新版下单逐笔成交数据处理

Administrator

2025-03-14 c170fbd2d1cbc15d5b07cc5cdffb3e8c43901785

 l2/place_order_single_data_manager.py

@@ -16,6 +16,7 @@
    """
    __latest_sell_data = {}

    # 最近的涨停卖委托列表
    __latest_limit_up_sell_list_dict = {}

    __latest_limit_up_sell_order_no_set_dict = {}
@@ -95,7 +96,7 @@
        return len(sell_list)

    @classmethod
    def process_passive_limit_up_sell_data(cls, code, fdatas, limit_up_price):
    def process_passive_limit_up_sell_data(cls, code, fdatas):
        """
        添加涨停被动卖成交数据
        @param fdata: 数据格式：(data['SecurityID'], data['TradePrice'], data['TradeVolume'],
@@ -110,7 +111,7 @@
            sell_list = cls.__latest_limit_up_sell_list_dict.get(code)
            if not sell_list:
                return False
            sell_info = sell_list[-1]
            last_sell_info = sell_list[-1]
            for data in fdatas:
                # 过滤被动买
                if not data[1]:
@@ -146,7 +147,7 @@
                    # 排除主动卖/非涨停卖
                    continue
                sell_no = data[0][7]
                if sell_no != sell_info['val']['orderNo']:
                if sell_no != last_sell_info['val']['orderNo']:
                    continue
                # 需要判断当前单是否已经成交完成
                if code not in cls.__latest_sell_data:
@@ -156,12 +157,12 @@
                        cls.__latest_sell_data[code][1] += data[0][2]
                    else:
                        cls.__latest_sell_data[code] = [sell_no, data[0][2]]
                sell_info_num = sell_info['val']['num']
                sell_info_num = last_sell_info['val']['num']
                deal_num = cls.__latest_sell_data[code][1] // 100
                if sell_info_num == deal_num:
                    use_time = round((time.time() - start_time) * 1000, 3)
                    l2_log.info(code, logger_l2_trade_buy,
                                f"找到最近的被动涨停卖单数据：{sell_info['val']['orderNo']}, 成交数据：{data} 计算耗时：{use_time}ms, 可以触发下单")
                                f"找到最近的被动涨停卖单数据：{last_sell_info['val']['orderNo']}, 成交数据：{data} 计算耗时：{use_time}ms, 可以触发下单")

                    # 将历史大单列表与最近的大单加入列表
                    big_buy_order_datas = []
@@ -176,10 +177,45 @@
                        # 涨停主动卖已经被吃完，可以清除
                        return True
                    break
                    # l2_log.info(code, logger_l2_trade_buy, f"找到最近的被动涨停卖单数据：{data['val']['orderNo']}, 可以触发下单")
        except Exception as e:
            logger_debug.exception(e)
        return False

    @classmethod
    def filter_last_limit_up_sell_data(cls, code, fdatas):
        """
        筛选出最后一条涨停卖成交数据
        @param code:
        @param fdatas:
        @return: (成交数据, 卖单数据)
        """
        sell_list = cls.__latest_limit_up_sell_list_dict.get(code)
        if not sell_list:
            return None
        last_sell_info = sell_list[-1]
        for data in fdatas:
            if not data[2]:
                # 排除主动卖/非涨停卖
                continue
            sell_no = data[0][7]
            if sell_no != last_sell_info['val']['orderNo']:
                continue
            # 需要判断当前单是否已经成交完成
            if code not in cls.__latest_sell_data:
                cls.__latest_sell_data[code] = [sell_no, data[0][2]]
            else:
                if cls.__latest_sell_data[code][0] == sell_no:
                    cls.__latest_sell_data[code][1] += data[0][2]
                else:
                    cls.__latest_sell_data[code] = [sell_no, data[0][2]]
            sell_info_num = last_sell_info['val']['num']
            deal_num = cls.__latest_sell_data[code][1] // 100
            if sell_info_num == deal_num:
                # 最后一笔涨停卖已经成交完成
                l2_log.info(code, logger_l2_trade_buy,
                            f"找到最近的被动涨停卖单数据：{last_sell_info}, 成交数据：{data}  可以触发下单")
                return data, last_sell_info
        return None

    @classmethod
    def add_active_limit_up_sell_data(cls, data):
@@ -223,6 +259,14 @@
        @return:
        """

    def OnLastLimitUpSellDeal(self, code, data):
        """
        最后一笔涨停卖成交
        @param code: 代码
        @param data: 成交的数据
        @return:
        """


class L2TradeSingleDataManager:
    __callback = None