From c25ca04703092a997bc1f0ead1a7d9479893c940 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 24 一月 2025 15:36:31 +0800
Subject: [PATCH] L2历史数据解析
---
l2_data_parser.py | 70 +++++++++++++++++++++++++++++++++++
1 files changed, 70 insertions(+), 0 deletions(-)
diff --git a/l2_data_parser.py b/l2_data_parser.py
index 0960ea9..f2b2d32 100644
--- a/l2_data_parser.py
+++ b/l2_data_parser.py
@@ -34,6 +34,69 @@
writer.writerow(row)
+def parse_transaction(day):
+ target_codes = __get_target_codes(day)
+ base_path = f"/home/userzjj/ftp/{day}"
+ with open(f"{base_path}/Transaction.csv", 'r', encoding='utf-8') as file:
+ csv_reader = csv.reader(file)
+ # 鑾峰彇琛ㄥご锛�: [ExchangeID,SecurityID,TradeTime,TradePrice,TradeVolume,ExecType,MainSeq,SubSeq,BuyNo,SellNo,Info1,Info2,Info3,TradeBSFlag,BizIndex,LocalTimeStamp]
+ headers = next(csv_reader)
+ print("琛ㄥご:", headers)
+ # 閬嶅巻鏁版嵁琛�
+ _path = f"{base_path}/Transaction_filter.csv"
+ with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
+ # 鍒涘缓涓�涓� CSV 鍐欏叆鍣ㄥ璞�
+ writer = csv.writer(csvfile)
+ # 閫愯鍐欏叆鏁版嵁
+ for row in csv_reader:
+ if row[1] not in target_codes:
+ continue
+ # 灏嗘枃浠跺啓鍏ュ埌鏂囨湰
+ writer.writerow(row)
+
+
+def parse_ngtstick(day):
+ target_codes = __get_target_codes(day)
+ base_path = f"/home/userzjj/ftp/{day}"
+ with open(f"{base_path}/NGTSTick.csv", 'r', encoding='utf-8') as file:
+ csv_reader = csv.reader(file)
+ # 鑾峰彇琛ㄥご锛�: [ExchangeID,SecurityID,MainSeq,SubSeq,TickTime,TickType,BuyNo,SellNo,Price,Volume,TradeMoney,Side,TradeBSFlag,MDSecurityStat,Info1,Info2,Info3,LocalTimeStamp]
+ headers = next(csv_reader)
+ print("琛ㄥご:", headers)
+ # 閬嶅巻鏁版嵁琛�
+ _path = f"{base_path}/NGTSTick_filter.csv"
+ with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
+ # 鍒涘缓涓�涓� CSV 鍐欏叆鍣ㄥ璞�
+ writer = csv.writer(csvfile)
+ # 閫愯鍐欏叆鏁版嵁
+ for row in csv_reader:
+ if row[1] not in target_codes:
+ continue
+ # 灏嗘枃浠跺啓鍏ュ埌鏂囨湰
+ writer.writerow(row)
+
+
+def parse_market_data(day):
+ target_codes = __get_target_codes(day)
+ base_path = f"/home/userzjj/ftp/{day}"
+ with open(f"{base_path}/MarketData.csv", 'r', encoding='utf-8') as file:
+ csv_reader = csv.reader(file)
+ # 鑾峰彇琛ㄥご锛�: [SecurityID,ExchangeID,DataTimeStamp,PreClosePrice,OpenPrice,NumTrades,TotalVolumeTrade,TotalValueTrade,TotalBidVolume,AvgBidPrice,TotalAskVolume,AvgAskPrice,HighestPrice,LowestPrice,LastPrice,BidPrice1,BidVolume1,AskPrice1,AskVolume1....]
+ headers = next(csv_reader)
+ print("琛ㄥご:", headers)
+ # 閬嶅巻鏁版嵁琛�
+ _path = f"{base_path}/MarketData_filter.csv"
+ with open(_path, 'w', newline='', encoding='utf-8') as csvfile:
+ # 鍒涘缓涓�涓� CSV 鍐欏叆鍣ㄥ璞�
+ writer = csv.writer(csvfile)
+ # 閫愯鍐欏叆鏁版嵁
+ for row in csv_reader:
+ if row[0] not in target_codes:
+ continue
+ # 灏嗘枃浠跺啓鍏ュ埌鏂囨湰
+ writer.writerow(row)
+
+
if __name__ == '__main__':
if len(sys.argv) > 1:
params = sys.argv[1:]
@@ -42,3 +105,10 @@
day = params[1].strip()
if _type == 'OrderDetail':
parse_order_detail(day)
+ elif _type == 'Transaction':
+ parse_transaction(day)
+ elif _type == 'XTSTick':
+ parse_ngtstick(day)
+ elif _type == 'MarketData':
+ parse_market_data(day)
+
--
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