From fb47d36048e94b9a506d5c153e3dd19a01e37df1 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 30 十月 2023 16:30:27 +0800
Subject: [PATCH] bug修复
---
l2/l2_data_manager_new.py | 732 ++++++++++++++++++++++++++++++++++++++-----------------
1 files changed, 500 insertions(+), 232 deletions(-)
diff --git a/l2/l2_data_manager_new.py b/l2/l2_data_manager_new.py
index 6bb11bf..943967d 100644
--- a/l2/l2_data_manager_new.py
+++ b/l2/l2_data_manager_new.py
@@ -1,37 +1,32 @@
-import io
import logging
-import threading
+import random
import time as t
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
+ limit_up_time_manager, global_data_loader, gpcode_manager, code_nature_analyse
import constant
from db.redis_manager_delegate import RedisUtils
from l2.huaxin import l2_huaxin_util, huaxin_delegate_postion_manager
-from log_module import async_log_util
+from l2.l2_sell_manager import L2MarketSellManager
+from log_module import async_log_util, log_export
from third_data import kpl_data_manager, block_info
-from trade.deal_big_money_manager import DealComputeProgressManager
from utils import global_util, ths_industry_util, tool
import l2_data_util
from db import redis_manager_delegate as redis_manager
-from third_data.code_plate_key_manager import CodePlateKeyBuyManager
+from third_data.code_plate_key_manager import CodePlateKeyBuyManager, KPLCodeJXBlockManager
from trade import trade_manager, trade_queue_manager, l2_trade_factor, l2_trade_util, \
- trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin
-from l2 import safe_count_manager, l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
- transaction_progress
+ trade_result_manager, current_price_process_manager, trade_data_manager, trade_huaxin, trade_record_log_util
+from l2 import l2_data_manager, l2_log, l2_data_source_util, code_price_manager, \
+ transaction_progress, cancel_buy_strategy, l2_data_log
from l2.cancel_buy_strategy import SecondCancelBigNumComputer, HourCancelBigNumComputer, DCancelBigNumComputer, \
- LCancelBigNumComputer
-from l2.l2_data_manager import L2DataException
+ LCancelBigNumComputer, LatestCancelIndexManager, FastCancelBigNumComputer
+from l2.l2_data_manager import L2DataException, OrderBeginPosInfo
from l2.l2_data_util import local_today_datas, L2DataUtil, local_today_num_operate_map, local_today_buyno_map, \
- local_latest_datas
+ local_latest_datas, local_today_canceled_buyno_map
import l2.l2_data_util
-from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_profile, logger_debug
+from log_module.log import logger_l2_trade_buy, logger_l2_process, logger_l2_error, logger_debug
from trade.trade_data_manager import CodeActualPriceProcessor
-
-from line_profiler import LineProfiler
-
-import dask
from trade.trade_manager import TradeTargetCodeModeManager, AccountAvailableMoneyManager
@@ -174,9 +169,9 @@
# 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(code, total_datas[i],
- local_today_num_operate_map.get(
- code))
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ local_today_buyno_map.get(
+ code))
if buy_index is not None and buy_index < begin_pos:
continue
@@ -207,22 +202,20 @@
class L2TradeDataProcessor:
unreal_buy_dict = {}
volume_rate_info = {}
- __trade_thread_lock_dict = {}
__codeActualPriceProcessor = CodeActualPriceProcessor()
__ths_l2_trade_queue_manager = trade_queue_manager.thsl2tradequeuemanager()
__thsBuy1VolumnManager = trade_queue_manager.THSBuy1VolumnManager()
- __buyL2SafeCountManager = safe_count_manager.BuyL2SafeCountManager()
__l2PlaceOrderParamsManagerDict = {}
__last_buy_single_dict = {}
__TradeBuyQueue = transaction_progress.TradeBuyQueue()
__latest_process_order_unique_keys = {}
- __latest_process_not_order_unique_keys = {}
+ __latest_process_not_order_unique_keys_count = {}
+ __trade_log_placr_order_info_dict = {} # 涓嬪崟淇℃伅淇濆瓨
# 鍒濆鍖�
__TradePointManager = l2_data_manager.TradePointManager()
__SecondCancelBigNumComputer = SecondCancelBigNumComputer()
__HourCancelBigNumComputer = HourCancelBigNumComputer()
__LCancelBigNumComputer = LCancelBigNumComputer()
- __DCancelBigNumComputer = DCancelBigNumComputer()
__TradeStateManager = trade_manager.TradeStateManager()
__CodesTradeStateManager = trade_manager.CodesTradeStateManager()
__PauseBuyCodesManager = gpcode_manager.PauseBuyCodesManager()
@@ -234,8 +227,9 @@
__WhiteListCodeManager = l2_trade_util.WhiteListCodeManager()
__WantBuyCodesManager = gpcode_manager.WantBuyCodesManager()
__TradeTargetCodeModeManager = TradeTargetCodeModeManager()
- __DealComputeProgressManager = DealComputeProgressManager()
__TradeOrderIdManager = trade_huaxin.TradeOrderIdManager()
+ __LatestCancelIndexManager = LatestCancelIndexManager()
+ __L2MarketSellManager = L2MarketSellManager()
# 鑾峰彇浠ｇ爜璇勫垎
@classmethod
@@ -263,7 +257,7 @@
if not is_normal:
print("鍘嗗彶鏁版嵁寮傚父:", code)
# 鏁版嵁涓嶆甯搁渶瑕佺姝氦鏄�
- l2_trade_util.forbidden_trade(code)
+ l2_trade_util.forbidden_trade(code, msg="L2鍘嗗彶鏁版嵁寮傚父")
# 绾犳鏁版嵁
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_THS:
# 鍚岃姳椤洪渶瑕佺籂姝ｆ暟鎹紝鍏朵粬娓犻亾涓嶉渶瑕�
@@ -289,80 +283,84 @@
cls.unreal_buy_dict.pop(code)
@classmethod
- def set_real_place_order_index(cls, code, index):
- cls.__DCancelBigNumComputer.set_real_order_index(code, index)
- cls.__SecondCancelBigNumComputer.set_real_place_order_index(code, index)
+ def set_real_place_order_index(cls, code, index, order_begin_pos:OrderBeginPosInfo):
+ trade_record_log_util.add_real_place_order_position_log(code, index, order_begin_pos.buy_single_index)
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ need_cancel = FastCancelBigNumComputer().set_real_order_index(code, index)
+ if need_cancel:
+ cls.cancel_buy(code, msg="F鎾や笉澶�2绗旇Е鍙戞挙鍗�")
+ return
+ cancel_buy_strategy.set_real_place_position(code, index, order_begin_pos.buy_single_index)
# 澶勭悊鍗庨懌L2鏁版嵁
@classmethod
def process_huaxin(cls, code, origin_datas):
- print("process_huaxin", code, len(origin_datas))
datas = None
- origin_start_time = round(t.time() * 1000)
try:
+ l2_data_log.l2_time_log(code, "寮�濮嬪姞杞藉巻鍙叉暟鎹�")
# 鍔犺浇鍘嗗彶鐨凩2鏁版嵁
is_normal = l2.l2_data_util.load_l2_data(code, load_latest=False)
if not is_normal:
- print("鍘嗗彶鏁版嵁寮傚父:", code)
# 鏁版嵁涓嶆甯搁渶瑕佺姝氦鏄�
- l2_trade_util.forbidden_trade(code)
- origin_start_time = round(t.time() * 1000)
+ l2_trade_util.forbidden_trade(code, msg="L2鍘嗗彶鏁版嵁寮傚父")
# 杞崲鏁版嵁鏍煎紡
_start_index = 0
total_datas = local_today_datas.get(code)
if total_datas:
_start_index = total_datas[-1]["index"] + 1
+ l2_data_log.l2_time_log(code, "寮�濮嬫牸寮忓寲鍘熷鏁版嵁")
datas = l2_huaxin_util.get_format_l2_datas(code, origin_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:
- cls.set_real_place_order_index(code, place_order_index)
- async_log_util.info(logger_l2_process, "code:{} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{}", code, place_order_index)
__start_time = round(t.time() * 1000)
+ l2_data_log.l2_time_log(code, "寮�濮嬪鐞嗘暟鎹�")
if len(datas) > 0:
cls.process_add_datas(code, datas, 0, __start_time)
- else:
- pass
- # lp = LineProfiler()
- # lp.enable()
- # lp_wrap = lp(cls.process_add_datas)
- # lp_wrap(code, datas, 0, __start_time)
- # output = io.StringIO()
- # lp.print_stats(stream=output)
- # lp.disable()
- # with open(f"/home/logs/profile/{code}_{datas[0]['index']}_{datas[-1]['index']}.txt", 'w') as f:
- # f.write(output.getvalue())
- # lp.dump_stats(f"/home/logs/profile/{code}_{round(t.time() * 1000)}.txt")
except Exception as e:
- print("huaxin L2鏁版嵁澶勭悊寮傚父", code, str(e))
- logging.exception(e)
- logger_l2_error.exception(f"code:{code}")
- logger_l2_error.exception(e)
+ async_log_util.error(logger_l2_error, f"code:{code}")
+ async_log_util.exception(logger_l2_error, e)
finally:
- # l2_data_log.l2_time(code, round(t.time() * 1000) - origin_start_time,
- # "l2鏁版嵁澶勭悊鎬昏�楁椂",
- # True)
- pass
if datas:
+ l2_data_log.l2_time_log(code, "寮�濮嬩繚瀛樻暟鎹�")
l2.l2_data_util.save_l2_data(code, None, datas)
@classmethod
def process_add_datas(cls, code, add_datas, capture_timestamp, __start_time):
now_time_str = tool.get_now_time_str()
if len(add_datas) > 0:
+ if code not in cls.__trade_log_placr_order_info_dict:
+ cls.__trade_log_placr_order_info_dict[code] = trade_record_log_util.PlaceOrderInfo()
# 鎷兼帴鏁版嵁
local_today_datas[code].extend(add_datas)
l2.l2_data_util.load_num_operate_map(local_today_num_operate_map, code, add_datas)
l2.l2_data_util.load_buy_no_map(local_today_buyno_map, code, add_datas)
-
+ l2.l2_data_util.load_canceled_buy_no_map(local_today_canceled_buyno_map, code, add_datas)
+ l2_data_log.l2_time_log(code, "process_add_datas 鍔犺浇瀹屾暟鎹�")
+ if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
+ try:
+ if constant.TEST:
+ pass
+ # order_begin_pos = cls.__get_order_begin_pos(code)
+ # if order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index>=0:
+ # place_order_index = add_datas[-1]["index"]
+ # cls.set_real_place_order_index(code, place_order_index, order_begin_pos.buy_single_index)
+ else:
+ # 鑾峰彇涓嬪崟浣嶇疆
+ place_order_index = huaxin_delegate_postion_manager.get_l2_place_order_position(code, float(
+ gpcode_manager.get_limit_up_price(code)), add_datas)
+ 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)
+ async_log_util.info(logger_l2_process, "code:{} 鑾峰彇鍒颁笅鍗曠湡瀹炰綅缃細{}", code, place_order_index)
+ except:
+ async_log_util.error(logger_l2_error, f"{code} 澶勭悊鐪熷疄涓嬪崟浣嶇疆鍑洪敊")
# 绗�1鏉℃暟鎹槸鍚︿负09:30:00
if add_datas[0]["val"]["time"] == "09:30:00":
if global_util.cuurent_prices.get(code):
price_data = global_util.cuurent_prices.get(code)
if price_data[1]:
# 褰撳墠娑ㄥ仠浠凤紝璁剧疆娑ㄥ仠鏃堕棿
- logger_l2_process.info("寮�鐩樻定鍋滐細{}", code)
+ async_log_util.info(logger_l2_process, "寮�鐩樻定鍋滐細{}", code)
# 淇濆瓨娑ㄥ仠鏃堕棿
cls.__LimitUpTimeManager.save_limit_up_time(code, "09:30:00")
@@ -400,23 +398,10 @@
state = cls.__CodesTradeStateManager.get_trade_state_cache(code)
start_index = len(total_datas) - len(add_datas)
end_index = len(total_datas) - 1
+ l2_data_log.l2_time_log(code, "process_add_datas 寮�濮嬪鐞�")
if state == trade_manager.TRADE_STATE_BUY_DELEGATED or state == trade_manager.TRADE_STATE_BUY_PLACE_ORDER or state == trade_manager.TRADE_STATE_BUY_SUCCESS:
# 宸叉寕鍗�
- if True: # len(add_datas) < 10:
- cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)
- else:
- pass
- # lp = LineProfiler()
- # lp.enable()
- # lp_wrap = lp(cls.__process_order)
- # lp_wrap(code, start_index, end_index, capture_timestamp, is_first_code)
- # output = io.StringIO()
- # lp.print_stats(stream=output)
- # lp.disable()
- # with open(
- # f"/home/logs/profile/{code}_process_order_{add_datas[0]['index']}_{add_datas[-1]['index']}.txt",
- # 'w') as f:
- # f.write(output.getvalue())
+ cls.__process_order(code, start_index, end_index, capture_timestamp, is_first_code)
else:
# 鏈寕鍗�,鏃堕棿鐩稿樊涓嶅ぇ鎵嶈兘鎸傚崟
if l2.l2_data_util.L2DataUtil.is_same_time(now_time_str, latest_time):
@@ -426,8 +411,6 @@
add_datas[0]["index"],
add_datas[-1]["index"], round(t.time() * 1000) - __start_time,
capture_timestamp)
- # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
- # "l2鏁版嵁澶勭悊鏃堕棿")
# 澶勭悊鏈寕鍗�
@classmethod
@@ -435,21 +418,7 @@
__start_time = round(t.time() * 1000)
# 鑾峰彇闃堝��
threshold_money, msg = cls.__get_threshmoney(code)
- # if round(t.time() * 1000) - __start_time > 10:
- # __start_time = l2_data_log.l2_time(code, round(t.time() * 1000) - __start_time,
- # "鑾峰彇m鍊兼暟鎹�楁椂")
- if True: # end_index - start_index < 10:
- cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code)
- else:
- # pass
- lp = LineProfiler()
- lp.enable()
- lp_wrap = lp(cls.__start_compute_buy)
- lp_wrap(code, start_index, end_index, threshold_money, capture_time, is_first_code)
- output = io.StringIO()
- lp.print_stats(stream=output)
- lp.disable()
- logger_profile.info(output.getvalue())
+ cls.__start_compute_buy(code, start_index, end_index, threshold_money, capture_time, is_first_code)
# 娴嬭瘯涓撶敤
@classmethod
@@ -462,7 +431,7 @@
# 澧炲姞鎺ㄥ嚭鏈哄埗
unique_key = f"{start_index}-{end_index}"
if cls.__latest_process_order_unique_keys.get(code) == unique_key:
- logger_l2_error.error(f"閲嶅澶勭悊鏁版嵁锛歝ode-{code} start_index-{start_index} end_index-{end_index}")
+ async_log_util.error(logger_l2_error, f"閲嶅澶勭悊鏁版嵁锛歝ode-{code} start_index-{start_index} end_index-{end_index}")
return
cls.__latest_process_order_unique_keys[code] = unique_key
@@ -484,8 +453,9 @@
return b_cancel_data, "S澶у崟鎾ら攢姣斾緥瑙﹀彂闃堝��"
except Exception as e:
logging.exception(e)
- logger_l2_error.error(f"鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")
- logger_l2_error.exception(e)
+ async_log_util.error(logger_l2_error,
+ f"S鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")
+ async_log_util.exception(logger_l2_error, e)
finally:
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time,
# "宸蹭笅鍗�-s绾уぇ鍗曚及绠�")
@@ -499,38 +469,54 @@
b_need_cancel, b_cancel_data = cls.__HourCancelBigNumComputer.need_cancel(code, _buy_single_index,
_buy_exec_index, start_index,
end_index, total_data,
- local_today_num_operate_map.get(
- code),
code_volumn_manager.get_volume_rate_index(
- buy_volume_rate),
+ order_begin_pos.buy_volume_rate),
cls.volume_rate_info[code][1],
is_first_code)
if b_need_cancel and b_cancel_data:
return b_cancel_data, "H鎾ら攢姣斾緥瑙﹀彂闃堝��"
except Exception as e:
- logging.exception(e)
- logger_l2_error.error(f"鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")
- logger_l2_error.exception(e)
+ if constant.TEST:
+ logging.exception(e)
+ async_log_util.error(logger_l2_error,
+ f"H鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} {str(e)}")
+ async_log_util.exception(logger_l2_error, e)
finally:
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "宸蹭笅鍗�-H鎾ゅぇ鍗曡绠�")
pass
+ return None, ""
+
+ # F鎾�
+ def f_cancel(_buy_single_index, _buy_exec_index):
+ try:
+ b_need_cancel, b_cancel_data = FastCancelBigNumComputer().need_cancel(code, start_index, end_index,
+ order_begin_pos)
+ if b_need_cancel and b_cancel_data:
+ return b_cancel_data, f"F鎾�"
+ except Exception as e:
+ if constant.TEST:
+ logging.exception(e)
+ async_log_util.error(logger_l2_error,
+ f"F鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 閿欒鍘熷洜锛歿str(e)}")
+ async_log_util.exception(logger_l2_error, e)
return None, ""
# L鎾�
def l_cancel(_buy_single_index, _buy_exec_index):
_start_time = round(t.time() * 1000)
try:
- b_need_cancel, b_cancel_data = cls.__LCancelBigNumComputer.need_cancel(code,
- _buy_exec_index, start_index,
- end_index, total_data,
- local_today_num_operate_map.get(
- code), is_first_code)
+ b_need_cancel, b_cancel_data, extra_msg = cls.__LCancelBigNumComputer.need_cancel(code,
+ _buy_exec_index,
+ start_index,
+ end_index, total_data,
+ is_first_code)
if b_need_cancel and b_cancel_data:
- return b_cancel_data, "L鎾ら攢姣斾緥瑙﹀彂闃堝��"
+ return b_cancel_data, f"L鎾ら攢姣斾緥瑙﹀彂闃堝��({extra_msg})"
except Exception as e:
- logging.exception(e)
- logger_l2_error.error(f"鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index}")
+ async_log_util.error(logger_l2_error,
+ f"L鎾ゅ嚭閿� 鍙傛暟锛歜uy_single_index-{_buy_single_index} buy_exec_index-{_buy_exec_index} 閿欒鍘熷洜锛歿str(e)}")
logger_l2_error.exception(e)
+ async_log_util.exception(logger_l2_error, e)
finally:
# l2_data_log.l2_time(code, round(t.time() * 1000) - _start_time, "宸蹭笅鍗�-L鎾ゅぇ鍗曡绠�")
pass
@@ -544,32 +530,30 @@
total_data = local_today_datas.get(code)
_start_time = tool.get_now_timestamp()
# 鑾峰彇涔板叆淇″彿璧峰鐐�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
# 榛樿閲忎负0.2
- if buy_volume_rate is None:
+ if order_begin_pos.buy_volume_rate is None:
buy_volume_rate = 0.2
+ cancel_data, cancel_msg = None, ""
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ cancel_data, cancel_msg = f_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
# 渚濇澶勭悊
- cancel_data, cancel_msg = s_cancel(buy_single_index, buy_exec_index)
- # if not cancel_data:
- # cancel_data, cancel_msg = h_cancel(buy_single_index, buy_exec_index)
if not cancel_data:
- cancel_data, cancel_msg = l_cancel(buy_single_index, buy_exec_index)
- # l2_log.debug(code, "鎾ゅ崟璁＄畻缁撴潫")
- # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
- # "宸蹭笅鍗�-鎾ゅ崟 鍒ゆ柇鏄惁闇�瑕佹挙鍗�")
+ cancel_data, cancel_msg = l_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
+ # 鏆傛椂鍙栨秷S鎾�
+ # if not cancel_data:
+ # cancel_data, cancel_msg = s_cancel(buy_single_index, buy_exec_index)
+ if not cancel_data:
+ cancel_data, cancel_msg = h_cancel(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
if cancel_data:
l2_log.debug(code, "瑙﹀彂鎾ゅ崟锛屾挙鍗曚綅缃細{} 锛屾挙鍗曞師鍥狅細{}", cancel_data["index"], cancel_msg)
- l2_log.trade_record(code, "鎾ゅ崟", "'index':{} , 'msg':'{}'", cancel_data["index"], cancel_msg)
+
# 鎾ゅ崟
- cls.cancel_buy(code, cancel_msg)
- # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
- # "宸蹭笅鍗�-鎾ゅ崟 鑰楁椂")
+ cls.cancel_buy(code, cancel_msg, cancel_index=cancel_data["index"])
# 鎾ゅ崟鎴愬姛锛岀户缁绠椾笅鍗�
cls.__process_not_order(code, cancel_data["index"] + 1, end_index, capture_time, is_first_code)
- # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time,
- # "澶勭悊鍓╀綑鏁版嵁 鑰楁椂")
else:
pass
@@ -587,43 +571,57 @@
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
if not can:
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)
if need_clear_data:
- trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index,
+ 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
else:
l2_log.debug(code, "鍙互涓嬪崟锛屽師鍥狅細{}", reason)
- if code not in cls.__trade_thread_lock_dict:
- cls.__trade_thread_lock_dict[code] = threading.RLock()
- cls.__trade_thread_lock_dict[code].acquire()
try:
-
-
-
l2_log.debug(code, "寮�濮嬫墽琛屼拱鍏�")
trade_manager.start_buy(code, capture_timestamp, last_data,
- last_data_index)
+ last_data_index, order_begin_pos.mode)
l2_log.debug(code, "鎵ц涔板叆鎴愬姛")
################涓嬪崟鎴愬姛澶勭悊################
trade_result_manager.real_buy_success(code, cls.__TradePointManager)
+ cancel_buy_strategy.set_real_place_position(code, local_today_datas.get(code)[-1]["index"],
+ order_begin_pos.buy_single_index)
l2_log.debug(code, "澶勭悊涔板叆鎴愬姛")
params_desc = cls.__l2PlaceOrderParamsManagerDict[code].get_buy_rank_desc()
l2_log.debug(code, params_desc)
- l2_log.trade_record(code, "涓嬪崟",
- "'buy_start_index':{} ,'buy_exec_index':{},'volume_reate':{},'desc':'{}'",
- buy_single_index, buy_exec_index, cls.volume_rate_info[code][0],
- params_desc)
+ ############璁板綍涓嬪崟鏃剁殑鏁版嵁############
+ try:
+ jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
+ code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.mode = order_begin_pos.mode
+ info.set_buy_index(order_begin_pos.buy_single_index, order_begin_pos.buy_exec_index)
+ if jx_blocks:
+ info.set_kpl_blocks(list(jx_blocks))
+ elif jx_blocks_by:
+ info.set_kpl_blocks(list(jx_blocks_by))
+ else:
+ info.set_kpl_blocks([])
+
+ trade_record_log_util.add_place_order_log(code, info)
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"鍔犲叆涔板叆璁板綍鏃ュ織鍑洪敊锛歿str(e)}")
+
+
+
except Exception as e:
- logger_l2_error.exception(e)
+ async_log_util.exception(logger_l2_error, e)
l2_log.debug(code, "鎵ц涔板叆寮傚父:{}", str(e))
pass
finally:
# l2_log.debug(code, "m鍊煎奖鍝嶅洜瀛愶細{}", l2_trade_factor.L2TradeFactorUtil.factors_to_string(code))
- cls.__trade_thread_lock_dict[code].release()
+ pass
return True
# 鏄惁鍙互鍙栨秷
@@ -699,10 +697,9 @@
if sell1_time is not None and sell1_volumn > 0:
# 鑾峰彇鎵ц浣嶄俊鎭�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
- code)
- buy_nums = num
- for i in range(buy_exec_index + 1, total_datas[-1]["index"] + 1):
+ order_begin_pos = cls.__get_order_begin_pos(code)
+ buy_nums = order_begin_pos.num
+ for i in range(order_begin_pos.buy_exec_index + 1, total_datas[-1]["index"] + 1):
_val = total_datas[i]["val"]
# 娑ㄥ仠涔�
if L2DataUtil.is_limit_up_price_buy(_val):
@@ -804,32 +801,58 @@
if float(limit_up_price) >= constant.MAX_CODE_PRICE:
return False, True, f"鑲′环澶т簬{constant.MAX_CODE_PRICE}鍧�"
+ if code_nature_analyse.LatestMaxVolumeManager().is_latest_max_volume(code):
+ # 鏈�杩戝嚑澶╂湁鏈�澶ч噺锛屽垽鏂噺姣旀槸鍚﹀ぇ浜�60%
+ if cls.volume_rate_info[code][0] < 0.6:
+ return False, True, f"杩戞棩鍑虹幇鏈�澶ч噺锛屽綋鏃ラ噺姣�({cls.volume_rate_info[code][0]})灏忎簬0.6"
+
if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
+ total_data = local_today_datas.get(code)
trade_price = current_price_process_manager.get_trade_price(code)
if trade_price is None:
return False, True, f"灏氭湭鑾峰彇鍒板綋鍓嶆垚浜や环"
- if float(limit_up_price) - float(trade_price) > 0.04001:
- return False, False, f"褰撳墠鎴愪氦浠凤紙{trade_price}锛夊皻鏈湪4妗ｅ強浠ュ唴"
-
+ if float(limit_up_price) - float(trade_price) > 0.00001:
+ # 璁＄畻淇″彿璧峰浣嶇疆鍒板綋鍓嶇殑鎵嬫暟
+ order_begin_pos = cls.__get_order_begin_pos(
+ code)
+ num_operate_map = local_today_num_operate_map.get(code)
+ total_num = 0
+ for i in range(order_begin_pos.buy_single_index, total_data[-1]["index"] + 1):
+ data = total_data[i]
+ val = data["val"]
+ if not L2DataUtil.is_limit_up_price_buy(val):
+ continue
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
+ data[
+ "index"],
+ total_data,
+ local_today_canceled_buyno_map.get(
+ code))
+ total_num += left_count * val["num"]
+ m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
+ thresh_hold_num = m_base_val // (float(gpcode_manager.get_limit_up_price(code)) * 100)
+ if total_num < thresh_hold_num * 2:
+ return False, False, f"褰撳墠鎴愪氦浠凤紙{trade_price}锛夊皻鏈湪0妗ｅ強浠ュ唴 涓� 绾拱棰�({total_num})灏忎簬2鍊峂鍊�({thresh_hold_num * 2})"
# 鍒ゆ柇鎴愪氦杩涘害鏄惁璺濈鎴戜滑鐨勪綅缃緢杩�
- total_data = local_today_datas.get(code)
trade_index, is_default = cls.__TradeBuyQueue.get_traded_index(code)
- if not is_default and trade_index:
- buy_index_set = set()
+ if False and not is_default and trade_index:
+ not_cancel_num = 0
num_operate_map = local_today_num_operate_map.get(code)
for i in range(trade_index + 1, total_data[-1]["index"] + 1):
if L2DataUtil.is_limit_up_price_buy(total_data[i]["val"]):
- left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count(code,
- total_data[
- i][
- "index"],
- total_data,
- num_operate_map)
+ left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(code,
+ total_data[
+ i][
+ "index"],
+ total_data,
+ local_today_canceled_buyno_map.get(
+ code))
if left_count > 0:
- buy_index_set.add(total_data[i]["index"])
-
- if len(buy_index_set) < 5:
- return False, False, f"鎴愪氦浣嶇疆璺濈褰撳墠浣嶇疆灏忎簬5绗�"
+ not_cancel_num += total_data[i]["val"]["num"]
+ m_base_val = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code)
+ not_cancel_money = not_cancel_num * 100 * float(gpcode_manager.get_limit_up_price(code))
+ if m_base_val > not_cancel_money:
+ return False, False, f"鎴愪氦浣嶇疆璺濈褰撳墠浣嶇疆绾拱棰�({not_cancel_money})灏忎簬m鍊�({m_base_val})"
else:
# 鍒ゆ柇涔�1浠锋牸妗ｄ綅
zyltgb = global_util.zyltgb_map.get(code)
@@ -906,7 +929,7 @@
# 鍒ゆ柇鏉垮潡
can_buy_result = CodePlateKeyBuyManager.can_buy(code)
if can_buy_result is None:
- logger_debug.warning("娌℃湁鑾峰彇鍒版澘鍧楃紦瀛橈紝灏嗚幏鍙栨澘鍧�")
+ async_log_util.warning(logger_debug, "娌℃湁鑾峰彇鍒版澘鍧楃紦瀛橈紝灏嗚幏鍙栨澘鍧�")
yesterday_codes = kpl_data_manager.get_yesterday_limit_up_codes()
CodePlateKeyBuyManager.update_can_buy_blocks(code,
kpl_data_manager.KPLLimitUpDataRecordManager.latest_origin_datas,
@@ -917,17 +940,16 @@
if can_buy_result is None:
return False, True, "灏氭湭鑾峰彇鍒版澘鍧椾俊鎭�"
- if not can_buy_result[0]:
+
+ # 鏉垮潡涓嶅彲涔帮紝涓旀病鏈夋寕杩囧崟鐨勫氨涓嶈兘涔�
+ if not can_buy_result[0] and trade_manager.CodesTradeStateManager().get_trade_state_cache(
+ code) == trade_manager.TRADE_STATE_NOT_TRADE:
return False, True, can_buy_result[1]
return True, False, can_buy_result[1]
@classmethod
def __cancel_buy(cls, code):
- # 鍔犻攣
- if code not in cls.__trade_thread_lock_dict:
- cls.__trade_thread_lock_dict[code] = threading.RLock()
try:
- cls.__trade_thread_lock_dict[code].acquire()
l2_log.debug(code, "寮�濮嬫墽琛屾挙鍗�")
trade_manager.start_cancel_buy(code)
l2_log.debug(code, "鎵ц鎾ゅ崟鎴愬姛")
@@ -937,26 +959,26 @@
l2_log.debug(code, "鎵ц鎾ゅ崟寮傚父锛歿}", str(e))
return False
finally:
- cls.__trade_thread_lock_dict[code].release()
-
+ pass
@classmethod
- def cancel_buy(cls, code, msg=None, source="l2"):
+ def cancel_buy(cls, code, msg=None, source="l2", cancel_index=None):
# 鏄惁鏄氦鏄撻槦鍒楄Е鍙�
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
total_datas = local_today_datas[code]
if source == "trade_queue":
# 浜ゆ槗闃熷垪瑙﹀彂鐨勯渶瑕佷笅鍗曞悗5s
- if buy_exec_index is not None and buy_exec_index > 0:
+ if order_begin_pos.buy_exec_index is not None and order_begin_pos.buy_exec_index > 0:
now_time_str = tool.get_now_time_str()
- if tool.trade_time_sub(now_time_str, total_datas[buy_exec_index]["val"]["time"]) < 5:
+ if tool.trade_time_sub(now_time_str, total_datas[order_begin_pos.buy_exec_index]["val"]["time"]) < 5:
return False
if code in cls.unreal_buy_dict:
cls.unreal_buy_dict.pop(code)
# 鍙栨秷涔板叆鏍囪瘑
- trade_result_manager.virtual_cancel_success(code, buy_single_index, buy_exec_index, total_datas)
+ trade_result_manager.virtual_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index, total_datas)
else:
can_cancel, reason = cls.__can_cancel(code)
if not can_cancel:
@@ -964,9 +986,15 @@
l2_log.cancel_debug(code, "鎾ゅ崟涓柇锛屽師鍥狅細{}", reason)
l2_log.debug(code, "鎾ゅ崟涓柇锛屽師鍥狅細{}", reason)
return False
+ if cancel_index is None:
+ cancel_index = total_datas[-1]["index"]
+ cls.__LatestCancelIndexManager.set_latest_cancel_index(code, cancel_index)
+ # 娣诲姞鎾ゅ崟鏃ュ織璁板綍
+ trade_record_log_util.add_cancel_msg_log(code, msg)
cancel_result = cls.__cancel_buy(code)
if cancel_result:
- trade_result_manager.real_cancel_success(code, buy_single_index, buy_exec_index, total_datas)
+ trade_result_manager.real_cancel_success(code, order_begin_pos.buy_single_index,
+ order_begin_pos.buy_exec_index, total_datas)
l2_log.debug(code, "鎵ц鎾ゅ崟缁撴潫锛屽師鍥狅細{}", msg)
return True
@@ -983,54 +1011,69 @@
if compute_end_index < compute_start_index:
return
- unique_key = f"{compute_start_index}-{compute_end_index}"
- if cls.__latest_process_not_order_unique_keys.get(code) == unique_key:
- logger_l2_error.error(f"閲嶅澶勭悊鏁版嵁锛歝ode-{code} start_index-{compute_start_index} end_index-{compute_end_index}")
+ unique_key = f"{code}-{compute_start_index}-{compute_end_index}"
+ if cls.__latest_process_not_order_unique_keys_count.get(
+ unique_key) and cls.__latest_process_not_order_unique_keys_count.get(unique_key) > 2:
+ async_log_util.error(logger_l2_error,
+ f"閲嶅澶勭悊鏁版嵁锛歝ode-{code} start_index-{compute_start_index} end_index-{compute_end_index}")
return
- cls.__latest_process_not_order_unique_keys[code] = unique_key
+ if unique_key not in cls.__latest_process_not_order_unique_keys_count:
+ cls.__latest_process_not_order_unique_keys_count[unique_key] = 0
+ cls.__latest_process_not_order_unique_keys_count[unique_key] += 1
_start_time = tool.get_now_timestamp()
total_datas = local_today_datas[code]
- # 澶勭悊瀹夊叏绗旀暟
- # cls.__buyL2SafeCountManager.compute_left_rate(code, compute_start_index, compute_end_index, total_datas,
- # local_today_num_operate_map.get(code))
# 鑾峰彇涔板叆淇″彿璁＄畻璧峰浣嶇疆
- buy_single_index, buy_exec_index, buy_compute_index, num, count, max_num_set, buy_volume_rate = cls.__get_order_begin_pos(
+ order_begin_pos = cls.__get_order_begin_pos(
code)
# 鏄惁涓烘柊鑾峰彇鍒扮殑浣嶇疆
new_get_single = False
+ buy_single_index = order_begin_pos.buy_single_index
if buy_single_index is None:
- continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
- # 鏈変拱鍏ヤ俊鍙�
- has_single, _index = cls.__compute_order_begin_pos(code, max(
- (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
- compute_end_index)
+ # 灏濊瘯璁＄畻蹇�熸垚浜や俊鍙�
+ has_single, _index, sell_info = cls.__compute_fast_order_begin_pos(code, compute_start_index,
+ compute_end_index)
+ if has_single:
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_FAST
+ order_begin_pos.sell_info = sell_info
+ elif _index is not None and _index < 0:
+ continue_count = cls.__l2PlaceOrderParamsManagerDict[code].get_begin_continue_buy_count()
+ # 鏈変拱鍏ヤ俊鍙�
+ has_single, _index = cls.__compute_order_begin_pos(code, max(
+ (compute_start_index - continue_count - 1) if new_add else compute_start_index, 0), continue_count,
+ compute_end_index)
+ order_begin_pos.mode = OrderBeginPosInfo.MODE_NORMAL
# 濡傛灉涔板叆淇″彿涓庝笂娆＄殑涔板叆淇″彿涓�鏍峰氨涓嶈兘绠楁柊鐨勪俊鍙�
if cls.__last_buy_single_dict.get(code) == _index:
has_single = None
_index = None
-
buy_single_index = _index
if has_single:
cls.__last_buy_single_dict[code] = buy_single_index
new_get_single = True
- num = 0
- count = 0
- l2_log.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} ,璁＄畻鑼冨洿锛歿}-{} 锛岄噺姣旓細{}锛屾暟鎹細{}", buy_single_index, compute_start_index,
- compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index])
+ order_begin_pos.num = 0
+ order_begin_pos.count = 0
+ order_begin_pos.buy_single_index = buy_single_index
+
+ if sell_info:
+ order_begin_pos.threshold_money = sell_info[1]
+ l2_log.debug(code, "鑾峰彇鍒颁拱鍏ヤ俊鍙疯捣濮嬬偣锛歿} ,璁＄畻鑼冨洿锛歿}-{} 锛岄噺姣旓細{}锛屾暟鎹細{} 妯″紡锛歿}", buy_single_index,
+ compute_start_index,
+ compute_end_index, cls.volume_rate_info[code], total_datas[buy_single_index],
+ order_begin_pos.mode)
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "涓嬪崟淇″彿璁＄畻鏃堕棿")
- if buy_single_index is None:
+ if order_begin_pos.buy_single_index is None:
# 鏈幏鍙栧埌涔板叆淇″彿锛岀粓姝㈢▼搴�
return None
# 寮�濮嬭绠楃殑浣嶇疆
- start_process_index = max(buy_single_index, compute_start_index)
+ start_process_index = max(order_begin_pos.buy_single_index, compute_start_index)
if new_get_single:
- start_process_index = buy_single_index
+ start_process_index = order_begin_pos.buy_single_index
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "璁＄畻m鍊煎ぇ鍗�")
@@ -1039,16 +1082,30 @@
# _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "m鍊奸槇鍊艰绠�")
# 涔板叆绾拱棰濈粺璁�
- new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(code,
- start_process_index,
- compute_end_index,
- num,
- count,
- threshold_money,
- buy_single_index,
- max_num_set)
- # _start_time = l2_data_log.l2_time(code, tool.get_now_timestamp() - _start_time, "绾拱棰濈粺璁℃椂闂�")
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = None, None, None, None, []
+ if order_begin_pos.mode == OrderBeginPosInfo.MODE_FAST:
+ threshold_money = order_begin_pos.threshold_money
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, threshold_money_new = cls.__sum_buy_num_for_order_fast(
+ code,
+ start_process_index,
+ compute_end_index,
+ order_begin_pos.num,
+ order_begin_pos.count,
+ threshold_money,
+ order_begin_pos.buy_single_index)
+ threshold_money = threshold_money_new
+ order_begin_pos.threshold_money = threshold_money
+ else:
+ new_buy_exec_index, buy_nums, buy_count, rebegin_buy_pos, max_num_set_new = cls.__sum_buy_num_for_order_3(
+ code,
+ start_process_index,
+ compute_end_index,
+ order_begin_pos.num,
+ order_begin_pos.count,
+ threshold_money,
+ order_begin_pos.buy_single_index,
+ order_begin_pos.max_num_set)
l2_log.debug(code, "m鍊�-{} 閲忔瘮:{} rebegin_buy_pos:{}", threshold_money, cls.volume_rate_info[code][0],
rebegin_buy_pos)
@@ -1060,17 +1117,23 @@
return
if new_buy_exec_index is not None:
- l2_log.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 绾拱鎵嬫暟锛歿} 绾拱鍗曟暟锛歿} 鏁版嵁锛歿} ,閲忔瘮:{} ", new_buy_exec_index, threshold_money,
+ l2_log.debug(code, "鑾峰彇鍒颁拱鍏ユ墽琛屼綅缃細{} m鍊硷細{} 绾拱鎵嬫暟锛歿} 绾拱鍗曟暟锛歿} 鏁版嵁锛歿} ,閲忔瘮:{} ,涓嬪崟妯″紡锛歿}", new_buy_exec_index,
+ threshold_money,
buy_nums,
- buy_count, total_datas[new_buy_exec_index], cls.volume_rate_info[code])
- cls.__save_order_begin_data(code, buy_single_index, new_buy_exec_index, new_buy_exec_index,
- buy_nums, buy_count, max_num_set_new,
- cls.volume_rate_info[code][0])
+ buy_count, total_datas[new_buy_exec_index], cls.volume_rate_info[code], order_begin_pos.mode)
+ cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index,
+ buy_exec_index=new_buy_exec_index,
+ buy_compute_index=new_buy_exec_index,
+ num=buy_nums, count=buy_count,
+ max_num_set=max_num_set_new,
+ buy_volume_rate=cls.volume_rate_info[code][0],
+ mode=order_begin_pos.mode,
+ sell_info=order_begin_pos.sell_info,
+ threshold_money=threshold_money))
cls.__LimitUpTimeManager.save_limit_up_time(code, total_datas[new_buy_exec_index]["val"]["time"])
- cls.__TradePointManager.delete_buy_cancel_point(code)
l2_log.debug(code, "delete_buy_cancel_point")
# 鐩存帴涓嬪崟
- ordered = cls.__buy(code, capture_time, total_datas[new_buy_exec_index], new_buy_exec_index, is_first_code)
+ ordered = cls.__buy(code, capture_time, total_datas[-1], total_datas[-1]["index"], is_first_code)
# 鏁版嵁鏄惁澶勭悊瀹屾瘯
if new_buy_exec_index < compute_end_index:
@@ -1084,31 +1147,32 @@
else:
# 鏈揪鍒颁笅鍗曟潯浠讹紝淇濆瓨绾拱棰濓紝璁剧疆绾拱棰�
# 璁板綍涔板叆淇″彿浣嶇疆
- cls.__save_order_begin_data(code, buy_single_index, -1, compute_end_index, buy_nums, buy_count,
- max_num_set_new, None)
- print("淇濆瓨澶у崟鏃堕棿", round((t.time() - _start_time) * 1000))
+ cls.__save_order_begin_data(code, OrderBeginPosInfo(buy_single_index=buy_single_index, buy_exec_index=-1,
+ buy_compute_index=compute_end_index, num=buy_nums,
+ count=buy_count,
+ max_num_set=max_num_set_new, mode=order_begin_pos.mode,
+ sell_info=order_begin_pos.sell_info,
+ threshold_money=threshold_money))
_start_time = t.time()
- pass
+ l2_data_log.l2_time_log(code, "__start_compute_buy 缁撴潫")
# 鑾峰彇涓嬪崟璧峰淇″彿
@classmethod
- def __get_order_begin_pos(cls, code):
- buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate = cls.__TradePointManager.get_buy_compute_start_data_cache(
+ def __get_order_begin_pos(cls, code) -> OrderBeginPosInfo:
+ order_begin_pos = cls.__TradePointManager.get_buy_compute_start_data_cache(
code)
- return buy_single_index, buy_exec_index, compute_index, num, count, max_num_set, volume_rate
+ return order_begin_pos
# 淇濆瓨涓嬪崟璧峰淇″彿
@classmethod
- def __save_order_begin_data(cls, code, buy_single_index, buy_exec_index, compute_index, num, count, max_num_set,
- volume_rate):
- cls.__TradePointManager.set_buy_compute_start_data(code, buy_single_index, buy_exec_index, compute_index, num,
- count,
- max_num_set, volume_rate)
+ def __save_order_begin_data(cls, code, info: OrderBeginPosInfo):
+ cls.__TradePointManager.set_buy_compute_start_data_v2(code, info)
# 璁＄畻涓嬪崟璧峰淇″彿
# compute_data_count 鐢ㄤ簬璁＄畻鐨刲2鏁版嵁鏁伴噺
@classmethod
def __compute_order_begin_pos(cls, code, start_index, continue_count, end_index):
+
second_930 = 9 * 3600 + 30 * 60 + 0
# 鍊掓暟100鏉℃暟鎹煡璇�
datas = local_today_datas[code]
@@ -1133,7 +1197,12 @@
continue
if L2DataUtil.is_limit_up_price_buy(_val):
-
+ # 閲戦瑕佸ぇ浜�50涓�
+ if _val["num"] * float(_val["price"]) < 5000:
+ continue
+ # 瀵绘壘鍓嶉潰continue_count-1涓定鍋滀拱
+ # for j in range(start_index - 1, -1, -1):
+ # if datas[j]["val"]
if last_index is None or (datas[last_index]["val"]["time"] == datas[i]["val"]["time"]):
if start is None:
start = i
@@ -1155,9 +1224,70 @@
return False, None
+ # 蹇�熶拱鍏ユ硶鐨勪俊鍙蜂綅缃煡鎵�
+ @classmethod
+ def __compute_fast_order_begin_pos(cls, code, start_index, end_index):
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ # if float(limit_up_price) >= 10:
+ # return False, -1, "鑲′环澶т簬10鍧�"
+ total_datas = local_today_datas[code]
+ start_time_str = total_datas[start_index]["val"]["time"]
+ # if tool.trade_time_sub(start_time_str, "13:00:00") > 0:
+ # return False, -1, "瓒呰繃瑙勫畾鏃堕棿"
+ refer_sell_data = cls.__L2MarketSellManager.get_refer_sell_data(code, start_time_str)
+ if refer_sell_data is None:
+ return False, -1, "鎬诲崠涓虹┖"
+ if cls.__L2MarketSellManager.is_refer_sell_time_used(code, refer_sell_data[0]):
+ return False, -1, "鎬诲崠缁熻鏃堕棿宸茶浣跨敤"
+ # 鏄惁澶т簬500涓�
+ if refer_sell_data[1] <= 500 * 10000:
+ return False, -1, "鎬诲崠灏忎簬鎸囧畾閲戦"
+ # 缁熻涔嬪墠鐨勫崠
+ threshold_money = refer_sell_data[1]
+ for i in range(start_index - 1, -1, -1):
+ val = total_datas[i]["val"]
+ if tool.compare_time(val["time"], refer_sell_data[0]) <= 0:
+ break
+ if L2DataUtil.is_sell(val):
+ threshold_money += val["num"] * int(float(val["price"]) * 100)
+ elif L2DataUtil.is_sell_cancel(val):
+ threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ # 鏄惁涓烘湰绉掔殑绗竴涓定鍋滀拱
+ 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):
+ # 瑕佺粺璁″崠涓庡崠鎾�
+ if L2DataUtil.is_sell(val):
+ threshold_money += val["num"] * int(float(val["price"]) * 100)
+ elif L2DataUtil.is_sell_cancel(val):
+ threshold_money -= val["num"] * int(float(val["price"]) * 100)
+ continue
+ # 50 涓囦互涓嬬殑涓嶉渶瑕�
+ if val["num"] * float(val["price"]) < 5000:
+ continue
+ # 鏄惁涓烘湰s鐨勭涓�娆℃定鍋�
+ is_first_limit_up = True
+ for j in range(i - 1, -1, -1):
+ temp_val = total_datas[j]["val"]
+ if temp_val["time"] == val["time"]:
+ if L2DataUtil.is_limit_up_price_buy(temp_val) and temp_val["num"] * float(
+ temp_val["price"]) >= 5000:
+ is_first_limit_up = True
+ break
+ else:
+ break
+ if is_first_limit_up:
+ return True, i, [refer_sell_data[0], threshold_money]
+ return False, None, None
+
@classmethod
def __get_threshmoney(cls, code):
- return cls.__l2PlaceOrderParamsManagerDict[code].get_m_val()
+ m, msg = cls.__l2PlaceOrderParamsManagerDict[code].get_m_val()
+ if trade_manager.CodesTradeStateManager().get_trade_state_cache(code) == trade_manager.TRADE_STATE_NOT_TRADE:
+ # 棣栨涓嬪崟m鍊兼墿澶�1.5鍊�
+ m = int(m * 1.5)
+ return m, msg
# 璁＄畻涓囨墜鍝ョ瑪鏁�
@classmethod
@@ -1241,10 +1371,9 @@
# 鍙粺璁�59涓囦互涓婄殑閲戦
# 娑ㄥ仠涔版挙
# 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(code,
- total_datas[i],
- local_today_num_operate_map.get(
- code))
+ buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(total_datas[i],
+ local_today_buyno_map.get(
+ code))
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:
@@ -1275,6 +1404,12 @@
max_buy_num_set_count += total_datas[i1]["re"]
# 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
if buy_nums >= threshold_num and buy_count >= threshold_count and trigger_buy and max_buy_num_set_count >= big_num_count:
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, threshold_count, list(max_buy_num_set))
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+
return i, buy_nums, buy_count, None, max_buy_num_set
l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿} 鐩爣绾拱鍗曟暟锛歿} 澶у崟鏁伴噺锛歿} 鐩爣澶у崟鏁伴噺锛歿}",
@@ -1284,8 +1419,141 @@
return None, buy_nums, buy_count, None, max_buy_num_set
+ # 杩斿洖(涔板叆鎵ц鐐�, 鎬绘墜, 鎬荤瑪鏁�, 浠庢柊璁＄畻璧风偣, 绾拱棰濋槇鍊�)
+ # 璁＄畻蹇�熶拱鍏�
+ @classmethod
+ def __sum_buy_num_for_order_fast(cls, code, compute_start_index, compute_end_index, origin_num, origin_count,
+ threshold_money_origin, buy_single_index):
+ _start_time = t.time()
+ total_datas = local_today_datas[code]
+ # is_first_code = gpcode_manager.FirstCodeManager().is_in_first_record_cache(code)
+
+ buy_nums = origin_num
+ buy_count = origin_count
+ limit_up_price = gpcode_manager.get_limit_up_price(code)
+ if limit_up_price is None:
+ raise Exception("娑ㄥ仠浠锋棤娉曡幏鍙�")
+ limit_up_price = float(limit_up_price)
+
+ threshold_money = threshold_money_origin
+ # 鐩爣鎵嬫暟
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+
+ buy_single_time_seconds = L2DataUtil.get_time_as_second(total_datas[buy_single_index]["val"]["time"])
+
+ # 鍙互瑙﹀彂涔帮紝褰撴湁娑ㄥ仠涔颁俊鍙锋椂鎵嶄細瑙﹀彂涔�
+ trigger_buy = True
+ # 闂撮殧鏈�澶ф椂闂翠负3s
+ max_space_time = 3
+ for i in range(compute_start_index, compute_end_index + 1):
+ data = total_datas[i]
+ _val = total_datas[i]["val"]
+ trigger_buy = False
+ # 蹇呴』涓鸿繛缁�2绉掑唴鐨勬暟鎹�
+ if L2DataUtil.get_time_as_second(_val["time"]) - buy_single_time_seconds + 1 > max_space_time:
+ cls.__TradePointManager.delete_buy_point(code)
+ if i == compute_end_index:
+ # 鏁版嵁澶勭悊瀹屾瘯
+ return None, buy_nums, buy_count, None, threshold_money
+ else:
+ # 璁＄畻涔板叆淇″彿锛屼笉鑳藉悓涓�鏃堕棿寮�濮嬭绠�
+ for ii in range(buy_single_index + 1, compute_end_index + 1):
+ if total_datas[buy_single_index]["val"]["time"] != total_datas[ii]["val"]["time"]:
+ return None, buy_nums, buy_count, ii, threshold_money
+ if L2DataUtil.is_sell(_val):
+ threshold_money += _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ elif L2DataUtil.is_sell_cancel(_val):
+ threshold_money -= _val["num"] * int(float(_val["price"]) * 100)
+ threshold_num = round(threshold_money / (limit_up_price * 100))
+ # 娑ㄥ仠涔�
+ elif L2DataUtil.is_limit_up_price_buy(_val):
+ trigger_buy = True
+ # 鍙粺璁�59涓囦互涓婄殑閲戦
+ buy_nums += int(_val["num"]) * int(total_datas[i]["re"])
+ buy_count += int(total_datas[i]["re"])
+ if buy_nums >= threshold_num:
+ async_log_util.info(logger_l2_trade_buy,
+ 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],
+ local_today_buyno_map.get(
+ code))
+ 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:
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍚� 鎾や拱绾拱鎵嬫暟锛歿} 鐩爣鎵嬫暟锛歿}", i, buy_nums, threshold_num)
+ else:
+ l2_log.buy_debug(code, "{}鏁版嵁鍦ㄤ拱鍏ヤ俊鍙蜂箣鍓嶏紝涔板叆浣嶏細{}", i, buy_index)
+ if total_datas[buy_single_index]["val"]["time"] == total_datas[buy_index]["val"]["time"]:
+ # 鍚屼竴绉�,褰撲綔涔板叆淇″彿涔嬪悗澶勭悊
+ buy_nums -= int(_val["num"]) * int(data["re"])
+ buy_count -= int(data["re"])
+ # 澶у崟鎾ら攢
+ l2_log.buy_debug(code, "{}鏁版嵁涔板叆浣嶄笌棰勪及涔板叆浣嶅湪鍚屼竴绉�", i)
+ else:
+ # 鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�
+ l2_log.buy_debug(code, "鏈壘鍒颁拱鎾ゆ暟鎹殑涔板叆鐐�: 浣嶇疆-{} 鏁版嵁-{}", i, data)
+ buy_nums -= int(_val["num"]) * int(total_datas[i]["re"])
+ buy_count -= int(total_datas[i]["re"])
+ l2_log.buy_debug(code, "浣嶇疆-{}锛屾�绘墜鏁帮細{}锛岀洰鏍囨墜鏁帮細{}", i,
+ buy_nums, threshold_num)
+ # 鏈夋挙鍗曚俊鍙凤紝涓斿皬浜庨槇鍊�
+ if buy_nums >= threshold_num and trigger_buy:
+ try:
+ info = cls.__trade_log_placr_order_info_dict[code]
+ info.set_trade_factor(threshold_money, 0, [])
+ except Exception as e:
+ async_log_util.error(logger_l2_error, f"璁板綍浜ゆ槗鍥犲瓙鍑洪敊锛歿str(e)}")
+
+ return i, buy_nums, buy_count, None, threshold_money
+
+ l2_log.buy_debug(code, "灏氭湭鑾峰彇鍒颁拱鍏ユ墽琛岀偣(蹇�熶拱鍏�)锛岃捣濮嬭绠椾綅缃細{} 缁熻绾拱鎵嬫暟锛歿} 鐩爣绾拱鎵嬫暟锛歿} 缁熻绾拱鍗曟暟锛歿}",
+ compute_start_index,
+ buy_nums,
+ threshold_num, buy_count)
+
+ return None, buy_nums, buy_count, None, threshold_money
+
+
+def test_trade_record():
+ code = "000333"
+ __trade_log_placr_order_info_dict = {code: trade_record_log_util.PlaceOrderInfo()}
+ try:
+ jx_blocks, jx_blocks_by = KPLCodeJXBlockManager().get_jx_blocks_cache(
+ code), KPLCodeJXBlockManager().get_jx_blocks_cache(code, by=True)
+ info = __trade_log_placr_order_info_dict[code]
+ info.set_buy_index(0, 1)
+ if jx_blocks:
+ info.set_kpl_blocks(list(jx_blocks))
+ elif jx_blocks_by:
+ info.set_kpl_blocks(list(jx_blocks_by))
+ else:
+ info.set_kpl_blocks([])
+
+ trade_record_log_util.add_place_order_log(code, info)
+ except:
+ pass
+
if __name__ == "__main__":
- yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]
- yesterday_codes = set([x[0] for x in yesterday_limit_up_data_records])
- print(yesterday_codes)
+ # test_trade_record()
+ # yesterday_limit_up_data_records = kpl_data_manager.get_current_limit_up_data_records(1)[0][1]
+ # yesterday_codes = set([x[0] for x in yesterday_limit_up_data_records])
+ # print(yesterday_codes)
+ code = "603003"
+ datas = log_export.load_l2_from_log()
+ datas = datas.get(code)
+ if datas is None:
+ datas = []
+ l2.l2_data_util.local_today_datas[code] = datas[:191]
+ l2.l2_data_util.load_buy_no_map(l2.l2_data_util.local_today_buyno_map, code,
+ l2.l2_data_util.local_today_datas[code])
+ l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code,
+ l2.l2_data_util.local_today_datas[code])
+ start_index = 73
+ end_index = 190
+ LCancelBigNumComputer().compute_watch_index(code, start_index, end_index)
--
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