| | |
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| | | |
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| | | |
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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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| | | # filter_not_limit_up : 过滤掉非涨停数据 |
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| | | def __format_l2_data(origin_datas, code, limit_up_price, filter_not_limit_up=True): |
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| | | datas = [] |
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| | | dataIndexs = {} |
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| | | same_time_num = {} |
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| | |
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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) and num != 1: |
|---|
| | | if filter_not_limit_up and int(item["limitPrice"]) != 1 and ( |
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| | | int(operateType) == 0 or int(operateType) == 1) and num != 1: |
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| | | continue |
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| | | key = "{}-{}-{}".format(code, item["mainSeq"], item["subSeq"]) |
|---|
| | | if key in dataIndexs: |
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| | |
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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, float(limit_up_price)) for x in origin_datas] |
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| | | fdatas = __format_l2_data(datas, code, float(limit_up_price)) |
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| | | # 在9:25之前不过滤非涨停金额 |
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| | | filter_not_limit_up = True |
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| | | if int(datas[0]["time"][:5].replace(":", "")) <= 925: |
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| | | filter_not_limit_up = False |
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| | | fdatas = __format_l2_data(datas, code, float(limit_up_price), filter_not_limit_up=filter_not_limit_up) |
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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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| | | return fdatas |
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