From 1471480f5307d9f75b6e87e246cc14c131fb4639 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 14 六月 2024 15:36:21 +0800
Subject: [PATCH] L2订阅接口更新
---
huaxin_client/l2_client.py | 110 ++++++++++++++++++++++++++++++++++++------------------
1 files changed, 73 insertions(+), 37 deletions(-)
diff --git a/huaxin_client/l2_client.py b/huaxin_client/l2_client.py
index 8172dca..ae2f8e1 100644
--- a/huaxin_client/l2_client.py
+++ b/huaxin_client/l2_client.py
@@ -53,6 +53,8 @@
set_codes_data_queue = queue.Queue()
market_code_dict = {}
+ENABLE_NGST = True
+
class Lev2MdSpi(lev2mdapi.CTORATstpLev2MdSpi):
latest_codes_set = set()
@@ -91,10 +93,14 @@
logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄涓婅瘉锛歿sh}")
logger_local_huaxin_l2_subscript.info(f"鍙栨秷璁㈤槄娣辫瘉锛歿sz}")
if sh:
- # 鍙栨秷璁㈤槄閫愮瑪濮旀墭
- self.__api.UnSubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
- # 鍙栨秷璁㈤槄閫愮瑪鎴愪氦
- self.__api.UnSubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ if ENABLE_NGST:
+ result = self.__api.UnSubscribeNGTSTick(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪NGTS璁㈤槄缁撴灉sh锛歿result}")
+ else:
+ # 鍙栨秷璁㈤槄閫愮瑪濮旀墭
+ self.__api.UnSubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ # 鍙栨秷璁㈤槄閫愮瑪鎴愪氦
+ self.__api.UnSubscribeTransaction(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
self.__api.UnSubscribeMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
if sz:
self.__api.UnSubscribeOrderDetail(sz, lev2mdapi.TORA_TSTP_EXD_SZSE)
@@ -106,12 +112,16 @@
logger_local_huaxin_l2_subscript.info(f"璁㈤槄涓婅瘉锛歿sh}")
logger_local_huaxin_l2_subscript.info(f"璁㈤槄娣辫瘉锛歿sz}")
if sh:
- # 璁㈤槄閫愮瑪濮旀墭
- result = self.__api.SubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
- logger_local_huaxin_l2_subscript.info(f"閫愮瑪濮旀墭璁㈤槄缁撴灉sh锛歿result}")
- # 璁㈤槄閫愮瑪鎴愪氦
- result = self.__api.SubscribeTransaction(sh, 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 ENABLE_NGST:
+ result = self.__api.SubscribeNGTSTick(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪NGTS璁㈤槄缁撴灉sh锛歿result}")
+ else:
+ # 璁㈤槄閫愮瑪濮旀墭
+ result = self.__api.SubscribeOrderDetail(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
+ logger_local_huaxin_l2_subscript.info(f"閫愮瑪濮旀墭璁㈤槄缁撴灉sh锛歿result}")
+ # 璁㈤槄閫愮瑪鎴愪氦
+ result = self.__api.SubscribeTransaction(sh, 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.SubscribeMarketData(sh, lev2mdapi.TORA_TSTP_EXD_SSE)
logger_local_huaxin_l2_subscript.info(f"甯傚満璁㈤槄缁撴灉sh锛歿result}")
@@ -149,7 +159,7 @@
self.l2_data_upload_manager.distribute_upload_queue(c)
l2_data_manager.add_target_code(c)
except Exception as e:
- #TODO 娓呴櫎鍘熸潵杩樻病閲婃斁鎺夌殑鏁版嵁
+ # TODO 娓呴櫎鍘熸潵杩樻病閲婃斁鎺夌殑鏁版嵁
logger_system.error(f"L2浠ｇ爜鍒嗛厤涓婁紶闃熷垪鍑洪敊:{str(e)}")
logger_system.exception(e)
self.__subscribe(add_codes)
@@ -246,6 +256,26 @@
except Exception as e:
logging.exception(e)
+ def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
+ async_log_util.info(logger_local_huaxin_l2_subscript,
+ f"璁㈤槄缁撴灉锛歿pSpecificSecurity['SecurityID']} {pRspInfo['ErrorID']} {pRspInfo['ErrorMsg']}")
+ if pRspInfo["ErrorID"] == 0:
+ print("璁㈤槄鎴愬姛")
+ self.subscripted_codes.add(pSpecificSecurity['SecurityID'])
+ if bIsLast == 1:
+ print("璁㈤槄鍝嶅簲缁撴潫", self.subscripted_codes)
+ l2_data_manager.add_subscript_codes(self.subscripted_codes)
+
+ def OnRspUnSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
+ try:
+ code = pSpecificSecurity['SecurityID']
+ self.subscripted_codes.discard(code)
+ if bIsLast == 1:
+ print("鍙栨秷璁㈤槄鍝嶅簲缁撴潫", self.subscripted_codes)
+ l2_data_manager.add_subscript_codes(self.subscripted_codes)
+ except Exception as e:
+ logging.exception(e)
+
def OnRspSubBondMarketData(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
print("OnRspSubBondMarketData")
@@ -260,10 +290,6 @@
def OnRspSubXTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
print("OnRspSubXTSTick")
-
- # 4.0.5鐗堟湰鎺ュ彛
- def OnRspSubNGTSTick(self, pSpecificSecurity, pRspInfo, nRequestID, bIsLast):
- print("OnRspSubNGTSTick")
def OnRtnMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
FirstLevelSellOrderVolumes):
@@ -345,28 +371,6 @@
self.l2_data_upload_manager.add_transaction_detail(item)
def OnRtnOrderDetail(self, pOrderDetail):
- # can_listen = False
- # code = str(pOrderDetail['SecurityID'])
- # start_time = 0
- # if code in self.special_code_volume_for_order_dict:
- # start_time = time.time()
- # if self.special_code_volume_for_order_dict[code][0] == pOrderDetail[
- # 'Volume'] or constant.SHADOW_ORDER_VOLUME == pOrderDetail['Volume']:
- # # 鐩戞帶鐩爣璁㈠崟涓庡奖瀛愯鍗�
- # if self.special_code_volume_for_order_dict[code][1] > time.time():
- # # 鐗规畩閲忕洃鍚�
- # can_listen = True
- # else:
- # self.special_code_volume_for_order_dict.pop(code)
- # if not can_listen:
- # min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
- # if min_volume is None:
- # # 榛樿绛涢��50w
- # if pOrderDetail['Price'] * pOrderDetail['Volume'] < 500000:
- # return
- # elif pOrderDetail['Volume'] < min_volume:
- # return
- # 杈撳嚭閫愮瑪濮旀墭鏁版嵁
# 涓婅瘉OrderStatus=b"D"琛ㄧず鎾ゅ崟
item = {"SecurityID": pOrderDetail['SecurityID'], "Price": pOrderDetail['Price'],
"Volume": pOrderDetail['Volume'],
@@ -376,6 +380,38 @@
"OrderStatus": pOrderDetail['OrderStatus'].decode()}
self.l2_data_upload_manager.add_l2_order_detail(item, 0)
+ def OnRtnNGTSTick(self, pTick):
+ """
+ 涓婅瘉鑲＄エ鐨勯�愮瑪濮旀墭涓庢垚浜�
+ @param pTick:
+ @return:
+ """
+ try:
+ if pTick['TickType'] == b'T':
+ # 鎴愪氦
+ 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'}
+ self.l2_data_upload_manager.add_transaction_detail(item)
+ elif pTick['TickType'] == b'A' or pTick['TickType'] == b'D':
+ # 鎾ゅ崟
+ item = {"SecurityID": pTick['SecurityID'], "Price": pTick['Price'],
+ "Volume": pTick['Volume'],
+ "Side": pTick['Side'].decode(), "OrderType": pTick['TickType'].decode(),
+ "OrderTime": pTick['TickTime'], "MainSeq": pTick['MainSeq'],
+ "SubSeq": pTick['SubSeq'], "OrderNO": '',
+ "OrderStatus": pTick['TickType'].decode()}
+ if pTick['Side'] == b'1':
+ item['OrderNO'] = pTick['BuyNo']
+ elif pTick['Side'] == b'2':
+ item['OrderNO'] = pTick['SellNo']
+ self.l2_data_upload_manager.add_l2_order_detail(item, 0)
+ except Exception as e:
+ logger_local_huaxin_l2_subscript.exception(e)
+
def OnRtnBondMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
FirstLevelSellOrderVolumes):
# 杈撳嚭琛屾儏蹇収鏁版嵁
--
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