"""
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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_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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time_ = f"{time_str[0:2]}:{time_str[2:4]}:{time_str[4:6]}"
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price = item["Price"]
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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[''] == '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_, "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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def __format_l2_data(origin_datas, code, limit_up_price):
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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 int(item["limitPrice"]) != 1 and (int(operateType) == 0 or int(operateType) == 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, limit_up_price) for x in origin_datas]
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fdatas = __format_l2_data(datas, code, limit_up_price)
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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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