274 lines
7.4 KiB
C++
274 lines
7.4 KiB
C++
#include "qorderprocessor.h"
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#include <QJsonDocument>
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#include <QJsonArray>
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#include <QDebug>
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#include <immintrin.h>
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#include <algorithm>
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#include "qlogmanager.h"
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QOrderProcessor::QOrderProcessor(QObject *parent)
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: QObject(parent)
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{
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int idealThreads = QThread::idealThreadCount();
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//m_threadPool.setMaxThreadCount(qBound(4, idealThreads, 16));
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m_threadPool.setMaxThreadCount(qBound(4, 6, 8));
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}
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QOrderProcessor::~QOrderProcessor()
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{
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m_threadPool.waitForDone();
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}
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void QOrderProcessor::setProcessingEnabled(bool enabled)
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{
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QMutexLocker lock(&m_dataMutex);
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m_enabled = enabled;
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}
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double QOrderProcessor::sumQuantity(const QVector<OrderBookEntry>& items)const {
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return std::accumulate(items.begin(), items.end(), 0.0,
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[](double sum, const OrderBookEntry& item) {
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return sum + item.volume;
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});
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}
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/*
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1. 找到列表中的最大值和次大值
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2. 最大值是次大值的指定倍数
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*/
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OrderBookEntry QOrderProcessor::findMaxVolumeItemEx(const QVector<OrderBookEntry>& items, double volumeRatio) const
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{
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if (items.isEmpty())
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return{};
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// 特殊情况处理：只有一个元素时无法比较倍数
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if (items.size() == 1) {
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return volumeRatio <= 1.0 ? items[0] : OrderBookEntry{};
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}
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// 初始化最大值和次大值
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const OrderBookEntry* maxItem = &items[0];
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const OrderBookEntry* secondMaxItem = nullptr;
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double secondMaxVolume = -1.0;
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// 遍历查找最大值和次大值
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for (int i = 1; i < items.size(); ++i) {
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const OrderBookEntry& item = items[i];
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if (item.volume > maxItem->volume) {
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// 更新次大值为原最大值
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secondMaxItem = maxItem;
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secondMaxVolume = maxItem->volume;
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// 更新最大值
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maxItem = &item;
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}
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else if (!secondMaxItem || item.volume > secondMaxVolume) {
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// 更新次大值
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secondMaxItem = &item;
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secondMaxVolume = item.volume;
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}
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}
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// 检查是否满足倍数条件
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constexpr double EPSILON = 1e-9;
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if (secondMaxItem && maxItem->volume + EPSILON >= secondMaxVolume * volumeRatio) {
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return *maxItem;
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}
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return OrderBookEntry{};
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}
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QVector<BigOrderInfo> QOrderProcessor::findMaxVolumeItem(const OrderBookData & data) const
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{
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bool findBigOrder = false;
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BigOrderInfo bigOrderInfo;
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QVector<BigOrderInfo> bigOrderInfoList;
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float volume = m_replyCodeQuantity[data.code];
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const OrderBookEntry* maxItem;
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QVector<OrderBookEntry> items = data.asks;
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for (int i = 0; i < items.size(); i++) {
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// 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
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if (volume < items[i].volume) {
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for (int j = 0; j< items[i].orderCount; j++)
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{
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try {
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if (items[i].details.size() == 0) continue;
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if (volume < items[i].details[j].volume)
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{
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findBigOrder = true;
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bigOrderInfo.nBigOrderType = 0;
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bigOrderInfo.isBigOrder = findBigOrder;
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bigOrderInfo.code = data.code;
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bigOrderInfo.name = data.name;
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bigOrderInfo.orderId = items[i].details[j].orderId;
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bigOrderInfo.price = items[i].price;
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bigOrderInfo.volume = items[i].details[j].volume;
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bigOrderInfo.level = i + 1;
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bigOrderInfo.svrRecvTime = data.askTime;
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bigOrderInfoList.append(bigOrderInfo);
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}
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}
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catch (const char* msg) {
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qDebug() << "err findMax";
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}
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}
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}
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}
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items = data.bids;
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for (int i = 0; i < items.size(); i++) {
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// 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
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if (volume < items[i].volume) {
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for (int j = 0; j< items[i].orderCount; j++)
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{
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try {
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if (items[i].details.size() == 0) continue;
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if (volume < items[i].details[j].volume)
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{
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findBigOrder = true;
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bigOrderInfo.nBigOrderType = 1;
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bigOrderInfo.isBigOrder = findBigOrder;
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bigOrderInfo.code = data.code;
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bigOrderInfo.name = data.name;
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bigOrderInfo.orderId = items[i].details[j].orderId;
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bigOrderInfo.price = items[i].price;
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bigOrderInfo.volume = items[i].details[j].volume;
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bigOrderInfo.svrRecvTime = data.bidTime;
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bigOrderInfoList.append(bigOrderInfo);
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}
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}
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catch (const char* msg) {
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qDebug() << "err findMax";
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}
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}
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}
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}
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return bigOrderInfoList;
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}
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//
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//// 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
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//// 大单检测接口,返回 QVector<BigOrderInfo>, 暂时找到一个就返回
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//QVector<BigOrderInfo> QOrderProcessor::findMaxVolumeItem(const OrderBookData& data) const;
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//{
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// if (items.isEmpty())
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// return{};
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// bool findBigOrder = false;
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// QVector<BigOrderInfo> bigOrderInfoList;
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//
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// float volume = m_replyCodeQuantity[data.code];
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// const OrderBookEntry* maxItem;
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// for (int i = 0; i < items.size(); i++) {
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// // 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
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// if (volume < items[i].volume) {
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// for (int j = 0; j< items[i].orderCount; j++)
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// {
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// try {
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// if (items[i].details.size() == 0) continue;
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// if (volume < items[i].details[j].volume)
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// {
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// findBigOrder = true;
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//
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// bigOrderInfo.isBigOrder = findBigOrder;
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// bigOrderInfo.code = data.code;
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// bigOrderInfo.name = data.name;
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// bigOrderInfo.orderId = items[i].details[j].orderId;
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// bigOrderInfo.price = items[i].price;
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// bigOrderInfo.volume = items[i].details[j].volume;
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// bigOrderInfo.svrRecvTime = data.askTime;
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//
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// return bigOrderInfo;
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// }
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// }
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// catch (const char* msg) {
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// qDebug() << "err findMax";
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// }
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// }
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// }
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// }
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// 大单检测，分为两步：
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// 1、判断股票数量是否达到大单的阈值，未达到时直接返回
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// 2、判断订单详情是否达到大单阈值
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// 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
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// 使用指针遍历避免拷贝
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// 这里是找到当前摆盘数据中，每一档价位数量最大的
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//const OrderBookEntry* maxItem = &items[0];
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//for (int i = 1; i < items.size(); ++i) {
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// if (items[i].volume > maxItem->volume) {
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// maxItem = &items[i];
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// }
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//}
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// 添加业务规则验证（如果需要）
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// if (!isValidMaxVolumeItem(*maxItem, items))
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// return {};
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// return bigOrderInfoList;
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//}
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OrderBookEntry QOrderProcessor::findMinPriceItem(const QVector<OrderBookEntry>& items) const
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{
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if (items.isEmpty()) return{};
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auto it = std::min_element(items.begin(), items.end(),
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[](const OrderBookEntry& a, const OrderBookEntry& b) {
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return a.price < b.price;
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});
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return it != items.end() ? *it : OrderBookEntry{};
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}
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QVector<BigOrderInfo> QOrderProcessor::findExtremeOrders(const OrderBookData& data) const
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{
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return findMaxVolumeItem(data);
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}
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/*
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// 设计一个单独的大单检测引擎
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// 包括：历史数据分析、订单分析、成交记录分析
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*/
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void QOrderProcessor::internalProcess(const OrderBookData& orderData)
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{
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if (!m_enabled || orderData.isEmpty()) {
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return;
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}
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try {
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const auto result = findExtremeOrders(orderData);
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for (int i = 0; i < result.size(); i++)
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{
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if(result.at(i).isBigOrder)
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emit maxOrderReady(result.at(i));
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}
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}
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catch (const std::exception& e) {
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emit errorOccurred(orderData.code, QString::fromUtf8(e.what()));
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}
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}
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void QOrderProcessor::processOrderBook(const Qot_UpdateOrderBook::Response &stRsp)
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{
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QtConcurrent::run(&m_threadPool, [this, stRsp]() {
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try {
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OrderBookData orderBook;
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parser.parse(stRsp.SerializeAsString().c_str(), stRsp.ByteSize(), orderBook);
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internalProcess(orderBook);
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}
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catch (const std::exception& e) {
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emit errorOccurred("UNKNOWN", QString::fromUtf8(e.what()));
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}
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});
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}
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