From 319526fe38fffe8b8fb6603cc8ccd9bbaa944393 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 18 八月 2023 17:35:33 +0800
Subject: [PATCH] 相同订单的成交过滤
---
huaxin_api/l2_client.py | 7 ++++++-
1 files changed, 6 insertions(+), 1 deletions(-)
diff --git a/huaxin_api/l2_client.py b/huaxin_api/l2_client.py
index 7804e30..88889d7 100644
--- a/huaxin_api/l2_client.py
+++ b/huaxin_api/l2_client.py
@@ -49,6 +49,8 @@
special_code_volume_for_order_dict = {}
# 宸茬粡璁㈤槄鐨勪唬鐮�
subscripted_codes = set()
+ # 浠ｇ爜鐨勪笂娆℃垚浜ょ殑璁㈠崟鍞竴绱㈠紩
+ __last_transaction_keys_dict = {}
def __init__(self, api):
lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
@@ -304,6 +306,10 @@
"SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
"SellNo": pTransaction['SellNo'],
"ExecType": pTransaction['ExecType'].decode()}
+ key = f"{item['SecurityID']}_{item['TradePrice']}_{item['BuyNo']}"
+ if self.__last_transaction_keys_dict.get(code) == key:
+ return
+ self.__last_transaction_keys_dict[code] = key
# print("閫愮瑪鎴愪氦", item)
l2_data_manager.add_transaction_detail(item)
@@ -555,7 +561,6 @@
print("l2_client鍚姩鎴愬姛")
while True:
time.sleep(2)
-
if __name__ == "__main__":
--
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