From e3f4cf3bacac6eda31ddea6aaf70ebb883788817 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期三, 28 五月 2025 17:38:07 +0800
Subject: [PATCH] L2成交大单解析
---
l2_data_parser.py | 8 +++-
l2_test.py | 4 +-
data_parser/transaction_big_order_parser.py | 59 ++++++++++++++++++++---------
3 files changed, 49 insertions(+), 22 deletions(-)
diff --git a/data_parser/transaction_big_order_parser.py b/data_parser/transaction_big_order_parser.py
index aad957a..84dae46 100644
--- a/data_parser/transaction_big_order_parser.py
+++ b/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("鎷兼帴鏁版嵁涓嶅瓨鍦�")
@@ -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("鎷兼帴鏁版嵁涓嶅瓨鍦�")
+ return
+ output_path = os.path.join(dir_path, f"big_buy_{code}.csv")
+ if os.path.exists(output_path):
+ print_log("璺緞宸插瓨鍦�:", 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]
+ # 鏂板啓娉�
+ with Pool(processes=process_count) as pool:
+ pool.map(__extract_big_order_of_code, args)
-def extract_big_order_of_code(dir_path, code):
- """
- 鎻愬彇浠ｇ爜鐨勫ぇ鍗�
- @param dir_path: 鏁版嵁鐩綍
- @param code: 涓虹┖琛ㄧず瀵煎嚭鍏ㄩ儴
- @return:
- """
+def __extract_big_order_of_code(args):
def first_last(group):
"""
鑾峰彇绗竴鏉℃暟鎹笌鏈�鍚庝竴鏉�
@@ -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("鎷兼帴鏁版嵁涓嶅瓨鍦�")
- 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("璺緞宸插瓨鍦�:", 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 @@
# 閬嶅巻鍐呭
grouped_result.to_csv(output_path, index=False)
print_log(f"[{tool.get_now_time_str()}]淇濆瓨鎴愬姛锛岃矾寰勶細{output_path}")
+
+
+def extract_big_order_of_code(dir_path, code):
+ """
+ 鎻愬彇浠ｇ爜鐨勫ぇ鍗�
+ @param dir_path: 鏁版嵁鐩綍
+ @param code: 涓虹┖琛ㄧず瀵煎嚭鍏ㄩ儴
+ @return:
+ """
+
+ combined_path = os.path.join(dir_path, 'combined.csv')
+ if not os.path.exists(combined_path):
+ print_log("鎷兼帴鏁版嵁涓嶅瓨鍦�")
+ 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:/娴嬭瘯鏁版嵁/Transaction_Test.csv")
# pre_process_ngtsticks("E:/娴嬭瘯鏁版嵁/NGTSTick_Test.csv")
# concat_pre_transactions("E:/娴嬭瘯鏁版嵁/Transaction_Test")
# extract_big_order_codes("E:/娴嬭瘯鏁版嵁/Transaction_Test")
- extract_big_order_of_code("E:/娴嬭瘯鏁版嵁/Transaction_Test")
+ extract_big_order_of_all("E:/娴嬭瘯鏁版嵁/Transaction_Test")
diff --git a/l2_data_parser.py b/l2_data_parser.py
index 3d72c80..5433d19 100644
--- a/l2_data_parser.py
+++ b/l2_data_parser.py
@@ -407,8 +407,12 @@
# 鍛戒护妯″紡 /home/userzjj/app/gp-server/l2_data_parser ExtractDealBigOrder 2025-05-09
# 鏍规嵁code鎻愬彇澶у崟
if not code:
- transaction_big_order_parser.extract_big_order_of_all(f"/home/userzjj/ftp/{day}/NGTSTick")
- transaction_big_order_parser.extract_big_order_of_all(f"/home/userzjj/ftp/{day}/Transaction")
+ # indexed_data = [f"/home/userzjj/ftp/{day}/NGTSTick", f"/home/userzjj/ftp/{day}/Transaction"]
+ # # 鏂板啓娉�
+ # with Pool(processes=2) as pool:
+ # pool.map(transaction_big_order_parser.extract_big_order_of_all, indexed_data)
+ transaction_big_order_parser.extract_big_order_of_all(f"/home/userzjj/ftp/{day}/NGTSTick", process_count=10)
+ transaction_big_order_parser.extract_big_order_of_all(f"/home/userzjj/ftp/{day}/Transaction", process_count=10)
else:
if tool.is_sh_code(code):
transaction_big_order_parser.extract_big_order_of_code(f"/home/userzjj/ftp/{day}/NGTSTick", code)
diff --git a/l2_test.py b/l2_test.py
index 8db7571..161d834 100644
--- a/l2_test.py
+++ b/l2_test.py
@@ -124,8 +124,8 @@
volume = zylt_volume_map.get(code)
# 浠婃棩娑ㄥ仠浠疯绐佺牬鏄ㄦ棩鏈�楂樹环
k_bars = HistoryKDataManager().get_history_bars(code, last_trade_day)
- if k_bars and 30e8 <= k_bars[0]["close"] * volume * tool.get_limit_up_rate(code) <= 300e8:
- # 鑷敱娴侀�氬競鍊煎湪30浜�-300浜夸互涓�
+ if k_bars and 10e8 <= k_bars[0]["close"] * volume * tool.get_limit_up_rate(code) <= 300e8:
+ # 鑷敱娴侀�氬競鍊煎湪10浜�-300浜夸互涓�
limit_up_price = round(tool.get_limit_up_rate(code) * k_bars[0]["close"], 2)
if limit_up_price > k_bars[0]["high"]:
# 浠婃棩娑ㄥ仠浠疯绐佺牬鏄ㄦ棩鏈�楂樹环
--
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