public KtbSpotPosition(KtbSpotPosition origin)
{
this.TradingDate = origin.TradingDate;
this.Long_2_Short_1 = origin.Long_2_Short_1;
this.Rate = origin.Rate;
this.Count = origin.Count;
this.Price = origin.Price;
this.Notional = origin.Notional;
}
void WriteRemainLongBody(KtbSpotPosition longPos, CsvFileWriter writer)
{
CsvRow row = new CsvRow();
row.Add(longPos.TradingDate.ToString("yyyy-MM-dd"));
row.Add("" + longPos.Count);
row.Add(longPos.Rate.ToString("n5"));
row.Add("" + longPos.Price);
row.Add("" + longPos.Notional);
writer.WriteRow(row);
}
void LoadYesterdayLongRemains()
{
try
{
const string kRemainsFolder = @"remains\";
string fileName = String.Format("{0}_remains.csv", _yesterday.ToString("yyyy_MM_dd"));
string remains_path = String.Format("{0}{1}{2}", kFolder, kRemainsFolder, fileName);
logger.Info("{0} 읽기 시도", remains_path);
CsvFileReader reader = new CsvFileReader(remains_path);
Boolean header = true;
while (true)
{
CsvRow row = new CsvRow();
if (reader.ReadRow(row))
{
if (header)
{
header = false;
continue;
}
DateTime dt = DateTime.ParseExact(row[0], "yyyy-MM-dd", null);
long count = Convert.ToInt64(TextUtil.RemoveComma(row[1]));
double rate = Math.Round(Convert.ToDouble(row[2]), 5);
int price = Convert.ToInt32(TextUtil.RemoveComma(row[3]));
long notional = Convert.ToInt64(TextUtil.RemoveComma(row[4]));
KtbSpotPosition pos = new KtbSpotPosition();
pos.TradingDate = dt;
pos.Long_2_Short_1 = 2;
pos.Count = count;
pos.Rate = rate;
pos.Price = price;
pos.Notional = notional;
this.Longs.Add(pos);
}
else
{
break;
}
}
reader.Close();
logger.Info("Yesterday Long Remain Position Load complete.");
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
}
}
void LoadInput_KtsTLog()
{
const string kSubFolder = @"input_kts_tlog\";
string fileName = String.Format("{0}_kts_tlog.xls", _today.ToString("yyyy_MM_dd"));
string kts_tlog_path = String.Format("{0}{1}{2}", kFolder, kSubFolder, fileName);
List<KtbSpotPosition> todayLongs = new List<KtbSpotPosition>();
List<KtbSpotPosition> todayShorts = new List<KtbSpotPosition>();
logger.Info("{0} 읽기 시도", kts_tlog_path);
Workbook book = Workbook.Load(kts_tlog_path);
Worksheet sheet = book.Worksheets[0];
CellCollection cells = sheet.Cells;
int x = cells.LastColIndex;
int yCount = cells.LastRowIndex;
for (int y = 0; y <= yCount; ++y)
{
if (y == 0)
{
//skip header
continue;
}
string value = cells[y, 0].StringValue;
if (value.Length == 0)
{
//skip
continue;
}
//0 거래원, X
//1 주문 번호, X
//2 호가 구분,X
//3 종목 구분, X
//4 종목명, X
//5 만기, X
//6 매도 매수, O
//7 결제 딜러, X
//8 체결가 (원), O
//9 수익률 (%), O
//10 체결량 (억원), O
//11 결제대금(원), O
//12 체결 번호, O
//13 체결시각,X
string longShort = cells[y, 6].StringValue;
int price = Convert.ToInt32(cells[y, 8].Value);
double rate = Convert.ToDouble(cells[y, 9].Value);
long count = Convert.ToInt64(cells[y, 10].Value) * CommonConst._100_000_000;
long notional = Convert.ToInt64(cells[y, 11].Value);
string id = cells[y, 12].StringValue;
KtbSpotPosition spot = new KtbSpotPosition();
spot.TradingDate = _today;
spot.Long_2_Short_1 = longShort.CompareTo("매수") == 0 ? 2: 1;
spot.Rate = rate;
spot.Count = count;
spot.Price = price;
spot.Notional = notional;
if (spot.Long_2_Short_1 == 1)
{
todayShorts.Add(spot);
}
else
{
todayLongs.Add(spot);
}
}
todayShorts.Reverse();
todayLongs.Reverse();
this.Shorts.AddRange(todayShorts);
this.Longs.AddRange(todayLongs);
foreach (KtbSpotPosition spot in todayLongs)
{
KtbSpotPosition cloneSpot = new KtbSpotPosition(spot);
this.TodayLongs.Add(cloneSpot);
}
logger.Info("Today kts_tlog load complete...");
}
KtbSpotPosition GetShortRemainPos(KtbSpotPosition shortPos, KtbSpotDonePosition done)
{
long remainCount = shortPos.Count - done.ShortPosition.Count;
Trace.Assert(remainCount >= 0);
KtbSpotPosition ret = new KtbSpotPosition(shortPos);
ret.ChangeCountAndNotional(remainCount);
return ret;
}
KtbSpotPosition GetLongRemainPos(KtbSpotPosition longPos, KtbSpotDonePosition done)
{
long remainCount = longPos.Count - done.LongPosition.Count;
Trace.Assert(remainCount >= 0);
KtbSpotPosition ret = new KtbSpotPosition(longPos);
ret.ChangeCountAndNotional(remainCount);
return ret;
}
KtbSpotDonePosition GetDonePos(KtbSpotPosition longPos, KtbSpotPosition shortPos)
{
KtbSpotDonePosition done = new KtbSpotDonePosition();
long count = Math.Min(longPos.Count, shortPos.Count);
KtbSpotPosition doneLongPos = new KtbSpotPosition(longPos);
doneLongPos.ChangeCountAndNotional(count);
done.LongPosition = doneLongPos;
KtbSpotPosition doneShortPos = new KtbSpotPosition(shortPos);
doneShortPos.ChangeCountAndNotional(count);
done.ShortPosition = doneShortPos;
return done;
}
void WriteLongBody(KtbSpotPosition longPos, CsvFileWriter writer)
{
CsvRow row = new CsvRow();
row.Add("" + 2);
row.Add("" + longPos.Count / CommonConst._100_000_000);
row.Add(longPos.Rate.ToString("n5"));
row.Add("" + longPos.Price);
row.Add("" + longPos.Notional);
writer.WriteRow(row);
}
void LoadYesterdayLongRemains()
{
try
{
CsvFileReader reader = new CsvFileReader(_yesterdayLongRemainFileName_Input);
Boolean header = true;
while (true)
{
CsvRow row = new CsvRow();
if (reader.ReadRow(row))
{
if (header)
{
header = false;
continue;
}
DateTime dt = DateTime.ParseExact(row[0], "yyyy-MM-dd", null);
long count = Convert.ToInt64(row[1]) * CommonConst._100_000_000;
double rate = Math.Round(Convert.ToDouble(row[2]), 5);
int price = Convert.ToInt32(row[3]);
long notional = Convert.ToInt64(row[4]);
KtbSpotPosition pos = new KtbSpotPosition();
pos.TradingDate = dt;
pos.Long_2_Short_1 = 2;
pos.Count = count;
pos.Rate = rate;
pos.Price = price;
pos.Notional = notional;
this.Longs.Add(pos);
}
else
{
break;
}
}
reader.Close();
logger.Info("Yesterday Long Remain Position Load complete.");
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
}
}
void LoadTodayShort()
{
try
{
CsvFileReader reader = new CsvFileReader(_todayShortFileName_Input);
Boolean header = true;
while (true)
{
CsvRow row = new CsvRow();
if (reader.ReadRow(row))
{
if (header)
{
header = false;
continue;
}
DateTime dt = this.Today;
long count = Convert.ToInt64(row[1]) * CommonConst._100_000_000;
double rate = Math.Round(Convert.ToDouble(row[2]), 5);
int price = Convert.ToInt32(TextUtil.RemoveComma(row[3]));
long notional = Convert.ToInt64(TextUtil.RemoveComma(row[4]));
KtbSpotPosition pos = new KtbSpotPosition();
pos.TradingDate = dt;
pos.Long_2_Short_1 = 1;
pos.Count = count;
pos.Rate = rate;
pos.Price = price;
pos.Notional = notional;
this.Shorts.Add(pos);
}
else
{
break;
}
}
reader.Close();
logger.Info("Today Short Position Load complete.");
}
catch (System.Exception ex)
{
logger.Error(ex.ToString());
}
}