QTradeProgram/Sqbase/qorderprocessor.cpp

#include "qorderprocessor.h"
#include <QJsonDocument>
#include <QJsonArray>
#include <QDebug>
#include <immintrin.h>
#include <algorithm>

#include "qlogmanager.h"

QOrderProcessor::QOrderProcessor(QObject *parent)
	: QObject(parent)
{
	int idealThreads = QThread::idealThreadCount();
	//m_threadPool.setMaxThreadCount(qBound(4, idealThreads, 16));
	m_threadPool.setMaxThreadCount(qBound(4, 6, 8));
}

QOrderProcessor::~QOrderProcessor()
{
	m_threadPool.waitForDone();
}

void QOrderProcessor::setProcessingEnabled(bool enabled)
{
	QMutexLocker lock(&m_dataMutex);
	m_enabled = enabled;
}


double QOrderProcessor::sumQuantity(const QVector<OrderBookEntry>& items)const {
	return std::accumulate(items.begin(), items.end(), 0.0,
		[](double sum, const OrderBookEntry& item) {
		return sum + item.volume;
	});
}

/*
	1. 找到列表中的最大值和次大值
	2. 最大值是次大值的指定倍数
*/
OrderBookEntry QOrderProcessor::findMaxVolumeItemEx(const QVector<OrderBookEntry>& items, double volumeRatio) const
{
	if (items.isEmpty())
		return{};

	// 特殊情况处理：只有一个元素时无法比较倍数
	if (items.size() == 1) {
		return volumeRatio <= 1.0 ? items[0] : OrderBookEntry{};
	}

	// 初始化最大值和次大值
	const OrderBookEntry* maxItem = &items[0];
	const OrderBookEntry* secondMaxItem = nullptr;
	double secondMaxVolume = -1.0;

	// 遍历查找最大值和次大值
	for (int i = 1; i < items.size(); ++i) {
		const OrderBookEntry& item = items[i];

		if (item.volume > maxItem->volume) {
			// 更新次大值为原最大值
			secondMaxItem = maxItem;
			secondMaxVolume = maxItem->volume;

			// 更新最大值
			maxItem = &item;
		}
		else if (!secondMaxItem || item.volume > secondMaxVolume) {
			// 更新次大值
			secondMaxItem = &item;
			secondMaxVolume = item.volume;
		}
	}

	// 检查是否满足倍数条件
	constexpr double EPSILON = 1e-9;
	if (secondMaxItem && maxItem->volume + EPSILON >= secondMaxVolume * volumeRatio) {
		return *maxItem;
	}

	return OrderBookEntry{};
}

QVector<BigOrderInfo> QOrderProcessor::findMaxVolumeItem(const OrderBookData & data) const
{
	bool findBigOrder = false;
	BigOrderInfo bigOrderInfo;
	QVector<BigOrderInfo> bigOrderInfoList;
	float volume = m_replyCodeQuantity[data.code];
	const OrderBookEntry* maxItem;
	QVector<OrderBookEntry> items = data.asks;
	for (int i = 0; i < items.size(); i++) {

		// 不处理刚打开程序时，推送过来的摆盘数据
		if (data.askTime == NULL)
			continue;

		// 同一个价格挡位的订单中股票数量大于，阈值才有可能是大单
		if (volume < items[i].volume) {
			for (int j = 0; j< items[i].details.size(); j++)	// 超过list的最大数量，就不会返回数据了
			{
				try {
					if (volume < items[i].details[j].volume)
					{
						findBigOrder = true;

						bigOrderInfo.nBigOrderType = 0;
						bigOrderInfo.isBigOrder = findBigOrder;
						bigOrderInfo.code = data.code;
						bigOrderInfo.name = data.name;
						bigOrderInfo.orderId = items[i].details[j].orderId;
						bigOrderInfo.price = items[i].price;
						bigOrderInfo.volume = items[i].details[j].volume;
						bigOrderInfo.level = i + 1;
						bigOrderInfo.svrRecvTime = data.askTime;

						bigOrderInfoList.append(bigOrderInfo);
					}
				}
				catch (const char* msg) {
					qDebug() << "err findMax";
				}
			}
		}
	}

	items = data.bids;
	for (int i = 0; i < items.size(); i++) {

		// 不处理刚打开程序时，推送过来的摆盘数据
		if (data.bidTime == NULL)
			continue;

		// 同一个价格挡位的订单中股票数量大于，阈值才有可能是大单
		if (volume < items[i].volume) {
			for (int j = 0; j< items[i].details.size(); j++)
			{
				try {
					if (volume < items[i].details[j].volume)
					{
						findBigOrder = true;
						bigOrderInfo.nBigOrderType = 1;
						bigOrderInfo.isBigOrder = findBigOrder;
						bigOrderInfo.code = data.code;
						bigOrderInfo.name = data.name;
						bigOrderInfo.orderId = items[i].details[j].orderId;
						bigOrderInfo.price = items[i].price;
						bigOrderInfo.volume = items[i].details[j].volume;
						bigOrderInfo.svrRecvTime = data.bidTime;

						bigOrderInfoList.append(bigOrderInfo);
					}
				}
				catch (const char* msg) {
					qDebug() << "err findMax";
				}
			}
		}
	}

	return bigOrderInfoList;
}
//
//// 1.简单粗暴，直接通过数量阈值进行筛选，遍历全部价格档位
//// 大单检测接口,返回 QVector<BigOrderInfo>, 暂时找到一个就返回
//QVector<BigOrderInfo>  QOrderProcessor::findMaxVolumeItem(const OrderBookData& data) const;
//{
//	if (items.isEmpty())
//		return{};
//	bool findBigOrder = false;
//	QVector<BigOrderInfo> bigOrderInfoList;
//	
//	float volume = m_replyCodeQuantity[data.code];
//	const OrderBookEntry* maxItem;
//	for (int i = 0; i < items.size(); i++) {
//		// 同一个价格挡位的订单中股票数量大于，阈值才有可能是大单
//		if (volume < items[i].volume) {
//			for (int j = 0; j< items[i].orderCount; j++)
//			{
//				try {
//					if (items[i].details.size() == 0) continue;
//					if (volume < items[i].details[j].volume)
//					{
//						findBigOrder = true;
//
//						bigOrderInfo.isBigOrder = findBigOrder;
//						bigOrderInfo.code = data.code;
//						bigOrderInfo.name = data.name;
//						bigOrderInfo.orderId = items[i].details[j].orderId;
//						bigOrderInfo.price = items[i].price;
//						bigOrderInfo.volume = items[i].details[j].volume;
//						bigOrderInfo.svrRecvTime = data.askTime;
//
//						return bigOrderInfo; 
//					}
//				}
//				catch (const char* msg) {
//					qDebug() << "err findMax";
//				}
//			}
//		}
//	}

	// 大单检测，分为两步：
	// 1、判断股票数量是否达到大单的阈值，未达到时直接返回
	// 2、判断订单详情是否达到大单阈值

	// 下一步增加摆盘数据统计，大单占全部摆盘数量的比例，计算出来一个置信度

	// 使用指针遍历避免拷贝
	// 这里是找到当前摆盘数据中，每一档价位数量最大的
	//const OrderBookEntry* maxItem = &items[0];
	//for (int i = 1; i < items.size(); ++i) {
	//	if (items[i].volume > maxItem->volume) {
	//		maxItem = &items[i];
	//	}
	//}

	// 添加业务规则验证（如果需要）
	// if (!isValidMaxVolumeItem(*maxItem, items)) 
	//     return {};

//	return bigOrderInfoList;
//}

OrderBookEntry QOrderProcessor::findMinPriceItem(const QVector<OrderBookEntry>& items) const
{
	if (items.isEmpty()) return{};

	auto it = std::min_element(items.begin(), items.end(),
		[](const OrderBookEntry& a, const OrderBookEntry& b) {
		return a.price < b.price;
	});
	return it != items.end() ? *it : OrderBookEntry{};
}

QVector<BigOrderInfo> QOrderProcessor::findExtremeOrders(const OrderBookData& data) const
{
	return findMaxVolumeItem(data);
}

/*
// 设计一个单独的大单检测引擎
// 包括：历史数据分析、订单分析、成交记录分析
*/
void QOrderProcessor::internalProcess(const OrderBookData& orderData)
{
	if (!m_enabled || orderData.isEmpty()) {
		return;
	}

	try {
			const auto result = findExtremeOrders(orderData);

			for (int i = 0; i < result.size(); i++)
			{
				if(result.at(i).isBigOrder)
					emit maxOrderReady(result.at(i));
			}
	}
	catch (const std::exception& e) {
		emit errorOccurred(orderData.code, QString::fromUtf8(e.what()));
	}
}

void QOrderProcessor::processOrderBook(const Qot_UpdateOrderBook::Response &stRsp)
{
	QtConcurrent::run(&m_threadPool, [this, stRsp]() {
		try {
			OrderBookData orderBook;
			parser.parse(stRsp.SerializeAsString().c_str(), stRsp.ByteSize(), orderBook);
			
			internalProcess(orderBook);
		}
		catch (const std::exception& e) {
			emit errorOccurred("UNKNOWN", QString::fromUtf8(e.what()));
		}
	});
}