From e355406604ed8a2c9576322b68546e5721e1c141 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 19 五月 2025 17:14:05 +0800
Subject: [PATCH] L2成交大单提取
---
huaxin_client/l2_client_test.py | 23 +++++++++++++----------
1 files changed, 13 insertions(+), 10 deletions(-)
diff --git a/huaxin_client/l2_client_test.py b/huaxin_client/l2_client_test.py
index 92fece3..447bff5 100644
--- a/huaxin_client/l2_client_test.py
+++ b/huaxin_client/l2_client_test.py
@@ -67,9 +67,10 @@
def get_big_sell_orders(self):
return self.__big_sell_orders
- def add_transaction_data_for_accurate(self, item):
+ def add_transaction_data_for_accurate(self, item, big_order_money_threshold=299e4):
"""
鑾峰彇绮剧‘鐨勪拱鍗曚俊鎭�
+ @param big_order_money_threshold: 澶у崟闃堝��
@param data:
@return:
"""
@@ -77,13 +78,14 @@
def format_timestamp(timestamp):
time_str = str(timestamp)
return int(time_str[:5] if time_str[0] == '9' else time_str[:6])
+
money = round(item[2] * item[3])
volume = item[3]
price = item[2]
order_time = item[4]
if item[0] not in self.__big_accurate_buy_order_dict:
- # (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�)
- self.__big_accurate_buy_order_dict[item[0]] = [item[0], 0, 0, order_time, price]
+ # (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�, 寮�濮嬫垚浜ゆ椂闂�, 寮�濮嬫垚浜や环鏍�)
+ self.__big_accurate_buy_order_dict[item[0]] = [item[0], 0, 0, order_time, price, order_time, price]
buy_order_info = self.__big_accurate_buy_order_dict[item[0]]
buy_order_info[1] += volume
buy_order_info[2] += money
@@ -94,7 +96,7 @@
# 鏈夊彲鑳芥槸澶у崟鎴愪氦瀹屾垚锛� 鍒ゆ柇涓婁釜璁㈠崟鏄惁鏄ぇ鍗�
last_buy_order = self.__big_accurate_buy_order_dict.get(self.__latest_buy_order[0])
- if last_buy_order[2] > 299e4:
+ if last_buy_order[2] > big_order_money_threshold:
self.big_accurate_buy_order_queue.put_nowait(last_buy_order)
# 濡傛灉鏁版嵁杩囧闇�瑕佺Щ闄よ繃闀挎椂闂寸殑灏忛噾棰濇暟鎹�
@@ -115,8 +117,8 @@
# 缁熻鍗栧崟
if item[1] not in self.__big_accurate_sell_order_dict:
- # (鍗栧崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�)
- self.__big_accurate_sell_order_dict[item[1]] = [item[1], 0, 0, order_time, price]
+ # (鍗栧崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�, 寮�濮嬫垚浜ゆ椂闂�, 寮�濮嬫垚浜や环鏍�)
+ self.__big_accurate_sell_order_dict[item[1]] = [item[1], 0, 0, order_time, price, order_time, price]
sell_order_info = self.__big_accurate_sell_order_dict[item[1]]
sell_order_info[1] += volume
sell_order_info[2] += money
@@ -125,14 +127,15 @@
if self.__latest_sell_order and self.__latest_sell_order[0] != item[1]:
# 鏈夊彲鑳芥槸澶у崟鎴愪氦瀹屾垚锛� 鍒ゆ柇涓婁釜璁㈠崟鏄惁鏄ぇ鍗�
last_sell_order = self.__big_accurate_sell_order_dict.get(self.__latest_sell_order[0])
- if last_sell_order[2] > 299e4:
+ if last_sell_order[2] > big_order_money_threshold:
self.big_accurate_sell_order_queue.put_nowait(last_sell_order)
# 濡傛灉鏁版嵁杩囧闇�瑕佺Щ闄よ繃闀挎椂闂寸殑灏忛噾棰濇暟鎹�
accurate_sell_count = len(self.__big_accurate_sell_order_dict.keys())
if accurate_sell_count > 10000 and accurate_sell_count - self.__last_accurate_sell_count > 2000:
# 瓒呰繃1w鏉℃暟鎹笖鏂板2000鏉℃暟鎹�
# 瓒呰繃1w鏉℃暟鎹氨瑕佺Щ闄�30鍒嗛挓涔嬪墠鐨勬暟鎹�
- now_time_int = int(tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
+ now_time_int = int(
+ tool.trade_time_add_second(l2_huaxin_util.convert_time(order_time), -3600).replace(":", ""))
try:
remove_order_nos = [x for x in self.__big_accurate_sell_order_dict if
now_time_int > format_timestamp(
@@ -143,7 +146,7 @@
finally:
self.__last_accurate_sell_count = len(self.__big_accurate_sell_order_dict.keys())
- def add_transaction_data(self, data):
+ def add_transaction_data(self, data, big_order_money_threshold=299e4):
item = (data["BuyNo"], data["SellNo"], data["TradePrice"], data["TradeVolume"], data["OrderTime"])
# item = {"SecurityID": pTransaction['SecurityID'], "TradePrice": pTransaction['TradePrice'],
# "TradeVolume": pTransaction['TradeVolume'],
@@ -157,7 +160,7 @@
order_time = item[4]
if self.accurate_buy:
- self.add_transaction_data_for_accurate(item)
+ self.add_transaction_data_for_accurate(item, big_order_money_threshold=big_order_money_threshold)
if not self.__latest_buy_order:
# (涔板崟鍙�, 閲�, 閲戦, 鏃堕棿, 鏈�鏂版垚浜や环鏍�)
--
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