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| | | """ |
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| | | 数据导出工具 |
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| | | """ |
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| | | import copy |
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| | | import json |
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| | | import logging |
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| | | import os |
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| | | from code_attribute import gpcode_manager |
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| | | import l2.l2_data_util |
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| | | from l2.huaxin import l2_huaxin_util |
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| | | from l2.l2_transaction_data_manager import BigOrderDealManager |
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| | | from log_module import log, log_export |
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| | | from l2 import l2_data_source_util |
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| | | from l2 import l2_data_source_util, l2_data_util |
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| | | from log_module.log import logger_debug |
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| | | from trade import deal_big_money_manager |
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| | | from trade.buy_money_count_setting import BuyMoneyUtil |
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| | | from utils import tool |
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| | | |
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| | | # 缓存L2数据，格式：{"日期":{数据}} |
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| | | __l2_data_cache = {} |
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| | | |
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| | | |
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| | | def export_l2_excel(code, date=None): |
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| | | |
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| | | |
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| | | # 获取L2的数据 |
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| | | def get_l2_datas(code, today_datas=None, date=None): |
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| | | def get_l2_datas(code, today_datas=None, date=None, end_index=None): |
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| | | __start_time = time.time() |
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| | | if date is None: |
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| | | date = tool.get_now_date_str() |
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| | | datas = today_datas |
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| | | if datas is None: |
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| | | local_today_datas = log_export.load_l2_from_log(date) |
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| | | if date in __l2_data_cache: |
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| | | local_today_datas = __l2_data_cache.get(date) |
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| | | else: |
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| | | local_today_datas = log_export.load_l2_from_log(date) |
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| | | __l2_data_cache[date] = local_today_datas |
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| | | datas = local_today_datas.get(code) |
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| | | if not datas: |
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| | | datas = [] |
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| | | process_indexs = log_export.get_l2_process_position(code, date) |
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| | | trade_indexs = log_export.get_l2_trade_position(code, date) |
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| | | real_position_indexes = log_export.get_real_place_order_positions(code, date) |
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| | | deal_list = log_export.load_huaxin_deal_record(code, date) |
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| | | if not datas: |
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| | | # 加快没有L2数据的导出速度 |
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| | | process_indexs = [] |
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| | | trade_indexs = [] |
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| | | real_position_indexes = [] |
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| | | deal_list = [] |
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| | | cancel_reasons = {} |
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| | | else: |
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| | | process_indexs = log_export.get_l2_process_position(code, date) |
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| | | trade_indexs = log_export.get_l2_trade_position(code, date) |
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| | | real_position_indexes = log_export.get_real_place_order_positions(code, date) |
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| | | deal_list = log_export.load_huaxin_deal_record(code, date) |
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| | | cancel_reasons = log_export.load_cancel_buy_reasons(code, date) |
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| | | deal_list_dict = {} |
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| | | for d in deal_list: |
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| | | deal_list_dict[str(d[0])] = d |
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| | |
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| | | active_sell_set = active_sell_map.get(code) |
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| | | if not active_sell_set: |
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| | | active_sell_set = set() |
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| | | fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos, active_sell_set) |
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| | | # 如果有截至位置 |
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| | | if end_index: |
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| | | datas = copy.deepcopy(datas) |
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| | | for i in range(len(datas)): |
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| | | if datas[i]["index"] == end_index: |
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| | | datas = datas[:i] |
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| | | break |
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| | | # 成交的大单信息[(买单号,总股数,总成交额,成交开始时间,成交结束时间)] |
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| | | deal_big_buy_order_list = copy.deepcopy(BigOrderDealManager().get_total_buy_data_list(code)) |
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| | | deal_big_buy_order_no_dict = {} |
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| | | if deal_big_buy_order_list: |
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| | | for d in deal_big_buy_order_list: |
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| | | deal_big_buy_order_no_dict[d[0]] = d |
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| | | |
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| | | fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos, |
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| | | active_sell_set, cancel_reasons, deal_big_buy_order_no_dict) |
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| | | return fdatas |
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| | | |
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| | | |
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| | |
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| | | return fdatas |
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| | | |
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| | | |
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| | | def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,active_sell_nos): |
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| | | def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos, |
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| | | active_sell_nos, cancel_reasons, deal_big_buy_order_no_dict): |
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| | | def find_process_index(index): |
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| | | for i in range(0, len(process_indexs)): |
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| | | if process_indexs[i][0] <= index <= process_indexs[i][1]: |
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| | |
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| | | return trade_indexs[i] |
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| | | return None |
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| | | |
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| | | # 最新的一条数据 |
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| | | latest_data = datas[-1] |
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| | | latest_time_str_with_ms = l2.l2_data_util.L2DataUtil.get_time_with_ms(latest_data["val"]) |
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| | | |
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| | | # 数据预处理 |
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| | | num_operate_map = {} |
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| | | l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas) |
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| | |
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| | | sell_no_map = {} |
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| | | l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas) |
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| | | l2.l2_data_util.load_sell_no_map(sell_no_map, code, datas) |
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| | | |
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| | | l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas) |
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| | | |
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| | | # num_dict = {} |
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| | | # for data in datas: |
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| | | # if data["val"]["num"] not in num_dict: |
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| | | # num_dict[data["val"]["num"]] = [] |
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| | | # num_dict[data["val"]["num"]].append(data) |
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| | | |
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| | | 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)}") |
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| | | index = 0 |
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| | | fdatas = [] |
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| | | # 数据太多就需要过滤掉小金额 |
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| | | is_data_too_large = len(datas) > 20000 |
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| | | |
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| | | limit_up_price = gpcode_manager.get_limit_up_price_as_num(code) |
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| | | if limit_up_price: |
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| | | # 需要订阅的特殊的量 |
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| | | special_volumes = BuyMoneyUtil.get_possible_buy_volumes(limit_up_price) |
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| | | special_volumes = [x//100 for x in special_volumes] |
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| | | else: |
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| | | special_volumes = [] |
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| | | |
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| | | for data in datas: |
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| | | index += 1 |
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| | | if is_data_too_large and data['val']['num'] * float(data['val']['price']) < 5000: |
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| | | # 小单 |
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| | | if data["index"] not in real_position_indexes and data['val']['num'] not in special_volumes: |
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| | | continue |
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| | | |
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| | | # 先移除 |
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| | | if data['val']['orderNo'] in active_sell_nos: |
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| | | # 过滤主动卖 |
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| | | continue |
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| | | |
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| | | # 移除成交大单在L2中已有的订单 |
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| | | if l2.l2_data_util.L2DataUtil.is_limit_up_price_buy(data["val"]): |
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| | | if int(data['val']['orderNo']) in deal_big_buy_order_no_dict: |
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| | | deal_big_buy_order_no_dict.pop(int(data['val']['orderNo'])) |
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| | | |
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| | | trade_info = find_trade_index(data["index"]) |
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| | | if not trade_info: |
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| | |
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| | | if int(data["val"]["operateType"]) == 0: |
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| | | cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"])) |
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| | | # 买 |
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| | | if cancel_data: |
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| | | if cancel_data and latest_data["index"] >= cancel_data["index"]: |
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| | | # 如果撤单索引不能比最近数据索引还大 |
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| | | try: |
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| | | left_num = data["val"]["num"] - cancel_data["val"]["num"] |
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| | | if left_num > 0: |
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| | |
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| | | logging.exception(e) |
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| | | else: |
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| | | deal_info = deal_list_dict.get(str(data["val"].get("orderNo"))) |
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| | | if deal_info: |
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| | | cancel_info = l2_huaxin_util.convert_time(deal_info[3], |
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| | | if deal_info and len(deal_info) >= 5: |
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| | | # 成交时间不能比当前索引时间大 |
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| | | cancel_info = l2_huaxin_util.convert_time(deal_info[4], |
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| | | with_ms=True) |
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| | | if tool.trade_time_sub_with_ms(cancel_info, latest_time_str_with_ms) > 0: |
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| | | cancel_info = None |
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| | | format_data.append(cancel_info) |
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| | | cancel_order_info = None |
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| | | if trade_info: |
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| | |
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| | | elif trade_info[0] == 2: |
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| | | # font.colour_index = 10 |
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| | | cancel_order_info = trade_info[2] |
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| | | if not cancel_order_info: |
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| | | if data["index"] in cancel_reasons: |
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| | | cancel_order_info = cancel_reasons[data["index"]] |
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| | | |
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| | | format_data.append(cancel_order_info) |
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| | | format_data.append(data["val"].get("orderNo")) |
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| | | fdatas.append((style_int, trade_info, format_data)) |
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| | | |
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| | | # 将订单号索引 |
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| | | order_no_index_map = {} |
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| | | for i in range(len(fdatas)): |
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| | | d = fdatas[i][2] |
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| | | if d[6].find('撤') >= 0: |
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| | | continue |
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| | | order_no_index_map[int(d[10])] = i |
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| | | order_no_indexes = [(k, order_no_index_map[k]) for k in order_no_index_map] |
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| | | order_no_indexes.sort(key=lambda x: x[0]) |
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| | | |
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| | | if sell_nos: |
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| | | for sell_info in sell_nos: |
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| | | if sell_info[1] * sell_info[2] < 50 * 10000: |
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| | | continue |
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| | | for i in range(len(order_no_indexes) - 1): |
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| | | if order_no_indexes[i][0] < sell_info[0] < order_no_indexes[i + 1][0]: |
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| | | item = [] |
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| | | item.append(order_no_indexes[i + 1][1]) |
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| | | item.append(l2_huaxin_util.convert_time(sell_info[3][0], with_ms=True)) |
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| | | item.append("") |
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| | | item.append( |
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| | | "{}万".format(round(sell_info[1] * sell_info[2] / 10000, 1))) |
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| | | item.append(sell_info[2]) |
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| | | item.append(sell_info[1] // 100) |
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| | | item.append("主动卖") |
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| | | item.append(1) |
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| | | item.append(l2_huaxin_util.convert_time(sell_info[4][0], with_ms=True)) |
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| | | item.append(None) |
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| | | item.append(sell_info[0]) |
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| | | fdatas.insert(order_no_indexes[i + 1][1], (0, None, item)) |
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| | | break |
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| | | |
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| | | if tool.is_sh_code(code) and deal_big_buy_order_no_dict: |
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| | | # 上证，有主动成交的大单 |
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| | | active_deal_list = [deal_big_buy_order_no_dict[order_no] for order_no in deal_big_buy_order_no_dict] |
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| | | active_deal_list.sort(key=lambda x: x[3]) |
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| | | for i in range(len(active_deal_list)): |
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| | | d = active_deal_list[i] |
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| | | format_data = [0] |
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| | | format_data.append(l2_huaxin_util.convert_time(d[3], with_ms=True)) |
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| | | format_data.append('') |
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| | | format_data.append(f"{round(d[2] / 10000, 1)}万") |
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| | | format_data.append(round(d[2] / d[1], 2)) |
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| | | format_data.append(d[1] // 100) |
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| | | format_data.append('主动买') |
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| | | format_data.append(1) |
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| | | format_data.append(l2_huaxin_util.convert_time(d[4], with_ms=True)) |
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| | | format_data.append('') |
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| | | format_data.append(d[0]) |
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| | | fdatas.insert(i, (0, None, format_data)) |
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| | | logger_debug.info("循环组装数据完成") |
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| | | return fdatas |
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