L前3s囊括一次/增加L2数据接口/接口输出交易信息

Administrator

2023-10-24 60d02096d9dc4bc9cb54f8cf81becd10a9dd0c61

 utils/data_export_util.py

@@ -24,10 +24,21 @@
    # 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)
    export_l2_data(code, datas, process_indexs, trade_indexs)
    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs)
    __save_l2_datas(code, fdatas)


def export_l2_data(code, datas, process_indexs, trade_indexs, dest_dir=f"{constant.get_path_prefix()}/export/l2"):
# 获取L2的数据
def get_l2_datas(code, date=None):
    local_today_datas = log_export.load_l2_from_log(date)
    datas = local_today_datas[code]
    process_indexs = log_export.get_l2_process_position(code, date)
    trade_indexs = log_export.get_l2_trade_position(code, date)
    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs)
    return fdatas


def export_l2_data(code, datas, process_indexs, trade_indexs):
    def find_process_index(index):
        for i in range(0, len(process_indexs)):
            if process_indexs[i][0] <= index <= process_indexs[i][1]:
@@ -54,48 +65,23 @@
    #         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)
    file_name_txt = "{}/{}_{}.txt".format(dest_dir, code, local_time)
    with open(file_name_txt, 'w') as openfile:
        for data in datas:
            openfile.write(json.dumps(data) + "\n")
    wb = xlwt.Workbook(encoding="utf-8")
    ws = wb.add_sheet('sheet1')
    ws.write(0, 0, '序号')
    ws.write(0, 1, '时间')
    ws.write(0, 2, '买撤间隔')
    ws.write(0, 3, '金额')
    ws.write(0, 4, '价格')
    ws.write(0, 5, '手数')
    ws.write(0, 6, '类型')
    ws.write(0, 7, '重复数量')
    ws.write(0, 8, '撤单时间')
    ws.write(0, 9, '订单号')

    index = 0
    fdatas = []
    for data in datas:
        index += 1
        trade_info = find_trade_index(data["index"])
        font = xlwt.Font()
        if trade_info:
            if trade_info[0] == 0:
                font.colour_index = 53
            elif trade_info[0] == 1:
                font.colour_index = 17
            elif trade_info[0] == 2:
                font.colour_index = 10
                ws.write(index, 8, trade_info[2])
        style = None
        style_int = None
        if find_process_index(data["index"]) % 2 == 0:
            style = xlwt.easyxf('pattern: pattern solid')
            style_int = 0
        else:
            style = xlwt.easyxf('pattern: pattern solid, fore_colour light_yellow')
        style.font = font
        cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
            style_int = 1

        ws.write(index, 0, data["index"], style)
        ws.write(index, 1, data["val"]["time"] + (f".{data['val']['tms']}" if "tms" in data["val"] else ''), style)
        format_data = []
        # 索引
        format_data.append(data["index"])
        # 时间
        format_data.append(data["val"]["time"] + (f".{data['val']['tms']}" if "tms" in data["val"] else ''))

        cancel_time = data["val"]["cancelTime"]
        if cancel_time == '0':
            cancel_time = ''
@@ -108,55 +94,115 @@
                cancel_time += "m"
            elif int(data["val"]["cancelTimeUnit"]) == 2:
                cancel_time += "h"
        # 撤单间隔时间
        format_data.append(cancel_time)
        # 金额
        format_data.append("{}万".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 1)))
        # 单价
        format_data.append(data["val"]["price"])

        ws.write(index, 2, cancel_time, style)
        ws.write(index, 4, data["val"]["price"], style)
        if int(data["val"]["operateType"]) == 1 or int(data["val"]["operateType"]) == 2:
            ws.write(index, 5, 0 - int(data["val"]["num"]), style)
            format_data.append(0 - int(data["val"]["num"]))
        else:
            ws.write(index, 5, int(data["val"]["num"]), style)
            format_data.append(int(data["val"]["num"]))

        limit_price = ""
        if int(data["val"]["limitPrice"]) == 1:
            limit_price = "涨停"
        elif int(data["val"]["limitPrice"]) == 2:
            limit_price = "跌停"

        operateDesc = ""
        if int(data["val"]["operateType"]) == 0:
            if len(limit_price) > 0:
                ws.write(index, 6, '买 ({})'.format(limit_price), style)
                operateDesc = '买 ({})'.format(limit_price)
            else:
                ws.write(index, 6, '买', style)
                operateDesc = '买'
        elif int(data["val"]["operateType"]) == 1:
            if len(limit_price) > 0:
                ws.write(index, 6, '买撤 ({})'.format(limit_price), style)
                operateDesc = '买撤 ({})'.format(limit_price)

            else:
                ws.write(index, 6, '买撤', style)
                operateDesc = '买撤'

        elif int(data["val"]["operateType"]) == 2:
            if len(limit_price) > 0:
                ws.write(index, 6, '卖 ({})'.format(limit_price), style)
                operateDesc = '卖 ({})'.format(limit_price)
            else:
                ws.write(index, 6, '卖', style)
                operateDesc = '卖'

        elif int(data["val"]["operateType"]) == 3:
            if len(limit_price) > 0:
                ws.write(index, 6, '卖撤 ({})'.format(limit_price), style)
                operateDesc = '卖撤 ({})'.format(limit_price)
            else:
                ws.write(index, 6, '卖撤', style)
        ws.write(index, 7, data["re"], style)
        ws.write(index, 9, data["val"].get("orderNo"), style)
                operateDesc = '卖撤'
        format_data.append(operateDesc)
        format_data.append(data["re"])
        # 查询是否撤单
        cancel_info = None
        if int(data["val"]["operateType"]) == 0:
            cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"]))
            # 买
            if cancel_data:
                try:
                    ws.write(index, 8, "{}-{}".format(cancel_data["index"], cancel_data["val"]["time"]), cancel_style)
                    cancel_info = "{}-{}".format(cancel_data["index"], cancel_data["val"]["time"])
                except Exception as e:
                    logging.exception(e)
        format_data.append(cancel_info)
        cancel_order_info = None
        if trade_info:
            if trade_info[0] == 0:
                # font.colour_index = 53
                pass
            elif trade_info[0] == 1:
                # font.colour_index = 17
                pass
            elif trade_info[0] == 2:
                # font.colour_index = 10
                cancel_order_info = trade_info[2]
        format_data.append(cancel_order_info)
        format_data.append(data["val"].get("orderNo"))
        fdatas.append((style_int, format_data))
    return fdatas

        ws.write(index, 3, "{}万".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 2)), style)

def __save_l2_datas(code, fdatas, dest_dir=f"{constant.get_path_prefix()}/export/l2"):
    local_time = time.strftime("%Y%m%dT%H%M%S", time.localtime(time.time()))
    file_name = "{}/{}_{}.xls".format(dest_dir, code, local_time)
    wb = xlwt.Workbook(encoding="utf-8")
    ws = wb.add_sheet('sheet1')
    ws.write(0, 0, '序号')
    ws.write(0, 1, '时间')
    ws.write(0, 2, '买撤间隔')
    ws.write(0, 3, '金额')
    ws.write(0, 4, '价格')
    ws.write(0, 5, '手数')
    ws.write(0, 6, '类型')
    ws.write(0, 7, '重复数量')
    ws.write(0, 8, '撤单时间')
    ws.write(0, 9, '订单号')
    index = 0
    font = xlwt.Font()

    cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
    for fdata in fdatas:
        index += 1
        style_int = fdata[0]
        data = fdatas[1]
        style = None
        if style_int == 0:
            style = xlwt.easyxf('pattern: pattern solid')
        else:
            style = xlwt.easyxf('pattern: pattern solid, fore_colour light_yellow')
        style.font = font

        for i in range(len(data)):
            if data[i] is None:
                continue
            if i == 8 and data[i]:
                ws.write(index, i, data[i], cancel_style)
            else:
                ws.write(index, i, data[i], style)
    wb.save(file_name)
    return file_name


def export_l2_data_origin(code, datas, key, dest_dir=f"{constant.get_path_prefix()}/export/l2_origin"):