真实下单位置计算方法修改

Administrator

2023-10-16 5ed30c03ddfedd4cf79cd8fea9fc45b05821d898

 utils/data_export_util.py

@@ -20,6 +20,7 @@
    # 获取L2的数据
    local_today_datas = log_export.load_l2_from_log(date)
    datas = local_today_datas[code]
    datas = datas[-2000:]
    # 获取L2处理位置信息
    process_indexs = log_export.get_l2_process_position(code, date)
    trade_indexs = log_export.get_l2_trade_position(code, date)
@@ -42,11 +43,16 @@
    # 数据预处理
    num_operate_map = {}
    l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
    num_dict = {}
    for data in datas:
        if data["val"]["num"] not in num_dict:
            num_dict[data["val"]["num"]] = []
        num_dict[data["val"]["num"]].append(data)
    buy_no_map = {}
    l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas)

    l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas)

    # num_dict = {}
    # for data in datas:
    #     if data["val"]["num"] not in num_dict:
    #         num_dict[data["val"]["num"]] = []
    #     num_dict[data["val"]["num"]].append(data)

    local_time = time.strftime("%Y%m%dT%H%M%S", time.localtime(time.time()))
    file_name = "{}/{}_{}.xls".format(dest_dir, code, local_time)
@@ -89,7 +95,7 @@
        cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')

        ws.write(index, 0, data["index"], style)
        ws.write(index, 1, data["val"]["time"], style)
        ws.write(index, 1, data["val"]["time"] + (f".{data['val']['tms']}" if "tms" in data["val"] else ''), style)
        cancel_time = data["val"]["cancelTime"]
        if cancel_time == '0':
            cancel_time = ''
@@ -140,19 +146,13 @@
        ws.write(index, 9, data["val"].get("orderNo"), style)
        # 查询是否撤单
        if int(data["val"]["operateType"]) == 0:
            cancel = False
            cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"]))
            # 买
            for d in num_dict[data["val"]["num"]]:
                if int(d["val"]["operateType"]) == 1:
                    buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, d,
                                                                                                     num_operate_map[
                                                                                                         code])
                    if buy_index == data["index"]:
                        try:
                            ws.write(index, 8, "{}-{}".format(d["index"], d["val"]["time"]), cancel_style)
                            break
                        except Exception as e:
                            logging.exception(e)
            if cancel_data:
                try:
                    ws.write(index, 8, "{}-{}".format(cancel_data["index"], cancel_data["val"]["time"]), cancel_style)
                except Exception as e:
                    logging.exception(e)

        ws.write(index, 3, "{}万".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 2)), style)
    wb.save(file_name)
@@ -205,9 +205,10 @@
    datas = local_today_datas[code]
    num_operate_map = {}
    l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
    for progress in progresses:
        deal_big_money_manager.DealComputeProgressManager().set_trade_progress(code, progress, datas, num_operate_map[code])


if __name__ == "__main__":
    export_l2_excel("600360", date="2023-09-11")
    try:
        export_l2_excel("600476")
    except Exception as e:
        logging.exception(e)