""" 交易数据股那里器 用于对交易临时数据(交易状态,代码状态等)进行管理 """ import json import time # 交易撤销数据管理器 import l2_data_util import redis_manager import tool from log import logger_trade class TradeCancelDataManager: capture_time_dict = {} # 保存截图时间 @classmethod def save_l2_capture_time(cls, client_id, pos, code, capture_time): cls.capture_time_dict["{}-{}-{}".format(client_id, pos, code)] = {"create_time": round(time.time() * 1000), "capture_time": capture_time} # 获取最近一次的截图时间 @classmethod def get_latest_l2_capture_time(cls, client_id, pos, code): val = cls.capture_time_dict.get("{}-{}-{}".format(client_id, pos, code)) if val is None: return -1 # 间隔时间不能大于1s if round(time.time() * 1000) - val["create_time"] > 1000: return -1 return val["capture_time"] # 获取l2数据的增长速度 @classmethod def get_l2_data_grow_speed(cls, client_id, pos, code, add_datas, capture_time): count = 0 for data in add_datas: count += data["re"] lastest_capture_time = cls.get_latest_l2_capture_time(client_id, pos, code) if lastest_capture_time < 0: raise Exception("获取上次l2数据截图时间出错") return count / (capture_time - lastest_capture_time) # 获取买入确认点的位置 @classmethod def get_buy_sure_position(cls, index, speed, trade_time): return index + round(speed * trade_time) class TradeBuyDataManager: redisManager = redis_manager.RedisManager(0) buy_sure_position_dict = {} # 设置买入点的信息 # trade_time: 买入点截图时间与下单提交时间差值 # capture_time: 买入点截图时间 # last_data: 买入点最后一条数据 @classmethod def set_buy_position_info(cls, code, capture_time, trade_time, last_data, last_data_index): redis = cls.redisManager.getRedis() redis.setex("buy_position_info-{}".format(code), tool.get_expire(), json.dumps((capture_time, trade_time, last_data, last_data_index))) # 获取买入点信息 @classmethod def get_buy_position_info(cls, code): redis = cls.redisManager.getRedis() val_str = redis.get("buy_position_info-{}".format(code)) if val_str is None: return None, None, None,None else: val = json.loads(val_str) return val[0], val[1], val[2], val[3] # 删除买入点信息 @classmethod def remove_buy_position_info(cls, code): redis = cls.redisManager.getRedis() redis.delete("buy_position_info-{}".format(code)) # 设置买入确认点信息 @classmethod def __set_buy_sure_position(cls, code, index, data): logger_trade.debug("买入确认点信息: code:{} index:{} data:{}", code, index, data) redis = cls.redisManager.getRedis() key = "buy_sure_position-{}".format(code) redis.setex(key, tool.get_expire(), json.dumps((index, data))) cls.buy_sure_position_dict[code] = (index, data) # 移除下单信号的详细信息 cls.remove_buy_position_info(code) # 清除买入确认点信息 @classmethod def __clear_buy_sure_position(cls, code): redis = cls.redisManager.getRedis() key = "buy_sure_position-{}".format(code) redis.delete(key) if code in cls.buy_sure_position_dict: cls.buy_sure_position_dict.pop(code) # 获取买入确认点信息 @classmethod def get_buy_sure_position(cls, code): temp = cls.buy_sure_position_dict.get(code) if temp is not None: return temp[0], temp[1] redis = cls.redisManager.getRedis() key = "buy_sure_position-{}".format(code) val = redis.get(key) if val is None: return None, None else: val = json.loads(val) cls.buy_sure_position_dict[code] = (val[0], val[1]) return val[0], val[1] # 处理买入确认点信息 @classmethod def process_buy_sure_position_info(cls, code, capture_time, l2_today_datas, l2_latest_data, l2_add_datas): buy_capture_time, trade_time, l2_data, l2_data_index = cls.get_buy_position_info(code) if buy_capture_time is None: # 没有购买者信息 return None if capture_time - buy_capture_time < trade_time: # 时间未等待足够 return None # 时间差是否相差2s及以上 old_time = l2_data["val"]["time"] new_time = l2_latest_data["val"]["time"] old_time_int = l2_data_util.get_time_as_seconds(old_time) new_time_int = l2_data_util.get_time_as_seconds(new_time) if new_time_int - old_time_int >= 2: # 间隔2s及其以上表示数据异常 # 间隔2s以上的就以下单时间下一秒末尾作为确认点 start_index = l2_data_index if len(l2_today_datas)-1 > start_index: for i in range(start_index + 1, len(l2_today_datas)): _time = l2_today_datas[i]["val"]["time"] if l2_data_util.get_time_as_seconds(_time) - old_time_int >= 2: index = i - 1 data = l2_today_datas[index] cls.__set_buy_sure_position(code, index, data) break else: cls.__set_buy_sure_position(code, l2_data_index, l2_data) elif new_time_int - old_time_int >= 0: # 间隔2s内表示数据正常,将其位置设置为新增数据的中间位置 index = len(l2_today_datas)-1 - (len(l2_add_datas)) // 2 data = l2_today_datas[index] cls.__set_buy_sure_position(code, index, data) else: # 间隔时间小于0 ,一般产生原因是数据回溯产生,故不做处理 logger_trade.warning("预估委托位置错误:数据间隔时间小于0 code-{}", code) pass if __name__ == "__main__": TradeBuyDataManager.set_buy_capture_time("123456", 178938828, 1232) print(TradeBuyDataManager.get_buy_capture_time("123456"))