bug修复

Administrator

2024-09-19 69c26b43a88ced7a18a637ea6dd120671382deb0

 huaxin_client/l2_client.py

@@ -296,24 +296,36 @@
                        FirstLevelSellOrderVolumes):
        # 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:
            buys = [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
                    (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
                    (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
                    (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
                    (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])]
            for i in range(6, 11):
                if not pDepthMarketData[f"BidVolume{i}"]:
                    break
                buys.append((pDepthMarketData[f'BidPrice{i}'], pDepthMarketData[f'BidVolume{i}']))

            sells = [
                (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
                (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
                (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
                (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
                (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
            ]
            for i in range(6, 11):
                if not pDepthMarketData[f"AskVolume{i}"]:
                    break
                sells.append((pDepthMarketData[f'AskPrice{i}'], pDepthMarketData[f'AskVolume{i}']))

            d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
                 "lastPrice": pDepthMarketData['LastPrice'],
                 "totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
                 "totalValueTrade": pDepthMarketData['TotalValueTrade'],
                 "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'])
                 ]}
                 "buy": buys,
                 "sell": sells}
            market_code_dict[pDepthMarketData['SecurityID']] = time.time()
            self.l2_data_upload_manager.add_market_data(d)
        except: