From 7effd6cbe7ba570c91fc47ff3971df6fb686759d Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期三, 30 七月 2025 11:23:51 +0800
Subject: [PATCH] bug修复
---
l2/l2_transaction_data_processor.py | 167 ++++++++++++++++++++++++++++++++++++-------------------
1 files changed, 110 insertions(+), 57 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index 89dbfa3..2a62378 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -33,13 +33,22 @@
class HuaXinTransactionDatasProcessor:
__statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2)
__TradeBuyQueue = transaction_progress.TradeBuyQueue()
+ # 闈炴定鍋滄垚浜ゆ椂闂�
+ __not_limit_up_time_dict = {}
# 璁＄畻鎴愪氦杩涘害
@classmethod
- def __compute_latest_trade_progress(cls, code, fdatas):
+ def __compute_latest_trade_progress(cls, code, fdatas, buy_exec_index=None):
+ """
+ 璁＄畻鐪熷疄涓嬪崟浣嶇疆
+ @param code:
+ @param fdatas:
+ @param buy_exec_index:
+ @return:鐪熷疄涓嬪崟浣嶇疆, 鏄惁鏄繎浼艰绠�
+ """
buyno_map = l2_data_util.local_today_buyno_map.get(code)
if not buyno_map:
- return None
+ return None, False
buy_progress_index = None
for i in range(len(fdatas) - 1, -1, -1):
d = fdatas[i]
@@ -49,7 +58,37 @@
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
+ if buy_progress_index is None and buy_exec_index is not None and buy_exec_index >= 0:
+ # 娌℃湁鎵惧埌鐪熷疄鎴愪氦杩涘害浣嶄笖鏈変拱鍏ユ墽琛屼綅缃�
+ # 鏍规嵁鏈�杩戠殑鎴愪氦涔板崟鍙疯绠楃湡瀹炴垚浜や綅缃�
+ try:
+ latest_buy_order_no = fdatas[-1][0][6]
+ total_datas = l2_data_util.local_today_datas.get(code)
+ if tool.trade_time_sub(total_datas[-1]["val"]["time"], total_datas[buy_exec_index]["val"]["time"]) < 60:
+ # 涓嬪崟60s鍐呮墠杩欐牱璁＄畻
+ # 鍙栨渶鏂扮殑鎴愪氦涔板崟鍙凤紝鍦ㄤ袱涓定鍋滃鎵樹拱涔嬮棿鐨勫悗涓�涓暟鎹�
+ index_1 = None
+ max_index = total_datas[-1]["index"]
+ for i in range(max_index, -1, -1):
+ data = total_datas[i]
+ val = data['val']
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val['orderNo'] < latest_buy_order_no:
+ index_1 = i
+ break
+ if index_1 is not None:
+ for i in range(index_1 + 1, max_index + 1):
+ data = total_datas[i]
+ val = data['val']
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val['orderNo'] > latest_buy_order_no:
+ buy_progress_index = i
+ return buy_progress_index, True
+ except Exception as e:
+ async_log_util.info(logger_debug, f"璁＄畻鐪熷疄鎴愪氦杩涘害浣嶅嚭閿欙細{str(e)}")
+ return buy_progress_index, False
@classmethod
def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo):
@@ -60,9 +99,11 @@
@return:
"""
- @dask.delayed
def statistic_big_buy_data():
+ use_time_list = []
+ __start_time = time.time()
buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price)
+ use_time_list.append((time.time() - __start_time, "涔板崟缁熻"))
if buy_datas:
BigOrderDealManager().add_buy_datas(code, buy_datas)
active_big_buy_orders = []
@@ -72,6 +113,7 @@
# (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)
+ use_time_list.append((time.time() - __start_time, "涔板崟缁熻缁撴灉澶勭悊"))
try:
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
if is_placed_order:
@@ -89,26 +131,40 @@
order_begin_pos.buy_single_index)
except Exception as e:
logger_debug.exception(e)
+ if use_time_list and use_time_list[-1][0] > 0.005:
+ l2_log.info(code, hx_logger_l2_upload,
+ f"涔板崟缁熻+澶勭悊鑰楁椂锛歿use_time_list[-1][0]} 璇︽儏:{use_time_list}")
+
return buy_datas
- @dask.delayed
def statistic_big_sell_data():
+ use_time_list = []
+ __start_time = time.time()
sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas)
if sell_datas:
BigOrderDealManager().add_sell_datas(code, sell_datas)
+ use_time_list.append((time.time() - __start_time, "鍗栧崟缁熻"))
+ if use_time_list and use_time_list[-1][0] > 0.005:
+ l2_log.info(code, hx_logger_l2_upload,
+ f"鍗栧崟缁熻+澶勭悊鑰楁椂锛歿use_time_list[-1][0]} 璇︽儏:{use_time_list}")
return sell_datas
- @dask.delayed
def statistic_big_data(f1_, f2_):
temp_data = f1_, f2_
return temp_data
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
- # 骞惰澶勭悊涔板崟涓庡崠鍗�
- f1 = statistic_big_buy_data()
- f2 = statistic_big_sell_data()
- dask_result = statistic_big_data(f1, f2)
- buy_datas, sell_datas = dask_result.compute()
+
+ if False and len(fdatas) > 100:
+ # 骞惰澶勭悊涔板崟涓庡崠鍗�
+ # 瓒呰繃100鏉℃暟鎹墠闇�瑕佸苟琛屽鐞�
+ f1 = dask.delayed(statistic_big_buy_data)()
+ f2 = dask.delayed(statistic_big_sell_data)()
+ dask_result = dask.delayed(statistic_big_data)(f1, f2)
+ buy_datas, sell_datas = dask_result.compute()
+ else:
+ buy_datas = statistic_big_buy_data()
+ sell_datas = statistic_big_sell_data()
# L鎾ょ殑姣斾緥涓庝拱鍗栧ぇ鍗曟棤鐩存帴鍏崇郴浜�
# if buy_datas or sell_datas:
# buy_money = BigOrderDealManager().get_total_buy_money(code)
@@ -134,16 +190,23 @@
temp_time_dict.clear()
__start_time = time.time()
- limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
# 璁剧疆鎴愪氦浠�
try:
current_price_process_manager.set_trade_price(code, fdatas[-1][0][1])
- if limit_up_price > fdatas[-1][0][1]:
- # 娌℃湁娑ㄥ仠
- EveryLimitupBigDealOrderManager.open_limit_up(code, f"鏈�鏂版垚浜や环锛歿fdatas[-1][0][1]}")
- radical_buy_strategy.clear_data(code)
- except:
- pass
+ if not fdatas[-1][2]:
+ if code not in cls.__not_limit_up_time_dict:
+ cls.__not_limit_up_time_dict[code] = fdatas[-1][5]
+ last_time = cls.__not_limit_up_time_dict[code]
+ # 鐐告澘鏃堕棿鎸佺画500ms浠ヤ笂绠楃偢鏉�
+ if tool.trade_time_sub_with_ms(fdatas[-1][5], last_time) > 500:
+ # 娌℃湁娑ㄥ仠
+ EveryLimitupBigDealOrderManager.open_limit_up(code, f"鏈�鏂版垚浜や环锛歿fdatas[-1][0][1]}")
+ radical_buy_strategy.clear_data(code, msg=f"娌℃湁娑ㄥ仠锛歿fdatas[-1][0]}")
+ else:
+ if code in cls.__not_limit_up_time_dict:
+ cls.__not_limit_up_time_dict.pop(code)
+ except Exception as e:
+ async_log_util.error(logger_debug, f"L2鎴愪氦寮�鏉胯绠楅敊璇細{str(e)}")
total_datas = l2_data_util.local_today_datas.get(code)
use_time_list = []
@@ -171,21 +234,12 @@
_start_time = time.time()
try:
+ last_data = fdatas[-1]
# 缁熻涓婃澘鏃堕棿
- try:
- for d in fdatas:
- if d[1]:
- # 涓诲姩涔�
- if d[2]:
- # 娑ㄥ仠
- current_price_process_manager.set_latest_not_limit_up_time(code, d[5])
- else:
- # 涓诲姩鍗栵紙鏉夸笂锛�
- if d[2]:
- L2LimitUpSellDataManager.clear_data(code)
- break
- except:
- pass
+ if last_data[1] and last_data[2]:
+ current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5])
+ if not last_data[1] and last_data[2]:
+ L2LimitUpSellDataManager.clear_data(code)
big_sell_order_info = None
# 缁熻鍗栧崟
big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas(
@@ -234,16 +288,16 @@
# if big_money_count > 0:
# LCancelRateManager.compute_big_num_deal_rate(code)
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
+ buy_progress_index, is_similar = cls.__compute_latest_trade_progress(code, fdatas,
+ order_begin_pos.buy_exec_index)
if buy_progress_index is not None:
buy_progress_index_changed = 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)
+ l2_log.info(code, logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{} is_similar-{}", code, buy_progress_index, is_similar)
if is_placed_order:
- NewGCancelBigNumComputer().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)
@@ -268,11 +322,10 @@
cancel_type=trade_constant.CANCEL_TYPE_W)
except:
pass
-
- SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
- buy_progress_index)
- HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
- buy_progress_index)
+ # SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
+ # buy_progress_index)
+ # HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
+ # buy_progress_index)
else:
pass
if is_placed_order:
@@ -324,18 +377,19 @@
# 缁熻娑ㄥ仠涓诲姩鍗栨垚浜わ紝涓轰簡F鎾ゅ噯澶囨暟鎹�
HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price)
# 璁＄畻鎴愪氦杩涘害
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
- if buy_progress_index is not None:
+ _buy_progress_index, _is_similar = cls.__compute_latest_trade_progress(code, fdatas,
+ order_begin_pos.buy_exec_index)
+ if _buy_progress_index is not None:
total_datas = l2_data_util.local_today_datas.get(code)
- buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
+ buy_progress_index_changed = 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)
+ async_log_util.info(logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{} similar-{}", code,
+ _buy_progress_index, _is_similar)
if is_placed_order:
LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index,
- buy_progress_index,
+ _buy_progress_index,
total_datas)
- cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index)
+ 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]}",
cancel_type=trade_constant.CANCEL_TYPE_F)
@@ -344,7 +398,7 @@
# =====鏍煎紡鍖栨暟鎹�=====
# 鏁村舰鏁版嵁锛屾牸寮忥細[(鏁版嵁鏈韩, 鏄惁涓诲姩涔�, 鏄惁娑ㄥ仠, 鎬绘垚浜ら, 涓嶅惈ms鏃堕棿锛屽惈ms鏃堕棿)]
use_time_list = []
- __start_time = int(time.time()*1000)
+ __start_time = int(time.time() * 1000)
fdatas = [
[d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', '']
for d in o_datas]
@@ -356,7 +410,7 @@
d[4] = d[5][:8]
temp_time_dict.clear()
_start_time = int(time.time() * 1000)
- use_time_list.append((_start_time - __start_time , "鏁版嵁鏁村舰"))
+ use_time_list.append((_start_time - __start_time, "鏁版嵁鏁村舰"))
try:
@@ -364,7 +418,7 @@
# 璁剧疆鎴愪氦浠�
try:
current_price_process_manager.set_trade_price(code, fdatas[-1][0][1])
- if limit_up_price > fdatas[-1][0][1]:
+ if not fdatas[-1][2]:
# 娌℃湁娑ㄥ仠
EveryLimitupBigDealOrderManager.open_limit_up(code, f"鏈�鏂版垚浜や环锛歿fdatas[-1][0][1]}")
radical_buy_strategy.clear_data(code)
@@ -379,8 +433,7 @@
current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5])
elif not last_data[1] and last_data[2]:
# 娑ㄥ仠涓诲姩鍗�
- if last_data[2]:
- L2LimitUpSellDataManager.clear_data(code)
+ L2LimitUpSellDataManager.clear_data(code)
except:
pass
@@ -395,7 +448,7 @@
_start_time = int(time.time() * 1000)
use_time_list.append((_start_time - __start_time, "澶勭悊娑ㄥ仠鍗�"))
# 鍥炶皟鏁版嵁
- if filter_datas:
+ if filter_datas is not None:
l2_log.info(code, logger_l2_trade, f"鏈�鍚庝竴绗旀定鍋滃崠琚悆锛歿filter_datas[0]}")
data_callback.l2_trade_single_callback.OnLastLimitUpSellDeal(code, filter_datas[0][0])
@@ -404,7 +457,7 @@
# 濡傛灉鏄鍔ㄤ拱灏辨洿鏂版垚浜よ繘搴�
if not fdatas[-1][1]:
- buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
+ buy_progress_index, is_similar = cls.__compute_latest_trade_progress(code, fdatas)
if buy_progress_index is not None:
total_datas = l2_data_util.local_today_datas.get(code)
cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
@@ -423,4 +476,4 @@
_start_time = int(time.time() * 1000)
if _start_time - __start_time > 5:
l2_log.info(code, hx_logger_l2_upload,
- f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿_start_time - __start_time} 鏁版嵁鏁伴噺锛歿len(fdatas)} 璇︽儏:{use_time_list}")
\ No newline at end of file
+ f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿_start_time - __start_time} 鏁版嵁鏁伴噺锛歿len(fdatas)} 璇︽儏:{use_time_list}")
--
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