public void DoIt()
{
string strErrorMsg;
WindAPI w = new WindAPI();
//登录WFT
int nRetCode = w.start();
if (0 != nRetCode)//登录失败
{
strErrorMsg = w.getErrorMsg(nRetCode);
Console.Write(strErrorMsg);
return;
}
//登录账号
Console.Write("\r\ntlogon……");
WindData wd = w.tlogon("0000", "0", "w088801001", "******", "SHSZ");
string strLogonId = wd.GetLogonId();
//下单浦发银行
wd = w.torder("600000.SH", "Buy", "12.0", "200", "OrderType=LMT;LogonID=" + strLogonId);//单账户登录可以不指定LogonId=1
//获取下单ID
string strRequestID1 = wd.GetOrderRequestID();
Console.WriteLine("RequestID=" + strRequestID1);
//下单白云机场
wd = w.torder("600004.SH", "Buy", "12.00", "300", "OrderType=LMT;LogonID=" + strLogonId);//单账户登录可以不指定LogonId=1
//获取下单ID
string strRequestID2 = wd.GetOrderRequestID();
//查询
Console.WriteLine("query……");
wd = w.tquery("Order", "RequestID=" + strRequestID1);
//获取浦发银行OrderNumber
string strOrderNumber = wd.GetOrderNumber();
//浦发银行撤单
Console.WriteLine("cancel……");
wd = w.tcancel(strOrderNumber);
//再次查询
Console.WriteLine("query after cancel……");
wd = w.tquery("Order");
string strQueryInfoAfter = WindDataMethod.WindDataToString(wd, "tquery");
Console.Write(strQueryInfoAfter);
//登出
Console.WriteLine("tlogout……");
w.tlogout();
//退出WindAPI
w.stop();
}
public SystemGlobal(WindAPI _w)
{
w = _w;
try
{ w.start(); }
catch
{ }
Init();
}
public void Execute()
{
//从万得提取数据
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wsi("510050.SH", "open,high,low,close,volume"
, "2016-07-01 09:00:00", "2016-07-22 15:00:00", "Fill=Previous");
w.stop();
//初始化各类变量
DateTime[] DataDate = wd.timeList;
String.Format("yyyy/MM/dd hh:mm:ss", DataDate);
//日期、开盘价、最高价、最低价、收盘价、成交量
int FieldLength = wd.GetFieldLength();
int DataLength = wd.GetDataLength();
int DateLength = DataLength / FieldLength;
int sign = 0;//下标计数
double[] RawData = (double[])wd.data;
double[,] MarketData = new double[DateLength, 5];
/*
* double[] OP = new double[DateLength];
* double[] HP = new double[DateLength];
* double[] LP = new double[DateLength];
* double[] CP = new double[DateLength];
*/
for (int i = 0; i < RawData.Length; i = i + FieldLength)
{
for (int j = 0; j < FieldLength; j++)
{
MarketData[sign, j] = RawData[i + j];
}
sign++;
}
// System.Console.WriteLine("{0},{1},{2},{3}", sign, MarketData.GetLength(0), MarketData.GetLength(1), DateLength);
/*
* for (int now = 0; now <= sign; now++)
* {
* if (now != 0 && now % 60 == 0)//60min做一次停顿
* Console.ReadKey();
* System.Console.WriteLine("Time:{0} -- O:{1} H:{2} L:{3} C:{4} Volum:{5}\n"
* , DataDate[now], MarketData[now,0], MarketData[now,1]
* , MarketData[now,2], MarketData[now,3], MarketData[now,4]);
* }
* Console.ReadKey();
*/
GenSignal myGS = new GenSignal();
myGS.getSignal(MarketData);
}
/// <summary>
/// 获取可立即使用的WindAPI,如果处于未连接状态自动开启
/// </summary>
/// <returns></returns>
public static WindAPI GetWindAPI()
{
if (_windAPI == null)
{
_windAPI = new WindAPI();
}
if (!_windAPI.isconnected())
{
_windAPI.start();
}
return(_windAPI);
}
public Int64 getDataSetCount()
{
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wss(_SecCodes, _Fields, _Params);
if (wd == null)
{
return(-1);
}
return(wd.codeList.Length);
}
private void button2_Click(object sender, EventArgs e)
{
this.Cursor = Cursors.WaitCursor;
WSSProcess wssp = new WSSProcess();
WindAPI w = new WindAPI();
w.start();
DataTable dt = wssp.getRecods(w, textBox1.Text, textBox2.Text);
this.dataGridView1.DataSource = dt;
this.dataGridView1.Show();
this.Cursor = Cursors.Default;
}
private void GetStockList()
{
TradeDays myTradeDays = new TradeDays(20130601, 20160626);
int[] changeDate = new int[7] {
20130628, 20131213, 20140613, 20141212, 20150612, 20151211, 20160608
};
w.start();
foreach (int date in changeDate)
{
int today = date;
int tomorrow = TradeDays.GetNextTradeDay(date);
string todayStr = DateTime.ParseExact(today.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
string tomorrowStr = DateTime.ParseExact(tomorrow.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
List <string> todayList = new List <string>();
List <string> tomorrowList = new List <string>();
List <string> stockIn = new List <string>();
List <string> stockOut = new List <string>();
WindData wd = w.wset("sectorconstituent", "date=" + todayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
todayList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
wd = w.wset("sectorconstituent", "date=" + tomorrowStr + ";windcode=" + indexName);
stockList = wd.data as object[];
num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
tomorrowList.Add(Convert.ToString(stockList[i * 3 + 1]));
}
foreach (string code in tomorrowList)
{
if (todayList.Contains(code) == false)
{
stockIn.Add(code);
}
}
foreach (string code in todayList)
{
if (tomorrowList.Contains(code) == false)
{
stockOut.Add(code);
}
}
stockModifyList myList = new stockModifyList(today, stockIn, stockOut);
changeList.Add(today, myList);
}
}
public static CodeInfo[] Down(string[] windcode, string date)
{
WindAPI wind = new WindAPI();
wind.start();
if (string.IsNullOrEmpty(date))
{
date = DateTime.Now.ToString("yyyyMMdd");
}
var wd = wind.wss(string.Join(",", windcode), $"lasttrade_date,dlmonth,transactionfee,todaypositionfee,sccode,margin,contract_issuedate,ipo_date", $"tradeDate={date}");
if (wd.data == null)
{
return(null);
}
var ws = wd.getDataByFunc("wss", false) as object[, ];
var l = ws.GetLongLength(0);
List <CodeInfo> ret = new List <CodeInfo>();
for (var i = 0; i < l; i++)
{
var info = new CodeInfo();
info.WindCode = windcode[i];
info.LastTradeDate = (DateTime)ws[i, 0];
info.DLMonth = int.Parse(ws[i, 1].ToString());
info.Transactionfee = (string)ws[i, 2];
info.TodayPositionfee = (string)ws[i, 3];
info.Name = (string)ws[i, 4];
if (ws[i, 5] != null)
{
info.margin = (double)ws[i, 5];
}
info.ContractIssuedate = (DateTime)ws[i, 6];
info.IssueDate = (DateTime)ws[i, 7];
info.Code = CodeInfo.GetTradeCode(info.WindCode);
ret.Add(info);
}
return(ret.ToArray());
}
/// <summary>
/// 构造函数
/// </summary>
/// <param name="date">指定日期</param>
public GetStocks(int startDate, int endDate, string indexName)
{
this.startDate = startDate;
this.endDate = endDate;
this.indexName = indexName;
if (myTradeDays == null)
{
myTradeDays = new TradeDays(startDate, endDate);
}
if (stockList == null)
{
w.start();
stockList = getExitsStocks();
}
}
public static List <CodeInfo> GetAllCodes(string dateTime = null)
{
WindAPI wind = new WindAPI();
wind.start();
var date = DateTime.Parse(dateTime);
List <CodeInfo> rets = new List <CodeInfo>();
rets.AddRange(GetSectorCodeInfo(wind, date, "a599010201000000")); // 上海交易所
rets.AddRange(GetSectorCodeInfo(wind, date, "a599010301000000")); // 大商所
rets.AddRange(GetSectorCodeInfo(wind, date, "a599010401000000")); // 郑商所
return(rets);
}
static void DoAPISameple()
{
WindAPI w = new WindAPI();
w.start();
//wset取沪深300指数成分
//WindData wd = w.wset("IndexConstituent", "date=20141215;windcode=000300.SH");
//OutputWindData(wd, "wset");
WindData wd = w.wsd("I2009.DCE", "open", "2020-05-24", "2020-05-24", "");
OutputWindData(wd, "wsd");
w.stop();
}
/// <summary>
/// 万德的查询函数
/// </summary>
/// <param name="code">查询对象代码</param>
private void Execute(List <string> code)
{
WindAPI w = new WindAPI();
w.start();
int errorId = 0;
string codeList = "";
foreach (var item in code)
{
codeList += item + ",";
dataList.Add(item, new Level1Data());
}
codeList.Remove(codeList.Length - 1, 1);
ulong reqId = w.wsq(ref errorId, codeList, "rt_ask1,rt_asize1,rt_bid1,rt_bsize1,rt_latest,rt_time", "", myCallback);
}
//启动、登录
public static bool Login()
{
if (null == windHandle)
{
windHandle = new WindAPI();
}
int nStatus = 0;
if (!windHandle.isconnected())
{
nStatus = windHandle.start();
}
if (0 != nStatus)
{
return(false);
}
return(true);
}
public WDBuilder(WindAPI _w)
{
if (_w == null)
{
try
{
_w = new WindAPI();
_w.start();
}
catch
{
throw (new Exception("万得接口突然崩溃！"));
}
////_w = new WindAPI();
////_w.start();
}
w = _w;
}
private void GetBonusPlan()
{
bonusList = new SortedDictionary <string, stockBonus>();
w.start();
//利用万德wset的“分红预案”抓取数据
WindData wd = w.wset("dividendproposal", "ordertype=1;startdate=2015-06-30;enddate=2020-12-31;sectorid=a001010100000000;field=wind_code,sec_name,progress,cash_dividend,fellow_preplandate");
object[] stockList = wd.data as object[];
int num = stockList.Length / 5;
for (int i = 0; i < num; i++)
{
stockBonus myBonus = new stockBonus();
myBonus.code = Convert.ToString(stockList[i * 5]);
myBonus.name = (string)stockList[i * 5 + 1];
myBonus.progress = (string)stockList[i * 5 + 2];
myBonus.planBonus = (stockList[i * 5 + 3] == null? 0:(double)stockList[i * 5 + 3]);
string[] date = Convert.ToString(stockList[i * 5 + 4]).Split(new char[] { '/', ' ' });
myBonus.planDate = Convert.ToInt32(date[0]) * 10000 + Convert.ToInt32(date[1]) * 100 + Convert.ToInt32(date[2]);
if (TradeDays.GetTimeSpan(myBonus.planDate, yesterday) <= 125 && myBonus.code.Substring(7, 2) == "SH")
{
if (bonusList.ContainsKey(myBonus.code) == false)
{
bonusList.Add(myBonus.code, myBonus);
}
else if (TradeDays.GetTimeSpan(myBonus.planDate, yesterday) < TradeDays.GetTimeSpan(bonusList[myBonus.code].planDate, yesterday))
{
bonusList[myBonus.code] = myBonus;
}
}
}
foreach (var item in GetStocks.stockList)
{
string code = item.Key;
if (bonusList.ContainsKey(code) == false)
{
stockBonus myBonus = new stockBonus();
myBonus.code = item.Value.code;
myBonus.name = item.Value.name;
myBonus.progress = "没有分红预案";
bonusList.Add(myBonus.code, myBonus);
}
}
}
//启动、登录
private bool start()
{
if (null == m_w)
{
m_w = new WindAPI();
}
int nStatus = 0;
if (!m_w.isconnected())
{
nStatus = m_w.start();
}
if (0 != nStatus)
{
return(false);
}
return(true);
}
/// <summary>
/// 按日期遍历，添加期权信息。写入静态哈希表myOptionList。
/// </summary>
/// <param name="startDate">开始日期</param>
/// <param name="endDate">结束日期</param>
private void GetOptionInformationList(int startDate, int endDate)
{
//定义交易日期的类。
TradeDays myTradeDays = new TradeDays(startDate, endDate);
//从数据库表中获取信息，如果已经是完整信息就不需要连接万德数据库。
if (GetOptionListFromTable(startDate, endDate) == true)
{
return;
}
//按日期遍历，添加期权信息。
WindAPI w = new WindAPI();
w.start();
foreach (int today in myTradeDays.myTradeDays)
{
if (TradeDays.IsOptionExerciseDate(today) || today == myTradeDays.myTradeDays[myTradeDays.myTradeDays.Count - 1])
{
WindData optionToday = w.wset("OptionChain", "date=" + today.ToString() + ";us_code=" + Configuration.underlyingAsset + ";option_var=;month=全部;call_put=全部");
object[] optionList = optionToday.data as object[];
int num = optionList.Length / 13;
for (int i = 0; i < num; i++)
{
optionFormat option = new optionFormat();
string codeString = (string)optionList[i * 13 + 4 - 1];
option.optionCode = Convert.ToInt32(codeString.Substring(0, 8));
option.market = codeString.Substring(9, 2);
option.optionName = (string)optionList[i * 13 + 5 - 1];
option.executeType = (string)optionList[i * 13 + 6 - 1];
option.strike = (double)optionList[i * 13 + 7 - 1];
option.optionType = (string)optionList[i * 13 + 9 - 1];
option.startDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 10 - 1]);
option.endDate = TradeDays.DateTimeToInt((DateTime)optionList[i * 13 + 11 - 1]);
if (myOptionList.ContainsKey(option.optionCode) == false)
{
myOptionList.Add(option.optionCode, option);
}
}
}
}
w.stop();
}
/// <summary>
/// 处理
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void btnDeal_Click(object sender, EventArgs e)
{
//接口初始化
WindAPI w = new WindAPI();
//在接口操作前，用户首先要登录并启动C#插件，即使用w.start()命令。其中，返回值0表示登陆成功，负数表示登陆失败，可通过w.getErrorMsg()函数获取错误信息。
w.start();
//当需要判断是否连接c#接口时，可以使用w.isconnected()命令。返回值True表示处于连接状态，反之False表示连接断开。
if (w.isconnected())
{
WindData wd = w.wss("000001.SZ,000002.SZ", "open,low,close,volume", "tradeDate=20180809;priceAdj=U;cycle=D");
//返回的数据转化为便于使用的数据结构,
object[,] getData = (object[, ])wd.getDataByFunc("wss", false);
MessageBox.Show("连接成功");
}
//当需要停止使用C#接口时，可以使用w.stop()命令，由于程序退出时会自动执行w.stop()命令，用户一般并不需要执行。
w.stop();
}
/// <summary>
/// 获取WindAPI,三次登录失败返回null
/// </summary>
/// <returns></returns>
public static WindAPI GetApi()
{
WindAPI w = new WindAPI();
for (int i = 0; i < 3; i++)
{
//登录WFT
int nRetCode = w.start();
if (0 != nRetCode)//登录失败
{
var strErrorMsg = w.getErrorMsg(nRetCode);
Logger.Write("登录WFT失败", strErrorMsg, string.Empty, string.Empty, LogLevel.Error, 0);
}
else
{
return(w);
}
}
return(null);
}
/// <summary>
/// 获取可立即使用的WindAPI,如果处于未连接状态自动开启
/// </summary>
/// <returns></returns>
public static WindAPI GetWindAPI()
{
if (_windAPI == null)
{
_windAPI = new WindAPI();
}
if (!_windAPI.isconnected() && Caches.WindConnectionTry == false)
{
int myStart = _windAPI.start();
Caches.WindConnectionTry = true;
if (myStart == 0)
{
Caches.WindConnection = true;
}
else
{
Caches.WindConnection = false;
}
}
return(_windAPI);
}
public static WindAPI getAPI()
{
if (api == null || !api.isconnected())
{
api = new WindAPI();
try
{
int result = (int)api.start();
if (result == 0)
{
Console.WriteLine(" Wind API 登录成功！");
}
else
{
Console.WriteLine(" Wind API 登录失败: " + api.getErrorMsg(result));
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
return(api);
}
static DataFeed()
{
_dict = new Dictionary <ulong, DataHandler>();
_api = new WindAPI();
_api.start();
}
public void DoIt()
{
WindAPI w = new WindAPI();
w.start();
//取昨天的最高、最低、收盘
double dLastHigh = 0; double dLastLow = 0; double dLastClose = 0;
WindData wd = w.wss("600999.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("601000.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("M1309.DCE", "high,low,close", "tradeDate=20130411;priceAdj=U;cycle=D");
double[,] lastPriceData = (double[, ])wd.getDataByFunc("wss", true);
if (null == lastPriceData)
{
return;
}
dLastHigh = lastPriceData[0, 0];
dLastLow = lastPriceData[0, 1];
dLastClose = lastPriceData[0, 2];
//计算出6个价位
double dSsetup = dLastHigh + 0.35 * (dLastClose - dLastLow); //观察卖出价
double dSenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastLow; //反转卖出价
double dBenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastHigh; //反转买入价
double dBsetup = dLastLow - 0.35 * (dLastHigh - dLastClose); //观察买入价
double dBbreak = dSsetup + 0.25 * (dSenter - dBsetup); //突破买入价
double dSbreak = dBsetup - 0.205 * (dSenter - dBsetup); //突破卖出价
//某天的交易数据
WindData wdWSI = w.wsi("600999.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("601000.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("M1309.DCE", "high,low,close", "2013-04-12 09:30:00", "2013-04-12 15:00:00", "");
double[,] curPriceData = (double[, ])wdWSI.getDataByFunc("wsi", true);
if (null == curPriceData)
{
return;
}
int nTimeCount = curPriceData.GetLength(0);
if (nTimeCount < 0)
{
return;
}
int nPriceDim = curPriceData.GetLength(1);
if (nPriceDim < 3)
{
return;
}
//策略初值，1表示做多，-1表示做空，0表示无操作
List <int> curHoldList = new List <int>(nTimeCount);
for (int i = 0; i < nTimeCount; i++)
{
curHoldList.Add(0);
}
double dCurHigh = curPriceData[0, 0];
double dCurLow = curPriceData[0, 1];
double dCurPrice = curPriceData[0, 2];
for (int i = 0; i < nTimeCount; i++)
{
dCurHigh = (curPriceData[i, 0] > dCurHigh) ? curPriceData[i, 0] : dCurHigh;
dCurLow = (curPriceData[i, 1] > dCurLow) ? curPriceData[i, 1] : dCurLow;
dCurPrice = curPriceData[i, 2];
//当前持仓
int nCurHold = curHoldList.Sum();
bool bCon1 = (dCurPrice > dBbreak) && (0 == nCurHold); //空仓做多条件
bool bCon2 = (dCurPrice < dSbreak) && (0 == nCurHold); //空仓做空条件
bool bCon3 = (nCurHold > 0) && (dCurHigh > dSsetup) && (dCurPrice < dSenter); //多单反转卖出条件:holding>0 and 今高>观察卖出价 and c<反转卖出价;
bool bCon4 = (nCurHold < 0) && (dCurLow < dBsetup) && (dCurPrice > dBenter); //空单反转买入条件:=holding<0 and 今低<观察买入价 and c>反转买入价;
//交易
if (bCon3) //多单反转
{
curHoldList[i] = -1; //平多 //sell
}
else if (bCon2) //空单做空
{
curHoldList[i] = -1; //sell
}
else if (bCon4) //空单反转
{
curHoldList[i] = 1; //buy
}
else if (bCon1) //空仓做多
{
curHoldList[i] = 1; //buy
}
else
{
curHoldList[i] = 0;
}
}
int nCurHole = curHoldList.Sum();
//尾盘轧平
if (1 == nCurHole && 1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (1 == nCurHole)
{
curHoldList[nTimeCount - 1] = -1;
}
else if (-1 == nCurHole && -1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (-1 == nCurHole)
{
curHoldList[nTimeCount - 1] = 1;
}
//统计收益
double dProfit = 0;
for (int i = 0; i < nTimeCount; i++)
{
dProfit += curPriceData[i, 2] * curHoldList[i];
}
Console.WriteLine("策略收益:" + dProfit);
w.stop();
}
static DownBar()
{
wind.start();
}
static WSDClass()
{
w = new WindAPI();
w.start();
}