"""
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数据导出工具
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"""
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import json
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import logging
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import os
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import time
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import xlwt
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import constant
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from code_attribute import gpcode_manager
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import l2.l2_data_util
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from l2.huaxin import l2_huaxin_util
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from log_module import log, log_export
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from l2 import l2_data_source_util
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from log_module.log import logger_debug
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from trade import deal_big_money_manager
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from utils import tool
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# 缓存L2数据，格式：{"日期":{数据}}
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__l2_data_cache = {}
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def export_l2_excel(code, date=None):
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# 获取L2的数据
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fdatas = get_l2_datas(code, date=date)
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__save_l2_datas(code, fdatas)
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# 获取L2的数据
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def get_l2_datas(code, today_datas=None, date=None, max_time=None):
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__start_time = time.time()
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if date is None:
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date = tool.get_now_date_str()
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datas = today_datas
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if datas is None:
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if date in __l2_data_cache:
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local_today_datas = __l2_data_cache.get(date)
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else:
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local_today_datas = log_export.load_l2_from_log(date)
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__l2_data_cache[date] = local_today_datas
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datas = local_today_datas.get(code)
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if not datas:
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datas = []
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process_indexs = log_export.get_l2_process_position(code, date)
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trade_indexs = log_export.get_l2_trade_position(code, date)
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real_position_indexes = log_export.get_real_place_order_positions(code, date)
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deal_list = log_export.load_huaxin_deal_record(code, date)
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deal_list_dict = {}
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for d in deal_list:
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deal_list_dict[str(d[0])] = d
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sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
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sell_nos = sell_no_dict.get(code)
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active_sell_map = log_export.load_huaxin_active_sell_map(date=date)
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active_sell_set = active_sell_map.get(code)
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if not active_sell_set:
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active_sell_set = set()
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fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
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active_sell_set)
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return fdatas
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def get_l2_transaction_datas(code, date=None):
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if date is None:
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date = tool.get_now_date_str()
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sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
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sell_nos = sell_no_dict.get(code)
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fdatas = export_l2_transaction_data(code, sell_nos)
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return fdatas
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def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
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active_sell_nos):
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def find_process_index(index):
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for i in range(0, len(process_indexs)):
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if process_indexs[i][0] <= index <= process_indexs[i][1]:
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return i
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return len(process_indexs)
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def find_trade_index(index):
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for i in range(0, len(trade_indexs)):
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if trade_indexs[i][1] == index:
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return trade_indexs[i]
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return None
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# 数据预处理
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num_operate_map = {}
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l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
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buy_no_map = {}
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sell_no_map = {}
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l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas)
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l2.l2_data_util.load_sell_no_map(sell_no_map, code, datas)
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l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas)
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# num_dict = {}
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# for data in datas:
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# if data["val"]["num"] not in num_dict:
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# num_dict[data["val"]["num"]] = []
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# num_dict[data["val"]["num"]].append(data)
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logger_debug.info(f"循环组装数据开始：长度-{len(datas)} 主动卖长度-{len(active_sell_nos)}")
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index = 0
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fdatas = []
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# 数据太多就需要过滤掉小金额
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is_data_too_large = len(datas) > 20000
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for data in datas:
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index += 1
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if is_data_too_large and data['val']['num'] * float(data['val']['price']) < 5000:
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if data["index"] not in real_position_indexes:
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continue
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# 先移除
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if data['val']['orderNo'] in active_sell_nos:
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# 过滤主动卖
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continue
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trade_info = find_trade_index(data["index"])
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if not trade_info:
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# 获取真实下单位置
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if data["index"] in real_position_indexes:
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trade_info = [3]
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style_int = None
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if find_process_index(data["index"]) % 2 == 0:
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style_int = 0
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else:
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style_int = 1
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format_data = []
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# 索引
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format_data.append(data["index"])
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# 时间
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format_data.append(data["val"]["time"] + (f".{data['val']['tms']}" if "tms" in data["val"] else ''))
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cancel_time = data["val"]["cancelTime"]
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if cancel_time == '0':
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cancel_time = ''
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else:
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cancel_time = "{}".format(cancel_time)
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if len(cancel_time) > 0:
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if int(data["val"]["cancelTimeUnit"]) == 0:
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cancel_time += "s"
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elif int(data["val"]["cancelTimeUnit"]) == 1:
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cancel_time += "m"
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elif int(data["val"]["cancelTimeUnit"]) == 2:
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cancel_time += "h"
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# 撤单间隔时间
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format_data.append(cancel_time)
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# 金额
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format_data.append("{}万".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 1)))
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# 单价
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format_data.append(data["val"]["price"])
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if int(data["val"]["operateType"]) == 1 or int(data["val"]["operateType"]) == 2:
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format_data.append(0 - int(data["val"]["num"]))
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else:
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format_data.append(int(data["val"]["num"]))
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limit_price = ""
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if int(data["val"]["limitPrice"]) == 1:
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limit_price = "T"
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elif int(data["val"]["limitPrice"]) == 2:
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limit_price = "D"
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operateDesc = ""
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if int(data["val"]["operateType"]) == 0:
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if len(limit_price) > 0:
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operateDesc = '买{}'.format(limit_price)
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else:
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operateDesc = '买'
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elif int(data["val"]["operateType"]) == 1:
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if len(limit_price) > 0:
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operateDesc = '买撤{}'.format(limit_price)
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else:
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operateDesc = '买撤'
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elif int(data["val"]["operateType"]) == 2:
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if len(limit_price) > 0:
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operateDesc = '卖{}'.format(limit_price)
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else:
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operateDesc = '卖'
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elif int(data["val"]["operateType"]) == 3:
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if len(limit_price) > 0:
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operateDesc = '卖撤{}'.format(limit_price)
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else:
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operateDesc = '卖撤'
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format_data.append(operateDesc)
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format_data.append(data["re"])
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# 查询是否撤单
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cancel_info = None
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if int(data["val"]["operateType"]) == 0:
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cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"]))
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# 买
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if cancel_data:
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try:
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left_num = data["val"]["num"] - cancel_data["val"]["num"]
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if left_num > 0:
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cancel_info = f"成交:{left_num} 序号:{cancel_data['index']}"
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else:
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cancel_info = "{}-{}".format(cancel_data["index"], f"{cancel_data['val']['time']}") + (
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f".{cancel_data['val']['tms']}" if "tms" in cancel_data["val"] else '')
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except Exception as e:
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logging.exception(e)
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else:
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deal_info = deal_list_dict.get(str(data["val"].get("orderNo")))
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if deal_info and len(deal_info) >= 5:
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cancel_info = l2_huaxin_util.convert_time(deal_info[4],
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with_ms=True)
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format_data.append(cancel_info)
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cancel_order_info = None
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if trade_info:
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if trade_info[0] == 0:
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# font.colour_index = 53
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pass
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elif trade_info[0] == 1:
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# font.colour_index = 17
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pass
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elif trade_info[0] == 2:
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# font.colour_index = 10
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cancel_order_info = trade_info[2]
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format_data.append(cancel_order_info)
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format_data.append(data["val"].get("orderNo"))
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fdatas.append((style_int, trade_info, format_data))
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logger_debug.info("循环组装数据完成")
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return fdatas
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def export_l2_transaction_data(code, sell_nos):
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fdatas = []
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if sell_nos:
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index = 0
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for sell_info in sell_nos:
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if sell_info[1] * sell_info[2] < 50 * 10000:
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continue
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index += 1
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item = []
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item.append(index)
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item.append(l2_huaxin_util.convert_time(sell_info[3][0], with_ms=True))
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item.append("")
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item.append(
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"{}万".format(round(sell_info[1] * sell_info[2] / 10000, 1)))
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item.append(sell_info[2])
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item.append(sell_info[1] // 100)
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item.append("主动卖")
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item.append(1)
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item.append(l2_huaxin_util.convert_time(sell_info[4][0], with_ms=True))
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item.append(None)
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item.append(sell_info[0])
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fdatas.append((0, None, item))
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return fdatas
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def __save_l2_datas(code, fdatas, dest_dir=f"{constant.get_path_prefix()}/export/l2"):
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local_time = time.strftime("%Y%m%dT%H%M%S", time.localtime(time.time()))
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file_name = "{}/{}_{}.xls".format(dest_dir, code, local_time)
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wb = xlwt.Workbook(encoding="utf-8")
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ws = wb.add_sheet('sheet1')
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ws.write(0, 0, '序号')
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ws.write(0, 1, '时间')
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ws.write(0, 2, '买撤间隔')
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ws.write(0, 3, '金额')
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ws.write(0, 4, '价格')
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ws.write(0, 5, '手数')
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ws.write(0, 6, '类型')
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ws.write(0, 7, '重复数量')
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ws.write(0, 8, '撤单时间')
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ws.write(0, 9, '备注')
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ws.write(0, 10, '订单号')
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index = 0
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cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
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for fdata in fdatas:
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index += 1
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style_int = fdata[0]
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trade_info = fdata[1]
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data = fdata[2]
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style = None
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if style_int == 0:
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style = xlwt.easyxf('pattern: pattern solid')
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else:
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style = xlwt.easyxf('pattern: pattern solid, fore_colour light_yellow')
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font = xlwt.Font()
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style.font = font
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if trade_info:
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if trade_info[0] == 0:
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font.colour_index = 53
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elif trade_info[0] == 1:
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font.colour_index = 17
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elif trade_info[0] == 2:
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font.colour_index = 10
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for i in range(len(data)):
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if data[i] is None:
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continue
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if i == 8 and data[i]:
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ws.write(index, i, data[i], cancel_style)
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else:
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ws.write(index, i, data[i], style)
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wb.save(file_name)
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def export_l2_data_origin(code, datas, key, dest_dir=f"{constant.get_path_prefix()}/export/l2_origin"):
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file_dir = "{}/{}".format(dest_dir, code)
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if not os.path.exists(file_dir):
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os.makedirs(file_dir)
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file_name = "{}/{}/{}.xls".format(dest_dir, code, key)
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wb = xlwt.Workbook()
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ws = wb.add_sheet('sheet1')
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ws.write(0, 0, '序号')
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ws.write(0, 1, '时间')
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ws.write(0, 2, '买撤间隔')
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ws.write(0, 3, '价格')
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ws.write(0, 4, '手数')
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ws.write(0, 5, '类型')
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index = 0
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for data in datas:
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index += 1
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ws.write(index, 0, index)
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ws.write(index, 1, data["time"])
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cancel_time = data["cancelTime"]
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if cancel_time > 0:
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cancel_time = "{}".format(cancel_time)
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if data["cancelTimeUnit"] == 0:
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cancel_time += "s"
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elif data["cancelTimeUnit"] == 1:
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cancel_time += "m"
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elif data["cancelTimeUnit"] == 2:
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cancel_time += "h"
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ws.write(index, 2, cancel_time)
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ws.write(index, 3, data["price"])
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ws.write(index, 4, data["num"])
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if data["operateType"] == 0:
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ws.write(index, 5, '买')
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elif data["operateType"] == 1:
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ws.write(index, 5, '买撤')
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wb.save(file_name)
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return file_name
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def test(code):
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progresses = log_export.export_trade_progress(code)
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local_today_datas = log_export.load_l2_from_log("2023-04-04")
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datas = local_today_datas[code]
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num_operate_map = {}
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l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
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if __name__ == "__main__":
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try:
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get_l2_datas("600990")
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except Exception as e:
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logging.exception(e)
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