From 58c7388c1979c13bdf84db0f53ff7ab5c34e15ca Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期二, 16 四月 2024 15:29:57 +0800
Subject: [PATCH] 被动卖成交数据处理优化
---
l2/place_order_single_data_manager.py | 62 +++++++++++++++----------------
1 files changed, 30 insertions(+), 32 deletions(-)
diff --git a/l2/place_order_single_data_manager.py b/l2/place_order_single_data_manager.py
index 790b2c4..0fa7842 100644
--- a/l2/place_order_single_data_manager.py
+++ b/l2/place_order_single_data_manager.py
@@ -1,6 +1,8 @@
"""
涓嬪崟淇″彿绠＄悊
"""
+import time
+
from l2 import l2_log
from l2.huaxin import l2_huaxin_util
from log_module.log import logger_l2_trade_buy, logger_debug
@@ -62,7 +64,7 @@
break
@classmethod
- def process_passive_limit_up_sell_data(cls, data):
+ def process_passive_limit_up_sell_data(cls, code, datas, limit_up_price):
"""
娣诲姞娑ㄥ仠琚姩鍗栨垚浜ゆ暟鎹�
@param data: 鏁版嵁鏍煎紡锛�(data['SecurityID'], data['TradePrice'], data['TradeVolume'],
@@ -71,41 +73,37 @@
@return:
"""
try:
- # 闇�瑕佸垽鏂綋鍓嶅崟鏄惁宸茬粡鎴愪氦瀹屾垚
- code = data[0]
- sell_no = data[7]
- if code not in cls.__latest_sell_data:
- cls.__latest_sell_data[code] = [sell_no, data[2]]
- else:
- if cls.__latest_sell_data[code][0] == sell_no:
- cls.__latest_sell_data[code][1] += data[2]
- else:
- cls.__latest_sell_data[code] = [sell_no, data[2]]
- # 鍒ゆ柇鏄惁鏄渶鍚庝竴绗斿崠鍗�
- # l2_log.info(code, logger_l2_trade_buy, f"琚姩鍗栨暟鎹細{data}")
-
- # 鍒ゆ柇杩欎釜璁㈠崟鍙锋槸鍚︽垚浜ゅ畬
+ start_time = time.time()
sell_list = cls.__latest_limit_up_sell_list_dict.get(code)
if not sell_list:
return
sell_info = sell_list[-1]
- # 涓诲姩鍗栬鍗曢泦鍚�
- # active_sell_order_no_set = cls.__active_sell_order_no_set_dict.get(code)
- # if active_sell_order_no_set and sell_info['val']['orderNo'] in active_sell_order_no_set:
- # l2_log.info(code, logger_l2_trade_buy,f"鏈�杩戠殑鍗栨槸涓诲姩鍗�:{sell_info['val']['orderNo']}")
- # return
-
- sell_info_num = sell_info['val']['num']
- deal_num = cls.__latest_sell_data[code][1] // 100
-
- # l2_log.info(code, logger_l2_trade_buy,
- # f"鏈�杩戞定鍋滃崠锛歿sell_info['val']['orderNo']} 鍗栭噺锛歿sell_info_num} 鎴愪氦閲忥細{deal_num}")
- if sell_no == sell_info['val']['orderNo'] and sell_info_num == deal_num:
- # 鎴愪氦瀹屾垚
- L2TradeSingleDataManager.set_latest_sell_data(code, data)
- l2_log.info(code, logger_l2_trade_buy, f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿sell_info['val']['orderNo']}, 鍙互瑙﹀彂涓嬪崟")
-
- # l2_log.info(code, logger_l2_trade_buy, f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿data['val']['orderNo']}, 鍙互瑙﹀彂涓嬪崟")
+ for data in datas:
+ if data[6] < data[7] or data[1] != limit_up_price:
+ # 鎺掗櫎涓诲姩鍗�/闈炴定鍋滃崠
+ continue
+ sell_no = data[7]
+ if sell_no != sell_info['val']['orderNo']:
+ continue
+ # 闇�瑕佸垽鏂綋鍓嶅崟鏄惁宸茬粡鎴愪氦瀹屾垚
+ if code not in cls.__latest_sell_data:
+ cls.__latest_sell_data[code] = [sell_no, data[2]]
+ else:
+ if cls.__latest_sell_data[code][0] == sell_no:
+ cls.__latest_sell_data[code][1] += data[2]
+ else:
+ cls.__latest_sell_data[code] = [sell_no, data[2]]
+ sell_info_num = sell_info['val']['num']
+ deal_num = cls.__latest_sell_data[code][1] // 100
+ if sell_info_num == deal_num:
+ use_time = round((time.time() - start_time) * 1000, 3)
+ l2_log.info(code, logger_l2_trade_buy,
+ f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿sell_info['val']['orderNo']}, 璁＄畻鑰楁椂锛歿use_time}ms, 鍙互瑙﹀彂涓嬪崟")
+ # 鎴愪氦瀹屾垚
+ L2TradeSingleDataManager.set_latest_sell_data(code, data)
+ l2_log.info(code, logger_l2_trade_buy, "琚姩鍗栨暟鎹鐞嗗畬姣�")
+ break
+ # l2_log.info(code, logger_l2_trade_buy, f"鎵惧埌鏈�杩戠殑琚姩娑ㄥ仠鍗栧崟鏁版嵁锛歿data['val']['orderNo']}, 鍙互瑙﹀彂涓嬪崟")
except Exception as e:
logger_debug.exception(e)
--
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