From cbe19ea6066a600cbd0b5110db5d43f8252d14a8 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 13 六月 2024 11:23:53 +0800
Subject: [PATCH] L撤成交进度相关改进
---
l2/l2_data_source_util.py | 151 +++++++++++++++++++++++++++++++++++++++++---------
1 files changed, 124 insertions(+), 27 deletions(-)
diff --git a/l2/l2_data_source_util.py b/l2/l2_data_source_util.py
index 14dfdb9..dab8a19 100644
--- a/l2/l2_data_source_util.py
+++ b/l2/l2_data_source_util.py
@@ -1,7 +1,9 @@
"""
L2鏁版嵁婧簮
"""
-import tool
+import constant
+from log_module.log import logger_l2_error
+from utils import tool
class L2DataSourceUtils(object):
@@ -19,13 +21,13 @@
cls.__buy_and_cancel_map[code][buy_index] = cancel_index
@classmethod
- def __get_cancel_index(cls, code, buy_index):
+ def __get_cancel_index_cache(cls, code, buy_index):
if code not in cls.__buy_and_cancel_map:
return None
return cls.__buy_and_cancel_map[code].get(buy_index)
@classmethod
- def __get_buy_index(cls, code, cancel_index):
+ def __get_buy_index_cache(cls, code, cancel_index):
if code not in cls.__cancel_and_buy_map:
return None
return cls.__cancel_and_buy_map[code].get(cancel_index)
@@ -52,35 +54,33 @@
# 灏忔椂
return __time * 3600, (__time + 1) * 3600
- # 鏍规嵁涔版挙鏁版嵁(涓庝粖鏃ユ�荤殑鏁版嵁)璁＄畻涔板叆鏁版嵁
+ # 鍗庨懌娓犻亾鐨凩2锛屾牴鎹拱鎾ゆ暟鎹煡鎵句拱鍏ユ暟鎹�
@classmethod
- def get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
- key = "{}-{}-{}".format(cancel_data["val"]["num"], "1", cancel_data["val"]["price"])
- cancel_datas = local_today_num_operate_map.get(key)
- try:
- cancel_datas.sort(key=lambda t: t["index"])
- except Exception as e:
- print("娴嬭瘯")
- for item in cancel_datas:
- cls.__get_buy_index_with_cancel_data(code, item, local_today_num_operate_map)
-
- return cls.__get_buy_index_with_cancel_data(code, cancel_data, local_today_num_operate_map)
-
- @classmethod
- def __get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
- buy_index = cls.__get_buy_index(code, cancel_data["index"])
- if buy_index is not None:
- return buy_index
-
- min_space, max_space = cls.__compute_time_space_as_second(cancel_data["val"]["cancelTime"],
- cancel_data["val"]["cancelTimeUnit"])
- max_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - min_space)
- min_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - max_space)
+ def __get_buy_index_with_cancel_data_by_huaxin_l2(cls, code, cancel_data, local_today_num_operate_map):
buy_datas = local_today_num_operate_map.get(
"{}-{}-{}".format(cancel_data["val"]["num"], "0", cancel_data["val"]["price"]))
if buy_datas is None:
# 鏃犳暟鎹�
return None
+ # orderNo
+ for bd in buy_datas:
+ # 鏍规嵁璁㈠崟鍙峰仛鍖归厤
+ if bd["val"]["orderNo"] == cancel_data["val"]["orderNo"]:
+ return bd["index"]
+ return None
+
+ # 鍚岃姳椤烘笭閬撶殑L2锛屾牴鎹拱鎾ゆ暟鎹煡鎵句拱鍏ユ暟鎹�
+ @classmethod
+ def __get_buy_index_with_cancel_data_by_ths_l2(cls, code, cancel_data, local_today_num_operate_map):
+ buy_datas = local_today_num_operate_map.get(
+ "{}-{}-{}".format(cancel_data["val"]["num"], "0", cancel_data["val"]["price"]))
+ if buy_datas is None:
+ # 鏃犳暟鎹�
+ return None
+ min_space, max_space = cls.__compute_time_space_as_second(cancel_data["val"]["cancelTime"],
+ cancel_data["val"]["cancelTimeUnit"])
+ max_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - min_space)
+ min_time = tool.trade_time_add_second(cancel_data["val"]["time"], 0 - max_space)
# 鍖归厤鍒扮殑index
suit_indexes = []
for i in range(0, len(buy_datas)):
@@ -91,7 +91,7 @@
if int(data["val"]["num"]) != int(cancel_data["val"]["num"]):
continue
# 濡傛灉鑳芥壘鍒板搴旂殑涔版挙灏遍渶瑕佽繑鍥�
- cancel_index = cls.__get_cancel_index(code, data["index"])
+ cancel_index = cls.__get_cancel_index_cache(code, data["index"])
if cancel_index is not None and cancel_index != cancel_data["index"]:
continue
@@ -110,6 +110,103 @@
return suit_indexes[0]
return None
+ @classmethod
+ def __get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
+ buy_index = cls.__get_buy_index_cache(code, cancel_data["index"])
+ if buy_index is not None:
+ return buy_index
+ if constant.L2_SOURCE_TYPE == constant.L2_SOURCE_TYPE_HUAXIN:
+ return cls.__get_buy_index_with_cancel_data_by_huaxin_l2(code, cancel_data, local_today_num_operate_map)
+ else:
+ return cls.__get_buy_index_with_cancel_data_by_ths_l2(code, cancel_data, local_today_num_operate_map)
+
+ # 鏍规嵁涔版挙鏁版嵁(涓庝粖鏃ユ�荤殑鏁版嵁)璁＄畻涔板叆鏁版嵁
+ @classmethod
+ def get_buy_index_with_cancel_data(cls, code, cancel_data, local_today_num_operate_map):
+ key = "{}-{}-{}".format(cancel_data["val"]["num"], "1", cancel_data["val"]["price"])
+ cancel_datas = local_today_num_operate_map.get(key)
+ if cancel_datas:
+ try:
+ cancel_datas.sort(key=lambda t: t["index"])
+ except Exception as e:
+ print("娴嬭瘯")
+ for item in cancel_datas:
+ # 鎻愬墠鍋氳绠�
+ cls.__get_buy_index_with_cancel_data(code, item, local_today_num_operate_map)
+
+ return cls.__get_buy_index_with_cancel_data(code, cancel_data, local_today_num_operate_map)
+
+ # 鏍规嵁涔版挙鏁版嵁璁＄畻涔板叆鏁版嵁锛堝崕閼師鐢烲2鏁版嵁閫傜敤锛�
+ @classmethod
+ def get_buy_index_with_cancel_data_v2(cls, cancel_data, buyno_map):
+ order_no = str(cancel_data["val"]["orderNo"])
+ buy_data = buyno_map.get(order_no)
+ if buy_data:
+ return buy_data["index"]
+ return None
+
+ # 鑾峰彇娌℃挙鐨勭瑪鏁�
+ @classmethod
+ def get_limit_up_buy_no_canceled_count(cls, code, index, total_data, local_today_num_operate_map):
+ data = None
+ try:
+ data = total_data[index]
+ except Exception as e:
+ logger_l2_error.error(f"鏈壘鍒颁拱鍏ョ储寮曞搴旂殑鏁版嵁锛歩ndex-{index} total_data闀垮害-{len(total_data) if total_data else 0} 閿欒鍘熷洜锛歿str(e)}")
+ val = data["val"]
+ # 鍒ゆ柇褰撳墠涔版槸鍚﹀凡缁忎拱鎾�
+ cancel_datas = local_today_num_operate_map.get(
+ "{}-{}-{}".format(val["num"], "1", val["price"]))
+ canceled = False
+ if cancel_datas:
+ for cancel_data in cancel_datas:
+ buy_index = cls.get_buy_index_with_cancel_data(code, cancel_data, local_today_num_operate_map)
+ if buy_index == index:
+ canceled = True
+ count = data["re"] - cancel_data["re"]
+ if count > 0:
+ return count
+ break
+ if not canceled:
+ count = data["re"]
+ return count
+ return 0
+
+ # 鑾峰彇娌℃挙鐨勭瑪鏁�
+
+ # 鑾峰彇娑ㄥ仠涔版病鏈夋挙鍗曠殑鏁伴噺
+ @classmethod
+ def get_limit_up_buy_no_canceled_count_v2(cls, code, index, total_data, canceled_buyno_map):
+ data = None
+ try:
+ data = total_data[index]
+ except Exception as e:
+ logger_l2_error.error(
+ f"鏈壘鍒颁拱鍏ョ储寮曞搴旂殑鏁版嵁锛歩ndex-{index} total_data闀垮害-{len(total_data) if total_data else 0} 閿欒鍘熷洜锛歿str(e)}")
+ val = data["val"]
+ order_no = str(val["orderNo"])
+ canceled_data = canceled_buyno_map.get(order_no)
+ if canceled_data:
+ return data["re"] - canceled_data["re"]
+ else:
+ return data["re"]
+
+ @classmethod
+ def get_limit_up_buy_canceled_data_v2(cls, code, index, total_data, canceled_buyno_map):
+ data = None
+ try:
+ data = total_data[index]
+ except Exception as e:
+ logger_l2_error.error(
+ f"鏈壘鍒颁拱鍏ョ储寮曞搴旂殑鏁版嵁锛歩ndex-{index} total_data闀垮害-{len(total_data) if total_data else 0} 閿欒鍘熷洜锛歿str(e)}")
+ val = data["val"]
+ order_no = str(val["orderNo"])
+ canceled_data = canceled_buyno_map.get(order_no)
+ if canceled_data:
+ return canceled_data
+ else:
+ return None
+
# if __name__ == "__main__":
# code = "000925"
--
Gitblit v1.8.0