From 7eb1a8ed1a007d80de41d131071ee38f5872700c Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 07 二月 2025 14:26:37 +0800
Subject: [PATCH] 辨识度票策略修改/恢复P撤/上传订阅涨幅
---
l2/l2_transaction_data_processor.py | 185 ++++++++++++++++++++++++++++++++++++---------
1 files changed, 146 insertions(+), 39 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index f19199e..fd6f162 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -1,20 +1,33 @@
import logging
import time
+import constant
+from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer
+from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager
+from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer
from code_attribute import gpcode_manager
from l2 import l2_data_util, l2_data_manager, transaction_progress
-from l2.cancel_buy_strategy import FCancelBigNumComputer, LCancelBigNumComputer, LCancelRateManager, \
- GCancelBigNumComputer, SCancelBigNumComputer, HourCancelBigNumComputer
+from l2.cancel_buy_strategy import FCancelBigNumComputer, \
+ NewGCancelBigNumComputer, \
+ NBCancelBigNumComputer
+from l2.huaxin import l2_huaxin_util
+from l2.l2_data_manager import OrderBeginPosInfo
from l2.l2_data_manager_new import L2TradeDataProcessor
from l2.l2_data_util import L2DataUtil
-from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager
+from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
+from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
from log_module import async_log_util
from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload
-from trade import current_price_process_manager
-from trade.deal_big_money_manager import DealOrderNoManager
+from trade import current_price_process_manager, trade_constant
+import concurrent.futures
+
+from trade.buy_radical import radical_buy_strategy
+from trade.buy_radical.radical_buy_data_manager import RadicalBuyDataManager, EveryLimitupBigDealOrderManager
+from utils import tool
class HuaXinTransactionDatasProcessor:
+ __statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2)
__TradeBuyQueue = transaction_progress.TradeBuyQueue()
# 璁＄畻鎴愪氦杩涘害
@@ -25,15 +38,72 @@
d = datas[i]
buy_no = f"{d[6]}"
if buyno_map and buy_no in buyno_map:
- buy_progress_index = buyno_map[buy_no]["index"]
+ # 鎴愪氦杩涘害浣嶅繀椤绘槸娑ㄥ仠涔�
+ if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]):
+ buy_progress_index = buyno_map[buy_no]["index"]
break
return buy_progress_index
@classmethod
+ def statistic_big_order_infos(cls, code, datas, order_begin_pos: OrderBeginPosInfo):
+ """
+ 缁熻澶у崟鎴愪氦
+ @param code:
+ @param datas:
+ @return:
+ """
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, datas, limit_up_price)
+ if buy_datas:
+ BigOrderDealManager().add_buy_datas(code, buy_datas)
+ active_big_buy_orders = []
+ if buy_datas:
+ for x in buy_datas:
+ if x[0] > x[6]:
+ # (涔板崟鍙�, 鎴愪氦閲戦, 鏈�鍚庢垚浜ゆ椂闂�)
+ active_big_buy_orders.append((x[0], x[2], x[4]))
+ EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders)
+ try:
+ is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
+ if is_placed_order:
+ if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL:
+ RadicalBuyDataManager.big_order_deal(code)
+
+ if is_placed_order and bigger_buy_datas:
+ # 鏈夊ぇ浜�50w鐨勫ぇ鍗曟垚浜�
+ buyno_map = l2_data_util.local_today_buyno_map.get(code)
+ if buyno_map:
+ for buy_data in bigger_buy_datas:
+ order_no = f"{buy_data[0]}"
+ if order_no in buyno_map:
+ LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"],
+ order_begin_pos.buy_single_index)
+ except Exception as e:
+ logger_debug.exception(e)
+
+ sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, datas)
+ if sell_datas:
+ BigOrderDealManager().add_sell_datas(code, sell_datas)
+
+ if buy_datas or sell_datas:
+ buy_money = BigOrderDealManager().get_total_buy_money(code)
+ sell_money = BigOrderDealManager().get_total_sell_money(code)
+ LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money)
+
+ @classmethod
def process_huaxin_transaction_datas(cls, code, datas):
__start_time = time.time()
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
# 璁剧疆鎴愪氦浠�
- current_price_process_manager.set_trade_price(code, datas[-1][1])
+ try:
+ current_price_process_manager.set_trade_price(code, datas[-1][1])
+ if limit_up_price > datas[-1][1]:
+ # 娌℃湁娑ㄥ仠
+ EveryLimitupBigDealOrderManager.open_limit_up(code)
+ radical_buy_strategy.clear_data(code)
+ except:
+ pass
+
total_datas = l2_data_util.local_today_datas.get(code)
use_time_list = []
try:
@@ -45,59 +115,77 @@
# 鏄惁宸茬粡涓嬪崟
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
+ _start_time = time.time()
+ L2LimitUpSellDataManager.set_deal_datas(code, datas)
+ # 澶у崟缁熻
+ # cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
+ try:
+ cls.statistic_big_order_infos(code, datas, order_begin_pos)
+ except Exception as e:
+ hx_logger_l2_debug.error(f"缁熻澶у崟鍑洪敊锛歿str(e)}")
+ use_time_list.append(("缁熻涔板崟鏁版嵁", time.time() - _start_time))
+ _start_time = time.time()
+
big_sell_order_info = None
try:
- limit_up_price = gpcode_manager.get_limit_up_price(code)
- if limit_up_price:
- limit_up_price = round(float(limit_up_price), 2)
+ # 缁熻涓婃澘鏃堕棿
+ try:
+ for d in datas:
+ if d[6] > d[7]:
+ # 涓诲姩涔�
+ if d[1] == limit_up_price:
+ # 娑ㄥ仠
+ current_price_process_manager.set_latest_not_limit_up_time(code,
+ l2_huaxin_util.convert_time(
+ d[3], with_ms=True))
+ else:
+ # 涓诲姩鍗栵紙鏉夸笂锛�
+ if d[1] == limit_up_price:
+ L2LimitUpSellDataManager.clear_data(code)
+ break
+ except:
+ pass
+
# 缁熻鍗栧崟
big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas, limit_up_price)
_start_time = time.time()
use_time_list.append(("澶勭悊鍗栧崟鎴愪氦鏁版嵁", _start_time - __start_time))
if is_placed_order:
+
need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,
big_sell_order_info,
order_begin_pos)
+ cancel_type = None
if need_cancel:
cancel_msg = f"S鎾�:{cancel_msg}"
+ cancel_type = trade_constant.CANCEL_TYPE_S
if not need_cancel:
- need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code, big_sell_order_info,
+ need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
order_begin_pos)
+ cancel_type = trade_constant.CANCEL_TYPE_P
+ # 鍒ゆ柇鏃堕棿鏄惁涓庢湰鍦版椂闂寸浉宸�5s浠ヤ笂
+ if tool.trade_time_sub(tool.get_now_time_str(), l2_huaxin_util.convert_time(datas[-1][3])) > 10:
+ now_seconds = int(tool.get_now_time_str().replace(":", ""))
+ if now_seconds < int("093100"): # or int("130000") <= now_seconds < int("130200"):
+ need_cancel, cancel_msg = True, f"鎴愪氦鏃堕棿涓庢湰鍦版椂闂寸浉宸�10S浠ヤ笂锛寋l2_huaxin_util.convert_time(datas[-1][3])}"
+ cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY
if need_cancel:
- L2TradeDataProcessor.cancel_buy(code, cancel_msg)
+ L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
# GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
use_time_list.append(("澶勭悊鍗栧崟鐩稿叧鎾ゆ暟鎹�", time.time() - _start_time))
_start_time = time.time()
+ # 缁熻娑ㄥ仠鍗栨垚浜�
+ HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas, limit_up_price)
+ use_time_list.append(("缁熻鎴愪氦閲忔暟鎹�", time.time() - _start_time))
except Exception as e:
async_log_util.error(logger_debug, f"鍗栧崟缁熻寮傚父锛歿big_sell_order_info}")
logger_debug.exception(e)
_start_time = time.time()
- # 璁＄畻宸茬粡鎴愪氦鐨勫ぇ鍗�
- big_money_count = 0
- for d in datas:
- data = buyno_map.get(f"{d[6]}")
- buy_num = None
- if data:
- buy_num = data["val"]["num"] * 100
- # 缁熻鎴愪氦鍗�
- deal_info = HuaXinBuyOrderManager.statistic_deal_desc(code, d, buy_num)
- if deal_info and deal_info[1]:
- data = buyno_map.get(f"{deal_info[0]}")
- print("宸茬粡鎴愪氦绱㈠紩锛�", data["index"])
- val = data["val"]
- if l2_data_util.is_big_money(val) and L2DataUtil.is_limit_up_price_buy(val):
- big_money_count += 1
- DealOrderNoManager().add_orderno(code, f"{deal_info[0]}")
- # L鍚庢槸鍚︽湁鎴愪氦锛屽鏋滄湁鎴愪氦灏遍渶瑕侀櫎鍘诲綋鍓嶇瑪鏁帮紝鐒跺悗閲嶆柊鍥婃嫭涓�绗�
- LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index)
-
- use_time_list.append(("缁熻涔板崟鏁版嵁", time.time() - _start_time))
- _start_time = time.time()
- if big_money_count > 0:
- LCancelRateManager.compute_big_num_deal_rate(code)
+ # if big_money_count > 0:
+ # LCancelRateManager.compute_big_num_deal_rate(code)
buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, datas)
@@ -107,14 +195,32 @@
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)
if is_placed_order:
- GCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
- buy_progress_index)
+ NewGCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
+ buy_progress_index)
LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
buy_progress_index,
total_datas)
cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
if cancel_result[0]:
- L2TradeDataProcessor.cancel_buy(code, f"F鎾�:{cancel_result[1]}")
+ L2TradeDataProcessor.cancel_buy(code, f"F鎾�:{cancel_result[1]}",
+ cancel_type=trade_constant.CANCEL_TYPE_F)
+ if not cancel_result[0]:
+ try:
+ cancel_result = NBCancelBigNumComputer().need_cancel(code, buy_progress_index)
+ if cancel_result[0]:
+ L2TradeDataProcessor.cancel_buy(code, f"澶у競鍊兼棤澶у崟鎾�:{cancel_result[1]}",
+ cancel_type=trade_constant.CANCEL_TYPE_NB)
+ except:
+ pass
+
+ if not cancel_result[0] and buy_progress_index_changed:
+ try:
+ cancel_result = FCancelBigNumComputer().need_cancel_for_w(code)
+ if cancel_result[0]:
+ L2TradeDataProcessor.cancel_buy(code, f"W鎾�:{cancel_result[1]}",
+ cancel_type=trade_constant.CANCEL_TYPE_W)
+ except:
+ pass
SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
buy_progress_index)
@@ -133,4 +239,5 @@
finally:
use_time = int((time.time() - __start_time) * 1000)
if use_time > 5:
- async_log_util.info(hx_logger_l2_upload, f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time} 璇︽儏:{use_time_list}")
+ async_log_util.info(hx_logger_l2_upload,
+ f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time} 鏁版嵁鏁伴噺锛歿len(datas)} 璇︽儏:{use_time_list}")
--
Gitblit v1.8.0