From 15ee75f52d3258b14670d0487b36eae15a4e9dbc Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 18 四月 2024 17:07:42 +0800
Subject: [PATCH] 共享内存/zeromq通信测试
---
l2/l2_transaction_data_manager.py | 177 ++++++++++++++++++++++++++++++++++++----------------------
1 files changed, 109 insertions(+), 68 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 147463e..d5ddc06 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -8,9 +8,10 @@
from l2 import l2_log
from l2.huaxin import l2_huaxin_util
from l2.l2_data_util import local_today_sellno_map, local_today_datas
+from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager
from log_module import async_log_util
-from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
+from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell
from utils import tool
@@ -104,15 +105,17 @@
# 鏈�杩戞墍鏈夌殑鍗栧崟
__latest_all_sell_orders_dict = {}
+ # 淇濆瓨鏈�杩戞垚浜ょ殑浠锋牸
+ __latest_trade_price_dict = {}
+
+ __last_trade_data_dict = {}
+
# 杩斿洖鏈�杩�1s鐨勫ぇ鍗曞崠锛�(鎬诲崠閲戦,[(鍗栧崟鍙�,鎬绘墜鏁�,浠锋牸,锛�'寮�濮嬫椂闂�',涔板崟鍙凤級,锛�'缁撴潫鏃堕棿',涔板崟鍙凤級),...])
@classmethod
- def add_transaction_datas(cls, code, datas, buy_exec_index=None):
+ def add_transaction_datas(cls, code, datas, limit_up_price=None):
# 鏄惁涓轰富鍔ㄥ崠
- def is_active_sell(sell_no):
- if buy_exec_index is not None:
- return sell_no > int(total_datas[buy_exec_index]["val"]["orderNo"])
- else:
- return f"{sell_no}" not in sell_no_map
+ def is_active_sell(sell_no, buy_no):
+ return sell_no > buy_no
# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
@@ -134,36 +137,64 @@
total_datas = local_today_datas.get(code)
if not sell_no_map:
sell_no_map = {}
- for d in datas:
- 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[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
- else:
- if cls.__latest_sell_order_dict[code][0] == d[7]:
- cls.__latest_sell_order_dict[code][1] += d[2]
- cls.__latest_sell_order_dict[code][2] = d[1]
- cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
- else:
- info = cls.__latest_sell_order_dict[code]
- # 涓婁釜鍗栧崟鎴愪氦瀹屾垚
- # 灏佸瓨鏁版嵁锛岃绠楁柊璧风偣
- # 澶т簬50w鐨勫崠鍗曟墠浼氫繚瀛�
- # 澶т簬50w鍔犲叆鍗栧崟
- cls.__latest_all_sell_orders_dict[code].append(info)
- money = info[1] * info[2]
- if money >= 500000:
- if is_active_sell(info[0]):
+ # 淇濆瓨鏈�杩戠殑鎴愪氦浠锋牸:(浠锋牸,鎴愪氦鏃堕棿)
+ cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3])
+
+ L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas, limit_up_price)
+
+ for d in datas:
+ # 鑾峰彇褰撳墠鏄惁涓轰富鍔ㄤ拱
+ try:
+ _is_active_sell = is_active_sell(d[7], d[6])
+ if not _is_active_sell:
+ continue
+
+ if d[1] == limit_up_price:
+ # 娑ㄥ仠涓诲姩鍗�
+ L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d)
+
+ # 鍒ゆ柇鏄惁鏄定鍋滆鍔ㄥ彉涓诲姩
+ last_trade_data = cls.__last_trade_data_dict.get(code)
+ if last_trade_data and not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[
+ 1] == limit_up_price:
+ if d[1] == limit_up_price:
+ # 娑ㄥ仠琚姩鍙樹富鍔�
+ L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data, d)
+ 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[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
+ else:
+ if cls.__latest_sell_order_dict[code][0] == d[7]:
+ cls.__latest_sell_order_dict[code][1] += d[2]
+ cls.__latest_sell_order_dict[code][2] = d[1]
+ cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
+ else:
+ info = cls.__latest_sell_order_dict[code]
+
+ # 涓婁釜鍗栧崟鎴愪氦瀹屾垚
+ # 灏佸瓨鏁版嵁锛岃绠楁柊璧风偣
+ # 澶т簬50w鐨勫崠鍗曟墠浼氫繚瀛�
+ # 澶т簬50w鍔犲叆鍗栧崟
+ money = info[1] * info[2]
+ if money >= 500000:
+ # 璁㈠崟閲岄潰鏈夋垚浜ゆ槸涓诲姩鍗栧氨绠椾富鍔ㄥ崠
l2_log.info(code, hx_logger_l2_transaction_sell_order,
f"{cls.__latest_sell_order_dict[code]}")
cls.__big_sell_order_ids_dict[code].add(info[0])
cls.__big_sell_order_info_dict[code][info[0]] = info
cls.__big_sell_order_info_list_dict[code].append(info)
- # 鍙繚鐣�10w浠ヤ笂鐨勫崟
- if money > 100000:
- cls.__latest_all_sell_orders_dict[code].append(info)
+ # 鍙繚鐣�10w浠ヤ笂鐨勫崟
+ if money > 100000:
+ cls.__latest_all_sell_orders_dict[code].append(info)
+ if limit_up_price == info[2]:
+ # 灏嗘定鍋滀富鍔ㄥ崠璁板叆鏃ュ織
+ l2_log.info(code, hx_logger_l2_active_sell, f"{info}")
- cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
+ cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
+ finally:
+ cls.__last_trade_data_dict[code] = d
+
latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
min_time = tool.trade_time_add_millionsecond(latest_time, -1000)
min_time_int = int(min_time.replace(":", "").replace(".", ""))
@@ -171,62 +202,72 @@
total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)
total_sell_info = [0, None] # 鎬昏祫閲�,寮�濮嬫垚浜や俊鎭�,缁撴潫鎴愪氦淇℃伅
- latest_sell_order_info = cls.__latest_sell_order_dict[code]
- big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
- # print("澶у崠鍗�", big_sell_order_ids)
- big_sell_orders = []
- temp_sell_order_ids = set()
- # 缁熻宸茬粡缁撶畻鍑虹殑澶у崟
- for i in range(len(total_big_sell_datas) - 1, -1, -1):
- bd = total_big_sell_datas[i]
- if min_time_int > int(
- l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
- break
- if bd[0] != latest_sell_order_info[0]:
- # 涓嶆槸鏈�杩戠殑鎴愪氦涓斾笉鏄ぇ鍗曠洿鎺ヨ繃婊�
- if bd[0] not in big_sell_order_ids:
- continue
+ latest_sell_order_info = cls.__latest_sell_order_dict.get(code)
+ if latest_sell_order_info:
+ # 涓嶆槸绗竴娆￠潪涓诲姩鍗栦笂浼�
+ big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
+ # print("澶у崠鍗�", big_sell_order_ids)
+ big_sell_orders = []
+ temp_sell_order_ids = set()
+ # 缁熻宸茬粡缁撶畻鍑虹殑澶у崟
+ for i in range(len(total_big_sell_datas) - 1, -1, -1):
+ bd = total_big_sell_datas[i]
+ if min_time_int > int(
+ l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
+ break
+ if bd[0] != latest_sell_order_info[0]:
+ # 涓嶆槸鏈�杩戠殑鎴愪氦涓斾笉鏄ぇ鍗曠洿鎺ヨ繃婊�
+ if bd[0] not in big_sell_order_ids:
+ continue
+ else:
+ if bd[0] not in temp_sell_order_ids:
+ big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
+ temp_sell_order_ids.add(bd[0])
else:
- if bd[0] not in temp_sell_order_ids:
- big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
- temp_sell_order_ids.add(bd[0])
- else:
- # 鏄渶杩戠殑浣嗕笉鏄ぇ鍗曢渶瑕佽繃婊�
- if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
- continue
- else:
- if latest_sell_order_info[0] not in temp_sell_order_ids:
- big_sell_orders.append(latest_sell_order_info)
- temp_sell_order_ids.add(latest_sell_order_info[0])
+ # 鏄渶杩戠殑浣嗕笉鏄ぇ鍗曢渶瑕佽繃婊�
+ if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
+ continue
+ else:
+ if latest_sell_order_info[0] not in temp_sell_order_ids:
+ big_sell_orders.append(latest_sell_order_info)
+ temp_sell_order_ids.add(latest_sell_order_info[0])
- # 缁熻鏈�杩�1s鐨勫ぇ鍗栧崟鏁版嵁
- total_sell_info[0] += int(bd[1] * bd[2])
- # 缁熻鏈�杩戠殑澶у崟
- if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
- if latest_sell_order_info[0] not in temp_sell_order_ids:
- if is_active_sell(latest_sell_order_info[0]):
+ # 缁熻鏈�杩�1s鐨勫ぇ鍗栧崟鏁版嵁
+ total_sell_info[0] += int(bd[1] * bd[2])
+ # 缁熻鏈�杩戠殑澶у崟
+ if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
+ if latest_sell_order_info[0] not in temp_sell_order_ids:
+ # if is_active_sell(latest_sell_order_info[0], latest_sell_order_info[3][1]):
big_sell_orders.append(latest_sell_order_info)
temp_sell_order_ids.add(latest_sell_order_info[0])
total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2])
- big_sell_orders.reverse()
- total_sell_info[1] = big_sell_orders
+ big_sell_orders.reverse()
+ total_sell_info[1] = big_sell_orders
return total_sell_info
# 鑾峰彇鏈�杩戞垚浜ゆ暟鎹�
@classmethod
- def get_latest_transaction_datas(cls, code, min_sell_order_no=None):
+ def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None):
total_orders = []
sell_orders = cls.__latest_all_sell_orders_dict.get(code)
if sell_orders:
for i in range(len(sell_orders) - 1, -1, -1):
- if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
+ if min_deal_time and tool.trade_time_sub(min_deal_time,
+ l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0:
break
+
+ if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
+ continue
total_orders.append(sell_orders[i])
- total_orders.extend(sell_orders)
if code in cls.__latest_sell_order_dict:
- if min_sell_order_no :
+ if min_sell_order_no:
if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no:
total_orders.append(cls.__latest_sell_order_dict[code])
else:
total_orders.append(cls.__latest_sell_order_dict[code])
return total_orders
+
+ # 鑾峰彇鏈�杩戞垚浜や环鏍间俊鎭�, 杩斿洖鏍煎紡锛氾紙浠锋牸,鏃堕棿锛�
+ @classmethod
+ def get_latest_trade_price_info(cls, code):
+ return cls.__latest_trade_price_dict.get(code)
--
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