def read_position_file_lts(lts_file_path):
print 'Start read file:' + lts_file_path
with codecs.open(lts_file_path, 'r', 'gbk') as fr:
sf_instrument_array = []
of_instrument_array = []
instrument_array = []
market_array = []
index_array = []
for line in fr.xreadlines():
base_model = BaseModel()
for temp_str in line.split('|')[1].split(','):
temp_array = temp_str.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQrySFInstrument' in line:
sf_instrument_array.append(base_model)
if 'OnRspQryOFInstrument' in line:
of_instrument_array.append(base_model)
elif 'OnRspQryInstrument' in line:
instrument_array.append(base_model)
elif 'OnRtnDepthMarketData' in line:
market_array.append(base_model)
elif 'OnRtnL2Index' in line:
index_array.append(base_model)
update_fund(sf_instrument_array, of_instrument_array) # 更新分级基金的prev_nav
update_instrument_base_info(instrument_array)
update_market(market_array) # 根据md行情数据更新prev_close
update_market_index(index_array) # 根据md的L2行情数据更新指数的prev_close
def read_price_file_femas(femas_file_path):
print 'Start read file:', femas_file_path
fr = open(femas_file_path)
option_array = []
future_array = []
instrument_cff_array = []
market_array = []
for line in fr.readlines():
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryInstrument' in line:
product_id = getattr(base_model, 'ProductID', '')
options_type = getattr(base_model, 'OptionsType', '')
if product_id in ('IC', 'IF', 'IH', 'T', 'TF', 'TS'):
future_array.append(base_model)
instrument_cff_array.append(base_model)
elif (options_type == '1') or (options_type == '2'):
option_array.append(base_model)
instrument_cff_array.append(option_array)
elif 'OnRtnDepthMarketData' in line:
market_array.append(base_model)
update_instrument_cff(future_array)
update_market_data(market_array)
def read_position_file_stk(stk_file_path):
print 'Start read file:' + stk_file_path
fr = open(stk_file_path)
order_array = []
trade_array = []
expendable_fund_array = []
expendable_shares_array = []
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
tempArray = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, tempArray[0].strip(), tempArray[1])
if 'OnRspQryCurrDayOrder' in line:
order_array.append(base_model)
elif 'OnRspQryCurrDayFill' in line:
trade_array.append(base_model)
elif 'OnRspQryExpendableFund' in line:
expendable_fund_array.append(base_model)
elif 'OnRspQryExpendableShares' in line:
expendable_shares_array.append(base_model)
print 'AccountID:', account_id
# 删除该账号今日记录
del_account_position_by_id(account_id)
del_order_trader_by_id(account_id)
save_order(account_id, order_array)
save_trade(account_id, trade_array)
save_account_cny(account_id, expendable_fund_array)
save_account_position(account_id, expendable_shares_array)
update_db()
def read_position_file_ctp(ctp_file_path):
print 'Start read file:' + ctp_file_path
fr = open(ctp_file_path)
order_array = []
trade_array = []
trading_account_array = []
investor_position_array = []
commission_rate_array = []
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(),
temp_array[1].strip())
if 'OnRspQryOrder' in line:
order_array.append(base_model)
elif 'OnRspQryTrade' in line:
trade_array.append(base_model)
elif 'OnRspQryTradingAccount' in line:
trading_account_array.append(base_model)
elif 'OnRspQryInvestorPosition' in line:
investor_position_array.append(base_model)
elif 'OnRspQryInstrumentCommissionRate' in line:
commission_rate_array.append(base_model)
print 'AccountID:', account_id
if not trading_account_array:
print 'Account Info Missing!'
return
# 删除该账号今日记录
del_account_position_by_id(account_id)
del_order_trader_by_id(account_id)
account_name, cny_position_db = __get_account_cny(account_id,
trading_account_array)
# 需特殊处理账号标志位
# special_account_flag = __query_special_account_flag(account_id)
commission_rate_list = __get_commission_rate_list(commission_rate_array)
(order_list, order_dict) = __get_order_list(account_id, account_name,
order_array)
trade_list = __get__trade_list(account_id, account_name, trade_array,
order_dict)
(position_dict,
position_db_list) = __build_account_position(account_id, account_name,
investor_position_array)
position_db_list.append(cny_position_db)
update_db(commission_rate_list, order_list, trade_list, position_db_list)
update_account_trade_restrictions(account_id)
def read_position_file_guosen(guosen_file_path):
print 'Start read file:' + guosen_file_path
fr = open(guosen_file_path)
trading_account_array = []
investor_position_array = []
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
item_array = line.split('|')[1].split('')
for i in range(0, len(item_array)):
if i == len(item_array) - 1:
continue
item = item_array[i].split('=', 1)
if item[0] == '702':
group = []
cross_size = int(item[1])
for j in range(0, cross_size):
group.append('%s|%s' % (item_array[i + 1 + 2 * j],
item_array[i + 2 + 2 * j]))
setattr(base_model, 'GroupA', group)
i += cross_size
elif item[0] == '753':
group = []
cross_size = int(item[1])
for j in range(0, cross_size):
group.append('%s|%s' % (item_array[i + 1 + 2 * j],
item_array[i + 2 + 2 * j]))
setattr(base_model, 'GroupB', group)
i += cross_size
else:
setattr(base_model, item[0].strip(), item[1])
msg_type = getattr(base_model, '35', '0')
if msg_type == 'UAP':
posreq_type = getattr(base_model, '724', '0')
posreq_result = getattr(base_model, '728', '0')
if posreq_result != '0':
print 'The returned message is wrong:', line
continue
if posreq_type == '9':
trading_account_array.append(base_model) # 资金
elif posreq_type == '0':
investor_position_array.append(base_model) # 股份
# 删除该账号今日记录
del_account_position_by_id(account_id)
del_order_trader_by_id(account_id)
save_account_cny(account_id, trading_account_array)
save_account_position(account_id, investor_position_array)
update_db()
def read_ctp_file(file_path):
market_array = []
fr = open(file_path)
for line in fr.readlines():
baseModel = BaseModel()
if len(line.strip()) == 0:
continue
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(baseModel, temp_array[0].strip(), temp_array[1])
if 'OnRspQryDepthMarketData' in line:
market_array.append(baseModel)
return market_array
def read_position_file_hs(hs_file_path, add_flag):
print 'Start read file:' + hs_file_path
fr = open(hs_file_path)
order_array = []
trade_array = []
trading_account_array = []
investor_position_array = []
for line in fr.readlines():
if line.strip() == '':
continue
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
if len(temp_array) != 2:
continue
setattr(base_model, temp_array[0].strip(),
temp_array[1].strip())
if 'QryOrder' in line:
order_array.append(base_model)
elif 'QryTrade' in line:
trade_array.append(base_model)
elif 'QryCash' in line:
trading_account_array.append(base_model)
elif 'QryPosition' in line:
investor_position_array.append(base_model)
print 'AccountID:', account_id
# 删除该账号今日记录
del_account_position_by_id(account_id)
(order_list, order_dict) = __get_order_list(account_id, order_array)
trade_list = __get__trade_list(account_id, trade_array, order_dict)
(position_dict,
position_db_list) = __build_account_position(account_id,
investor_position_array)
cny_position_db = __get_account_cny(account_id, trading_account_array)
position_db_list.append(cny_position_db)
update_db(order_list, trade_list, position_db_list)
def read_position_file_lts(lts_file_path, filter_date_str):
print 'Start Read File:' + lts_file_path
fr = open(lts_file_path)
order_array = []
trade_array = []
trading_account_array = []
investor_position_array = []
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryOrder' in line:
order_array.append(base_model)
elif 'OnRspQryTrade' in line:
trade_array.append(base_model)
elif 'OnRspQryTradingAccount' in line:
trading_account_array.append(base_model)
elif 'OnRspQryInvestorPosition' in line:
investor_position_array.append(base_model)
print 'AccountID:', account_id
account_info = get_account_info(account_id)
# 删除该账号今日记录
del_account_position_by_id(account_id, filter_date_str)
del_order_trader_by_id(account_id, filter_date_str)
order_list = save_order(account_id, order_array, filter_date_str)
trade_list = save_trade(account_info, trade_array, filter_date_str)
position_list = []
account_position_list = save_account_cny(account_info, trading_account_array, filter_date_str)
ticker_position_list = save_account_position(account_info, investor_position_array, filter_date_str)
position_list.extend(account_position_list)
position_list.extend(ticker_position_list)
update_db(order_list, trade_list, position_list)
__update_account_trade_restrictions(account_id, order_list)
def read_position_file(xtp_file_path, add_flag):
print 'Start read file:' + xtp_file_path
order_array = []
trade_array = []
trading_account_array = []
investor_position_array = []
with open(xtp_file_path) as fr:
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(),
temp_array[1].strip())
if 'OnQryOrder' in line:
order_array.append(base_model)
elif 'OnQryTrade' in line:
trade_array.append(base_model)
elif 'OnQryAsset' in line:
trading_account_array.append(base_model)
elif 'OnQryPosition' in line:
investor_position_array.append(base_model)
print 'AccountID:', account_id
if add_flag:
# 删除该账号今日记录
del_account_position_by_id(account_id)
order_list = __get_order_list(account_id, order_array)
trade_list = __get__trade_list(account_id, trade_array)
(position_dict,
position_db_list) = __build_account_position(account_id,
investor_position_array)
cny_position_db = __get_account_cny(account_id, trading_account_array)
position_db_list.append(cny_position_db)
update_db(order_list, trade_list, position_db_list)
def read_lts_file(filePath):
email_list.append('Start read file:' + filePath)
fr = codecs.open(filePath, 'r', 'gbk')
for line in fr.xreadlines():
baseModel = BaseModel()
for tempStr in line.split('|')[1].split(','):
tempArray = tempStr.replace('\n', '').split(':', 1)
setattr(baseModel, tempArray[0].strip(), tempArray[1])
if 'OnRspQryInstrument' in line:
product_id = getattr(baseModel, 'ProductID', '')
product_class = getattr(baseModel, 'ProductClass', '')
if (product_class == '6') and ((product_id == 'SZA') or
(product_id == 'SHA') or
(product_id == 'CY')):
instrument_id = getattr(baseModel, 'InstrumentID', '')
instrument_name = getattr(baseModel, 'InstrumentName', '')
if instrument_name.startswith('S') or \
instrument_name.startswith('ST') or \
instrument_name.startswith('*ST'):
st_stock_list.append(instrument_id)
def read_price_file_femas(femas_file_path):
print 'Start read file:', femas_file_path
fr = open(femas_file_path)
option_array = []
future_array = []
for line in fr.readlines():
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryInstrument' in line:
product_id = getattr(base_model, 'ProductID', '')
options_type = getattr(base_model, 'OptionsType', '')
if (product_id == 'IC') or (product_id == 'IF') or (product_id == 'IH') or (product_id == 'TF') or \
(product_id == 'T'):
future_array.append(base_model)
elif (options_type == '1') or (options_type == '2'):
option_array.append(base_model)
add_future(future_array) # 新增期货
add_option(option_array) # 新增期货期权等
def read_price_file_ctp(ctp_file_path):
print 'Start read file:', ctp_file_path
future_list = []
option_list = []
with open(ctp_file_path) as fr:
for line in fr.readlines():
base_model = BaseModel()
if len(line.strip()) == 0:
continue
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryInstrument' in line:
product_class = getattr(base_model, 'ProductClass', '')
if product_class == '1':
future_list.append(base_model)
if product_class == '2':
option_list.append(base_model)
pre_add_future(future_list) # 新增期货
pre_add_option(option_list) # 新增期权
def read_price_file_ctp(ctp_file_path):
print 'Start read file:', ctp_file_path
instrument_array = []
market_array = []
with open(ctp_file_path) as fr:
for line in fr.readlines():
base_model = BaseModel()
if len(line.strip()) == 0:
continue
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryInstrument' in line:
# exchange_id = getattr(base_model, 'ExchangeID', '')
# product_id = getattr(base_model, 'ProductID', '')
instrument_array.append(base_model)
elif 'OnRspQryDepthMarketData' in line:
market_array.append(base_model)
update_instrument_info(instrument_array)
update_market_info(market_array) # 根据md行情数据更新prev_close
def read_position_file_lts(lts_file_path):
print 'Start read file:' + lts_file_path
with codecs.open(lts_file_path, 'r', 'gbk') as fr:
sf_instrument_array = []
option_array = []
stock_array = []
structured_fund_array = []
mmf_fund_array = [] # 货币基金
convertible_bond_array = [] # 可转债
for line in fr.xreadlines():
base_model = BaseModel()
for tempStr in line.split('|')[1].split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryInstrument' in line:
product_id = getattr(base_model, 'ProductID', '')
if product_id in ('SHEOP', 'SHAOP'):
option_array.append(base_model)
elif product_id in ('SZA', 'SHA', 'HKA', 'CY'):
stock_array.append(base_model)
elif product_id in ('SZOF', 'SHOF'):
structured_fund_array.append(base_model)
elif product_id in ('SHCB', 'SZCB'):
convertible_bond_array.append(base_model)
elif product_id == 'SHFUNDETF':
mmf_fund_array.append(base_model)
elif 'OnRspQrySFInstrument' in line:
sf_instrument_array.append(base_model)
print len(option_array)
# structured_fund_undl_ticker(sf_instrument_array)
# add_structured_fund(structured_fund_array)
add_convertible_bond(convertible_bond_array) # 新增可转债
add_option(option_array) # 新增期权
add_stock(stock_array) # 更新股票停牌日期数据和新增股票
add_mmf_fund(mmf_fund_array) # 新增货币基金
def read_position_file_femas(femas_file_path):
print 'Start read file:' + femas_file_path
fr = open(femas_file_path)
order_array = []
trade_array = []
trading_account_array = []
investor_position_array = []
for line in fr.readlines():
if 'Account_ID' in line:
account_id = line.replace('\n', '').split(':')[1]
else:
base_model = BaseModel()
for temp_str in line.split('|')[1].split(','):
temp_array = temp_str.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1])
if 'OnRspQryOrder' in line:
order_array.append(base_model)
elif 'OnRspQryTrade' in line:
trade_array.append(base_model)
elif 'OnRspQryInvestorAccount' in line:
trading_account_array.append(base_model)
elif 'OnRspQryInvestorPosition' in line:
investor_position_array.append(base_model)
print 'AccountID:', account_id
# 删除该账号今日记录
del_account_position_by_id(account_id)
del_order_trader_by_id(account_id)
save_order(account_id, order_array)
save_trade(account_id, trade_array)
save_account_cny(account_id, trading_account_array)
save_account_position(account_id, investor_position_array)
update_db()
update_position_prev_net(account_id)
def read_position_file_ts(ts_file_path):
print 'Start read file:' + ts_file_path
fr = open(ts_file_path)
account_dict = dict()
position_dict = dict()
order_dict = dict()
for line in fr.readlines():
base_model = BaseModel()
for tempStr in line.split(','):
temp_array = tempStr.replace('\n', '').split(':', 1)
setattr(base_model, temp_array[0].strip(), temp_array[1].strip())
msg_type = getattr(base_model, 'MSG_TYPE', '')
account_name = getattr(base_model, 'ACCOUNT_ID', '')
if msg_type == 'ACCOUNT':
account_dict[account_name] = base_model
elif msg_type == 'ORDER':
if account_name in order_dict:
order_dict[account_name].append(base_model)
else:
order_dict[account_name] = [base_model]
elif msg_type == 'POSITION':
if account_name in position_dict:
position_dict[account_name].append(base_model)
else:
position_dict[account_name] = [base_model]
for account_name in account_dict.keys():
account_info_db = __get_account_info(account_name)
account_id = account_info_db.accountid
print 'AccountID:', account_id
__del_order_trader_by_id(account_id)
order_list = []
trade_list = []
if account_name in order_dict:
order_list, trade_list = __build_order_trade(
account_id, order_dict[account_name])
# position_info_list = []
# if len(trade_list) > 0:
# position_info_list = __get_position_info_list(account_id)
# position_db_list = __calculation_position(account_id, position_info_list, trade_list)
# else:
# __del_account_position_by_id(account_id)
# if account_name in position_dict:
# position_list = position_dict[account_name]
# else:
# position_list = []
# position_db_list = __build_account_position(account_id, position_list)
position_info_list = []
__del_account_position_by_id(account_id)
if account_name in position_dict:
position_list = position_dict[account_name]
else:
position_list = []
position_db_list = __build_account_position(account_id, position_list)
cny_position_db = __get_account_cny(account_id,
account_dict[account_name],
position_info_list)
position_db_list.append(cny_position_db)
update_db(order_list, trade_list, position_db_list)
update_account_trade_restrictions(account_id)
def file_check(file_path):
mkt_num = 0
found_mkt_num = 0
rebuild_mkt_num = 0
soft_found_mkt_num = 0
bid_price1_last = 0
bid_volume1_last = 0
offer_price1_last = 0
offer_volume1_last = 0
check_date = ''
order_list = []
trade_list = []
unfound_mkt_list = []
trade_delayed_message_list = []
rebuild_mkt_dict = dict()
fr = open(file_path)
last_found = False
interval_list = []
unfound_time_list = []
for line in fr.readlines():
if ('CSecurityFtdcL2MarketDataField' in line) or ('Security_Mktdt_L10T' in line):
item_array = line.split(',')
mkt_model_content = BaseModel()
for item in item_array:
if '=' not in item:
if ':' in item:
setattr(mkt_model_content, 'Mkt_Time', item)
continue
(key, value) = item.split('=')
setattr(mkt_model_content, key.strip(), value.strip())
if 'CSecurityFtdcL2MarketDataField' in line:
ticker_snapshot = getattr(mkt_model_content, 'InstrumentID')
mkt_time_snapshot = getattr(mkt_model_content, 'Mkt_Time', '')
# timeStamp_snapshot = getattr(mkt_model_content, 'TimeStamp', '')
bid_price1_snapshot = getattr(mkt_model_content, 'BidPrice1', '')
bid_volume1_snapshot = '%.0f' % (float(getattr(mkt_model_content, 'BidVolume1', '')),)
offer_price1_snapshot = getattr(mkt_model_content, 'OfferPrice1', '')
offer_volume1_snapshot = '%.0f' % (float(getattr(mkt_model_content, 'OfferVolume1', '')),)
snapshot_datetime = datetime.datetime.strptime(mkt_time_snapshot, "%Y-%m-%d %H:%M:%S.%f")
if check_date == '':
check_date = snapshot_datetime.strftime('%Y-%m-%d')
# d2 = datetime.datetime.strptime(check_date + ' 09:30:00.000001', "%Y-%m-%d %H:%M:%S.%f")
d3 = datetime.datetime.strptime(check_date + ' 14:57:00.000001', "%Y-%m-%d %H:%M:%S.%f")
# 晚于14:57的不处理
if compare_date_time(d3, snapshot_datetime):
break
if ticker_snapshot not in rebuild_mkt_dict:
continue
else:
dict_value_list = rebuild_mkt_dict.get(ticker_snapshot)
mkt_num += 1
fund_flag = False
bid_found = False
ask_found = False
if (last_found and bid_price1_last == bid_price1_snapshot and bid_volume1_last == bid_volume1_snapshot
and offer_price1_last == offer_price1_snapshot and offer_volume1_last == offer_volume1_snapshot):
fund_flag = True
else:
times = len(dict_value_list)
while times > 0:
rebuild_mkt_model = dict_value_list[times - 1]
mkt_time_rebuild = getattr(rebuild_mkt_model, 'Mkt_Time', '')
rebuild_datetime = datetime.datetime.strptime(mkt_time_rebuild, "%Y-%m-%d %H:%M:%S.%f")
# ticker = getattr(rebuild_mkt_model, 'InstrumentID', '')
# timeStamp = getattr(rebuild_mkt_model, 'TimeStamp', '')
bid_price1 = getattr(rebuild_mkt_model, 'BidPrice1', '')
bid_volume1 = '%.0f' % (float(getattr(rebuild_mkt_model, 'BidVolume1', '')),)
offer_price1 = getattr(rebuild_mkt_model, 'OfferPrice1', '')
offer_volume1 = '%.0f' % (float(getattr(rebuild_mkt_model, 'OfferVolume1', '')),)
temp_bid_dict = dict()
temp_offer_dict = dict()
for a in ('1', '2', '3', '4', '5', '6', '7', '8', '9', 'A'):
temp_bid_price = getattr(rebuild_mkt_model, 'BidPrice' + a, '')
temp_bid_volume = '%.0f' % (float(getattr(rebuild_mkt_model, 'BidVolume' + a, '')),)
temp_bid_dict[temp_bid_price] = temp_bid_volume
temp_offer_price = getattr(rebuild_mkt_model, 'OfferPrice' + a, '')
temp_offer_volume = '%.0f' % (float(getattr(rebuild_mkt_model, 'OfferVolume' + a, '')),)
temp_offer_dict[temp_offer_price] = temp_offer_volume
if (bid_price1 == bid_price1_snapshot) and (bid_volume1 == bid_volume1_snapshot) \
and (offer_price1 == offer_price1_snapshot) and (
offer_volume1 == offer_volume1_snapshot):
[bid_price1_last, bid_volume1_last, offer_price1_last, offer_volume1_last] = [
bid_price1_snapshot, bid_volume1_snapshot, offer_price1_snapshot,
offer_volume1_snapshot]
last_found = True
fund_flag = True
interval_list.append((mkt_time_snapshot, mkt_time_rebuild))
break
elif (bid_price1_snapshot in temp_bid_dict) and (
bid_volume1_snapshot == temp_bid_dict[bid_price1_snapshot]):
bid_found = True
elif (offer_price1_snapshot in temp_offer_dict) and (
offer_volume1_snapshot == temp_offer_dict[offer_price1_snapshot]):
ask_found = True
times -= 1
if (snapshot_datetime - rebuild_datetime).seconds > 20:
break
if fund_flag:
found_mkt_num += 1
elif ask_found and bid_found:
soft_found_mkt_num += 1
unfound_time_list.append('soft found:\n' + line)
else:
last_found = False
unfound_time_list.append(line)
unfound_mkt_list.append(mkt_model_content)
elif 'Security_Mktdt_L10T' in line:
rebuild_mkt_num += 1
ticker = getattr(mkt_model_content, 'InstrumentID', '')
if ticker in rebuild_mkt_dict:
rebuild_mkt_dict[ticker].append(mkt_model_content)
else:
mkt_model_list = [mkt_model_content]
rebuild_mkt_dict[ticker] = mkt_model_list
elif 'CSecurityFtdcL2OrderField' in line:
item_array = line.split(',')
mkt_model_content = BaseModel()
for item in item_array:
if '=' not in item:
if ':' in item:
setattr(mkt_model_content, 'Mkt_Time', item)
continue
(key, value) = item.split('=')
setattr(mkt_model_content, key.strip(), value.strip())
order_list.append(mkt_model_content)
elif 'CSecurityFtdcL2TradeField' in line:
item_array = line.split(',')
mkt_model_content = BaseModel()
for item in item_array:
if '=' not in item:
if ':' in item:
setattr(mkt_model_content, 'Mkt_Time', item)
continue
(key, value) = item.split('=')
setattr(mkt_model_content, key.strip(), value.strip())
trade_list.append(mkt_model_content)
elif 'Trade Delayed' in line:
trade_delayed_message_list.append(line)
# 未匹配的快照，查询是否有TimeStamp在其之前，但接收时间在其之后的order或trade
receive_time_error_num = 0
# 快照往后查找3秒内重建，可匹配的数目
rebuild_later_num = 0
delay_matching_list = []
(rebuild_start_time1, rebuild_start_time2) = get_rebuild_start_time(trade_delayed_message_list)
# for unfound_mkt_model in unfound_mkt_list:
# receive_time_error_flag = False
#
# mkt_time_unfound = datetime.datetime.strptime(getattr(unfound_mkt_model, 'Mkt_Time', ''),
# "%Y-%m-%d %H:%M:%S.%f")
# check_time_unfound = mkt_time_unfound + datetime.timedelta(seconds=20)
# timestamp_unfound = getattr(unfound_mkt_model, 'TimeStamp', '')
# # unfound_snapshot_datetime = datetime.datetime.strptime('%s %s' % (check_date, timestamp_unfound),
# # '%Y-%m-%d %H:%M:%S')
# ticker = getattr(unfound_mkt_model, 'InstrumentID', '')
# bid_price1_snapshot = getattr(unfound_mkt_model, 'BidPrice1', '')
# bid_volume1_snapshot = '%.0f' % (float(getattr(unfound_mkt_model, 'BidVolume1', '')),)
# offer_price1_snapshot = getattr(unfound_mkt_model, 'OfferPrice1', '')
# offer_volume1_snapshot = '%.0f' % (float(getattr(unfound_mkt_model, 'OfferVolume1', '')),)
#
# rebuild_mkt_list = rebuild_mkt_dict.get(ticker)
# for rebuild_mkt in rebuild_mkt_list:
# rebuild_datetime = datetime.datetime.strptime(getattr(rebuild_mkt, 'Mkt_Time', ''),
# "%Y-%m-%d %H:%M:%S.%f")
# if (compare_date_time(mkt_time_unfound, rebuild_datetime) == True) and (
# (rebuild_datetime - mkt_time_unfound).seconds > 4):
# break
# elif compare_date_time(mkt_time_unfound, rebuild_datetime):
# # ticker = getattr(rebuild_mkt, 'InstrumentID', '')
# # timeStamp = getattr(rebuild_mkt, 'TimeStamp', '')
# bid_price1 = getattr(rebuild_mkt, 'BidPrice1', '')
# bid_volume1 = '%.0f' % (float(getattr(rebuild_mkt, 'BidVolume1', '')),)
# offer_price1 = getattr(rebuild_mkt, 'OfferPrice1', '')
# offer_volume1 = '%.0f' % (float(getattr(rebuild_mkt, 'OfferVolume1', '')),)
# if (bid_price1 == bid_price1_snapshot) and (bid_volume1 == bid_volume1_snapshot) and (
# offer_price1 == offer_price1_snapshot) and (offer_volume1 == offer_volume1_snapshot):
# delay_matching_message = 'found delay matching---snapshot_datetime:%s rebuild_datetime:%s' % (
# mkt_time_unfound, rebuild_datetime)
# print delay_matching_message
# delay_matching_list.append(delay_matching_message)
# rebuild_later_num += 1
# break
#
# for order_content in order_list:
# mkt_time = datetime.datetime.strptime(getattr(order_content, 'Mkt_Time', ''), "%Y-%m-%d %H:%M:%S.%f")
# if compare_date_time(mkt_time, mkt_time_unfound):
# continue
# elif compare_date_time(check_time_unfound, mkt_time):
# break
#
# timestamp = getattr(order_content, 'OrderTime', '')
# if (timestamp < timestamp_unfound) and (compare_date_time(mkt_time_unfound, mkt_time) == True):
# receive_time_error_num += 1
# receive_time_error_flag = True
# break
#
# if receive_time_error_flag:
# continue
#
# for trade_content in trade_list:
# mkt_time = datetime.datetime.strptime(getattr(trade_content, 'Mkt_Time', ''), "%Y-%m-%d %H:%M:%S.%f")
# if compare_date_time(mkt_time, mkt_time_unfound):
# continue
# elif compare_date_time(check_time_unfound, mkt_time):
# break
#
# timestamp = getattr(trade_content, 'TradeTime', '')
# if (timestamp < timestamp_unfound) and compare_date_time(mkt_time_unfound, mkt_time):
# receive_time_error_num += 1
# break
return (mkt_num - rebuild_later_num, found_mkt_num, soft_found_mkt_num, receive_time_error_num, rebuild_mkt_num,
interval_list, unfound_time_list, delay_matching_list, rebuild_start_time1, rebuild_start_time2)