From 2598f02b60d26264986881e5368515ed3d6a1f36 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期日, 14 九月 2025 23:15:47 +0800
Subject: [PATCH] 新版激进下单（抛压消耗完之后300w后挂单）
---
huaxin_client/l2_client_test.py | 204 +++++++++++++++++++++++++++++++++++++++++---------
1 files changed, 167 insertions(+), 37 deletions(-)
diff --git a/huaxin_client/l2_client_test.py b/huaxin_client/l2_client_test.py
index 72caebb..ad0e818 100644
--- a/huaxin_client/l2_client_test.py
+++ b/huaxin_client/l2_client_test.py
@@ -4,6 +4,7 @@
import queue
import time
import lev2mdapi
+from l2.huaxin import l2_huaxin_util
from log_module import log
from log_module.log import logger_local_huaxin_l2_subscript, logger_system
from utils import tool
@@ -32,21 +33,33 @@
g_SubBondMarketData = False
g_SubBondTransaction = False
g_SubBondOrderDetail = False
-set_codes_data_queue = queue.Queue()
+set_codes_data_queue = queue.Queue(maxsize=102400)
market_code_dict = {}
ENABLE_NGST = True
class L2TransactionDataManager:
- def __init__(self, code):
+ def __init__(self, code, accurate_buy=False):
+ """
+ @param code:
+ @param accurate_buy: 鏄惁闇�瑕佺簿纭殑涔板崟淇℃伅
+ """
self.code = code
self.__latest_buy_order = None
self.__big_buy_orders = []
+ # 绮剧‘鐨勪拱鍗曚俊鎭紝{涔板崟鍙凤細璁㈠崟淇℃伅}
+ self.__big_accurate_buy_order_dict = {}
+ self.__big_accurate_sell_order_dict = {}
self.__latest_sell_order = None
self.__big_sell_orders = []
- self.big_buy_order_queue = queue.Queue()
- self.big_sell_order_queue = queue.Queue()
+ self.big_accurate_buy_order_queue = queue.Queue(maxsize=102400)
+ self.big_accurate_sell_order_queue = queue.Queue(maxsize=102400)
+ self.big_buy_order_queue = queue.Queue(maxsize=102400)
+ self.big_sell_order_queue = queue.Queue(maxsize=102400)
+ self.accurate_buy = accurate_buy
+ self.__last_accurate_buy_count = 0
+ self.__last_accurate_sell_count = 0
def get_big_buy_orders(self):
return self.__big_buy_orders
@@ -54,8 +67,87 @@
def get_big_sell_orders(self):
return self.__big_sell_orders
- def add_transaction_data(self, data):
- item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"])
+ def add_transaction_data_for_accurate(self, item, big_order_money_threshold=299e4):
+ """
+ 鑾峰彇绮剧‘鐨勪拱鍗曚俊鎭�
+ @param big_order_money_threshold: 澶у崟闃堝��
+ @param data:
+ @return:
+ """
+
+ def format_timestamp(timestamp):
+ time_str = str(timestamp)
+ return int(time_str[:5] if time_str[0] == '9' else time_str[:6])
+
+ money = round(item[2] * item[3])
+ volume = item[3]
+ price = item[2]
+ order_time = item[4]
+ if item[0] not in self.__big_accurate_buy_order_dict:
+ # (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�, 寮�濮嬫垚浜ゆ椂闂�, 寮�濮嬫垚浜や环鏍�)
+ self.__big_accurate_buy_order_dict[item[0]] = [item[0], 0, 0, order_time, price, order_time, price]
+ buy_order_info = self.__big_accurate_buy_order_dict[item[0]]
+ buy_order_info[1] += volume
+ buy_order_info[2] += money
+ buy_order_info[3] = order_time
+ buy_order_info[4] = price
+ # 灏嗗ぇ鍗曞啓鍏ユ湰鍦版枃浠�
+ if self.__latest_buy_order and self.__latest_buy_order[0] != item[0]:
+ # 鏈夊彲鑳芥槸澶у崟鎴愪氦瀹屾垚锛� 鍒ゆ柇涓婁釜璁㈠崟鏄惁鏄ぇ鍗�
+ last_buy_order = self.__big_accurate_buy_order_dict.get(self.__latest_buy_order[0])
+
+ if last_buy_order[2] > big_order_money_threshold:
+ self.big_accurate_buy_order_queue.put_nowait(last_buy_order)
+
+ # 濡傛灉鏁版嵁杩囧闇�瑕佺Щ闄よ繃闀挎椂闂寸殑灏忛噾棰濇暟鎹�
+ accurate_buy_count = len(self.__big_accurate_buy_order_dict.keys())
+ if accurate_buy_count > 10000 and accurate_buy_count - self.__last_accurate_buy_count > 2000:
+ # 瓒呰繃1w鏉℃暟鎹笖鏂板2000鏉℃暟鎹�
+ # 瓒呰繃1w鏉℃暟鎹氨瑕佺Щ闄�30鍒嗛挓涔嬪墠鐨勬暟鎹�
+ now_time_int = int(
+ tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
+ try:
+ remove_order_nos = [x for x in self.__big_accurate_buy_order_dict if
+ format_timestamp(self.__big_accurate_buy_order_dict[x][3]) < now_time_int]
+ if remove_order_nos:
+ for order_no in remove_order_nos:
+ self.__big_accurate_buy_order_dict.pop(order_no)
+ finally:
+ self.__last_accurate_buy_count = len(self.__big_accurate_buy_order_dict)
+
+ # 缁熻鍗栧崟
+ if item[1] not in self.__big_accurate_sell_order_dict:
+ # (鍗栧崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�, 寮�濮嬫垚浜ゆ椂闂�, 寮�濮嬫垚浜や环鏍�)
+ self.__big_accurate_sell_order_dict[item[1]] = [item[1], 0, 0, order_time, price, order_time, price]
+ sell_order_info = self.__big_accurate_sell_order_dict[item[1]]
+ sell_order_info[1] += volume
+ sell_order_info[2] += money
+ sell_order_info[3] = order_time
+ sell_order_info[4] = price
+ if self.__latest_sell_order and self.__latest_sell_order[0] != item[1]:
+ # 鏈夊彲鑳芥槸澶у崟鎴愪氦瀹屾垚锛� 鍒ゆ柇涓婁釜璁㈠崟鏄惁鏄ぇ鍗�
+ last_sell_order = self.__big_accurate_sell_order_dict.get(self.__latest_sell_order[0])
+ if last_sell_order[2] > big_order_money_threshold:
+ self.big_accurate_sell_order_queue.put_nowait(last_sell_order)
+ # 濡傛灉鏁版嵁杩囧闇�瑕佺Щ闄よ繃闀挎椂闂寸殑灏忛噾棰濇暟鎹�
+ accurate_sell_count = len(self.__big_accurate_sell_order_dict.keys())
+ if accurate_sell_count > 10000 and accurate_sell_count - self.__last_accurate_sell_count > 2000:
+ # 瓒呰繃1w鏉℃暟鎹笖鏂板2000鏉℃暟鎹�
+ # 瓒呰繃1w鏉℃暟鎹氨瑕佺Щ闄�30鍒嗛挓涔嬪墠鐨勬暟鎹�
+ now_time_int = int(
+ tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
+ try:
+ remove_order_nos = [x for x in self.__big_accurate_sell_order_dict if
+ now_time_int > format_timestamp(
+ self.__big_accurate_sell_order_dict[x][3])]
+ if remove_order_nos:
+ for order_no in remove_order_nos:
+ self.__big_accurate_sell_order_dict.pop(order_no)
+ finally:
+ self.__last_accurate_sell_count = len(self.__big_accurate_sell_order_dict.keys())
+
+ def add_transaction_data(self, data, big_order_money_threshold=299e4):
+ item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"], data["OrderTime"])
# item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
# "TradeVolume": pTransaction['TradeVolume'],
# "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
@@ -64,33 +156,43 @@
# "ExecType": pTransaction['ExecType'].decode()}
money = round(item[2] * item[3])
volume = item[3]
- order_time = data["OrderTime"]
+ price = item[2]
+ order_time = item[4]
+
+ if self.accurate_buy:
+ self.add_transaction_data_for_accurate(item, big_order_money_threshold=100e4)
+
if not self.__latest_buy_order:
- self.__latest_buy_order = [item[0], 0, 0, order_time]
+ # (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�)
+ self.__latest_buy_order = [item[0], 0, 0, order_time, price]
if self.__latest_buy_order[0] == item[0]:
self.__latest_buy_order[1] += volume
self.__latest_buy_order[2] += money
self.__latest_buy_order[3] = order_time
+ self.__latest_buy_order[4] = price
else:
- if self.__latest_buy_order[2] > 1e6:
- d = (self.__latest_buy_order[0], self.__latest_buy_order[1], self.__latest_buy_order[2], self.__latest_buy_order[3])
+ if self.__latest_buy_order[2] >= big_order_money_threshold:
+ d = (self.__latest_buy_order[0], self.__latest_buy_order[1], self.__latest_buy_order[2],
+ self.__latest_buy_order[3], self.__latest_buy_order[4])
self.__big_buy_orders.append(d)
self.big_buy_order_queue.put_nowait(d)
- self.__latest_buy_order = [item[0], volume, money, order_time]
+ self.__latest_buy_order = [item[0], volume, money, order_time, price]
if not self.__latest_sell_order:
- self.__latest_sell_order = [item[1], 0, 0, order_time]
+ self.__latest_sell_order = [item[1], 0, 0, order_time, price]
if self.__latest_sell_order[0] == item[1]:
self.__latest_sell_order[1] += volume
self.__latest_sell_order[2] += money
self.__latest_sell_order[3] = order_time
+ self.__latest_sell_order[4] = price
else:
- if self.__latest_sell_order[2] > 1e6:
- d = (self.__latest_sell_order[0], self.__latest_sell_order[1], self.__latest_sell_order[2], self.__latest_sell_order[3])
+ if self.__latest_sell_order[2] > big_order_money_threshold:
+ d = (self.__latest_sell_order[0], self.__latest_sell_order[1], self.__latest_sell_order[2],
+ self.__latest_sell_order[3], self.__latest_sell_order[4])
self.__big_sell_orders.append(d)
self.big_sell_order_queue.put_nowait(d)
- self.__latest_sell_order = [item[1], volume, money, order_time]
+ self.__latest_sell_order = [item[1], volume, money, order_time, price]
# 涔板叆鐨勫ぇ鍗曡鍗曞彿
@@ -106,12 +208,13 @@
# 浠ｇ爜鐨勪笂娆℃垚浜ょ殑璁㈠崟鍞竴绱㈠紩
__last_transaction_keys_dict = {}
- def __init__(self, api, codes):
+ def __init__(self, api, codes, special_codes):
lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
self.__api = api
self.is_login = False
self.codes = codes
self.codes_volume_and_price_dict = {}
+ self.special_codes = special_codes
def __split_codes(self, codes):
szse_codes = []
@@ -222,8 +325,9 @@
"SellNo": pTransaction['SellNo'],
"ExecType": pTransaction['ExecType'].decode()}
if item["SecurityID"] not in l2_transaction_data_dict:
- l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
- l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"], item[
+ "SecurityID"] in self.special_codes)
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item, big_order_money_threshold=60e4)
def OnRtnNGTSTick(self, pTick):
"""
@@ -241,13 +345,14 @@
"SellNo": pTick['SellNo'],
"ExecType": '1'}
if item["SecurityID"] not in l2_transaction_data_dict:
- l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
- l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"], item[
+ "SecurityID"] in self.special_codes)
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item, big_order_money_threshold=60e4)
except Exception as e:
logger_local_huaxin_l2_subscript.exception(e)
-def __init_l2(codes):
+def __init_l2(codes, special_codes):
print(lev2mdapi.CTORATstpLev2MdApi_GetApiVersion())
# case 1: Tcp鏂瑰紡
# g_SubMode=lev2mdapi.TORA_TSTP_MST_TCP
@@ -260,7 +365,7 @@
# case 2闈炵紦瀛樻ā寮�
# api = lev2mdapi.CTORATstpLev2MdApi_CreateTstpLev2MdApi(g_SubMode, False)
global spi
- spi = Lev2MdSpi(api, codes)
+ spi = Lev2MdSpi(api, codes, special_codes)
api.RegisterSpi(spi)
# -------------------姝ｅ紡妯″紡-------------------------------------
if g_SubMode != lev2mdapi.TORA_TSTP_MST_MCAST:
@@ -281,38 +386,63 @@
api.Init()
-def run(codes, _queue: multiprocessing.Queue) -> None:
+def run(codes, _queue: multiprocessing.Queue, accurate_buy_order_queue: multiprocessing.Queue, special_codes) -> None:
+ """
+ 杩愯璁㈤槄
+ @param accurate_buy_order_queue: 绮剧‘澶у崟闃熷垪
+ @param codes: 璁㈤槄鐨勪唬鐮�
+ @param _queue: 鏁版嵁浼犺緭鐨勯槦鍒�
+ @param special_codes: 闇�瑕佺‘瀹氬畬鏁村ぇ鍗曠殑浠ｇ爜
+ @return:
+ """
try:
log.close_print()
-
- __init_l2(codes)
+ __init_l2(codes, special_codes)
logger_system.info(f"L2璁㈤槄鏈嶅姟鍚姩鎴愬姛:")
except Exception as e:
logger_system.exception(e)
while True:
try:
+ # 璇诲彇涓�閬�
for code in l2_transaction_data_dict:
l2_transaction_data_manager: L2TransactionDataManager = l2_transaction_data_dict[code]
- try:
- while True:
+
+ while True:
+ if not l2_transaction_data_manager.big_buy_order_queue.empty():
result = l2_transaction_data_manager.big_buy_order_queue.get(block=False)
if result:
_queue.put_nowait((code, 0, result))
- else:
- break
- except:
- pass
- try:
- while True:
+ else:
+ break
+
+ while True:
+ if not l2_transaction_data_manager.big_accurate_buy_order_queue.empty():
+ result = l2_transaction_data_manager.big_accurate_buy_order_queue.get(block=False)
+ if result:
+ accurate_buy_order_queue.put_nowait((code, 0, result))
+ else:
+ break
+
+ while True:
+ if not l2_transaction_data_manager.big_accurate_sell_order_queue.empty():
+ result = l2_transaction_data_manager.big_accurate_sell_order_queue.get(block=False)
+ if result:
+ accurate_buy_order_queue.put_nowait((code, 1, result))
+ else:
+ break
+
+ while True:
+ if not l2_transaction_data_manager.big_sell_order_queue.empty():
result = l2_transaction_data_manager.big_sell_order_queue.get(block=False)
if result:
_queue.put_nowait((code, 1, result))
- else:
- break
- except:
- pass
+ else:
+ break
except:
pass
finally:
time.sleep(1)
+
+if __name__ == "__main__":
+ pass
--
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