"""
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L2数据监听
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"""
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import multiprocessing
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import threading
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import time
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from log_module import async_log_util
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from log_module.log import logger_debug
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__l2_order_active_time_dict = {}
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__l2_transaction_active_time_dict = {}
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class L2DataListenManager:
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TYPE_ORDER = "order"
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TYPE_TRANSACTION = "transaction"
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TYPE_MARKET = "market"
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def __init__(self, l2_data_callback):
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self.my_l2_data_callback = l2_data_callback
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self.__l2_order_active_time_dict = {}
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self.__l2_transaction_active_time_dict = {}
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self.__l2_market_active_time_dict = {}
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# 接收L2逐笔委托数据
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def __recive_l2_orders(self, q: multiprocessing.Queue):
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__id = id(q)
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count = 0
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while True:
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datas_dict = {}
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try:
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while not q.empty():
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item = q.get()
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if item[0] not in datas_dict:
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datas_dict[item[0]] = []
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datas_dict[item[0]].append(item)
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if datas_dict:
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for c in datas_dict:
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self.my_l2_data_callback.OnL2Order(c, datas_dict[c], datas_dict[c][0][10])
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else:
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time.sleep(0.002)
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except Exception as e:
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async_log_util.exception(logger_debug, e)
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finally:
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datas_dict.clear()
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count += 1
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if count > 100:
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count = 0
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# 记录活跃时间,每100次记录一次
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self.__l2_order_active_time_dict[__id] = time.time()
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# 接收L2逐笔成交数据
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def __recive_transaction_orders(self, q: multiprocessing.Queue):
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__id = id(q)
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datas_dict = {}
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count = 0
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while True:
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try:
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while not q.empty():
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item = q.get()
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if item[0] not in datas_dict:
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datas_dict[item[0]] = []
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datas_dict[item[0]].append(item)
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if datas_dict:
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for c in datas_dict:
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self.my_l2_data_callback.OnL2Transaction(c, datas_dict[c])
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else:
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time.sleep(0.01)
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except Exception as e:
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async_log_util.exception(logger_debug, e)
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finally:
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datas_dict.clear()
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count += 1
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if count > 50:
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count = 0
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# 记录活跃时间,每100次记录一次
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self.__l2_transaction_active_time_dict[__id] = time.time()
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def __recive_l2_markets(self, q: multiprocessing.Queue):
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__id = id(q)
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while True:
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try:
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if not q.empty():
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item = q.get()
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self.my_l2_data_callback.OnMarketData(item['securityID'], item)
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else:
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time.sleep(0.002)
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except Exception as e:
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async_log_util.exception(logger_debug, e)
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finally:
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self.__l2_market_active_time_dict[__id] = time.time()
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# 接收L2数据
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def receive_l2_data(self, order_queues, transaction_queues, market_queue):
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for q in order_queues:
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t1 = threading.Thread(target=lambda: self.__recive_l2_orders(q), daemon=True)
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t1.start()
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for q in transaction_queues:
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t2 = threading.Thread(target=lambda: self.__recive_transaction_orders(q), daemon=True)
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t2.start()
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t3 = threading.Thread(target=lambda: self.__recive_l2_markets(market_queue), daemon=True)
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t3.start()
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def get_active_count(self, type_):
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expire_time = time.time() - 5
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active_count = 0
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if type_ == self.TYPE_ORDER:
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for _id in self.__l2_order_active_time_dict:
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if self.__l2_order_active_time_dict[_id] > expire_time:
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active_count += 1
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elif type_ == self.TYPE_TRANSACTION:
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for _id in self.__l2_transaction_active_time_dict:
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if self.__l2_transaction_active_time_dict[_id] > expire_time:
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active_count += 1
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elif type_ == self.TYPE_MARKET:
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for _id in self.__l2_market_active_time_dict:
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if self.__l2_market_active_time_dict[_id] > expire_time:
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active_count += 1
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return active_count
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