bug修复

Administrator

2024-09-19 69c26b43a88ced7a18a637ea6dd120671382deb0

bug修复

 huaxin_client/l2_client.py

@@ -296,24 +296,36 @@
                        FirstLevelSellOrderVolumes):
        # 传入：时间，现价,成交总量,买1，买2，买3,买4,买5,卖1,卖2,卖3,卖4,卖5
        try:
            buys = [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
                    (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
                    (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
                    (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
                    (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])]
            for i in range(6, 11):
                if not pDepthMarketData[f"BidVolume{i}"]:
                    break
                buys.append((pDepthMarketData[f'BidPrice{i}'], pDepthMarketData[f'BidVolume{i}']))

            sells = [
                (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
                (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
                (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
                (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
                (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
            ]
            for i in range(6, 11):
                if not pDepthMarketData[f"AskVolume{i}"]:
                    break
                sells.append((pDepthMarketData[f'AskPrice{i}'], pDepthMarketData[f'AskVolume{i}']))

            d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
                 "lastPrice": pDepthMarketData['LastPrice'],
                 "totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
                 "totalValueTrade": pDepthMarketData['TotalValueTrade'],
                 "totalAskVolume": pDepthMarketData['TotalAskVolume'],
                 "avgAskPrice": pDepthMarketData["AvgAskPrice"],
                 "buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
                         (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
                         (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
                         (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
                         (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])],
                 "sell": [
                     (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
                     (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
                     (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
                     (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
                     (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
                 ]}
                 "buy": buys,
                 "sell": sells}
            market_code_dict[pDepthMarketData['SecurityID']] = time.time()
            self.l2_data_upload_manager.add_market_data(d)
        except:

 l2/l2_data_manager_new.py

@@ -766,7 +766,7 @@
                                                             local_today_datas.get(code))
                return False
            else:
                l2_log.debug(code, "可以下单，原因：{}", reason)
                l2_log.debug(code, "可以下单，原因：{}， 下单模式：{}", reason, order_begin_pos.mode)
                try:
                    l2_log.debug(code, "开始执行买入")
                    trade_manager.start_buy(code, capture_timestamp, last_data,

 l2/l2_sell_manager.py

@@ -64,17 +64,18 @@
            RedisUtils.delete_async(self.__db, k)

    # 设置当前的总卖
    def set_current_total_sell_data(self, code, time_str, money, volume, sell_1_info):
    def set_current_total_sell_data(self, code, time_str, money, volume, sell_1_info, sell_n_info):
        """
        @param code:
        @param time_str:
        @param money:
        @param volume:
        @param sell_1_info: 格式(卖1价格,卖1量)
        @param sell_n_info：卖挡位
        @return:
        """
        # 记录日志
        async_log_util.info(logger_l2_market_sell, f"{code}: {time_str}-{money} {sell_1_info}")
        async_log_util.info(logger_l2_market_sell, f"{code}: {time_str}-{money} {sell_1_info} {sell_n_info}")

        if code not in self.__total_sell_data_cache_list_cache:
            self.__total_sell_data_cache_list_cache[code] = []
@@ -82,7 +83,7 @@
            0] == time_str:
            return

        self.__total_sell_data_cache_list_cache[code].append((time_str, round(money), volume, sell_1_info))
        self.__total_sell_data_cache_list_cache[code].append((time_str, round(money), volume, sell_1_info, sell_n_info))
        # 保留最多10条数据
        if len(self.__total_sell_data_cache_list_cache[code]) > 10:
            self.__total_sell_data_cache_list_cache[code] = self.__total_sell_data_cache_list_cache[code][-10:]
@@ -90,7 +91,7 @@
    def get_current_total_sell_data(self, code):
        """
        @param code:
        @return:(时间, 总买额, 总量, 卖1信息)
        @return:(时间, 总买额, 总量, 卖1信息, 卖挡位信息)
        """
        total_sell_data_cache_list = self.__total_sell_data_cache_list_cache.get(code)
        if not total_sell_data_cache_list:
@@ -103,7 +104,7 @@
        获取可引用的总卖额
        @param code:
        @param time_str: 当前数据截止时间
        @return: (time_str, round(money), volume, sell_1_info)
        @return: (time_str, round(money), volume, sell_1_info, sell_n_infos)
        """
        total_sell_data_cache_list = self.__total_sell_data_cache_list_cache.get(code)
        if total_sell_data_cache_list:

 l2/l2_transaction_data_manager.py

@@ -308,11 +308,11 @@

    # 统计所有的成交量
    __deal_volume_list_dict = {}
    # 统计主动买的成交量
    # 统计涨停主动买的成交量
    __deal_active_buy_volume_list_dict = {}

    @classmethod
    def statistic_total_deal_volume(cls, code, datas):
    def statistic_total_deal_volume(cls, code, datas, limit_up_price):
        # 只统计被动买
        if code not in cls.__deal_volume_list_dict:
            cls.__deal_volume_list_dict[code] = []
@@ -349,6 +349,9 @@
                # 只统计主动买
                if d[7] > d[6]:
                    continue
                # 只统计涨停买
                if d[1] != limit_up_price:
                    continue
                if d[3] in time_dict:
                    time_str = time_dict[d[3]]
                else:

 l2/l2_transaction_data_processor.py

@@ -79,9 +79,7 @@
    @classmethod
    def process_huaxin_transaction_datas(cls, code, datas):
        __start_time = time.time()
        limit_up_price = gpcode_manager.get_limit_up_price(code)
        if limit_up_price:
            limit_up_price = round(float(limit_up_price), 2)
        limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
        # 设置成交价
        try:
            current_price_process_manager.set_trade_price(code, datas[-1][1])
@@ -143,7 +141,7 @@
                    # 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()
                HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas)
                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}")

 servers/huaxin_trade_server.py

@@ -495,7 +495,7 @@
        sell_1_info = data["sell"][0] if data.get("sell") else None
        L2MarketSellManager().set_current_total_sell_data(code, time_str,
                                                          data["totalAskVolume"] * data["avgAskPrice"],
                                                          data["totalAskVolume"], sell_1_info)
                                                          data["totalAskVolume"], sell_1_info, data.get("sell"))

    @classmethod
    def trading_order_canceled(cls, code, order_no):
@@ -832,19 +832,27 @@
                    if refer_sell_data:
                        # 如果总卖额大于500w，成交到一半就直接扫
                        if refer_sell_data[1] >= 500 * 1e4:
                            THRESH_HOLD_VOLUME = refer_sell_data[2]
                            if refer_sell_data[4] and len(refer_sell_data[4]) < 10:
                                # 小于10挡，最后一档才是涨停价
                                if refer_sell_data[4][-1][1] > 0:
                                    THRESH_HOLD_VOLUME = refer_sell_data[4][-1][1]

                            refer_sell_time = refer_sell_data[0]
                            # 获取最近的主动买成交量
                            deal_infos = HuaXinSellOrderStatisticManager.get_latest_6s_active_buy_deal_volumes(code)
                            async_log_util.info(logger_l2_radical_buy, f"最近主动买成交：{code}-{deal_infos}")
                            limit_up_deal_infos = HuaXinSellOrderStatisticManager.get_latest_6s_active_buy_deal_volumes(
                                code)
                            async_log_util.info(logger_l2_radical_buy, f"最近涨停主动买成交：{code}-{limit_up_deal_infos}")
                            # 总卖额要大于100w
                            deal_volume = 0
                            for i in range(0, len(deal_infos)):
                            for i in range(0, len(limit_up_deal_infos)):
                                # >=统计到的总卖
                                if int(refer_sell_time.replace(":", "")) > int(deal_infos[i][0].replace(":", "")):
                                if int(refer_sell_time.replace(":", "")) > int(
                                        limit_up_deal_infos[i][0].replace(":", "")):
                                    break
                                deal_volume += deal_infos[i][1]
                            async_log_util.info(logger_l2_radical_buy, f"成交量：{deal_volume}/{refer_sell_data[2]}")
                            deal_rate = round(deal_volume / refer_sell_data[2], 2)
                                deal_volume += limit_up_deal_infos[i][1]
                            async_log_util.info(logger_l2_radical_buy, f"成交量：{deal_volume}/{THRESH_HOLD_VOLUME}")
                            deal_rate = round(deal_volume / THRESH_HOLD_VOLUME, 2)
                            if deal_rate > 0.5:
                                # 判断参考时间之后是否有大单成交
                                # big_deal_money_list = BigOrderDealManager().get_total_buy_money_list(code)