From c170fbd2d1cbc15d5b07cc5cdffb3e8c43901785 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 14 三月 2025 18:46:23 +0800
Subject: [PATCH] 新版下单逐笔成交数据处理
---
l2/l2_transaction_data_manager.py | 60 ++++++++----------------------------------------------------
1 files changed, 8 insertions(+), 52 deletions(-)
diff --git a/l2/l2_transaction_data_manager.py b/l2/l2_transaction_data_manager.py
index 3878edc..f5d458a 100644
--- a/l2/l2_transaction_data_manager.py
+++ b/l2/l2_transaction_data_manager.py
@@ -337,13 +337,11 @@
# 缁熻鎵�鏈夌殑鎴愪氦閲�
__deal_volume_list_dict = {}
- # 缁熻娑ㄥ仠涓诲姩涔扮殑鎴愪氦閲�
- __deal_active_buy_volume_list_dict = {}
@classmethod
- def statistic_total_deal_volume(cls, code, fdatas, limit_up_price):
+ def statistic_active_sell_deal_volume(cls, code, fdatas, limit_up_price):
"""
- 缁熻鎬诲叡鐨勬垚浜ら噺
+ 缁熻涓诲姩鍗栨垚浜�
@param code:
@param fdatas: [(鏁版嵁鏈韩, 鏄惁涓诲姩涔�, 鏄惁娑ㄥ仠, 鎬绘垚浜ら, 涓嶅惈ms鏃堕棿锛屽惈ms鏃堕棿)]
@param limit_up_price:
@@ -352,7 +350,9 @@
# 鍙粺璁¤鍔ㄤ拱
if code not in cls.__deal_volume_list_dict:
cls.__deal_volume_list_dict[code] = []
-
+ # 涓轰簡鍔犻�熷鐞嗭紝濡傛灉绗竴鏉℃暟鎹拰鏈�鍚庝竴鏉℃暟鎹兘鏄富鍔ㄤ拱灏辫繑鍥�
+ if fdatas[0][1] and fdatas[-1][1]:
+ return
for d in fdatas:
# 鍙粺璁¤鍔ㄤ拱
if d[1]:
@@ -370,33 +370,6 @@
# 鍒犻櫎瓒呰繃5鏉℃暟鎹�
if len(cls.__deal_volume_list_dict[code]) > 5:
cls.__deal_volume_list_dict[code] = cls.__deal_volume_list_dict[code][-5:]
-
- try:
- # 缁熻涓诲姩涔扮殑鎴愪氦閲�
- if code not in cls.__deal_active_buy_volume_list_dict:
- cls.__deal_active_buy_volume_list_dict[code] = []
- for d in fdatas:
- # 鍙粺璁′富鍔ㄤ拱
- if not d[1]:
- continue
- # 鍙粺璁℃定鍋滀拱
- if not d[2]:
- continue
- time_str = d[4]
- if cls.__deal_active_buy_volume_list_dict[code]:
- if cls.__deal_active_buy_volume_list_dict[code][-1][0] == time_str:
- # 濡傛灉鏄悓涓�绉�
- cls.__deal_active_buy_volume_list_dict[code][-1][1] += d[0][2]
- else:
- # 涓嶆槸鍚屼竴绉�
- cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
- else:
- cls.__deal_active_buy_volume_list_dict[code].append([time_str, d[0][2]])
- # 鍒犻櫎瓒呰繃10鏉℃暟鎹�
- if len(cls.__deal_active_buy_volume_list_dict[code]) > 10:
- cls.__deal_active_buy_volume_list_dict[code] = cls.__deal_active_buy_volume_list_dict[code][-10:]
- except:
- pass
@classmethod
def get_latest_3s_continue_deal_volumes(cls, code):
@@ -432,23 +405,6 @@
fdatas.append(deal_list[i])
return fdatas
- @classmethod
- def get_latest_6s_active_buy_deal_volumes(cls, code):
- """
- 鑾峰彇鏈�杩�6s鐨勪富鍔ㄤ拱鎴愪氦
- @param code:
- @return: [(鏃堕棿,閲�)]
- """
- deal_list = cls.__deal_active_buy_volume_list_dict.get(code)
- if not deal_list:
- return []
- latest_time = deal_list[-1][0]
- fdatas = []
- # 浠庡�掓暟绗簩涓暟鎹绠�
- for i in range(len(deal_list) - 1, -1, -1):
- if tool.trade_time_sub(latest_time, deal_list[i][0]) < 6:
- fdatas.append(deal_list[i])
- return fdatas
@classmethod
def clear_latest_deal_volume(cls, code):
@@ -457,8 +413,9 @@
# 杩斿洖鏈�杩�1s鐨勫ぇ鍗曞崠锛�(鎬诲崠閲戦,[(鍗栧崟鍙�,鎬绘墜鏁�,浠锋牸,锛�'寮�濮嬫椂闂�',涔板崟鍙凤級,锛�'缁撴潫鏃堕棿',涔板崟鍙凤級),...])
@classmethod
- def add_transaction_datas(cls, code, fdatas, limit_up_price=None):
+ def statistic_continue_limit_up_sell_transaction_datas(cls, code, fdatas, limit_up_price=None):
"""
+ 缁熻杩炵画娑ㄥ仠鍗栨垚浜ょ殑鏁版嵁
@param code:
@param fdatas: [(鏁版嵁鏈韩, 鏄惁涓诲姩涔�, 鏄惁娑ㄥ仠, 鎬绘垚浜ら, 涓嶅惈ms鏃堕棿锛屽惈ms鏃堕棿)]
@param limit_up_price:
@@ -488,8 +445,7 @@
__start_time = time.time()
# 鏄惁杩樻湁娑ㄥ仠鍗栧墿涓�
- no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas,
- limit_up_price)
+ no_left_limit_up_sell = L2TradeSingleDataProcessor.process_passive_limit_up_sell_data(code, fdatas)
use_time = time.time() - __start_time
__start_time = time.time()
use_time_list.append(("澶勭悊娑ㄥ仠鍗�", use_time))
--
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