/// <summary>
/// 所有的历史交易时段
/// </summary>
/// <param name="market">市场类型</param>
/// <param name="exchangeId">交易所ID</param>
/// <param name="productId">期货和期货期权需要填写-ProductID</param>
/// <returns>所有的交易时段</returns>
public TradingFrameSeries GetAllTradingTimeFrames(EnumMarket market, string exchangeId, string productId = "")
{
if (market == EnumMarket.股票)
{
if (_dictStockTradingFrame.ContainsKey(exchangeId))
{
return(_dictStockTradingFrame[exchangeId]);
}
}
else if (market == EnumMarket.股票期权)
{
if (_dictStockOptionTradingFrame.ContainsKey(exchangeId))
{
return(_dictStockOptionTradingFrame[exchangeId]);
}
}
else if (market == EnumMarket.期货)
{
if (_dictFutureTradingFrame.ContainsKey(productId))
{
return(_dictFutureTradingFrame[productId]);
}
}
else if (market == EnumMarket.期货期权)
{
if (_dictFutureOptionTradingFrame.ContainsKey(productId))
{
return(_dictFutureOptionTradingFrame[productId]);
}
}
return(null);
}
/// <summary>
/// 获取默认的交易时段
/// </summary>
/// <param name="market"></param>
/// <param name="exchangeId"></param>
/// <returns></returns>
public List <TimeSlice> GetDefaultTradingFrame(EnumMarket market, string exchangeId)
{
if (market == EnumMarket.股票)
{
if (_dictDefaultStockTradingFrame.ContainsKey(exchangeId))
{
return(_dictDefaultStockTradingFrame[exchangeId]);
}
}
else if (market == EnumMarket.股票期权)
{
if (_dictDefaultStockOptionTradingFrame.ContainsKey(exchangeId))
{
return(_dictDefaultStockOptionTradingFrame[exchangeId]);
}
}
else if (market == EnumMarket.期货)
{
if (_dictDefaultFutureTradingFrame.ContainsKey(exchangeId))
{
return(_dictDefaultFutureTradingFrame[exchangeId]);
}
}
else if (market == EnumMarket.期货期权)
{
if (_dictDefaultFutureOptionTradingFrame.ContainsKey(exchangeId))
{
return(_dictDefaultFutureOptionTradingFrame[exchangeId]);
}
}
return(_defaultFrame);
}
/// <summary>
/// 创建文件读取类
/// </summary>
/// <param name="market"></param>
/// <returns></returns>
public static FutureTickFileNew CreateTickFile(EnumMarket market)
{
switch (market)
{
case EnumMarket.期货: return(new FutureTickFileNew());
}
throw new Exception("没有" + market.ToString() + "对应的Tick文件读取类");
}
/// <summary>
/// Create a new bar file.
/// </summary>
/// <param name="filePath"></param>
/// <param name="market"></param>
/// <param name="barType"></param>
/// <param name="period"></param>
public BarFileV1(string filePath, EnumMarket market, EnumBarType barType = EnumBarType.иооМ, int period = 1)
: base(filePath, new FileHeader
{
FileVersion = FileVersion,
Period = period,
Market = market,
BarType = barType
})
{
}
public MqTickReader(string strFile, string futureId, EnumMarket market, string exCode)
{
_tickFileName = strFile;
_futureId = futureId;
_exCode = exCode;
_firstRead = true;
_bValid = false;
_tradingDay = default(DateTime);
_market = market;
}
public TimeSpan GetCloseTime(DateTime tradingday, EnumMarket market, string exchangid, string productid = "")
{
List <TimeSlice> lstslice = GetTradingFrame(tradingday, market, exchangid, productid);
if (lstslice != null && lstslice.Count > 0)
{
return(lstslice[lstslice.Count - 1].EndTime);
}
return(default(TimeSpan));
}
/// <summary>
/// 获取最后的（当前执行的）交易时段
/// 实盘的时候调用这个方法
/// </summary>
/// <param name="market">市场</param>
/// <param name="exchangeId">交易所ID</param>
/// <param name="productId">产品ID（股票和股票期权填空）</param>
/// <returns>指定的交易时段</returns>
public List <TimeSlice> GetLastTradingFrame(EnumMarket market, string exchangeId, string productId = "")
{
TradingFrameSeries frameSeries = GetAllTradingTimeFrames(market, exchangeId, productId);
if (frameSeries != null)
{
return(frameSeries.Last.TradingTimes);
}
else
{
//没有历史数据，取其交易所的
return(GetDefaultTradingFrame(market, exchangeId));
}
}
public TimeSlice GetLivingTime(DateTime tradingday, EnumMarket market, string exchangid, string productid = "")
{
List <TimeSlice> lstslice = GetTradingFrame(tradingday, market, exchangid, productid);
if (lstslice != null && lstslice.Count > 0)
{
return(new TimeSlice()
{
BeginTime = lstslice[0].BeginTime,
EndTime = lstslice[lstslice.Count - 1].EndTime
});
}
return(null);
}
public bool Load(
string strDir,
List <string> instrIdlist,
EnumMarket market,
DateTime tradingDay)
{
_tfMgr.LoadData(strDir + "\\TradingFrame.xml");
switch (market)
{
case EnumMarket.期货:
return(Load(strDir, instrIdlist, market, false));
}
return(false);
}
public TestTradeCase(
string _insId,
EnumMarket _market,
string _exchange,
EnumBuySell _direction,
double _limitPrice,
int _volume,
int _year,
int _month,
int _day)
{
insId = _insId;
Market = _market;
ExchangeID = _exchange;
Direction = _direction;
LimitPrice = _limitPrice;
Volume = _volume;
Year = _year;
Month = _month;
Day = _day;
}
/// <summary>
/// 载入股票
/// </summary>
/// <param name="strDir">配置目录</param>
/// <param name="instrIdlist">品种代码表</param>
/// <param name="market">市场</param>
/// <param name="isLive">是否实盘</param>
/// <returns></returns>
public bool Load(
string strDir,
List <string> instrIdlist,
EnumMarket market,
bool isLive)
{
_tfMgr.LoadData(strDir + "\\TradingFrame.xml");
switch (market)
{
case EnumMarket.期货:
#region
FutureManager fmgr = new FutureManager();
if (isLive)
{
if (!FutureFile.Read(strDir, fmgr, instrIdlist, isLive))
{
Clear();
return(false);
}
}
else
{
if (!FutureFile.Read(strDir, fmgr))
{
Clear();
return(false);
}
}
Merge(fmgr);
return(true);
#endregion
}
return(false);
}
/// <summary>
/// 给定一个交易日，获取这个交易日的交易时段
/// </summary>
/// <param name="theDate">指定交易日</param>
/// <param name="market">市场</param>
/// <param name="exchangeId">交易所ID</param>
/// <param name="productId">产品ID（股票和股票期权填空）</param>
/// <returns>指定的交易时段</returns>
public List <TimeSlice> GetTradingFrame(DateTime theDate, EnumMarket market, string exchangeId, string productId = "")
{
if (theDate == default(DateTime))
{
return(GetLastTradingFrame(market, exchangeId, productId));
}
TradingFrameSeries frameSeries = GetAllTradingTimeFrames(market, exchangeId, productId);
if (frameSeries != null)
{
List <TimeSlice> timeSlice = frameSeries.GetTradingTimes(theDate);
if (timeSlice != null)
{
return(timeSlice);
}
}
//如果找不到，则返回默认的
return(GetDefaultTradingFrame(market, exchangeId));
}
public List <Instrument> ExpandInstrument(string instId, EnumMarket market)
{
if (market == EnumMarket.股票期权)
{
if (instId.Length < 11) // 510050X8.SH
{
return(null);
}
if (instId.Contains("X"))
{
var refstock = instId.Remove(6, 2);
if (_mapRefOptionCurMonth.ContainsKey(refstock))
{
var curMonth = _mapRefOptionCurMonth[refstock];
#region 计算是哪个月的合约
switch (instId[7])
{
case '7': // 下月
curMonth = curMonth.AddMonths(1);
break;
case '6': // 下季
{
var itmp = curMonth.Month % 3;
switch (itmp)
{
case 0:
curMonth = curMonth.AddMonths(3);
break;
case 1:
curMonth = curMonth.AddMonths(2);
break;
default:
curMonth = curMonth.AddMonths(4);
break;
}
break;
}
case '5': // 隔季
{
var itmp = curMonth.Month % 3;
switch (itmp)
{
case 0:
curMonth = curMonth.AddMonths(6);
break;
case 1:
curMonth = curMonth.AddMonths(5);
break;
default:
curMonth = curMonth.AddMonths(7);
break;
}
break;
}
}
#endregion
var lstInsts = new List <Instrument>();
foreach (var inst in AllInstruments)
{
if (inst is Option)
{
var option = inst as Option;
if (option.RefInstrumentID == refstock && option.EndDate.Month == curMonth.Month)
{
lstInsts.Add(option);
}
}
}
return(lstInsts);
}
}
}
var instrument = this[instId];
if (instrument != null)
{
return(new List <Instrument>(1)
{
instrument
});
}
return(null);
}
