撮合引擎代码 处理低价股票的排队问题

from collections import deque from typing import Dict, List, Deque, Optional from sortedcontainers import SortedDict import numpy as np import pandas as pd from .order import Order from .utils import * from ...calculation.math import accurate_round class OrderBook: def __init__(self, current_time, date: int = None, record_deleted: bool = False): self.bid_levels: Dict[float, Deque[Order]] = {} # 买盘列表 self.ask_levels: Dict[float, Deque[Order]] = {} # 卖盘列表 self.bid_volumes: SortedDict[float, int] = SortedDict() # 买量 self.ask_volumes: SortedDict[float, int] = SortedDict() # 卖量 self.bid_volumes_pure: SortedDict[float, int] = SortedDict() # 纯净买量 self.ask_volumes_pure: SortedDict[float, int] = SortedDict() # 纯净卖量 self.historical_order = [] # 历史订单列表 self.historical_deleted_order = [] # 历史删除订单列表 self.record_deleted = record_deleted self.historical_transaction = pd.DataFrame([], columns=["time", "price", "vol", "bid_uid", "ask_uid", "is_ours", "our_direction", "our_cashflow", "BSFlag", "bid_total", "ask_total"]) # 成交序列 self._historical_orderbook = [] self.date = date self.start_time = 0 self.end_time = current_time self.period_prices = [] self.our_active_orders = [] self.our_orders = [] self.our_transactions = pd.DataFrame(columns=["uid", "is_buy", "price", "matched_quantity", "time", "exposure_change"]) self.our_period_holdings_change = 0 self._PRE_AUCTION_TIME = 91500000 self._PRE_AUCTION_MATCH_TIME = 92500000 self._OPEN_TIME = 93000000 self._AFTER_AUCTION_TIME = 145700000 self._AFTER_AUCTION_MATCH_TIME = 150000000 self.morning_auction = False self.afternoon_auction = False def submit_order(self, uid, is_delete, is_buy, time_submitted, price, quantity=0, is_ours=False, is_market=None, ApplSeqNum=None): if is_delete: idx, existing_order = self.get_order(uid, price, is_buy) if existing_order is None: return if existing_order.active: existing_order.time_finished = time_submitted if existing_order.matched_quantity > 0 else None if is_buy: del self.bid_levels[price][idx] else: del self.ask_levels[price][idx] self.volumes_calc(is_buy, existing_order.price, existing_order.remaining_quantity) existing_order.active = False self.historical_order.append(existing_order) self._our_order_arrange(existing_order) if self.record_deleted: cancellation_order = Order(uid=uid, is_buy=is_buy, quantity=existing_order.quantity - existing_order.matched_quantity, price=price, time_submitted=time_submitted, is_delete=is_delete, is_ours=is_ours, is_market=is_market, active=False, ApplSeqNum=ApplSeqNum) cancellation_order.time_finished = time_submitted if existing_order.matched_quantity > 0 else None self.historical_deleted_order.append(cancellation_order) elif quantity > 0: if is_buy: if price not in self.bid_levels: self.bid_levels[price] = deque() if price not in self.bid_volumes: self.bid_volumes[price] = 0 self.bid_levels[price].append(Order(uid=uid, is_buy=is_buy, quantity=quantity, price=price, time_submitted=time_submitted, is_ours=is_ours, is_market=is_market, ApplSeqNum=ApplSeqNum)) self.bid_volumes[price] += quantity else: if price not in self.ask_levels: self.ask_levels[price] = deque() if price not in self.ask_volumes: self.ask_volumes[price] = 0 self.ask_levels[price].append(Order(uid=uid, is_buy=is_buy, quantity=quantity, price=price, time_submitted=time_submitted, is_ours=is_ours, is_market=is_market, ApplSeqNum=ApplSeqNum)) self.ask_volumes[price] += quantity if is_ours: self.our_active_orders.append((uid, is_buy, price, quantity, time_submitted)) self.trade_matching(time_submitted, uid) def auction_matching(self): # 集合竞价撮合 if self.end_time < self._OPEN_TIME: # 盘前集合竞价 if not self.morning_auction and self.end_time >= self._PRE_AUCTION_MATCH_TIME: # 盘前集中成交 self._auction_process() self.morning_auction = True elif self._AFTER_AUCTION_TIME < self.end_time: # 盘后集合竞价 if not self.afternoon_auction and self.end_time >= self._AFTER_AUCTION_MATCH_TIME: # 盘后集中成交 self._auction_process() self.afternoon_auction = True def trade_matching(self, time_submitted, latest_uid): # 连续竞价撮合 if self._OPEN_TIME <= self.end_time <= self._AFTER_AUCTION_TIME: while self.best_bid >= self.best_ask and len(self.ask_volumes) > 0 and len(self.bid_volumes) > 0: bid = self.bid_levels[self.bid_volumes.peekitem(-1)[0]][0] ask = self.ask_levels[self.ask_volumes.peekitem(0)[0]][0] # 1: 主买, -1: 主卖 if bid.time_submitted > ask.time_submitted: bs_flag = 1 elif bid.time_submitted < ask.time_submitted: bs_flag = -1 else: bs_flag = 1 if bid.uid == latest_uid else -1 vol = min(bid.remaining_quantity, ask.remaining_quantity) is_ours, our_direction = check_our_orders(ask, bid) trade_price = ask.price if bs_flag == 1 else bid.price bid.trade_money += accurate_round(trade_price * vol, 2) ask.trade_money += accurate_round(trade_price * vol, 2) self.historical_transaction.loc[len(self.historical_transaction)] = [time_submitted, trade_price, vol, bid.uid, ask.uid, is_ours, our_direction, our_direction * vol * trade_price, bs_flag, bid.quantity, ask.quantity] self.period_prices.append(trade_price) if is_ours: self.our_period_holdings_change += vol if our_direction == 1 else -vol bid.matched_quantity += vol ask.matched_quantity += vol self.volumes_calc(True, bid.price, vol) self.volumes_calc(False, ask.price, vol) self._our_transaction_record(bid, trade_price, vol, time_submitted) self._our_transaction_record(ask, trade_price, vol, time_submitted)