def get_last_price(self, code, log=False):
data = self.market_trades[code][-1]
if log:
local_time = int2datetime(data.nActionDay, data.nLocalTime)
market_time = int2datetime(data.nActionDay, data.nTime)
self.logger.debug('local_time: {}, market_time: {}'.format(
abs(local_time - self.now).seconds,
abs(market_time - self.now).seconds))
return data.nPrice / 10000
def on_market_trade(self, data):
if data.nPrice > 0:
self.market_trades[data.szCode].append(data)
return
if not data.szCode == '002230':
return
if len(self.market_trades[data.szCode]) < 1:
return
self.cur_period = int2datetime(n_date=data.nActionDay,
n_time=data.nTime)
self.market_quantity += data.nVolume
if self.cur_period - self.ordering_start >= self.ordering_interval:
price = self.get_last_price(data.szCode)
units = int(self.market_quantity * self.ordering_ratio / 100)
self.ordering_start = self.cur_period
self.market_quantiy = 0
quantity = min(units * 100, self.ordering_quota)
if quantity > 0:
self.buy(data.szCode, price, quantity)
self.ordering_quota -= quantity
self.logger.info('分批报单 quantiy={}'.format(quantity))
if self.ordering_quota <= 0:
self.logger.warning('报单全部完成')
def on_data(self, data):
if not isinstance(data, str):
self._queue.put(data)
self._store.write_points([{
'measurement':
'market_tick',
'fields':
message2dict(data),
'time':
int2datetime(data.nActionDay, data.nLocalTime)
}])