大单统计优化

Administrator

2025-03-20 9fc792923848e96fffc72a99d266e931525c2e49

大单统计优化

 l2/l2_transaction_data_manager.py

@@ -210,27 +210,34 @@
        normal_buy_datas = []
        # 大单阈值
        threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))

        dealing_order_info = cls.__dealing_order_info_dict.get(code)

        for data in fdatas:
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            is_limit_up = data[2]
            money = data[3]
            if code not in cls.__dealing_order_info_dict:
            current_order_info = data[0]

            if dealing_order_info is None:
                # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间, 最近的成交价格, 最近的卖单号, 涨停价成交金额]
                cls.__dealing_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3], data[0][3], data[0][1],
                                                       data[0][7], 0]
                dealing_order_info = [current_order_info[6], current_order_info[2], money,
                                      current_order_info[3], current_order_info[3],
                                      current_order_info[1],
                                      current_order_info[7], 0]
                if is_limit_up:
                    cls.__dealing_order_info_dict[code][7] += money
                    dealing_order_info[7] += money
                cls.__dealing_order_info_dict[code] = dealing_order_info
            else:
                dealing_order_info = cls.__dealing_order_info_dict[code]
                if dealing_order_info[0] == data[0][6]:
                if dealing_order_info[0] == current_order_info[6]:
                    # 成交同一个订单号
                    dealing_order_info[1] += data[0][2]
                    dealing_order_info[1] += current_order_info[2]
                    dealing_order_info[2] += money
                    dealing_order_info[4] = data[0][3]
                    dealing_order_info[5] = data[0][1]
                    dealing_order_info[6] = data[0][7]
                    dealing_order_info[4] = current_order_info[3]
                    dealing_order_info[5] = current_order_info[1]
                    dealing_order_info[6] = current_order_info[7]
                    if is_limit_up:
                        dealing_order_info[7] += money
                else:
@@ -247,32 +254,33 @@
                    if deal_info[2] >= 500000:
                        normal_buy_datas.append(deal_info)
                    # 初始化本条数据
                    cls.__dealing_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3], data[0][3],
                                                           data[0][1], data[0][7], 0]
                    dealing_order_info = [current_order_info[6], current_order_info[2], money,
                                          current_order_info[3], current_order_info[3],
                                          current_order_info[1], current_order_info[7], 0]
                    if is_limit_up:
                        cls.__dealing_order_info_dict[code][7] += money
                        dealing_order_info[7] += money
                    cls.__dealing_order_info_dict[code] = dealing_order_info

            # 统计主动买(买单号大于卖单号)
            try:
                if data[1]:
                    if code not in cls.__dealing_active_buy_order_info_dict:
                        # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间]
                        cls.__dealing_active_buy_order_info_dict[code] = [data[0][6], data[0][2], money, data[0][3],
                                                                          data[0][3]]
            if data[1]:
                if code not in cls.__dealing_active_buy_order_info_dict:
                    # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间]
                    cls.__dealing_active_buy_order_info_dict[code] = [current_order_info[6], current_order_info[2],
                                                                      money, current_order_info[3],
                                                                      current_order_info[3]]
                else:
                    dealing_active_buy_order_info = cls.__dealing_active_buy_order_info_dict[code]
                    if dealing_active_buy_order_info[0] == current_order_info[6]:
                        # 成交同一个订单号
                        dealing_active_buy_order_info[1] += current_order_info[2]
                        dealing_active_buy_order_info[2] += money
                        dealing_active_buy_order_info[4] = current_order_info[3]
                    else:
                        dealing_active_buy_order_info = cls.__dealing_active_buy_order_info_dict[code]
                        if dealing_active_buy_order_info[0] == data[0][6]:
                            # 成交同一个订单号
                            dealing_active_buy_order_info[1] += data[0][2]
                            dealing_active_buy_order_info[2] += money
                            dealing_active_buy_order_info[4] = data[0][3]
                        else:
                            # 初始化本条数据
                            cls.__dealing_active_buy_order_info_dict[code] = [data[0][6], data[0][2], money,
                                                                              data[0][3], data[0][3]]
            except:
                pass

                        # 初始化本条数据
                        cls.__dealing_active_buy_order_info_dict[code] = [current_order_info[6],
                                                                          current_order_info[2], money,
                                                                          current_order_info[3],
                                                                          current_order_info[3]]
        return big_buy_datas, normal_buy_datas


@@ -406,7 +414,6 @@
                fdatas.append(deal_list[i])
        return fdatas


    @classmethod
    def clear_latest_deal_volume(cls, code):
        if code in cls.__deal_volume_list_dict:
@@ -468,7 +475,8 @@
                        L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data[0], d[0])
                # 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[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])]
                    cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
                                                          (d[0][3], d[0][6])]
                else:
                    if cls.__latest_sell_order_dict[code][0] == d[0][7]:
                        cls.__latest_sell_order_dict[code][1] += d[0][2]
@@ -495,7 +503,8 @@
                            # 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[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])]
                        cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
                                                              (d[0][3], d[0][6])]
            finally:
                cls.__last_trade_data_dict[code] = d


 l2/l2_transaction_data_processor.py

@@ -61,7 +61,10 @@
        """

        def statistic_big_buy_data():
            use_time_list = []
            __start_time = time.time()
            buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price)
            use_time_list.append((time.time() - __start_time, "买单统计"))
            if buy_datas:
                BigOrderDealManager().add_buy_datas(code, buy_datas)
                active_big_buy_orders = []
@@ -71,6 +74,7 @@
                            # (买单号, 成交金额, 最后成交时间)
                            active_big_buy_orders.append((x[0], x[2], x[4]))
                EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders)
                use_time_list.append((time.time() - __start_time, "买单统计结果处理"))
            try:
                is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
                if is_placed_order:
@@ -88,12 +92,22 @@
                                                                           order_begin_pos.buy_single_index)
            except Exception as e:
                logger_debug.exception(e)
            if use_time_list and use_time_list[-1][0] > 0.005:
                l2_log.info(code, hx_logger_l2_upload,
                            f"买单统计+处理耗时：{use_time_list[-1][0]}  详情:{use_time_list}")

            return buy_datas

        def statistic_big_sell_data():
            use_time_list = []
            __start_time = time.time()
            sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas)
            if sell_datas:
                BigOrderDealManager().add_sell_datas(code, sell_datas)
            use_time_list.append((time.time() - __start_time, "卖单统计"))
            if use_time_list and use_time_list[-1][0] > 0.005:
                l2_log.info(code, hx_logger_l2_upload,
                            f"卖单统计+处理耗时：{use_time_list[-1][0]}  详情:{use_time_list}")
            return sell_datas

        def statistic_big_data(f1_, f2_):
@@ -137,7 +151,6 @@
        temp_time_dict.clear()

        __start_time = time.time()
        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, fdatas[-1][0][1])