| l2/l2_data_manager_new.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| l2/l2_transaction_data_manager.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| l2/place_order_single_data_manager.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| log_module/log.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| trade/huaxin/huaxin_trade_server.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 | |
| trade/trade_result_manager.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 |
l2/l2_data_manager_new.py
@@ -1,4 +1,5 @@ import logging import threading import time as t from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \ @@ -19,7 +20,7 @@ from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \ trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \ transaction_progress, cancel_buy_strategy transaction_progress, cancel_buy_strategy, place_order_single_data_manager from l2.cancel_buy_strategy import SCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \ LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer from l2.l2_data_manager import L2DataException, OrderBeginPosInfo @@ -244,6 +245,9 @@ __MarketSituationManager = MarketSituationManager() __re_compute_threading_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10) # 买入锁 __buy_lock_dict = {} # 获取代码评分 @classmethod def get_code_scores(cls): @@ -325,8 +329,8 @@ limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price: limit_up_price = round(float(limit_up_price), 2) if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price: filter_limit_up_sell = True # if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price: # filter_limit_up_sell = True datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas, limit_up_price, _start_index, filter_limit_up_sell) __start_time = round(t.time() * 1000) @@ -401,7 +405,8 @@ if L2DataUtil.is_limit_up_price_sell(d['val']): L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell(code,d) elif L2DataUtil.is_limit_up_price_sell_cancel(d['val']): L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code,d['val']['orderNo']) L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code, d['val']['orderNo']) except Exception as e: logger_debug.exception(e) except: @@ -644,7 +649,21 @@ pass @classmethod def start_buy(cls, code, last_data, last_data_index, is_first_code): cls.__buy(code, 0, last_data, last_data_index, is_first_code) @classmethod def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code): # 添加买入锁 if code not in cls.__buy_lock_dict: cls.__buy_lock_dict[code] = threading.Lock() with cls.__buy_lock_dict[code]: # 判断是否可以下单，不处于可下单状态需要返回 state = cls.__CodesTradeStateManager.get_trade_state_cache(code) if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS: # 不处于可下单状态 return False __start_time = tool.get_now_timestamp() can, need_clear_data, reason = False, False, "" if not is_first_code: @@ -1335,6 +1354,8 @@ order_begin_pos.mode = OrderBeginPosInfo.MODE_ACTIVE order_begin_pos.sell_info = sell_info fast_msg = sell_info # 用了信号就必须清除掉原有信号 place_order_single_data_manager.L2TradeSingleDataManager.clear_data(code) # if not has_single: # # 第二步：计算闪电下单信号 @@ -1680,19 +1701,20 @@ if code.find("60") == 0: threshold_money = 0 else: for i in range(start_index - 1, -1, -1): val = total_datas[i]["val"] if tool.compare_time(val["time"], refer_sell_data[0]) < 0: # 将本s的计算上去 break if L2DataUtil.is_sell(val): threshold_money += val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_sell_cancel(val): threshold_money -= val["num"] * int(float(val["price"]) * 100) elif L2DataUtil.is_buy(val): # 判断价格（大于卖1） 被买吃掉 if round(float(val["price"]), 2) - sell_1_price >= 0: threshold_money -= val["num"] * int(float(val["price"]) * 100) pass # for i in range(start_index - 1, -1, -1): # val = total_datas[i]["val"] # if tool.compare_time(val["time"], refer_sell_data[0]) < 0: # # 将本s的计算上去 # break # if L2DataUtil.is_sell(val): # threshold_money += val["num"] * int(float(val["price"]) * 100) # elif L2DataUtil.is_sell_cancel(val): # threshold_money -= val["num"] * int(float(val["price"]) * 100) # elif L2DataUtil.is_buy(val): # # 判断价格（大于卖1） 被买吃掉 # if round(float(val["price"]), 2) - sell_1_price >= 0: # threshold_money -= val["num"] * int(float(val["price"]) * 100) # 第二步：计算起始信号 second_930 = 9 * 3600 + 30 * 60 + 0 total_datas = local_today_datas.get(code) @@ -1712,6 +1734,14 @@ if _val["num"] * float(_val["price"]) < 5000: continue if last_index is None or (total_datas[last_index]["val"]["time"] == total_datas[i]["val"]["time"]): single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single(code, tool.to_time_with_ms( _val[ 'time'], _val[ 'tms'])) if not single: continue if start is None: start = i last_index = i @@ -2103,6 +2133,11 @@ trigger_buy = True # 间隔最大时间为3s max_space_time_ms = 3 * 1000 if code.find("00") == 0 and threshold_money > 0: # 深证非板上放量 max_space_time_ms = 1 * 1000 threshold_num = 0 # 不下单的信息 not_buy_msg = "" max_buy_num_set = set(max_num_set) @@ -2121,12 +2156,12 @@ for ii in range(buy_single_index + 1, compute_end_index + 1): if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]: return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"【{i}】信号不连续，囊括时间-{max_space_time_ms}ms" if L2DataUtil.is_sell(_val): threshold_money += _val["num"] * int(float(_val["price"]) * 100) threshold_num = round(threshold_money / (limit_up_price * 100)) elif L2DataUtil.is_sell_cancel(_val): threshold_money -= _val["num"] * int(float(_val["price"]) * 100) threshold_num = round(threshold_money / (limit_up_price * 100)) # if L2DataUtil.is_sell(_val): # threshold_money += _val["num"] * int(float(_val["price"]) * 100) # threshold_num = round(threshold_money / (limit_up_price * 100)) # elif L2DataUtil.is_sell_cancel(_val): # threshold_money -= _val["num"] * int(float(_val["price"]) * 100) # threshold_num = round(threshold_money / (limit_up_price * 100)) # 涨停买 elif L2DataUtil.is_limit_up_price_buy(_val): if l2_data_util.is_big_money(_val): @@ -2186,6 +2221,9 @@ if threshold_money <= 0: # 板上下单需要安全笔数3笔 safe_count = 3 elif code.find("00") == 0: # 深证非板上放量 safe_count = 2 if buy_count < safe_count: not_buy_msg = f"【{i}】安全笔数不足，{buy_count}/{safe_count}" l2/l2_transaction_data_manager.py
@@ -11,7 +11,7 @@ from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager from log_module import async_log_util from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell from utils import tool @@ -152,6 +152,10 @@ if not _is_active_sell: continue if d[1] == limit_up_price: # 涨停主动卖 L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d) # 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[ @@ -185,6 +189,9 @@ # 只保留10w以上的单 if money > 100000: cls.__latest_all_sell_orders_dict[code].append(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])] finally: l2/place_order_single_data_manager.py
@@ -17,6 +17,9 @@ __latest_limit_up_sell_order_no_set_dict = {} # 主动卖订单号集合 __active_sell_order_no_set_dict = {} @classmethod def add_l2_delegate_limit_up_sell(cls, code, data): """ @@ -86,6 +89,12 @@ if not sell_list: return sell_info = sell_list[-1] # 主动卖订单集合 active_sell_order_no_set = cls.__active_sell_order_no_set_dict.get(code) if active_sell_order_no_set and sell_info['val']['orderNo'] in active_sell_order_no_set: l2_log.info(code, logger_l2_trade_buy,f"最近的卖是主动卖:{sell_info['val']['orderNo']}") return sell_info_num = sell_info['val']['num'] deal_num = cls.__latest_sell_data[code][1] // 100 @@ -97,6 +106,23 @@ l2_log.info(code, logger_l2_trade_buy, f"{code}#找到最近的被动涨停卖单数据：{sell_info['val']['orderNo']}, 可以触发下单") # l2_log.info(code, logger_l2_trade_buy, f"找到最近的被动涨停卖单数据：{data['val']['orderNo']}, 可以触发下单") except Exception as e: logger_debug.exception(e) @classmethod def add_active_limit_up_sell_data(cls, data): """ 添加主动卖数据 @param data: @return: """ try: code = data[0] sell_no = data[7] if code not in cls.__active_sell_order_no_set_dict: cls.__active_sell_order_no_set_dict[code] = set() cls.__active_sell_order_no_set_dict[code].add(sell_no) except Exception as e: logger_debug.exception(e) @@ -149,7 +175,7 @@ # 生效时间在1s以内 cls.__latest_sell_data_dict[code] = (data, tool.trade_time_add_millionsecond(deal_time, 1000)) if cls.__callback: cls.__callback.OnTradeSingle(code, cls.__latest_sell_data_dict[code]) cls.__callback.OnTradeSingle(code, cls.TYPE_PASSIVE, cls.__latest_sell_data_dict[code]) @classmethod def set_sell_passive_to_active_datas(cls, code, passive_data, active_data): @@ -166,7 +192,7 @@ cls.__latest_sell_active_deal_data_dict[code] = ( active_data, tool.trade_time_add_millionsecond(deal_time, 1000)) if cls.__callback: cls.__callback.OnTradeSingle(code, cls.__latest_sell_active_deal_data_dict[code]) cls.__callback.OnTradeSingle(code, cls.TYPE_ACTIVE, cls.__latest_sell_active_deal_data_dict[code]) @classmethod def get_valid_trade_single(cls, code, latest_time_with_ms): log_module/log.py
@@ -251,6 +251,9 @@ logger.add(self.get_hx_path("trade", "trade_loop"), filter=lambda record: record["extra"].get("name") == "hx_trade_loop", rotation="00:00", compression="zip", enqueue=True) logger.add(self.get_hx_path("trade", "l2_active_sell"), filter=lambda record: record["extra"].get("name") == "hx_l2_active_sell", rotation="00:00", compression="zip", enqueue=True) logger.add(self.get_local_huaxin_path("l2", "transaction"), filter=lambda record: record["extra"].get("name") == "local_huaxin_transaction", @@ -411,6 +414,7 @@ hx_logger_trade_callback = __mylogger.get_logger("hx_trade_callback") hx_logger_trade_debug = __mylogger.get_logger("hx_trade_debug") hx_logger_trade_loop = __mylogger.get_logger("hx_trade_loop") hx_logger_l2_active_sell = __mylogger.get_logger("hx_l2_active_sell") # -------------------------------华鑫本地日志--------------------------------- logger_local_huaxin_l2_transaction = __mylogger.get_logger("local_huaxin_transaction") trade/huaxin/huaxin_trade_server.py
@@ -1709,6 +1709,9 @@ class MyL2TradeSingleCallback(L2TradeSingleCallback): def OnTradeSingle(self, code, _type, data): # 只处理深证的票 if code.find("00")!=0: return try: # 判断是否下单 state = CodesTradeStateManager().get_trade_state_cache(code) @@ -1730,9 +1733,9 @@ result = L2TradeSingleDataManager.is_can_place_order(code,d) if result and result[0]: l2_log.info(code,logger_l2_trade_buy,f"触发下单：{result[1]}") l2_data_manager_new.L2TradeDataProcessor.start_buy(code,total_datas[-1],total_datas[-1]["index"],True) except Exception as e: logger_debug.exception(e) # 回调 trade/trade_result_manager.py
@@ -2,7 +2,7 @@ import logging from code_attribute.gpcode_manager import MustBuyCodesManager from l2 import l2_data_manager from l2 import l2_data_manager, place_order_single_data_manager from l2.cancel_buy_strategy import HourCancelBigNumComputer, SCancelBigNumComputer, \ LCancelBigNumComputer, DCancelBigNumComputer, GCancelBigNumComputer, FCancelBigNumComputer from l2.l2_data_manager import OrderBeginPosInfo @@ -93,6 +93,8 @@ PlaceOrderCountManager().place_order(code) # 下单成功之后移除红名单 MustBuyCodesManager().remove_code(code) # 清除下单信号 place_order_single_data_manager.L2TradeSingleDataManager.clear_data(code) __latest_cancel_l2_data_dict = {}
