From 2f2516749615da866e96d8d24e499b7ecbb63a3e Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 23 六月 2025 12:28:52 +0800
Subject: [PATCH] 默认交易模式变更/真实下单位置计算位置修改
---
l2/l2_data_util.py | 85 +++++++++++++++++++++++++++++++-----------
1 files changed, 62 insertions(+), 23 deletions(-)
diff --git a/l2/l2_data_util.py b/l2/l2_data_util.py
index 8f0e173..e12f024 100644
--- a/l2/l2_data_util.py
+++ b/l2/l2_data_util.py
@@ -33,6 +33,9 @@
# 涔板叆璁㈠崟鍙锋槧灏�,鍙湁鍘熺敓鐨凩2鏁版嵁鎵嶆湁
local_today_buyno_map = {}
+# 鍗栧嚭璁㈠崟鍙锋槧灏勶紝鍙湁鍘熺敓鐨凩2鏁版嵁鎵嶆湁
+local_today_sellno_map = {}
+
# 宸茬粡鎾ゅ崟鐨勮鍗曞彿
local_today_canceled_buyno_map = {}
@@ -74,9 +77,43 @@
# 鏍规嵁浠婃棩鏁版嵁鍔犺浇
load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force)
load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code), force)
+ load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code), force)
load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code), force)
return data_normal
return True
+
+
+# L2鏁版嵁鏄惁姝ｅ父
+def l2_data_is_normal(code):
+ datas = local_today_datas.get(code)
+ if not datas:
+ # 鍒濆鍖�
+ local_today_datas[code] = []
+ load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code))
+ load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code))
+ load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code))
+ load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code))
+
+ if datas and len(datas) != datas[-1]["index"] + 1:
+ return False
+ return True
+
+
+# 鍔犺浇鎵�鏈夌殑l2鏁版嵁
+def load_l2_data_all(force=False):
+ datas = log_export.load_l2_from_log()
+ for code in datas:
+ if force:
+ local_today_datas[code] = datas[code]
+ else:
+ if code not in local_today_datas:
+ local_today_datas[code] = datas[code]
+ load_num_operate_map(local_today_num_operate_map, code, local_today_datas.get(code), force)
+ load_buy_no_map(local_today_buyno_map, code, local_today_datas.get(code), force)
+ load_sell_no_map(local_today_sellno_map, code, local_today_datas.get(code), force)
+ load_canceled_buy_no_map(local_today_canceled_buyno_map, code, local_today_datas.get(code), force)
+
+ constant.L2_DATA_IS_LOADED = True
# 灏嗘暟鎹牴鎹畁um-operate鍒嗙被
@@ -110,6 +147,25 @@
key = "{}".format(data["val"]["orderNo"])
if local_today_buyno_map[code].get(key) is None:
local_today_buyno_map[code].setdefault(key, data)
+
+
+# 灏嗘暟鎹牴鎹畂rderNo鍒嗙被,鍘熺敓鏁版嵁鎵嶆湁
+def load_sell_no_map(local_today_sellno_map, code, source_datas, clear=False):
+ # 鍙湁鍘熺敓L2鏁版嵁鎵嶄細鏈夋鎿嶄綔
+ if constant.L2_SOURCE_TYPE != constant.L2_SOURCE_TYPE_HUAXIN:
+ return
+ if local_today_sellno_map.get(code) is None:
+ local_today_sellno_map[code] = {}
+ if clear:
+ local_today_sellno_map[code] = {}
+
+ for data in source_datas:
+ if data["val"]["operateType"] != 2:
+ continue
+ # 鍙～鍏呬拱鍏ユ暟鎹�
+ key = "{}".format(data["val"]["orderNo"])
+ if local_today_sellno_map[code].get(key) is None:
+ local_today_sellno_map[code].setdefault(key, data)
# 灏嗘暟鎹牴鎹畂rderNo鍒嗙被宸叉挙璁㈠崟,鍘熺敓鏁版嵁鎵嶆湁
@@ -239,33 +295,12 @@
return False
-# 鏄惁涓哄ぇ鍗�
-def is_big_money(val):
- price = float(val["price"])
- money = price * int(val["num"])
- if price > 3.0:
- if money >= 29900:
- return True
- else:
- return False
- else:
- max_money = price * 10000
- if money >= max_money * 0.95:
- return True
- else:
- return False
-
-
class L2DataUtil:
@classmethod
def is_same_time(cls, time1, time2):
if constant.TEST:
return True
- time1_s = time1.split(":")
- time1_second = int(time1_s[0]) * 3600 + int(time1_s[1]) * 60 + int(time1_s[2])
- time2_s = time2.split(":")
- time2_second = int(time2_s[0]) * 3600 + int(time2_s[1]) * 60 + int(time2_s[2])
- if abs(time2_second - time1_second) < 3:
+ if abs(tool.trade_time_sub(time1, time2)) < 3:
return True
else:
return False
@@ -467,6 +502,10 @@
fs = sub_s * 1000 + sub_ms
return fs
+ @classmethod
+ def get_time_with_ms(cls, val):
+ return val["time"] + "." + "{:0>3}".format(int(val["tms"]))
+
class L2TradeQueueUtils(object):
# 涔板叆鏁版嵁鏄惁宸叉挙
@@ -581,4 +620,4 @@
if __name__ == "__main__":
- print(L2DataUtil.time_sub_as_ms({"time": "13:00:00", "time_ms": "980"}, {"time": "11:29:59", "time_ms": "590"}))
+ print(L2DataUtil.time_sub_as_ms({"time": "09:46:05", "tms": 480}, {"time": "09:46:04", "tms": 90}))
--
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