private void recordNetValue()
{
DataTable dt = new DataTable();
dt.Columns.Add("日期", Type.GetType("System.Int32"));
dt.Columns.Add("序号", Type.GetType("System.Int32"));
dt.Columns.Add("净值", Type.GetType("System.Double"));
int index = 0;
int lastDay = 0;
string str = "";
foreach (var item in netValue)
{
int today = item.Key;
double[] net = item.Value;
if (index == 0)
{
str = (today / 100).ToString();
}
for (int i = 0; i < net.Count(); i = i + 60)
{
index += 1;
dt.Rows.Add(new object[] { today, index, net[i] });
}
if (lastDay != 0 && TradeDays.GetNextTradeDay(lastDay) < today)
{
index = 0;
}
lastDay = today;
}
string str2 = DateTime.Now.ToString("yyMMddHH");
CsvApplication.SaveCSV(dt, "netvalue_" + str + "_" + str2 + ".csv", "new");
}
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);
}
}
/// <summary>
/// 根据程序运行日期，获取截止至昨日的指数成分股的列表
/// </summary>
/// <returns>指数成分股列表</returns>
private Dictionary <string, stockFormat> getExitsStocks()
{
Dictionary <string, stockFormat> list = new Dictionary <string, stockFormat>();
int yesterday = TradeDays.GetPreviousTradeDay(Convert.ToInt32(DateTime.Now.ToString("yyyyMMdd")));
foreach (int day in myTradeDays.myTradeDays)
{
string todayStr = DateTime.ParseExact(day.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd");
if (day <= yesterday)
{
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++)
{
stockFormat myStock = new stockFormat();
myStock.code = Convert.ToString(stockList[i * 3 + 1]);
myStock.name = (string)stockList[i * 3 + 2];
if (list.ContainsKey(myStock.code) == false)
{
myStock.existsDate = new List <int>();
myStock.existsDate.Add(day);
myStock.existsDate.Add(day);
list.Add(myStock.code, myStock);
}
else
{
int enterDate = list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 2];
int quitDate = list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 1];
if (day > TradeDays.GetNextTradeDay(quitDate))
{
list[myStock.code].existsDate.Add(day);
list[myStock.code].existsDate.Add(day);
}
else
{
list[myStock.code].existsDate[list[myStock.code].existsDate.Count() - 1] = day;
}
}
}
}
}
//若计算时间不包括历史时间，必须读取昨日的数据作为基准
if (list.Count == 0)
{
string yesterdayStr = DateTime.ParseExact(yesterday.ToString(), "yyyyMMdd", null).ToString("yyyy-MM-dd"); List <stockFormat> myList = new List <stockFormat>();
WindData wd = w.wset("sectorconstituent", "date=" + yesterdayStr + ";windcode=" + indexName);
object[] stockList = wd.data as object[];
int num = stockList.Length / 3;
for (int i = 0; i < num; i++)
{
stockFormat myStock = new stockFormat();
myStock.code = Convert.ToString(stockList[i * 3 + 1]).Substring(0, 6);
myStock.name = (string)stockList[i * 3 + 2];
myStock.existsDate = new List <int>();
myStock.existsDate.Add(yesterday);
myStock.existsDate.Add(yesterday);
}
}
//从stockModify.csv中读取指数成分股变动股票和日期
DataTable dt = CsvApplication.OpenCSV("stockModify.csv");
SortedDictionary <int, List <stockModify> > stockModifyList = new SortedDictionary <int, List <stockModify> >();
for (int i = 0; i < dt.Rows.Count; i++)
{
stockModify stock = new stockModify();
stock.code = dt.Rows[i][0].ToString();
stock.name = dt.Rows[i][1].ToString();
stock.date = Convert.ToInt32(dt.Rows[i][2].ToString());
stock.direction = dt.Rows[i][3].ToString();
if (stockModifyList.ContainsKey(stock.date))
{
stockModifyList[stock.date].Add(stock);
}
else
{
List <stockModify> stockList0 = new List <stockModify>();
stockList0.Add(stock);
stockModifyList.Add(stock.date, stockList0);
}
}
//根据文档对我的数据进行处理，如果变动时间大于昨日时间，需要对我的股票列表进行修正
int maxDate = yesterday;
foreach (var stockList in stockModifyList)
{
if (stockList.Value[0].date > yesterday)
{
foreach (var stock in stockList.Value)
{
if (stock.direction == "out")
{
if (list.ContainsKey(stock.code) == true)
{
list[stock.code].existsDate[list[stock.code].existsDate.Count() - 1] = stock.date;
}
}
if (stock.direction == "in")
{
if (stockList.Value[0].date > maxDate)
{
maxDate = stockList.Value[0].date;
}
if (list.ContainsKey(stock.code) == true)
{
list[stock.code].existsDate.Add(stock.date);
list[stock.code].existsDate.Add(stock.date);
}
else
{
stockFormat myStock = new stockFormat();
myStock.name = stock.name;
myStock.code = stock.code;
myStock.existsDate = new List <int>();
myStock.existsDate.Add(stock.date);
myStock.existsDate.Add(stock.date);
}
}
}
}
}
//按照回测日期给股票列表进行修正
foreach (var stock in list)
{
if (stock.Value.existsDate[stock.Value.existsDate.Count() - 1] == yesterday || stock.Value.existsDate[stock.Value.existsDate.Count() - 1] == maxDate)
{
stock.Value.existsDate[stock.Value.existsDate.Count() - 1] = endDate;
}
}
return(list);
}