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
---
l2/l2_transaction_data_manager.py | 110 ++++++++++++++++++++++++++++++++++++++++++-------------
1 files changed, 84 insertions(+), 26 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 0b7b836..6643229 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -150,6 +150,8 @@
__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:
@@ -164,15 +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):
@@ -213,6 +217,10 @@
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'],
@@ -252,6 +260,7 @@
# 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,
@@ -283,6 +292,14 @@
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:
@@ -312,12 +329,21 @@
__dealing_order_info_dict = {}
@classmethod
+ def get_dealing_order_info(cls, code):
+ """
+ 鑾峰彇姝ｅ湪鎴愪氦鐨勫崠鍗�
+ @param code:
+ @return: [璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦]
+ """
+ return cls.__dealing_order_info_dict.get(code)
+
+ @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�
+ @return: 杩斿洖鏁版嵁閲岄潰鎴愪氦鐨勫ぇ鍗�:[(璁㈠崟鍙凤紝鎬昏偂鏁帮紝鎴愪氦閲戦)]
"""
big_sell_datas = []
# 姝ｅ湪鎴愪氦鐨勫崠鍗�
@@ -467,6 +493,22 @@
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]:
@@ -478,22 +520,20 @@
L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0])
# 鍒ゆ柇鏄惁鏄定鍋滆鍔ㄥ彉涓诲姩
- last_trade_data = cls.__last_trade_data_dict.get(code)
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 code not in cls.__latest_sell_order_dict:
- cls.__latest_sell_order_dict[code] = [d[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
- (d[0][3], d[0][6])]
+ 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:
- if cls.__latest_sell_order_dict[code][0] == d[0][7]:
- cls.__latest_sell_order_dict[code][1] += d[0][2]
- cls.__latest_sell_order_dict[code][2] = d[0][1]
- cls.__latest_sell_order_dict[code][4] = (d[0][3], d[0][6])
+ 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 = cls.__latest_sell_order_dict[code]
+ 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
@@ -501,22 +541,34 @@
# 澶т簬50w鍔犲叆鍗栧崟
money = info[1] * info[2]
if money >= 500000:
- 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)
+ 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:
- cls.__latest_all_sell_orders_dict[code].append(info)
+ latest_all_sell_orders.append(info)
l2_log.info(code, hx_logger_l2_transaction_sell_order,
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[0][7], d[0][2], d[0][1], (d[0][3], d[0][6]),
- (d[0][3], d[0][6])]
+ 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:
- cls.__last_trade_data_dict[code] = d
+ 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()
@@ -638,3 +690,9 @@
@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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