L2成交大单解析

Administrator

2025-05-28 e3f4cf3bacac6eda31ddea6aaf70ebb883788817

 data_parser/transaction_big_order_parser.py

@@ -201,7 +201,7 @@
__combined_df_cache = {}


def extract_big_order_of_all(dir_path):
def extract_big_order_of_all(dir_path, process_count=4):
    combined_path = os.path.join(dir_path, 'combined.csv')
    if not os.path.exists(combined_path):
        print_log("拼接数据不存在")
@@ -211,15 +211,25 @@
    for code in codes:
        extract_big_order_of_code(dir_path, code)

    combined_path = os.path.join(dir_path, 'combined.csv')
    if not os.path.exists(combined_path):
        print_log("拼接数据不存在")
        return
    output_path = os.path.join(dir_path, f"big_buy_{code}.csv")
    if os.path.exists(output_path):
        print_log("路径已存在:", output_path)
        return
    df = __combined_df_cache.get(combined_path, None)
    if df is None:
        df = pd.read_csv(combined_path)
        __combined_df_cache[combined_path] = df
    args = [(code, df) for code in codes]
    # 新写法
    with Pool(processes=process_count) as pool:
        pool.map(__extract_big_order_of_code, args)

def extract_big_order_of_code(dir_path, code):
    """
    提取代码的大单
    @param dir_path: 数据目录
    @param code: 为空表示导出全部
    @return:
    """

def __extract_big_order_of_code(args):
    def first_last(group):
        """
            获取第一条数据与最后一条
@@ -237,18 +247,11 @@
            'StartPrice': group['StartPrice'].iloc[0]
        })

    combined_path = os.path.join(dir_path, 'combined.csv')
    if not os.path.exists(combined_path):
        print_log("拼接数据不存在")
        return
    dir_path, code, df = args[0], args[1], args[2]
    output_path = os.path.join(dir_path, f"big_buy_{code}.csv")
    if os.path.exists(output_path):
        print_log("路径已存在:", output_path)
        return
    df = __combined_df_cache.get(combined_path, None)
    if df is None:
        df = pd.read_csv(combined_path)
        __combined_df_cache[combined_path] = df
    df_copy = df.copy()
    if code:
        df_copy = df_copy[df_copy["SecurityID"] == int(code)]
@@ -264,6 +267,26 @@
    # 遍历内容
    grouped_result.to_csv(output_path, index=False)
    print_log(f"[{tool.get_now_time_str()}]保存成功，路径：{output_path}")


def extract_big_order_of_code(dir_path, code):
    """
    提取代码的大单
    @param dir_path: 数据目录
    @param code: 为空表示导出全部
    @return:
    """

    combined_path = os.path.join(dir_path, 'combined.csv')
    if not os.path.exists(combined_path):
        print_log("拼接数据不存在")
        return

    df = __combined_df_cache.get(combined_path, None)
    if df is None:
        df = pd.read_csv(combined_path)
        __combined_df_cache[combined_path] = df
    __extract_big_order_of_code((dir_path, code, df))


def extract_big_order_codes(dir_path):
@@ -289,9 +312,9 @@


if __name__ == "__main__":
    log(1,2,3)
    print_log(1, 2, 3)
    # pre_process_transactions("E:/测试数据/Transaction_Test.csv")
    # pre_process_ngtsticks("E:/测试数据/NGTSTick_Test.csv")
    # concat_pre_transactions("E:/测试数据/Transaction_Test")
    # extract_big_order_codes("E:/测试数据/Transaction_Test")
    extract_big_order_of_code("E:/测试数据/Transaction_Test")
    extract_big_order_of_all("E:/测试数据/Transaction_Test")