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 | 229 +++++++++++++++++++++++++++++++++++++++++++++++++-------
1 files changed, 198 insertions(+), 31 deletions(-)
diff --git a/utils/data_export_util.py b/utils/data_export_util.py
index fa26cd3..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
@@ -11,34 +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]
- datas = datas[-2000:]
- # 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)
- fdatas = export_l2_data(code, datas, process_indexs, trade_indexs)
+ fdatas = get_l2_datas(code, date=date)
__save_l2_datas(code, fdatas)
# 鑾峰彇L2鐨勬暟鎹�
-def get_l2_datas(code, date=None):
- local_today_datas = log_export.load_l2_from_log(date)
- datas = local_today_datas[code]
- process_indexs = log_export.get_l2_process_position(code, date)
- trade_indexs = log_export.get_l2_trade_position(code, date)
- fdatas = export_l2_data(code, datas, process_indexs, trade_indexs)
+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 export_l2_data(code, datas, process_indexs, trade_indexs):
+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]:
@@ -51,25 +111,59 @@
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)
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
+ 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
+
+ # 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
@@ -108,31 +202,31 @@
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:
- operateDesc = '涔� ({})'.format(limit_price)
+ operateDesc = '涔皗}'.format(limit_price)
else:
operateDesc = '涔�'
elif int(data["val"]["operateType"]) == 1:
if len(limit_price) > 0:
- operateDesc = '涔版挙 ({})'.format(limit_price)
+ operateDesc = '涔版挙{}'.format(limit_price)
else:
operateDesc = '涔版挙'
elif int(data["val"]["operateType"]) == 2:
if len(limit_price) > 0:
- operateDesc = '鍗� ({})'.format(limit_price)
+ operateDesc = '鍗杮}'.format(limit_price)
else:
operateDesc = '鍗�'
elif int(data["val"]["operateType"]) == 3:
if len(limit_price) > 0:
- operateDesc = '鍗栨挙 ({})'.format(limit_price)
+ operateDesc = '鍗栨挙{}'.format(limit_price)
else:
operateDesc = '鍗栨挙'
format_data.append(operateDesc)
@@ -142,11 +236,25 @@
if int(data["val"]["operateType"]) == 0:
cancel_data = l2.l2_data_util.local_today_canceled_buyno_map.get(code).get(str(data["val"]["orderNo"]))
# 涔�
- if cancel_data:
+ 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:
- cancel_info = "{}-{}".format(cancel_data["index"], cancel_data["val"]["time"])
+ 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:
@@ -159,9 +267,58 @@
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"]]
+
format_data.append(cancel_order_info)
format_data.append(data["val"].get("orderNo"))
- fdatas.append((style_int, format_data))
+ 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
@@ -179,21 +336,31 @@
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�')
+ ws.write(0, 9, '澶囨敞')
+ ws.write(0, 10, '璁㈠崟鍙�')
index = 0
- font = xlwt.Font()
cancel_style = xlwt.easyxf('pattern: pattern solid, fore_colour gray25')
for fdata in fdatas:
index += 1
style_int = fdata[0]
- data = fdatas[1]
+ 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:
@@ -255,6 +422,6 @@
if __name__ == "__main__":
try:
- export_l2_excel("600476")
+ get_l2_datas("600990")
except Exception as e:
logging.exception(e)
--
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