From cb4589db74aac2822f2aeb97eb3c28d2b7d59338 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 19 八月 2025 18:32:52 +0800
Subject: [PATCH] 最后一笔卖被消耗触发下单信号
---
huaxin_client/l2_data_manager.py | 172 ++++++++++++++++++++++++++++++++++++++-------------------
1 files changed, 114 insertions(+), 58 deletions(-)
diff --git a/huaxin_client/l2_data_manager.py b/huaxin_client/l2_data_manager.py
index 7564602..f47415a 100644
--- a/huaxin_client/l2_data_manager.py
+++ b/huaxin_client/l2_data_manager.py
@@ -1,19 +1,22 @@
# -*- coding: utf-8 -*-
import json
import logging
-import multiprocessing
+import marshal
import queue
import threading
import time
+
+import constant
from huaxin_client import socket_util
from huaxin_client.client_network import SendResponseSkManager
# 娲诲姩鏃堕棿
-from huaxin_client.code_queue_distribute_manager import CodeQueueDistributeManager
+from huaxin_client.code_queue_distribute_manager import CodeDataCallbackDistributeManager
from log_module import async_log_util
from log_module.async_log_util import huaxin_l2_log
-from log_module.log import logger_local_huaxin_l2_error, logger_system, logger_local_huaxin_l2_subscript
+from log_module.log import logger_local_huaxin_l2_error, logger_system, logger_local_huaxin_l2_subscript, \
+ logger_local_huaxin_l2_special_volume, logger_debug, logger_local_huaxin_l2_orderdetail
from utils import tool
import collections
import zmq
@@ -25,35 +28,37 @@
tmep_transaction_queue_dict = {}
target_codes = set()
target_codes_add_time = {}
-common_queue = queue.Queue()
+common_queue = queue.Queue(maxsize=1000)
# L2涓婁紶鏁版嵁绠＄悊鍣�
class L2DataUploadManager:
- # order_ipc_hosts:杩滅▼host
- def __init__(self, order_queue_distribute_manager: CodeQueueDistributeManager,
- transaction_queue_distribute_manager: CodeQueueDistributeManager,
- market_data_queue: multiprocessing.Queue, order_ipc_hosts):
- self.order_queue_distribute_manager = order_queue_distribute_manager
- self.transaction_queue_distribute_manager = transaction_queue_distribute_manager
- self.market_data_queue = market_data_queue
+ def __init__(self, data_callback_distribute_manager: CodeDataCallbackDistributeManager):
+ self.data_callback_distribute_manager = data_callback_distribute_manager
+ # 浠ｇ爜鍒嗛厤鐨勫璞�
self.temp_order_queue_dict = {}
self.temp_transaction_queue_dict = {}
self.temp_log_queue_dict = {}
+
self.filter_order_condition_dict = {}
self.upload_l2_data_task_dict = {}
self.l2_order_codes = set()
self.l2_transaction_codes = set()
- # 璁㈠崟
- self.l2_order_upload_protocol = L2DataUploadProtocolManager(order_ipc_hosts)
# 璁剧疆璁㈠崟杩囨护鏉′欢
# special_price:杩囨护鐨�1鎵嬬殑浠锋牸
- def set_order_fileter_condition(self, code, min_volume, limit_up_price, shadow_price, buy_volume):
- if code not in self.filter_order_condition_dict:
- self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, shadow_price, buy_volume)]
- huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
- f"({code})甯歌杩囨护鏉′欢璁剧疆锛歿self.filter_order_condition_dict[code]}")
+ def set_order_fileter_condition(self, code, min_volume, limit_up_price, shadow_price, buy_volume, special_volumes):
+ if not special_volumes:
+ special_volumes = set()
+ # if code not in self.filter_order_condition_dict:
+ try:
+ # (鏈�灏忕殑閲�, 娑ㄥ仠浠锋牸, 褰卞瓙鍗曚环鏍�, 涔扮殑閲�, 搴熷純浣跨敤, 鐗规畩鐨勯噺闆嗗悎)
+ self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, shadow_price, buy_volume,
+ int(min_volume) // 50, set(special_volumes))]
+ # huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
+ # f"({code})甯歌杩囨护鏉′欢璁剧疆锛歿self.filter_order_condition_dict[code]}")
+ except Exception as e:
+ logger_debug.error(f"{str(e)} - min_volume-{min_volume}")
# 杩囨护璁㈠崟
def __filter_order(self, item):
@@ -63,11 +68,22 @@
if item[2] >= filter_condition[0][0]:
return item
# 1鎵嬬殑涔板崟婊¤冻浠锋牸
- if item[2] == 100: #and abs(filter_condition[0][2] - item[1]) < 0.001:
- return item
+ # if item[2] == 100 and abs(filter_condition[0][2] - item[1]) < 0.001:
+ # return item
# 涔伴噺
if item[2] == filter_condition[0][3]:
return item
+
+ # 鎵�鏈夌殑娑ㄥ仠鍗�
+ if item[3] != '1':
+ # 鍗栦笌鍗栨挙
+ if abs(item[1] - filter_condition[0][1]) < 0.001:
+ # 娑ㄥ仠浠�
+ return item
+ else:
+ if item[2] in filter_condition[0][5]:
+ # 鐗规畩鎵嬫暟
+ return item
return None
return item
# 杩囨护璁㈠崟
@@ -91,10 +107,16 @@
# queue_info[1].put_nowait(
# (data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
# data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
+ # if data['Volume'] == 100:
+ # log_queue = self.temp_log_queue_dict.get(code)
+ # if log_queue:
+ # log_queue.put_nowait(data)
q: collections.deque = self.temp_order_queue_dict.get(code)
- q.append((data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
- data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
+ if q is not None:
+ q.append(
+ (data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'], data['OrderTime'],
+ data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'], time.time(), start_time))
# 娣诲姞閫愮瑪鎴愪氦
def add_transaction_detail(self, data):
@@ -109,61 +131,68 @@
# data['SellNo'], data['ExecType']))
q: collections.deque = self.temp_transaction_queue_dict.get(code)
- q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
- data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
- data['SellNo'], data['ExecType']))
+ if q is not None:
+ q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
+ data['SellNo'], data['ExecType'], time.time()))
def add_market_data(self, data):
# 鍔犲叆涓婁紶闃熷垪
- self.market_data_queue.put_nowait(data)
+ # self.market_data_queue.put_nowait(data)
+ code = data['securityID']
+ callback = self.data_callback_distribute_manager.get_distributed_callback(code)
+ if callback:
+ callback.OnMarketData(code, data)
# 鍒嗛厤涓婁紶闃熷垪
- def distribute_upload_queue(self, code):
- if not self.order_queue_distribute_manager.get_distributed_queue(code):
- self.order_queue_distribute_manager.distribute_queue(code)
- if not self.transaction_queue_distribute_manager.get_distributed_queue(code):
- self.transaction_queue_distribute_manager.distribute_queue(code)
+ def distribute_upload_queue(self, code, _target_codes=None):
+ """
+ 鍒嗛厤涓婁紶闃熷垪
+ @param code: 浠ｇ爜
+ @param _target_codes: 鎵�鏈夌殑鐩爣浠ｇ爜
+ @return:
+ """
+ if not self.data_callback_distribute_manager.get_distributed_callback(code):
+ self.data_callback_distribute_manager.distribute_callback(code, _target_codes)
+
if code not in self.temp_order_queue_dict:
self.temp_order_queue_dict[code] = collections.deque()
if code not in self.temp_transaction_queue_dict:
self.temp_transaction_queue_dict[code] = collections.deque()
- # 鍒嗛厤璁㈠崟涓婁紶鍗忚
- self.l2_order_upload_protocol.distribute_upload_host(code)
-
+ if code not in self.temp_log_queue_dict:
+ self.temp_log_queue_dict[code] = queue.Queue(maxsize=1000)
if code not in self.upload_l2_data_task_dict:
t1 = threading.Thread(target=lambda: self.__run_upload_order_task(code), daemon=True)
t1.start()
t2 = threading.Thread(target=lambda: self.__run_upload_transaction_task(code), daemon=True)
t2.start()
+ # t3 = threading.Thread(target=lambda: self.__run_log_task(code), daemon=True)
+ # t3.start()
self.upload_l2_data_task_dict[code] = (t1, t2)
# 閲婃斁宸茬粡鍒嗛厤鐨勯槦鍒�
def release_distributed_upload_queue(self, code):
- self.order_queue_distribute_manager.release_distribute_queue(code)
- self.transaction_queue_distribute_manager.release_distribute_queue(code)
- self.l2_order_upload_protocol.release_distributed_upload_host(code)
+ self.data_callback_distribute_manager.release_distribute_callback(code)
if code in self.temp_order_queue_dict:
self.temp_order_queue_dict[code].clear()
self.temp_order_queue_dict.pop(code)
if code in self.temp_transaction_queue_dict:
self.temp_transaction_queue_dict[code].clear()
self.temp_transaction_queue_dict.pop(code)
+ if code in self.temp_log_queue_dict:
+ self.temp_log_queue_dict.pop(code)
+
if code in self.upload_l2_data_task_dict:
self.upload_l2_data_task_dict.pop(code)
-
def __upload_l2_data(self, code, _queue, datas):
- _queue.put_nowait((code, datas, time.time()))
-
- def __upload_l2_order_data(self, code, datas):
- self.l2_order_upload_protocol.upload_data_as_json(code, (code, datas, time.time()))
+ _queue.put_nowait(marshal.dumps([code, datas, time.time()]))
# 澶勭悊璁㈠崟鏁版嵁骞朵笂浼�
def __run_upload_order_task(self, code):
q: collections.deque = self.temp_order_queue_dict.get(code)
temp_list = []
- queue_info = self.order_queue_distribute_manager.get_distributed_queue(code)
- upload_queue = queue_info[1]
+ filter_condition = self.filter_order_condition_dict.get(code)
while True:
try:
while len(q) > 0:
@@ -176,8 +205,21 @@
if temp_list:
# 涓婁紶鏁版嵁
# self.__upload_l2_data(code, upload_queue, temp_list)
- self.__upload_l2_order_data(code, temp_list)
- temp_list = []
+ # self.__upload_l2_order_data(code, temp_list)
+ __start_time = time.time()
+ last_data = temp_list[-1]
+ self.data_callback_distribute_manager.get_distributed_callback(code).OnL2Order(code, temp_list,
+ time.time())
+ use_time = time.time() - __start_time
+ if use_time > 0.01:
+ # 璁板綍10ms浠ヤ笂鐨勬暟鎹�
+ huaxin_l2_log.info(logger_local_huaxin_l2_error, f"鑰楁椂:{use_time}s 缁撴潫鏁版嵁锛歿last_data}")
+
+ # 璁板綍鎵�鏈夌殑璁㈠崟鍙�
+ if filter_condition:
+ huaxin_l2_log.info(logger_local_huaxin_l2_orderdetail,
+ f"{[(x[0], x[1], x[2], x[4], x[8]) for x in temp_list if x[2] >= filter_condition[0][0]]}")
+ temp_list.clear()
else:
if code not in self.temp_order_queue_dict:
self.l2_order_codes.discard(code)
@@ -188,13 +230,11 @@
except Exception as e:
logging.exception(e)
finally:
- pass
+ temp_list.clear()
# 澶勭悊鎴愪氦鏁版嵁骞朵笂浼�
def __run_upload_transaction_task(self, code):
q: collections.deque = self.temp_transaction_queue_dict.get(code)
- queue_info = self.transaction_queue_distribute_manager.get_distributed_queue(code)
- upload_queue = queue_info[1]
temp_list = []
while True:
try:
@@ -205,18 +245,33 @@
temp_list.append(data)
if temp_list:
# 涓婁紶鏁版嵁
- self.__upload_l2_data(code, upload_queue, temp_list)
+ # self.__upload_l2_data(code, upload_queue, temp_list)
+ self.data_callback_distribute_manager.get_distributed_callback(code).OnL2Transaction(code,
+ temp_list)
temp_list = []
else:
if code not in self.temp_transaction_queue_dict:
self.l2_transaction_codes.discard(code)
break
self.l2_transaction_codes.add(code)
- time.sleep(0.002)
+ time.sleep(0.001)
except:
pass
finally:
- pass
+ temp_list.clear()
+
+ def __run_log_task(self, code):
+ q: queue.Queue = self.temp_log_queue_dict.get(code)
+ while True:
+ try:
+ temp = q.get(timeout=10)
+ huaxin_l2_log.info(logger_local_huaxin_l2_special_volume,
+ f"{temp}")
+ except:
+ time.sleep(0.02)
+ finally:
+ if code not in self.temp_log_queue_dict:
+ break
class L2DataUploadProtocolManager:
@@ -230,6 +285,8 @@
self.code_socket_client_dict = {}
self.rlock = threading.RLock()
context = zmq.Context()
+ if constant.is_windows():
+ return
for host in self.ipchosts:
socket = context.socket(zmq.REQ)
socket.connect(host)
@@ -271,7 +328,7 @@
if code not in self.code_socket_client_dict:
raise Exception("灏氭湭鍒嗛厤host")
host, socket = self.code_socket_client_dict[code]
- socket.send_json(data)
+ socket.send(marshal.dumps(data))
socket.recv_string()
@@ -288,7 +345,7 @@
def add_subscript_codes(codes):
- print("add_subscript_codes", codes)
+ # print("add_subscript_codes", codes)
# 鍔犲叆涓婁紶闃熷垪
common_queue.put(('', "l2_subscript_codes", list(codes)))
@@ -312,7 +369,7 @@
return True
else:
# 鍐嶆鍙戦��
- print("鍐嶆鍙戦��")
+ # print("鍐嶆鍙戦��")
return __send_response(sk, msg)
except ConnectionResetError as e:
SendResponseSkManager.del_send_response_sk(type)
@@ -343,7 +400,7 @@
def __run_upload_common():
- print("__run_upload_common")
+ # print("__run_upload_common")
logger_system.info(f"l2_client __run_upload_common 绾跨▼ID:{tool.get_thread_id()}")
while True:
try:
@@ -359,7 +416,7 @@
def __run_log():
- print("__run_log")
+ # print("__run_log")
logger_system.info(f"l2_client __run_log 绾跨▼ID:{tool.get_thread_id()}")
async_log_util.huaxin_l2_log.run_sync()
@@ -378,7 +435,6 @@
def __test():
# 鍒嗛厤鏁版嵁
pass
-
def run_test():
--
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