""" L2成交数据处理器 """ import time from code_attribute import gpcode_manager from l2 import l2_data_util, l2_data_manager, transaction_progress from l2.cancel_buy_strategy import LCancelRateManager, DCancelBigNumComputer, LCancelBigNumComputer, \ SecondCancelBigNumComputer, HourCancelBigNumComputer, FastCancelBigNumComputer from l2.l2_data_manager_new import L2TradeDataProcessor from l2.l2_data_util import L2DataUtil from log_module import async_log_util from log_module.log import hx_logger_l2_transaction, logger_l2_trade_buy_queue, hx_logger_l2_upload, hx_logger_l2_debug from trade import current_price_process_manager, trade_manager, l2_trade_factor from trade.deal_big_money_manager import DealOrderNoManager from trade.l2_trade_factor import L2PlaceOrderParamsManager class HuaXinTransactionDatasProcessor: __TradeBuyQueue = transaction_progress.TradeBuyQueue() @classmethod def process_huaxin_transaction_datas(cls, code, datas): # 设置成交价 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) # async_log_util.debug(hx_logger_l2_transaction, # f"{code}的买入订单号数量:{len(buyno_map.keys()) if buyno_map else 0}") if buyno_map is None: buyno_map = {} 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}成交进度:{buyno_map[buy_no]['index']}") buy_progress_index = buyno_map[buy_no]["index"] break # ------统计保存成交大单订单号------ origin_ordernos = set() for d in datas: buy_no = f"{d[6]}" origin_ordernos.add(buy_no) # ---------------------处理成交大单---------------------- big_money_count = 0 for buy_no in origin_ordernos: # 查询是否为大单 if buy_no in buyno_map: data = buyno_map[buy_no] val = data["val"] if not L2DataUtil.is_limit_up_price_buy(val): continue if l2_data_util.is_big_money(val): # 涨停买的大单 big_money_count += 1 DealOrderNoManager().add_orderno(code, buy_no) if big_money_count > 0: # 统计大单/m值成交比 total_deal_nums = DealOrderNoManager().get_deal_nums(code, buyno_map) thresh_hold_money = l2_trade_factor.L2PlaceOrderParamsManager.get_base_m_val(code) limit_up_price = gpcode_manager.get_limit_up_price(code) if limit_up_price: rate = round(total_deal_nums / (thresh_hold_money // (float(limit_up_price) * 100)), 2) LCancelRateManager().set_big_num_deal_rate(code, rate) # 获取执行位时间 order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) if buy_progress_index is not None: cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, total_datas) async_log_util.info(logger_l2_trade_buy_queue, "获取成交位置成功: code-{} index-{}", code, buy_progress_index) # limit_up_price = gpcode_manager.get_limit_up_price(code) # 注释掉D撤单 # if buy_exec_index and buy_exec_index > -1: # m_base_val = L2PlaceOrderParamsManager.get_base_m_val(code) # need_cancel, msg = DCancelBigNumComputer().set_trade_progress(code, # buy_progress_index, # buy_exec_index, # total_datas, # m_base_val, # limit_up_price) # if need_cancel: # L2TradeDataProcessor.cancel_buy(code, f"D撤:{msg}", source="d_cancel") 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) else: pass if order_begin_pos and order_begin_pos.buy_exec_index and order_begin_pos.buy_exec_index > -1: # 触发L撤上重新计算 LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index) except Exception as 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}处理成交用时:{use_time}")