""" L2成交数据处理器 """ import json import l2_data_util from db import 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, 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 from utils import tool class BigOrderDealManager: """ 成交大单管理 """ __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): # 从日志加载数据 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): """ 添加大买单数据 @param code: 代码 @param datas:[(买单号,总股数,总成交额)] @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) # 将数据保存到日志 l2_log.info(code, hx_logger_l2_transaction_big_buy_order, f"{datas}") def add_sell_datas(self, code, datas): """ 添加大卖单数据 @param code: 代码 @param datas:[(卖单号,总股数,总成交额)] @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): """ 获取总共的大单买金额 @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_count(self, code): """ 获取大单成交的笔数 @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): """ 获取大单列表 @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_sell_money(self, code): """ 获取总共的大单卖金额 @param code: @return: """ if code not in self.__total_sell_datas_dict: return 0 return int(sum([x[2] for x in self.__total_sell_datas_dict[code]])) # 成交数据统计 class HuaXinBuyOrderManager: __db = 0 __instance = None __redis_manager = redis_manager.RedisManager(0) # 正在成交的订单 __dealing_order_info_dict = {} # 正在成交的主动买的订单 __dealing_active_buy_order_info_dict = {} # 最近成交的订单{"code":(订单号，是否成交完成)} __latest_deal_order_info_dict = {} def __new__(cls, *args, **kwargs): if not cls.__instance: cls.__instance = super(HuaXinBuyOrderManager, cls).__new__(cls, *args, **kwargs) cls.__load_datas() return cls.__instance @classmethod def __get_redis(cls): return cls.__redis_manager.getRedis() @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) # 将数据持久化到数据库 def sync_dealing_data_to_db(self): for code in self.__dealing_order_info_dict: RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(), json.dumps(self.__dealing_order_info_dict[code])) @classmethod def get_dealing_order_info(cls, code): """ 获取当前正在成交的数据 @param code: @return: [订单号，总股数，成交金额,成交开始时间,成交结束时间] """ return cls.__dealing_order_info_dict.get(code) @classmethod def get_dealing_active_order_info(cls, code): """ 获取正在主动成交的数据 @param code: @return:[订单号，总股数，成交金额,成交开始时间,成交结束时间] """ return cls.__dealing_active_buy_order_info_dict.get(code) @classmethod def statistic_big_buy_data(cls, code, datas, limit_up_price): """ 统计大单买 @param code: @param datas: @return: 返回数据里面(成交的大单,50w以上的单） """ big_buy_datas = [] normal_buy_datas = [] # 大单阈值 threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code)) for data in datas: # 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.__dealing_order_info_dict: # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间] cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]] else: if cls.__dealing_order_info_dict[code][0] == data[6]: # 成交同一个订单号 cls.__dealing_order_info_dict[code][1] += data[2] cls.__dealing_order_info_dict[code][2] += data[2] * data[1] cls.__dealing_order_info_dict[code][4] = data[3] else: # 保存上一条数据 async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}") # 设置最近成交完成的一条数据 deal_info = cls.__dealing_order_info_dict[code] cls.__latest_deal_order_info_dict[code] = deal_info # 是否为大买单 if deal_info[2] >= threshold_big_money: big_buy_datas.append(deal_info) if deal_info[2] >= 500000: normal_buy_datas.append(deal_info) # 初始化本条数据 cls.__dealing_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]] # 统计主动买(买单号大于卖单号) try: if data[6] > data[7]: if code not in cls.__dealing_active_buy_order_info_dict: # 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间] cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]] else: if cls.__dealing_active_buy_order_info_dict[code][0] == data[6]: # 成交同一个订单号 cls.__dealing_active_buy_order_info_dict[code][1] += data[2] cls.__dealing_active_buy_order_info_dict[code][2] += data[2] * data[1] cls.__dealing_active_buy_order_info_dict[code][4] = data[3] else: # 初始化本条数据 cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3], data[3]] except: pass return big_buy_datas, normal_buy_datas # 卖单统计数据 class HuaXinSellOrderStatisticManager: # 最近的大卖单成交，格式:{code:[卖单信息,...]} __latest_sell_order_info_list_dict = {} # 大单卖单号的集合，格式：{code:{卖单号}} __big_sell_order_ids_dict = {} # 大卖单的卖单号->卖单信息映射 __big_sell_order_info_dict = {} # 大单列表 __big_sell_order_info_list_dict = {} # 最近的卖单, 格式{code:[卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）]} __latest_sell_order_dict = {} # 最近所有的卖单 __latest_all_sell_orders_dict = {} # 保存最近成交的价格 __latest_trade_price_dict = {} __last_trade_data_dict = {} # 用来暂时存放统计结果 __dealing_order_info_dict = {} @classmethod def statistic_big_sell_data(cls, code, datas): """ 统计大卖单 @param code: @param datas: @return: 返回数据里面成交的大单 """ big_sell_datas = [] for data in datas: # 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.__dealing_order_info_dict: # 数据格式[订单号，总股数，成交金额] cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]] if cls.__dealing_order_info_dict[code][0] == data[7]: # 成交同一个订单号 cls.__dealing_order_info_dict[code][1] += data[2] cls.__dealing_order_info_dict[code][2] += data[2] * data[1] else: # 保存上一条数据 async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}") # 设置最近成交完成的一条数据 deal_info = cls.__dealing_order_info_dict[code] # 是否为大买单 if deal_info[2] >= 2990000: big_sell_datas.append(deal_info) # 初始化本条数据 cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]] return big_sell_datas # 统计所有的成交量 __deal_volume_list_dict = {} @classmethod def statistic_total_deal_volume(cls, code, datas): # 只统计被动买 if code not in cls.__deal_volume_list_dict: cls.__deal_volume_list_dict[code] = [] time_dict = {} for d in datas: # 只统计被动买 if d[7] < d[6]: continue time_str = '' if d[3] in time_dict: time_str = time_dict[d[3]] else: time_dict[d[3]] = l2_huaxin_util.convert_time(d[3]) time_str = time_dict[d[3]] if cls.__deal_volume_list_dict[code]: if cls.__deal_volume_list_dict[code][-1][0] == time_str: # 如果是同一秒 cls.__deal_volume_list_dict[code][-1][1] += d[2] else: # 不是同一秒 cls.__deal_volume_list_dict[code].append([time_str, d[2]]) else: cls.__deal_volume_list_dict[code].append([time_str, d[2]]) # 删除超过5条数据 if len(cls.__deal_volume_list_dict[code]) > 5: cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:] time_dict.clear() @classmethod def get_latest_3s_continue_deal_volumes(cls, code): """ 获取最近3s的成交量分布 @param code: @return: [(时间,量)] """ deal_list = cls.__deal_volume_list_dict.get(code) if not deal_list: return [] fdatas = [deal_list[-1]] # 从倒数第二个数据计算 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): """ 获取最近2s的成交量分布 @param code: @return: [(时间,量)] """ deal_list = cls.__deal_volume_list_dict.get(code) if not deal_list: return [] fdatas = [deal_list[-1]] # 从倒数第二个数据计算 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) # 返回最近1s的大单卖：(总卖金额,[(卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）),...]) @classmethod def add_transaction_datas(cls, code, datas, limit_up_price=None): # 是否为主动卖 def is_active_sell(sell_no, buy_no): return sell_no > buy_no # 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] = [] sell_no_map = local_today_sellno_map.get(code) total_datas = local_today_datas.get(code) if not sell_no_map: sell_no_map = {} # 保存最近的成交价格:(价格,成交时间) cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3]) L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas, limit_up_price) for d in datas: # 获取当前是否为主动买 try: _is_active_sell = is_active_sell(d[7], d[6]) if not _is_active_sell: continue if d[1] == limit_up_price: # 涨停主动卖 L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d) # 判断是否是涨停被动变主动 last_trade_data = cls.__last_trade_data_dict.get(code) if last_trade_data and not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[ 1] == limit_up_price: if d[1] == limit_up_price: # 涨停被动变主动 L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data, d) 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]) else: info = cls.__latest_sell_order_dict[code] # 上个卖单成交完成 # 封存数据，计算新起点 # 大于50w的卖单才会保存 # 大于50w加入卖单 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) # 只保留10w以上的单 if money > 100000: cls.__latest_all_sell_orders_dict[code].append(info) l2_log.info(code, hx_logger_l2_transaction_sell_order, f"{info}") if limit_up_price == info[2]: # 将涨停主动卖记入日志 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])] finally: cls.__last_trade_data_dict[code] = d latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True) min_time = tool.trade_time_add_millionsecond(latest_time, -1000) min_time_int = int(min_time.replace(":", "").replace(".", "")) # 计算最近1s的大单成交 total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code) total_sell_info = [0, None] # 总资金,开始成交信息,结束成交信息 latest_sell_order_info = cls.__latest_sell_order_dict.get(code) if latest_sell_order_info: # 不是第一次非主动卖上传 big_sell_order_ids = cls.__big_sell_order_ids_dict[code] # print("大卖单", big_sell_order_ids) big_sell_orders = [] temp_sell_order_ids = set() # 统计已经结算出的大单 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]: # 不是最近的成交且不是大单直接过滤 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: # 是最近的但不是大单需要过滤 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]) # 统计最近1s的大卖单数据 total_sell_info[0] += int(bd[1] * bd[2]) # 统计最近的大单 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 return total_sell_info # 获取最近成交数据 @classmethod def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None, min_sell_money=None): """ 获取最近的主动卖成交信息 @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: # 过滤小金额 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 # 获取最近成交价格信息, 返回格式：（价格,时间） @classmethod def get_latest_trade_price_info(cls, code): return cls.__latest_trade_price_dict.get(code)