import logging import time import dask import constant from cancel_strategy.s_l_h_cancel_strategy import HourCancelBigNumComputer from cancel_strategy.s_l_h_cancel_strategy import LCancelBigNumComputer, LCancelRateManager from cancel_strategy.s_l_h_cancel_strategy import SCancelBigNumComputer from code_attribute import gpcode_manager from l2 import l2_data_util, l2_data_manager, transaction_progress, l2_log, data_callback from l2.cancel_buy_strategy import FCancelBigNumComputer, \ NewGCancelBigNumComputer, \ NBCancelBigNumComputer from l2.huaxin import l2_huaxin_util from l2.l2_data_manager import OrderBeginPosInfo from l2.l2_data_manager_new import L2TradeDataProcessor from l2.l2_data_util import L2DataUtil from l2.l2_limitup_sell_data_manager import L2LimitUpSellDataManager from l2.l2_transaction_data_manager import HuaXinBuyOrderManager, HuaXinSellOrderStatisticManager, BigOrderDealManager from l2.place_order_single_data_manager import L2TradeSingleDataProcessor from log_module import async_log_util from log_module.log import hx_logger_l2_debug, logger_l2_trade_buy_queue, logger_debug, hx_logger_l2_upload from trade import current_price_process_manager, trade_constant import concurrent.futures from trade.buy_radical import radical_buy_strategy from trade.buy_radical.radical_buy_data_manager import RadicalBuyDataManager, EveryLimitupBigDealOrderManager from utils import tool class HuaXinTransactionDatasProcessor: __statistic_thread_pool = concurrent.futures.ThreadPoolExecutor(max_workers=constant.HUAXIN_L2_MAX_CODES_COUNT + 2) __TradeBuyQueue = transaction_progress.TradeBuyQueue() # 计算成交进度 @classmethod def __compute_latest_trade_progress(cls, code, fdatas): buyno_map = l2_data_util.local_today_buyno_map.get(code) if not buyno_map: return None buy_progress_index = None for i in range(len(fdatas) - 1, -1, -1): d = fdatas[i] buy_no = f"{d[0][6]}" if buyno_map and buy_no in buyno_map: # 成交进度位必须是涨停买 if L2DataUtil.is_limit_up_price_buy(buyno_map[buy_no]["val"]): buy_progress_index = buyno_map[buy_no]["index"] break return buy_progress_index @classmethod def statistic_big_order_infos(cls, code, fdatas, order_begin_pos: OrderBeginPosInfo): """ 统计大单成交 @param code: @param fdatas: 格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] @return: """ @dask.delayed def statistic_big_buy_data(): buy_datas, bigger_buy_datas = HuaXinBuyOrderManager.statistic_big_buy_data(code, fdatas, limit_up_price) if buy_datas: BigOrderDealManager().add_buy_datas(code, buy_datas) active_big_buy_orders = [] if buy_datas: for x in buy_datas: if x[0] > x[6]: # (买单号, 成交金额, 最后成交时间) active_big_buy_orders.append((x[0], x[2], x[4])) EveryLimitupBigDealOrderManager.add_big_buy_order_deal(code, active_big_buy_orders) try: is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) if is_placed_order: if order_begin_pos and order_begin_pos.mode == OrderBeginPosInfo.MODE_RADICAL: RadicalBuyDataManager.big_order_deal(code) if bigger_buy_datas: # 有大于50w的大单成交 buyno_map = l2_data_util.local_today_buyno_map.get(code) if buyno_map: for buy_data in bigger_buy_datas: order_no = f"{buy_data[0]}" if order_no in buyno_map: LCancelBigNumComputer().add_deal_index(code, buyno_map[order_no]["index"], order_begin_pos.buy_single_index) except Exception as e: logger_debug.exception(e) return buy_datas @dask.delayed def statistic_big_sell_data(): sell_datas = HuaXinSellOrderStatisticManager.statistic_big_sell_data(code, fdatas) if sell_datas: BigOrderDealManager().add_sell_datas(code, sell_datas) return sell_datas @dask.delayed def statistic_big_data(f1_, f2_): temp_data = f1_, f2_ return temp_data limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) # 并行处理买单与卖单 f1 = statistic_big_buy_data() f2 = statistic_big_sell_data() dask_result = statistic_big_data(f1, f2) buy_datas, sell_datas = dask_result.compute() # L撤的比例与买卖大单无直接关系了 # if buy_datas or sell_datas: # buy_money = BigOrderDealManager().get_total_buy_money(code) # sell_money = BigOrderDealManager().get_total_sell_money(code) # LCancelRateManager.set_big_num_deal_info(code, buy_money, sell_money) @classmethod def process_huaxin_transaction_datas(cls, code, o_datas): # 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'], # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'], # data['SellNo'], data['ExecType'])) fdatas = [ [d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', ''] for d in o_datas] temp_time_dict = {} for d in fdatas: if d[0][3] not in temp_time_dict: temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True) d[5] = temp_time_dict.get(d[0][3]) d[4] = d[5][:8] temp_time_dict.clear() __start_time = time.time() limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) # 设置成交价 try: current_price_process_manager.set_trade_price(code, fdatas[-1][0][1]) if limit_up_price > fdatas[-1][0][1]: # 没有涨停 EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}") radical_buy_strategy.clear_data(code) except: pass total_datas = l2_data_util.local_today_datas.get(code) use_time_list = [] try: 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) # 是否已经下单 is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) _start_time = time.time() # 设置涨停卖成交数据 L2LimitUpSellDataManager.set_deal_datas(code, fdatas) use_time_list.append(("统计涨停卖成交", time.time() - _start_time)) _start_time = time.time() # 大单统计 # cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, datas, order_begin_pos) try: cls.statistic_big_order_infos(code, fdatas, order_begin_pos) except Exception as e: async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}") use_time_list.append(("统计大单数据", time.time() - _start_time)) _start_time = time.time() try: # 统计上板时间 try: for d in fdatas: if d[1]: # 主动买 if d[2]: # 涨停 current_price_process_manager.set_latest_not_limit_up_time(code, d[5]) else: # 主动卖（板上） if d[2]: L2LimitUpSellDataManager.clear_data(code) break except: pass big_sell_order_info = None # 统计卖单 big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas( code, fdatas, limit_up_price) use_time_list.append(("处理卖单成交数据", time.time() - _start_time)) _start_time = time.time() if is_placed_order: LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) # need_cancel, cancel_msg = SCancelBigNumComputer().set_big_sell_order_info_for_cancel(code, # big_sell_order_info, # order_begin_pos) need_cancel, cancel_msg = False, "" cancel_type = None if need_cancel: cancel_msg = f"S撤:{cancel_msg}" cancel_type = trade_constant.CANCEL_TYPE_S if not need_cancel: need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code, order_begin_pos) cancel_type = trade_constant.CANCEL_TYPE_P # 判断时间是否与本地时间相差5s以上 if tool.trade_time_sub(tool.get_now_time_str(), fdatas[-1][4]) > 10: now_seconds = int(tool.get_now_time_str().replace(":", "")) if now_seconds < int("093100"): # or int("130000") <= now_seconds < int("130200"): need_cancel, cancel_msg = True, f"成交时间与本地时间相差10S以上，{fdatas[-1][4]}" cancel_type = trade_constant.CANCEL_TYPE_L2_DELAY if need_cancel: L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type) # GCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) use_time_list.append(("处理卖单相关撤数据", time.time() - _start_time)) _start_time = time.time() # 统计涨停卖成交 HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price) use_time_list.append(("统计成交量数据", time.time() - _start_time)) except Exception as e: async_log_util.error(logger_debug, f"卖单统计异常：{big_sell_order_info}") logger_debug.exception(e) _start_time = time.time() # if big_money_count > 0: # LCancelRateManager.compute_big_num_deal_rate(code) buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) if buy_progress_index is not None: buy_progress_index_changed = 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) if is_placed_order: NewGCancelBigNumComputer().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) cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index) if cancel_result[0]: L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}", cancel_type=trade_constant.CANCEL_TYPE_F) if not cancel_result[0]: try: cancel_result = NBCancelBigNumComputer().need_cancel(code, buy_progress_index) if cancel_result[0]: L2TradeDataProcessor.cancel_buy(code, f"大市值无大单撤:{cancel_result[1]}", cancel_type=trade_constant.CANCEL_TYPE_NB) except: pass if not cancel_result[0] and buy_progress_index_changed: try: cancel_result = FCancelBigNumComputer().need_cancel_for_w(code) if cancel_result[0]: L2TradeDataProcessor.cancel_buy(code, f"W撤:{cancel_result[1]}", cancel_type=trade_constant.CANCEL_TYPE_W) except: pass SCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, buy_progress_index) HourCancelBigNumComputer().set_transaction_index(code, order_begin_pos.buy_single_index, buy_progress_index) else: pass if is_placed_order: # 触发L撤上重新计算 LCancelBigNumComputer().re_compute_l_up_watch_indexes(code, order_begin_pos.buy_single_index) use_time_list.append(("处理成交进度相关撤", time.time() - _start_time)) 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 > 5: l2_log.info(code, hx_logger_l2_upload, f"{code}处理成交用时：{use_time} 数据数量：{len(fdatas)} 详情:{use_time_list}") @classmethod def process_huaxin_transaction_datas_v2(cls, code, o_datas): """ 新版处理华鑫成交数据： 尚未下单的时候异步统计成交，同步遍历获取最后一个涨停卖委托数据，当最后一个涨停卖成交的时候就是下单时机 @param code: @param o_datas: @return: """ def __process_placed_order(): """ 处理处于下单状态的数据 @return: """ try: cls.statistic_big_order_infos(code, fdatas, order_begin_pos) except Exception as e: async_log_util.error(hx_logger_l2_debug, f"统计大单出错：{str(e)}") # 统计连续的卖单数据，用于撤单，只有当下单之后才会执行 big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas( code, fdatas, limit_up_price) LCancelBigNumComputer().set_big_sell_order_info(code, big_sell_order_info) need_cancel, cancel_msg = False, "" cancel_type = None if not need_cancel: need_cancel, cancel_msg = FCancelBigNumComputer().need_cancel_for_p(code, order_begin_pos) cancel_type = trade_constant.CANCEL_TYPE_P if need_cancel: L2TradeDataProcessor.cancel_buy(code, cancel_msg, cancel_type=cancel_type) # 统计涨停主动卖成交，为了F撤准备数据 HuaXinSellOrderStatisticManager.statistic_active_sell_deal_volume(code, fdatas, limit_up_price) # 计算成交进度 buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) if buy_progress_index is not None: total_datas = l2_data_util.local_today_datas.get(code) buy_progress_index_changed = 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) if is_placed_order: LCancelBigNumComputer().set_trade_progress(code, order_begin_pos.buy_single_index, buy_progress_index, total_datas) cancel_result = FCancelBigNumComputer().need_cancel_for_deal_fast(code, buy_progress_index) if cancel_result[0]: L2TradeDataProcessor.cancel_buy(code, f"F撤:{cancel_result[1]}", cancel_type=trade_constant.CANCEL_TYPE_F) limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) # =====格式化数据===== # 整形数据，格式：[(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)] fdatas = [ [d, d[6] > d[7], limit_up_price == d[1], d[1] * d[2], '', ''] for d in o_datas] temp_time_dict = {} for d in fdatas: if d[0][3] not in temp_time_dict: temp_time_dict[d[0][3]] = l2_huaxin_util.convert_time(d[0][3], with_ms=True) d[5] = temp_time_dict.get(d[0][3]) d[4] = d[5][:8] temp_time_dict.clear() try: # ======需要同步处理的数据======== # 设置成交价 try: current_price_process_manager.set_trade_price(code, fdatas[-1][0][1]) if limit_up_price > fdatas[-1][0][1]: # 没有涨停 EveryLimitupBigDealOrderManager.open_limit_up(code, f"最新成交价：{fdatas[-1][0][1]}") radical_buy_strategy.clear_data(code) except: pass # 统计上板时间 try: last_data = fdatas[-1] if last_data[1] and last_data[2]: # 涨停主动买 current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5]) elif not last_data[1] and last_data[2]: # 涨停主动卖 if last_data[2]: L2LimitUpSellDataManager.clear_data(code) except: pass # ==========处于委托状态就同步处理数据，没有下过单就异步处理数据========== order_begin_pos = l2_data_manager.TradePointManager().get_buy_compute_start_data_cache(code) is_placed_order = l2_data_manager.TradePointManager.is_placed_order(order_begin_pos) if is_placed_order: # 下过单了 __process_placed_order() else: filter_datas = L2TradeSingleDataProcessor.filter_last_limit_up_sell_data(code, fdatas) # 回调数据 if filter_datas: data_callback.l2_trade_single_callback.OnLastLimitUpSellDeal(code, filter_datas[0]) # 如果是被动买就更新成交进度 if not fdatas[-1][1]: buy_progress_index = cls.__compute_latest_trade_progress(code, fdatas) if buy_progress_index is not None: total_datas = l2_data_util.local_today_datas.get(code) cls.__TradeBuyQueue.set_traded_index(code, buy_progress_index, total_datas) # 如果数据量大于20条就采用线程池更新数据 if len(fdatas) >= 20: cls.__statistic_thread_pool.submit(cls.statistic_big_order_infos, code, fdatas, order_begin_pos) else: cls.statistic_big_order_infos(code, fdatas, order_begin_pos) except Exception as e: hx_logger_l2_debug.exception(e)