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| """
| 华鑫LV2处理工具类
| """
|
|
| # 处理逐笔委托
| def __convert_order(item, limit_up_price):
| time_str = f"{item['OrderTime']}"
| if time_str.startswith("9"):
| time_str = f"0{time_str}"
| time_ = f"{time_str[0:2]}:{time_str[2:4]}:{time_str[4:6]}"
| price = item["Price"]
| if price <= 0:
| # TODO 深证的买撤无价格数据，需要去查找价格数据
| pass
|
| limitPrice = 1 if abs(limit_up_price - price) < 0.001 else 0
| operateType = 0
| if item[''] == 'D':
| if item['Side'] == '1':
| # 买撤
| operateType = 1
| else:
| # 卖撤
| operateType = 3
| else:
| if item['Side'] == '1':
| # 买
| operateType = 0
| else:
| # 卖
| operateType = 2
| return {"time": time_, "price": price, "num": item["Volume"] // 100, "limitPrice": limitPrice,
| "operateType": operateType, "cancelTime": 0, "cancelTimeUnit": 0, "orderNo": item["OrderNO"],
| "mainSeq": item["MainSeq"], "subSeq": item["SubSeq"]}
|
|
