From f3651b3d5b750c26b3f5a46e0a4abfc5401782d0 Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期五, 09 五月 2025 17:21:33 +0800
Subject: [PATCH] 大单解析器
---
l2_data_parser.py | 126 ++++++++++++++++++++++++++++++++++++++++--
1 files changed, 120 insertions(+), 6 deletions(-)
diff --git a/l2_data_parser.py b/l2_data_parser.py
index b93a0e2..0f2b715 100644
--- a/l2_data_parser.py
+++ b/l2_data_parser.py
@@ -5,6 +5,7 @@
import os
import sys
from db import mysql_data_delegate as mysql_data
+from huaxin_client.l2_client_test import L2TransactionDataManager
from log_module import log_export
@@ -14,7 +15,7 @@
for plate in special_codes_dict:
codes = special_codes_dict[plate]
fcodes |= codes
- fcodes
+ return fcodes
def parse_order_detail(day, code):
@@ -40,9 +41,10 @@
writer.writerow(row)
-def parse_transaction(day):
+def parse_transaction(day, save=True):
target_codes = __get_target_codes(day)
base_path = f"/home/userzjj/ftp/{day}"
+ fdatas = []
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]
@@ -58,12 +60,16 @@
if row[1] not in target_codes:
continue
# 灏嗘枃浠跺啓鍏ュ埌鏂囨湰
- writer.writerow(row)
+ if save:
+ writer.writerow(row)
+ fdatas.append(row)
+ return fdatas
-def parse_ngtstick(day):
+def parse_ngtstick(day, save=True):
target_codes = __get_target_codes(day)
base_path = f"/home/userzjj/ftp/{day}"
+ fdatas = []
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]
@@ -78,8 +84,102 @@
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)
+ if save:
+ # 灏嗘枃浠跺啓鍏ュ埌鏂囨湰
+ writer.writerow(row)
+ fdatas.append(row)
+ return fdatas
+
+
+def parse_deal_big_orders(day, big_order_path, target_code=None):
+ """
+ 鎻愬彇鎵�鏈夋垚浜ゅぇ鍗�
+ @param day:
+ @return:
+ """
+ print("寮�濮嬪鐞嗘暟鎹�", day, big_order_path, target_code)
+ l2_data_manager_dict = {}
+ # 瑙ｆ瀽鏁版嵁
+ transaction_data = parse_transaction(day)
+ print("Transaction 璇诲彇瀹屾瘯", len(transaction_data))
+ ngtstick_data = parse_ngtstick(day)
+ print("NGTSTick 璇诲彇瀹屾瘯", len(ngtstick_data))
+ big_order_list = []
+ for index, row in enumerate(transaction_data):
+ code = row[1]
+ if target_code and code != target_code:
+ continue
+ item = {"SecurityID": row[1], "TradePrice": round(float(row[3].split("@")[0]), 2),
+ "TradeVolume": int(row[4]),
+ "OrderTime": int(row[2]), "MainSeq": int(row[6]),
+ "SubSeq": int(row[7]), "BuyNo": int(row[8]),
+ "SellNo": int(row[9]),
+ "ExecType": int(row[5])}
+ if item["TradePrice"] <= 0:
+ continue
+ if code not in l2_data_manager_dict:
+ l2_data_manager_dict[code] = L2TransactionDataManager(code, True)
+ l2_data_manager_dict[code].add_transaction_data(item)
+ if index % 100 == 0:
+ # 璇诲彇闃熷垪涓殑鏁版嵁
+ l2_data_manager: L2TransactionDataManager = l2_data_manager_dict[code]
+ while not l2_data_manager.big_accurate_buy_order_queue.empty():
+ data = l2_data_manager.big_accurate_buy_order_queue.get()
+ big_order_list.append((code, 0, data))
+
+ while not l2_data_manager.big_accurate_sell_order_queue.empty():
+ data = l2_data_manager.big_accurate_sell_order_queue.get()
+ big_order_list.append((code, 1, data))
+ print("Transaction 澶勭悊瀹屾瘯", len(big_order_list))
+
+ for index, row in enumerate(ngtstick_data):
+ code = row[1]
+ if target_code and code != target_code:
+ continue
+ if row[5].strip() != 'T':
+ # 杩囨护闈炴垚浜ゆ暟鎹�
+ continue
+
+ item = {"SecurityID": row[1], "TradePrice": round(float(row[8].split("@")[0]), 2),
+ "TradeVolume": int(row[9]),
+ "OrderTime": row[4], "MainSeq": row[2],
+ "SubSeq": row[3], "BuyNo": row[6],
+ "SellNo": row[7],
+ "ExecType": '1'}
+ if item["TradePrice"] <= 0:
+ continue
+
+ if code not in l2_data_manager_dict:
+ l2_data_manager_dict[item["SecurityID"]] = L2TransactionDataManager(code, True)
+ l2_data_manager_dict[item["SecurityID"]].add_transaction_data(item)
+ if index % 100 == 0:
+ # 璇诲彇闃熷垪涓殑鏁版嵁
+ l2_data_manager: L2TransactionDataManager = l2_data_manager_dict[code]
+ while not l2_data_manager.big_accurate_buy_order_queue.empty():
+ data = l2_data_manager.big_accurate_buy_order_queue.get()
+ big_order_list.append((code, 0, data))
+
+ while not l2_data_manager.big_accurate_sell_order_queue.empty():
+ data = l2_data_manager.big_accurate_sell_order_queue.get()
+ big_order_list.append((code, 1, data))
+ print("NGTSTick 澶勭悊瀹屾瘯", len(big_order_list))
+ # 璇诲彇鍓╀綑鐨勬湭璇绘暟鎹殑浠ｇ爜
+ for code in l2_data_manager_dict:
+ l2_data_manager: L2TransactionDataManager = l2_data_manager_dict[code]
+ while not l2_data_manager.big_accurate_buy_order_queue.empty():
+ data = l2_data_manager.big_accurate_buy_order_queue.get()
+ big_order_list.append((code, 0, data))
+
+ while not l2_data_manager.big_accurate_sell_order_queue.empty():
+ data = l2_data_manager.big_accurate_sell_order_queue.get()
+ big_order_list.append((code, 1, data))
+ print("寮�濮嬪啓鍏ユ湰鍦版枃浠讹細", len(big_order_list))
+ # 寮�濮嬪啓鍏ユ湰鍦版枃浠�
+ with open(big_order_path, mode='w', encoding='utf-8') as f:
+ for order in big_order_list:
+ f.write(f"{order}")
+ print("鍐欏叆鏈湴鏂囦欢缁撴潫锛�")
+
def parse_market_data(day):
@@ -103,6 +203,7 @@
writer.writerow(row)
+# 鍛戒护妯″紡 /home/userzjj/app/gp-server/l2_data_parser Transaction 2025-05-08
if __name__ == '__main__':
if len(sys.argv) > 1:
params = sys.argv[1:]
@@ -121,3 +222,16 @@
parse_ngtstick(day)
elif _type == 'MarketData':
parse_market_data(day)
+ elif _type == 'ExtractDealBigOrder':
+ # 鎻愬彇鎵�鏈夋垚浜ょ殑澶у崟
+ # TODO
+ if len(params) > 2:
+ save_path = params[2].strip()
+ else:
+ save_path = None
+
+ if len(params) > 3:
+ target_code = params[3].strip()
+ else:
+ target_code = None
+ parse_deal_big_orders(day, save_path, target_code)
--
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