L2历史数据解析

Administrator

2025-01-24 c25ca04703092a997bc1f0ead1a7d9479893c940

 l2_data_parser.py

@@ -34,6 +34,69 @@
                writer.writerow(row)


def parse_transaction(day):
    target_codes = __get_target_codes(day)
    base_path = f"/home/userzjj/ftp/{day}"
    with open(f"{base_path}/Transaction.csv", 'r', encoding='utf-8') as file:
        csv_reader = csv.reader(file)
        # 获取表头：: [ExchangeID,SecurityID,TradeTime,TradePrice,TradeVolume,ExecType,MainSeq,SubSeq,BuyNo,SellNo,Info1,Info2,Info3,TradeBSFlag,BizIndex,LocalTimeStamp]
        headers = next(csv_reader)
        print("表头:", headers)
        # 遍历数据行
        _path = f"{base_path}/Transaction_filter.csv"
        with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
            # 创建一个 CSV 写入器对象
            writer = csv.writer(csvfile)
            # 逐行写入数据
            for row in csv_reader:
                if row[1] not in target_codes:
                    continue
                # 将文件写入到文本
                writer.writerow(row)


def parse_ngtstick(day):
    target_codes = __get_target_codes(day)
    base_path = f"/home/userzjj/ftp/{day}"
    with open(f"{base_path}/NGTSTick.csv", 'r', encoding='utf-8') as file:
        csv_reader = csv.reader(file)
        # 获取表头：: [ExchangeID,SecurityID,MainSeq,SubSeq,TickTime,TickType,BuyNo,SellNo,Price,Volume,TradeMoney,Side,TradeBSFlag,MDSecurityStat,Info1,Info2,Info3,LocalTimeStamp]
        headers = next(csv_reader)
        print("表头:", headers)
        # 遍历数据行
        _path = f"{base_path}/NGTSTick_filter.csv"
        with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
            # 创建一个 CSV 写入器对象
            writer = csv.writer(csvfile)
            # 逐行写入数据
            for row in csv_reader:
                if row[1] not in target_codes:
                    continue
                # 将文件写入到文本
                writer.writerow(row)


def parse_market_data(day):
    target_codes = __get_target_codes(day)
    base_path = f"/home/userzjj/ftp/{day}"
    with open(f"{base_path}/MarketData.csv", 'r', encoding='utf-8') as file:
        csv_reader = csv.reader(file)
        # 获取表头：: [SecurityID,ExchangeID,DataTimeStamp,PreClosePrice,OpenPrice,NumTrades,TotalVolumeTrade,TotalValueTrade,TotalBidVolume,AvgBidPrice,TotalAskVolume,AvgAskPrice,HighestPrice,LowestPrice,LastPrice,BidPrice1,BidVolume1,AskPrice1,AskVolume1....]
        headers = next(csv_reader)
        print("表头:", headers)
        # 遍历数据行
        _path = f"{base_path}/MarketData_filter.csv"
        with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
            # 创建一个 CSV 写入器对象
            writer = csv.writer(csvfile)
            # 逐行写入数据
            for row in csv_reader:
                if row[0] not in target_codes:
                    continue
                # 将文件写入到文本
                writer.writerow(row)


if __name__ == '__main__':
    if len(sys.argv) > 1:
        params = sys.argv[1:]
@@ -42,3 +105,10 @@
        day = params[1].strip()
        if _type == 'OrderDetail':
            parse_order_detail(day)
        elif _type == 'Transaction':
            parse_transaction(day)
        elif _type == 'XTSTick':
            parse_ngtstick(day)
        elif _type == 'MarketData':
            parse_market_data(day)