| | |
|---|
| | | datas = local_today_datas.get(code) |
|---|
| | | if not datas: |
|---|
| | | datas = [] |
|---|
| | | logger_debug.info("加载L2逐笔委托耗时：{}", f"{(time.time() - __start_time)}") |
|---|
| | | __start_time = time.time() |
|---|
| | | process_indexs = log_export.get_l2_process_position(code, date) |
|---|
| | | logger_debug.info("加载L2逐笔委托批次耗时：{}", f"{(time.time() - __start_time)}") |
|---|
| | | __start_time = time.time() |
|---|
| | | trade_indexs = log_export.get_l2_trade_position(code, date) |
|---|
| | | real_position_indexes = log_export.get_real_place_order_positions(code, date) |
|---|
| | | deal_list = log_export.load_huaxin_deal_record(code, date) |
|---|
| | | logger_debug.info("加载其他交易参数耗时：{}", f"{(time.time() - __start_time)}") |
|---|
| | | __start_time = time.time() |
|---|
| | | deal_list_dict = {} |
|---|
| | | for d in deal_list: |
|---|
| | | deal_list_dict[str(d[0])] = d |
|---|
| | |
|---|
| | | sell_nos = sell_no_dict.get(code) |
|---|
| | | active_sell_map = log_export.load_huaxin_active_sell_map(date=date) |
|---|
| | | active_sell_set = active_sell_map.get(code) |
|---|
| | | logger_debug.info("加载卖单耗时：{}", f"{(time.time() - __start_time)}") |
|---|
| | | __start_time = time.time() |
|---|
| | | if not active_sell_set: |
|---|
| | | active_sell_set = set() |
|---|
| | | fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos, |
|---|
| | | active_sell_set) |
|---|
| | | logger_debug.info("组装数据耗时：{}", f"{(time.time() - __start_time)}") |
|---|
| | | __start_time = time.time() |
|---|
| | | return fdatas |
|---|
| | | |
|---|
| | | |
|---|
| | |
|---|
| | | if trade_indexs[i][1] == index: |
|---|
| | | return trade_indexs[i] |
|---|
| | | return None |
|---|
| | | logger_debug.info("准备加载L2Map数据-----") |
|---|
| | | # 数据预处理 |
|---|
| | | num_operate_map = {} |
|---|
| | | l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas) |
|---|
| | | logger_debug.info("load_num_operate_map") |
|---|
| | | |
|---|
| | | buy_no_map = {} |
|---|
| | | sell_no_map = {} |
|---|
| | | l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas) |
|---|
| | | logger_debug.info("load_buy_no_map") |
|---|
| | | l2.l2_data_util.load_sell_no_map(sell_no_map, code, datas) |
|---|
| | | logger_debug.info("load_sell_no_map") |
|---|
| | | l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas) |
|---|
| | | logger_debug.info("load_canceled_buy_no_map") |
|---|
| | | # 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) |
|---|
| | | |
|---|
| | | 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)}") |
|---|
| | | index = 0 |
|---|
| | | fdatas = [] |
|---|
| | | # 数据太多就需要过滤掉小金额 |
|---|
| | | is_data_too_large = len(datas) > 20000 |
|---|
| | | for data in datas: |
|---|
| | | index += 1 |
|---|
| | | if is_data_too_large and data['val']['num'] * float(data['val']['price']) < 5000: |
|---|
| | | if data["index"] not in real_position_indexes: |
|---|
| | | continue |
|---|
| | | |
|---|
| | | # 先移除 |
|---|
| | | if data['val']['orderNo'] in active_sell_nos: |
|---|
| | | # 过滤主动卖 |
|---|
