修改L2中判断单是否已撤的方法

Administrator

2023-09-28 2db33412c14a5a41957fc934bbb6dc5002e0c70f

 l2/l2_data_util.py

@@ -33,6 +33,9 @@
# 买入订单号映射,只有原生的L2数据才有
local_today_buyno_map = {}

# 已经撤单的订单号
local_today_canceled_buyno_map = {}


def load_l2_data(code, load_latest=True, force=False):
    # 加载最近的l2数据
@@ -71,6 +74,7 @@
        # 根据今日数据加载
        load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force)
        load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code), force)
        load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code), force)
        return data_normal
    return True

@@ -106,6 +110,26 @@
        key = "{}".format(data["val"]["orderNo"])
        if local_today_buyno_map[code].get(key) is None:
            local_today_buyno_map[code].setdefault(key, data)


# 将数据根据orderNo分类已撤订单,原生数据才有
def load_canceled_buy_no_map(local_today_canceled_buyno_map, code, source_datas, clear=False):
    # 只有原生L2数据才会有此操作
    if constant.L2_SOURCE_TYPE != constant.L2_SOURCE_TYPE_HUAXIN:
        return
    if local_today_canceled_buyno_map.get(code) is None:
        local_today_canceled_buyno_map[code] = {}
    if clear:
        local_today_canceled_buyno_map[code] = {}

    for data in source_datas:
        # 只留下买撤
        if data["val"]["operateType"] != 1:
            continue
        # 只填充买入数据
        key = "{}".format(data["val"]["orderNo"])
        if local_today_canceled_buyno_map[code].get(key) is None:
            local_today_canceled_buyno_map[code].setdefault(key, data)


@tool.async_call
@@ -431,8 +455,9 @@
        # 是否有买撤数据
        if cancel_datas:
            for cancel_data in cancel_datas:
                buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, cancel_data,
                                                                                                 local_today_num_operate_map)
                buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data_v2(cancel_data,
                                                                                                    local_today_buyno_map.get(
                                                                                                        code))
                if buy_index == data["index"]:
                    return True
        return False