| l2/l2_data_manager_new.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 | |
| trade/huaxin/huaxin_trade_server.py | ●●●●● 补丁 | 查看 | 原始文档 | blame | 历史 |
l2/l2_data_manager_new.py
@@ -404,8 +404,6 @@ L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code,d['val']['orderNo']) except Exception as e: logger_debug.exception(e) except: async_log_util.error(logger_l2_error, f"{code} 处理真实下单位置出错") # 第1条数据是否为09:30:00 l2/place_order_single_data_manager.py
@@ -15,7 +15,7 @@ __latest_limit_up_sell_list_dict = {} __latest_limit_up_sell_order_no_index_dict = {} __latest_limit_up_sell_order_no_set_dict = {} @classmethod def add_l2_delegate_limit_up_sell(cls, code, data): @@ -28,10 +28,15 @@ if code not in cls.__latest_limit_up_sell_list_dict: cls.__latest_limit_up_sell_list_dict[code] = [] cls.__latest_limit_up_sell_list_dict[code].append(data) if code not in cls.__latest_limit_up_sell_order_no_index_dict: cls.__latest_limit_up_sell_order_no_index_dict[code] = {} cls.__latest_limit_up_sell_order_no_index_dict[code][data['val']['orderNo']] = len( cls.__latest_limit_up_sell_list_dict[code]) - 1 if code not in cls.__latest_limit_up_sell_order_no_set_dict: cls.__latest_limit_up_sell_order_no_set_dict[code] = set() cls.__latest_limit_up_sell_order_no_set_dict[code].add(data['val']['orderNo']) # 只保留前20的数据 if len(cls.__latest_limit_up_sell_list_dict[code]) > 20: cls.__latest_limit_up_sell_list_dict[code] = cls.__latest_limit_up_sell_list_dict[code][-20:] # 删除之前的map for d in cls.__latest_limit_up_sell_list_dict[code][0:-20]: cls.__latest_limit_up_sell_order_no_set_dict[code].discard(d["val"]["orderNo"]) @classmethod def add_l2_delegate_limit_up_sell_cancel(cls, code, order_no): @@ -41,13 +46,17 @@ @param order_no: @return: """ if code not in cls.__latest_limit_up_sell_order_no_index_dict: if code not in cls.__latest_limit_up_sell_order_no_set_dict: return index = cls.__latest_limit_up_sell_order_no_index_dict[code].get(order_no) if index is None: order_no_set = cls.__latest_limit_up_sell_order_no_set_dict[code] if order_no not in order_no_set: return cls.__latest_limit_up_sell_order_no_index_dict[code].pop(order_no) cls.__latest_limit_up_sell_list_dict[code].pop(index) cls.__latest_limit_up_sell_order_no_set_dict[code].discard(order_no) for i in range(0, len(cls.__latest_limit_up_sell_list_dict[code])): if cls.__latest_limit_up_sell_list_dict[code][i]['val']['orderNo'] == order_no: cls.__latest_limit_up_sell_list_dict[code].pop(i) break @classmethod def process_passive_limit_up_sell_data(cls, data): @@ -80,7 +89,8 @@ sell_info_num = sell_info['val']['num'] deal_num = cls.__latest_sell_data[code][1]//100 l2_log.info(code, logger_l2_trade_buy, f"最近涨停卖：{sell_info['val']['orderNo']} 卖量：{sell_info_num} 成交量：{deal_num}") l2_log.info(code, logger_l2_trade_buy, f"最近涨停卖：{sell_info['val']['orderNo']} 卖量：{sell_info_num} 成交量：{deal_num}") if sell_no == sell_info['val']['orderNo'] and sell_info_num == deal_num: # 成交完成 L2TradeSingleDataManager.set_latest_sell_data(code, data) @@ -91,7 +101,24 @@ logger_debug.exception(e) class L2TradeSingleCallback: """ 交易信号回调 """ def OnTradeSingle(self, code, _type, data): """ 交易数据信号回调 @param code: @param _type: 类型：0-TYPE_PASSIVE 1-TYPE_ACTIVE @param data: (逐笔成交数据,生效时间) @return: """ class L2TradeSingleDataManager: __callback = None TYPE_PASSIVE = 0 TYPE_ACTIVE = 1 @@ -103,6 +130,10 @@ # 由被动向主动卖成交转变的数据 __latest_sell_active_deal_data_dict = {} # 格式为：{code:(逐笔成交数据,生效时间（带ms）)} @classmethod def set_callback(cls, callback: L2TradeSingleCallback): cls.__callback = callback @classmethod def set_latest_sell_data(cls, code, data): @@ -117,6 +148,8 @@ deal_time = l2_huaxin_util.convert_time(data[3], True) # 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]) @classmethod def set_sell_passive_to_active_datas(cls, code, passive_data, active_data): @@ -132,6 +165,8 @@ # 生效时间在1s以内 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]) @classmethod def get_valid_trade_single(cls, code, latest_time_with_ms): trade/huaxin/huaxin_trade_server.py
@@ -41,11 +41,12 @@ from l2.l2_sell_manager import L2MarketSellManager from l2.l2_transaction_data_manager import HuaXinBuyOrderManager from l2.l2_transaction_data_processor import HuaXinTransactionDatasProcessor from l2.place_order_single_data_manager import L2TradeSingleCallback, L2TradeSingleDataManager from log_module import async_log_util, log_export from log_module.log import hx_logger_contact_debug, hx_logger_trade_callback, \ hx_logger_l2_orderdetail, hx_logger_l2_transaction, hx_logger_l2_market_data, logger_l2_g_cancel, logger_debug, \ logger_system, logger_trade, logger_trade_position_api_request, logger_request_api, \ logger_local_huaxin_l1_trade_info, logger_real_place_order_position logger_local_huaxin_l1_trade_info, logger_real_place_order_position, logger_l2_trade_buy from third_data import block_info, kpl_data_manager, kpl_util from third_data.code_plate_key_manager import KPLCodeJXBlockManager, CodePlateKeyBuyManager from third_data.history_k_data_util import JueJinApi, HistoryKDatasUtils @@ -61,7 +62,8 @@ from trade.l2_trade_factor import L2PlaceOrderParamsManager from trade.sell import sell_manager from trade.sell.sell_rule_manager import TradeRuleManager, SellRule from trade.trade_manager import TradeTargetCodeModeManager, MarketSituationManager, AutoCancelSellModeManager from trade.trade_manager import TradeTargetCodeModeManager, MarketSituationManager, AutoCancelSellModeManager, \ CodesTradeStateManager from utils import socket_util, data_export_util, middle_api_protocol, tool, huaxin_util, output_util, sell_util trade_data_request_queue = queue.Queue() @@ -1705,6 +1707,34 @@ trade_api.set_response(data_json["request_id"], data_json['data']) class MyL2TradeSingleCallback(L2TradeSingleCallback): def OnTradeSingle(self, code, _type, data): try: # 判断是否下单 state = 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: # 已经下单了 return # 找到最近的大买单 total_datas = l2_data_util.local_today_datas.get(code) for i in range(len(total_datas)-1,-1,-1): d = total_datas[i] val = d['val'] if not L2DataUtil.is_limit_up_price_buy(val): continue if val['num'] * float(val['price']) < 5000: continue if val['orderNo'] < data[0][6]: continue 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]}") except Exception as e: logger_debug.exception(e) # 回调 my_l2_data_callback = MyL2DataCallback() my_l2_data_callbacks = [MyL2DataCallback() for i in range(constant.HUAXIN_L2_MAX_CODES_COUNT)] @@ -1728,6 +1758,7 @@ schedule.every().day.at("09:10:00").do(huaxin_trade_data_update.add_position_list) threading.Thread(target=run_pending, daemon=True).start() l2_data_util.load_l2_data_all(True) L2TradeSingleDataManager.set_callback(MyL2TradeSingleCallback()) def run(queue_strategy_r_trade_w, queue_l1_w_strategy_r, queue_strategy_w_trade_r, queue_strategy_w_trade_r_for_read,
