
			else:
			return
			pass
			except Exception as e:
			logger_real_place_order_position.exception(e)


			# 获取真实下单位置
			def get_place_order_position(code):
			return __place_order_position.get(code)

			@@ -72,12 +72,12 @@
			nameDict = HistoryKDatasUtils.get_gp_codes_names([d['securityID']])
			name = nameDict.get(d['securityID'])
			cls.mysqldb.execute(
			"insert into hx_trade_delegate_record values('%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s')" % (
			"insert into hx_trade_delegate_record values('%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s','%s', '%s')" % (
			_id, d["orderLocalID"], d["securityID"], name, d["direction"],
			d["orderSysID"], d["insertTime"], d["insertDate"], d["acceptTime"], d["cancelTime"],
			d["limitPrice"], d["turnover"], d["volume"], d["volumeTraded"], d["orderStatus"],
			d["orderSubmitStatus"], d["statusMsg"], tool.get_now_datetime_str(),
			tool.get_now_datetime_str(), d["accountID"]))
			tool.get_now_datetime_str(), d["accountID"],d["orderRef"]))
			else:
			# 修改数据
			updateDict = {}
			@@ -97,6 +97,8 @@
			updateDict['orderSubmitStatus'] = d['orderSubmitStatus']
			if result[16] != d['statusMsg']:
			updateDict['statusMsg'] = d['statusMsg']
			if result[20] != d['orderRef']:
			updateDict['orderRef'] = d['orderRef']
			if updateDict:
			# 有更新数据
			updateDict['updateTime'] = tool.get_now_datetime_str()
			@@ -124,7 +126,7 @@
			# 转dict
			key_list = ["id", "orderLocalID", "securityID", "securityName", "direction", "orderSysID", "insertTime",
			"insertDate", "acceptTime", "cancelTime", "limitPrice", "turnover", "volume", "volumeTraded",
			"orderStatus", "orderSubmitStatus", "statusMsg", "createTime", "updateTime", "accountID"]
			"orderStatus", "orderSubmitStatus", "statusMsg", "createTime", "updateTime", "accountID", "orderRef"]
			fresults = []
			max_update_time = None
			if results:

	l2/huaxin/huaxin_delegate_postion_manager.py	112 ●●●●● 补丁 \| 查看 \| 原始文档 \| blame \| 历史
	trade/huaxin/huaxin_trade_record_manager.py	8 ●●●●● 补丁 \| 查看 \| 原始文档 \| blame \| 历史