public override void OnInit()
{
DateTime curDate = Clock.Now.Date;
ISeriesObject[] dailyBars = Util.GetNDailiesBeforeDate(this.instrument, curDate, 60);
foreach (Daily dBar in dailyBars)
{
this.Bar.Add(dBar);
}
bool overWrite = false;
FileSeries series = (FileSeries)this.instrument.GetDataSeries("RiskLevel");
if (series == null)
{
series = (FileSeries)this.instrument.AddDataSeries("RiskLevel");
}
float prevRiskLevel = 1.0F;
if (series.Count > 0)
{
DateTime lastDate = curDate;
int i;
do
{
lastDate = lastDate.AddDays(-1);
i = series.IndexOf(lastDate);
}while(i < 0 && lastDate > series.FirstDateTime);
if (i >= 0)
{
ISeriesObject[] riskArray = series.GetArray(i, i);
GMData gmData = (GMData)riskArray[0];
prevRiskLevel = gmData.DataValue;
}
}
GMDaily gmLastDaily = (GMDaily)this.DailyBar.Last;
double inc = (gmLastDaily.Close / gmLastDaily.LastClose - 1) * 100;
double abs = Math.Abs(inc);
double riskLevel = prevRiskLevel + inc / abs * (int)(abs / 0.5) * 0.1;
riskLevel = riskLevel < 0.5?0.5:(riskLevel > 1.2?1.2:riskLevel);
GMData gmData1 = new GMData(curDate, (float)riskLevel);
if (overWrite)
{
series.Remove(curDate);
series.Add(gmData1);
}
else if (!series.Contains(curDate))
{
series.Add(gmData1);
}
//this.PositionLevel=(float)riskLevel;
Console.WriteLine("昨日涨跌幅：{0},今日风险水平为：{1}", inc, riskLevel);
}
static void Main(string[] args)
{
// TO DO: Add your code here
string dataPath = "e:/QDData";
bool overwrite = false;
DateTime beginDate = new System.DateTime(2017, 1, 1);
DateTime endDate = new System.DateTime(2017, 4, 1);
string username = "******";
string password = "******";
int ret = _md.Init(username, password, MDMode.MD_MODE_NULL, "", "", "");
if (ret != 0)
{
string msg = _md.StrError(ret);
Console.WriteLine(msg);
return;
}
DateTime curDate = beginDate;
//获取交易日历，以确定是否开市日
string dateString1 = "";
if (endDate.AddMonths(-1) > beginDate)
{
dateString1 = beginDate.ToString("yyyy-MM-dd");
}
else
{
dateString1 = endDate.AddMonths(-1).ToString("yyyy-MM-dd");
}
string dateString2 = endDate.AddDays(1).ToString("yyyy-MM-dd");
List <DateTime> tradeDates = GetTradeDates("SHSE", dateString1, dateString2);
while (curDate < endDate)
{
Console.WriteLine("日期：" + curDate.ToString("yyyy-MM-dd"));
if ((tradeDates.Count <= 0) || (!tradeDates.Contains(curDate)))
{
Console.WriteLine("今天不是交易日");
curDate = curDate.AddDays(1);
continue;
}
string path = dataPath + "/" + curDate.Year.ToString() + "/" + curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
try {
DataFile file = DataFile.Open(path);
try {
//获取股票代码列表
List <string> symbols = new List <string>();
symbols.Add("SHSE.000001");
symbols.Add("SHSE.000002");
symbols.Add("SZSE.399001");
symbols.Add("SZSE.399006");
//symbols=GetSymbols("SHSE",1);
//symbols.AddRange(GetSymbols("SZSE",1));
foreach (string symbol in symbols)
{
Console.WriteLine("正在处理证券" + symbol + "的Tick数据...");
List <GMSDK.Tick> gskTicksCache = _md.GetTicks(symbol, beginString, endString);
Console.WriteLine(symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
}
}
}
catch (Exception ex) {
throw ex;
}
finally {
file.Close();
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
curDate = curDate.AddDays(1);
}
}
static void Main(string[] args)
{
// TO DO: Add your code here
string dataPath = "e:/QDData";
bool overwrite = false;
DateTime beginDate = new System.DateTime(2017, 4, 5);
DateTime endDate = new System.DateTime(2017, 4, 7);
string username = "******";
string password = "******";
int ret = _md.Init(username, password, MDMode.MD_MODE_NULL, "", "", "");
if (ret != 0)
{
string msg = _md.StrError(ret);
Console.WriteLine(msg);
return;
}
DateTime curDate = beginDate;
//获取交易日历，以确定是否开市日
string dateString1 = "";
if (endDate.AddMonths(-1) > beginDate)
{
dateString1 = beginDate.ToString("yyyy-MM-dd");
}
else
{
dateString1 = endDate.AddMonths(-1).ToString("yyyy-MM-dd");
}
string dateString2 = endDate.AddDays(1).ToString("yyyy-MM-dd");
List <DateTime> tradeDates = GetTradeDates("SHSE", dateString1, dateString2);
while (curDate < endDate)
{
Console.WriteLine("日期：" + curDate.ToString("yyyy-MM-dd"));
if ((tradeDates.Count <= 0) || (!tradeDates.Contains(curDate)))
{
Console.WriteLine("今天不是交易日");
curDate = curDate.AddDays(1);
continue;
}
string path = dataPath + "/" + curDate.Year.ToString() + "/" + curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
try {
DataFile file = DataFile.Open(path);
Random ra = new Random();
try {
//获取股票代码列表
List <string> symbols = new List <string>();
symbols = GetSymbols("SHSE", 1);
symbols.AddRange(GetSymbols("SZSE", 1));
foreach (string symbol in symbols)
{
//Console.WriteLine("正在检查证券"+symbol+"的Tick数据...");
string name = symbol + ".Trade";
if (!file.Series.Contains(name))
{
file.Series.Add(name);
}
FileSeries series = file.Series[name];
ISeriesObject[] has = series.GetArray(beginTime, endTime);
SmartQuant.Instruments.Instrument inst = InstrumentManager.Instruments[symbol];
//获取当天的日线数据
Daily dailyBar = null;
if (inst == null)
{
List <GMSDK.DailyBar> gskDailyBars = _md.GetDailyBars(symbol, curDate.ToString("yyyy-MM-dd"),
curDate.ToString("yyyy-MM-dd"));
if (gskDailyBars.Count > 0)
{
List <ISeriesObject> dailys = GSKToGM.ConvertDailys(gskDailyBars);
dailyBar = (Daily)dailys[0];
}
}
else
{
DailySeries dailySeries = inst.GetDailySeries(curDate, curDate);
if (dailySeries.Count > 0)
{
dailyBar = dailySeries[0];
}
}
bool needRebuild = false;
//检查是否丢失
if (has.Length <= 0)
{
if (dailyBar != null)
{
Console.WriteLine("证券:{0}，在日期:{1}时丢失Tick数据", symbol, curDate);
needRebuild = true;
}
}
else
{
//检查是否有重复,一般情形下不会重复，所以这里注释掉
/*int r1=ra.Next(0,has.Length-1);
* int r2=ra.Next(0,has.Length-1);
*
* ISeriesObject randTrade1=has[r1];
* ISeriesObject randTrade2=has[r2];
*
* ISeriesObject[] repeat1=series.GetArray(randTrade1.DateTime,randTrade1.DateTime);
* ISeriesObject[] repeat2=series.GetArray(randTrade2.DateTime,randTrade2.DateTime);
* if (repeat1.Length>1&&repeat2.Length>1) {
* Console.WriteLine("r1={0},r2={1}",r1,r2);
* Console.WriteLine("证券:{0}，在日期:{1}时有重复的Tick数据",symbol,curDate);
* needRebuild=true;
* }*/
//检查是否不完整
GMTrade lastTrade = (GMTrade)has[has.Length - 1];
if ((dailyBar != null) && (lastTrade.TotalSize < dailyBar.Volume))
{
Console.WriteLine("证券:{0}，在日期:{1}时Tick数据不全", symbol, curDate);
needRebuild = true;
}
}
if (needRebuild)
{
List <GMSDK.Tick> gskTicksCache = _md.GetTicks(symbol, beginString, endString);
Console.WriteLine(symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
}
}
}
}catch (Exception ex) {
throw ex;
}
finally {
file.Close();
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
curDate = curDate.AddDays(1);
}
}
protected override bool doJob()
{
Console.WriteLine("正在下载Tick数据...");
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
bool overwrite = false;
string path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = this.curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
DataFile file = DataFile.Open(path);
try
{
//获取股票代码列表
foreach (Instrument inst in InstrumentManager.Instruments)
{
string symbol = inst.Symbol;
Console.WriteLine("正在处理证券" + symbol + "的Tick数据...");
List <GMSDK.Tick> gskTicksCache = provider.MdApi.GetTicks(symbol, beginString, endString);
Console.WriteLine(symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
if (inst.SecurityType == "IDX")
{
continue; //指数没有报价数据
}
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
Console.WriteLine("证券:{0}的Tick数据存储完毕.", symbol);
}
}
return(true);
}
catch (Exception ex)
{
throw ex;
}
finally
{
file.Close();
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
protected override bool doJob()
{
Console.WriteLine("正在检查Tick数据的完整性...");
/*Console.WriteLine("测试作业.........");
* for(int i=0;i<1000;i++) Console.WriteLine("tick{0}",i);
* return false;*/
try {
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
bool overwrite = false;
string path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = this.curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
DataFile file = DataFile.Open(path);
try {
//获取股票代码列表
foreach (Instrument inst in InstrumentManager.Instruments)
{
//获取当天的日线数据
Daily dailyBar = null;
DailySeries dailySeries = inst.GetDailySeries(this.curDate, this.curDate);
if (dailySeries.Count > 0)
{
dailyBar = dailySeries[0];
}
else
{
continue;
}
string name = inst.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
file.Series.Add(name);
}
FileSeries series = file.Series[name];
ISeriesObject[] has = series.GetArray(beginTime, endTime);
bool needRebuild = false;
//检查是否丢失
if (has.Length <= 0)
{
Console.WriteLine("证券:{0}，在日期:{1}时丢失Tick数据", inst.Symbol, this.curDate);
needRebuild = true;
}
else
{
//检查是否不完整
GMTrade lastTrade = (GMTrade)has[has.Length - 1];
if (lastTrade.TotalSize < dailyBar.Volume)
{
Console.WriteLine("证券:{0}，在日期:{1}时Tick数据不全", inst.Symbol, this.curDate);
needRebuild = true;
}
}
if (needRebuild)
{
List <GMSDK.Tick> gskTicksCache = provider.MdApi.GetTicks(inst.Symbol, beginString, endString);
Console.WriteLine(inst.Symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = inst.Symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
if (inst.SecurityType == "IDX")
{
continue; //指数没有报价数据
}
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = inst.Symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
}
}
}
return(true);
}catch (Exception ex) {
throw ex;
}finally {
file.Close();
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
return(false);
}