From a9681c7b03a6fde559bf77ef65917d6d4db5d84c Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 17 七月 2023 13:22:57 +0800
Subject: [PATCH] 华鑫适配
---
trade/trade_result_manager.py | 11 ++-
l2/huaxin/huaxin_delegate_postion_manager.py | 47 +++++++++++++++
trade/trade_manager.py | 2
trade/huaxin/trade_server.py | 31 ++++++++-
trade/trade_huaxin.py | 19 +++---
trade/huaxin/huaxin_trade_api.py | 8 ++
l2/cancel_buy_strategy.py | 19 +++++
l2/l2_data_manager_new.py | 11 ++-
8 files changed, 122 insertions(+), 26 deletions(-)
diff --git a/l2/cancel_buy_strategy.py b/l2/cancel_buy_strategy.py
index 01f9b10..19efcbf 100644
--- a/l2/cancel_buy_strategy.py
+++ b/l2/cancel_buy_strategy.py
@@ -674,12 +674,23 @@
return int(val)
return None
+ @classmethod
+ def clear(cls, code=None):
+ if code:
+ cls.__getRedis().delete(f"d_cancel_real_order_index-{code}")
+ else:
+ keys = cls.__getRedis().keys("d_cancel_real_order_index-*")
+ if keys:
+ for k in keys:
+ cls.__getRedis().delete(k)
+
# 璁剧疆鎴愪氦浣�
@classmethod
def set_trade_progress(cls, code, index, buy_exec_index, total_data, local_today_num_operate_map, m_value,
limit_up_price):
# 绂讳笅鍗曟墽琛屼綅2鍒嗛挓鍐呯殑鏈夋晥
- if tool.trade_time_sub(total_data[-1]['val']['time'], total_data[buy_exec_index]['val']['time']) > constant.D_CANCEL_EXPIRE_TIME:
+ if tool.trade_time_sub(total_data[-1]['val']['time'],
+ total_data[buy_exec_index]['val']['time']) > constant.D_CANCEL_EXPIRE_TIME:
return False, "瓒呰繃D鎾ゅ畧鎶ゆ椂闂�"
real_order_index = cls.__get_real_order_index(code)
@@ -709,7 +720,11 @@
# 璁剧疆鐪熷疄鐨勪笅鍗曚綅缃�
@classmethod
def set_real_order_index(cls, code, index):
- pass
+ cls.__set_real_order_index(code, index)
+
+ @classmethod
+ def cancel_success(cls, code):
+ cls.clear(code)
# ---------------------------------L鎾�-------------------------------
diff --git a/l2/huaxin/huaxin_delegate_postion_manager.py b/l2/huaxin/huaxin_delegate_postion_manager.py
new file mode 100644
index 0000000..e45245f
--- /dev/null
+++ b/l2/huaxin/huaxin_delegate_postion_manager.py
@@ -0,0 +1,47 @@
+"""
+鍗庨懌濮旀墭瀹為檯浣嶇疆绠＄悊
+"""
+import time
+
+from log_module.log import hx_logger_trade_debug
+
+_place_order_info_dict = {}
+
+
+# 涓嬪崟
+def place_order(code, price, volume, exec_index):
+ _place_order_info_dict[code] = (price, volume, exec_index, time.time())
+
+
+# 鑾峰彇涓嬪崟淇℃伅
+def get_order_info(code):
+ info = _place_order_info_dict.get(code)
+ if info and time.time() - info[3] > 3:
+ # 闂撮殧3s浠ヤ笂灏辨棤鏁堜簡
+ info = None
+ _place_order_info_dict.pop(code)
+ return info
+
+
+# L2鏁版嵁鍒楄〃
+def get_l2_place_order_position(code, datas):
+ order_info = get_order_info(code)
+ if not order_info:
+ # 鏆傛棤涓嬪崟淇℃伅
+ return None
+ price = order_info[0]
+ volume = order_info[1]
+ exec_index = order_info[2]
+ # 鑾峰彇閲�
+ for d in datas:
+ if d["val"]["num"] != volume:
+ continue
+ if abs(float(price) - float(d["val"]["price"])) >= 0.01:
+ continue
+ # 涓嶅彲鑳芥瘮涓嬪崟鎵ц浣嶇疆杩樻棭
+ if d["index"] <= exec_index:
+ continue
+ # 鑾峰彇鍒颁簡涓嬪崟浣嶇疆
+ hx_logger_trade_debug.info(f"鐪熷疄涓嬪崟浣嶇疆锛歿code}-{d['index']}")
+ return d["index"]
+ return None
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 9dc5807..9bde625 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -4,7 +4,7 @@
from code_attribute import big_money_num_manager, code_volumn_manager, code_data_util, industry_codes_sort, \
limit_up_time_manager, global_data_loader, gpcode_manager
import constant
-from l2.huaxin import l2_huaxin_util
+from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
from utils import global_util, ths_industry_util, tool
import l2_data_util
from db import redis_manager
@@ -13,7 +13,7 @@
trade_result_manager, first_code_score_manager
from l2 import safe_count_manager, l2_data_manager, l2_data_log, l2_log, l2_data_source_util, code_price_manager
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, L2LimitUpMoneyStatisticUtil, \
- L2LimitUpSellStatisticUtil
+ L2LimitUpSellStatisticUtil, DCancelBigNumComputer
from l2.l2_data_manager import L2DataException, TradePointManager
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
local_latest_datas
@@ -231,10 +231,13 @@
_start_index = local_today_datas[code][-1]["index"] + 1
datas = l2_huaxin_util.get_format_l2_datas(code, datas,
gpcode_manager.get_limit_up_price(code), _start_index)
+ # 鑾峰彇涓嬪崟浣嶇疆
+ place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, datas)
+ if place_order_index:
+ DCancelBigNumComputer.set_real_order_index(code, place_order_index)
+
__start_time = round(t.time() * 1000)
- print("鏍煎紡鍖朙2鏁版嵁鎴愬姛", code)
cls.process_add_datas(code, datas, 0, __start_time)
- print("huaxin L2鏁版嵁澶勭悊鎴愬姛", code)
except Exception as e:
print("huaxin L2鏁版嵁澶勭悊寮傚父", code, str(e))
logging.exception(e)
diff --git a/trade/huaxin/huaxin_trade_api.py b/trade/huaxin/huaxin_trade_api.py
index 26f1a50..2497d12 100644
--- a/trade/huaxin/huaxin_trade_api.py
+++ b/trade/huaxin/huaxin_trade_api.py
@@ -90,6 +90,14 @@
def heart(cls, rid):
cls.active_client_dict[rid] = time.time()
+ @classmethod
+ def del_invalid_clients(cls):
+ # 娓呴櫎闀挎椂闂存棤蹇冭烦鐨勫鎴风閫氶亾
+ for k in cls.active_client_dict.keys():
+ if time.time() - cls.active_client_dict[k] > 20:
+ # 蹇冭烦鏃堕棿闂撮殧20s浠ヤ笂瑙嗕负鏃犳晥
+ cls.del_client(k)
+
TRADE_DIRECTION_BUY = 1
TRADE_DIRECTION_SELL = 2
diff --git a/trade/huaxin/trade_server.py b/trade/huaxin/trade_server.py
index b2344a1..ccfd1f5 100644
--- a/trade/huaxin/trade_server.py
+++ b/trade/huaxin/trade_server.py
@@ -5,17 +5,18 @@
import random
import socket
import socketserver
+import threading
import time
from code_attribute import gpcode_manager
from l2 import l2_data_manager_new, l2_log, code_price_manager, l2_data_util, l2_data_manager
-from l2.cancel_buy_strategy import HourCancelBigNumComputer, LCancelBigNumComputer
+from l2.cancel_buy_strategy import HourCancelBigNumComputer, LCancelBigNumComputer, DCancelBigNumComputer
from l2.huaxin import huaxin_target_codes_manager
from log_module.log import hx_logger_l2_upload, hx_logger_contact_debug, hx_logger_trade_callback, \
hx_logger_l2_orderdetail, hx_logger_l2_transaction, hx_logger_l2_market_data, logger_l2_trade_buy_queue
from trade import deal_big_money_manager
-from trade.huaxin import huaxin_trade_api as trade_api, trade_api_server
+from trade.huaxin import huaxin_trade_api as trade_api, trade_api_server, huaxin_trade_api
trade_data_request_queue = queue.Queue()
@@ -173,8 +174,10 @@
code)
if True:
if buy_progress_index is not None:
- logger_l2_trade_buy_queue.info("鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{}", code, buy_progress_index)
- buy_time = l2_data_util.local_today_datas.get(code)[buy_progress_index]["val"]["time"]
+ logger_l2_trade_buy_queue.info("鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{}", code,
+ buy_progress_index)
+ buy_time = l2_data_util.local_today_datas.get(code)[buy_progress_index]["val"][
+ "time"]
HourCancelBigNumComputer.set_trade_progress(code, buy_time, buy_exec_index,
buy_progress_index,
l2_data_util.local_today_datas.get(
@@ -185,13 +188,18 @@
l2_data_util.local_today_datas.get(
code))
-
# 璁＄畻澶у崟鎴愪氦棰�
deal_big_money_manager.set_trade_progress(code, buy_progress_index,
l2_data_util.local_today_datas.get(
code),
l2_data_util.local_today_num_operate_map.get(
code))
+ DCancelBigNumComputer.set_trade_progress(code, buy_progress_index, buy_exec_index,
+ l2_data_util.local_today_datas.get(
+ code),
+ l2_data_util.local_today_num_operate_map.get(
+ code), 1000 * 10000,
+ gpcode_manager.get_limit_up_price(code))
except Exception as e:
hx_logger_l2_transaction.exception(e)
@@ -232,8 +240,21 @@
super().finish()
+def clear_invalid_client():
+ while True:
+ try:
+ huaxin_trade_api.ClientSocketManager.del_invalid_clients()
+ except:
+ pass
+ finally:
+ time.sleep(2)
+
+
def run():
print("create TradeServer")
+ t1 = threading.Thread(target=lambda: clear_invalid_client(), daemon=True)
+ t1.start()
+
laddr = "0.0.0.0", 10008
tcpserver = MyThreadingTCPServer(laddr, MyBaseRequestHandle) # 娉ㄦ剰锛氬弬鏁版槸MyBaseRequestHandle
tcpserver.serve_forever()
diff --git a/trade/trade_huaxin.py b/trade/trade_huaxin.py
index 699e5b4..2c9611b 100644
--- a/trade/trade_huaxin.py
+++ b/trade/trade_huaxin.py
@@ -9,6 +9,7 @@
from log_module.log import logger_juejin_trade
from trade.huaxin import huaxin_trade_api
from utils import tool, huaxin_util
+from l2 import huaxin
__context_dict = {}
@@ -52,17 +53,15 @@
# 閫氳繃閲忎笅鍗�,杩斿洖(浠ｇ爜锛岃处鍙稩D锛岃鍗曞彿)
-def order_volume(code, price, count):
- if not constant.TRADE_ENABLE:
- return
+def order_volume(code, price, count, last_data_index):
+
if code.find("00") != 0 and code.find("60") != 0:
raise Exception("鍙敮鎸�00寮�澶翠笌60寮�澶寸殑浠ｇ爜涓嬪崟")
- code_str = code
- if code[0:2] == '00':
- code_str = f"SZSE.{code}"
- elif code[0:2] == '60':
- code_str = f"SHSE.{code}"
start_time = time.time()
+ # 淇濆瓨涓嬪崟淇℃伅
+ huaxin.huaxin_delegate_postion_manager.place_order(code, price, count, last_data_index)
+ if not constant.TRADE_ENABLE:
+ return
result = huaxin_trade_api.order(1, code, count, price)
print("鍗庨懌涓嬪崟鑰楁椂", time.time() - start_time)
logger_juejin_trade.info(f"{code}锛氫笅鍗曡�楁椂{round(time.time() - start_time, 3)}s")
@@ -72,8 +71,8 @@
if result['code'] == 0:
result = result["data"]
if result["orderStatus"] == huaxin_util.TORA_TSTP_OST_Rejected:
- logger_juejin_trade.info(f"{code}锛氫笅鍗曞け璐ワ細{result['statusMsg']}")
- raise Exception(result["statusMsg"])
+ logger_juejin_trade.info(f"{code}锛氫笅鍗曞け璐ワ細{result.get('statusMsg')}")
+ raise Exception(result.get('statusMsg'))
else:
TradeOrderIdManager.add_order_id(code, result["accountID"], result["orderSysID"])
logger_juejin_trade.info(f"{code}锛氫笅鍗曟垚鍔� orderSysID:{result['orderSysID']}")
diff --git a/trade/trade_manager.py b/trade/trade_manager.py
index 5ef7525..b523699 100644
--- a/trade/trade_manager.py
+++ b/trade/trade_manager.py
@@ -357,7 +357,7 @@
if constant.TRADE_WAY == constant.TRADE_WAY_JUEJIN:
trade_juejin.order_volume(code, price, count)
elif constant.TRADE_WAY == constant.TRADE_WAY_HUAXIN:
- trade_huaxin.order_volume(code, price, count)
+ trade_huaxin.order_volume(code, price, count,last_data_index)
else:
guiTrade.buy(code, price)
__place_order_success(code, capture_timestamp, last_data, last_data_index)
diff --git a/trade/trade_result_manager.py b/trade/trade_result_manager.py
index 4982b86..ea550cb 100644
--- a/trade/trade_result_manager.py
+++ b/trade/trade_result_manager.py
@@ -5,7 +5,7 @@
from l2 import l2_data_manager
from l2.cancel_buy_strategy import HourCancelBigNumComputer, SecondCancelBigNumComputer, L2LimitUpSellStatisticUtil, \
- LCancelBigNumComputer
+ LCancelBigNumComputer, DCancelBigNumComputer
from l2.l2_data_util import local_today_datas, local_today_num_operate_map
from l2.safe_count_manager import BuyL2SafeCountManager
from log_module.log import logger_l2_error
@@ -33,7 +33,8 @@
f5 = dask.delayed(__buyL2SafeCountManager.save_place_order_info)(code, buy_single_index, buy_exec_index,
total_datas[-1]["index"])
f6 = dask.delayed(SecondCancelBigNumComputer.cancel_success)(code)
- dask.compute(f1, f2, f3, f4, f5, f6)
+ f7 = dask.delayed(DCancelBigNumComputer.cancel_success)(code)
+ dask.compute(f1, f2, f3, f4, f5, f6, f7)
# 鐪熷疄涔版垚鍔�
@@ -91,7 +92,8 @@
f4 = dask.delayed(l2_data_manager.TradePointManager.delete_compute_info_for_cancel_buy)(code)
f5 = dask.delayed(l2_data_manager.TradePointManager.delete_count_info_for_cancel_buy)(code)
f6 = dask.delayed(SecondCancelBigNumComputer.cancel_success)(code)
- dask.compute(f1, f2, f3, f4, f5, f6)
+ f7 = dask.delayed(DCancelBigNumComputer.cancel_success)(code)
+ dask.compute(f1, f2, f3, f4, f5, f6, f7)
if __name__ == "__main__":
@@ -101,4 +103,5 @@
f4 = dask.delayed(l2_data_manager.TradePointManager.delete_compute_info_for_cancel_buy)(code)
f5 = dask.delayed(l2_data_manager.TradePointManager.delete_count_info_for_cancel_buy)(code)
f6 = dask.delayed(SecondCancelBigNumComputer.cancel_success)(code)
- dask.compute(f2, f3, f4, f5, f6)
+ f7 = dask.delayed(DCancelBigNumComputer.cancel_success)(code)
+ dask.compute(f2, f3, f4, f5, f6, f7)
--
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