From cc2c7a8514d3d6eea4f73b5875c2500883d165f0 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 26 五月 2025 22:57:20 +0800
Subject: [PATCH] 增加自动加白接口
---
l2/l2_transaction_data_processor.py | 265 ++++++++++++++++++++++++++++++++++++++++++----------
1 files changed, 211 insertions(+), 54 deletions(-)
diff --git a/l2/l2_transaction_data_processor.py b/l2/l2_transaction_data_processor.py
index cf58136..aac5019 100644
--- a/l2/l2_transaction_data_processor.py
+++ b/l2/l2_transaction_data_processor.py
@@ -8,7 +8,7 @@
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, l2_log
+from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log, data_callback
from l2.cancel_buy_strategy import FCancelBigNumComputer, \
NewGCancelBigNumComputer, \
NBCancelBigNumComputer
@@ -18,8 +18,10 @@
from l2.l2_data_util import L2DataUtil
from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager
from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager
+from l2.place_order_single_data_manager import L2TradeSingleDataProcessor
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 log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload, \
+ logger_trade, logger_l2_trade
from trade import current_price_process_manager, trade_constant
import concurrent.futures
@@ -31,10 +33,15 @@
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, buyno_map, fdatas):
+ def __compute_latest_trade_progress(cls, code, fdatas):
+ buyno_map = l2_data_util.local_today_buyno_map.get(code)
+ if not buyno_map:
+ return None
buy_progress_index = None
for i in range(len(fdatas) - 1, -1, -1):
d = fdatas[i]
@@ -55,9 +62,11 @@
@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 = []
@@ -67,6 +76,7 @@
# (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:
@@ -84,34 +94,49 @@
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 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)
+
+ 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)
+ # 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, 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)]
+ # 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'],
@@ -121,23 +146,30 @@
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])
+ if d[0][3] not in temp_time_dict:
+ temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True)
+ d[5] = temp_time_dict.get(d[0][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, 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 = []
@@ -151,6 +183,7 @@
is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
_start_time = time.time()
+ # 璁剧疆娑ㄥ仠鍗栨垚浜ゆ暟鎹�
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()
@@ -163,26 +196,18 @@
use_time_list.append(("缁熻澶у崟鏁版嵁", time.time() - _start_time))
_start_time = time.time()
- big_sell_order_info = None
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.add_transaction_datas(code, fdatas, limit_up_price)
+ big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_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()
@@ -216,7 +241,7 @@
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, fdatas, limit_up_price)
+ HuaXinSellOrderStatisticManager.statistic_active_sell_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}")
@@ -226,16 +251,15 @@
# if big_money_count > 0:
# LCancelRateManager.compute_big_num_deal_rate(code)
- buy_progress_index = cls.__compute_latest_trade_progress(code, buyno_map, fdatas)
+ buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas)
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-{}", code, buy_progress_index)
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)
@@ -260,11 +284,10 @@
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:
@@ -281,3 +304,137 @@
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(fdatas)} 璇︽儏:{use_time_list}")
+ @classmethod
+ def process_huaxin_transaction_datas_v2(cls, code, o_datas):
+ """
+ 鏂扮増澶勭悊鍗庨懌鎴愪氦鏁版嵁锛�
+ 灏氭湭涓嬪崟鐨勬椂鍊欏紓姝ョ粺璁℃垚浜わ紝鍚屾閬嶅巻鑾峰彇鏈�鍚庝竴涓定鍋滃崠濮旀墭鏁版嵁锛屽綋鏈�鍚庝竴涓定鍋滃崠鎴愪氦鐨勬椂鍊欏氨鏄笅鍗曟椂鏈�
+ @param code:
+ @param o_datas:
+ @return:
+ """
+
+ def __process_placed_order():
+ """
+ 澶勭悊澶勪簬涓嬪崟鐘舵�佺殑鏁版嵁
+ @return:
+ """
+ try:
+ 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)}")
+ # 缁熻杩炵画鐨勫崠鍗曟暟鎹紝鐢ㄤ簬鎾ゅ崟锛屽彧鏈夊綋涓嬪崟涔嬪悗鎵嶄細鎵ц
+ big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas(
+ code, fdatas,
+ limit_up_price)
+ LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info)
+ need_cancel, cancel_msg = False, ""
+ cancel_type = None
+ if not need_cancel:
+ need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code,
+ order_begin_pos)
+ cancel_type = trade_constant.CANCEL_TYPE_P
+ if need_cancel:
+ L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type)
+ # 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:
+ total_datas = l2_data_util.local_today_datas.get(code)
+ 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:
+ 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]}",
+ cancel_type=trade_constant.CANCEL_TYPE_F)
+
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ # =====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)
+ 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[0][3] not in temp_time_dict:
+ temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True)
+ d[5] = temp_time_dict.get(d[0][3])
+ 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"))
+
+ try:
+
+ # ======闇�瑕佸悓姝ュ鐞嗙殑鏁版嵁========
+ # 璁剧疆鎴愪氦浠�
+ try:
+ current_price_process_manager.set_trade_price(code, 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)
+ except:
+ pass
+
+ # 缁熻涓婃澘鏃堕棿
+ try:
+ last_data = fdatas[-1]
+ if last_data[1] and last_data[2]:
+ # 娑ㄥ仠涓诲姩涔�
+ 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�
+ L2LimitUpSellDataManager.clear_data(code)
+ except:
+ pass
+
+ # ==========澶勪簬濮旀墭鐘舵�佸氨鍚屾澶勭悊鏁版嵁锛屾病鏈変笅杩囧崟灏卞紓姝ュ鐞嗘暟鎹�==========
+ order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
+ is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos)
+ if is_placed_order:
+ # 涓嬭繃鍗曚簡
+ __process_placed_order()
+ else:
+ filter_datas = L2TradeSingleDataProcessor.filter_last_limit_up_sell_data(code, fdatas)
+ _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 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])
+
+ _start_time = int(time.time() * 1000)
+ use_time_list.append((_start_time - __start_time, "澶勭悊涔板叆淇″彿"))
+
+ # 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)
+ 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,
+ total_datas)
+ # 濡傛灉鏁版嵁閲忓ぇ浜�20鏉″氨閲囩敤绾跨▼姹犳洿鏂版暟鎹�
+ if len(fdatas) >= 20:
+ cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, fdatas, order_begin_pos)
+ else:
+ cls.statistic_big_order_infos(code, fdatas, order_begin_pos)
+
+ _start_time = int(time.time() * 1000)
+ use_time_list.append((_start_time - __start_time, "缁熻澶у崟"))
+ except Exception as e:
+ hx_logger_l2_debug.exception(e)
+ finally:
+ _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}")
--
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