L2市场行情数据修改/卖代码修改

Administrator

2024-04-23 641c3fd59e11388d086aaab495b5f10cfda11d18

 huaxin_client/l2_market_client.py

@@ -155,23 +155,25 @@
        # 传入：时间，现价,成交总量,买1，买2，买3,买4,买5,卖1,卖2,卖3,卖4,卖5
        try:
            d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
                 "preClosePrice": pDepthMarketData['PreClosePrice'],
                 "lastPrice": pDepthMarketData['LastPrice'],
                 "totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
                 "totalValueTrade": pDepthMarketData['TotalValueTrade'],
                 "totalBidVolume": pDepthMarketData['TotalBidVolume'],
                 "avgBidPrice": pDepthMarketData['AvgBidPrice'],
                 "totalAskVolume": pDepthMarketData['TotalAskVolume'],
                 "avgAskPrice": pDepthMarketData["AvgAskPrice"],
                 "buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
                         (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
                         (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
                         (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
                         (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])],
                 "sell": [
                     (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
                     (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
                     (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
                     (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
                     (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
                 ]}
                 "avgAskPrice": pDepthMarketData["AvgAskPrice"]
                 # "buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
                 #         (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
                 #         (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
                 #         (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
                 #         (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])],
                 # "sell": [
                 #     (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
                 #     (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
                 #     (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
                 #     (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
                 #     (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
                 # ]
                 }
            huaxin_l2_log.info(logger_local_huaxin_l2_market, f"{d}")
        except:
            pass
@@ -228,6 +230,9 @@
    except Exception as e:
        logger_system.exception(e)
    while True:
        if tool.trade_time_sub(tool.get_now_time_str(), "09:30:01") <= 0:
            # 只读竞价数据
            break
        time.sleep(2)