不统计被动卖

Administrator

2024-03-28 3a8a4a33733062c68885584dd3746d638e98e1f8

不统计被动卖

 l2/l2_data_manager_new.py

@@ -26,7 +26,7 @@
    LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer
from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
    local_latest_datas, local_today_canceled_buyno_map
    local_latest_datas, local_today_canceled_buyno_map,local_today_sellno_map
import l2.l2_data_util
from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug, \
    logger_l2_not_buy_reasons, logger_real_place_order_position
@@ -362,6 +362,7 @@
            local_today_datas[code].extend(add_datas)
            l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
            l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)
            l2.l2_data_util.load_sell_no_map(local_today_sellno_map, code, add_datas)
            l2.l2_data_util.load_canceled_buy_no_map(local_today_canceled_buyno_map, code, add_datas)
            if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
                try:

 l2/l2_data_util.py

@@ -33,6 +33,9 @@
# 买入订单号映射,只有原生的L2数据才有
local_today_buyno_map = {}

# 卖出订单号映射，只有原生的L2数据才有
local_today_sellno_map = {}

# 已经撤单的订单号
local_today_canceled_buyno_map = {}

@@ -74,6 +77,7 @@
        # 根据今日数据加载
        load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force)
        load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code), force)
        load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code), force)
        load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code), force)
        return data_normal
    return True
@@ -84,9 +88,10 @@
    datas = local_today_datas.get(code)
    if not datas:
        # 初始化
        local_today_datas[code] =[]
        local_today_datas[code] = []
        load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code))
        load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code))
        load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code))
        load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code))

    if datas and len(datas) < datas[-1]["index"] + 1:
@@ -105,6 +110,7 @@
                local_today_datas[code] = datas[code]
        load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force)
        load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code), force)
        load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code), force)
        load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code), force)


@@ -141,6 +147,25 @@
            local_today_buyno_map[code].setdefault(key, data)


# 将数据根据orderNo分类,原生数据才有
def load_sell_no_map(local_today_sellno_map, code, source_datas, clear=False):
    # 只有原生L2数据才会有此操作
    if constant.L2_SOURCE_TYPE != constant.L2_SOURCE_TYPE_HUAXIN:
        return
    if local_today_sellno_map.get(code) is None:
        local_today_sellno_map[code] = {}
    if clear:
        local_today_sellno_map[code] = {}

    for data in source_datas:
        if data["val"]["operateType"] != 2:
            continue
        # 只填充买入数据
        key = "{}".format(data["val"]["orderNo"])
        if local_today_sellno_map[code].get(key) is None:
            local_today_sellno_map[code].setdefault(key, data)


# 将数据根据orderNo分类已撤订单,原生数据才有
def load_canceled_buy_no_map(local_today_canceled_buyno_map, code, source_datas, clear=False):
    # 只有原生L2数据才会有此操作

 l2/l2_transaction_data_manager.py

@@ -7,6 +7,7 @@
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

from log_module import async_log_util
from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
@@ -117,7 +118,12 @@
        if code not in cls.__big_sell_order_info_list_dict:
            cls.__big_sell_order_info_list_dict[code] = []

        sell_no_map = local_today_sellno_map.get(code)
        if not sell_no_map:
            sell_no_map = {}
        for d in datas:
            if f"{d[7]}" in sell_no_map:
                continue
            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])]
@@ -144,7 +150,6 @@
        min_time_int = int(min_time.replace(":", "").replace(".", ""))
        # 计算最近1s的大单成交
        total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)
        start_index = 0

        total_sell_info = [0, None]  # 总资金,开始成交信息,结束成交信息
        latest_sell_order_info = cls.__latest_sell_order_dict[code]
@@ -155,6 +160,9 @@
        # 统计已经结算出的大单
        for i in range(len(total_big_sell_datas) - 1, -1, -1):
            bd = total_big_sell_datas[i]
            if min_time_int > int(
                    l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
                break
            if bd[0] != latest_sell_order_info[0]:
                # 不是最近的成交且不是大单直接过滤
                if bd[0] not in big_sell_order_ids:
@@ -172,10 +180,6 @@
                        big_sell_orders.append(latest_sell_order_info)
                        temp_sell_order_ids.add(latest_sell_order_info[0])

            if min_time_int > int(
                    l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
                start_index = i
                break
            # 统计最近1s的大卖单数据
            total_sell_info[0] += int(bd[1] * bd[2])
        # 统计最近的大单
@@ -187,5 +191,4 @@

        big_sell_orders.reverse()
        total_sell_info[1] = big_sell_orders
        cls.__latest_sell_order_info_list_dict[code] = cls.__latest_sell_order_info_list_dict[code][start_index:]
        return total_sell_info

 test/test_sell.py

@@ -1,4 +1,5 @@
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager
from l2 import l2_data_util
from log_module import log_export, async_log_util
from utils import tool

@@ -16,21 +17,20 @@


def test_sell_order_info():
    code = "603967"
    code = "600506"
    l2_data_util.load_l2_data(code, force=True)
    date = tool.get_now_date_str()
    data_map = log_export.load_huaxin_transaction_map(date=date)
    datas = data_map.get(code)
    start_print = False
    for i in range(len(datas)):
        d = datas[i]
        if d[0][7] == 11181370:
            start_print = True
        if start_print:
            print(d)
        if i == 1653:
            print("调试")
        big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, d)
        if big_sell_order_info[0] < 50 * 10000:
            continue
        # print(big_sell_order_info)
        print(i, sum([ x[1]*x[2] for x in big_sell_order_info[1]]), big_sell_order_info)


if __name__ == '__main__':

 utils/data_export_util.py

@@ -75,7 +75,9 @@
    num_operate_map = {}
    l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
    buy_no_map = {}
    sell_no_map = {}
    l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas)
    l2.l2_data_util.load_sell_no_map(sell_no_map, code, datas)

    l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas)