From 70bbbc724f11ffa7d36aadcc0fed99e9394b2e82 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 14 六月 2024 15:19:43 +0800
Subject: [PATCH] L2接口更新
---
huaxin_client/l2_client_for_cb.py | 105 ++++++++++++++++++++++++++++++++++++++++++----------
1 files changed, 84 insertions(+), 21 deletions(-)
diff --git a/huaxin_client/l2_client_for_cb.py b/huaxin_client/l2_client_for_cb.py
index afecc2f..8f5ded0 100644
--- a/huaxin_client/l2_client_for_cb.py
+++ b/huaxin_client/l2_client_for_cb.py
@@ -73,57 +73,85 @@
self.codes = codes
def __split_codes(self, codes):
+ """
+ 鍒嗙浠ｇ爜
+ :param codes:
+ :return:涓婅瘉鑲＄エ浠ｇ爜, 涓婅瘉闈炶偂绁ㄤ唬鐮�, 娣辫瘉浠ｇ爜
+ """
szse_codes = []
- sse_codes = []
+ sse_other_codes = []
+ sse_stock_codes = []
for code in codes:
market_type = tool.get_market_type(code)
if market_type == tool.MARKET_TYPE_SZSE:
szse_codes.append(code.encode())
elif market_type == tool.MARKET_TYPE_SSE:
- sse_codes.append(code.encode())
- return sse_codes, szse_codes
+ if tool.is_stock(code):
+ sse_stock_codes.append(code.encode)
+ else:
+ sse_other_codes.append(code.encode())
+ return sse_stock_codes, sse_other_codes, szse_codes
# 鏂板璁㈤槄
# 鍙栨秷璁㈤槄
def __unsubscribe_trans(self, _codes):
- sh, sz = self.__split_codes(_codes)
- logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄涓婅瘉锛歿sh}")
+ sh_stock, sh_other, sz = self.__split_codes(_codes)
+ logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄涓婅瘉锛歿sh_stock}")
+ logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄涓婅瘉锛歿sh_other}")
logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄娣辫瘉锛歿sz}")
- if sh:
+ if sh_other:
# 鍙栨秷璁㈤槄閫愮瑪鎴愪氦
- self.__api.UnSubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ self.__api.UnSubscribeTransaction(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
+ if sh_stock:
+ # 鍙栨秷璁㈤槄閫愮瑪鎴愪氦
+ self.__api.UnSubscribeNGTSTick(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
if sz:
self.__api.UnSubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
def __subscribe_trans(self, _codes):
- sh, sz = self.__split_codes(_codes)
- logger_local_huaxin_l2_subscript.info(f"璁㈤槄涓婅瘉锛歿sh}")
+ sh_stock, sh_other, sz = self.__split_codes(_codes)
+ logger_local_huaxin_l2_subscript.info(f"璁㈤槄涓婅瘉锛歿sh_stock}")
+ logger_local_huaxin_l2_subscript.info(f"璁㈤槄涓婅瘉锛歿sh_other}")
logger_local_huaxin_l2_subscript.info(f"璁㈤槄娣辫瘉锛歿sz}")
- if sh:
+ if sh_other:
# 璁㈤槄閫愮瑪鎴愪氦
- result = self.__api.SubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ result = self.__api.SubscribeTransaction(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
+ if sh_stock:
+ # 璁㈤槄閫愮瑪鎴愪氦
+ result = self.__api.SubscribeNGTSTick(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
if sz:
result = self.__api.SubscribeTransaction(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sz锛歿result}")
def __unsubscribe_market(self, _codes):
- sh, sz = self.__split_codes(_codes)
- if sh:
+ sh_stock, sh_other, sz = self.__split_codes(_codes)
+ if sh_other:
# 鍙栨秷璁㈤槄閫愮瑪鎴愪氦
- self.__api.UnSubscribeMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
- self.__api.UnSubscribeXTSMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ self.__api.UnSubscribeMarketData(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
+ self.__api.UnSubscribeXTSMarketData(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
+ if sh_stock:
+ self.__api.UnSubscribeMarketData(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
+ self.__api.UnSubscribeNGTSTick(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
+
if sz:
self.__api.UnSubscribeMarketData(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
def __subscribe_market(self, _codes):
- sh, sz = self.__split_codes(_codes)
- if sh:
+ sh_stock, sh_other, sz = self.__split_codes(_codes)
+ if sh_stock:
# 璁㈤槄閫愮瑪鎴愪氦
- result = self.__api.SubscribeMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ result = self.__api.SubscribeMarketData(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
- result = self.__api.SubscribeXTSMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ result = self.__api.SubscribeXTSMarketData(sh_stock, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
+ if sh_other:
+ # 璁㈤槄閫愮瑪鎴愪氦
+ result = self.__api.SubscribeMarketData(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
+ result = self.__api.SubscribeXTSMarketData(sh_other, lev2mdapi.TORA_TSTP_EXD_SSE)
logger_local_huaxin_l2_subscript.info(f"閫愮瑪鎴愪氦璁㈤槄缁撴灉sh锛歿result}")
if sz:
result = self.__api.SubscribeMarketData(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
@@ -215,6 +243,20 @@
except Exception as e:
logging.exception(e)
+ def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
+ if pRspInfo["ErrorID"] == 0:
+ self.subscripted_transaction_codes.add(pSpecificSecurity['SecurityID'])
+ logger_local_huaxin_l2_subscript.info(f"鎴愪氦璁㈤槄鎴愬姛锛歿pSpecificSecurity['SecurityID']}")
+
+ def OnRspUnSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
+ try:
+ code = pSpecificSecurity['SecurityID']
+ self.subscripted_transaction_codes.discard(code)
+ logger_local_huaxin_l2_subscript.info(f"鎴愪氦鍙栨秷璁㈤槄锛歿pSpecificSecurity['SecurityID']}")
+ except Exception as e:
+ logging.exception(e)
+
+
def OnRspSubMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
if pRspInfo["ErrorID"] == 0:
self.subscripted_market_codes.add(pSpecificSecurity['SecurityID'])
@@ -244,6 +286,25 @@
(pTransaction['SecurityID'], pTransaction['TradePrice'], pTransaction['TradeTime']))
except Exception as e:
logger_local_huaxin_l2_error.exception(e)
+
+ def OnRtnNGTSTick(self, pTick):
+ try:
+ # 杈撳嚭閫愮瑪鎴愪氦鏁版嵁
+ if pTick['TickType'] == b'T':
+ item = {"SecurityID": pTick['SecurityID'], "TradePrice": pTick['Price'],
+ "TradeVolume": pTick['Volume'],
+ "OrderTime": pTick['TickTime'], "MainSeq": pTick['MainSeq'],
+ "SubSeq": pTick['SubSeq'], "BuyNo": pTick['BuyNo'],
+ "SellNo": pTick['SellNo'],
+ "ExecType": '1'}
+ huaxin_l2_log.info(logger_local_huaxin_l2_transaction, f"{item}")
+ if self.buyStrategyDataManager.add_transaction_info(item):
+ l2_transaction_price_queue.put_nowait(
+ (pTick['SecurityID'], pTick['Price'], pTick['TickTime']))
+ except Exception as e:
+ logger_local_huaxin_l2_error.exception(e)
+
+
def OnRtnMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
FirstLevelSellOrderVolumes):
@@ -278,7 +339,8 @@
market_call_back_queue.put_nowait((pDepthMarketData['SecurityID'], pDepthMarketData['LastPrice'], rate,
pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1'],
pDepthMarketData['TotalVolumeTrade'], pDepthMarketData['TotalBidVolume'],
- pDepthMarketData['TotalAskVolume'], pDepthMarketData['PreClosePrice'], pDepthMarketData['DataTimeStamp']))
+ pDepthMarketData['TotalAskVolume'], pDepthMarketData['PreClosePrice'],
+ pDepthMarketData['DataTimeStamp']))
code = pDepthMarketData['SecurityID']
if code.find("00") == 0 or code.find("60") == 0:
if rate >= 0.05:
@@ -296,7 +358,8 @@
except Exception as e:
logger_debug.exception(e)
- def OnRtnXTSMarketData(self, pMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum, FirstLevelSellOrderVolumes):
+ def OnRtnXTSMarketData(self, pMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
+ FirstLevelSellOrderVolumes):
d = {"dataTimeStamp": pMarketData['DataTimeStamp'], "securityID": pMarketData['SecurityID'],
"preClosePrice": pMarketData['PreClosePrice'],
"lastPrice": pMarketData['LastPrice'],
--
Gitblit v1.8.0