""" L2成交数据处理器 """ import json import logging import time from code_attribute import gpcode_manager from db import 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, \ GCancelBigNumComputer 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 utils import tool class HuaXinTransactionDatasProcessor: __db = 0 __instance = None __redis_manager = redis_manager.RedisManager(0) __TradeBuyQueue = transaction_progress.TradeBuyQueue() # 正在成交的订单 __dealing_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(HuaXinTransactionDatasProcessor, 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])) # 统计成交的情况 def __statistic_deal_desc(self, code, data, total_buy_num): if code not in self.__dealing_order_info_dict: # 数据格式[订单号，总手数，开始成交时间，结束成交时间, 总买] 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]: # 成交同一个订单号 self.__dealing_order_info_dict[code][1] += data[2] self.__dealing_order_info_dict[code][3] = data[3] else: # 保存上一条数据 async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{self.__dealing_order_info_dict[code]}") # 设置最近成交完成的一条数据 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 # 初始化本条数据 self.__dealing_order_info_dict[code] = [data[6], data[2], data[3], data[3], total_buy_num] return deal_info return None # 计算成交进度 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}成交进度：{buyno_map[buy_no]['index']}") buy_progress_index = buyno_map[buy_no]["index"] break return buy_progress_index def process_huaxin_transaction_datas(self, 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) if buyno_map is None: buyno_map = {} order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) # 计算已经成交的大单 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("已经成交索引：", 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后是否有成交，如果有成交就需要除去当前笔数，然后重新囊括一笔 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) 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, "获取成交位置成功： code-{} index-{}", code, buy_progress_index) GCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, 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) # ---------------------------------判断板块是否跟上来了------------------------------- 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: # 交易进度变化，判断到真实下单位置的距离 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: # 当成交进度距离真实下单位置不足3笔时推送即将成交的消息 push_msg_manager.push_order_almost_deal(code, gpcode_manager.get_code_name(code)) 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: 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}处理成交用时：{use_time}")