From 4a96c448feb8caf33c8b252309b30cc8d87672e9 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 19 十一月 2024 10:52:59 +0800
Subject: [PATCH] L2测试
---
huaxin_client/l2_client_test.py | 75 +++++++++++++++++++++++++++----------
1 files changed, 54 insertions(+), 21 deletions(-)
diff --git a/huaxin_client/l2_client_test.py b/huaxin_client/l2_client_test.py
index c821ae2..72caebb 100644
--- a/huaxin_client/l2_client_test.py
+++ b/huaxin_client/l2_client_test.py
@@ -1,5 +1,6 @@
# -*- coding: utf-8 -*-
import logging
+import multiprocessing
import queue
import time
import lev2mdapi
@@ -44,6 +45,8 @@
self.__big_buy_orders = []
self.__latest_sell_order = None
self.__big_sell_orders = []
+ self.big_buy_order_queue = queue.Queue()
+ self.big_sell_order_queue = queue.Queue()
def get_big_buy_orders(self):
return self.__big_buy_orders
@@ -61,25 +64,37 @@
# "ExecType": pTransaction['ExecType'].decode()}
money = round(item[2] * item[3])
volume = item[3]
+ order_time = data["OrderTime"]
if not self.__latest_buy_order:
- self.__latest_buy_order = [item[0], 0, 0]
+ self.__latest_buy_order = [item[0], 0, 0, order_time]
if self.__latest_buy_order[0] == item[0]:
self.__latest_buy_order[1] += volume
self.__latest_buy_order[2] += money
+ self.__latest_buy_order[3] = order_time
else:
if self.__latest_buy_order[2] > 1e6:
- self.__big_buy_orders.append((self.__latest_buy_order[0],self.__latest_buy_order[1], self.__latest_buy_order[2]))
- self.__latest_buy_order = [item[0],volume, money]
+ d = (self.__latest_buy_order[0], self.__latest_buy_order[1], self.__latest_buy_order[2], self.__latest_buy_order[3])
+ self.__big_buy_orders.append(d)
+ self.big_buy_order_queue.put_nowait(d)
+
+ self.__latest_buy_order = [item[0], volume, money, order_time]
if not self.__latest_sell_order:
- self.__latest_sell_order = [item[1], 0, 0]
+ self.__latest_sell_order = [item[1], 0, 0, order_time]
if self.__latest_sell_order[0] == item[1]:
self.__latest_sell_order[1] += volume
self.__latest_sell_order[2] += money
+ self.__latest_sell_order[3] = order_time
else:
if self.__latest_sell_order[2] > 1e6:
- self.__big_sell_orders.append((self.__latest_sell_order[0],self.__latest_sell_order[1], self.__latest_sell_order[2]))
- self.__latest_sell_order = [item[1], volume, money]
+ d = (self.__latest_sell_order[0], self.__latest_sell_order[1], self.__latest_sell_order[2], self.__latest_sell_order[3])
+ self.__big_sell_orders.append(d)
+ self.big_sell_order_queue.put_nowait(d)
+ self.__latest_sell_order = [item[1], volume, money, order_time]
+
+
+# 涔板叆鐨勫ぇ鍗曡鍗曞彿
+l2_transaction_data_dict = {}
class Lev2MdSpi(lev2mdapi.CTORATstpLev2MdSpi):
@@ -90,9 +105,6 @@
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 = {}
-
- # 涔板叆鐨勫ぇ鍗曡鍗曞彿
- __l2_transaction_data_dict = {}
def __init__(self, api, codes):
lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
@@ -209,9 +221,9 @@
"SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
"SellNo": pTransaction['SellNo'],
"ExecType": pTransaction['ExecType'].decode()}
- if item["SecurityID"] not in self.__l2_transaction_data_dict:
- self.__l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
- self.__l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ if item["SecurityID"] not in l2_transaction_data_dict:
+ l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
def OnRtnNGTSTick(self, pTick):
"""
@@ -228,9 +240,9 @@
"SubSeq": pTick['SubSeq'], "BuyNo": pTick['BuyNo'],
"SellNo": pTick['SellNo'],
"ExecType": '1'}
- if item["SecurityID"] not in self.__l2_transaction_data_dict:
- self.__l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
- self.__l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ if item["SecurityID"] not in l2_transaction_data_dict:
+ l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"])
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
except Exception as e:
logger_local_huaxin_l2_subscript.exception(e)
@@ -269,17 +281,38 @@
api.Init()
-def run(codes) -> None:
+def run(codes, _queue: multiprocessing.Queue) -> None:
try:
log.close_print()
+
__init_l2(codes)
logger_system.info(f"L2璁㈤槄鏈嶅姟鍚姩鎴愬姛:")
except Exception as e:
logger_system.exception(e)
while True:
- time.sleep(2)
+ try:
+ for code in l2_transaction_data_dict:
+ l2_transaction_data_manager: L2TransactionDataManager = l2_transaction_data_dict[code]
+ try:
+ while True:
+ result = l2_transaction_data_manager.big_buy_order_queue.get(block=False)
+ if result:
+ _queue.put_nowait((code, 0, result))
+ else:
+ break
+ except:
+ pass
+ try:
+ while True:
+ result = l2_transaction_data_manager.big_sell_order_queue.get(block=False)
+ if result:
+ _queue.put_nowait((code, 1, result))
+ else:
+ break
+ except:
+ pass
+ except:
+ pass
+ finally:
+ time.sleep(1)
-
-if __name__ == "__main__":
- run({"000009", "601618"})
- input()
--
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