From 984e59be6787f06b927d5ec612f443f54e145044 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 13 三月 2025 17:41:30 +0800
Subject: [PATCH] 真实下单位修改/L2成交处理速度提升
---
l2/l2_transaction_data_processor.py | 142 +++++++++++++++++++++++++++++------------------
1 files changed, 88 insertions(+), 54 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index a818747..cf58136 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -1,6 +1,8 @@
import logging
import time
+import dask
+
import constant
from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer
from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager
@@ -32,11 +34,11 @@
# 璁＄畻鎴愪氦杩涘害
@classmethod
- def __compute_latest_trade_progress(cls, code, buyno_map, datas):
+ def __compute_latest_trade_progress(cls, code, buyno_map, fdatas):
buy_progress_index = None
- for i in range(len(datas) - 1, -1, -1):
- d = datas[i]
- buy_no = f"{d[6]}"
+ for i in range(len(fdatas) - 1, -1, -1):
+ d = fdatas[i]
+ buy_no = f"{d[0][6]}"
if buyno_map and buy_no in buyno_map:
# 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"]):
@@ -45,61 +47,94 @@
return buy_progress_index
@classmethod
- def statistic_big_order_infos(cls, code, datas, order_begin_pos: OrderBeginPosInfo):
+ def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo):
"""
缁熻澶у崟鎴愪氦
@param code:
- @param datas:
+ @param fdatas: 鏍煎紡锛歔(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)]
@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 = []
+
+ @dask.delayed
+ def statistic_big_buy_data():
+ buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price)
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)
+ 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 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)
+ if 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)
+ return buy_datas
- sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, datas)
- if sell_datas:
- BigOrderDealManager().add_sell_datas(code, sell_datas)
+ @dask.delayed
+ def statistic_big_sell_data():
+ sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas)
+ if sell_datas:
+ BigOrderDealManager().add_sell_datas(code, sell_datas)
+ 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 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):
+ def process_huaxin_transaction_datas(cls, code, o_datas):
+ # TODO 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)]
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
+ # data['SellNo'], data['ExecType']))
+ fdatas = [
+ [d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', '']
+ for d in o_datas]
+ temp_time_dict = {}
+ for d in fdatas:
+ if d[3] not in temp_time_dict:
+ temp_time_dict[d[3]] = l2_huaxin_util.convert_time(d[3], with_ms=True)
+ d[5] = temp_time_dict.get(d[3])
+ d[4] = d[5][:8]
+ 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, datas[-1][1])
- if limit_up_price > datas[-1][1]:
+ 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datas[-1][1]}")
+ 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
@@ -116,13 +151,13 @@
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
_start_time = time.time()
- L2LimitUpSellDataManager.set_deal_datas(code, datas)
+ L2LimitUpSellDataManager.set_deal_datas(code, fdatas)
use_time_list.append(("缁熻娑ㄥ仠鍗栨垚浜�", time.time() - _start_time))
_start_time = time.time()
# 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)
+ cls.statistic_big_order_infos(code, fdatas, order_begin_pos)
except Exception as e:
async_log_util.error(hx_logger_l2_debug, f"缁熻澶у崟鍑洪敊锛歿str(e)}")
use_time_list.append(("缁熻澶у崟鏁版嵁", time.time() - _start_time))
@@ -132,24 +167,22 @@
try:
# 缁熻涓婃澘鏃堕棿
try:
- for d in datas:
- if d[6] > d[7]:
+ for d in fdatas:
+ if d[1]:
# 涓诲姩涔�
- if d[1] == limit_up_price:
+ if d[2]:
# 娑ㄥ仠
- current_price_process_manager.set_latest_not_limit_up_time(code,
- l2_huaxin_util.convert_time(
- d[3], with_ms=True))
+ 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[1] == limit_up_price:
+ if d[2]:
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)
+ big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, fdatas, limit_up_price)
use_time_list.append(("澶勭悊鍗栧崟鎴愪氦鏁版嵁", time.time() - _start_time))
_start_time = time.time()
@@ -171,10 +204,10 @@
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:
+ if tool.trade_time_sub(tool.get_now_time_str(), fdatas[-1][4]) > 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])}"
+ 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fdatas[-1][4]}"
cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY
if need_cancel:
L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
@@ -183,7 +216,7 @@
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)
+ HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, fdatas, 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}")
@@ -193,7 +226,7 @@
# if big_money_count > 0:
# LCancelRateManager.compute_big_num_deal_rate(code)
- buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, datas)
+ buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, fdatas)
if buy_progress_index is not None:
buy_progress_index_changed = cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
@@ -246,4 +279,5 @@
use_time = int((time.time() - __start_time) * 1000)
if use_time > 5:
l2_log.info(code, 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}")
+ f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time} 鏁版嵁鏁伴噺锛歿len(fdatas)} 璇︽儏:{use_time_list}")
+
--
Gitblit v1.8.0