新版下单逐笔成交数据处理

Administrator

2025-03-14 c170fbd2d1cbc15d5b07cc5cdffb3e8c43901785

 l2/l2_transaction_data_manager.py

@@ -337,13 +337,11 @@

    # 统计所有的成交量
    __deal_volume_list_dict = {}
    # 统计涨停主动买的成交量
    __deal_active_buy_volume_list_dict = {}

    @classmethod
    def statistic_total_deal_volume(cls, code, fdatas, limit_up_price):
    def statistic_active_sell_deal_volume(cls, code, fdatas, limit_up_price):
        """
        统计总共的成交量
        统计主动卖成交
        @param code:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @param limit_up_price:
@@ -352,7 +350,9 @@
        # 只统计被动买
        if code not in cls.__deal_volume_list_dict:
            cls.__deal_volume_list_dict[code] = []

        # 为了加速处理，如果第一条数据和最后一条数据都是主动买就返回
        if fdatas[0][1] and fdatas[-1][1]:
            return
        for d in fdatas:
            # 只统计被动买
            if d[1]:
@@ -370,33 +370,6 @@
        # 删除超过5条数据
        if len(cls.__deal_volume_list_dict[code]) > 5:
            cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]

        try:
            # 统计主动买的成交量
            if code not in cls.__deal_active_buy_volume_list_dict:
                cls.__deal_active_buy_volume_list_dict[code] = []
            for d in fdatas:
                # 只统计主动买
                if not d[1]:
                    continue
                # 只统计涨停买
                if not d[2]:
                    continue
                time_str = d[4]
                if cls.__deal_active_buy_volume_list_dict[code]:
                    if cls.__deal_active_buy_volume_list_dict[code][-1][0] == time_str:
                        # 如果是同一秒
                        cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[0][2]
                    else:
                        # 不是同一秒
                        cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
                else:
                    cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
            # 删除超过10条数据
            if len(cls.__deal_active_buy_volume_list_dict[code]) > 10:
                cls.__deal_active_buy_volume_list_dict[code] = cls.__deal_active_buy_volume_list_dict[code][-10:]
        except:
            pass

    @classmethod
    def get_latest_3s_continue_deal_volumes(cls, code):
@@ -432,23 +405,6 @@
                fdatas.append(deal_list[i])
        return fdatas

    @classmethod
    def get_latest_6s_active_buy_deal_volumes(cls, code):
        """
        获取最近6s的主动买成交
        @param code:
        @return: [(时间,量)]
        """
        deal_list = cls.__deal_active_buy_volume_list_dict.get(code)
        if not deal_list:
            return []
        latest_time = deal_list[-1][0]
        fdatas = []
        # 从倒数第二个数据计算
        for i in range(len(deal_list) - 1, -1, -1):
            if tool.trade_time_sub(latest_time, deal_list[i][0]) < 6:
                fdatas.append(deal_list[i])
        return fdatas

    @classmethod
    def clear_latest_deal_volume(cls, code):
@@ -457,8 +413,9 @@

    # 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, fdatas, limit_up_price=None):
    def statistic_continue_limit_up_sell_transaction_datas(cls, code, fdatas, limit_up_price=None):
        """
        统计连续涨停卖成交的数据
        @param code:
        @param fdatas: [(数据本身, 是否主动买, 是否涨停, 总成交额, 不含ms时间，含ms时间)]
        @param limit_up_price:
@@ -488,8 +445,7 @@

        __start_time = time.time()
        # 是否还有涨停卖剩下
        no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas,
                                                                                              limit_up_price)
        no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas)
        use_time = time.time() - __start_time
        __start_time = time.time()
        use_time_list.append(("处理涨停卖", use_time))