From 5715545bec1d88fe9cc4ea79db0a5d1148694590 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 14 十一月 2023 14:35:54 +0800
Subject: [PATCH] L2数据后置过滤
---
huaxin_client/l2_client.py | 99 ++++++++++++++++++++++++++-----------------------
1 files changed, 52 insertions(+), 47 deletions(-)
diff --git a/huaxin_client/l2_client.py b/huaxin_client/l2_client.py
index 8cb0f78..e4f135d 100644
--- a/huaxin_client/l2_client.py
+++ b/huaxin_client/l2_client.py
@@ -65,7 +65,7 @@
# 涔板叆鐨勫ぇ鍗曡鍗曞彿
- def __init__(self, api, l2_data_upload_manager):
+ def __init__(self, api, l2_data_upload_manager: L2DataUploadManager):
lev2mdapi.CTORATstpLev2MdSpi.__init__(self)
self.__api = api
self.is_login = False
@@ -131,6 +131,7 @@
code = d[0]
codes.add(code)
self.codes_volume_and_price_dict[code] = (d[1], d[2])
+ self.l2_data_upload_manager.set_order_fileter_condition(code, d[1], d[2])
add_codes = codes - self.subscripted_codes
del_codes = self.subscripted_codes - codes
print("add del codes", add_codes, del_codes)
@@ -183,7 +184,11 @@
def set_code_special_watch_volume(self, code, volume):
# 鏈夋晥鏈熶负3s
- self.special_code_volume_for_order_dict[code] = (volume, time.time() + 3)
+ # self.special_code_volume_for_order_dict[code] = (volume, time.time() + 3)
+ min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
+ self.l2_data_upload_manager.set_order_fileter_condition(code, min_volume,limit_up_price,
+ {volume, constant.SHADOW_ORDER_VOLUME}, time.time() + 3)
+
async_log_util.info(logger_local_huaxin_l2_subscript, f"璁剧疆涓嬪崟閲忕洃鍚細{code}-{volume}")
def OnFrontConnected(self):
@@ -299,15 +304,15 @@
def OnRtnTransaction(self, pTransaction):
code = str(pTransaction['SecurityID'])
- min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
+ # min_volume, limit_up_price = self.codes_volume_and_price_dict.get(code)
# 杈撳嚭閫愮瑪鎴愪氦鏁版嵁
if pTransaction['ExecType'] == b"2":
- if min_volume is None:
- # 榛樿绛涢��50w
- if pTransaction['TradePrice'] * pTransaction['Volume'] < 500000:
- return
- elif pTransaction['TradeVolume'] < min_volume:
- return
+ # if min_volume is None:
+ # # 榛樿绛涢��50w
+ # if pTransaction['TradePrice'] * pTransaction['Volume'] < 500000:
+ # return
+ # elif pTransaction['TradeVolume'] < min_volume:
+ # return
# 鎾ゅ崟
item = {"SecurityID": pTransaction['SecurityID'], "Price": pTransaction['TradePrice'],
"Volume": pTransaction['TradeVolume'],
@@ -327,45 +332,45 @@
item["Side"] = "2"
self.l2_data_upload_manager.add_l2_order_detail(item, 0, True)
else:
- if abs(pTransaction['TradePrice'] - limit_up_price) < 0.201:
- # 娑ㄥ仠浠�
- # 鎴愪氦
- item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
- "TradeVolume": pTransaction['TradeVolume'],
- "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
- "SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
- "SellNo": pTransaction['SellNo'],
- "ExecType": pTransaction['ExecType'].decode()}
- # 鏆傛椂娉ㄩ噴鎺夊悓1鍗曞彿鑷冲涓婁紶1娆�
- # 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)
- self.l2_data_upload_manager.add_transaction_detail(item)
+ # if abs(pTransaction['TradePrice'] - limit_up_price) < 0.201:
+ # 娑ㄥ仠浠�
+ # 鎴愪氦
+ item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
+ "TradeVolume": pTransaction['TradeVolume'],
+ "OrderTime": pTransaction['TradeTime'], "MainSeq": pTransaction['MainSeq'],
+ "SubSeq": pTransaction['SubSeq'], "BuyNo": pTransaction['BuyNo'],
+ "SellNo": pTransaction['SellNo'],
+ "ExecType": pTransaction['ExecType'].decode()}
+ # 鏆傛椂娉ㄩ噴鎺夊悓1鍗曞彿鑷冲涓婁紶1娆�
+ # 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)
+ 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
+ # 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'],
@@ -374,7 +379,7 @@
"OrderTime": pOrderDetail['OrderTime'], "MainSeq": pOrderDetail['MainSeq'],
"SubSeq": pOrderDetail['SubSeq'], "OrderNO": pOrderDetail['OrderNO'],
"OrderStatus": pOrderDetail['OrderStatus'].decode()}
- self.l2_data_upload_manager.add_l2_order_detail(item, start_time)
+ self.l2_data_upload_manager.add_l2_order_detail(item, 0)
def OnRtnBondMarketData(self, pDepthMarketData, FirstLevelBuyNum, FirstLevelBuyOrderVolumes, FirstLevelSellNum,
FirstLevelSellOrderVolumes):
--
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