L2数据输出接口修改

Administrator

2024-09-05 ff6d60a42364ba8e2d0d5cfb5504454bee8017ad

L2数据输出接口修改

 l2/l2_data_manager_new.py

@@ -978,6 +978,8 @@
                        # 炸板时间在两次下单时间中间
                        is_limit_up_buy = False
                if is_limit_up_buy:
                    # 板上买且非加绿

                    # 判断成交进度到当前数据的笔数，如果少于10笔且还有未成交的大单（>=299）就可以下单
                    trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
                    if trade_index is None:
@@ -1045,7 +1047,7 @@
                                                                                total_datas[-1]["index"],
                                                                                limit_up_price, min_money)
                if left_count < 1:
                    return False, False, f"第{place_order_count + 1}下单无待成交的大单", False
                    return False, False, f"第{place_order_count + 1}次下单无待成交的大单", False

            # -------判断是否是量化下单，如果是就不跟到下单--------
            # 重要：量化下单会增加下单次数，板块下单中有下单次数的使用，所以板块需要在量化判断之前
@@ -1054,7 +1056,8 @@
            if range_indexes:
                # 是否是量化单
                is_quantization_result = buy_strategy_util.is_quantization(code, range_indexes[0], range_indexes[1])
                if is_quantization_result[0]:
                if is_quantization_result[0] and not gpcode_manager.GreenListCodeManager().is_in_cache(code):
                    # 量化单且没有加绿
                    cls.__next_buy_time_dict[code] = is_quantization_result[1]
                    return False, True, is_quantization_result[2], True
        return True, False, "满足下单条件", True

 l2/l2_transaction_data_manager.py

@@ -45,12 +45,11 @@
            for code in sell_order_map:
                cls.__total_sell_datas_dict[code] = sell_order_map[code]


    def add_buy_datas(self, code, datas):
        """
        添加大买单数据
        @param code: 代码
        @param datas:[(买单号,总股数,总成交额)]
        @param datas:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
        @return:
        """
        if not datas:
@@ -105,6 +104,14 @@
            return []
        return [x[2] for x in self.__total_buy_datas_dict[code]]

    def get_total_buy_data_list(self, code):
        """
        获取所有的买单数据列表
        @param code:
        @return:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
        """
        return self.__total_buy_datas_dict.get(code)

    def get_total_sell_money(self, code):
        """
        获取总共的大单卖金额

 servers/data_server.py

@@ -362,6 +362,8 @@
                date = ps_dict.get('date')
                time_str = ps_dict.get('time')
                end_index = ps_dict.get('end_index')
                if end_index:
                    end_index = int(end_index)
                total_datas = l2_data_util.local_today_datas.get(code)
                if not total_datas:
                    total_datas = []
@@ -828,7 +830,7 @@
                        pass
                    try:
                        OpenLimitUpGoodBlocksBuyStrategy.set_current_limit_up_data(result_list_)
                        RadicalBuyBlockManager.compute_open_limit_up_code_dict_for_radical_buy(result_list_)
                        RadicalBuyBlockManager.set_current_limit_up_datas(result_list_)
                    except:
                        pass


 third_data/code_plate_key_manager.py

@@ -19,7 +19,7 @@
from log_module import log, async_log_util
from db import redis_manager_delegate as redis_manager

from log_module.log import logger_kpl_block_can_buy
from log_module.log import logger_kpl_block_can_buy, logger_debug
from third_data.kpl_util import KPLPlatManager
from trade import trade_manager, l2_trade_util, trade_constant

@@ -1060,6 +1060,46 @@
    激进买板块管理
    """
    __TargetCodePlateKeyManager = TargetCodePlateKeyManager()
    # 上次的涨停代码
    __last_limit_up_codes = set()
    # 记录代码的涨停时间
    __limit_up_time_dict = {}
    # 炸板代码的总涨停时间
    __total_limit_up_space_dict = {}

    # 当前涨停的代码
    __current_limit_up_codes = set()

    @classmethod
    def set_current_limit_up_datas(cls, current_limit_up_datas):
        # 查询当前的涨停代码集合
        codes = set([d[0] for d in current_limit_up_datas])
        cls.__current_limit_up_codes = codes
        try:
            # 炸板代码
            break_limit_up_codes = cls.__last_limit_up_codes - codes
            # 新涨停的代码
            new_limit_up_codes = codes - cls.__last_limit_up_codes
            if new_limit_up_codes:
                for code in new_limit_up_codes:
                    if code not in cls.__limit_up_time_dict:
                        cls.__limit_up_time_dict[code] = time.time()
            if break_limit_up_codes:
                # 记录总涨停时间
                for bc in break_limit_up_codes:
                    if bc in cls.__limit_up_time_dict:
                        space = tool.trade_time_sub(tool.get_now_time_str(),
                                                    tool.to_time_str(cls.__limit_up_time_dict[bc]))
                        if bc not in cls.__total_limit_up_space_dict:
                            cls.__total_limit_up_space_dict[bc] = 0
                        cls.__total_limit_up_space_dict[bc] = cls.__total_limit_up_space_dict[bc] + space
                        logger_debug.info(f"炸板代码涨停时间：{bc}-{cls.__total_limit_up_space_dict[bc]}")
                        cls.__limit_up_time_dict.pop(bc)
        except Exception as e:
            logger_debug.exception(e)
        finally:
            cls.__last_limit_up_codes = codes
        cls.compute_open_limit_up_code_dict_for_radical_buy(current_limit_up_datas)

    @classmethod
    def compute_open_limit_up_code_dict_for_radical_buy(cls, current_limit_up_datas):
@@ -1143,11 +1183,13 @@
        获取历史涨停身位
        @param code:
        @param block:
        @param current_limit_up_datas:
        @param current_limit_up_datas: 昨日涨停代码
        @param current_limit_up_codes: 目前的涨停代码
        @return:
        """
        history_index = 0
        block_codes_infos = []
        # 开1时间范围
        timestamp_start, timestamp_end = kpl_block_util.open_limit_up_time_range
        limit_up_time = time.time()
        for k in LimitUpDataConstant.history_limit_up_datas:
@@ -1168,7 +1210,10 @@
            # 剔除高位板
            if _code in yesterday_limit_up_codes:
                continue
            # 代码.涨停时间
            # 剔除炸板代码持续涨停时间小于1分钟的代码
            if _code not in cls.__current_limit_up_codes and _code in cls.__total_limit_up_space_dict and cls.__total_limit_up_space_dict[_code] < 60:
                continue
            # 代码,涨停时间
            block_codes_infos.append((_code, int(k[5])))
        block_codes_infos.append((code, limit_up_time))
        block_codes_infos.sort(key=lambda x: x[1])

 third_data/history_k_data_util.py

@@ -179,7 +179,8 @@
        else:
            return JueJinHttpApi.get_exchanges_codes(exchanges=exchanges, sec_types=[1], skip_suspended=skip_suspended,
                                                     skip_st=skip_st,
                                                     fields="symbol,sec_type,sec_id,sec_name,listed_date,sec_level,is_suspended,pre_close")
                                                     fields="symbol,sec_type,sec_id,sec_name,listed_date,sec_level,"
                                                            "is_suspended,pre_close")

    @classmethod
    def get_history_instruments(cls, symbols, start_date, end_date, fields=None):
@@ -194,9 +195,10 @@
    @classmethod
    def get_previous_trading_date(cls, date):
        if constant.JUEJIN_LOCAL_API:
            account_id, s_id, token = cls.getJueJinAccountInfo()
            gmapi.set_token(token)
            return gmapi.get_previous_trading_date("SHSE", date)
            # account_id, s_id, token = cls.getJueJinAccountInfo()
            # gmapi.set_token(token)
            # return gmapi.get_previous_trading_date("SHSE", date)
            pass
        else:
            return JueJinHttpApi.get_previous_trading_date("SHSE", date)


 utils/data_export_util.py

@@ -13,6 +13,7 @@
from code_attribute import gpcode_manager
import l2.l2_data_util
from l2.huaxin import l2_huaxin_util
from l2.l2_transaction_data_manager import BigOrderDealManager
from log_module import log, log_export
from l2 import l2_data_source_util, l2_data_util
from log_module.log import logger_debug
@@ -74,9 +75,15 @@
            if datas[i]["index"] == end_index:
                datas = datas[:i]
                break
    # 成交的大单信息[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
    deal_big_buy_order_list = copy.deepcopy(BigOrderDealManager().get_total_buy_data_list(code))
    deal_big_buy_order_no_dict = {}
    if deal_big_buy_order_list:
        for d in deal_big_buy_order_list:
            deal_big_buy_order_no_dict[d[0]] = d

    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
                            active_sell_set, cancel_reasons)
                            active_sell_set, cancel_reasons, deal_big_buy_order_no_dict)
    return fdatas


@@ -90,7 +97,7 @@


def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
                   active_sell_nos, cancel_reasons):
                   active_sell_nos, cancel_reasons, deal_big_buy_order_no_dict):
    def find_process_index(index):
        for i in range(0, len(process_indexs)):
            if process_indexs[i][0] <= index <= process_indexs[i][1]:
@@ -106,7 +113,6 @@
    # 最新的一条数据
    latest_data = datas[-1]
    latest_time_str_with_ms = l2.l2_data_util.L2DataUtil.get_time_with_ms(latest_data["val"])


    # 数据预处理
    num_operate_map = {}
@@ -136,6 +142,11 @@
        if data['val']['orderNo'] in active_sell_nos:
            # 过滤主动卖
            continue

        # 移除成交大单在L2中已有的订单
        if l2.l2_data_util.L2DataUtil.is_limit_up_price_buy(data["val"]):
            if int(data['val']['orderNo']) in deal_big_buy_order_no_dict:
                deal_big_buy_order_no_dict.pop(int(data['val']['orderNo']))

        trade_info = find_trade_index(data["index"])
        if not trade_info:
@@ -231,7 +242,7 @@
                    # 成交时间不能比当前索引时间大
                    cancel_info = l2_huaxin_util.convert_time(deal_info[4],
                                                              with_ms=True)
                    if tool.trade_time_sub_with_ms(cancel_info , latest_time_str_with_ms) > 0:
                    if tool.trade_time_sub_with_ms(cancel_info, latest_time_str_with_ms) > 0:
                        cancel_info = None
        format_data.append(cancel_info)
        cancel_order_info = None
@@ -252,6 +263,24 @@
        format_data.append(cancel_order_info)
        format_data.append(data["val"].get("orderNo"))
        fdatas.append((style_int, trade_info, format_data))

    if tool.is_sh_code(code) and deal_big_buy_order_no_dict:
        # 上证，有主动成交的大单
        active_deal_list = [deal_big_buy_order_no_dict[order_no] for order_no in deal_big_buy_order_no_dict]
        active_deal_list.sort(key=lambda x: x[3])
        for i in range(len(active_deal_list)):
            d = active_deal_list[i]
            format_data = [0]
            format_data.append(l2_huaxin_util.convert_time(d[3], with_ms=True))
            format_data.append('')
            format_data.append(f"{round(d[2] / 10000, 1)}万")
            format_data.append(round(d[2] / d[1], 2))
            format_data.append(d[1] // 100)
            format_data.append('买')
            format_data.append(1)
            format_data.append(l2_huaxin_util.convert_time(d[4], with_ms=True))
            format_data.append(d[0])
            fdatas.insert(i, (0, None, format_data))
    logger_debug.info("循环组装数据完成")
    return fdatas