From 6a0d3ff5832e57ee1b1374d086f24b3c1679b332 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 05 九月 2025 18:22:24 +0800
Subject: [PATCH] bug修复/降低测撤单率
---
huaxin_client/l2_client_test.py | 138 +++++++++++++++++++++++++++++----------------
1 files changed, 89 insertions(+), 49 deletions(-)
diff --git a/huaxin_client/l2_client_test.py b/huaxin_client/l2_client_test.py
index 96623e5..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
@@ -32,7 +33,7 @@
g_SubBondMarketData = False
g_SubBondTransaction = False
g_SubBondOrderDetail = False
-set_codes_data_queue = queue.Queue(maxsize=10240)
+set_codes_data_queue = queue.Queue(maxsize=102400)
market_code_dict = {}
ENABLE_NGST = True
@@ -49,13 +50,16 @@
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_accurate_buy_order_queue = queue.Queue(maxsize=10240)
- self.big_buy_order_queue = queue.Queue(maxsize=10240)
- self.big_sell_order_queue = queue.Queue(maxsize=10240)
+ 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
@@ -63,9 +67,10 @@
def get_big_sell_orders(self):
return self.__big_sell_orders
- def add_transaction_data_for_accurate_buy(self, data):
+ 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:
"""
@@ -74,49 +79,75 @@
time_str = str(timestamp)
return int(time_str[:5] if time_str[0] == '9' else time_str[:6])
- item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"])
- # item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
- # "TradeVolume": pTransaction['TradeVolume'],
- # "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
- # "SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
- # "SellNo": pTransaction['SellNo'],
- # "ExecType": pTransaction['ExecType'].decode()}
money = round(item[2] * item[3])
volume = item[3]
price = item[2]
- order_time = data["OrderTime"]
+ 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�)
- self.__big_accurate_buy_order_dict[item[0]] = [item[0], 0, 0, order_time, price]
+ # (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[0] != item[0]:
+ 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] > 299e4:
+
+ 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)
+ 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(tool.get_now_time_str(), -1800).replace(":", ""))
+ 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
- now_time_int - format_timestamp(
- self.__big_accurate_buy_order_dict[x][3]) > 0]
+ 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)
- def add_transaction_data(self, data):
- item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"])
+ # 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'],
@@ -126,10 +157,10 @@
money = round(item[2] * item[3])
volume = item[3]
price = item[2]
- order_time = data["OrderTime"]
+ order_time = item[4]
if self.accurate_buy:
- self.add_transaction_data_for_accurate_buy(data)
+ self.add_transaction_data_for_accurate(item, big_order_money_threshold=100e4)
if not self.__latest_buy_order:
# (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�)
@@ -140,7 +171,7 @@
self.__latest_buy_order[3] = order_time
self.__latest_buy_order[4] = price
else:
- if self.__latest_buy_order[2] > 1e6:
+ 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)
@@ -156,7 +187,7 @@
self.__latest_sell_order[3] = order_time
self.__latest_sell_order[4] = price
else:
- if self.__latest_sell_order[2] > 1e6:
+ 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)
@@ -294,8 +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"], item["SecurityID"] in self.special_codes)
- 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):
"""
@@ -313,8 +345,9 @@
"SellNo": pTick['SellNo'],
"ExecType": '1'}
if item["SecurityID"] not in l2_transaction_data_dict:
- 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)
+ 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)
@@ -370,39 +403,46 @@
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
+ else:
+ break
- try:
- while True:
+ 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
- except:
- pass
+ 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
- try:
- while True:
+ 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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