From b1a8d01cd3f6a7ae98a4e84f7b5278eab7d7700b Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 26 五月 2025 13:24:12 +0800
Subject: [PATCH] 记录更详细的日志
---
l2/l2_data_manager_new.py | 249 ++++++++++++++++++++++++++++++++++++++++++-------
1 files changed, 212 insertions(+), 37 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index eaba884..9db1944 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -190,7 +190,8 @@
# 濡傛灉鏄定鍋滀拱鎾や俊鍙烽渶瑕佺湅鏁版嵁浣嶇疆鏄惁姣斿紑濮嬪鐞嗘椂闂存棭
if L2DataUtil.is_limit_up_price_buy_cancel(data["val"]):
# 鑾峰彇涔板叆淇″彿
- buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], buyno_map)
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ buyno_map)
if buy_index is not None and buy_index < begin_pos:
continue
@@ -216,6 +217,69 @@
# print("m鍊煎ぇ鍗曡绠楄寖鍥达細{}-{} 鏃堕棿锛歿}".format(max(start_index, processed_index), end_index,
# round(t.time() * 1000) - start_time))
+
+
+class HumanRadicalBuySingleManager:
+ """
+ 浜轰负涔板叆绠＄悊
+ """
+ # 浜轰负涓嬪崟鏍囪:{"浠ｇ爜":(淇″彿鏃堕棿, 闂撮殧鏃堕棿,淇″彿鎴嚦鏃堕棿, radical_result)}
+ __human_radical_buy_mark_info = {}
+
+ @classmethod
+ def add_single(cls, code, latest_data, radical_result):
+ """
+ 娣诲姞涔板叆淇″彿
+ @param code:
+ @param latest_data:
+ @param radical_result:
+ @return:
+ """
+ start_time_with_ms = L2DataUtil.get_time_with_ms(latest_data["val"])
+ if tool.is_sh_code(code):
+ cls.__human_radical_buy_mark_info[code] = (
+ start_time_with_ms, 400, tool.trade_time_add_millionsecond(start_time_with_ms, 3000), radical_result)
+ else:
+ cls.__human_radical_buy_mark_info[code] = (
+ start_time_with_ms, 30, tool.trade_time_add_millionsecond(start_time_with_ms, 2000), radical_result)
+
+ @classmethod
+ def remove_single(cls, code):
+ """
+ 绉婚櫎淇″彿
+ @param code:
+ @return:
+ """
+ if code in cls.__human_radical_buy_mark_info:
+ cls.__human_radical_buy_mark_info.pop(code)
+
+ @classmethod
+ def has_single(cls, code):
+ """
+ 鏄惁鏈変俊鍙�
+ @param code:
+ @return:
+ """
+ if code in cls.__human_radical_buy_mark_info:
+ return True
+
+ @classmethod
+ def is_valid(cls, code, data):
+ """
+ 淇″彿鏄惁鏈夋晥
+ @param code:
+ @return: 鏄惁鏈夋晥锛屾棤鏁堟秷鎭�/鏈夋晥瀵硅薄
+ """
+ if code not in cls.__human_radical_buy_mark_info:
+ return False, "娌℃湁浜轰拱鍏ヤ俊鍙�"
+ single_time_ms, space_time_ms, expire_time_ms, _ = cls.__human_radical_buy_mark_info[code]
+ now_time_ms = L2DataUtil.get_time_with_ms(data["val"])
+ if tool.trade_time_sub_with_ms(now_time_ms,
+ expire_time_ms) > 0:
+ cls.__human_radical_buy_mark_info.pop(code)
+ async_log_util.info(logger_l2_not_buy_reasons, f"{code}#澶у崟瓒冲锛屼汉涓轰笅鍗曪細 瓒呰繃淇″彿鐢熸晥鏃堕棿-{now_time_ms}/{expire_time_ms}")
+ return False, "瓒呰繃淇″彿鐢熸晥鏃堕棿"
+ return True, cls.__human_radical_buy_mark_info[code]
class L2TradeDataProcessor:
@@ -325,12 +389,14 @@
cls.unreal_buy_dict.pop(code)
@classmethod
- def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo):
+ def set_real_place_order_index(cls, code, index, order_begin_pos: OrderBeginPosInfo, last_data):
trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index)
total_datas = local_today_datas.get(code)
- use_time = tool.trade_time_sub_with_ms(L2DataUtil.get_time_with_ms(total_datas[index]["val"]) , L2DataUtil.get_time_with_ms(
- total_datas[order_begin_pos.buy_exec_index]["val"]))
- trade_record_log_util.add_place_order_use_time(code, f"鎵ц浣嶆椂闂达細{L2DataUtil.get_time_with_ms(total_datas[order_begin_pos.buy_exec_index]['val'])} 鑰楁椂锛歿use_time}")
+ use_time = tool.trade_time_sub_with_ms(L2DataUtil.get_time_with_ms(total_datas[index]["val"]),
+ L2DataUtil.get_time_with_ms(
+ total_datas[order_begin_pos.buy_exec_index]["val"]))
+ trade_record_log_util.add_place_order_use_time(code,
+ f"鎵ц浣嶆椂闂达細{L2DataUtil.get_time_with_ms(total_datas[order_begin_pos.buy_exec_index]['val'])} 鑰楁椂锛歿use_time}")
l2_log.debug(code, "璁剧疆鐪熷疄涓嬪崟浣嶏細{}", index)
cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index, is_default=False)
# 鑾峰彇鐪熷疄涓嬪崟浣嶇疆涔嬪悗闇�瑕佸垽鏂璅鎾�
@@ -395,7 +461,7 @@
finally:
if datas:
l2.l2_data_util.save_l2_data(code, None, datas)
- origin_datas.clear()
+ # origin_datas.clear()
@classmethod
def __recompute_real_order_index(cls, code, pre_real_order_index, order_info, compute_type):
@@ -405,13 +471,13 @@
code, order_info, pre_real_order_index, compute_type)
if real_order_index and pre_real_order_index != real_order_index:
try:
- exec_index = order_info[6]
+ exec_index = order_info[3]
order_begin_pos = cls.__get_order_begin_pos(
code)
async_log_util.info(logger_debug,
f"涓嬪崟浣嶇煫姝ｏ細鐪熷疄涓嬪崟浣�-{real_order_index} 璁㈠崟淇℃伅-{order_info} 涓嬪崟淇℃伅-{order_begin_pos.to_dict()}")
if order_begin_pos and order_begin_pos.buy_exec_index == exec_index:
- cls.set_real_place_order_index(code, real_order_index, order_begin_pos)
+ cls.set_real_place_order_index(code, real_order_index, order_begin_pos, order_info[1])
async_log_util.info(logger_real_place_order_position,
f"鐪熷疄涓嬪崟浣嶇疆鐭锛歿code}-({real_order_index},1)")
except Exception as e:
@@ -494,7 +560,7 @@
if place_order_index:
order_begin_pos = cls.__get_order_begin_pos(
code)
- cls.set_real_place_order_index(code, place_order_index, order_begin_pos)
+ cls.set_real_place_order_index(code, place_order_index, order_begin_pos, order_info[1])
try:
cls.__re_compute_threading_pool.submit(
cls.__recompute_real_order_index, code, place_order_index, order_info,
@@ -825,11 +891,12 @@
average_rate = cls.__Buy1PriceManager.get_average_rate(code)
if average_rate:
if tool.is_ge_code(code):
- if average_rate < 0.8:
+ if average_rate < 0.08:
return False, True, f"鍧囦环娑ㄥ箙({average_rate})灏忎簬8%", True
else:
if average_rate < 0.04:
return False, True, f"鍧囦环娑ㄥ箙({average_rate})灏忎簬4%", True
+
return True, False, f"", False
@classmethod
@@ -971,12 +1038,22 @@
local_today_datas.get(code))
return False
else:
- l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}锛� 涓嬪崟妯″紡锛歿}", reason, order_begin_pos.mode)
+
try:
# 鍒ゆ柇鏄惁涓洪灏佷笅鍗�
order_begin_pos.first_limit_up_buy = radical_buy_data_manager.is_first_limit_up_buy(code)
+ if not constant.CAN_BUY_FIRST_LIMIT_UP and order_begin_pos.first_limit_up_buy:
+ reason = "棣栧皝涓嶄笅鍗�"
+ l2_log.debug(code, "涓嶅彲浠ヤ笅鍗曪紝鍘熷洜锛歿}", reason)
+ trade_record_log_util.add_cant_place_order_log(code, reason)
+ cls.__break_current_batch_data_for_buy_dict[code] = True
+ trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index,
+ local_today_datas.get(code))
+ return False
+ l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}锛� 涓嬪崟妯″紡锛歿}", reason, order_begin_pos.mode)
l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
trade_manager.start_buy(code, capture_timestamp, last_data,
last_data_index, order_begin_pos.mode, order_begin_pos.buy_exec_index)
@@ -1386,7 +1463,7 @@
order_begin_pos.threshold_money,
order_begin_pos.num,
order_begin_pos.count, order_begin_pos.at_limit_up, total_datas[order_begin_pos.buy_exec_index],
- cls.volume_rate_info[code], order_begin_pos.mode)
+ cls.volume_rate_info[code], order_begin_pos.mode_desc)
cls.__save_order_begin_data(code, order_begin_pos)
cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[order_begin_pos.buy_exec_index]["val"]["time"])
l2_log.debug(code, "delete_buy_cancel_point")
@@ -1444,10 +1521,33 @@
_start_time = tool.get_now_timestamp()
total_datas = local_today_datas[code]
- # ---------璁＄畻婵�杩涗拱鍏ョ殑淇″彿---------
- radical_result = cls.__compute_radical_order_begin_pos(code, compute_start_index, compute_end_index)
+ if not HumanRadicalBuySingleManager.has_single(code):
+ # ---------璁＄畻婵�杩涗拱鍏ョ殑淇″彿---------
+ radical_result = cls.__compute_radical_order_begin_pos(code, compute_start_index, compute_end_index)
+ else:
+ human_radical_result = cls.__compute_human_radical_order_begin_pos(code, compute_start_index,
+ compute_end_index)
+ l2_log.debug(code, f"澶у崟瓒冲锛屼汉涓轰笅鍗曡绠楃粨鏋�({compute_start_index}-{compute_end_index}):{human_radical_result}")
+ if human_radical_result[0]:
+ radical_result = list(human_radical_result[2])
+ # 鏀瑰彉鎵ц浣嶇疆
+ radical_result[1] = human_radical_result[1]["index"]
+ else:
+ radical_result = None
+ if radical_result and radical_result[0]:
- if radical_result[0]:
+ if not HumanRadicalBuySingleManager.has_single(code):
+ big_order_deal_enough_result = radical_buy_data_manager.is_big_order_deal_enough(code,
+ code_volumn_manager.CodeVolumeManager().get_volume_rate_refer_in_5days(
+ code), 0)
+ if big_order_deal_enough_result[6] <= 0:
+ HumanRadicalBuySingleManager.add_single(code, total_datas[-1], radical_result)
+ async_log_util.info(logger_l2_not_buy_reasons, f"{code}#澶у崟瓒冲锛岄渶瑕佹牴鎹汉涓轰笅鍗�({compute_start_index}-{compute_end_index})锛歿radical_result[1]}")
+ return
+ # 涓嬪崟鍓嶄竴姝ワ紝绉婚櫎浜轰负涓嬪崟淇″彿
+ is_human_radical_buy = HumanRadicalBuySingleManager.has_single(code)
+ HumanRadicalBuySingleManager.remove_single(code)
+
buy_single_index, buy_exec_index = radical_result[1], radical_result[1]
buy_volume_rate = cls.volume_rate_info[code][0]
refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, total_datas[buy_single_index]["val"][
@@ -1465,7 +1565,7 @@
max_num_set=set(),
buy_volume_rate=buy_volume_rate,
mode=OrderBeginPosInfo.MODE_RADICAL,
- mode_desc=f"澶у崟涓嶈冻鎵叆:{radical_result[2]}",
+ mode_desc=f"澶у崟涓嶈冻鎵叆:{radical_result[2]} 鏄惁璺熶汉涔板叆-{is_human_radical_buy}",
sell_info=sell_info,
threshold_money=threshold_money)
order_begin_pos_info.at_limit_up = cls.__is_at_limit_up_buy(code)
@@ -1927,18 +2027,20 @@
def __can_order():
# 鍒ゆ柇鏄惁鏄澘涓婃斁閲�
- if cls.__is_at_limit_up_buy(code, start_index):
- return False, None, "鏉夸笂鏀鹃噺", None
+ # if cls.__is_at_limit_up_buy(code, start_index):
+ # return False, None, "鏉夸笂鏀鹃噺", None
total_datas = local_today_datas[code]
limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
bigger_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
- min_num = int(bigger_money / limit_up_price / 100)
+ bigger_money_num, current_min_num, total_min_num = int(bigger_money / limit_up_price / 100), int(
+ bigger_money / limit_up_price / 100), int(5000 / limit_up_price)
refer_sell_data = L2MarketSellManager().get_refer_sell_data(code, radical_data[3])
# 鍙傝�冩�诲崠棰�
refer_sell_money = 0
if refer_sell_data:
refer_sell_money = refer_sell_data[1]
+ # 鍒ゆ柇杩橀渶澶у崟鐨勯噾棰濓紙max(姣忔涓婃澘澶у崟,绱鎴愪氦澶у崟)锛�
big_order_deal_enough_result = radical_buy_data_manager.is_big_order_deal_enough(code,
code_volumn_manager.CodeVolumeManager().get_volume_rate_refer_in_5days(
code),
@@ -1947,7 +2049,8 @@
is_almost_open_limit_up=
radical_data[5])
# 缂轰箯鐨勫ぇ鍗曢噾棰�
- lack_money = big_order_deal_enough_result[3]
+ current_lack_money = int(big_order_deal_enough_result[5])
+ total_lack_money = int(big_order_deal_enough_result[6])
# 濡傛灉鏈夊ぇ鍗曟垚浜ゅ氨涓嶉渶瑕佺湅澶у崟
if constant.CAN_RADICAL_BUY_NEED_BIG_ORDER_EVERYTIME:
# 姣忔涓嬪崟閮介渶瑕佸ぇ鍗�
@@ -1958,10 +2061,14 @@
# 60s浠ヤ笂灏变笉涓嬪崟浜�
return False, None, "璺濈涓婃缁熻澶у崟鏃堕棿杩囧幓60s", set()
- if lack_money == 0:
- if not tool.is_sh_code(code):
- # 闈炰笂璇佺殑绁ㄧ湅50w
- min_num = int(5000 / limit_up_price)
+ if max(current_lack_money, total_lack_money) <= 0:
+ # 宸茬粡涓嶇己灏戝ぇ鍗曚簡
+ # if not tool.is_sh_code(code):
+ # 闈炰笂璇佺殑绁ㄧ湅50w
+ current_min_num = int(5000 / limit_up_price)
+ # 濡傛灉绱澶у崟鎴愪氦瓒冲锛屽彧闇�鐪�50w
+ # if big_order_deal_enough_result[4]:
+ # min_num = int(5000 / limit_up_price)
# 闇�瑕佺洃鍚殑澶у崟
watch_indexes = set()
# 鎬诲鎵樺ぇ鍗曢噾棰�
@@ -1977,8 +2084,6 @@
val = data["val"]
if not L2DataUtil.is_limit_up_price_buy(val):
continue
- if val["num"] < min_num:
- continue
# 鎾ゅ崟涓嶇畻
left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
total_datas,
@@ -1993,23 +2098,35 @@
# 鍒ゆ柇鏄惁涓哄ぇ鍗�
order_money = dealing_active_order_info[2] + round(val["price"], 2) * val["num"] * 100
if order_money >= bigger_money:
- lack_money -= order_money
- watch_indexes.add(i)
- if lack_money < 0:
+ if val["num"] >= bigger_money_num:
+ watch_indexes.add(i)
+ if val["num"] >= current_min_num:
+ current_lack_money -= order_money
+ if val["num"] >= total_min_num:
+ total_lack_money -= order_money
+ if max(current_lack_money, total_lack_money) < 0:
single_index = i
break
if int(val["orderNo"]) <= radical_data[1]:
# 涓诲姩涔板崟鍚庣殑鏁版嵁涓嶇畻
continue
- watch_indexes.add(i)
- lack_money -= round(val["price"], 2) * val["num"] * 100
- if lack_money < 0:
+
+ if val["num"] >= bigger_money_num:
+ watch_indexes.add(i)
+
+ if val["num"] >= current_min_num:
+ current_lack_money -= round(val["price"], 2) * val["num"] * 100
+
+ if val["num"] >= total_min_num:
+ total_lack_money -= round(val["price"], 2) * val["num"] * 100
+
+ if max(current_lack_money, total_lack_money) < 0:
single_index = i
break
if single_index is not None:
- return True, single_index, "鏈夊ぇ鍗�", watch_indexes
- return False, None, f"澶у崟涓嶈冻锛歿trade_index}-{end_index} 缂哄皯鐨勫ぇ鍗�-{lack_money}", watch_indexes
+ return True, single_index, f"鏈夊ぇ鍗�,澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}", watch_indexes
+ return False, None, f"澶у崟涓嶈冻锛歿trade_index}-{end_index} 缂哄皯鐨勫ぇ鍗�-{max(current_lack_money, total_lack_money)} 澶у崟鎯呭喌锛歿big_order_deal_enough_result[1]}", watch_indexes
radical_data = RadicalBuyDealCodesManager.buy_by_l2_delegate_expire_time_dict.get(code)
record_codes = radical_buy_data_manager.BlockPlaceOrderRecordManager().get_codes()
@@ -2030,7 +2147,7 @@
return False, None, "瓒呰繃鐢熸晥鏃堕棿"
result = __can_order()
- l2_log.debug(code, f"L2鎵叆鍒ゆ柇锛歿result}")
+ l2_log.debug(code, f"L2鎵叆鍒ゆ柇({start_index}-{end_index})锛歿result}")
if result[0]:
# 宸茬粡鎵叆涓嬭繃鍗曚笖鍏佽鏉夸笂鏀鹃噺鎵叆鐨勫氨闇�瑕佸垽鏂澘涓婃斁閲忕殑璺濈
if is_radical_buy and constant.CAN_RADICAL_BUY_AT_LIMIT_UP:
@@ -2057,6 +2174,62 @@
else:
async_log_util.info(logger_l2_not_buy_reasons, f"{code}#{result[2]}")
return result
+
+ @classmethod
+ def __compute_human_radical_order_begin_pos(cls, code, start_index, end_index):
+ """
+ 澶勭悊璺熶汉涔�
+ @param code:
+ @param start_index:
+ @param end_index:
+ @return:
+ """
+ total_datas = local_today_datas.get(code)
+ result = HumanRadicalBuySingleManager.is_valid(code, total_datas[start_index])
+ if not result[0]:
+ return False, None, result[1]
+ result = result[1]
+ single_time_ms, space_time_ms, expire_time_ms, radical_result = result[0], result[1], result[2], result[3]
+
+ bigger_num = l2_data_util.get_big_money_val(gpcode_manager.get_limit_up_price_as_num(code),
+ tool.is_ge_code(code)) // (
+ gpcode_manager.get_limit_up_price_as_num(code) * 100)
+ canceled_buyno_map = local_today_buyno_map.get(code)
+ for i in range(start_index, end_index + 1):
+ data = total_datas[i]
+ val = data["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ if val["num"] < bigger_num:
+ continue
+
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code, i,
+ total_datas,
+ canceled_buyno_map)
+ if left_count == 0:
+ continue
+
+ # 鍒ゆ柇鏄惁瓒呰繃鐢熸晥鏃堕棿
+ if tool.trade_time_sub_with_ms(L2DataUtil.get_time_with_ms(total_datas[i]["val"]),
+ expire_time_ms) > 0:
+ HumanRadicalBuySingleManager.remove_single(code)
+ return False, None, "瓒呰繃淇″彿鐢熸晥鏃堕棿"
+ is_valid = False
+ # 鍒ゆ柇璺濈涓婁釜50w涔板崟鐨勬椂闂存槸鍚﹁秴杩囦簡space_time_ms
+ for ii in range(i - 1, -1, -1):
+ data_child = total_datas[ii]
+ val_child = data_child["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val_child):
+ continue
+ if val_child["num"] * float(val_child["price"]) < 5000:
+ continue
+ if tool.trade_time_sub_with_ms(L2DataUtil.get_time_with_ms(val),
+ L2DataUtil.get_time_with_ms(val_child)) > space_time_ms:
+ is_valid = True
+ break
+ if is_valid:
+ return True, data, radical_result
+ return False, None, "娌℃湁鏈夋晥淇″彿"
# 鎬诲崠棰濆弬鑰冩椂闂翠娇鐢ㄨ褰�
__refer_sell_used_times = {}
@@ -2230,7 +2403,8 @@
f"{code}鑾峰彇鍒颁拱鍏ユ墽琛岀偣(蹇�熶拱鍏�)锛歿i} 缁熻绾拱鎵嬫暟锛歿buy_nums} 鐩爣绾拱鎵嬫暟锛歿threshold_num} 缁熻绾拱鍗曟暟锛歿buy_count}")
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
# 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
- buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], buy_no_map)
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ buy_no_map)
if buy_index is not None:
# 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
if buy_index >= buy_single_index:
@@ -2370,7 +2544,8 @@
f"{code}鑾峰彇鍒颁拱鍏ユ墽琛岀偣(绉瀬涓嬪崟)锛歿i} 缁熻绾拱鎵嬫暟锛歿buy_nums} 鐩爣绾拱鎵嬫暟锛歿threshold_num} 缁熻绾拱鍗曟暟锛歿buy_count}")
elif L2DataUtil.is_limit_up_price_buy_cancel(_val):
# 鍒ゆ柇涔板叆浣嶇疆鏄惁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓�
- buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i], buyno_map)
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ buyno_map)
if buy_index is not None:
# 鎵惧埌涔版挙鏁版嵁鐨勪拱鍏ョ偣
--
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