From e1788016750ad6ec1dfc28a4e6948ecaf5b326e4 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 22 二月 2024 16:03:30 +0800
Subject: [PATCH] 影子单价格修改/消息日志添加/成交太快撤单
---
huaxin_client/l2_data_manager.py | 15 +++++++--------
1 files changed, 7 insertions(+), 8 deletions(-)
diff --git a/huaxin_client/l2_data_manager.py b/huaxin_client/l2_data_manager.py
index 862f347..b8c91e3 100644
--- a/huaxin_client/l2_data_manager.py
+++ b/huaxin_client/l2_data_manager.py
@@ -43,29 +43,30 @@
self.l2_transaction_codes = set()
# 璁剧疆璁㈠崟杩囨护鏉′欢
- def set_order_fileter_condition(self, code, min_volume, limit_up_price, special_volumes=None,
+ # special_price:杩囨护鐨�1鎵嬬殑浠锋牸
+ def set_order_fileter_condition(self, code, min_volume, limit_up_price, special_price, special_volumes=None,
special_volumes_expire_time=None):
if special_volumes is None:
special_volumes = set()
if code in self.filter_order_condition_dict and not special_volumes and not special_volumes_expire_time:
- self.filter_order_condition_dict[code][0] = (min_volume, limit_up_price)
+ self.filter_order_condition_dict[code][0] = (min_volume, limit_up_price, special_price)
huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
f"({code})甯歌杩囨护鏉′欢璁剧疆锛歿self.filter_order_condition_dict[code]}")
else:
- self.filter_order_condition_dict[code] = [(min_volume, limit_up_price), special_volumes,
+ self.filter_order_condition_dict[code] = [(min_volume, limit_up_price, special_price), special_volumes,
special_volumes_expire_time]
huaxin_l2_log.info(logger_local_huaxin_l2_subscript,
f"({code})涓嬪崟鍚庤繃婊ゆ潯浠惰缃細{self.filter_order_condition_dict[code]}")
# 杩囨护璁㈠崟
def __filter_order(self, item):
- # if item[2] == 100 and item[3] == '1':
- # # 涓嶈繃婊や拱1鎵�
- # return item
filter_condition = self.filter_order_condition_dict.get(item[0])
if filter_condition:
# item[2]涓洪噺
if item[2] >= filter_condition[0][0]:
+ return item
+ # 1鎵嬬殑涔板崟婊¤冻浠锋牸
+ if item[2] == 100 and item[3] == '1' and abs(filter_condition[0][2] - item[1]) < 0.001:
return item
if filter_condition[1] and item[2] in filter_condition[1]:
if filter_condition[2] and time.time() > filter_condition[2]:
@@ -73,8 +74,6 @@
filter_condition[1] = set()
filter_condition[2] = None
return None
- return item
- elif item[2] == 100 and item[3] == '1':
return item
return None
return item
--
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