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7 天以前 d2a4dd9c837f8df2a19e58f7fb4c81a91c114b67

 utils/data_export_util.py

@@ -7,6 +7,7 @@
import os
import time

import dask
import xlwt

import constant
@@ -18,6 +19,7 @@
from l2 import l2_data_source_util, l2_data_util
from log_module.log import logger_debug
from trade import deal_big_money_manager
from trade.buy_money_count_setting import BuyMoneyUtil
from utils import tool

# 缓存L2数据，格式：{"日期":{数据}}
@@ -31,7 +33,15 @@


# 获取L2的数据
def get_l2_datas(code, today_datas=None, date=None, end_index=None):
def get_l2_datas(code, today_datas=None, date=None, end_index=None, fast_mode=False):
    """
    @param code:
    @param today_datas:
    @param date:
    @param end_index:
    @param fast_mode: 是否是急速模式
    @return:
    """
    __start_time = time.time()
    if date is None:
        date = tool.get_now_date_str()
@@ -52,19 +62,44 @@
        real_position_indexes = []
        deal_list = []
        cancel_reasons = {}
        sell_no_dict = {}
        active_sell_map = {}
    else:
        process_indexs = log_export.get_l2_process_position(code, date)
        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)
        cancel_reasons = log_export.load_cancel_buy_reasons(code, date)
        if not fast_mode:
            tasks = [dask.delayed(log_export.get_l2_process_position)(code, date),
                     dask.delayed(log_export.get_l2_trade_position)(code, date),
                     dask.delayed(log_export.get_real_place_order_positions)(code, date),
                     dask.delayed(log_export.load_huaxin_deal_record)(code, date),
                     dask.delayed(log_export.load_cancel_buy_reasons)(code, date),
                     dask.delayed(log_export.load_huaxin_transaction_sell_no)(code, date),
                     dask.delayed(log_export.load_huaxin_active_sell_map)(date),
                     ]
            results = dask.delayed(tasks).compute()
            process_indexs = results[0]
            trade_indexs = results[1]
            real_position_indexes = results[2]
            deal_list = results[3]
            cancel_reasons = results[4]
            sell_no_dict = results[5]
            active_sell_map = results[6]
        else:
            process_indexs = []
            trade_indexs = []
            deal_list = []
            sell_no_dict = {}
            active_sell_map = {}
            tasks = [dask.delayed(log_export.get_real_place_order_positions)(code, date),
                     dask.delayed(log_export.load_cancel_buy_reasons)(code, date),
                     ]
            results = dask.delayed(tasks).compute()
            real_position_indexes = results[0]
            cancel_reasons = results[1]


    deal_list_dict = {}
    for d in deal_list:
        deal_list_dict[str(d[0])] = d

    sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
    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)
    if not active_sell_set:
        active_sell_set = set()
@@ -81,7 +116,6 @@
    if deal_big_buy_order_list:
        for d in deal_big_buy_order_list:
            deal_big_buy_order_no_dict[d[0]] = d

    fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
                            active_sell_set, cancel_reasons, deal_big_buy_order_no_dict)
    return fdatas
@@ -132,10 +166,20 @@
    fdatas = []
    # 数据太多就需要过滤掉小金额
    is_data_too_large = len(datas) > 20000

    limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
    if limit_up_price:
        # 需要订阅的特殊的量
        special_volumes = BuyMoneyUtil.get_possible_buy_volumes(limit_up_price)
        special_volumes = [x // 100 for x in special_volumes]
    else:
        special_volumes = []

    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:
            # 小单
            if data["index"] not in real_position_indexes and data['val']['num'] not in special_volumes:
                continue

        # 先移除