bug修复

Administrator

2025-05-09 0033f43c150e7b226455d207a3e148de21c7a938

 huaxin_client/l2_client_test.py

@@ -4,6 +4,7 @@
import queue
import time
import lev2mdapi
from l2.huaxin import l2_huaxin_util
from log_module import log
from log_module.log import logger_local_huaxin_l2_subscript, logger_system
from utils import tool
@@ -66,7 +67,7 @@
    def get_big_sell_orders(self):
        return self.__big_sell_orders

    def add_transaction_data_for_accurate(self, data):
    def add_transaction_data_for_accurate(self, item):
        """
        获取精确的买单信息
        @param data:
@@ -76,18 +77,10 @@
        def format_timestamp(timestamp):
            time_str = str(timestamp)
            return int(time_str[:5] if time_str[0] == '9' else time_str[:6])

        item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"])
        # item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
        #         "TradeVolume": pTransaction['TradeVolume'],
        #         "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
        #         "SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
        #         "SellNo": pTransaction['SellNo'],
        #         "ExecType": pTransaction['ExecType'].decode()}
        money = round(item[2] * item[3])
        volume = item[3]
        price = item[2]
        order_time = data["OrderTime"]
        order_time = item[4]
        if item[0] not in self.__big_accurate_buy_order_dict:
            # (买单号, 量, 金额, 时间, 最新成交价格)
            self.__big_accurate_buy_order_dict[item[0]] = [item[0], 0, 0, order_time, price]
@@ -100,22 +93,20 @@
        if self.__latest_buy_order and self.__latest_buy_order[0] != item[0]:
            # 有可能是大单成交完成， 判断上个订单是否是大单
            last_buy_order = self.__big_accurate_buy_order_dict.get(self.__latest_buy_order[0])
            try:
                if last_buy_order[2] > 299e4:
                    self.big_accurate_buy_order_queue.put_nowait(last_buy_order)
            except Exception as e:
                print("数据：", last_buy_order, self.__latest_buy_order, item)
                raise e

            if last_buy_order[2] > 299e4:
                self.big_accurate_buy_order_queue.put_nowait(last_buy_order)

            # 如果数据过多需要移除过长时间的小金额数据
            accurate_buy_count = len(self.__big_accurate_buy_order_dict.keys())
            if accurate_buy_count > 10000 and accurate_buy_count - self.__last_accurate_buy_count > 2000:
                # 超过1w条数据且新增2000条数据
                # 超过1w条数据就要移除30分钟之前的数据
                now_time_int = int(tool.trade_time_add_second(tool.get_now_time_str(), -3600).replace(":", ""))
                now_time_int = int(
                    tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
                try:
                    remove_order_nos = [x for x in self.__big_accurate_buy_order_dict if
                                        now_time_int - format_timestamp(
                                            self.__big_accurate_buy_order_dict[x][3]) > 0]
                                        format_timestamp(self.__big_accurate_buy_order_dict[x][3]) < now_time_int]
                    if remove_order_nos:
                        for order_no in remove_order_nos:
                            self.__big_accurate_buy_order_dict.pop(order_no)
@@ -141,11 +132,11 @@
            if accurate_sell_count > 10000 and accurate_sell_count - self.__last_accurate_sell_count > 2000:
                # 超过1w条数据且新增2000条数据
                # 超过1w条数据就要移除30分钟之前的数据
                now_time_int = int(tool.trade_time_add_second(tool.get_now_time_str(), -3600).replace(":", ""))
                now_time_int = int(tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
                try:
                    remove_order_nos = [x for x in self.__big_accurate_sell_order_dict if
                                        now_time_int - format_timestamp(
                                            self.__big_accurate_sell_order_dict[x][3]) > 0]
                                        now_time_int > format_timestamp(
                                            self.__big_accurate_sell_order_dict[x][3])]
                    if remove_order_nos:
                        for order_no in remove_order_nos:
                            self.__big_accurate_sell_order_dict.pop(order_no)
@@ -153,7 +144,7 @@
                    self.__last_accurate_sell_count = len(self.__big_accurate_sell_order_dict.keys())

    def add_transaction_data(self, data):
        item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"])
        item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"], data["OrderTime"])
        # item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
        #         "TradeVolume": pTransaction['TradeVolume'],
        #         "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
@@ -163,10 +154,10 @@
        money = round(item[2] * item[3])
        volume = item[3]
        price = item[2]
        order_time = data["OrderTime"]
        order_time = item[4]

        if self.accurate_buy:
            self.add_transaction_data_for_accurate(data)
            self.add_transaction_data_for_accurate(item)

        if not self.__latest_buy_order:
            # (买单号, 量, 金额, 时间, 最新成交价格)