From 3a87b1c89a76d858e8e7e4e54ff360dc0b8670f5 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期四, 11 九月 2025 16:27:20 +0800
Subject: [PATCH] L撤删除L前撤单与L后后半段撤单
---
huaxin_client/l2_client_test.py | 18 +++++++++---------
1 files changed, 9 insertions(+), 9 deletions(-)
diff --git a/huaxin_client/l2_client_test.py b/huaxin_client/l2_client_test.py
index d6f4ddc..ad0e818 100644
--- a/huaxin_client/l2_client_test.py
+++ b/huaxin_client/l2_client_test.py
@@ -33,7 +33,7 @@
g_SubBondMarketData = False
g_SubBondTransaction = False
g_SubBondOrderDetail = False
-set_codes_data_queue = queue.Queue(maxsize=10240)
+set_codes_data_queue = queue.Queue(maxsize=102400)
market_code_dict = {}
ENABLE_NGST = True
@@ -53,10 +53,10 @@
self.__big_accurate_sell_order_dict = {}
self.__latest_sell_order = None
self.__big_sell_orders = []
- self.big_accurate_buy_order_queue = queue.Queue(maxsize=10240)
- self.big_accurate_sell_order_queue = queue.Queue(maxsize=10240)
- self.big_buy_order_queue = queue.Queue(maxsize=10240)
- self.big_sell_order_queue = queue.Queue(maxsize=10240)
+ self.big_accurate_buy_order_queue = queue.Queue(maxsize=102400)
+ self.big_accurate_sell_order_queue = queue.Queue(maxsize=102400)
+ self.big_buy_order_queue = queue.Queue(maxsize=102400)
+ self.big_sell_order_queue = queue.Queue(maxsize=102400)
self.accurate_buy = accurate_buy
self.__last_accurate_buy_count = 0
self.__last_accurate_sell_count = 0
@@ -171,7 +171,7 @@
self.__latest_buy_order[3] = order_time
self.__latest_buy_order[4] = price
else:
- if self.__latest_buy_order[2] > 1e6:
+ if self.__latest_buy_order[2] >= big_order_money_threshold:
d = (self.__latest_buy_order[0], self.__latest_buy_order[1], self.__latest_buy_order[2],
self.__latest_buy_order[3], self.__latest_buy_order[4])
self.__big_buy_orders.append(d)
@@ -187,7 +187,7 @@
self.__latest_sell_order[3] = order_time
self.__latest_sell_order[4] = price
else:
- if self.__latest_sell_order[2] > 1e6:
+ if self.__latest_sell_order[2] > big_order_money_threshold:
d = (self.__latest_sell_order[0], self.__latest_sell_order[1], self.__latest_sell_order[2],
self.__latest_sell_order[3], self.__latest_sell_order[4])
self.__big_sell_orders.append(d)
@@ -327,7 +327,7 @@
if item["SecurityID"] not in l2_transaction_data_dict:
l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"], item[
"SecurityID"] in self.special_codes)
- l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item, big_order_money_threshold=60e4)
def OnRtnNGTSTick(self, pTick):
"""
@@ -347,7 +347,7 @@
if item["SecurityID"] not in l2_transaction_data_dict:
l2_transaction_data_dict[item["SecurityID"]] = L2TransactionDataManager(item["SecurityID"], item[
"SecurityID"] in self.special_codes)
- l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item)
+ l2_transaction_data_dict[item["SecurityID"]].add_transaction_data(item, big_order_money_threshold=60e4)
except Exception as e:
logger_local_huaxin_l2_subscript.exception(e)
--
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