From 2f2516749615da866e96d8d24e499b7ecbb63a3e Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 23 六月 2025 12:28:52 +0800
Subject: [PATCH] 默认交易模式变更/真实下单位置计算位置修改
---
l2/l2_transaction_data_manager.py | 687 +++++++++++++++++++++++++++++++++++++++++++++++---------
1 files changed, 572 insertions(+), 115 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 147463e..21f2739 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -2,17 +2,139 @@
L2鎴愪氦鏁版嵁澶勭悊鍣�
"""
import json
+import time
-from db import redis_manager
+import l2_data_util
+from db import redis_manager_delegate as redis_manager
from db.redis_manager_delegate import RedisUtils
from l2 import l2_log
from l2.huaxin import l2_huaxin_util
-from l2.l2_data_util import local_today_sellno_map, local_today_datas
+from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager
-from log_module import async_log_util
-from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order
+from log_module import log_export
+from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell, \
+ hx_logger_l2_transaction_big_buy_order, hx_logger_l2_transaction_big_sell_order, hx_logger_l2_upload
from utils import tool
+
+
+class BigOrderDealManager:
+ """
+ 鎴愪氦澶у崟绠＄悊
+ """
+ __total_buy_datas_dict = {}
+ __total_sell_datas_dict = {}
+ __instance = None
+
+ def __new__(cls, *args, **kwargs):
+ if not cls.__instance:
+ cls.__instance = super(BigOrderDealManager, cls).__new__(cls, *args, **kwargs)
+ cls.__load_datas()
+ return cls.__instance
+
+ @classmethod
+ def __load_datas(cls):
+ # 浠庢棩蹇楀姞杞芥暟鎹�
+ buy_order_map = log_export.load_huaxin_big_buy_order()
+ if buy_order_map:
+ for code in buy_order_map:
+ cls.__total_buy_datas_dict[code] = buy_order_map[code]
+
+ sell_order_map = log_export.load_huaxin_big_sell_order()
+ if sell_order_map:
+ for code in sell_order_map:
+ cls.__total_sell_datas_dict[code] = sell_order_map[code]
+
+ def add_buy_datas(self, code, datas):
+ """
+ 娣诲姞澶т拱鍗曟暟鎹�
+ @param code: 浠ｇ爜
+ @param datas:[(涔板崟鍙�,鎬昏偂鏁�,鎬绘垚浜ら,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿)]
+ @return:
+ """
+ if not datas:
+ return
+ if code not in self.__total_buy_datas_dict:
+ self.__total_buy_datas_dict[code] = []
+ self.__total_buy_datas_dict[code].extend(datas)
+ # 灏嗘暟鎹繚瀛樺埌鏃ュ織
+ l2_log.info(code, hx_logger_l2_transaction_big_buy_order, f"{datas}")
+
+ def add_sell_datas(self, code, datas):
+ """
+ 娣诲姞澶у崠鍗曟暟鎹�:鍙绠楁澘涓婃垚浜�
+ @param code: 浠ｇ爜
+ @param datas:[(鍗栧崟鍙�,鎬昏偂鏁�,鎬绘垚浜ら)]
+ @return:
+ """
+ if not datas:
+ return
+ if code not in self.__total_sell_datas_dict:
+ self.__total_sell_datas_dict[code] = []
+ self.__total_sell_datas_dict[code].extend(datas)
+ l2_log.info(code, hx_logger_l2_transaction_big_sell_order, f"{datas}")
+
+ def get_total_buy_money(self, code):
+ """
+ 鑾峰彇鎬诲叡鐨勫ぇ鍗曚拱閲戦
+ @param code:
+ @return:
+ """
+ if code not in self.__total_buy_datas_dict:
+ return 0
+ return int(sum([x[2] for x in self.__total_buy_datas_dict[code]]))
+
+ def get_total_buy_order_ids(self, code):
+ """
+ 鑾峰彇鎴愪氦澶у崟鐨勮鍗曞彿
+ @param code:
+ @return:
+ """
+ if code not in self.__total_buy_datas_dict:
+ return set()
+ return set([x[0] for x in self.__total_buy_datas_dict[code]])
+
+ def get_total_buy_count(self, code):
+ """
+ 鑾峰彇澶у崟鎴愪氦鐨勭瑪鏁�
+ @param code:
+ @return:
+ """
+ if code not in self.__total_buy_datas_dict:
+ return 0
+ return len(self.__total_buy_datas_dict[code])
+
+ def get_total_buy_money_list(self, code):
+ """
+ 鑾峰彇澶у崟鍒楄〃
+ @param code:
+ @return:
+ """
+ if code not in self.__total_buy_datas_dict:
+ return []
+ return [x[2] for x in self.__total_buy_datas_dict[code]]
+
+ def get_total_buy_data_list(self, code):
+ """
+ 鑾峰彇鎵�鏈夌殑涔板崟鏁版嵁鍒楄〃
+ @param code:
+ @return:[(涔板崟鍙�,鎬昏偂鏁�,鎬绘垚浜ら,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿)]
+ """
+ return self.__total_buy_datas_dict.get(code)
+
+ def get_total_sell_money(self, code, threshold_money=None):
+ """
+ 鑾峰彇鎬诲叡鐨勫ぇ鍗曞崠閲戦
+ @param threshold_money: 澶у崟闃堝��
+ @param code:
+ @return:
+ """
+ if code not in self.__total_sell_datas_dict:
+ return 0
+ if threshold_money:
+ return int(sum([x[2] if x[2] >= threshold_money else 0 for x in self.__total_sell_datas_dict[code]]))
+ else:
+ return int(sum([x[2] for x in self.__total_sell_datas_dict[code]]))
# 鎴愪氦鏁版嵁缁熻
@@ -23,8 +145,13 @@
# 姝ｅ湪鎴愪氦鐨勮鍗�
__dealing_order_info_dict = {}
+
+ # 姝ｅ湪鎴愪氦鐨勪富鍔ㄤ拱鐨勮鍗�
+ __dealing_active_buy_order_info_dict = {}
# 鏈�杩戞垚浜ょ殑璁㈠崟{"code":(璁㈠崟鍙凤紝鏄惁鎴愪氦瀹屾垚)}
__latest_deal_order_info_dict = {}
+ # 鎴愪氦鐨勪拱鍗曞彿闆嗗悎锛歿"浠ｇ爜":set()}
+ __deal_buy_order_nos_dict = {}
def __new__(cls, *args, **kwargs):
if not cls.__instance:
@@ -39,15 +166,17 @@
@classmethod
def __load_datas(cls):
__redis = cls.__get_redis()
- try:
- keys = RedisUtils.keys(__redis, "dealing_order_info-*")
- for k in keys:
- code = k.split("-")[-1]
- val = RedisUtils.get(__redis, k)
- val = json.loads(val)
- tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
- finally:
- RedisUtils.realse(__redis)
+
+ keys = RedisUtils.keys(__redis, "dealing_order_info-*")
+ for k in keys:
+ code = k.split("-")[-1]
+ val = RedisUtils.get(__redis, k)
+ val = json.loads(val)
+ tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
+ # 璇诲彇宸茬粡鎴愪氦鐨勫ぇ鍗�
+ deal_data_list_dict = log_export.load_huaxin_deal_record_all()
+ for code in deal_data_list_dict:
+ cls.__deal_buy_order_nos_dict[code] = set([x[0] for x in deal_data_list_dict[code]])
# 灏嗘暟鎹寔涔呭寲鍒版暟鎹簱
def sync_dealing_data_to_db(self):
@@ -55,40 +184,127 @@
RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
json.dumps(self.__dealing_order_info_dict[code]))
- # 鑾峰彇浠ｇ爜姝ｅ湪鎴愪氦鐨勪俊鎭�
- # 杩斿洖鏁版嵁锛歔璁㈠崟鍙凤紝鎬昏偂鏁帮紝寮�濮嬫垚浜ゆ椂闂达紝缁撴潫鎴愪氦鏃堕棿, 鎬讳拱]
@classmethod
def get_dealing_order_info(cls, code):
+ """
+ 鑾峰彇褰撳墠姝ｅ湪鎴愪氦鐨勬暟鎹�
+ @param code:
+ @return: [璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿]
+ """
return cls.__dealing_order_info_dict.get(code)
- # 缁熻鎴愪氦鐨勬儏鍐�
@classmethod
- def statistic_deal_desc(cls, code, data, total_buy_num):
- if code not in cls.__dealing_order_info_dict:
- # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬昏偂鏁帮紝寮�濮嬫垚浜ゆ椂闂达紝缁撴潫鎴愪氦鏃堕棿, 鎬讳拱]
- cls.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
- if cls.__dealing_order_info_dict[code][0] == data[6]:
- # 鎴愪氦鍚屼竴涓鍗曞彿
- cls.__dealing_order_info_dict[code][1] += data[2]
- cls.__dealing_order_info_dict[code][3] = data[3]
- else:
- # 淇濆瓨涓婁竴鏉℃暟鎹�
- async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
- # 璁剧疆鏈�杩戞垚浜ゅ畬鎴愮殑涓�鏉℃暟鎹�
- deal_info = (
- cls.__dealing_order_info_dict[code][0],
- cls.__dealing_order_info_dict[code][4] == cls.__dealing_order_info_dict[code][1])
- cls.__latest_deal_order_info_dict[code] = deal_info
- # 鍒濆鍖栨湰鏉℃暟鎹�
- cls.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
- return deal_info
- return None
+ def get_dealing_active_order_info(cls, code):
+ """
+ 鑾峰彇姝ｅ湪涓诲姩鎴愪氦鐨勬暟鎹�
+ @param code:
+ @return:[璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿]
+ """
+ return cls.__dealing_active_buy_order_info_dict.get(code)
+
+ @classmethod
+ def statistic_big_buy_data(cls, code, fdatas, limit_up_price):
+ """
+ 缁熻澶у崟涔�
+ @param code:
+ @param fdatas: [(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)]
+ @return: 杩斿洖鏁版嵁閲岄潰(鎴愪氦鐨勫ぇ鍗�,50w浠ヤ笂鐨勫崟锛�
+ """
+ big_buy_datas = []
+ normal_buy_datas = []
+ # 澶у崟闃堝��
+ threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
+
+ dealing_order_info = cls.__dealing_order_info_dict.get(code)
+
+ if code not in cls.__deal_buy_order_nos_dict:
+ cls.__deal_buy_order_nos_dict[code] = set()
+ deal_buy_order_nos = cls.__deal_buy_order_nos_dict[code]
+
+ for data in fdatas:
+ # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
+ # data['SellNo'], data['ExecType']))
+ is_limit_up = data[2]
+ money = data[3]
+ current_order_info = data[0]
+
+ if dealing_order_info is None:
+ # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿, 鏈�杩戠殑鎴愪氦浠锋牸, 鏈�杩戠殑鍗栧崟鍙�, 娑ㄥ仠浠锋垚浜ら噾棰漖
+ dealing_order_info = [current_order_info[6], current_order_info[2], money,
+ current_order_info[3], current_order_info[3],
+ current_order_info[1],
+ current_order_info[7], 0]
+ if is_limit_up:
+ dealing_order_info[7] += money
+ cls.__dealing_order_info_dict[code] = dealing_order_info
+ else:
+ if dealing_order_info[0] == current_order_info[6]:
+ # 鎴愪氦鍚屼竴涓鍗曞彿
+ dealing_order_info[1] += current_order_info[2]
+ dealing_order_info[2] += money
+ dealing_order_info[4] = current_order_info[3]
+ dealing_order_info[5] = current_order_info[1]
+ dealing_order_info[6] = current_order_info[7]
+ if is_limit_up:
+ dealing_order_info[7] += money
+ else:
+ # 淇濆瓨涓婁竴鏉℃暟鎹�
+ l2_log.info(code, hx_logger_l2_transaction_desc, f"{code}#{dealing_order_info}")
+ # 璁剧疆鏈�杩戞垚浜ゅ畬鎴愮殑涓�鏉℃暟鎹�
+ deal_info = dealing_order_info
+ cls.__latest_deal_order_info_dict[code] = deal_info
+ # 鏄惁涓哄ぇ涔板崟
+ if deal_info[7] >= threshold_big_money:
+ # # 濡傛灉鏈�鍚庝竴绗旀垚浜や环鏍间笉鏄定鍋滀环灏变笉绠�
+ # if abs(deal_info[5] - limit_up_price) < 0.0001:
+ big_buy_datas.append(deal_info)
+ if deal_info[2] >= 500000:
+ deal_buy_order_nos.add(deal_info[0])
+ normal_buy_datas.append(deal_info)
+ # 鍒濆鍖栨湰鏉℃暟鎹�
+ dealing_order_info = [current_order_info[6], current_order_info[2], money,
+ current_order_info[3], current_order_info[3],
+ current_order_info[1], current_order_info[7], 0]
+ if is_limit_up:
+ dealing_order_info[7] += money
+ cls.__dealing_order_info_dict[code] = dealing_order_info
+
+ # 缁熻涓诲姩涔�(涔板崟鍙峰ぇ浜庡崠鍗曞彿)
+ if data[1]:
+ if code not in cls.__dealing_active_buy_order_info_dict:
+ # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿]
+ cls.__dealing_active_buy_order_info_dict[code] = [current_order_info[6], current_order_info[2],
+ money, current_order_info[3],
+ current_order_info[3]]
+ else:
+ dealing_active_buy_order_info = cls.__dealing_active_buy_order_info_dict[code]
+ if dealing_active_buy_order_info[0] == current_order_info[6]:
+ # 鎴愪氦鍚屼竴涓鍗曞彿
+ dealing_active_buy_order_info[1] += current_order_info[2]
+ dealing_active_buy_order_info[2] += money
+ dealing_active_buy_order_info[4] = current_order_info[3]
+ else:
+ # 鍒濆鍖栨湰鏉℃暟鎹�
+ cls.__dealing_active_buy_order_info_dict[code] = [current_order_info[6],
+ current_order_info[2], money,
+ current_order_info[3],
+ current_order_info[3]]
+ return big_buy_datas, normal_buy_datas
+
+ def get_deal_buy_order_nos(self, code):
+ """
+ 鑾峰彇鎴愪氦澶у崟闆嗗悎
+ @param code:
+ @return:
+ """
+ return self.__deal_buy_order_nos_dict.get(code)
# 鍗栧崟缁熻鏁版嵁
class HuaXinSellOrderStatisticManager:
# 鏈�杩戠殑澶у崠鍗曟垚浜わ紝鏍煎紡:{code:[鍗栧崟淇℃伅,...]}
- __latest_sell_order_info_list_dict = {}
+ # __latest_sell_order_info_list_dict = {}
# 澶у崟鍗栧崟鍙风殑闆嗗悎锛屾牸寮忥細{code:{鍗栧崟鍙穧}
__big_sell_order_ids_dict = {}
@@ -104,21 +320,150 @@
# 鏈�杩戞墍鏈夌殑鍗栧崟
__latest_all_sell_orders_dict = {}
+ # 淇濆瓨鏈�杩戞垚浜ょ殑浠锋牸
+ __latest_trade_price_dict = {}
+
+ __last_trade_data_dict = {}
+
+ # 鐢ㄦ潵鏆傛椂瀛樻斁缁熻缁撴灉
+ __dealing_order_info_dict = {}
+
+ @classmethod
+ def statistic_big_sell_data(cls, code, fdatas):
+ """
+ 缁熻澶у崠鍗�(299w浠ヤ笂)
+ @param code:
+ @param fdatas: [(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)]
+ @return: 杩斿洖鏁版嵁閲岄潰鎴愪氦鐨勫ぇ鍗�
+ """
+ big_sell_datas = []
+ # 姝ｅ湪鎴愪氦鐨勫崠鍗�
+ dealing_order_info = cls.__dealing_order_info_dict.get(code)
+ for data in fdatas:
+ if not data[2]:
+ # 鍙绠楁澘涓婃垚浜�
+ continue
+ money = data[3]
+ # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
+ # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
+ # data['SellNo'], data['ExecType']))
+ if dealing_order_info is None:
+ # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦]
+ dealing_order_info = [data[0][7], data[0][2], money]
+ else:
+ if dealing_order_info[0] == data[0][7]:
+ # 鎴愪氦鍚屼竴涓鍗曞彿
+ dealing_order_info[1] += data[0][2]
+ dealing_order_info[2] += money
+ else:
+ # 淇濆瓨涓婁竴鏉℃暟鎹�
+ # 璁剧疆鏈�杩戞垚浜ゅ畬鎴愮殑涓�鏉℃暟鎹�
+ deal_info = dealing_order_info
+ # 淇濆瓨涓婁竴鏉℃暟鎹�
+ if deal_info[2] >= 2990000:
+ # 鏄惁涓哄ぇ涔板崟
+ l2_log.info(code, hx_logger_l2_transaction_desc,
+ f"{code}#{deal_info}")
+ big_sell_datas.append(deal_info)
+ # 鍒濆鍖栨湰鏉℃暟鎹�
+ dealing_order_info = [data[0][7], data[0][2], money]
+ # 淇濆瓨鏈�鍚庝竴鏉℃暟鎹殑鐘舵��
+ cls.__dealing_order_info_dict[code] = dealing_order_info
+ return big_sell_datas
+
+ # 缁熻鎵�鏈夌殑鎴愪氦閲�
+ __deal_volume_list_dict = {}
+
+ @classmethod
+ def statistic_active_sell_deal_volume(cls, code, fdatas, limit_up_price):
+ """
+ 缁熻涓诲姩鍗栨垚浜�
+ @param code:
+ @param fdatas: [(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)]
+ @param limit_up_price:
+ @return:
+ """
+ # 鍙粺璁¤鍔ㄤ拱
+ if code not in cls.__deal_volume_list_dict:
+ cls.__deal_volume_list_dict[code] = []
+ # 涓轰簡鍔犻�熷鐞嗭紝濡傛灉绗竴鏉℃暟鎹拰鏈�鍚庝竴鏉℃暟鎹兘鏄富鍔ㄤ拱灏辫繑鍥�
+ if fdatas[0][1] and fdatas[-1][1]:
+ return
+ for d in fdatas:
+ # 鍙粺璁¤鍔ㄤ拱
+ if d[1]:
+ continue
+ time_str = d[4]
+ if cls.__deal_volume_list_dict[code]:
+ if cls.__deal_volume_list_dict[code][-1][0] == time_str:
+ # 濡傛灉鏄悓涓�绉�
+ cls.__deal_volume_list_dict[code][-1][1] += d[0][2]
+ else:
+ # 涓嶆槸鍚屼竴绉�
+ cls.__deal_volume_list_dict[code].append([time_str, d[0][2]])
+ else:
+ cls.__deal_volume_list_dict[code].append([time_str, d[0][2]])
+ # 鍒犻櫎瓒呰繃5鏉℃暟鎹�
+ if len(cls.__deal_volume_list_dict[code]) > 5:
+ cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]
+
+ @classmethod
+ def get_latest_3s_continue_deal_volumes(cls, code):
+ """
+ 鑾峰彇鏈�杩�3s鐨勬垚浜ら噺鍒嗗竷
+ @param code:
+ @return: [(鏃堕棿,閲�)]
+ """
+ deal_list = cls.__deal_volume_list_dict.get(code)
+ if not deal_list:
+ return []
+ fdatas = [deal_list[-1]]
+ # 浠庡�掓暟绗簩涓暟鎹绠�
+ for i in range(len(deal_list) - 2, -1, -1):
+ if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 3:
+ fdatas.append(deal_list[i])
+ return fdatas
+
+ @classmethod
+ def get_latest_2s_continue_deal_volumes(cls, code):
+ """
+ 鑾峰彇鏈�杩�2s鐨勬垚浜ら噺鍒嗗竷
+ @param code:
+ @return: [(鏃堕棿,閲�)]
+ """
+ deal_list = cls.__deal_volume_list_dict.get(code)
+ if not deal_list:
+ return []
+ fdatas = [deal_list[-1]]
+ # 浠庡�掓暟绗簩涓暟鎹绠�
+ for i in range(len(deal_list) - 1, -1, -1):
+ if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 2:
+ fdatas.append(deal_list[i])
+ return fdatas
+
+ @classmethod
+ def clear_latest_deal_volume(cls, code):
+ if code in cls.__deal_volume_list_dict:
+ cls.__deal_volume_list_dict.pop(code)
+
# 杩斿洖鏈�杩�1s鐨勫ぇ鍗曞崠锛�(鎬诲崠閲戦,[(鍗栧崟鍙�,鎬绘墜鏁�,浠锋牸,锛�'寮�濮嬫椂闂�',涔板崟鍙凤級,锛�'缁撴潫鏃堕棿',涔板崟鍙凤級),...])
@classmethod
- def add_transaction_datas(cls, code, datas, buy_exec_index=None):
- # 鏄惁涓轰富鍔ㄥ崠
- def is_active_sell(sell_no):
- if buy_exec_index is not None:
- return sell_no > int(total_datas[buy_exec_index]["val"]["orderNo"])
- else:
- return f"{sell_no}" not in sell_no_map
+ def statistic_continue_limit_up_sell_transaction_datas(cls, code, fdatas, limit_up_price=None):
+ """
+ 缁熻杩炵画娑ㄥ仠鍗栨垚浜ょ殑鏁版嵁
+ @param code:
+ @param fdatas: [(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)]
+ @param limit_up_price:
+ @return:
+ """
+ f_start_time = time.time()
+ use_time_list = []
# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
# data['SellNo'], data['ExecType']))
- if code not in cls.__latest_sell_order_info_list_dict:
- cls.__latest_sell_order_info_list_dict[code] = []
+ # if code not in cls.__latest_sell_order_info_list_dict:
+ # cls.__latest_sell_order_info_list_dict[code] = []
if code not in cls.__big_sell_order_ids_dict:
cls.__big_sell_order_ids_dict[code] = set()
if code not in cls.__big_sell_order_info_dict:
@@ -130,103 +475,215 @@
if code not in cls.__latest_all_sell_orders_dict:
cls.__latest_all_sell_orders_dict[code] = []
- sell_no_map = local_today_sellno_map.get(code)
- total_datas = local_today_datas.get(code)
- if not sell_no_map:
- sell_no_map = {}
- for d in datas:
- cls.__latest_sell_order_info_list_dict[code].append(d)
- if code not in cls.__latest_sell_order_dict:
- cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
- else:
- if cls.__latest_sell_order_dict[code][0] == d[7]:
- cls.__latest_sell_order_dict[code][1] += d[2]
- cls.__latest_sell_order_dict[code][2] = d[1]
- cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
+ # 淇濆瓨鏈�杩戠殑鎴愪氦浠锋牸:(浠锋牸,鎴愪氦鏃堕棿)
+ cls.__latest_trade_price_dict[code] = (fdatas[-1][0][1], fdatas[-1][0][3])
+
+ __start_time = time.time()
+ # 鏄惁杩樻湁娑ㄥ仠鍗栧墿涓�
+ no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas)
+ use_time = time.time() - __start_time
+ __start_time = time.time()
+ use_time_list.append(("澶勭悊娑ㄥ仠鍗�", use_time))
+ latest_sell_order = cls.__latest_sell_order_dict.get(code)
+ big_sell_order_ids = cls.__big_sell_order_ids_dict.get(code)
+ if big_sell_order_ids is None:
+ big_sell_order_ids = set()
+ big_sell_order_info = cls.__big_sell_order_info_dict.get(code)
+ if big_sell_order_info is None:
+ big_sell_order_info = {}
+ big_sell_order_info_list = cls.__big_sell_order_info_list_dict.get(code)
+ if big_sell_order_info_list is None:
+ big_sell_order_info_list = []
+
+ latest_all_sell_orders = cls.__latest_all_sell_orders_dict.get(code)
+ if latest_all_sell_orders is None:
+ latest_all_sell_orders = []
+
+ last_trade_data = cls.__last_trade_data_dict.get(code)
+ for d in fdatas:
+ # 鑾峰彇褰撳墠鏄惁涓轰富鍔ㄤ拱
+ if d[1]:
+ # 涓诲姩涔�
+ continue
+ try:
+ if d[2]:
+ # 娑ㄥ仠涓诲姩鍗�
+ L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0])
+
+ # 鍒ゆ柇鏄惁鏄定鍋滆鍔ㄥ彉涓诲姩
+ if last_trade_data and last_trade_data[1] and last_trade_data[2]:
+ if d[2]:
+ # 娑ㄥ仠琚姩鍙樹富鍔�
+ L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data[0], d[0])
+ # cls.__latest_sell_order_info_list_dict[code].append(d)
+ if latest_sell_order is None:
+ latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]), (d[0][3], d[0][6])]
else:
- info = cls.__latest_sell_order_dict[code]
+ if latest_sell_order[0] == d[0][7]:
+ latest_sell_order[1] += d[0][2]
+ latest_sell_order[2] = d[0][1]
+ latest_sell_order[4] = (d[0][3], d[0][6])
+ else:
+ info = latest_sell_order
- # 涓婁釜鍗栧崟鎴愪氦瀹屾垚
- # 灏佸瓨鏁版嵁锛岃绠楁柊璧风偣
- # 澶т簬50w鐨勫崠鍗曟墠浼氫繚瀛�
- # 澶т簬50w鍔犲叆鍗栧崟
- cls.__latest_all_sell_orders_dict[code].append(info)
- money = info[1] * info[2]
- if money >= 500000:
- if is_active_sell(info[0]):
+ # 涓婁釜鍗栧崟鎴愪氦瀹屾垚
+ # 灏佸瓨鏁版嵁锛岃绠楁柊璧风偣
+ # 澶т簬50w鐨勫崠鍗曟墠浼氫繚瀛�
+ # 澶т簬50w鍔犲叆鍗栧崟
+ money = info[1] * info[2]
+ if money >= 500000:
+ big_sell_order_ids.add(info[0])
+ big_sell_order_info[info[0]] = info
+ big_sell_order_info_list.append(info)
+ # 鍙繚鐣�10w浠ヤ笂鐨勫崟
+ if money > 100000:
+ latest_all_sell_orders.append(info)
l2_log.info(code, hx_logger_l2_transaction_sell_order,
- f"{cls.__latest_sell_order_dict[code]}")
- cls.__big_sell_order_ids_dict[code].add(info[0])
- cls.__big_sell_order_info_dict[code][info[0]] = info
- cls.__big_sell_order_info_list_dict[code].append(info)
- # 鍙繚鐣�10w浠ヤ笂鐨勫崟
- if money > 100000:
- cls.__latest_all_sell_orders_dict[code].append(info)
+ f"{info}")
+ if limit_up_price == info[2]:
+ # 灏嗘定鍋滀富鍔ㄥ崠璁板叆鏃ュ織
+ l2_log.info(code, hx_logger_l2_active_sell, f"{info}")
- cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
- latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
+ latest_sell_order = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
+ (d[0][3], d[0][6])]
+ finally:
+ last_trade_data = d
+
+ cls.__last_trade_data_dict[code] = last_trade_data
+ if latest_sell_order:
+ cls.__latest_sell_order_dict[code] = latest_sell_order
+ if big_sell_order_ids:
+ cls.__big_sell_order_ids_dict[code] = big_sell_order_ids
+ if big_sell_order_info:
+ cls.__big_sell_order_info_dict[code] = big_sell_order_info
+ if big_sell_order_info_list:
+ cls.__big_sell_order_info_list_dict[code] = big_sell_order_info_list
+ if latest_all_sell_orders:
+ cls.__latest_all_sell_orders_dict[code] = latest_all_sell_orders
+
+ use_time = time.time() - __start_time
+ __start_time = time.time()
+ use_time_list.append(("澶у崟缁熻", use_time))
+
+ latest_time = fdatas[-1][5]
min_time = tool.trade_time_add_millionsecond(latest_time, -1000)
min_time_int = int(min_time.replace(":", "").replace(".", ""))
# 璁＄畻鏈�杩�1s鐨勫ぇ鍗曟垚浜�
total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)
total_sell_info = [0, None] # 鎬昏祫閲�,寮�濮嬫垚浜や俊鎭�,缁撴潫鎴愪氦淇℃伅
- latest_sell_order_info = cls.__latest_sell_order_dict[code]
- big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
- # print("澶у崠鍗�", big_sell_order_ids)
- big_sell_orders = []
- temp_sell_order_ids = set()
- # 缁熻宸茬粡缁撶畻鍑虹殑澶у崟
- for i in range(len(total_big_sell_datas) - 1, -1, -1):
- bd = total_big_sell_datas[i]
- if min_time_int > int(
- l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
- break
- if bd[0] != latest_sell_order_info[0]:
- # 涓嶆槸鏈�杩戠殑鎴愪氦涓斾笉鏄ぇ鍗曠洿鎺ヨ繃婊�
- if bd[0] not in big_sell_order_ids:
- continue
+ latest_sell_order_info = cls.__latest_sell_order_dict.get(code)
+ if latest_sell_order_info:
+ # 涓嶆槸绗竴娆￠潪涓诲姩鍗栦笂浼�
+ big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
+ # print("澶у崠鍗�", big_sell_order_ids)
+ big_sell_orders = []
+ temp_sell_order_ids = set()
+ # 缁熻宸茬粡缁撶畻鍑虹殑澶у崟
+ for i in range(len(total_big_sell_datas) - 1, -1, -1):
+ bd = total_big_sell_datas[i]
+ if min_time_int > int(
+ l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
+ break
+ if bd[0] != latest_sell_order_info[0]:
+ # 涓嶆槸鏈�杩戠殑鎴愪氦涓斾笉鏄ぇ鍗曠洿鎺ヨ繃婊�
+ if bd[0] not in big_sell_order_ids:
+ continue
+ else:
+ if bd[0] not in temp_sell_order_ids:
+ big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
+ temp_sell_order_ids.add(bd[0])
else:
- if bd[0] not in temp_sell_order_ids:
- big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
- temp_sell_order_ids.add(bd[0])
- else:
- # 鏄渶杩戠殑浣嗕笉鏄ぇ鍗曢渶瑕佽繃婊�
- if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
- continue
- else:
- if latest_sell_order_info[0] not in temp_sell_order_ids:
- big_sell_orders.append(latest_sell_order_info)
- temp_sell_order_ids.add(latest_sell_order_info[0])
+ # 鏄渶杩戠殑浣嗕笉鏄ぇ鍗曢渶瑕佽繃婊�
+ if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
+ continue
+ else:
+ if latest_sell_order_info[0] not in temp_sell_order_ids:
+ big_sell_orders.append(latest_sell_order_info)
+ temp_sell_order_ids.add(latest_sell_order_info[0])
- # 缁熻鏈�杩�1s鐨勫ぇ鍗栧崟鏁版嵁
- total_sell_info[0] += int(bd[1] * bd[2])
- # 缁熻鏈�杩戠殑澶у崟
- if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
- if latest_sell_order_info[0] not in temp_sell_order_ids:
- if is_active_sell(latest_sell_order_info[0]):
+ # 缁熻鏈�杩�1s鐨勫ぇ鍗栧崟鏁版嵁
+ total_sell_info[0] += int(bd[1] * bd[2])
+ # 缁熻鏈�杩戠殑澶у崟
+ if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
+ if latest_sell_order_info[0] not in temp_sell_order_ids:
+ # if is_active_sell(latest_sell_order_info[0], latest_sell_order_info[3][1]):
big_sell_orders.append(latest_sell_order_info)
temp_sell_order_ids.add(latest_sell_order_info[0])
total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2])
- big_sell_orders.reverse()
- total_sell_info[1] = big_sell_orders
+ big_sell_orders.reverse()
+ total_sell_info[1] = big_sell_orders
+
+ use_time = time.time() - __start_time
+ __start_time = time.time()
+ use_time_list.append(("鏈�杩戝ぇ鍗曠粺璁�", use_time))
+
+ # ----------------缁熻娑ㄥ仠涓诲姩涔�-----------------
+ try:
+ limit_up_active_buy_datas = []
+ for d in fdatas:
+ if not d[1]:
+ # 琚姩涔�
+ continue
+ # 鏄惁鏄定鍋�
+ if d[2]:
+ # 鏈夋定鍋滀富鍔ㄤ拱
+ limit_up_active_buy_datas.append(d[0])
+ L2TradeSingleDataManager.set_limit_up_active_buy(code, limit_up_active_buy_datas, no_left_limit_up_sell)
+
+ use_time = time.time() - __start_time
+ __start_time = time.time()
+ use_time_list.append(("娑ㄥ仠涓诲姩涔版垚浜�", use_time))
+ except:
+ pass
+
+ use_time = time.time() - f_start_time
+ if use_time > 0.01:
+ l2_log.info(code, hx_logger_l2_upload,
+ f"{code}澶勭悊鎴愪氦璇︾粏鐢ㄦ椂锛歿use_time} 鏁版嵁鏁伴噺锛歿len(fdatas)} 璇︽儏:{use_time_list}")
return total_sell_info
# 鑾峰彇鏈�杩戞垚浜ゆ暟鎹�
@classmethod
- def get_latest_transaction_datas(cls, code, min_sell_order_no=None):
+ def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None, min_sell_money=None):
+ """
+ 鑾峰彇鏈�杩戠殑涓诲姩鍗栨垚浜や俊鎭�
+ @param code:
+ @param min_sell_order_no:
+ @param min_deal_time:
+ @param min_sell_money:
+ @return:
+ """
total_orders = []
sell_orders = cls.__latest_all_sell_orders_dict.get(code)
if sell_orders:
for i in range(len(sell_orders) - 1, -1, -1):
- if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
+ if min_deal_time and tool.trade_time_sub(min_deal_time,
+ l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0:
break
+
+ if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
+ continue
+ if min_sell_money and sell_orders[i][1] * sell_orders[i][2] < min_sell_money:
+ # 杩囨护灏忛噾棰�
+ continue
+
total_orders.append(sell_orders[i])
- total_orders.extend(sell_orders)
if code in cls.__latest_sell_order_dict:
- if min_sell_order_no :
+ if min_sell_order_no:
if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no:
total_orders.append(cls.__latest_sell_order_dict[code])
else:
total_orders.append(cls.__latest_sell_order_dict[code])
return total_orders
+
+ # 鑾峰彇鏈�杩戞垚浜や环鏍间俊鎭�, 杩斿洖鏍煎紡锛氾紙浠锋牸,鏃堕棿锛�
+ @classmethod
+ def get_latest_trade_price_info(cls, code):
+ return cls.__latest_trade_price_dict.get(code)
+
+
+if __name__ == "__main__":
+ code = "603300"
+ order_nos = HuaXinBuyOrderManager().get_deal_buy_order_nos(code)
+ print(order_nos)
--
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