From 5ae8b19fdc000fc719f3ad45fa5f7462fdbffbdf Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 20 九月 2022 18:46:10 +0800
Subject: [PATCH] l2数据计算优化
---
l2_data_manager.py | 247 +++++++++++++++++++++++++++++--------------------
1 files changed, 146 insertions(+), 101 deletions(-)
diff --git a/l2_data_manager.py b/l2_data_manager.py
index dd7890c..f04ee18 100644
--- a/l2_data_manager.py
+++ b/l2_data_manager.py
@@ -1,6 +1,9 @@
import decimal
import json
+import logging
import os
+import random
+import threading
import time as t
from datetime import datetime
@@ -15,7 +18,7 @@
import redis_manager
import tool
import trade_manager
-from log import logger_l2_trade
+from log import logger_l2_trade, logger_l2_trade_cancel
from trade_data_manager import TradeBuyDataManager
_redisManager = redis_manager.RedisManager(1)
@@ -67,21 +70,26 @@
_key = "buy_compute_index_info-{}".format(code)
_data_json = redis.get(_key)
if _data_json is None:
- return None, 0, None
+ return None, None, None, 0
_data = json.loads(_data_json)
- return _data[0], _data[1], _data[2]
+ return _data[0], _data[1], _data[2], _data[3]
# 璁剧疆涔板叆鐐圭殑鍊�
+ # buy_single_index 涔板叆淇″彿浣�
+ # buy_exec_index 涔板叆鎵ц浣�
+ # compute_index 璁＄畻浣嶇疆
+ # nums 绱绾拱棰�
@staticmethod
- def set_buy_compute_start_data(code, nums, compute_index, buy_index):
+ def set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, nums):
redis = TradePointManager.__get_redis()
expire = tool.get_expire()
_key = "buy_compute_index_info-{}".format(code)
- if buy_index is not None:
- redis.setex(_key, expire, json.dumps((buy_index, nums, compute_index)))
+ if buy_single_index is not None:
+ redis.setex(_key, expire, json.dumps((buy_single_index, buy_exec_index, compute_index, nums)))
else:
- _buy_index, _nums, _compute_index = TradePointManager.get_buy_compute_start_data(code)
- redis.setex(_key, expire, json.dumps((_buy_index, nums, compute_index)))
+ _buy_single_index, _buy_exec_index, _compute_index, _nums = TradePointManager.get_buy_compute_start_data(
+ code)
+ redis.setex(_key, expire, json.dumps((_buy_single_index, buy_exec_index, compute_index, nums)))
# 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�
@@ -161,12 +169,6 @@
# 璁＄畻淇濈暀鐨勬椂闂�
expire = tool.get_expire()
- start_index = redis_instance.get("l2-maxindex-{}".format(code))
- if start_index is None:
- start_index = -1
- else:
- start_index = int(start_index)
- max_index = start_index
i = 0
for _data in datas:
i += 1
@@ -174,20 +176,20 @@
value = redis_instance.get(key)
if value is None:
# 鏂板
- max_index = start_index + i
- value = {"index": start_index + i, "re": _data["re"]}
- redis_instance.setex(key, expire, json.dumps(value))
+ try:
+ value = {"index": _data["index"], "re": _data["re"]}
+ redis_instance.setex(key, expire, json.dumps(value))
+ except:
+ logging.error("鏇存L2鏁版嵁鍑洪敊锛歿} key:{}".format(code, key))
else:
json_value = json.loads(value)
if json_value["re"] != _data["re"]:
json_value["re"] = _data["re"]
redis_instance.setex(key, expire, json.dumps(json_value))
-
- redis_instance.setex("l2-maxindex-{}".format(code), expire, max_index)
finally:
redis_instance.delete("l2-save-{}".format(code))
- print("淇濆瓨鏂版暟鎹敤鏃讹細", msg, round(t.time() * 1000) - start_time)
+ print("淇濆瓨鏂版暟鎹敤鏃讹細", msg, "鑰楁椂锛歿}".format(round(t.time() * 1000) - start_time))
return datas
@@ -231,8 +233,8 @@
@classmethod
def is_same_time(cls, time1, time2):
# TODO 娴嬭瘯
- # if 1 > 0:
- # return True
+ if global_util.TEST:
+ return True
time1_s = time1.split(":")
time1_second = int(time1_s[0]) * 3600 + int(time1_s[1]) * 60 + int(time1_s[2])
time2_s = time2.split(":")
@@ -251,10 +253,11 @@
__latest_datas = local_latest_datas.get(code)
if __latest_datas is not None and len(__latest_datas) > 0:
last_key = __latest_datas[-1]["key"]
+
count = 0
start_index = -1
# 濡傛灉鍘熸潵娌℃湁鏁版嵁
- # TODO 璁剧疆add_data鐨勫簭鍙�
+ # 璁剧疆add_data鐨勫簭鍙�
for n in reversed(datas):
count += 1
if n["key"] == last_key:
@@ -283,7 +286,8 @@
save_list = []
for data in _datas:
for _ldata in latest_data:
- if _ldata["key"] == data["key"] and _ldata["re"] != data["re"]:
+ # 鏂版暟鎹潯鏁版瘮鏃ф暟鎹鎵嶄繚瀛�
+ if _ldata["key"] == data["key"] and _ldata["re"] < data["re"]:
max_re = max(_ldata["re"], data["re"])
_ldata["re"] = max_re
data["re"] = max_re
@@ -291,6 +295,7 @@
save_list.append(_ldata)
if len(save_list) > 0:
saveL2Data(code, save_list, "淇濆瓨绾犳鏁版嵁")
+ local_latest_datas[code] = latest_data
return _datas
# 澶勭悊l2鏁版嵁
@@ -330,12 +335,13 @@
return datas
@classmethod
- def get_time_as_second(time_str):
+ def get_time_as_second(cls, time_str):
ts = time_str.split(":")
return int(ts[0]) * 3600 + int(ts[1]) * 60 + int(ts[2])
# 鏄惁鏄定鍋滀环涔�
- def is_limit_up_price_buy(val):
+ @classmethod
+ def is_limit_up_price_buy(cls, val):
if int(val["limitPrice"]) != 1:
return False
@@ -349,7 +355,8 @@
return True
# 鏄惁娑ㄥ仠涔版挙
- def is_limit_up_price_buy_cancel(val):
+ @classmethod
+ def is_limit_up_price_buy_cancel(cls, val):
if int(val["limitPrice"]) != 1:
return False
@@ -371,14 +378,31 @@
# L2浜ゆ槗鏁版嵁澶勭悊鍣�
+# 涓�浜涘父瑙佺殑姒傚康锛�
+# 涔板叆淇″彿浣嶇疆(鍑虹幇涓嬪崟淇″彿鐨勭涓�鏉℃暟鎹殑浣嶇疆)锛歜uy_single_index
+# 涔板叆鎵ц浣嶇疆锛堢鍚堜笅鍗曚俊鍙风殑鏈�鍚庝竴鏉℃暟鎹級锛歜uy_exec_index
+# 璁＄畻浣嶇疆锛堝綋鍓嶈绠楃殑鏁翠釜璁＄畻鐨勪綅缃級锛歝ompute_index
+#
+
class L2TradeDataProcessor:
unreal_buy_dict = {}
+ random_key = {}
+
+ @classmethod
+ def debug(cls, code, content, *args):
+ logger_l2_trade.debug(("thread-id={} code={} ".format(cls.random_key[code], code) + content).format(*args))
+
+ @classmethod
+ def cancel_debug(cls, code, content, *args):
+ logger_l2_trade_cancel.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�
def process(cls, code, datas, capture_timestamp):
+ cls.random_key[code] = random.randint(0, 100000)
now_time_str = datetime.now().strftime("%H:%M:%S")
__start_time = round(t.time() * 1000)
try:
@@ -393,7 +417,7 @@
datas = L2DataUtil.correct_data(code, datas)
_start_index = 0
if local_today_datas.get(code) is not None and len(local_today_datas[code]) > 0:
- _start_index = local_today_datas[code][-1]["index"]
+ _start_index = local_today_datas[code][-1]["index"] + 1
add_datas = L2DataUtil.get_add_data(code, datas, _start_index)
if len(add_datas) > 0:
# 鎷兼帴鏁版嵁
@@ -415,7 +439,7 @@
state = trade_manager.get_trade_state(code)
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER:
# 宸叉寕鍗�
- cls.__process_order(code, len(total_datas) - len(add_datas) - 3)
+ cls.__process_order(code, len(total_datas) - len(add_datas) - 3, capture_timestamp)
else:
# 鏈寕鍗�
cls.__process_not_order(code, add_datas, capture_timestamp)
@@ -451,20 +475,30 @@
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)
- buy_index, buy_num = cls.__get_order_begin_pos(code)
+ 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, start_index, 3)
- buy_num_for_cancel = 0
- computed_index = buy_index
+ 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:
# 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, computed_index, buy_num_for_cancel, threshold_money,
+ 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�,缁堟鎵ц
- pass
+ # 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
# 寮�濮嬭绠楁挙鐨勪俊鍙�
@classmethod
@@ -474,30 +508,27 @@
origin_num, threshold_money)
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,
+ total_datas[computed_index])
# 鍙戝嚭鎾や拱淇″彿锛岄渶瑕佹挙涔�
if cls.unreal_buy_dict.get(code) is not None:
# 鏈夎櫄鎷熶笅鍗�
+ cls.debug(code, "涔嬪墠鏈夎櫄鎷熶笅鍗曪紝鎵ц铏氭嫙鎾や拱")
# 鍒犻櫎铏氭嫙涓嬪崟鏍囪
cls.unreal_buy_dict.pop(code)
# 鍒犻櫎涓嬪崟鏍囪浣嶇疆
TradePointManager.delete_buy_point(code)
else:
# 鏃犺櫄鎷熶笅鍗曪紝闇�瑕佹墽琛屾挙鍗�
- logger_l2_trade.info(
- "鎵ц鎾ら攢锛歿} - {}".format(code, json.dumps(total_datas[computed_index])))
- try:
- trade_manager.start_cancel_buy(code)
- # 鍙栨秷涔板叆鏍囪瘑
- TradePointManager.delete_buy_point(code)
- TradePointManager.delete_buy_cancel_point(code)
- except Exception as e:
- pass
+ cls.debug(code, "涔嬪墠鏃犺櫄鎷熶笅鍗曪紝鎵ц鐪熷疄鎾ゅ崟")
+ cls.__cancel_buy(code)
if computed_index < len(local_today_datas[code]) - 1:
# 鏁版嵁灏氭湭澶勭悊瀹�,閲嶆柊杩涘叆涓嬪崟璁＄畻娴佺▼
- cls.__start_compute_buy(code, computed_index + 1, 0, threshold_money, capture_time)
+ 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)
@@ -506,6 +537,7 @@
if unreal_buy_info is not None:
# 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.debug(code, "鏃犳挙鍗曟墽琛屼俊鍙凤紝鏈夎櫄鎷熶笅鍗曪紝鎵ц鐪熷疄涓嬪崟")
cls.__buy(code, unreal_buy_info[1], total_datas[unreal_buy_info[0]],
unreal_buy_info[0])
pass
@@ -515,66 +547,85 @@
@classmethod
def __buy(cls, code, capture_timestamp, last_data, last_data_index):
- logger_l2_trade.info(
- "鎵ц涔板叆锛歿} ".format(code))
+ cls.debug(code, "寮�濮嬫墽琛屼拱鍏�")
try:
trade_manager.start_buy(code, capture_timestamp, last_data,
last_data_index)
TradePointManager.delete_buy_cancel_point(code)
+ cls.debug(code, "鎵ц涔板叆鎴愬姛")
except Exception as e:
+ cls.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
pass
+
+ @classmethod
+ def __cancel_buy(cls, code):
+ try:
+ cls.debug(code, "寮�濮嬫墽琛屾挙鍗�")
+ trade_manager.start_cancel_buy(code)
+ # 鍙栨秷涔板叆鏍囪瘑
+ TradePointManager.delete_buy_point(code)
+ TradePointManager.delete_buy_cancel_point(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))
@classmethod
def __start_compute_buy(cls, code, compute_start_index, threshold_money, capture_time):
total_datas = local_today_datas[code]
# 鑾峰彇涔板叆淇″彿璁＄畻璧峰浣嶇疆
- index, num = cls.__get_order_begin_pos(code)
+ # index, num, finish_index = cls.__get_order_begin_pos(code)
+ buy_single_index, buy_exec_index, buy_compute_index, num = cls.__get_order_begin_pos(code)
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
new_get_pos = False
- if index is None:
+ if buy_single_index is None:
# 鏈変拱鍏ヤ俊鍙�
- has_single, _index = cls.__compute_order_begin_pos(code, len(total_datas) - compute_start_index, 3)
- index = _index
+ has_single, _index = cls.__compute_order_begin_pos(code, max(compute_start_index - 3, 0), 3)
+ buy_single_index = _index
if has_single:
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])
- if index is None:
+ 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, compute_start_index, num, threshold_money)
+ compute_index, buy_nums = 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])
# 璁板綍涔板叆淇″彿浣嶇疆
- cls.__save_order_begin_data(code, compute_index, buy_nums, index)
+ 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)
# 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)
# 鏁版嵁宸茬粡澶勭悊瀹屾瘯锛屼笅鍗�
cls.__buy(code, capture_time, total_datas[compute_index], compute_index)
else:
# 鏁版嵁灏氭湭澶勭悊瀹屾瘯锛岃繘琛屼笅涓�姝ュ鐞�
+ cls.debug(code, "鏁版嵁灏氭湭澶勭悊瀹屾瘯锛岃繘琛屼笅涓�姝ュ鐞嗭紝澶勭悊杩涘害锛歿}", compute_index)
cls.__process_order(code, compute_index + 1, capture_time)
else:
# 鏈揪鍒颁笅鍗曟潯浠讹紝淇濆瓨绾拱棰濓紝璁剧疆绾拱棰�
# 璁板綍涔板叆淇″彿浣嶇疆
- cls.__save_order_begin_data(code, len(total_datas) - 1, buy_nums, index)
+ cls.__save_order_begin_data(code, buy_single_index, -1, len(total_datas) - 1, buy_nums)
pass
# 鑾峰彇涓嬪崟璧峰淇″彿
@classmethod
def __get_order_begin_pos(cls, code):
- index, num, compute_index = TradePointManager.get_buy_compute_start_data(code)
- return index, num
+ buy_single_index, buy_exec_index, compute_index, num = TradePointManager.get_buy_compute_start_data(code)
+ return buy_single_index, buy_exec_index, compute_index, num
@classmethod
- def __save_order_begin_data(self, code, compute_index, num, buy_index=None):
- TradePointManager.set_buy_compute_start_data(code, num, compute_index, buy_index)
+ 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
@@ -587,18 +638,13 @@
# 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
- def __compute_order_begin_pos(self, code, compute_data_count, continue_count):
+ @classmethod
+ def __compute_order_begin_pos(cls, code, start_index, continue_count):
# 鍊掓暟100鏉℃暟鎹煡璇�
datas = local_today_datas[code]
__len = len(datas)
- if __len < continue_count:
- return None
- start_index = 0
- if compute_data_count > __len:
- compute_data_count = __len
-
- if __len > compute_data_count:
- start_index = __len - compute_data_count
+ if len(datas) - start_index < continue_count:
+ return False, None
__time = None
_limit_up_count_1s = 0
_limit_up_count_1s_start_index = -1
@@ -634,7 +680,7 @@
# index_3 = j
if index_1 - index_0 == 1 and index_2 - index_1 == 1: # and index_3 - index_2 == 1
logger_l2_trade.info("鎵惧埌鐗╃悊杩炵画娑ㄥ仠涔� {},{},{}".format(code, i, datas[i]))
- return i
+ return True, i
# 鍚�1s鍐呮湁涓嶈繛缁殑4涓定鍋滀拱锛堝鏋滈亣涔版挙灏遍噸鏂拌绠楋紝涓棿鍙棿闅斾笉娑ㄥ仠涔帮級鏍囪璁＄畻璧峰鐐�
if L2DataUtil.is_limit_up_price_buy(_val):
# 娑ㄥ仠涔�
@@ -656,9 +702,9 @@
if _limit_up_count_1s >= 4 and _limit_up_count_1s_start_index > -1:
logger_l2_trade.info("鎵惧埌鍚屼竴绉掕繛缁定鍋滀拱 {},{},{}".format(code, _limit_up_count_1s_start_index, datas[i]))
- return _limit_up_count_1s_start_index
+ return True, _limit_up_count_1s_start_index
- return None
+ return False, None
# 鏄惁鏈夋挙閿�淇″彿
@classmethod
@@ -701,8 +747,9 @@
def __unreal_order(self):
pass
+ @classmethod
def __get_threshmoney(cls, code):
- l2_trade_factor.L2TradeFactorUtil.compute_m_value(code)
+ return l2_trade_factor.L2TradeFactorUtil.compute_m_value(code)
# 鑾峰彇棰勪及鎸備拱浣�
@classmethod
@@ -760,6 +807,7 @@
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)
for i in range(start_index, len(total_datas)):
data = total_datas[i]
_val = data["val"]
@@ -774,22 +822,40 @@
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
# 娑ㄥ仠鎾や拱
# 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(data, total_datas)
+ buy_index, buy_data = l2_data_util.get_buy_data_with_cancel_data(data,
+ 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 < sure_pos:
buy_nums -= int(_val["num"]) * int(data["re"])
- elif sure_data["val"]["time"] == _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.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)
+ 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"]:
+ # 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.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:
- # TODO 鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�
- pass
+ # 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)
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:
return i, buy_nums + property_buy_num, sure_type
return None, buy_nums + round(property_buy_num_count * same_time_property), sure_type
+
+ @classmethod
+ def test(cls):
+ code = "002336"
+ cls.random_key[code] = random.randint(0, 100000)
+ load_l2_data(code)
+ try:
+ # cls.__sum_buy_num_for_cancel_order(code, 112, 100000, 10000000)
+ has_single, _index = cls.__compute_order_begin_pos(code, max(9, 0), 3)
+ print(has_single, _index)
+ except Exception as e:
+ logging.exception(e)
def __get_time_second(time_str):
@@ -1037,25 +1103,4 @@
if __name__ == "__main__":
- code = "000868"
- local_today_datas.setdefault(code, [])
- path = "C:/Users/Administrator/Desktop/demo/000868/"
- for file_name in os.listdir(path):
- p = "{}{}".format(path, file_name)
- f = open(p)
- for line in f.readlines(): # 渚濇璇诲彇姣忚
- line = line.strip()
- data = json.loads(line)
- result = L2DataUtil.format_l2_data(data, code, 10.00)
- add_datas = L2DataUtil.get_add_data(code, result)
- print("澧炲姞鐨勬暟閲忥細", len(add_datas))
- if len(add_datas) > 0:
- # 鎷兼帴鏁版嵁
- local_today_datas[code].extend(add_datas)
- if code in local_latest_datas:
- local_latest_datas[code] = result
- else:
- local_latest_datas.setdefault(code, result)
- f.close()
- for d in local_today_datas[code]:
- print(d["val"]["time"], d["val"]["num"], d["val"]["operateType"], d["re"])
+ L2TradeDataProcessor.test()
--
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