private void CreateIndexOptions(DateTime date)
{
if (logger.IsInfoEnabled)
{
logger.Info("開始轉換指數型選擇權資料...");
}
List <string> cStocks = __cExchange.GetProductClassify(ESymbolCategory.IndexOption);
foreach (string sStock in cStocks)
{
int iIndex = sStock.LastIndexOf(".");
if (iIndex > -1)
{
iIndex -= 2;
if (sStock[iIndex] >= 'A')
{
continue; //沒有轉換代號的選擇權全部都不要轉換
}
}
AbstractProductProperty cProperty = __cExchange.GetProperty(sStock, "Mitake");
if (cProperty != null)
{
IQuote cQuote = MitakeStorage.Storage.GetQuote(sStock);
if (cQuote != null)
{
SeriesSymbolData cMSeries = CreateSeries(sStock, EResolution.Minute, date);
SeriesSymbolData cDSeries = CreateSeries(sStock, EResolution.Day, date);
int iLast = cQuote.TickCount - 1;
if (iLast >= 0)
{
for (int i = iLast; i >= 0; i--)
{
ITick cTick = cQuote.GetTick(i);
if (cTick != null)
{
cMSeries.Merge(cTick);
cDSeries.Merge(cTick);
}
}
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
System.Console.Write("Convert... {0} ", sStock);
System.Console.CursorLeft = 0;
}
}
}
}
}
private static void ConvertCSV(string csvFile)
{
string[] sData = LoadCSV(csvFile);
if (sData == null)
{
return;
}
bool bConvert = false;
SeriesSymbolData cMSeries = null, cDSeries = null;
if (logger.IsInfoEnabled)
{
logger.Info("[Convert] 開始轉換 CSV 期貨檔案資訊...");
}
string[] sItems = sData[0].Split(',');
string sSymbolId = null;
bConvert = cTargetSymbols.TryGetValue(Path.GetFileNameWithoutExtension(csvFile), out sSymbolId);
if (bConvert)
{
int iLength = sData.Length;
cMSeries = CreateSeries(sSymbolId, EResolution.Minute);
cMSeries.SetRange(iLength);
cMSeries.AdjustSize(iLength, true);
for (int i = iLength - 1; i >= 0; i--)
{
sItems = sData[i].Split(',');
DateTime cTime = DateTime.Parse(sItems[0]);
double dOpen = double.Parse(sItems[1]);
double dHigh = double.Parse(sItems[2]);
double dLow = double.Parse(sItems[3]);
double dClose = double.Parse(sItems[4]);
double dVolume = double.Parse(sItems[5]);
cMSeries.AddSeries(cTime, dOpen, dHigh, dLow, dClose, dVolume, false);
}
cDSeries = CreateSeries(sSymbolId, EResolution.Day);
cMSeries.Merge(cDSeries);
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, true);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
cMSeries.Dispose();
cDSeries.Dispose();
}
}
private SeriesSymbolDataRand InternalGetSeries(InstrumentDataRequest dataRequest, bool useCache) {
SeriesStorage cStorage = null;
string sLSymbolId = dataRequest.Symbol.ToLower();
lock (__cStorages) {
if (!__cStorages.TryGetValue(sLSymbolId, out cStorage)) {
cStorage = new SeriesStorage(16);
__cStorages.Add(sLSymbolId, cStorage);
}
}
SeriesSymbolDataRand cSeriesRand = null;
int iTotalSeconds = dataRequest.Resolution.TotalSeconds;
if (useCache) { //是否使用快取
lock (cStorage) { //需要 lock 這個區塊(避免非同步讀取資料時發生問題)
int iBaseSeconds = (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS;
SeriesSymbolData cSeries = cStorage.GetSeries(iTotalSeconds);
if (cSeries == null) {
cSeries = cStorage.GetSeries(iBaseSeconds);
if (cSeries == null) {
DataAdapter cAdapter = LoadAdapter(ref dataRequest);
cSeries = cAdapter.Series;
cStorage.Add(cSeries);
}
}
if (iBaseSeconds == iTotalSeconds) {
dataRequest = cSeries.DataRequest;
goto exit;
} else {
cSeries = cSeries.CreateSeries(dataRequest); //利用基礎周期建立其他的資料周期
cStorage.Add(cSeries); //加入至 SeriesStorage
}
dataRequest.Resolution = cSeries.DataRequest.Resolution; //將目標的週期結構更新至傳入的 InstrumentDataRequest 週期結構
DataRequestEvent cRequestEvent = new DataRequestEvent(dataRequest);
cSeries.OnRequest(cRequestEvent); //如果已經存在則請求使用者需要的歷史資料區間(請求方法會檢查目前已下載的歷史資料區間是否足夠, 如果使用者需要的歷史資料區間比較大會向伺服器請求)
dataRequest.Range.Count = cRequestEvent.Count; //將請求後的正確數量傳入至結構內
exit:
cSeriesRand = new SeriesSymbolDataRand(cSeries, dataRequest);
}
} else {
DataAdapter cAdapter = LoadAdapter(ref dataRequest, false); //重新建立新的基礎週期序列資料(不使用快取, 不保存至快取內, 使用完畢之後立即 Dispose)
SeriesSymbolData cSeries = cAdapter.Series; //取得新的基礎周期序列資料
int iBaseSeconds = (iTotalSeconds < Resolution.MAX_BASE_TOTALSECONDS) ? Resolution.MIN_BASE_TOTALSECONDS : Resolution.MAX_BASE_TOTALSECONDS;
if (iBaseSeconds == iTotalSeconds) {
dataRequest = cSeries.DataRequest;
} else {
SeriesSymbolData cTargetSeries = cSeries.CreateSeries(dataRequest); //使用 InstrumentDataRequest 建立新的其他週期序列資料
cSeries.Merge(cTargetSeries); //將基礎周期序列資料合併至新的其他週期序列資料
cSeries.Dispose(); //釋放基礎周期序列資料
cSeries = cTargetSeries;
}
cSeriesRand = new SeriesSymbolDataRand(cSeries, dataRequest);
cStorage.Add(cSeries, true); //保存序列資料(存放在 SeriesStorage 內的序列資料才會自動合併最新的即時資訊報價)
cAdapter.Dispose(); //釋放資料配置者類別
}
return cSeriesRand;
}
internal static void Convert(DateTime date, bool isDownload = true)
{
string[] sData = LoadRPT(date, isDownload);
if (sData == null)
{
return;
}
double dVolume = 0;
bool bConvert = false;
string sEDate = string.Empty;
string sOSymbolId = string.Empty;
string sDate = date.ToString("yyyyMMdd");
SeriesSymbolData cMSeries = null, cDSeries = null;
if (logger.IsInfoEnabled)
{
logger.Info("[Convert] 開始轉換期交所的期貨資訊...");
}
int iLength = sData.Length;
for (int i = 1; i < iLength; i++)
{
string[] sItems = sData[i].Split(',');
if (sItems.Length == 9)
{
string sFutureDate = sItems[0].Trim();
if (!sFutureDate.Equals(sDate)) //檢查日期是否為欲轉換的日期
{
continue;
}
string sSymbolId = sItems[1].Trim();
if (!sSymbolId.Equals(sOSymbolId))
{
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
dVolume = 0;
sOSymbolId = sSymbolId;
string sTWSymbolId = null;
bConvert = cTargetSymbols.TryGetValue(sSymbolId, out sTWSymbolId);
if (bConvert)
{
cMSeries = CreateSeries(sTWSymbolId, EResolution.Minute, date);
cDSeries = CreateSeries(sTWSymbolId, EResolution.Day, date);
if (ConvertParameter.強制今日為期權到期日)
{
sEDate = DateTime.Now.Year.ToString() + ConvertParameter.自訂期權合約月份.ToString("0#");
}
else
{
AbstractExchange cExchange = ProductManager.Manager.GetExchange("TWSE");
AbstractProductProperty cProperty = cExchange.GetProperty(sTWSymbolId);
IContractTime cContractTime = cProperty.ContractRule as IContractTime;
ContractTime cContract = cContractTime.GetContractTime(date);
sEDate = cContract.MaturityDate.ToString("yyyyMM");
}
}
}
if (bConvert)
{
string sEndDate = sItems[2].Trim();
if (sEndDate.Length == 6 && sEndDate.Equals(sEDate))
{
Tick cTick = new Tick();
cTick.Time = DateTimeParser.Parse(sItems[0], sItems[3]);
cTick.Price = double.Parse(sItems[4]);
cTick.Single = double.Parse(sItems[5]) / 2; //Buy + Sell(需要除以2)
dVolume += cTick.Single;
cTick.Volume = dVolume;
cMSeries.Merge(cTick);
cDSeries.Merge(cTick);
}
}
}
}
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
}