统计涨停卖数据

Administrator

2024-09-20 5eb595434c2dbcbb1af64b9987ccadc9392c9ef3

统计涨停卖数据

 huaxin_client/l2_data_manager.py

@@ -69,7 +69,11 @@
                return item

            # 卖大于2w且是涨停卖
            if item[3] != '1' and item[2] > filter_condition[0][4] and item[1] == filter_condition[0][1]:
            # if item[3] != '1' and item[2] > filter_condition[0][4] and item[1] == filter_condition[0][1]:
            #     return item

            # 所有的涨停卖
            if item[1] == filter_condition[0][1]:
                return item

            return None

 l2/l2_data_manager_new.py

@@ -11,6 +11,7 @@
import constant
from db.redis_manager_delegate import RedisUtils
from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
from l2.l2_sell_manager import L2MarketSellManager, L2LimitUpSellManager
from l2.l2_transaction_data_manager import HuaXinSellOrderStatisticManager, BigOrderDealManager
from l2.place_order_single_data_manager import L2TradeSingleDataProcessor
@@ -361,6 +362,7 @@
                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
            L2LimitUpSellDataManager.add_l2_origin_data(code, origin_datas)
            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)

 l2/l2_limitup_sell_data_manager.py

New file
@@ -0,0 +1,86 @@
"""
涨停卖数据管理
"""
from code_attribute import gpcode_manager
from l2 import l2_log
from log_module import async_log_util
from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal


class L2LimitUpSellDataManager:
    """
    涨停卖数据管理：
    用来扫代码使用，当涨停卖有成交的时候就代表在吃最后一档
    此时统计涨停卖的金额作为快照
    当板上成交额大于涨停卖数据一定的比值就下单
    """
    # 卖单集合
    __order_no_set_dict = {}

    # 订单号与数据的对照表：{code:{orderno:[order_no,price,volume]}}
    __order_no_data_map_dict = {}
    # 挂起的卖手数
    __delegating_sell_num_dict = {}

    @classmethod
    def add_l2_origin_data(cls, code, origin_datas):
        """
        添加L2委托原始数据
        @param code: 代码
        @param origin_datas: 原始数据
        @return:
        """
        try:
            if code not in cls.__order_no_set_dict:
                cls.__order_no_set_dict[code] = set()
            if code not in cls.__order_no_data_map_dict:
                cls.__order_no_data_map_dict[code] = {}
            if code not in cls.__delegating_sell_num_dict:
                cls.__delegating_sell_num_dict[code] = 0

            limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
            for d in origin_datas:
                order_no, price, volume = d[8], d[1], d[2]
                if price != limit_up_price:
                    continue
                if d[9] == 'D':
                    if d[3] != '1':
                        # 卖撤
                        cls.__order_no_set_dict[code].discard(order_no)
                        cls.__delegating_sell_num_dict[code] -= volume
                        async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate, f"{code}-卖撤-{order_no, price, volume}")

                else:
                    if d[3] != '1':
                        # 卖
                        cls.__order_no_data_map_dict[code][order_no] = (order_no, price, volume)
                        cls.__order_no_set_dict[code].add(order_no)
                        cls.__delegating_sell_num_dict[code] += volume
                        async_log_util.l2_data_log.info(hx_logger_l2_sell_delegate, f"{code}-卖-{order_no, price, volume}")
        except:
            pass

    @classmethod
    def set_deal_datas(cls, code, datas):
        """
        设置成交的卖单
        @param code:
        @param datas:  q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],data['SellNo'], data['ExecType']))
        @return: 是否触发计算
        """
        try:
            limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
            has_limit_up_active_buy = False
            for d in datas:
                # 是否有涨停主动买成交
                if d[6] < d[7]:
                    continue
                if d[1] != limit_up_price:
                    continue
                has_limit_up_active_buy = True
                break
            if has_limit_up_active_buy:
                # 打印日志
                async_log_util.l2_data_log.info(hx_logger_l2_sell_deal, f"有涨停主动卖：{code}-{datas[-1][3]}-{ cls.__delegating_sell_num_dict.get(code)}")
        except:
            pass

 l2/l2_transaction_data_processor.py

@@ -14,6 +14,7 @@
from l2.l2_data_manager import OrderBeginPosInfo
from l2.l2_data_manager_new import L2TradeDataProcessor
from l2.l2_data_util import L2DataUtil
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
from log_module import async_log_util
from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload
@@ -141,12 +142,14 @@
                    # GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
                    use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time))
                    _start_time = time.time()
                # 统计涨停卖成交
                HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas, limit_up_price)
                use_time_list.append(("统计成交量数据", time.time() - _start_time))
            except Exception as e:
                async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}")
                logger_debug.exception(e)
            _start_time = time.time()
            L2LimitUpSellDataManager.set_deal_datas(code, datas)
            cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)

            use_time_list.append(("统计买单数据", time.time() - _start_time))

 log_module/log.py

@@ -267,6 +267,14 @@
                   filter=lambda record: record["extra"].get("name") == "hx_l2_debug",
                   rotation="00:00", compression="zip", enqueue=True)

        logger.add(self.get_hx_path("l2", "sell_l2_delegate"),
                   filter=lambda record: record["extra"].get("name") == "hx_l2_sell_delegate",
                   rotation="00:00", compression="zip", enqueue=True)

        logger.add(self.get_hx_path("l2", "sell_l2_deal"),
                   filter=lambda record: record["extra"].get("name") == "hx_l2_sell_deal",
                   rotation="00:00", compression="zip", enqueue=True)

        logger.add(self.get_hx_path("contact", "debug"),
                   filter=lambda record: record["extra"].get("name") == "hx_contact_debug",
                   rotation="00:00", compression="zip", enqueue=True)
@@ -448,6 +456,8 @@
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")
hx_logger_l2_sell_delegate = __mylogger.get_logger("hx_l2_sell_delegate")
hx_logger_l2_sell_deal = __mylogger.get_logger("hx_l2_sell_deal")

# -------------------------------华鑫本地日志---------------------------------
logger_local_huaxin_l2_transaction = __mylogger.get_logger("local_huaxin_transaction")

 third_data/code_plate_key_manager.py

@@ -1339,7 +1339,7 @@
        limit_up_timestamp = LimitUpDataConstant.get_first_limit_up_time(code)
        if not limit_up_timestamp:
            limit_up_timestamp = time.time()
        if limit_up_timestamp - current_before_codes_info[0][1] >= 10 * 60:
        if limit_up_timestamp - current_before_codes_info[0][1] >= 15 * 60:
            return False, f"距离老大涨停已过去10分钟（{current_before_codes_info[0]}）"

        history_index, history_before_codes_info = cls.__get_history_index(code, block, set())