7f4f88e853
新增期货数据动态播放器功能，包括基础版和增强版实现，添加测试脚本和详细文档说明。主要变更包括： 1. 实现买卖盘深度可视化播放功能 2. 添加播放控制、速度调节和跳转功能 3. 提供统一价格轴显示优化版本 4. 添加测试脚本验证功能 5. 编写详细使用文档和README说明
482 lines
18 KiB
Python
482 lines
18 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""
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期货数据动态播放器 - 买卖盘深度时序可视化
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基于au2512_20251013.parquet数据
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功能特性：
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- 按数列号顺序播放买卖盘深度变化
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- 支持播放/暂停/加速/减速
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- 可跳转到指定数列号
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- 基础播放速度500ms/数据点
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"""
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import pandas as pd
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import numpy as np
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import matplotlib.pyplot as plt
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import matplotlib.animation as animation
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from matplotlib.widgets import Button, Slider
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import tkinter as tk
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from tkinter import ttk
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import threading
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import time
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from matplotlib.backends.backend_tkagg import FigureCanvasTkAgg
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import matplotlib.patches as mpatches
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from datetime import datetime
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import matplotlib.font_manager as fm
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# 设置matplotlib支持中文显示
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plt.rcParams['font.sans-serif'] = ['SimHei', 'Microsoft YaHei', 'Arial Unicode MS', 'DejaVu Sans']
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plt.rcParams['axes.unicode_minus'] = False
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class FuturesDataPlayer:
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def __init__(self, data_path='data/au2512_20251013.parquet'):
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"""初始化期货数据播放器"""
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self.data_path = data_path
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self.df = None
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self.current_index = 0
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self.is_playing = False
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self.play_speed = 500 # 基础播放速度(毫秒)
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self.speed_multiplier = 1.0
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# 加载数据
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self.load_data()
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# 创建GUI界面
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self.setup_gui()
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def load_data(self):
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"""加载并预处理期货数据"""
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print("正在加载数据...")
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self.df = pd.read_parquet(self.data_path)
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# 列名映射
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columns_mapping = {
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'UTC': 'UTC',
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'UTC.1': 'UTC_1',
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'时间': 'time',
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'累积成交量': 'cumulative_volume',
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'成交价': 'price',
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'成交额': 'amount',
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'买1价': 'bid1_price', '卖1价': 'ask1_price',
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'买1量': 'bid1_volume', '卖1量': 'ask1_volume',
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'买2价': 'bid2_price', '卖2价': 'ask2_price',
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'买2量': 'bid2_volume', '卖2量': 'ask2_volume',
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'买3价': 'bid3_price', '卖3价': 'ask3_price',
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'买3量': 'bid3_volume', '卖3量': 'ask3_volume',
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'买4价': 'bid4_price', '卖4价': 'ask4_price',
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'买4量': 'bid4_volume', '卖4量': 'ask4_volume',
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'买5价': 'bid5_price', '卖5价': 'ask5_price',
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'买5量': 'bid5_volume', '卖5量': 'ask5_volume'
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}
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# 重命名列
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self.df = self.df.rename(columns=columns_mapping)
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# 数据清洗：去除无效的买卖盘数据
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bid_cols = [f'bid{i}_price' for i in range(1, 6)]
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ask_cols = [f'ask{i}_price' for i in range(1, 6)]
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# 过滤掉买卖盘价格无效的数据
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valid_mask = (
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self.df[bid_cols].notnull().all(axis=1) &
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self.df[ask_cols].notnull().all(axis=1)
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)
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self.df = self.df[valid_mask].reset_index(drop=True)
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print(f"数据加载完成！有效数据点: {len(self.df)}")
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print(f"时间范围: {self.df['time'].iloc[0]} - {self.df['time'].iloc[-1]}")
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print(f"价格范围: {self.df['price'].min():.2f} - {self.df['price'].max():.2f}")
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def setup_gui(self):
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"""设置GUI界面"""
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# 创建主窗口
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self.root = tk.Tk()
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self.root.title("期货数据动态播放器 - AU2512买卖盘深度分析")
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self.root.geometry("1400x900")
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# 创建主框架
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main_frame = ttk.Frame(self.root)
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main_frame.pack(fill=tk.BOTH, expand=True, padx=10, pady=10)
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# 左侧：图表区域
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chart_frame = ttk.Frame(main_frame)
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chart_frame.pack(side=tk.LEFT, fill=tk.BOTH, expand=True)
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# 右侧：控制面板
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control_frame = ttk.Frame(main_frame, width=300)
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control_frame.pack(side=tk.RIGHT, fill=tk.Y, padx=(10, 0))
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control_frame.pack_propagate(False)
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# 创建matplotlib图表
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self.setup_chart(chart_frame)
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# 创建控制面板
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self.setup_controls(control_frame)
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# 初始化显示
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self.update_display()
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def setup_chart(self, parent):
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"""设置图表"""
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# 创建图形和轴
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self.fig, (self.ax1, self.ax2) = plt.subplots(2, 1, figsize=(10, 8))
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self.fig.patch.set_facecolor('#f0f0f0')
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# 买盘深度图（上方）
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self.ax1.set_title('买盘深度 (Bid Depth)', fontsize=14, fontweight='bold')
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self.ax1.set_xlabel('价格')
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self.ax1.set_ylabel('累积成交量')
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self.ax1.grid(True, alpha=0.3)
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self.ax1.set_facecolor('#ffffff')
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# 卖盘深度图（下方）
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self.ax2.set_title('卖盘深度 (Ask Depth)', fontsize=14, fontweight='bold')
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self.ax2.set_xlabel('价格')
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self.ax2.set_ylabel('累积成交量')
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self.ax2.grid(True, alpha=0.3)
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self.ax2.set_facecolor('#ffffff')
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plt.tight_layout()
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# 嵌入到tkinter
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self.canvas = FigureCanvasTkAgg(self.fig, parent)
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self.canvas.draw()
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self.canvas.get_tk_widget().pack(fill=tk.BOTH, expand=True)
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def setup_controls(self, parent):
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"""设置控制面板"""
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# 标题
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title_label = ttk.Label(parent, text="播放控制", font=('Arial', 16, 'bold'))
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title_label.pack(pady=10)
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# 当前状态显示
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status_frame = ttk.LabelFrame(parent, text="当前状态", padding=10)
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status_frame.pack(fill=tk.X, pady=10)
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self.index_label = ttk.Label(status_frame, text="数列号: 0", font=('Arial', 11))
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self.index_label.pack(anchor=tk.W)
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self.time_label = ttk.Label(status_frame, text="时间: --", font=('Arial', 11))
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self.time_label.pack(anchor=tk.W)
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self.price_label = ttk.Label(status_frame, text="成交价: --", font=('Arial', 11))
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self.price_label.pack(anchor=tk.W)
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self.volume_label = ttk.Label(status_frame, text="累积成交量: --", font=('Arial', 11))
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self.volume_label.pack(anchor=tk.W)
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# 播放控制按钮
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control_frame = ttk.LabelFrame(parent, text="播放控制", padding=10)
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control_frame.pack(fill=tk.X, pady=10)
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# 播放/暂停按钮
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self.play_button = ttk.Button(
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control_frame,
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text="▶ 播放",
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command=self.toggle_play,
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width=20
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)
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self.play_button.pack(pady=5)
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# 停止按钮
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self.stop_button = ttk.Button(
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control_frame,
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text="■ 停止",
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command=self.stop_playback,
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width=20
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)
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self.stop_button.pack(pady=5)
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# 速度控制
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speed_frame = ttk.LabelFrame(parent, text="速度控制", padding=10)
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speed_frame.pack(fill=tk.X, pady=10)
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# 速度滑块
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self.speed_var = tk.DoubleVar(value=1.0)
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speed_slider = ttk.Scale(
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speed_frame,
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from_=0.1,
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to=5.0,
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variable=self.speed_var,
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orient=tk.HORIZONTAL,
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command=self.update_speed
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)
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speed_slider.pack(fill=tk.X, pady=5)
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self.speed_label = ttk.Label(speed_frame, text="播放速度: 1.0x")
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self.speed_label.pack()
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# 快速速度按钮
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speed_buttons_frame = ttk.Frame(speed_frame)
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speed_buttons_frame.pack(pady=5)
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ttk.Button(speed_buttons_frame, text="0.5x", command=lambda: self.set_speed(0.5), width=8).pack(side=tk.LEFT, padx=2)
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ttk.Button(speed_buttons_frame, text="1x", command=lambda: self.set_speed(1.0), width=8).pack(side=tk.LEFT, padx=2)
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ttk.Button(speed_buttons_frame, text="2x", command=lambda: self.set_speed(2.0), width=8).pack(side=tk.LEFT, padx=2)
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ttk.Button(speed_buttons_frame, text="5x", command=lambda: self.set_speed(5.0), width=8).pack(side=tk.LEFT, padx=2)
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# 跳转控制
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jump_frame = ttk.LabelFrame(parent, text="跳转控制", padding=10)
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jump_frame.pack(fill=tk.X, pady=10)
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# 数列号输入
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ttk.Label(jump_frame, text="跳转到数列号:").pack(anchor=tk.W)
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jump_input_frame = ttk.Frame(jump_frame)
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jump_input_frame.pack(fill=tk.X, pady=5)
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self.jump_entry = ttk.Entry(jump_input_frame)
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self.jump_entry.pack(side=tk.LEFT, fill=tk.X, expand=True)
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ttk.Button(jump_input_frame, text="跳转", command=self.jump_to_index, width=10).pack(side=tk.RIGHT, padx=(5, 0))
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# 进度条
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progress_frame = ttk.LabelFrame(parent, text="播放进度", padding=10)
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progress_frame.pack(fill=tk.X, pady=10)
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self.progress_var = tk.IntVar()
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self.progress_bar = ttk.Progressbar(
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progress_frame,
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variable=self.progress_var,
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maximum=len(self.df) - 1,
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orient=tk.HORIZONTAL
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)
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self.progress_bar.pack(fill=tk.X, pady=5)
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self.progress_label = ttk.Label(progress_frame, text=f"0 / {len(self.df) - 1}")
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self.progress_label.pack()
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# 数据统计
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stats_frame = ttk.LabelFrame(parent, text="数据统计", padding=10)
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stats_frame.pack(fill=tk.X, pady=10)
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stats_text = f"总数据点: {len(self.df)}\\n"
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stats_text += f"时间跨度: {self.df['time'].iloc[0]} - {self.df['time'].iloc[-1]}\\n"
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stats_text += f"价格区间: {self.df['price'].min():.2f} - {self.df['price'].max():.2f}"
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ttk.Label(stats_frame, text=stats_text, font=('Arial', 9)).pack(anchor=tk.W)
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def get_market_depth_data(self, row_data):
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"""获取买卖盘深度数据"""
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bid_prices = []
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bid_volumes = []
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ask_prices = []
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ask_volumes = []
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# 收集买卖盘数据（从1到5档）
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for i in range(1, 6):
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bid_price = row_data[f'bid{i}_price']
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bid_volume = row_data[f'bid{i}_volume']
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ask_price = row_data[f'ask{i}_price']
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ask_volume = row_data[f'ask{i}_volume']
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if pd.notna(bid_price) and pd.notna(bid_volume) and bid_volume > 0:
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bid_prices.append(bid_price)
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bid_volumes.append(bid_volume)
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if pd.notna(ask_price) and pd.notna(ask_volume) and ask_volume > 0:
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ask_prices.append(ask_price)
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ask_volumes.append(ask_volume)
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return bid_prices, bid_volumes, ask_prices, ask_volumes
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def update_display(self):
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"""更新显示内容"""
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if self.df is None or self.current_index >= len(self.df):
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return
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# 获取当前行数据
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row_data = self.df.iloc[self.current_index]
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# 清空图表
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self.ax1.clear()
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self.ax2.clear()
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# 重新设置图表属性
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self.ax1.set_title('买盘深度 (Bid Depth)', fontsize=14, fontweight='bold')
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self.ax1.set_xlabel('价格')
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self.ax1.set_ylabel('成交量')
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self.ax1.grid(True, alpha=0.3)
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self.ax1.set_facecolor('#ffffff')
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self.ax2.set_title('卖盘深度 (Ask Depth)', fontsize=14, fontweight='bold')
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self.ax2.set_xlabel('价格')
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self.ax2.set_ylabel('成交量')
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self.ax2.grid(True, alpha=0.3)
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self.ax2.set_facecolor('#ffffff')
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# 获取买卖盘深度数据
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bid_prices, bid_volumes, ask_prices, ask_volumes = self.get_market_depth_data(row_data)
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# 绘制买盘深度（绿色，从左到右递减）
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if bid_prices:
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# 按价格排序（买盘价格从高到低）
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bid_data = sorted(zip(bid_prices, bid_volumes), reverse=True)
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sorted_bid_prices, sorted_bid_volumes = zip(*bid_data)
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# 计算累积成交量
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cumulative_bid_volumes = np.cumsum(sorted_bid_volumes)
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# 绘制买盘柱状图
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colors_bid = plt.cm.Greens(np.linspace(0.4, 0.9, len(sorted_bid_prices)))
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bars1 = self.ax1.barh(range(len(sorted_bid_prices)), sorted_bid_volumes,
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color=colors_bid, alpha=0.8, edgecolor='darkgreen', linewidth=1)
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# 设置Y轴标签为价格
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self.ax1.set_yticks(range(len(sorted_bid_prices)))
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self.ax1.set_yticklabels([f'{p:.2f}' for p in sorted_bid_prices])
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# 添加成交量标签
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for i, (price, volume) in enumerate(bid_data):
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self.ax1.text(volume + max(sorted_bid_volumes) * 0.01, i, f'{int(volume)}',
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va='center', ha='left', fontsize=9)
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# 设置X轴范围
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max_bid_vol = max(sorted_bid_volumes)
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self.ax1.set_xlim(0, max_bid_vol * 1.3)
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else:
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self.ax1.text(0.5, 0.5, '无买盘数据', ha='center', va='center',
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transform=self.ax1.transAxes, fontsize=12)
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# 绘制卖盘深度（红色，从左到右递增）
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if ask_prices:
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# 按价格排序（卖盘价格从低到高）
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ask_data = sorted(zip(ask_prices, ask_volumes))
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sorted_ask_prices, sorted_ask_volumes = zip(*ask_data)
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# 绘制卖盘柱状图
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colors_ask = plt.cm.Reds(np.linspace(0.4, 0.9, len(sorted_ask_prices)))
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bars2 = self.ax2.barh(range(len(sorted_ask_prices)), sorted_ask_volumes,
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color=colors_ask, alpha=0.8, edgecolor='darkred', linewidth=1)
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# 设置Y轴标签为价格
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self.ax2.set_yticks(range(len(sorted_ask_prices)))
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self.ax2.set_yticklabels([f'{p:.2f}' for p in sorted_ask_prices])
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# 添加成交量标签
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for i, (price, volume) in enumerate(ask_data):
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self.ax2.text(volume + max(sorted_ask_volumes) * 0.01, i, f'{int(volume)}',
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va='center', ha='left', fontsize=9)
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# 设置X轴范围
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max_ask_vol = max(sorted_ask_volumes)
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self.ax2.set_xlim(0, max_ask_vol * 1.3)
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else:
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self.ax2.text(0.5, 0.5, '无卖盘数据', ha='center', va='center',
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transform=self.ax2.transAxes, fontsize=12)
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# 添加当前成交价标记
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current_price = row_data['price']
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self.ax1.axvline(x=current_price, color='blue', linestyle='--', alpha=0.7, label=f'成交价: {current_price:.2f}')
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self.ax2.axvline(x=current_price, color='blue', linestyle='--', alpha=0.7, label=f'成交价: {current_price:.2f}')
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self.ax1.legend(loc='upper right')
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self.ax2.legend(loc='upper right')
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plt.tight_layout()
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self.canvas.draw()
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# 更新状态标签
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self.index_label.config(text=f"数列号: {self.current_index}")
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self.time_label.config(text=f"时间: {row_data['time']}")
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self.price_label.config(text=f"成交价: {current_price:.2f}")
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self.volume_label.config(text=f"累积成交量: {int(row_data['cumulative_volume']):,}")
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# 更新进度条
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self.progress_var.set(self.current_index)
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self.progress_label.config(text=f"{self.current_index} / {len(self.df) - 1}")
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def toggle_play(self):
|
||
"""切换播放/暂停状态"""
|
||
if not self.is_playing:
|
||
self.is_playing = True
|
||
self.play_button.config(text="⏸ 暂停")
|
||
# 启动播放线程
|
||
self.play_thread = threading.Thread(target=self.playback_loop, daemon=True)
|
||
self.play_thread.start()
|
||
else:
|
||
self.is_playing = False
|
||
self.play_button.config(text="▶ 播放")
|
||
|
||
def stop_playback(self):
|
||
"""停止播放"""
|
||
self.is_playing = False
|
||
self.play_button.config(text="▶ 播放")
|
||
self.current_index = 0
|
||
self.update_display()
|
||
|
||
def playback_loop(self):
|
||
"""播放循环"""
|
||
while self.is_playing and self.current_index < len(self.df) - 1:
|
||
self.current_index += 1
|
||
# 在主线程中更新显示
|
||
self.root.after(0, self.update_display)
|
||
|
||
# 根据速度设置延迟
|
||
delay = self.play_speed / self.speed_multiplier
|
||
time.sleep(delay / 1000.0) # 转换为秒
|
||
|
||
# 播放结束
|
||
if self.current_index >= len(self.df) - 1:
|
||
self.is_playing = False
|
||
self.root.after(0, lambda: self.play_button.config(text="▶ 播放"))
|
||
|
||
def update_speed(self, value):
|
||
"""更新播放速度"""
|
||
self.speed_multiplier = float(value)
|
||
self.speed_label.config(text=f"播放速度: {self.speed_multiplier:.1f}x")
|
||
|
||
def set_speed(self, speed):
|
||
"""设置播放速度"""
|
||
self.speed_var.set(speed)
|
||
self.speed_multiplier = speed
|
||
self.speed_label.config(text=f"播放速度: {self.speed_multiplier:.1f}x")
|
||
|
||
def jump_to_index(self):
|
||
"""跳转到指定数列号"""
|
||
try:
|
||
target_index = int(self.jump_entry.get())
|
||
if 0 <= target_index < len(self.df):
|
||
self.current_index = target_index
|
||
self.update_display()
|
||
else:
|
||
tk.messagebox.showwarning("输入错误", f"请输入0到{len(self.df)-1}之间的数列号")
|
||
except ValueError:
|
||
tk.messagebox.showwarning("输入错误", "请输入有效的数字")
|
||
|
||
def run(self):
|
||
"""运行应用"""
|
||
# 绑定关闭事件
|
||
self.root.protocol("WM_DELETE_WINDOW", self.on_closing)
|
||
|
||
# 启动主循环
|
||
self.root.mainloop()
|
||
|
||
def on_closing(self):
|
||
"""关闭应用时的处理"""
|
||
self.is_playing = False
|
||
self.root.destroy()
|
||
|
||
def main():
|
||
"""主函数"""
|
||
print("=== 期货数据动态播放器 ===")
|
||
print("正在初始化...")
|
||
|
||
# 创建播放器实例
|
||
player = FuturesDataPlayer()
|
||
|
||
print("初始化完成！")
|
||
print("\\n使用说明：")
|
||
print("- 点击'播放'按钮开始播放买卖盘深度变化")
|
||
print("- 使用速度控制调整播放速度")
|
||
print("- 可以跳转到指定的数列号")
|
||
print("- 观察买盘（绿色）和卖盘（红色）的深度变化")
|
||
|
||
# 运行应用
|
||
player.run()
|
||
|
||
if __name__ == "__main__":
|
||
main() |