| | |
|---|
| | | self.l2_transaction_codes = set() |
|---|
| | | |
|---|
| | | # 设置订单过滤条件 |
|---|
| | | def set_order_fileter_condition(self, code, min_volume, limit_up_price, special_volumes=None, |
|---|
| | | # special_price:过滤的1手的价格 |
|---|
| | | def set_order_fileter_condition(self, code, min_volume, limit_up_price, special_price, special_volumes=None, |
|---|
| | | special_volumes_expire_time=None): |
|---|
| | | if special_volumes is None: |
|---|
| | | special_volumes = set() |
|---|
| | | if code in self.filter_order_condition_dict and not special_volumes and not special_volumes_expire_time: |
|---|
| | | self.filter_order_condition_dict[code][0] = (min_volume, limit_up_price) |
|---|
| | | self.filter_order_condition_dict[code][0] = (min_volume, limit_up_price, special_price) |
|---|
| | | huaxin_l2_log.info(logger_local_huaxin_l2_subscript, |
|---|
| | | f"({code})常规过滤条件设置：{self.filter_order_condition_dict[code]}") |
|---|
| | | else: |
|---|
| | | self.filter_order_condition_dict[code] = [(min_volume, limit_up_price), special_volumes, |
|---|
| | | self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, special_price), special_volumes, |
|---|
| | | special_volumes_expire_time] |
|---|
| | | huaxin_l2_log.info(logger_local_huaxin_l2_subscript, |
|---|
| | | f"({code})下单后过滤条件设置：{self.filter_order_condition_dict[code]}") |
|---|
| | | |
|---|
| | | # 过滤订单 |
|---|
| | | def __filter_order(self, item): |
|---|
| | | # if item[2] == 100 and item[3] == '1': |
|---|
| | | # # 不过滤买1手 |
|---|
| | | # return item |
|---|
| | | filter_condition = self.filter_order_condition_dict.get(item[0]) |
|---|
| | | if filter_condition: |
|---|
| | | # item[2]为量 |
|---|
| | | if item[2] >= filter_condition[0][0]: |
|---|
| | | return item |
|---|
| | | # 1手的买单满足价格 |
|---|
| | | if item[2] == 100 and item[3] == '1' and abs(filter_condition[0][2] - item[1]) < 0.001: |
|---|
| | | return item |
|---|
| | | if filter_condition[1] and item[2] in filter_condition[1]: |
|---|
| | | if filter_condition[2] and time.time() > filter_condition[2]: |
|---|
| | |
|---|
| | | filter_condition[1] = set() |
|---|
| | | filter_condition[2] = None |
|---|
| | | return None |
|---|
| | | return item |
|---|
| | | elif item[2] == 100 and item[3] == '1': |
|---|
| | | return item |
|---|
| | | return None |
|---|
| | | return item |
|---|
