From 5adedb7c797ad08b7607c56e8255c21609c97000 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 15 四月 2024 00:07:31 +0800
Subject: [PATCH] 新版深证下单完善
---
l2/l2_data_manager_new.py | 240 ++++++++++++++++++++++++++++++++++-------------------------
1 files changed, 139 insertions(+), 101 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 439ba06..28b74f3 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -1,4 +1,5 @@
import logging
+import threading
import time as t
from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \
@@ -19,7 +20,7 @@
from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util
from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
- transaction_progress, cancel_buy_strategy
+ transaction_progress, cancel_buy_strategy, place_order_single_data_manager
from l2.cancel_buy_strategy import SCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
LCancelBigNumComputer, LatestCancelIndexManager, LCancelRateManager, GCancelBigNumComputer
from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
@@ -244,6 +245,9 @@
__MarketSituationManager = MarketSituationManager()
__re_compute_threading_pool = concurrent.futures.ThreadPoolExecutor(max_workers=10)
+ # 涔板叆閿�
+ __buy_lock_dict = {}
+
# 鑾峰彇浠ｇ爜璇勫垎
@classmethod
def get_code_scores(cls):
@@ -325,8 +329,8 @@
limit_up_price = gpcode_manager.get_limit_up_price(code)
if limit_up_price:
limit_up_price = round(float(limit_up_price), 2)
- if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price:
- filter_limit_up_sell = True
+ # if trade_price_info and limit_up_price and trade_price_info[0] == limit_up_price:
+ # filter_limit_up_sell = True
datas = l2_huaxin_util.get_format_l2_datas(code, origin_datas, limit_up_price, _start_index,
filter_limit_up_sell)
__start_time = round(t.time() * 1000)
@@ -399,9 +403,10 @@
try:
for d in add_datas:
if L2DataUtil.is_limit_up_price_sell(d['val']):
- L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell(code,d)
- elif L2DataUtil.is_limit_up_price_sell_cancel(d['val']):
- L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code,d['val']['orderNo'])
+ L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell(code, d)
+ elif L2DataUtil.is_limit_up_price_sell_cancel(d['val']):
+ L2TradeSingleDataProcessor.add_l2_delegate_limit_up_sell_cancel(code,
+ d['val']['orderNo'])
except Exception as e:
logger_debug.exception(e)
except:
@@ -644,89 +649,103 @@
pass
@classmethod
+ def start_buy(cls, code, last_data, last_data_index, is_first_code):
+ cls.__buy(code, 0, last_data, last_data_index, is_first_code)
+
+ @classmethod
def __buy(cls, code, capture_timestamp, last_data, last_data_index, is_first_code):
- __start_time = tool.get_now_timestamp()
- can, need_clear_data, reason = False, False, ""
- if not is_first_code:
- can, need_clear_data, reason = cls.__can_buy(code)
- else:
- can, need_clear_data, reason = cls.__can_buy_first(code)
+ # 娣诲姞涔板叆閿�
+ if code not in cls.__buy_lock_dict:
+ cls.__buy_lock_dict[code] = threading.Lock()
- # __start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "鏈�鍚庡垽鏂槸鍚﹁兘涓嬪崟", force=True)
- # 鍒犻櫎铏氭嫙涓嬪崟
- if code in cls.unreal_buy_dict:
- cls.unreal_buy_dict.pop(code)
+ with cls.__buy_lock_dict[code]:
+ # 鍒ゆ柇鏄惁鍙互涓嬪崟锛屼笉澶勪簬鍙笅鍗曠姸鎬侀渶瑕佽繑鍥�
+ state = cls.__CodesTradeStateManager.get_trade_state_cache(code)
+ if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
+ # 涓嶅浜庡彲涓嬪崟鐘舵��
+ return False
+ __start_time = tool.get_now_timestamp()
+ can, need_clear_data, reason = False, False, ""
+ if not is_first_code:
+ can, need_clear_data, reason = cls.__can_buy(code)
+ else:
+ can, need_clear_data, reason = cls.__can_buy_first(code)
- order_begin_pos = cls.__get_order_begin_pos(
- code)
- if not can:
- l2_log.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
- trade_record_log_util.add_cant_place_order_log(code, reason)
- if need_clear_data:
- trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
- order_begin_pos.buy_exec_index,
- local_today_datas.get(code))
- return False
- else:
- l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
- try:
- l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
- trade_manager.start_buy(code, capture_timestamp, last_data,
- last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
- l2_log.debug(code, "鎵ц涔板叆鎴愬姛")
- ################涓嬪崟鎴愬姛澶勭悊################
- trade_result_manager.real_buy_success(code, cls.__TradePointManager)
- l2_log.debug(code, "澶勭悊涔板叆鎴愬姛1")
- cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
- order_begin_pos.buy_single_index, is_default=True)
- l2_log.debug(code, "澶勭悊涔板叆鎴愬姛2")
- params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc()
- l2_log.debug(code, params_desc)
- ############璁板綍涓嬪崟鏃剁殑鏁版嵁############
+ # __start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - __start_time, "鏈�鍚庡垽鏂槸鍚﹁兘涓嬪崟", force=True)
+ # 鍒犻櫎铏氭嫙涓嬪崟
+ if code in cls.unreal_buy_dict:
+ cls.unreal_buy_dict.pop(code)
+
+ order_begin_pos = cls.__get_order_begin_pos(
+ code)
+ if not can:
+ l2_log.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
+ trade_record_log_util.add_cant_place_order_log(code, reason)
+ if need_clear_data:
+ trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index,
+ local_today_datas.get(code))
+ return False
+ else:
+ l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
try:
- jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
- code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
- if jx_blocks:
- jx_blocks = jx_blocks[0]
- if jx_blocks_by:
- jx_blocks_by = jx_blocks_by[0]
+ l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
+ trade_manager.start_buy(code, capture_timestamp, last_data,
+ last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
+ l2_log.debug(code, "鎵ц涔板叆鎴愬姛")
+ ################涓嬪崟鎴愬姛澶勭悊################
+ trade_result_manager.real_buy_success(code, cls.__TradePointManager)
+ l2_log.debug(code, "澶勭悊涔板叆鎴愬姛1")
+ cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
+ order_begin_pos.buy_single_index, is_default=True)
+ l2_log.debug(code, "澶勭悊涔板叆鎴愬姛2")
+ params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc()
+ l2_log.debug(code, params_desc)
+ ############璁板綍涓嬪崟鏃剁殑鏁版嵁############
+ try:
+ jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
+ code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
+ if jx_blocks:
+ jx_blocks = jx_blocks[0]
+ if jx_blocks_by:
+ jx_blocks_by = jx_blocks_by[0]
- info = cls.__trade_log_placr_order_info_dict[code]
- info.mode = order_begin_pos.mode
- info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
- info.set_sell_info(order_begin_pos.sell_info)
- if jx_blocks:
- info.set_kpl_blocks(list(jx_blocks))
- elif jx_blocks_by:
- info.set_kpl_blocks(list(jx_blocks_by))
- else:
- info.set_kpl_blocks([])
- can_buy_result = CodePlateKeyBuyManager.can_buy(code)
- if can_buy_result:
- if not can_buy_result[0] and can_buy_result[1]:
- info.set_kpl_match_blocks(["鐙嫍"])
- elif not can_buy_result[0] and not can_buy_result[1]:
- info.set_kpl_match_blocks(["闈炵嫭鑻椾笉婊¤冻韬綅"])
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.mode = order_begin_pos.mode
+ info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
+ info.set_sell_info(order_begin_pos.sell_info)
+ if jx_blocks:
+ info.set_kpl_blocks(list(jx_blocks))
+ elif jx_blocks_by:
+ info.set_kpl_blocks(list(jx_blocks_by))
else:
- temps = []
- temps.extend(can_buy_result[0])
- if can_buy_result[5]:
- temps.append(f"婵�杩涗拱鍏ワ細{can_buy_result[5]}")
- info.set_kpl_match_blocks(temps)
- trade_record_log_util.add_place_order_log(code, info)
+ info.set_kpl_blocks([])
+ can_buy_result = CodePlateKeyBuyManager.can_buy(code)
+ if can_buy_result:
+ if not can_buy_result[0] and can_buy_result[1]:
+ info.set_kpl_match_blocks(["鐙嫍"])
+ elif not can_buy_result[0] and not can_buy_result[1]:
+ info.set_kpl_match_blocks(["闈炵嫭鑻椾笉婊¤冻韬綅"])
+ else:
+ temps = []
+ temps.extend(can_buy_result[0])
+ if can_buy_result[5]:
+ temps.append(f"婵�杩涗拱鍏ワ細{can_buy_result[5]}")
+ info.set_kpl_match_blocks(temps)
+ trade_record_log_util.add_place_order_log(code, info)
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"鍔犲叆涔板叆璁板綍鏃ュ織鍑洪敊锛歿str(e)}")
+
+
+
except Exception as e:
- async_log_util.error(logger_l2_error, f"鍔犲叆涔板叆璁板綍鏃ュ織鍑洪敊锛歿str(e)}")
-
-
-
- except Exception as e:
- async_log_util.exception(logger_l2_error, e)
- l2_log.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
- pass
- finally:
- # l2_log.debug(code, "m鍊煎奖鍝嶅洜瀛愶細{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
- pass
- return True
+ async_log_util.exception(logger_l2_error, e)
+ l2_log.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
+ pass
+ finally:
+ # l2_log.debug(code, "m鍊煎奖鍝嶅洜瀛愶細{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
+ pass
+ return True
# 鏄惁鍙互鍙栨秷
@classmethod
@@ -1335,6 +1354,8 @@
order_begin_pos.mode = OrderBeginPosInfo.MODE_ACTIVE
order_begin_pos.sell_info = sell_info
fast_msg = sell_info
+ # 鐢ㄤ簡淇″彿灏卞繀椤绘竻闄ゆ帀鍘熸湁淇″彿
+ place_order_single_data_manager.L2TradeSingleDataManager.clear_data(code)
# if not has_single:
# # 绗簩姝ワ細璁＄畻闂數涓嬪崟淇″彿
@@ -1680,19 +1701,20 @@
if code.find("60") == 0:
threshold_money = 0
else:
- for i in range(start_index - 1, -1, -1):
- val = total_datas[i]["val"]
- if tool.compare_time(val["time"], refer_sell_data[0]) < 0:
- # 灏嗘湰s鐨勮绠椾笂鍘�
- break
- if L2DataUtil.is_sell(val):
- threshold_money += val["num"] * int(float(val["price"]) * 100)
- elif L2DataUtil.is_sell_cancel(val):
- threshold_money -= val["num"] * int(float(val["price"]) * 100)
- elif L2DataUtil.is_buy(val):
- # 鍒ゆ柇浠锋牸锛堝ぇ浜庡崠1锛� 琚拱鍚冩帀
- if round(float(val["price"]), 2) - sell_1_price >= 0:
- threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ pass
+ # for i in range(start_index - 1, -1, -1):
+ # val = total_datas[i]["val"]
+ # if tool.compare_time(val["time"], refer_sell_data[0]) < 0:
+ # # 灏嗘湰s鐨勮绠椾笂鍘�
+ # break
+ # if L2DataUtil.is_sell(val):
+ # threshold_money += val["num"] * int(float(val["price"]) * 100)
+ # elif L2DataUtil.is_sell_cancel(val):
+ # threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ # elif L2DataUtil.is_buy(val):
+ # # 鍒ゆ柇浠锋牸锛堝ぇ浜庡崠1锛� 琚拱鍚冩帀
+ # if round(float(val["price"]), 2) - sell_1_price >= 0:
+ # threshold_money -= val["num"] * int(float(val["price"]) * 100)
# 绗簩姝ワ細璁＄畻璧峰淇″彿
second_930 = 9 * 3600 + 30 * 60 + 0
total_datas = local_today_datas.get(code)
@@ -1712,6 +1734,14 @@
if _val["num"] * float(_val["price"]) < 5000:
continue
if last_index is None or (total_datas[last_index]["val"]["time"] == total_datas[i]["val"]["time"]):
+ single = place_order_single_data_manager.L2TradeSingleDataManager.get_valid_trade_single(code,
+ tool.to_time_with_ms(
+ _val[
+ 'time'],
+ _val[
+ 'tms']))
+ if not single:
+ continue
if start is None:
start = i
last_index = i
@@ -2103,6 +2133,11 @@
trigger_buy = True
# 闂撮殧鏈�澶ф椂闂翠负3s
max_space_time_ms = 3 * 1000
+ if code.find("00") == 0 and threshold_money > 0:
+ # 娣辫瘉闈炴澘涓婃斁閲�
+ max_space_time_ms = 1 * 1000
+ threshold_num = 0
+
# 涓嶄笅鍗曠殑淇℃伅
not_buy_msg = ""
max_buy_num_set = set(max_num_set)
@@ -2121,12 +2156,12 @@
for ii in range(buy_single_index + 1, compute_end_index + 1):
if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
return None, buy_nums, buy_count, ii, threshold_money, max_buy_num_set, f"銆恵i}銆戜俊鍙蜂笉杩炵画锛屽泭鎷椂闂�-{max_space_time_ms}ms"
- if L2DataUtil.is_sell(_val):
- threshold_money += _val["num"] * int(float(_val["price"]) * 100)
- threshold_num = round(threshold_money / (limit_up_price * 100))
- elif L2DataUtil.is_sell_cancel(_val):
- threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
- threshold_num = round(threshold_money / (limit_up_price * 100))
+ # if L2DataUtil.is_sell(_val):
+ # threshold_money += _val["num"] * int(float(_val["price"]) * 100)
+ # threshold_num = round(threshold_money / (limit_up_price * 100))
+ # elif L2DataUtil.is_sell_cancel(_val):
+ # threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
+ # threshold_num = round(threshold_money / (limit_up_price * 100))
# 娑ㄥ仠涔�
elif L2DataUtil.is_limit_up_price_buy(_val):
if l2_data_util.is_big_money(_val):
@@ -2186,6 +2221,9 @@
if threshold_money <= 0:
# 鏉夸笂涓嬪崟闇�瑕佸畨鍏ㄧ瑪鏁�3绗�
safe_count = 3
+ elif code.find("00") == 0:
+ # 娣辫瘉闈炴澘涓婃斁閲�
+ safe_count = 2
if buy_count < safe_count:
not_buy_msg = f"銆恵i}銆戝畨鍏ㄧ瑪鏁颁笉瓒筹紝{buy_count}/{safe_count}"
--
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