"""
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华鑫LV2处理工具类
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"""
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# 处理逐笔委托
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# item逐笔委托
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# (data['SecurityID'], data['Price'], data['Volume'], data['Side'], data['OrderType'],
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# data['OrderTime'],data['MainSeq'], data['SubSeq'], data['OrderNO'], data['OrderStatus'])
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def convert_time(time_str, with_ms=False):
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time_str = str(time_str)
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if time_str.startswith("9"):
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time_str = f"0{time_str}"
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ms = "{:0<3}".format(time_str[6:])
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time_ = f"{time_str[0:2]}:{time_str[2:4]}:{time_str[4:6]}"
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if with_ms:
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return f"{time_}.{ms}"
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return time_
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def __convert_order(item, limit_up_price):
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time_str = f"{item[5]}"
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if time_str.startswith("9"):
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time_str = f"0{time_str}"
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ms = "{:0<3}".format(time_str[6:])
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time_ = f"{time_str[0:2]}:{time_str[2:4]}:{time_str[4:6]}"
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price = item[1]
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if price <= 0:
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# 深证的买撤无价格数据，需要去查找价格数据，暂时设置为涨停价
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price = limit_up_price
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limitPrice = 1 if abs(limit_up_price - price) < 0.001 else 0
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operateType = 0
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if item[9] == 'D':
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if item[3] == '1':
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# 买撤
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operateType = 1
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else:
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# 卖撤
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operateType = 3
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else:
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if item[3] == '1':
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# 买
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operateType = 0
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else:
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# 卖
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operateType = 2
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return {"time": time_, "tms": ms, "price": price, "num": item[2] // 100, "limitPrice": limitPrice,
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"operateType": operateType, "cancelTime": 0, "cancelTimeUnit": 0, "orderNo": item[8],
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"mainSeq": item[6], "subSeq": item[7]}
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# 处理l2数据
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# filter_not_limit_up : 过滤掉非涨停数据
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def __format_l2_data(origin_datas, code, limit_up_price, filter_not_limit_up=True):
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datas = []
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dataIndexs = {}
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same_time_num = {}
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for i in range(0, len(origin_datas)):
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item = origin_datas[i]
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# 解析数据
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time = item["time"]
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if time in same_time_num:
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same_time_num[time] = same_time_num[time] + 1
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else:
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same_time_num[time] = 1
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price = item["price"]
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num = item["num"]
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limitPrice = item["limitPrice"]
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# 涨停价
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if limit_up_price is not None:
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if abs(price - limit_up_price) < 0.001:
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limitPrice = 1
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else:
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limitPrice = 0
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item["limitPrice"] = "{}".format(limitPrice)
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operateType = item["operateType"]
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# 不需要非涨停买与买撤
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if filter_not_limit_up and int(item["limitPrice"]) != 1 and (
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int(operateType) == 0 or int(operateType) == 1) and num != 1:
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continue
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key = "{}-{}-{}".format(code, item["mainSeq"], item["subSeq"])
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if key in dataIndexs:
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# 数据重复次数+1
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datas[dataIndexs[key]]['re'] = datas[dataIndexs[key]]['re'] + 1
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else:
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# 数据重复次数默认为1
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datas.append({"key": key, "val": item, "re": 1})
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dataIndexs.setdefault(key, len(datas) - 1)
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return datas
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def get_format_l2_datas(code, origin_datas, limit_up_price, start_index):
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# 先转变数据格式
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datas = [__convert_order(x, float(limit_up_price)) for x in origin_datas]
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# 在9:25之前不过滤非涨停金额
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filter_not_limit_up = True
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if int(datas[0]["time"][:5].replace(":", "")) <= 925:
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filter_not_limit_up = False
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fdatas = __format_l2_data(datas, code, float(limit_up_price), filter_not_limit_up=filter_not_limit_up)
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for i in range(0, len(fdatas)):
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fdatas[i]["index"] = start_index + i
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return fdatas
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if __name__ == "__main__":
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ds = ["('605167', 10.08, 68500, '1', '0', 9303108, 2, 439438, 436472, 'D', 1695864632451)",
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"('603439', 17.97, 27800, '1', '0', 9304966, 6, 435127, 407524, 'D', 1695864649883)",
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"('002369', 0.0, 100800, '1', '2', 93051880, 2011, 1431910, 1160638, 'D', 1695864651875)"
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]
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for d in ds:
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d = eval(d)
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print(__convert_order(d, 15.55))
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