From 69c26b43a88ced7a18a637ea6dd120671382deb0 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 19 九月 2024 00:46:04 +0800
Subject: [PATCH] bug修复
---
huaxin_client/l2_client.py | 36 ++++++++++++++++++++++++------------
1 files changed, 24 insertions(+), 12 deletions(-)
diff --git a/huaxin_client/l2_client.py b/huaxin_client/l2_client.py
index 8aee8e7..c10377f 100644
--- a/huaxin_client/l2_client.py
+++ b/huaxin_client/l2_client.py
@@ -296,24 +296,36 @@
FirstLevelSellOrderVolumes):
# 浼犲叆锛氭椂闂达紝鐜颁环,鎴愪氦鎬婚噺,涔�1锛屼拱2锛屼拱3,涔�4,涔�5,鍗�1,鍗�2,鍗�3,鍗�4,鍗�5
try:
+ buys = [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
+ (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
+ (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
+ (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
+ (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])]
+ for i in range(6, 11):
+ if not pDepthMarketData[f"BidVolume{i}"]:
+ break
+ buys.append((pDepthMarketData[f'BidPrice{i}'], pDepthMarketData[f'BidVolume{i}']))
+
+ sells = [
+ (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
+ (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
+ (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
+ (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
+ (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
+ ]
+ for i in range(6, 11):
+ if not pDepthMarketData[f"AskVolume{i}"]:
+ break
+ sells.append((pDepthMarketData[f'AskPrice{i}'], pDepthMarketData[f'AskVolume{i}']))
+
d = {"dataTimeStamp": pDepthMarketData['DataTimeStamp'], "securityID": pDepthMarketData['SecurityID'],
"lastPrice": pDepthMarketData['LastPrice'],
"totalVolumeTrade": pDepthMarketData['TotalVolumeTrade'],
"totalValueTrade": pDepthMarketData['TotalValueTrade'],
"totalAskVolume": pDepthMarketData['TotalAskVolume'],
"avgAskPrice": pDepthMarketData["AvgAskPrice"],
- "buy": [(pDepthMarketData['BidPrice1'], pDepthMarketData['BidVolume1']),
- (pDepthMarketData['BidPrice2'], pDepthMarketData['BidVolume2']),
- (pDepthMarketData['BidPrice3'], pDepthMarketData['BidVolume3']),
- (pDepthMarketData['BidPrice4'], pDepthMarketData['BidVolume4']),
- (pDepthMarketData['BidPrice5'], pDepthMarketData['BidVolume5'])],
- "sell": [
- (pDepthMarketData['AskPrice1'], pDepthMarketData['AskVolume1']),
- (pDepthMarketData['AskPrice2'], pDepthMarketData['AskVolume2']),
- (pDepthMarketData['AskPrice3'], pDepthMarketData['AskVolume3']),
- (pDepthMarketData['AskPrice4'], pDepthMarketData['AskVolume4']),
- (pDepthMarketData['AskPrice5'], pDepthMarketData['AskVolume5'])
- ]}
+ "buy": buys,
+ "sell": sells}
market_code_dict[pDepthMarketData['SecurityID']] = time.time()
self.l2_data_upload_manager.add_market_data(d)
except:
--
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