From cbe19ea6066a600cbd0b5110db5d43f8252d14a8 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 13 六月 2024 11:23:53 +0800
Subject: [PATCH] L撤成交进度相关改进
---
l2/l2_transaction_data_processor.py | 201 +++++++++++++++++++++++++++++++------------------
1 files changed, 126 insertions(+), 75 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index acd97f5..f02a061 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -1,19 +1,29 @@
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, DCancelBigNumComputer
+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_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
+import concurrent.futures
+
+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
@@ -29,111 +39,152 @@
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 = round(float(gpcode_manager.get_limit_up_price(code)), 2)
+ 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)
+ try:
+ is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
+ 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):
- # 璁剧疆鎴愪氦浠�
- current_price_process_manager.set_trade_price(code, datas[-1][1])
- total_datas = l2_data_util.local_today_datas.get(code)
__start_time = time.time()
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price:
+ limit_up_price = round(float(limit_up_price), 2)
+ # 璁剧疆鎴愪氦浠�
+ try:
+ current_price_process_manager.set_trade_price(code, datas[-1][1], l2_huaxin_util.convert_time(datas[-1][3]),
+ limit_up_price)
+ except:
+ pass
+ total_datas = l2_data_util.local_today_datas.get(code)
+ use_time_list = []
try:
buyno_map = l2_data_util.local_today_buyno_map.get(code)
- # 鏆傛椂涓嶉渶瑕侀噸鏂板姞杞借幏鍙�
- # if not buyno_map:
- # if trade_manager.CodesTradeStateManager().get_trade_state_cache(
- # code) != trade_manager.TRADE_STATE_NOT_TRADE:
- # l2_data_util.load_l2_data(code)
- # buyno_map = l2_data_util.local_today_buyno_map.get(code)
if buyno_map is None:
buyno_map = {}
order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
+ # 鏄惁宸茬粡涓嬪崟
+ is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
- # 宸茬粡涓嬪崟鐨勯渶瑕佺粺璁鎾�
- try:
- for d in datas:
- if FCancelBigNumComputer().need_cancel(d)[
- 0] and not DCancelBigNumComputer().has_auto_cancel_rules(code):
- L2TradeDataProcessor.cancel_buy(code, f"F鎾ゆ挙鍗�:{d}")
- order_begin_pos = None
- break
- except Exception as e:
- async_log_util.error(hx_logger_l2_debug, str(e))
- # 鏆傛椂娉ㄩ噴鎺�
- # try:
- # # 涓嬪崟2s鍚庢墠寮�濮嬬敓鏁�
- # cresult = LCancelBigNumComputer().add_transaction_datas(code, datas)
- # if cresult[0] and not DCancelBigNumComputer().has_auto_cancel_rules(code):
- # L2TradeDataProcessor.cancel_buy(code, f"L鍚庢垚浜ゅお蹇挙鍗�:{cresult[1]}")
- # order_begin_pos = None
- # except Exception as e:
- # async_log_util.error(hx_logger_l2_debug, str(e))
big_sell_order_info = None
try:
+
# 缁熻鍗栧崟
- big_sell_order_info = HuaXinSellOrderStatisticManager.add_transaction_datas(code, datas)
- need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code,
- big_sell_order_info,
- order_begin_pos)
- if need_cancel:
- # async_log_util.error(logger_debug, f"{code} S鍓嶆挙鍗曪細{cancel_msg}")
- L2TradeDataProcessor.cancel_buy(code, f"S鎾�:{cancel_msg}")
- GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
+ 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)
+ if need_cancel:
+ cancel_msg = f"S鎾�:{cancel_msg}"
+ if not need_cancel:
+ need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
+ order_begin_pos)
+ # 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:
+ 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])}"
+
+ if need_cancel:
+ L2TradeDataProcessor.cancel_buy(code, cancel_msg)
+
+ # 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()
+ HuaXinSellOrderStatisticManager.statistic_total_deal_volume(code, datas)
+ 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()
+ cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos)
- # 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)
- if big_money_count > 0:
- LCancelRateManager.compute_big_num_deal_rate(code)
+ 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)
buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, datas)
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)
+ if is_placed_order:
+ 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]}")
+ 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]}")
+ except:
+ pass
- GCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index)
+ 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]}")
+ except:
+ pass
- LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index,
- total_datas)
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
+ 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)
- cresult = FCancelBigNumComputer().need_cancel_for_deal_fast_with_total_sell(code,
- buy_progress_index,
- order_begin_pos)
- if cresult[0] and not DCancelBigNumComputer().has_auto_cancel_rules(code):
- L2TradeDataProcessor.cancel_buy(code, f"3s鍐呮垚浜ゅお澶�:{cresult[1]}")
else:
pass
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
+ if is_placed_order:
# 瑙﹀彂L鎾や笂閲嶆柊璁＄畻
LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index)
+ use_time_list.append(("澶勭悊鎴愪氦杩涘害鐩稿叧鎾�", time.time() - _start_time))
except Exception as e:
logging.exception(e)
hx_logger_l2_debug.exception(e)
finally:
use_time = int((time.time() - __start_time) * 1000)
- if use_time > 10:
- async_log_util.info(hx_logger_l2_upload, f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time}")
+ 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} 鏁版嵁鏁伴噺锛歿len(datas)} 璇︽儏:{use_time_list}")
--
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