"""
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L2成交数据处理器
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"""
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import json
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import l2_data_util
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from db import redis_manager_delegate as redis_manager
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from db.redis_manager_delegate import RedisUtils
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from l2 import l2_log
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from l2.huaxin import l2_huaxin_util
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from l2.l2_data_util import local_today_sellno_map, local_today_datas
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from l2.place_order_single_data_manager import L2TradeSingleDataProcessor, L2TradeSingleDataManager
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from log_module import async_log_util, log_export
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from log_module.log import hx_logger_l2_transaction_desc, hx_logger_l2_transaction_sell_order, hx_logger_l2_active_sell, \
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hx_logger_l2_transaction_big_buy_order, hx_logger_l2_transaction_big_sell_order
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from utils import tool
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class BigOrderDealManager:
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"""
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成交大单管理
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"""
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__total_buy_datas_dict = {}
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__total_sell_datas_dict = {}
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__instance = None
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def __new__(cls, *args, **kwargs):
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if not cls.__instance:
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cls.__instance = super(BigOrderDealManager, cls).__new__(cls, *args, **kwargs)
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cls.__load_datas()
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return cls.__instance
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@classmethod
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def __load_datas(cls):
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# 从日志加载数据
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buy_order_map = log_export.load_huaxin_big_buy_order()
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if buy_order_map:
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for code in buy_order_map:
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cls.__total_buy_datas_dict[code] = buy_order_map[code]
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sell_order_map = log_export.load_huaxin_big_sell_order()
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if sell_order_map:
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for code in sell_order_map:
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cls.__total_sell_datas_dict[code] = sell_order_map[code]
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def add_buy_datas(self, code, datas):
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"""
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添加大买单数据
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@param code: 代码
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@param datas:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
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@return:
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"""
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if not datas:
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return
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if code not in self.__total_buy_datas_dict:
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self.__total_buy_datas_dict[code] = []
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self.__total_buy_datas_dict[code].extend(datas)
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# 将数据保存到日志
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l2_log.info(code, hx_logger_l2_transaction_big_buy_order, f"{datas}")
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def add_sell_datas(self, code, datas):
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"""
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添加大卖单数据
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@param code: 代码
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@param datas:[(卖单号,总股数,总成交额)]
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@return:
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"""
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if not datas:
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return
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if code not in self.__total_sell_datas_dict:
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self.__total_sell_datas_dict[code] = []
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self.__total_sell_datas_dict[code].extend(datas)
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l2_log.info(code, hx_logger_l2_transaction_big_sell_order, f"{datas}")
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def get_total_buy_money(self, code):
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"""
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获取总共的大单买金额
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@param code:
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@return:
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"""
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if code not in self.__total_buy_datas_dict:
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return 0
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return int(sum([x[2] for x in self.__total_buy_datas_dict[code]]))
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def get_total_buy_order_ids(self, code):
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"""
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获取成交大单的订单号
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@param code:
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@return:
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"""
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if code not in self.__total_buy_datas_dict:
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return set()
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return set([x[0] for x in self.__total_buy_datas_dict[code]])
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def get_total_buy_count(self, code):
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"""
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获取大单成交的笔数
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@param code:
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@return:
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"""
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if code not in self.__total_buy_datas_dict:
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return 0
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return len(self.__total_buy_datas_dict[code])
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def get_total_buy_money_list(self, code):
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"""
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获取大单列表
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@param code:
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@return:
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"""
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if code not in self.__total_buy_datas_dict:
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return []
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return [x[2] for x in self.__total_buy_datas_dict[code]]
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def get_total_buy_data_list(self, code):
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"""
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获取所有的买单数据列表
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@param code:
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@return:[(买单号,总股数,总成交额,成交开始时间,成交结束时间)]
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"""
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return self.__total_buy_datas_dict.get(code)
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def get_total_sell_money(self, code, threshold_money=None):
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"""
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获取总共的大单卖金额
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@param threshold_money: 大单阈值
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@param code:
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@return:
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"""
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if code not in self.__total_sell_datas_dict:
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return 0
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if threshold_money:
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return int(sum([x[2] if x[2] >= threshold_money else 0 for x in self.__total_sell_datas_dict[code]]))
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else:
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return int(sum([x[2] for x in self.__total_sell_datas_dict[code]]))
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# 成交数据统计
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class HuaXinBuyOrderManager:
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__db = 0
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__instance = None
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__redis_manager = redis_manager.RedisManager(0)
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# 正在成交的订单
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__dealing_order_info_dict = {}
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# 正在成交的主动买的订单
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__dealing_active_buy_order_info_dict = {}
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# 最近成交的订单{"code":(订单号，是否成交完成)}
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__latest_deal_order_info_dict = {}
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def __new__(cls, *args, **kwargs):
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if not cls.__instance:
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cls.__instance = super(HuaXinBuyOrderManager, cls).__new__(cls, *args, **kwargs)
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cls.__load_datas()
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return cls.__instance
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@classmethod
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def __get_redis(cls):
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return cls.__redis_manager.getRedis()
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@classmethod
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def __load_datas(cls):
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__redis = cls.__get_redis()
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try:
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keys = RedisUtils.keys(__redis, "dealing_order_info-*")
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for k in keys:
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code = k.split("-")[-1]
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val = RedisUtils.get(__redis, k)
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val = json.loads(val)
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tool.CodeDataCacheUtil.set_cache(cls.__dealing_order_info_dict, code, val)
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finally:
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RedisUtils.realse(__redis)
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# 将数据持久化到数据库
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def sync_dealing_data_to_db(self):
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for code in self.__dealing_order_info_dict:
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RedisUtils.setex(self.__get_redis(), f"dealing_order_info-{code}", tool.get_expire(),
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json.dumps(self.__dealing_order_info_dict[code]))
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@classmethod
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def get_dealing_order_info(cls, code):
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"""
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获取当前正在成交的数据
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@param code:
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@return: [订单号，总股数，成交金额,成交开始时间,成交结束时间]
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"""
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return cls.__dealing_order_info_dict.get(code)
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@classmethod
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def get_dealing_active_order_info(cls, code):
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"""
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获取正在主动成交的数据
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@param code:
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@return:[订单号，总股数，成交金额,成交开始时间,成交结束时间]
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"""
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return cls.__dealing_active_buy_order_info_dict.get(code)
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@classmethod
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def statistic_big_buy_data(cls, code, datas, limit_up_price):
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"""
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统计大单买
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@param code:
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@param datas:
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@return: 返回数据里面(成交的大单,50w以上的单）
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"""
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big_buy_datas = []
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normal_buy_datas = []
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# 大单阈值
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threshold_big_money = l2_data_util.get_big_money_val(limit_up_price, tool.is_ge_code(code))
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for data in datas:
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# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
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# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
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# data['SellNo'], data['ExecType']))
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is_limit_up = abs(data[1] - limit_up_price) < 0.0001
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money = data[2] * data[1]
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if code not in cls.__dealing_order_info_dict:
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# 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间, 最近的成交价格, 最近的卖单号, 涨停价成交金额]
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cls.__dealing_order_info_dict[code] = [data[6], data[2], money, data[3], data[3], data[1],
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data[7], 0]
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if is_limit_up:
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cls.__dealing_order_info_dict[code][7] += money
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else:
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if cls.__dealing_order_info_dict[code][0] == data[6]:
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# 成交同一个订单号
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cls.__dealing_order_info_dict[code][1] += data[2]
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cls.__dealing_order_info_dict[code][2] += money
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cls.__dealing_order_info_dict[code][4] = data[3]
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cls.__dealing_order_info_dict[code][5] = data[1]
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cls.__dealing_order_info_dict[code][6] = data[7]
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if is_limit_up:
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cls.__dealing_order_info_dict[code][7] += money
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else:
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# 保存上一条数据
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async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
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# 设置最近成交完成的一条数据
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deal_info = cls.__dealing_order_info_dict[code]
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cls.__latest_deal_order_info_dict[code] = deal_info
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# 是否为大买单
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if deal_info[7] >= threshold_big_money:
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# # 如果最后一笔成交价格不是涨停价就不算
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# if abs(deal_info[5] - limit_up_price) < 0.0001:
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big_buy_datas.append(deal_info)
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if deal_info[2] >= 500000:
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normal_buy_datas.append(deal_info)
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# 初始化本条数据
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cls.__dealing_order_info_dict[code] = [data[6], data[2], money, data[3], data[3],
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data[1], data[7], 0]
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if is_limit_up:
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cls.__dealing_order_info_dict[code][7] += money
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# 统计主动买(买单号大于卖单号)
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try:
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if data[6] > data[7]:
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if code not in cls.__dealing_active_buy_order_info_dict:
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# 数据格式[订单号，总股数，成交金额,成交开始时间,成交结束时间]
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cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1], data[3],
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data[3]]
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else:
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if cls.__dealing_active_buy_order_info_dict[code][0] == data[6]:
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# 成交同一个订单号
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cls.__dealing_active_buy_order_info_dict[code][1] += data[2]
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cls.__dealing_active_buy_order_info_dict[code][2] += data[2] * data[1]
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cls.__dealing_active_buy_order_info_dict[code][4] = data[3]
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else:
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# 初始化本条数据
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cls.__dealing_active_buy_order_info_dict[code] = [data[6], data[2], data[2] * data[1],
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data[3], data[3]]
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except:
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pass
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return big_buy_datas, normal_buy_datas
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|
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# 卖单统计数据
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class HuaXinSellOrderStatisticManager:
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# 最近的大卖单成交，格式:{code:[卖单信息,...]}
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__latest_sell_order_info_list_dict = {}
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# 大单卖单号的集合，格式：{code:{卖单号}}
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__big_sell_order_ids_dict = {}
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# 大卖单的卖单号->卖单信息映射
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__big_sell_order_info_dict = {}
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|
# 大单列表
|
__big_sell_order_info_list_dict = {}
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# 最近的卖单, 格式{code:[卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）]}
|
__latest_sell_order_dict = {}
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# 最近所有的卖单
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__latest_all_sell_orders_dict = {}
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# 保存最近成交的价格
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__latest_trade_price_dict = {}
|
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__last_trade_data_dict = {}
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|
# 用来暂时存放统计结果
|
__dealing_order_info_dict = {}
|
|
@classmethod
|
def statistic_big_sell_data(cls, code, datas):
|
"""
|
统计大卖单
|
@param code:
|
@param datas:
|
@return: 返回数据里面成交的大单
|
"""
|
big_sell_datas = []
|
for data in datas:
|
# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
|
# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
|
# data['SellNo'], data['ExecType']))
|
if code not in cls.__dealing_order_info_dict:
|
# 数据格式[订单号，总股数，成交金额]
|
cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
|
if cls.__dealing_order_info_dict[code][0] == data[7]:
|
# 成交同一个订单号
|
cls.__dealing_order_info_dict[code][1] += data[2]
|
cls.__dealing_order_info_dict[code][2] += data[2] * data[1]
|
else:
|
# 保存上一条数据
|
async_log_util.info(hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
|
# 设置最近成交完成的一条数据
|
deal_info = cls.__dealing_order_info_dict[code]
|
# 是否为大买单
|
if deal_info[2] >= 2990000:
|
big_sell_datas.append(deal_info)
|
# 初始化本条数据
|
cls.__dealing_order_info_dict[code] = [data[7], data[2], data[2] * data[1]]
|
return big_sell_datas
|
|
# 统计所有的成交量
|
__deal_volume_list_dict = {}
|
# 统计涨停主动买的成交量
|
__deal_active_buy_volume_list_dict = {}
|
|
@classmethod
|
def statistic_total_deal_volume(cls, code, datas, limit_up_price):
|
# 只统计被动买
|
if code not in cls.__deal_volume_list_dict:
|
cls.__deal_volume_list_dict[code] = []
|
|
time_dict = {}
|
for d in datas:
|
# 只统计被动买
|
if d[7] < d[6]:
|
continue
|
time_str = ''
|
if d[3] in time_dict:
|
time_str = time_dict[d[3]]
|
else:
|
time_dict[d[3]] = l2_huaxin_util.convert_time(d[3])
|
time_str = time_dict[d[3]]
|
if cls.__deal_volume_list_dict[code]:
|
if cls.__deal_volume_list_dict[code][-1][0] == time_str:
|
# 如果是同一秒
|
cls.__deal_volume_list_dict[code][-1][1] += d[2]
|
else:
|
# 不是同一秒
|
cls.__deal_volume_list_dict[code].append([time_str, d[2]])
|
else:
|
cls.__deal_volume_list_dict[code].append([time_str, d[2]])
|
# 删除超过5条数据
|
if len(cls.__deal_volume_list_dict[code]) > 5:
|
cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]
|
|
try:
|
# 统计主动买的成交量
|
if code not in cls.__deal_active_buy_volume_list_dict:
|
cls.__deal_active_buy_volume_list_dict[code] = []
|
for d in datas:
|
# 只统计主动买
|
if d[7] > d[6]:
|
continue
|
# 只统计涨停买
|
if d[1] != limit_up_price:
|
continue
|
if d[3] in time_dict:
|
time_str = time_dict[d[3]]
|
else:
|
time_dict[d[3]] = l2_huaxin_util.convert_time(d[3])
|
time_str = time_dict[d[3]]
|
if cls.__deal_active_buy_volume_list_dict[code]:
|
if cls.__deal_active_buy_volume_list_dict[code][-1][0] == time_str:
|
# 如果是同一秒
|
cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[2]
|
else:
|
# 不是同一秒
|
cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
|
else:
|
cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[2]])
|
# 删除超过10条数据
|
if len(cls.__deal_active_buy_volume_list_dict[code]) > 10:
|
cls.__deal_active_buy_volume_list_dict[code] = cls.__deal_active_buy_volume_list_dict[code][-10:]
|
except:
|
pass
|
|
time_dict.clear()
|
|
@classmethod
|
def get_latest_3s_continue_deal_volumes(cls, code):
|
"""
|
获取最近3s的成交量分布
|
@param code:
|
@return: [(时间,量)]
|
"""
|
deal_list = cls.__deal_volume_list_dict.get(code)
|
if not deal_list:
|
return []
|
fdatas = [deal_list[-1]]
|
# 从倒数第二个数据计算
|
for i in range(len(deal_list) - 2, -1, -1):
|
if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 3:
|
fdatas.append(deal_list[i])
|
return fdatas
|
|
@classmethod
|
def get_latest_2s_continue_deal_volumes(cls, code):
|
"""
|
获取最近2s的成交量分布
|
@param code:
|
@return: [(时间,量)]
|
"""
|
deal_list = cls.__deal_volume_list_dict.get(code)
|
if not deal_list:
|
return []
|
fdatas = [deal_list[-1]]
|
# 从倒数第二个数据计算
|
for i in range(len(deal_list) - 1, -1, -1):
|
if tool.trade_time_sub(fdatas[0][0], deal_list[i][0]) < 2:
|
fdatas.append(deal_list[i])
|
return fdatas
|
|
@classmethod
|
def get_latest_6s_active_buy_deal_volumes(cls, code):
|
"""
|
获取最近6s的主动买成交
|
@param code:
|
@return: [(时间,量)]
|
"""
|
deal_list = cls.__deal_active_buy_volume_list_dict.get(code)
|
if not deal_list:
|
return []
|
latest_time = deal_list[-1][0]
|
fdatas = []
|
# 从倒数第二个数据计算
|
for i in range(len(deal_list) - 1, -1, -1):
|
if tool.trade_time_sub(latest_time, deal_list[i][0]) < 6:
|
fdatas.append(deal_list[i])
|
return fdatas
|
|
@classmethod
|
def clear_latest_deal_volume(cls, code):
|
if code in cls.__deal_volume_list_dict:
|
cls.__deal_volume_list_dict.pop(code)
|
|
# 返回最近1s的大单卖：(总卖金额,[(卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）),...])
|
@classmethod
|
def add_transaction_datas(cls, code, datas, limit_up_price=None):
|
# 是否为主动卖
|
def is_active_sell(sell_no, buy_no):
|
return sell_no > buy_no
|
|
# q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
|
# data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
|
# data['SellNo'], data['ExecType']))
|
if code not in cls.__latest_sell_order_info_list_dict:
|
cls.__latest_sell_order_info_list_dict[code] = []
|
if code not in cls.__big_sell_order_ids_dict:
|
cls.__big_sell_order_ids_dict[code] = set()
|
if code not in cls.__big_sell_order_info_dict:
|
cls.__big_sell_order_info_dict[code] = {}
|
|
if code not in cls.__big_sell_order_info_list_dict:
|
cls.__big_sell_order_info_list_dict[code] = []
|
|
if code not in cls.__latest_all_sell_orders_dict:
|
cls.__latest_all_sell_orders_dict[code] = []
|
|
sell_no_map = local_today_sellno_map.get(code)
|
total_datas = local_today_datas.get(code)
|
if not sell_no_map:
|
sell_no_map = {}
|
|
# 保存最近的成交价格:(价格,成交时间)
|
cls.__latest_trade_price_dict[code] = (datas[-1][1], datas[-1][3])
|
|
L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, datas, limit_up_price)
|
|
for d in datas:
|
# 获取当前是否为主动买
|
try:
|
_is_active_sell = is_active_sell(d[7], d[6])
|
if not _is_active_sell:
|
continue
|
|
if d[1] == limit_up_price:
|
# 涨停主动卖
|
L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d)
|
|
# 判断是否是涨停被动变主动
|
last_trade_data = cls.__last_trade_data_dict.get(code)
|
if last_trade_data and not is_active_sell(last_trade_data[7], last_trade_data[6]) and last_trade_data[
|
1] == limit_up_price:
|
if d[1] == limit_up_price:
|
# 涨停被动变主动
|
L2TradeSingleDataManager.set_sell_passive_to_active_datas(code, last_trade_data, d)
|
cls.__latest_sell_order_info_list_dict[code].append(d)
|
if code not in cls.__latest_sell_order_dict:
|
cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
|
else:
|
if cls.__latest_sell_order_dict[code][0] == d[7]:
|
cls.__latest_sell_order_dict[code][1] += d[2]
|
cls.__latest_sell_order_dict[code][2] = d[1]
|
cls.__latest_sell_order_dict[code][4] = (d[3], d[6])
|
else:
|
info = cls.__latest_sell_order_dict[code]
|
|
# 上个卖单成交完成
|
# 封存数据，计算新起点
|
# 大于50w的卖单才会保存
|
# 大于50w加入卖单
|
money = info[1] * info[2]
|
if money >= 500000:
|
cls.__big_sell_order_ids_dict[code].add(info[0])
|
cls.__big_sell_order_info_dict[code][info[0]] = info
|
cls.__big_sell_order_info_list_dict[code].append(info)
|
# 只保留10w以上的单
|
if money > 100000:
|
cls.__latest_all_sell_orders_dict[code].append(info)
|
l2_log.info(code, hx_logger_l2_transaction_sell_order,
|
f"{info}")
|
if limit_up_price == info[2]:
|
# 将涨停主动卖记入日志
|
l2_log.info(code, hx_logger_l2_active_sell, f"{info}")
|
|
cls.__latest_sell_order_dict[code] = [d[7], d[2], d[1], (d[3], d[6]), (d[3], d[6])]
|
finally:
|
cls.__last_trade_data_dict[code] = d
|
|
latest_time = l2_huaxin_util.convert_time(datas[-1][3], with_ms=True)
|
min_time = tool.trade_time_add_millionsecond(latest_time, -1000)
|
min_time_int = int(min_time.replace(":", "").replace(".", ""))
|
# 计算最近1s的大单成交
|
total_big_sell_datas = cls.__big_sell_order_info_list_dict.get(code)
|
|
total_sell_info = [0, None] # 总资金,开始成交信息,结束成交信息
|
latest_sell_order_info = cls.__latest_sell_order_dict.get(code)
|
if latest_sell_order_info:
|
# 不是第一次非主动卖上传
|
big_sell_order_ids = cls.__big_sell_order_ids_dict[code]
|
# print("大卖单", big_sell_order_ids)
|
big_sell_orders = []
|
temp_sell_order_ids = set()
|
# 统计已经结算出的大单
|
for i in range(len(total_big_sell_datas) - 1, -1, -1):
|
bd = total_big_sell_datas[i]
|
if min_time_int > int(
|
l2_huaxin_util.convert_time(bd[3][0], with_ms=True).replace(":", "").replace(".", "")):
|
break
|
if bd[0] != latest_sell_order_info[0]:
|
# 不是最近的成交且不是大单直接过滤
|
if bd[0] not in big_sell_order_ids:
|
continue
|
else:
|
if bd[0] not in temp_sell_order_ids:
|
big_sell_orders.append(cls.__big_sell_order_info_dict[code].get(bd[0]))
|
temp_sell_order_ids.add(bd[0])
|
else:
|
# 是最近的但不是大单需要过滤
|
if latest_sell_order_info[1] * latest_sell_order_info[2] < 500000:
|
continue
|
else:
|
if latest_sell_order_info[0] not in temp_sell_order_ids:
|
big_sell_orders.append(latest_sell_order_info)
|
temp_sell_order_ids.add(latest_sell_order_info[0])
|
|
# 统计最近1s的大卖单数据
|
total_sell_info[0] += int(bd[1] * bd[2])
|
# 统计最近的大单
|
if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000:
|
if latest_sell_order_info[0] not in temp_sell_order_ids:
|
# if is_active_sell(latest_sell_order_info[0], latest_sell_order_info[3][1]):
|
big_sell_orders.append(latest_sell_order_info)
|
temp_sell_order_ids.add(latest_sell_order_info[0])
|
total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2])
|
big_sell_orders.reverse()
|
total_sell_info[1] = big_sell_orders
|
# ----------------统计涨停主动买-----------------
|
try:
|
limit_up_active_buy_datas = []
|
for d in datas:
|
if is_active_sell(d[7], d[6]):
|
# 被动买
|
continue
|
# 是否是涨停
|
if d[1] == limit_up_price:
|
# 有涨停主动买
|
limit_up_active_buy_datas.append(d)
|
L2TradeSingleDataManager.set_limit_up_active_buy(code, limit_up_active_buy_datas)
|
except:
|
pass
|
|
return total_sell_info
|
|
# 获取最近成交数据
|
@classmethod
|
def get_latest_transaction_datas(cls, code, min_sell_order_no=None, min_deal_time=None, min_sell_money=None):
|
"""
|
获取最近的主动卖成交信息
|
@param code:
|
@param min_sell_order_no:
|
@param min_deal_time:
|
@param min_sell_money:
|
@return:
|
"""
|
total_orders = []
|
sell_orders = cls.__latest_all_sell_orders_dict.get(code)
|
if sell_orders:
|
for i in range(len(sell_orders) - 1, -1, -1):
|
if min_deal_time and tool.trade_time_sub(min_deal_time,
|
l2_huaxin_util.convert_time(sell_orders[i][3][0])) > 0:
|
break
|
|
if min_sell_order_no and min_sell_order_no > sell_orders[i][0]:
|
continue
|
if min_sell_money and sell_orders[i][1] * sell_orders[i][2] < min_sell_money:
|
# 过滤小金额
|
continue
|
|
total_orders.append(sell_orders[i])
|
if code in cls.__latest_sell_order_dict:
|
if min_sell_order_no:
|
if cls.__latest_sell_order_dict[code][0] >= min_sell_order_no:
|
total_orders.append(cls.__latest_sell_order_dict[code])
|
else:
|
total_orders.append(cls.__latest_sell_order_dict[code])
|
return total_orders
|
|
# 获取最近成交价格信息, 返回格式：（价格,时间）
|
@classmethod
|
def get_latest_trade_price_info(cls, code):
|
return cls.__latest_trade_price_dict.get(code)
|
