L2历史数据解析

Administrator

2025-01-24 d7c1e83f8c4cb71b8d0c0b59e636816b5f89eda9

L2历史数据解析

 cancel_strategy/s_l_h_cancel_strategy.py

@@ -1546,7 +1546,10 @@
            # 除开最大单的影响权重
            if not must_buy:
                temp_thresh_hold_rate = round((total_num - max_num) * 0.9 / total_num, 2)
                thresh_hold_rate = min(thresh_hold_rate, temp_thresh_hold_rate)
                if thresh_hold_rate > temp_thresh_hold_rate:
                    # 目标撤单比例大于大单撤单比例就取比例均值
                    thresh_hold_rate = round((thresh_hold_rate+temp_thresh_hold_rate)/2, 2)

            l2_log.l_cancel_debug(code,
                                  f"L后计算范围：{start_index}-{end_index},已撤单比例：{rate}/{thresh_hold_rate}, 下单位之后的索引：{after_place_order_index_dict}")
            if rate >= thresh_hold_rate:

 l2/l2_limitup_sell_data_manager.py

@@ -3,7 +3,7 @@
"""
from code_attribute import gpcode_manager
from l2 import l2_log
from log_module import async_log_util
from log_module import async_log_util, log_export
from log_module.log import hx_logger_l2_sell_delegate, hx_logger_l2_sell_deal


@@ -122,3 +122,14 @@

        if code in cls.__delegating_sell_num_dict:
            cls.__delegating_sell_num_dict.pop(code)


if __name__ == "__main__":
    code = "300479"
    datas = log_export.load_huaxin_l2_sell_deal(code).get(code)
    print(datas)
    total_volume = sum([x[1] for x in datas])
    print("涨停卖成交", total_volume * 20.41)
    datas = log_export.load_huaxin_l2_sell_delegate(code).get(code)
    total_delegate = sum([x[2][2] for x in datas])
    print("总委托",total_delegate)

 l2_data_parser.py

New file
@@ -0,0 +1,24 @@
"""
L2数据解析器
"""
import csv


def parse_order_detail():
    with open('OrderDetail.csv', 'r', encoding='utf-8') as file:
        csv_reader = csv.reader(file)
        # 获取表头
        headers = next(csv_reader)
        print("表头:", headers)
        # 遍历数据行
        max_count = 10
        count = 0
        for row in csv_reader:
            print(row)
            count += 1
            if count > max_count:
                break


if __name__ == '__main__':
    parse_order_detail()

 l2_data_parser.spec

New file
@@ -0,0 +1,50 @@
# -*- mode: python ; coding: utf-8 -*-


block_cipher = None


a = Analysis(
    ['l2_data_parser.py'],
    pathex=[],
    binaries=[],
    datas=[],
    hiddenimports=[],
    hookspath=[],
    hooksconfig={},
    runtime_hooks=[],
    excludes=[],
    win_no_prefer_redirects=False,
    win_private_assemblies=False,
    noarchive=False,
    cipher=block_cipher,
)
pyz = PYZ(a.pure, a.zipped_data, cipher=block_cipher)

exe = EXE(
    pyz,
    a.scripts,
    [],
    exclude_binaries=True,
    name='l2_data_parser',
    debug=False,
    bootloader_ignore_signals=False,
    strip=False,
    upx=True,
    console=True,
    disable_windowed_traceback=False,
    argv_emulation=False,
    target_arch=None,
    codesign_identity=None,
    entitlements_file=None,
)
coll = COLLECT(
    exe,
    a.binaries,
    a.zipfiles,
    a.datas,
    strip=False,
    upx=True,
    upx_exclude=[],
    name='l2_data_parser',
)

 log_module/log_export.py

@@ -432,6 +432,7 @@
            fdatas.append((time_str, code, type, data_json["data"]))
    return fdatas


@cache_log
def load_cancel_buy_reasons(code, date=tool.get_now_date_str()):
    """
@@ -564,6 +565,54 @@
    return fdatas


@cache_log
def load_huaxin_l2_sell_deal(code=None, date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/logs/huaxin/l2/sell_l2_deal.{date}.log"
    fdatas = {}
    if os.path.exists(path):
        with open(path, 'r', encoding="utf-8") as f:
            lines = f.readlines()
            for line in lines:
                if line:
                    time_str = __get_async_log_time(line)
                    data = line.split(" - ")[1].strip()
                    if data.startswith("["):
                        data = data[data.find("]") + 1:].strip()
                    data = data.split("有涨停主动卖：")[1]
                    code_ = data[:6]
                    if code and code != code_:
                        continue
                    data = data[6:].strip()
                    volume = int(data.split("成交量-")[1].strip())
                    if code_ not in fdatas:
                        fdatas[code_] = []
                    fdatas[code_].append((time_str, volume))
    return fdatas


@cache_log
def load_huaxin_l2_sell_delegate(code=None, date=tool.get_now_date_str()):
    path = f"{constant.get_path_prefix()}/logs/huaxin/l2/sell_l2_delegate.{date}.log"
    fdatas = {}
    if os.path.exists(path):
        with open(path, 'r', encoding="utf-8") as f:
            lines = f.readlines()
            for line in lines:
                if line:
                    time_str = __get_async_log_time(line)
                    data = line.split(" - ")[1].strip()
                    if data.startswith("["):
                        data = data[data.find("]") + 1:].strip()
                    datas = data.split("-")
                    code_ = datas[0]
                    if code and code != code_:
                        continue
                    if code_ not in fdatas:
                        fdatas[code_] = []
                    fdatas[code_].append((time_str, datas[1], eval(datas[2])))
    return fdatas


# 加载华鑫本地买入订单号
def load_l2_market_data():
    path = f"{constant.get_path_prefix()}/logs/huaxin/l2/marketdata.{tool.get_now_date_str()}.log"
@@ -632,6 +681,7 @@
                    except:
                        pass
    return fdatas


@cache_log
def load_huaxin_active_sell_map(date=tool.get_now_date_str()):
@@ -751,7 +801,7 @@


if __name__ == '__main__':
    load_huaxin_transaction_sell_no(code = '2024-11-10')
    load_huaxin_transaction_sell_no(code='2024-11-10')
    load_huaxin_transaction_sell_no(code='2024-11-10')
    # print(get_h_cancel_compute_info("603912"))