from vnpy.trader.tqz_extern.tools.pandas_operator.pandas_operator import pandas
from vnpy.app.tqz_hft_parser_app.hft_parser_path import TQZHftParserPath
from vnpy.app.tqz_hft_parser_app.tqz_constant import TQZTradeLogTitles
class TQZHftTradeLogParser:
@classmethod
def tqz_start_parser(cls, trade_source_log_allPath, parser_trade_result_fold):
trade_log_dataframe = cls.__get_source_log_dataframe(trade_source_log_allPath)
[pandas.DataFrame.to_csv(
cls.__get_code_log_dataframe(source_log_all_path=trade_source_log_allPath, code=code),
path_or_buf=f'{parser_trade_result_fold}/{code.replace(".", "_")}.csv',
index=False
) for code in cls.__get_all_codes(trade_log_dataframe)]
# --- private part ---
@classmethod
def __get_code_log_dataframe(cls, source_log_all_path: str, code: str):
"""
Get code dataframe based on source log with source_log_all_path and code_name.
"""
source_log_dataframe = cls.__get_source_log_dataframe(source_log_all_path=source_log_all_path)
return source_log_dataframe.loc[source_log_dataframe[TQZTradeLogTitles.CODE.value] == code]
@staticmethod
def __get_all_codes(source_log_dataframe: pandas.DataFrame) -> list:
"""
Get codes list based on source log.
"""
return list(set(list(source_log_dataframe[TQZTradeLogTitles.CODE.value])))
@classmethod
def __get_source_log_dataframe(cls, source_log_all_path: str):
"""
Get dataframe based on source log with source_log_all_path.
"""
line_log_dictionary_list = []
for line in open(source_log_all_path).readlines():
line_log_dictionary = {}
for line_log_item in line.rstrip().split(" ")[-1].replace('[', '').replace(']', '').split(","):
line_log_dictionary[line_log_item.split('|')[0]] = line_log_item.split('|')[1]
line_log_dictionary_list.append(line_log_dictionary)
return pandas.DataFrame(line_log_dictionary_list)
if __name__ == '__main__':
TQZHftTradeLogParser.tqz_start_parser(
trade_source_log_allPath=TQZHftParserPath.trade_source_log_allPath(),
parser_trade_result_fold=TQZHftParserPath.parser_trade_result_fold()
)
量化交易之hft篇 - 成交回报解析 (hft_trade_log_parser)
最新推荐文章于 2024-03-10 20:29:42 发布