优化逐笔成交中的卖单统计

Administrator

2025-03-20 58b40f2f7de276662f2e1f967812066127e33d8d

优化逐笔成交中的卖单统计

 l2/l2_transaction_data_manager.py

@@ -314,12 +314,14 @@
    @classmethod
    def statistic_big_sell_data(cls, code, fdatas):
        """
        统计大卖单
        统计大卖单(299w以上)
        @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)]
        @return: 返回数据里面成交的大单
        """
        big_sell_datas = []
        # 正在成交的卖单
        dealing_order_info = cls.__dealing_order_info_dict.get(code)
        for data in fdatas:
            if not data[2]:
                # 只计算板上成交
@@ -328,23 +330,28 @@
            # q.append((data['SecurityID'], data['TradePrice'], data['TradeVolume'],
            #                   data['OrderTime'], data['MainSeq'], data['SubSeq'], data['BuyNo'],
            #                   data['SellNo'], data['ExecType']))
            if code not in cls.__dealing_order_info_dict:
            if dealing_order_info is None:
                # 数据格式[订单号，总股数，成交金额]
                cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money]
            if cls.__dealing_order_info_dict[code][0] == data[0][7]:
                # 成交同一个订单号
                cls.__dealing_order_info_dict[code][1] += data[0][2]
                cls.__dealing_order_info_dict[code][2] += money
                dealing_order_info = [data[0][7], data[0][2], money]
            else:
                # 保存上一条数据
                l2_log.info(code, hx_logger_l2_transaction_desc, f"{code}#{cls.__dealing_order_info_dict[code]}")
                # 设置最近成交完成的一条数据
                deal_info = cls.__dealing_order_info_dict[code]
                # 是否为大买单
                if deal_info[2] >= 2990000:
                    big_sell_datas.append(deal_info)
                # 初始化本条数据
                cls.__dealing_order_info_dict[code] = [data[0][7], data[0][2], money]
                if dealing_order_info[0] == data[0][7]:
                    # 成交同一个订单号
                    dealing_order_info[1] += data[0][2]
                    dealing_order_info[2] += money
                else:
                    # 保存上一条数据
                    # 设置最近成交完成的一条数据
                    deal_info = dealing_order_info
                    # 保存上一条数据
                    if deal_info[2] >= 2990000:
                        # 是否为大买单
                        l2_log.info(code, hx_logger_l2_transaction_desc,
                                    f"{code}#{deal_info}")
                        big_sell_datas.append(deal_info)
                    # 初始化本条数据
                    dealing_order_info = [data[0][7], data[0][2], money]
        # 保存最后一条数据的状态
        cls.__dealing_order_info_dict[code] = dealing_order_info
        return big_sell_datas

    # 统计所有的成交量
@@ -462,10 +469,10 @@
        use_time_list.append(("处理涨停卖", use_time))
        for d in fdatas:
            # 获取当前是否为主动买
            if d[1]:
                # 主动买
                continue
            try:
                if d[1]:
                    # 主动买
                    continue
                if d[2]:
                    # 涨停主动卖
                    L2TradeSingleDataProcessor.add_active_limit_up_sell_data(d[0])

 l2/l2_transaction_data_processor.py

@@ -187,21 +187,12 @@
            _start_time = time.time()

            try:
                last_data = fdatas[-1]
                # 统计上板时间
                try:
                    for d in fdatas:
                        if d[1]:
                            # 主动买
                            if d[2]:
                                # 涨停
                                current_price_process_manager.set_latest_not_limit_up_time(code, d[5])
                        else:
                            # 主动卖（板上）
                            if d[2]:
                                L2LimitUpSellDataManager.clear_data(code)
                                break
                except:
                    pass
                if last_data[1] and last_data[2]:
                    current_price_process_manager.set_latest_not_limit_up_time(code, last_data[5])
                if not last_data[1] and last_data[2]:
                    L2LimitUpSellDataManager.clear_data(code)
                big_sell_order_info = None
                # 统计卖单
                big_sell_order_info = HuaXinSellOrderStatisticManager.statistic_continue_limit_up_sell_transaction_datas(