From 2f2516749615da866e96d8d24e499b7ecbb63a3e Mon Sep 17 00:00:00 2001
From: Administrator <admin@example.com>
Date: 星期一, 23 六月 2025 12:28:52 +0800
Subject: [PATCH] 默认交易模式变更/真实下单位置计算位置修改
---
utils/data_export_util.py | 386 ++++++++++++++++++++++++++++++++++++++++++------------
1 files changed, 300 insertions(+), 86 deletions(-)
diff --git a/utils/data_export_util.py b/utils/data_export_util.py
index e5a50f3..4de83e7 100644
--- a/utils/data_export_util.py
+++ b/utils/data_export_util.py
@@ -1,6 +1,7 @@
"""
鏁版嵁瀵煎嚭宸ュ叿
"""
+import copy
import json
import logging
import os
@@ -11,22 +12,93 @@
import constant
from code_attribute import gpcode_manager
import l2.l2_data_util
+from l2.huaxin import l2_huaxin_util
+from l2.l2_transaction_data_manager import BigOrderDealManager
from log_module import log, log_export
-from l2 import l2_data_source_util
+from l2 import l2_data_source_util, l2_data_util
+from log_module.log import logger_debug
from trade import deal_big_money_manager
+from trade.buy_money_count_setting import BuyMoneyUtil
+from utils import tool
+
+# 缂撳瓨L2鏁版嵁锛屾牸寮忥細{"鏃ユ湡":{鏁版嵁}}
+__l2_data_cache = {}
def export_l2_excel(code, date=None):
# 鑾峰彇L2鐨勬暟鎹�
- local_today_datas = log_export.load_l2_from_log(date)
- datas = local_today_datas[code]
- # 鑾峰彇L2澶勭悊浣嶇疆淇℃伅
- process_indexs = log_export.get_l2_process_position(code, date)
- trade_indexs = log_export.get_l2_trade_position(code, date)
- export_l2_data(code, datas, process_indexs, trade_indexs)
+ fdatas = get_l2_datas(code, date=date)
+ __save_l2_datas(code, fdatas)
-def export_l2_data(code, datas, process_indexs, trade_indexs, dest_dir=f"{constant.get_path_prefix()}/export/l2"):
+# 鑾峰彇L2鐨勬暟鎹�
+def get_l2_datas(code, today_datas=None, date=None, end_index=None):
+ __start_time = time.time()
+ if date is None:
+ date = tool.get_now_date_str()
+ datas = today_datas
+ if datas is None:
+ if date in __l2_data_cache:
+ local_today_datas = __l2_data_cache.get(date)
+ else:
+ local_today_datas = log_export.load_l2_from_log(date)
+ __l2_data_cache[date] = local_today_datas
+ datas = local_today_datas.get(code)
+ if not datas:
+ datas = []
+ if not datas:
+ # 鍔犲揩娌℃湁L2鏁版嵁鐨勫鍑洪�熷害
+ process_indexs = []
+ trade_indexs = []
+ real_position_indexes = []
+ deal_list = []
+ cancel_reasons = {}
+ else:
+ process_indexs = log_export.get_l2_process_position(code, date)
+ trade_indexs = log_export.get_l2_trade_position(code, date)
+ real_position_indexes = log_export.get_real_place_order_positions(code, date)
+ deal_list = log_export.load_huaxin_deal_record(code, date)
+ cancel_reasons = log_export.load_cancel_buy_reasons(code, date)
+ deal_list_dict = {}
+ for d in deal_list:
+ deal_list_dict[str(d[0])] = d
+
+ sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
+ sell_nos = sell_no_dict.get(code)
+ active_sell_map = log_export.load_huaxin_active_sell_map(date=date)
+ active_sell_set = active_sell_map.get(code)
+ if not active_sell_set:
+ active_sell_set = set()
+ # 濡傛灉鏈夋埅鑷充綅缃�
+ if end_index:
+ datas = copy.deepcopy(datas)
+ for i in range(len(datas)):
+ if datas[i]["index"] == end_index:
+ datas = datas[:i]
+ break
+ # 鎴愪氦鐨勫ぇ鍗曚俊鎭痆(涔板崟鍙�,鎬昏偂鏁�,鎬绘垚浜ら,鎴愪氦寮�濮嬫椂闂�,鎴愪氦缁撴潫鏃堕棿)]
+ deal_big_buy_order_list = copy.deepcopy(BigOrderDealManager().get_total_buy_data_list(code))
+ deal_big_buy_order_no_dict = {}
+ if deal_big_buy_order_list:
+ for d in deal_big_buy_order_list:
+ deal_big_buy_order_no_dict[d[0]] = d
+
+ fdatas = export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
+ active_sell_set, cancel_reasons, deal_big_buy_order_no_dict)
+ return fdatas
+
+
+def get_l2_transaction_datas(code, date=None):
+ if date is None:
+ date = tool.get_now_date_str()
+ sell_no_dict = log_export.load_huaxin_transaction_sell_no(code=code, date=date)
+ sell_nos = sell_no_dict.get(code)
+ fdatas = export_l2_transaction_data(code, sell_nos)
+ return fdatas
+
+
+def export_l2_data(code, datas, process_indexs, trade_indexs, real_position_indexes, deal_list_dict, sell_nos,
+ active_sell_nos, cancel_reasons, deal_big_buy_order_no_dict):
def find_process_index(index):
for i in range(0, len(process_indexs)):
if process_indexs[i][0] <= index <= process_indexs[i][1]:
@@ -39,57 +111,71 @@
return trade_indexs[i]
return None
+ # 鏈�鏂扮殑涓�鏉℃暟鎹�
+ latest_data = datas[-1]
+ latest_time_str_with_ms = l2.l2_data_util.L2DataUtil.get_time_with_ms(latest_data["val"])
+
# 鏁版嵁棰勫鐞�
num_operate_map = {}
l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
- num_dict = {}
- for data in datas:
- if data["val"]["num"] not in num_dict:
- num_dict[data["val"]["num"]] = []
- num_dict[data["val"]["num"]].append(data)
-
- local_time = time.strftime("%Y%m%dT%H%M%S", time.localtime(time.time()))
- file_name = "{}/{}_{}.xls".format(dest_dir, code, local_time)
- file_name_txt = "{}/{}_{}.txt".format(dest_dir, code, local_time)
- with open(file_name_txt, 'w') as openfile:
- for data in datas:
- openfile.write(json.dumps(data) + "\n")
- wb = xlwt.Workbook(encoding="utf-8")
- ws = wb.add_sheet('sheet1')
- ws.write(0, 0, '搴忓彿')
- ws.write(0, 1, '鏃堕棿')
- ws.write(0, 2, '涔版挙闂撮殧')
- ws.write(0, 3, '閲戦')
- ws.write(0, 4, '浠锋牸')
- ws.write(0, 5, '鎵嬫暟')
- ws.write(0, 6, '绫诲瀷')
- ws.write(0, 7, '閲嶅鏁伴噺')
- ws.write(0, 8, '鎾ゅ崟鏃堕棿')
- ws.write(0, 9, '璁㈠崟鍙�')
-
+ buy_no_map = {}
+ sell_no_map = {}
+ l2.l2_data_util.load_buy_no_map(buy_no_map, code, datas)
+ l2.l2_data_util.load_sell_no_map(sell_no_map, code, datas)
+ l2.l2_data_util.load_canceled_buy_no_map(l2.l2_data_util.local_today_canceled_buyno_map, code, datas)
+ # num_dict = {}
+ # for data in datas:
+ # if data["val"]["num"] not in num_dict:
+ # num_dict[data["val"]["num"]] = []
+ # num_dict[data["val"]["num"]].append(data)
+ logger_debug.info(f"寰幆缁勮鏁版嵁寮�濮嬶細闀垮害-{len(datas)} 涓诲姩鍗栭暱搴�-{len(active_sell_nos)}")
index = 0
+ fdatas = []
+ # 鏁版嵁澶灏遍渶瑕佽繃婊ゆ帀灏忛噾棰�
+ is_data_too_large = len(datas) > 20000
+
+ limit_up_price = gpcode_manager.get_limit_up_price_as_num(code)
+ if limit_up_price:
+ # 闇�瑕佽闃呯殑鐗规畩鐨勯噺
+ special_volumes = BuyMoneyUtil.get_possible_buy_volumes(limit_up_price)
+ special_volumes = [x//100 for x in special_volumes]
+ else:
+ special_volumes = []
+
for data in datas:
index += 1
- trade_info = find_trade_index(data["index"])
- font = xlwt.Font()
- if trade_info:
- if trade_info[0] == 0:
- font.colour_index = 53
- elif trade_info[0] == 1:
- font.colour_index = 17
- elif trade_info[0] == 2:
- font.colour_index = 10
- ws.write(index, 8, trade_info[2])
- style = None
- if find_process_index(data["index"]) % 2 == 0:
- style = xlwt.easyxf('pattern: pattern solid')
- else:
- style = xlwt.easyxf('pattern: pattern solid, fore_colour light_yellow')
- style.font = font
- cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
+ if is_data_too_large and data['val']['num'] * float(data['val']['price']) < 5000:
+ # 灏忓崟
+ if data["index"] not in real_position_indexes and data['val']['num'] not in special_volumes:
+ continue
- ws.write(index, 0, data["index"], style)
- ws.write(index, 1, data["val"]["time"], style)
+ # 鍏堢Щ闄�
+ if data['val']['orderNo'] in active_sell_nos:
+ # 杩囨护涓诲姩鍗�
+ continue
+
+ # 绉婚櫎鎴愪氦澶у崟鍦↙2涓凡鏈夌殑璁㈠崟
+ if l2.l2_data_util.L2DataUtil.is_limit_up_price_buy(data["val"]):
+ if int(data['val']['orderNo']) in deal_big_buy_order_no_dict:
+ deal_big_buy_order_no_dict.pop(int(data['val']['orderNo']))
+
+ trade_info = find_trade_index(data["index"])
+ if not trade_info:
+ # 鑾峰彇鐪熷疄涓嬪崟浣嶇疆
+ if data["index"] in real_position_indexes:
+ trade_info = [3]
+ style_int = None
+ if find_process_index(data["index"]) % 2 == 0:
+ style_int = 0
+ else:
+ style_int = 1
+
+ format_data = []
+ # 绱㈠紩
+ format_data.append(data["index"])
+ # 鏃堕棿
+ format_data.append(data["val"]["time"] + (f".{data['val']['tms']}" if "tms" in data["val"] else ''))
+
cancel_time = data["val"]["cancelTime"]
if cancel_time == '0':
cancel_time = ''
@@ -102,61 +188,188 @@
cancel_time += "m"
elif int(data["val"]["cancelTimeUnit"]) == 2:
cancel_time += "h"
+ # 鎾ゅ崟闂撮殧鏃堕棿
+ format_data.append(cancel_time)
+ # 閲戦
+ format_data.append("{}涓�".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 1)))
+ # 鍗曚环
+ format_data.append(data["val"]["price"])
- ws.write(index, 2, cancel_time, style)
- ws.write(index, 4, data["val"]["price"], style)
if int(data["val"]["operateType"]) == 1 or int(data["val"]["operateType"]) == 2:
- ws.write(index, 5, 0 - int(data["val"]["num"]), style)
+ format_data.append(0 - int(data["val"]["num"]))
else:
- ws.write(index, 5, int(data["val"]["num"]), style)
+ format_data.append(int(data["val"]["num"]))
limit_price = ""
if int(data["val"]["limitPrice"]) == 1:
- limit_price = "娑ㄥ仠"
+ limit_price = "T"
elif int(data["val"]["limitPrice"]) == 2:
- limit_price = "璺屽仠"
-
+ limit_price = "D"
+ operateDesc = ""
if int(data["val"]["operateType"]) == 0:
if len(limit_price) > 0:
- ws.write(index, 6, '涔� ({})'.format(limit_price), style)
+ operateDesc = '涔皗}'.format(limit_price)
else:
- ws.write(index, 6, '涔�', style)
+ operateDesc = '涔�'
elif int(data["val"]["operateType"]) == 1:
if len(limit_price) > 0:
- ws.write(index, 6, '涔版挙 ({})'.format(limit_price), style)
+ operateDesc = '涔版挙{}'.format(limit_price)
+
else:
- ws.write(index, 6, '涔版挙', style)
+ operateDesc = '涔版挙'
+
elif int(data["val"]["operateType"]) == 2:
if len(limit_price) > 0:
- ws.write(index, 6, '鍗� ({})'.format(limit_price), style)
+ operateDesc = '鍗杮}'.format(limit_price)
else:
- ws.write(index, 6, '鍗�', style)
+ operateDesc = '鍗�'
+
elif int(data["val"]["operateType"]) == 3:
if len(limit_price) > 0:
- ws.write(index, 6, '鍗栨挙 ({})'.format(limit_price), style)
+ operateDesc = '鍗栨挙{}'.format(limit_price)
else:
- ws.write(index, 6, '鍗栨挙', style)
- ws.write(index, 7, data["re"], style)
- ws.write(index, 9, data["val"].get("orderNo"), style)
+ operateDesc = '鍗栨挙'
+ format_data.append(operateDesc)
+ format_data.append(data["re"])
# 鏌ヨ鏄惁鎾ゅ崟
+ cancel_info = None
if int(data["val"]["operateType"]) == 0:
- cancel = False
+ cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"]))
# 涔�
- for d in num_dict[data["val"]["num"]]:
- if int(d["val"]["operateType"]) == 1:
- buy_index = l2_data_source_util.L2DataSourceUtils.get_buy_index_with_cancel_data(code, d,
- num_operate_map[
- code])
- if buy_index == data["index"]:
- try:
- ws.write(index, 8, "{}-{}".format(d["index"], d["val"]["time"]), cancel_style)
- break
- except Exception as e:
- logging.exception(e)
+ if cancel_data and latest_data["index"] >= cancel_data["index"]:
+ # 濡傛灉鎾ゅ崟绱㈠紩涓嶈兘姣旀渶杩戞暟鎹储寮曡繕澶�
+ try:
+ left_num = data["val"]["num"] - cancel_data["val"]["num"]
+ if left_num > 0:
+ cancel_info = f"鎴愪氦:{left_num} 搴忓彿:{cancel_data['index']}"
+ else:
+ cancel_info = "{}-{}".format(cancel_data["index"], f"{cancel_data['val']['time']}") + (
+ f".{cancel_data['val']['tms']}" if "tms" in cancel_data["val"] else '')
+ except Exception as e:
+ logging.exception(e)
+ else:
+ deal_info = deal_list_dict.get(str(data["val"].get("orderNo")))
+ if deal_info and len(deal_info) >= 5:
+ # 鎴愪氦鏃堕棿涓嶈兘姣斿綋鍓嶇储寮曟椂闂村ぇ
+ cancel_info = l2_huaxin_util.convert_time(deal_info[4],
+ with_ms=True)
+ if tool.trade_time_sub_with_ms(cancel_info, latest_time_str_with_ms) > 0:
+ cancel_info = None
+ format_data.append(cancel_info)
+ cancel_order_info = None
+ if trade_info:
+ if trade_info[0] == 0:
+ # font.colour_index = 53
+ pass
+ elif trade_info[0] == 1:
+ # font.colour_index = 17
+ pass
+ elif trade_info[0] == 2:
+ # font.colour_index = 10
+ cancel_order_info = trade_info[2]
+ if not cancel_order_info:
+ if data["index"] in cancel_reasons:
+ cancel_order_info = cancel_reasons[data["index"]]
- ws.write(index, 3, "{}涓�".format(round(int(data["val"]["num"]) * float(data["val"]["price"]) / 100, 2)), style)
+ format_data.append(cancel_order_info)
+ format_data.append(data["val"].get("orderNo"))
+ fdatas.append((style_int, trade_info, format_data))
+
+ if tool.is_sh_code(code) and deal_big_buy_order_no_dict:
+ # 涓婅瘉锛屾湁涓诲姩鎴愪氦鐨勫ぇ鍗�
+ active_deal_list = [deal_big_buy_order_no_dict[order_no] for order_no in deal_big_buy_order_no_dict]
+ active_deal_list.sort(key=lambda x: x[3])
+ for i in range(len(active_deal_list)):
+ d = active_deal_list[i]
+ format_data = [0]
+ format_data.append(l2_huaxin_util.convert_time(d[3], with_ms=True))
+ format_data.append('')
+ format_data.append(f"{round(d[2] / 10000, 1)}涓�")
+ format_data.append(round(d[2] / d[1], 2))
+ format_data.append(d[1] // 100)
+ format_data.append('涓诲姩涔�')
+ format_data.append(1)
+ format_data.append(l2_huaxin_util.convert_time(d[4], with_ms=True))
+ format_data.append('')
+ format_data.append(d[0])
+ fdatas.insert(i, (0, None, format_data))
+ logger_debug.info("寰幆缁勮鏁版嵁瀹屾垚")
+ return fdatas
+
+
+def export_l2_transaction_data(code, sell_nos):
+ fdatas = []
+ if sell_nos:
+ index = 0
+ for sell_info in sell_nos:
+ if sell_info[1] * sell_info[2] < 50 * 10000:
+ continue
+ index += 1
+ item = []
+ item.append(index)
+ item.append(l2_huaxin_util.convert_time(sell_info[3][0], with_ms=True))
+ item.append("")
+ item.append(
+ "{}涓�".format(round(sell_info[1] * sell_info[2] / 10000, 1)))
+ item.append(sell_info[2])
+ item.append(sell_info[1] // 100)
+ item.append("涓诲姩鍗�")
+ item.append(1)
+ item.append(l2_huaxin_util.convert_time(sell_info[4][0], with_ms=True))
+ item.append(None)
+ item.append(sell_info[0])
+ fdatas.append((0, None, item))
+ return fdatas
+
+
+def __save_l2_datas(code, fdatas, dest_dir=f"{constant.get_path_prefix()}/export/l2"):
+ local_time = time.strftime("%Y%m%dT%H%M%S", time.localtime(time.time()))
+ file_name = "{}/{}_{}.xls".format(dest_dir, code, local_time)
+ wb = xlwt.Workbook(encoding="utf-8")
+ ws = wb.add_sheet('sheet1')
+ ws.write(0, 0, '搴忓彿')
+ ws.write(0, 1, '鏃堕棿')
+ ws.write(0, 2, '涔版挙闂撮殧')
+ ws.write(0, 3, '閲戦')
+ ws.write(0, 4, '浠锋牸')
+ ws.write(0, 5, '鎵嬫暟')
+ ws.write(0, 6, '绫诲瀷')
+ ws.write(0, 7, '閲嶅鏁伴噺')
+ ws.write(0, 8, '鎾ゅ崟鏃堕棿')
+ ws.write(0, 9, '澶囨敞')
+ ws.write(0, 10, '璁㈠崟鍙�')
+ index = 0
+
+ cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
+ for fdata in fdatas:
+ index += 1
+ style_int = fdata[0]
+ trade_info = fdata[1]
+ data = fdata[2]
+ style = None
+ if style_int == 0:
+ style = xlwt.easyxf('pattern: pattern solid')
+ else:
+ style = xlwt.easyxf('pattern: pattern solid, fore_colour light_yellow')
+ font = xlwt.Font()
+ style.font = font
+
+ if trade_info:
+ if trade_info[0] == 0:
+ font.colour_index = 53
+ elif trade_info[0] == 1:
+ font.colour_index = 17
+ elif trade_info[0] == 2:
+ font.colour_index = 10
+
+ for i in range(len(data)):
+ if data[i] is None:
+ continue
+ if i == 8 and data[i]:
+ ws.write(index, i, data[i], cancel_style)
+ else:
+ ws.write(index, i, data[i], style)
wb.save(file_name)
- return file_name
def export_l2_data_origin(code, datas, key, dest_dir=f"{constant.get_path_prefix()}/export/l2_origin"):
@@ -205,9 +418,10 @@
datas = local_today_datas[code]
num_operate_map = {}
l2.l2_data_util.load_num_operate_map(num_operate_map, code, datas)
- for progress in progresses:
- deal_big_money_manager.DealComputeProgressManager().set_trade_progress(code, progress, datas, num_operate_map[code])
if __name__ == "__main__":
- export_l2_excel("600360", date="2023-09-11")
+ try:
+ get_l2_datas("600990")
+ except Exception as e:
+ logging.exception(e)
--
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