From 21d753614ea7bbe936b8560cbf466c4e438821b2 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 23 九月 2022 16:08:16 +0800
Subject: [PATCH] l2数据计算优化
---
l2_data_manager.py | 213 +++++++++++++++++++++++++++++++++++++---------------
1 files changed, 151 insertions(+), 62 deletions(-)
diff --git a/l2_data_manager.py b/l2_data_manager.py
index f04ee18..25093bc 100644
--- a/l2_data_manager.py
+++ b/l2_data_manager.py
@@ -18,8 +18,9 @@
import redis_manager
import tool
import trade_manager
-from log import logger_l2_trade, logger_l2_trade_cancel
+from log import logger_l2_trade, logger_l2_trade_cancel, logger_l2_trade_buy
from trade_data_manager import TradeBuyDataManager
+import limit_up_time_manager
_redisManager = redis_manager.RedisManager(1)
# l2鏁版嵁绠＄悊
@@ -94,38 +95,52 @@
# 鑾峰彇鎾や拱鍏ュ紑濮嬭绠楃殑淇℃伅
# 杩斿洖鏁版嵁鐨勫唴瀹逛负锛氭挙閿�鐐圭储寮� 鎾や拱绾拱棰� 璁＄畻鐨勬暟鎹储寮�
@staticmethod
- def get_buy_cancel_compute_start_data(code):
+ def get_buy_cancel_single_pos(code):
redis = TradePointManager.__get_redis()
- info = redis.get("buy_cancel_compute_info-{}".format(code))
+ info = redis.get("buy_cancel_single_pos-{}".format(code))
if info is None:
- return None, None, None
+ return None
else:
- info = json.loads(info)
- return info[0], info[1], info[2]
+ return int(info)
# 璁剧疆涔版挙鐐逛俊鎭�
# buy_num 绾拱棰� computed_index璁＄畻鍒扮殑涓嬫爣 index鎾や拱淇″彿璧风偣
@classmethod
- def set_buy_cancel_compute_start_data(cls, code, buy_num, computed_index, index):
+ def set_buy_cancel_single_pos(cls, code, index):
redis = TradePointManager.__get_redis()
expire = tool.get_expire()
- redis.setex("buy_cancel_compute_info-{}".format(code), expire, json.dumps((index, buy_num, computed_index)))
-
- # 澧炲姞鎾や拱鐨勭函涔伴
- @classmethod
- def add_buy_nums_for_cancel(cls, code, num_add, computed_index):
- cancel_index, nums, c_index = cls.get_buy_cancel_compute_start_data(code)
- if cancel_index is None:
- raise Exception("鏃犳挙涔颁俊鍙疯褰�")
- nums += num_add
- cls.set_buy_cancel_compute_start_data(code, nums, computed_index)
+ redis.setex("buy_cancel_single_pos-{}".format(code), expire, index)
# 鍒犻櫎涔版挙鐐规暟鎹�
- @staticmethod
- def delete_buy_cancel_point(code):
+ @classmethod
+ def delete_buy_cancel_point(cls, code):
redis = TradePointManager.__get_redis()
- redis.delete("buy_cancel_compute_info-{}".format(code))
+ redis.delete("buy_cancel_single_pos-{}".format(code))
+
+ # 璁剧疆涔版挙绾拱棰�
+ @classmethod
+ def set_compute_info_for_cancel_buy(cls, code, index, nums):
+ redis = TradePointManager.__get_redis()
+ expire = tool.get_expire()
+ redis.setex("compute_info_for_cancel_buy-{}".format(code), expire, json.dumps((index, nums)))
+ logger_l2_trade_buy.info("{}淇濆瓨鎾ゅ崟绾拱棰濅俊鎭細{}锛寋}", code, index, nums)
+
+ # 鑾峰彇涔版挙绾拱棰濊绠椾俊鎭�
+ @classmethod
+ def get_compute_info_for_cancel_buy(cls, code):
+ redis = TradePointManager.__get_redis()
+ info = redis.get("compute_info_for_cancel_buy-{}".format(code))
+ if info is None:
+ return None, 0
+ else:
+ info = json.loads(info)
+ return info[0], info[1]
+
+ @classmethod
+ def delete_compute_info_for_cancel_buy(cls, code):
+ redis = TradePointManager.__get_redis()
+ redis.delete("compute_info_for_cancel_buy-{}".format(code))
def load_l2_data(code, force=False):
@@ -398,6 +413,11 @@
("thread-id={} code={} ".format(cls.random_key[code], code) + content).format(*args))
@classmethod
+ def buy_debug(cls, code, content, *args):
+ logger_l2_trade_buy.debug(
+ ("thread-id={} code={} ".format(cls.random_key[code], code) + content).format(*args))
+
+ @classmethod
# 鏁版嵁澶勭悊鍏ュ彛
# datas: 鏈鎴浘鏁版嵁
# capture_timestamp:鎴浘鏃堕棿鎴�
@@ -474,38 +494,45 @@
if start_index < 0:
start_index = 0
# 鑾峰彇涔嬪墠鏄惁鏈夎褰曠殑鎾や拱淇″彿
- cancel_index, buy_num_for_cancel, computed_index = cls.__has_order_cancel_begin_pos(code)
+ cancel_index = TradePointManager.get_buy_cancel_single_pos(code)
+
+ cancel_computed_index, cancel_buy_num = TradePointManager.get_compute_info_for_cancel_buy(code)
+ if cancel_computed_index is None:
+ logger_l2_trade.error("{} 鏈幏鍙栧埌涔版挙绾拱棰�,璧峰璁＄畻浣嶏細{}", code, start_index)
+
buy_single_index, buy_exec_index, buy_compute_index, buy_num = cls.__get_order_begin_pos(code)
if cancel_index is None:
# 鏃犳挙鍗曚俊鍙疯捣濮嬬偣璁板綍
cancel_index = cls.__compute_order_cancel_begin_single(code, max(start_index - 3, 0), 3)
- buy_num_for_cancel = buy_num
- computed_index = buy_single_index
if cancel_index is not None:
- cls.debug(code, "鎵惧埌鎾ゅ崟淇″彿锛屾暟鎹鐞嗚捣濮嬬偣锛歿} 鏁版嵁锛歿}", start_index, local_today_datas[code][start_index])
- if cancel_index is not None:
+ cls.debug(code, "鎵惧埌鎾ゅ崟淇″彿-{}锛屼拱鍏ヤ俊鍙蜂负 锛屾暟鎹鐞嗚捣濮嬬偣锛歿}", cancel_index, start_index)
+ # 淇濆瓨鎾ゅ崟淇″彿
+ TradePointManager.set_buy_cancel_single_pos(code, cancel_index)
# 鑾峰彇闃堝�� 鏈変拱鎾や俊鍙凤紝缁熻鎾や拱绾拱棰�
- threshold_money = cls.__get_threshmoney(code)
- cls.__start_compute_cancel(code, cancel_index, max(computed_index, buy_exec_index + 1), buy_num_for_cancel,
- threshold_money,
- capture_time)
- else:
- # 鏃犱拱鎾や俊鍙�,鏄惁鏈夎櫄鎷熶笅鍗�
- unreal_buy_info = cls.unreal_buy_dict.get(code)
- if unreal_buy_info is not None:
- cls.debug(code, "鏈夎櫄鎷熶笅鍗曪紝鏃犱拱鎾や俊鍙凤紝寮�濮嬫墽琛屼拱鍏�")
- # unreal_buy_info 鐨勫唴瀹规牸寮忎负锛�(瑙︽硶涔版搷浣滀笅鏍�,鎴浘鏃堕棿)
- # 鐪熷疄涓嬪崟
- cls.__buy(code, unreal_buy_info[1], local_today_datas[code][unreal_buy_info[0]],
- unreal_buy_info[0])
- pass
+ threshold_money = cls.__get_threshmoney(code)
+ cls.__start_compute_cancel(code, cancel_index, cancel_computed_index + 1,
+ cancel_buy_num,
+ threshold_money,
+ capture_time)
+
+ # 鏄惁鏈夎櫄鎷熶笅鍗�
+ unreal_buy_info = cls.unreal_buy_dict.get(code)
+ if unreal_buy_info is not None:
+ cls.debug(code, "鏈夎櫄鎷熶笅鍗曪紝鏃犱拱鎾や俊鍙凤紝寮�濮嬫墽琛屼拱鍏�,鎴浘鏃堕棿锛歿}", capture_time)
+ # unreal_buy_info 鐨勫唴瀹规牸寮忎负锛�(瑙︽硶涔版搷浣滀笅鏍�,鎴浘鏃堕棿)
+ # 鐪熷疄涓嬪崟
+ cls.__buy(code, unreal_buy_info[1], local_today_datas[code][unreal_buy_info[0]],
+ unreal_buy_info[0])
# 寮�濮嬭绠楁挙鐨勪俊鍙�
@classmethod
def __start_compute_cancel(cls, code, cancel_index, compute_start_index, origin_num, threshold_money, capture_time):
# sure_type 0-铏氭嫙鎸備拱浣� 1-鐪熷疄鎸備拱浣�
+ cancel_single = cancel_index is not None
computed_index, buy_num_for_cancel, sure_type = cls.__sum_buy_num_for_cancel_order(code, compute_start_index,
- origin_num, threshold_money)
+ origin_num, threshold_money,
+ cancel_single)
+
total_datas = local_today_datas[code]
if computed_index is not None:
cls.debug(code, "鑾峰彇鍒版挙鍗曟墽琛屼俊鍙凤紝淇″彿浣嶇疆锛歿}锛宮2:{} 鏁版嵁锛歿}", computed_index, threshold_money,
@@ -528,10 +555,10 @@
cls.__start_compute_buy(code, computed_index + 1, threshold_money, capture_time)
pass
else:
- cls.debug(code, "鏈幏鍙栧埌鎾ゅ崟鎵ц淇″彿锛岃绠楀紑濮嬩綅缃細{}锛� 绾拱棰濓細{}", compute_start_index, buy_num_for_cancel)
- # 鏃犻渶鎾や拱锛岃褰曟挙涔颁俊鍙�
- TradePointManager.set_buy_cancel_compute_start_data(code, buy_num_for_cancel, len(total_datas) - 1,
- cancel_index)
+ cls.debug(code, "鎾や拱绾拱棰濊绠楋紝璁＄畻浣嶇疆锛歿}-{}锛岀洰鍓嶄负姝㈢函涔版墜鏁帮細{}", compute_start_index, total_datas[-1]["index"],
+ buy_num_for_cancel)
+ # 鏃犻渶鎾や拱锛岃缃绠椾俊鎭�
+ TradePointManager.set_compute_info_for_cancel_buy(code, int(total_datas[-1]["index"]), buy_num_for_cancel)
# 鍒ゆ柇鏄惁鏈夎櫄鎷熶笅鍗�
unreal_buy_info = cls.unreal_buy_dict.get(code)
if unreal_buy_info is not None:
@@ -547,6 +574,9 @@
@classmethod
def __buy(cls, code, capture_timestamp, last_data, last_data_index):
+ # 鍒犻櫎铏氭嫙涓嬪崟
+ if code in cls.unreal_buy_dict:
+ cls.unreal_buy_dict.pop(code)
cls.debug(code, "寮�濮嬫墽琛屼拱鍏�")
try:
trade_manager.start_buy(code, capture_timestamp, last_data,
@@ -565,6 +595,7 @@
# 鍙栨秷涔板叆鏍囪瘑
TradePointManager.delete_buy_point(code)
TradePointManager.delete_buy_cancel_point(code)
+ TradePointManager.delete_compute_info_for_cancel_buy(code)
cls.debug(code, "鎵ц鎾ゅ崟鎴愬姛")
except Exception as e:
cls.debug(code, "鎵ц鎾ゅ崟寮傚父锛歿}", str(e))
@@ -585,22 +616,29 @@
num = 0
new_get_pos = True
cls.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} 鏁版嵁锛歿}", buy_single_index, total_datas[buy_single_index])
+ limit_up_time_manager.save_limit_up_time(code, total_datas[buy_single_index]["val"]["time"])
if buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
# 涔板叆绾拱棰濈粺璁�
- compute_index, buy_nums = cls.__sum_buy_num_for_order(code, max(buy_single_index, compute_start_index), num,
- threshold_money)
+ compute_index, buy_nums = cls.__sum_buy_num_for_order_2(code, max(buy_single_index, compute_start_index), num,threshold_money,buy_single_index)
+
+ #cls.__sum_buy_num_for_order(code, max(buy_single_index, compute_start_index), num,threshold_money)
if compute_index is not None:
- cls.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 鏁版嵁锛歿}", compute_index, threshold_money, total_datas[compute_index])
+ cls.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 绾拱鎵嬫暟锛歿} 鏁版嵁锛歿}", compute_index, threshold_money, buy_nums,
+ total_datas[compute_index])
# 璁板綍涔板叆淇″彿浣嶇疆
cls.__save_order_begin_data(code, buy_single_index, compute_index, compute_index, buy_nums)
# 铏氭嫙涓嬪崟
cls.unreal_buy_dict[code] = (compute_index, capture_time)
# 鍒犻櫎涔嬪墠鐨勬墍鏈夋挙鍗曚俊鍙�
TradePointManager.delete_buy_cancel_point(code)
+ TradePointManager.delete_compute_info_for_cancel_buy(code)
+ # 涓轰拱鎾や繚瀛樺熀纭�绾拱棰�
+ TradePointManager.set_compute_info_for_cancel_buy(code, compute_index, buy_nums)
+
# 鏁版嵁鏄惁澶勭悊瀹屾瘯
if L2DataUtil.is_index_end(code, compute_index):
cls.debug(code, "鏁版嵁澶勭悊瀹屾瘯锛屼笅鍗�, 鏁版嵁鎴浘鏃堕棿-{}", capture_time)
@@ -626,15 +664,6 @@
@classmethod
def __save_order_begin_data(self, code, buy_single_index, buy_exec_index, compute_index, num):
TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num)
-
- # 鑾峰彇鎾ゅ崟璧峰浣嶇疆
- @classmethod
- def __has_order_cancel_begin_pos(cls, code):
- # cancel_index:鎾ゅ崟淇″彿璧风偣
- # buy_num_for_cancel锛氫粠鎸傚叆鐐硅绠楃殑绾拱棰�
- # computed_index 璁＄畻鐨勬渶鍚庝綅缃�
- cancel_index, buy_num_for_cancel, computed_index = TradePointManager.get_buy_cancel_compute_start_data(code)
- return cancel_index, buy_num_for_cancel, computed_index
# 璁＄畻涓嬪崟璧峰淇″彿
# compute_data_count 鐢ㄤ簬璁＄畻鐨刲2鏁版嵁鏁伴噺
@@ -776,11 +805,66 @@
# 娑ㄥ仠涔�
buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
if buy_nums >= threshold_num:
+ logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿}", code, i, buy_nums, threshold_num)
return i, buy_nums
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
# 娑ㄥ仠涔版挙
buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
+ logger_l2_trade_buy.info("{}灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿}", code, compute_start_index, buy_nums,
+ threshold_num)
return None, buy_nums
+
+ # 缁熻涔板叆鍑�涔伴噺锛屼笉璁＄畻鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶇殑涔版挙鍗�
+ @classmethod
+ def __sum_buy_num_for_order_2(cls, code, compute_start_index, origin_num, threshold_money, buy_single_index):
+ total_datas = local_today_datas[code]
+ buy_nums = origin_num
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price is None:
+ raise Exception("娑ㄥ仠浠锋棤娉曡幏鍙�")
+ threshold_num = threshold_money / (limit_up_price * 100)
+ property_buy_num_count = 0
+ same_time_property = cls.__get_same_time_property(code)
+ for i in range(compute_start_index, len(total_datas)):
+ data = total_datas[i]
+ _val = total_datas[i]["val"]
+ # 鏈夎繛缁�4涓定鍋滀拱灏辨爣璁拌绠楄捣濮嬬偣
+ if L2DataUtil.is_limit_up_price_buy(_val):
+ # 娑ㄥ仠涔�
+ buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
+ if buy_nums >= threshold_num:
+ logger_l2_trade_buy.info("{}鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛歿} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿}", code, i, buy_nums, threshold_num)
+ elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
+ # 娑ㄥ仠涔版挙
+ # 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
+ buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(total_datas[i],
+ local_today_num_operate_map.get(code))
+ if buy_index is not None:
+ # 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
+ if buy_index >= buy_single_index:
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ cls.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍚� 鎾や拱绾拱鎵嬫暟锛歿} 鐩爣鎵嬫暟锛歿}", i, buy_nums, threshold_num)
+ else:
+ cls.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝涔板叆浣嶏細{}", i, buy_index)
+ if total_datas[buy_single_index]["val"]["time"] == buy_data["val"]["time"]:
+ # 鍚屼竴绉�,鑰屼笖杩樺湪棰勪及涔板叆浣嶄箣鍚庢寜姒傜巼璁＄畻
+ property_buy_num_count -= int(_val["num"]) * int(data["re"])
+ cls.buy_debug(code, "{}鏁版嵁涔板叆浣嶄笌棰勪及涔板叆浣嶅湪鍚屼竴绉�", i)
+ else:
+ # 鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�
+ cls.cancel_debug(code, "鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�: 浣嶇疆-{} 鏁版嵁-{}", i, data)
+ buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
+ property_buy_num = round(property_buy_num_count * same_time_property)
+ cls.buy_debug(code, "涔板叆淇″彿鐐逛箣鍓嶅悓涓�绉掍拱鍏ユ墜鏁�-{}锛屼綅缃�-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", property_buy_num, i,
+ buy_nums + property_buy_num, threshold_num)
+ # 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
+ if buy_nums + property_buy_num >= threshold_num:
+ return i, buy_nums + property_buy_num
+
+ cls.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿}", compute_start_index,
+ buy_nums + property_buy_num,
+ threshold_num)
+ return None, buy_nums + property_buy_num
# 鍚屼竴鏃堕棿涔板叆鐨勬鐜囪绠�
@classmethod
@@ -795,7 +879,7 @@
# 缁熻涔版挙鍑�涔伴噺
@classmethod
- def __sum_buy_num_for_cancel_order(cls, code, start_index, origin_num, threshold_money):
+ def __sum_buy_num_for_cancel_order(cls, code, start_index, origin_num, threshold_money, cancel_single=True):
buy_nums = origin_num
total_datas = local_today_datas[code]
limit_up_price = gpcode_manager.get_limit_up_price(code)
@@ -807,7 +891,8 @@
same_time_property = cls.__get_same_time_property(code)
# 鍚屼竴绉掞紝鍦ㄩ浼颁拱鍏ヤ綅涔嬪悗鐨勬暟鎹箣鍜�
property_buy_num_count = 0
- cls.cancel_debug(code, "鎾ゅ崟绾拱棰濊绠椾綅缃細{}-{} 棰勪及鎸備拱浣嶏細{}", start_index, len(total_datas) - 1, sure_pos)
+ cls.cancel_debug(code, "鎾ゅ崟绾拱棰濊绠椾綅缃細{}-{} 棰勪及鎸備拱浣嶏細{} 鏄惁鏈夋挙鍗曚俊鍙凤細{}", start_index, len(total_datas) - 1, sure_pos,
+ cancel_single)
for i in range(start_index, len(total_datas)):
data = total_datas[i]
_val = data["val"]
@@ -828,7 +913,7 @@
# 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
if buy_index < sure_pos:
buy_nums -= int(_val["num"]) * int(data["re"])
- cls.cancel_debug(code, "{}鏁版嵁鍦ㄩ浼颁拱鍏ヤ綅涔嬪墠 鎾や拱绾拱棰濓細{}", i, buy_nums * limit_up_price)
+ cls.cancel_debug(code, "{}鏁版嵁鍦ㄩ浼颁拱鍏ヤ綅涔嬪墠 鎾や拱绾拱鎵嬫暟锛歿} 鐩爣鎵嬫暟锛歿}", i, buy_nums, threshold_num)
else:
cls.cancel_debug(code, "{}鏁版嵁鍦ㄩ浼颁拱鍏ヤ綅涔嬪悗锛屼拱鍏ヤ綅锛歿}", i, buy_index)
if sure_data["val"]["time"] == buy_data["val"]["time"]:
@@ -840,10 +925,14 @@
cls.cancel_debug(code, "鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�: 浣嶇疆-{} 鏁版嵁-{}", i, data)
property_buy_num = round(property_buy_num_count * same_time_property)
- cls.cancel_debug(code, "棰勪及涔板叆鐐逛箣鍚庡悓涓�绉掍拱鍏ユ墜鏁�-{}锛屼綅缃�-{}锛屾�绘墜鏁帮細{}", property_buy_num, i, buy_nums + property_buy_num)
- if buy_nums + property_buy_num <= threshold_num:
+ cls.cancel_debug(code, "棰勪及涔板叆鐐逛箣鍚庡悓涓�绉掍拱鍏ユ墜鏁�-{}锛屼綅缃�-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", property_buy_num, i,
+ buy_nums + property_buy_num, threshold_num)
+ # 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
+ if buy_nums + property_buy_num <= threshold_num and cancel_single:
return i, buy_nums + property_buy_num, sure_type
- return None, buy_nums + round(property_buy_num_count * same_time_property), sure_type
+ buy_num_news = buy_nums + round(property_buy_num_count * same_time_property)
+ cls.cancel_debug(code, "澶勭悊璧峰浣嶇疆锛歿} 鏈�缁堢函涔伴锛歿}", start_index, buy_num_news)
+ return None, buy_num_news, sure_type
@classmethod
def test(cls):
--
Gitblit v1.8.0