| | |
|---|
| | | # 返回最近1s的大单卖：(总卖金额,[(卖单号,总手数,价格,（'开始时间',买单号）,（'结束时间',买单号）),...]) |
|---|
| | | @classmethod |
|---|
| | | def add_transaction_datas(cls, code, datas, buy_exec_index=None): |
|---|
| | | # 是否为主动卖 |
|---|
| | | def is_active_sell(sell_no): |
|---|
| | | if buy_exec_index is not None: |
|---|
| | | return sell_no > int(total_datas[buy_exec_index]["val"]["orderNo"]) |
|---|
| | | else: |
|---|
| | | return f"{sell_no}" not in sell_no_map |
|---|
| | | |
|---|
| | | # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'], |
|---|
| | | # data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'], |
|---|
| | | # data['SellNo'], data['ExecType'])) |
|---|
| | |
|---|
| | | # 大于50w的卖单才会保存 |
|---|
| | | # 大于50w加入卖单 |
|---|
| | | if info[1] * info[2] >= 500000: |
|---|
| | | if f"{info[0]}" not in sell_no_map or (buy_exec_index is not None and info[0] > int( |
|---|
| | | total_datas[buy_exec_index]["val"]["orderNo"])): |
|---|
| | | if is_active_sell(info[0]): |
|---|
| | | l2_log.info(code, hx_logger_l2_transaction_sell_order, |
|---|
| | | f"{cls.__latest_sell_order_dict[code]}") |
|---|
| | | cls.__big_sell_order_ids_dict[code].add(info[0]) |
|---|
| | |
|---|
| | | # 统计最近的大单 |
|---|
| | | if latest_sell_order_info[1] * latest_sell_order_info[2] >= 500000: |
|---|
| | | if latest_sell_order_info[0] not in temp_sell_order_ids: |
|---|
| | | if f"{latest_sell_order_info[0]}" not in sell_no_map or ( |
|---|
| | | buy_exec_index is not None and latest_sell_order_info[0] > int( |
|---|
| | | total_datas[buy_exec_index]["val"]["orderNo"])): |
|---|
| | | if is_active_sell(latest_sell_order_info[0]): |
|---|
| | | big_sell_orders.append(latest_sell_order_info) |
|---|
| | | temp_sell_order_ids.add(latest_sell_order_info[0]) |
|---|
| | | total_sell_info[0] += int(latest_sell_order_info[1] * latest_sell_order_info[2]) |
|---|
