From ad615df734b4d82f9a83a7d1805ac9fabdf01a53 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 21 八月 2025 18:27:39 +0800
Subject: [PATCH] 200元股价以下的不足4手算4手/撤单率设置为100%不计算L后后半段撤单
---
l2/l2_transaction_data_manager.py | 802 +++++++++++++++++++++++++++++++++++++++++++++-----------
1 files changed, 643 insertions(+), 159 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 53b912b..21f2739 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -2,41 +2,160 @@
L2鎴愪氦鏁版嵁澶勭悊鍣�
"""
import json
-import logging
import time
-from code_attribute import gpcode_manager
-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_data_util, l2_data_manager, transaction_progress, l2_data_source_util
-from l2.cancel_buy_strategy import LCancelRateManager, LCancelBigNumComputer, \
- SecondCancelBigNumComputer, HourCancelBigNumComputer, FastCancelBigNumComputer, UCancelBigNumComputer
-from l2.l2_data_manager_new import L2TradeDataProcessor
-from l2.l2_data_util import L2DataUtil, local_today_canceled_buyno_map
-from log_module import async_log_util
-from log_module.log import logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug, \
- hx_logger_l2_transaction_desc, logger_debug
-from msg import push_msg_manager
-from third_data import kpl_data_manager
-from trade import current_price_process_manager, trade_manager, l2_trade_factor
-from trade.deal_big_money_manager import DealOrderNoManager
+from l2 import l2_log
+from l2.huaxin import l2_huaxin_util
+from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager
+
+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 HuaXinTransactionDatasProcessor:
+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
+class HuaXinBuyOrderManager:
__db = 0
__instance = None
__redis_manager = redis_manager.RedisManager(0)
- __TradeBuyQueue = transaction_progress.TradeBuyQueue()
# 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:
- cls.__instance = super(HuaXinTransactionDatasProcessor, cls).__new__(cls, *args, **kwargs)
+ cls.__instance = super(HuaXinBuyOrderManager, cls).__new__(cls, *args, **kwargs)
cls.__load_datas()
return cls.__instance
@@ -47,15 +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):
@@ -63,143 +184,506 @@
RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
json.dumps(self.__dealing_order_info_dict[code]))
- # 缁熻鎴愪氦鐨勬儏鍐�
+ @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)
- def __statistic_deal_desc(self, code, data, total_buy_num):
- if code not in self.__dealing_order_info_dict:
- # 鏁版嵁鏍煎紡[璁㈠崟鍙凤紝鎬绘墜鏁帮紝寮�濮嬫垚浜ゆ椂闂达紝缁撴潫鎴愪氦鏃堕棿, 鎬讳拱]
- self.__dealing_order_info_dict[code] = [data[6], 0, data[3], data[3], total_buy_num]
- if self.__dealing_order_info_dict[code][0] == data[6]:
- # 鎴愪氦鍚屼竴涓鍗曞彿
- self.__dealing_order_info_dict[code][1] += data[2]
- self.__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}#{self.__dealing_order_info_dict[code]}")
- # 璁剧疆鏈�杩戞垚浜ゅ畬鎴愮殑涓�鏉℃暟鎹�
- deal_info = (
- self.__dealing_order_info_dict[code][0],
- self.__dealing_order_info_dict[code][4] == self.__dealing_order_info_dict[code][1])
- self.__latest_deal_order_info_dict[code] = deal_info
- # 鍒濆鍖栨湰鏉℃暟鎹�
- self.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num]
- return deal_info
- return None
+ @classmethod
+ 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)
- # 璁＄畻鎴愪氦杩涘害
- def __compute_latest_trade_progress(self, code, buyno_map, datas):
- buy_progress_index = None
- for i in range(len(datas) - 1, -1, -1):
- d = datas[i]
- buy_no = f"{d[6]}"
- if buyno_map and buy_no in buyno_map:
- async_log_util.info(hx_logger_l2_debug, f"{code}鎴愪氦杩涘害锛歿buyno_map[buy_no]['index']}")
- buy_progress_index = buyno_map[buy_no]["index"]
- break
- return buy_progress_index
+ @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))
- def process_huaxin_transaction_datas(self, code, datas):
- # 璁剧疆鎴愪氦浠�
- current_price_process_manager.set_trade_price(code, datas[-1][1])
- total_datas = l2_data_util.local_today_datas.get(code)
- __start_time = time.time()
- try:
- buyno_map = l2_data_util.local_today_buyno_map.get(code)
- if not buyno_map:
- if trade_manager.CodesTradeStateManager().get_trade_state(
- code) != trade_manager.TRADE_STATE_NOT_TRADE:
- l2_data_util.load_l2_data(code)
- buyno_map = l2_data_util.local_today_buyno_map.get(code)
- if buyno_map is None:
- buyno_map = {}
+ dealing_order_info = cls.__dealing_order_info_dict.get(code)
- order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(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]
- # 璁＄畻宸茬粡鎴愪氦鐨勫ぇ鍗�
- big_money_count = 0
- for d in datas:
- data = buyno_map.get(f"{d[6]}")
- buy_num = None
- if data:
- buy_num = data["val"]["num"] * 100
- deal_info = self.__statistic_deal_desc(code, d, buy_num)
- if deal_info and deal_info[1]:
- data = buyno_map.get(f"{deal_info[0]}")
- print("宸茬粡鎴愪氦绱㈠紩锛�", data["index"])
- val = data["val"]
- if l2_data_util.is_big_money(val) and L2DataUtil.is_limit_up_price_buy(val):
- big_money_count += 1
- DealOrderNoManager().add_orderno(code, f"{deal_info[0]}")
- # L鍚庢槸鍚︽湁鎴愪氦锛屽鏋滄湁鎴愪氦灏遍渶瑕侀櫎鍘诲綋鍓嶇瑪鏁帮紝鐒跺悗閲嶆柊鍥婃嫭涓�绗�
- LCancelBigNumComputer().add_deal_index(code, data["index"], order_begin_pos.buy_single_index)
- if big_money_count > 0:
- LCancelRateManager.compute_big_num_deal_rate(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]
- buy_progress_index = self.__compute_latest_trade_progress(code, buyno_map, datas)
-
- if buy_progress_index is not None:
- buy_progress_index_changed = self.__TradeBuyQueue.set_traded_index(code, buy_progress_index,
- total_datas)
-
- async_log_util.info(logger_l2_trade_buy_queue, "鑾峰彇鎴愪氦浣嶇疆鎴愬姛锛� code-{} index-{}", code,
- buy_progress_index)
-
- LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index,
- total_datas)
- FastCancelBigNumComputer().set_trade_progress(code, buy_progress_index)
- SecondCancelBigNumComputer().set_transaction_index(
- code,
- buy_progress_index)
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
- HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index,
- buy_progress_index)
- # ---------------------------------鍒ゆ柇鏉垮潡鏄惁璺熶笂鏉ヤ簡-------------------------------
- try:
- pass
- # order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code)
- # volume_rate = 0
- # volume_info = L2TradeDataProcessor.volume_rate_info.get(code)
- # if volume_info:
- # volume_rate = volume_info[0]
- # need_cancel, msg = UCancelBigNumComputer().need_cancel(code, buy_progress_index, order_begin_pos,
- # kpl_data_manager.KPLLimitUpDataRecordManager.get_current_reason_codes_dict(),
- # volume_rate)
- # if need_cancel:
- # L2TradeDataProcessor.cancel_buy(code, msg)
- except Exception as e:
- logger_debug.exception(e)
- if buy_progress_index_changed:
- # 浜ゆ槗杩涘害鍙樺寲锛屽垽鏂埌鐪熷疄涓嬪崟浣嶇疆鐨勮窛绂�
- real_order_index = SecondCancelBigNumComputer().get_real_place_order_index_cache(code)
- if real_order_index and real_order_index >= buy_progress_index:
- left_count = 0
- for i in range(buy_progress_index + 1, real_order_index):
- val = total_datas[i]["val"]
- if not L2DataUtil.is_limit_up_price_buy(val):
- continue
- if val["num"] * float(val["price"]) < 5000:
- continue
- left_count = l2_data_source_util.L2DataSourceUtils.get_limit_up_buy_no_canceled_count_v2(
- code, i,
- total_datas,
- local_today_canceled_buyno_map.get(
- code))
- if left_count > 0:
- left_count += 1
- if left_count <= 3:
- # 褰撴垚浜よ繘搴﹁窛绂荤湡瀹炰笅鍗曚綅缃笉瓒�3绗旀椂鎺ㄩ�佸嵆灏嗘垚浜ょ殑娑堟伅
- push_msg_manager.push_order_almost_deal(code, gpcode_manager.get_code_name(code))
-
+ 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:
- pass
- if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1:
- # 瑙﹀彂L鎾や笂閲嶆柊璁＄畻
- LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index)
+ 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
- except Exception as e:
- logging.exception(e)
- hx_logger_l2_debug.exception(e)
- finally:
- use_time = int((time.time() - __start_time) * 1000)
- if use_time > 10:
- async_log_util.info(hx_logger_l2_upload, f"{code}澶勭悊鎴愪氦鐢ㄦ椂锛歿use_time}")
+ # 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 = {}
+
+ # 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 = {}
+
+ # 澶у崠鍗曠殑鍗栧崟鍙�->鍗栧崟淇℃伅鏄犲皠
+ __big_sell_order_info_dict = {}
+
+ # 澶у崟鍒楄〃
+ __big_sell_order_info_list_dict = {}
+
+ # 鏈�杩戠殑鍗栧崟, 鏍煎紡{code:[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]}
+ __latest_sell_order_dict = {}
+ # 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 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.__big_sell_order_ids_dict:
+ cls.__big_sell_order_ids_dict[code] = set()
+ if code not in cls.__big_sell_order_info_dict:
+ cls.__big_sell_order_info_dict[code] = {}
+
+ if code not in cls.__big_sell_order_info_list_dict:
+ cls.__big_sell_order_info_list_dict[code] = []
+
+ if code not in cls.__latest_all_sell_orders_dict:
+ cls.__latest_all_sell_orders_dict[code] = []
+
+ # 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:
+ 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
+ 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"{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}")
+
+ 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.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:
+ # 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], 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
+
+ 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, 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_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])
+ if code in cls.__latest_sell_order_dict:
+ 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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