L前3s囊括一次/增加L2数据接口/接口输出交易信息

Administrator

2023-10-24 60d02096d9dc4bc9cb54f8cf81becd10a9dd0c61

 l2/cancel_buy_strategy.py

@@ -835,6 +835,8 @@

    __SecondCancelBigNumComputer = SecondCancelBigNumComputer()

    __last_l_up_compute_info = {}

    __instance = None

    def __new__(cls, *args, **kwargs):
@@ -1027,6 +1029,16 @@
        else:
            self.__compute_trade_progress_near_by_indexes(code, buy_single_index, index)

    # 重新计算L上
    def re_compute_l_up_watch_indexes(self, code):
        if code not in self.__last_trade_progress_dict:
            return
        if code not in self.__real_place_order_index_dict:
            return
        if code not in self.__last_l_up_compute_info or time.time() - self.__last_l_up_compute_info[code][0] >= 3:
            self.__compute_trade_progress_near_by_indexes(code, self.__last_trade_progress_dict.get(code) + 1,
                                                          self.__real_place_order_index_dict.get(code))

    # 计算范围内的成交位临近未撤大单
    def __compute_trade_progress_near_by_indexes(self, code, start_index, end_index):
        if start_index is None or end_index is None:
@@ -1055,9 +1067,16 @@
                watch_indexes.add(i)
                if len(watch_indexes) >= MAX_COUNT:
                    break

        changed = True
        if code in self.__last_l_up_compute_info:
            if self.__last_l_up_compute_info[code] == watch_indexes:
                changed = False
        # 保存数据
        l2_log.l_cancel_debug(code, f"设置成交位临近撤单监控范围：{watch_indexes} 计算范围：{start_index}-{end_index}")
        self.__set_near_by_trade_progress_indexes(code, watch_indexes)
        if changed:
            l2_log.l_cancel_debug(code, f"设置成交位临近撤单监控范围：{watch_indexes} 计算范围：{start_index}-{end_index}")
            self.__set_near_by_trade_progress_indexes(code, watch_indexes)
        self.__last_l_up_compute_info[code] = (time.time(), watch_indexes)

    # 设置成交位置,成交位置变化之后相应的监听数据也会发生变化
    def set_trade_progress(self, code, index, total_datas):