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 | 363 +++++++++++++++++++++++++++++++++++++--------------
1 files changed, 262 insertions(+), 101 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 9013a19..d5ddc06 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -1,112 +1,273 @@
"""
L2鎴愪氦鏁版嵁澶勭悊鍣�
"""
-import time
+import json
-from code_attribute import gpcode_manager
-from l2 import l2_data_util, l2_data_manager, transaction_progress
-from l2.cancel_buy_strategy import LCancelRateManager, DCancelBigNumComputer, LCancelBigNumComputer, \
- SecondCancelBigNumComputer, HourCancelBigNumComputer, FastCancelBigNumComputer
-from l2.l2_data_manager_new import L2TradeDataProcessor
-from l2.l2_data_util import L2DataUtil
+from db import redis_manager
+from db.redis_manager_delegate import RedisUtils
+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, logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug
-from trade import current_price_process_manager, trade_manager, l2_trade_factor
-from trade.deal_big_money_manager import DealOrderNoManager
-from trade.l2_trade_factor import L2PlaceOrderParamsManager
+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
-class HuaXinTransactionDatasProcessor:
- __TradeBuyQueue = transaction_progress.TradeBuyQueue()
+# 鎴愪氦鏁版嵁缁熻
+class HuaXinBuyOrderManager:
+ __db = 0
+ __instance = None
+ __redis_manager = redis_manager.RedisManager(0)
+
+ # 姝ｅ湪鎴愪氦鐨勮鍗�
+ __dealing_order_info_dict = {}
+ # 鏈�杩戞垚浜ょ殑璁㈠崟{"code":(璁㈠崟鍙凤紝鏄惁鎴愪氦瀹屾垚)}
+ __latest_deal_order_info_dict = {}
+
+ def __new__(cls, *args, **kwargs):
+ if not cls.__instance:
+ cls.__instance = super(HuaXinBuyOrderManager, cls).__new__(cls, *args, **kwargs)
+ cls.__load_datas()
+ return cls.__instance
@classmethod
- def process_huaxin_transaction_datas(cls, code, datas):
- # 璁剧疆鎴愪氦浠�
- current_price_process_manager.set_trade_price(code, datas[-1][1])
- total_datas = l2_data_util.local_today_datas.get(code)
- __start_time = time.time()
+ def __get_redis(cls):
+ return cls.__redis_manager.getRedis()
+
+ @classmethod
+ def __load_datas(cls):
+ __redis = cls.__get_redis()
try:
- buyno_map = l2_data_util.local_today_buyno_map.get(code)
- if not buyno_map:
- if trade_manager.CodesTradeStateManager().get_trade_state(
- code) != trade_manager.TRADE_STATE_NOT_TRADE:
- l2_data_util.load_l2_data(code)
- buyno_map = l2_data_util.local_today_buyno_map.get(code)
- # async_log_util.debug(hx_logger_l2_transaction,
- # f"{code}鐨勪拱鍏ヨ鍗曞彿鏁伴噺:{len(buyno_map.keys()) if buyno_map else 0}")
- if buyno_map is None:
- buyno_map = {}
- buy_progress_index = None
- for i in range(len(datas) - 1, -1, -1):
- d = datas[i]
- buy_no = f"{d[6]}"
- if buyno_map and buy_no in buyno_map:
- async_log_util.info(hx_logger_l2_debug, f"{code}鎴愪氦杩涘害锛歿buyno_map[buy_no]['index']}")
- buy_progress_index = buyno_map[buy_no]["index"]
- break
- # ------缁熻淇濆瓨鎴愪氦澶у崟璁㈠崟鍙�------
- origin_ordernos = set()
- for d in datas:
- buy_no = f"{d[6]}"
- origin_ordernos.add(buy_no)
-
- # ---------------------澶勭悊鎴愪氦澶у崟----------------------
- big_money_count = 0
- for buy_no in origin_ordernos:
- # 鏌ヨ鏄惁涓哄ぇ鍗�
- if buy_no in buyno_map:
- data = buyno_map[buy_no]
- val = data["val"]
- if not L2DataUtil.is_limit_up_price_buy(val):
- continue
- if l2_data_util.is_big_money(val):
- # 娑ㄥ仠涔扮殑澶у崟
- big_money_count += 1
- DealOrderNoManager().add_orderno(code, buy_no)
- if big_money_count > 0:
- # 缁熻澶у崟/m鍊兼垚浜ゆ瘮
- total_deal_nums = DealOrderNoManager().get_deal_nums(code, buyno_map)
- thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
- limit_up_price = gpcode_manager.get_limit_up_price(code)
- if limit_up_price:
- rate = round(total_deal_nums / (thresh_hold_money // (float(limit_up_price) * 100)), 2)
- LCancelRateManager().set_big_num_deal_rate(code, rate)
-
- # 鑾峰彇鎵ц浣嶆椂闂�
- order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
- if buy_progress_index is not None:
- cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, total_datas)
- async_log_util.info(logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{}", code,
- buy_progress_index)
- # limit_up_price = gpcode_manager.get_limit_up_price(code)
- # 娉ㄩ噴鎺塂鎾ゅ崟
- # if buy_exec_index and buy_exec_index > -1:
- # m_base_val = L2PlaceOrderParamsManager.get_base_m_val(code)
- # need_cancel, msg = DCancelBigNumComputer().set_trade_progress(code,
- # buy_progress_index,
- # buy_exec_index,
- # total_datas,
- # m_base_val,
- # limit_up_price)
- # if need_cancel:
- # L2TradeDataProcessor.cancel_buy(code, f"D鎾�:{msg}", source="d_cancel")
-
- LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index, total_datas)
- FastCancelBigNumComputer().set_trade_progress(code, buy_progress_index)
- SecondCancelBigNumComputer().set_transaction_index(
- code,
- buy_progress_index)
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
- HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, buy_progress_index)
- else:
- pass
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
- # 瑙﹀彂L鎾や笂閲嶆柊璁＄畻
- LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index)
-
- except Exception as e:
- hx_logger_l2_debug.exception(e)
+ keys = RedisUtils.keys(__redis, "dealing_order_info-*")
+ for k in keys:
+ code = k.split("-")[-1]
+ val = RedisUtils.get(__redis, k)
+ val = json.loads(val)
+ tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
finally:
- use_time = int((time.time() - __start_time) * 1000)
- if use_time > 10:
- async_log_util.info(hx_logger_l2_upload, f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time}")
+ RedisUtils.realse(__redis)
+
+ # 灏嗘暟鎹寔涔呭寲鍒版暟鎹簱
+ def sync_dealing_data_to_db(self):
+ for code in self.__dealing_order_info_dict:
+ RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
+ json.dumps(self.__dealing_order_info_dict[code]))
+
+ # 鑾峰彇浠ｇ爜姝ｅ湪鎴愪氦鐨勪俊鎭�
+ # 杩斿洖鏁版嵁锛歔璁㈠崟鍙凤紝鎬昏偂鏁帮紝寮�濮嬫垚浜ゆ椂闂达紝缁撴潫鎴愪氦鏃堕棿, 鎬讳拱]
+ @classmethod
+ def get_dealing_order_info(cls, code):
+ return cls.__dealing_order_info_dict.get(code)
+
+ # 缁熻鎴愪氦鐨勬儏鍐�
+ @classmethod
+ def statistic_deal_desc(cls, code, data, total_buy_num):
+ if code not in cls.__dealing_order_info_dict:
+ # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬昏偂鏁帮紝寮�濮嬫垚浜ゆ椂闂达紝缁撴潫鎴愪氦鏃堕棿, 鎬讳拱]
+ cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
+ if cls.__dealing_order_info_dict[code][0] == data[6]:
+ # 鎴愪氦鍚屼竴涓鍗曞彿
+ cls.__dealing_order_info_dict[code][1] += data[2]
+ cls.__dealing_order_info_dict[code][3] = data[3]
+ else:
+ # 淇濆瓨涓婁竴鏉℃暟鎹�
+ async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
+ # 璁剧疆鏈�杩戞垚浜ゅ畬鎴愮殑涓�鏉℃暟鎹�
+ deal_info = (
+ cls.__dealing_order_info_dict[code][0],
+ cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1])
+ cls.__latest_deal_order_info_dict[code] = deal_info
+ # 鍒濆鍖栨湰鏉℃暟鎹�
+ cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
+ return deal_info
+ return None
+
+
+# 鍗栧崟缁熻鏁版嵁
+class HuaXinSellOrderStatisticManager:
+ # 鏈�杩戠殑澶у崠鍗曟垚浜わ紝鏍煎紡:{code:[鍗栧崟淇℃伅,...]}
+ __latest_sell_order_info_list_dict = {}
+
+ # 澶у崟鍗栧崟鍙风殑闆嗗悎锛屾牸寮忥細{code:{鍗栧崟鍙穧}
+ __big_sell_order_ids_dict = {}
+
+ # 澶у崠鍗曠殑鍗栧崟鍙�->鍗栧崟淇℃伅鏄犲皠
+ __big_sell_order_info_dict = {}
+
+ # 澶у崟鍒楄〃
+ __big_sell_order_info_list_dict = {}
+
+ # 鏈�杩戠殑鍗栧崟, 鏍煎紡{code:[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]}
+ __latest_sell_order_dict = {}
+ # 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, limit_up_price=None):
+ # 鏄惁涓轰富鍔ㄥ崠
+ 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'],
+ # data['SellNo'], data['ExecType']))
+ if code not in cls.__latest_sell_order_info_list_dict:
+ cls.__latest_sell_order_info_list_dict[code] = []
+ if code not in cls.__big_sell_order_ids_dict:
+ cls.__big_sell_order_ids_dict[code] = set()
+ if code not in cls.__big_sell_order_info_dict:
+ cls.__big_sell_order_info_dict[code] = {}
+
+ if code not in cls.__big_sell_order_info_list_dict:
+ cls.__big_sell_order_info_list_dict[code] = []
+
+ if code not in cls.__latest_all_sell_orders_dict:
+ cls.__latest_all_sell_orders_dict[code] = []
+
+ sell_no_map = local_today_sellno_map.get(code)
+ total_datas = local_today_datas.get(code)
+ if not sell_no_map:
+ sell_no_map = {}
+
+ # 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)
+ 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])]
+ 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(".", ""))
+ # 璁＄畻鏈�杩�1s鐨勫ぇ鍗曟垚浜�
+ 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.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:
+ # 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], 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
+ 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, 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_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])
+ if code in cls.__latest_sell_order_dict:
+ 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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