public BarSeries this[Instrument instrument]
{
get
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
return(new BarSeries(SmartQuant.Instruments.DataManager.Bars[instrument2]));
}
}
private static void AddInstrument(SmartQuant.Instruments.Instrument sq_instrument)
{
Instrument instrument = new Instrument(sq_instrument);
OpenQuant.instruments.Add(sq_instrument.Symbol, instrument);
Map.OQ_SQ_Instrument[instrument] = sq_instrument;
Map.SQ_OQ_Instrument[sq_instrument] = instrument;
}
private static void RemoveInstrument(SmartQuant.Instruments.Instrument sq_instrument)
{
OpenQuant.instruments.Remove(sq_instrument.Symbol);
Instrument key = Map.SQ_OQ_Instrument[sq_instrument] as Instrument;
Map.OQ_SQ_Instrument.Remove(key);
Map.SQ_OQ_Instrument.Remove(sq_instrument);
}
public BarSeries this[Instrument instrument, BarType barType, long barSize]
{
get
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
return(new BarSeries(SmartQuant.Instruments.DataManager.Bars[instrument2, EnumConverter.Convert(barType), barSize]));
}
}
public static BarSeries GetHistoricalBars(Instrument instrument, DateTime begin, DateTime end, BarType barType, long barSize)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
if (barSize == 86400L)
{
return(new BarSeries(SmartQuant.Instruments.DataManager.GetDailySeries(instrument2, begin, end)));
}
return(new BarSeries(SmartQuant.Instruments.DataManager.GetBarSeries(instrument2, begin, end, EnumConverter.Convert(barType), barSize)));
}
public Instrument(InstrumentType type, string symbol, string secutityExchange, string currency)
{
if (!SmartQuant.Instruments.InstrumentManager.Instruments.Contains(symbol))
{
this.instrument = new SmartQuant.Instruments.Instrument(symbol, EnumConverter.Convert(type));
this.instrument.SecurityExchange = secutityExchange;
this.instrument.Currency = currency;
this.instrument.Save();
}
}
public static void Add(Instrument instrument, Bar bar)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
if (bar.bar.BarType == SmartQuant.Data.BarType.Time && bar.bar.Size == 86400L)
{
Daily daily = new Daily(bar.bar.DateTime, bar.bar.Open, bar.bar.High, bar.bar.Low, bar.bar.Close, bar.bar.Volume, bar.bar.OpenInt);
SmartQuant.Instruments.DataManager.Add(instrument2, daily);
return;
}
SmartQuant.Instruments.DataManager.Add(instrument2, bar.bar);
}
public void EmitTrade(string instrument, DateTime time, byte providerId, double price, int size)
{
SmartQuant.Data.Trade trade = new SmartQuant.Data.Trade(time, price, size)
{
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewTradeEvent(inst, trade);
}
public void EmitQuote(string instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize)
{
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewQuoteEvent(inst, quote);
}
public void EmitBarOpen(string instrument, DateTime time, byte providerId, double open, double high, double low, double close, long volume, long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(time, open, high, low, close, volume, size)
{
ProviderId = providerId,
OpenInt = openInt,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarOpenEvent(inst, bar);
}
public void EmitBar(string instrument, DateTime time, byte providerId, double open, double high, double low, double close, long volume, long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Time, size, time, time.AddSeconds(size), open, high, low, close, volume, openInt)
{
ProviderId = providerId,
IsComplete = true,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarEvent(inst, bar);
}
public void SendMarketDataRequest(FIXMarketDataRequest request)
{
SubscriptionDataType subscriptionDataType = (SubscriptionDataType)0;
for (int i = 0; i < request.NoMDEntryTypes; i++)
{
FIXMDEntryTypesGroup mDEntryTypesGroup = request.GetMDEntryTypesGroup(i);
switch (mDEntryTypesGroup.MDEntryType)
{
case '0':
case '1':
if (request.MarketDepth == 1)
{
subscriptionDataType |= SubscriptionDataType.Quotes;
}
else
{
subscriptionDataType |= SubscriptionDataType.OrderBook;
}
break;
case '2':
subscriptionDataType |= SubscriptionDataType.Trades;
break;
}
}
for (int j = 0; j < request.NoRelatedSym; j++)
{
FIXRelatedSymGroup relatedSymGroup = request.GetRelatedSymGroup(j);
SmartQuant.Instruments.Instrument key = SmartQuant.Instruments.InstrumentManager.Instruments[relatedSymGroup.Symbol];
global::OpenQuant.API.Instrument instrument = Map.SQ_OQ_Instrument[key] as global::OpenQuant.API.Instrument;
switch (request.SubscriptionRequestType)
{
case '1':
this.provider.CallSubscribe(instrument, subscriptionDataType);
break;
case '2':
this.provider.CallUnsubscribe(instrument, subscriptionDataType);
break;
default:
throw new Exception("Unknown subscription request type " + request.SubscriptionRequestType);
}
}
}
public static BarSeries GetHistoricalBars(Instrument instrument, DateTime begin, DateTime end)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
return(new BarSeries(SmartQuant.Instruments.DataManager.GetBarSeries(instrument2, begin, end)));
}
public static void Add(Instrument instrument, OrderBookUpdate update)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
SmartQuant.Instruments.DataManager.Add(instrument2, update.marketDepth);
}
public static void Add(Instrument instrument, Quote quote)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
SmartQuant.Instruments.DataManager.Add(instrument2, quote.quote);
}
public static void Add(Instrument instrument, Trade trade)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
SmartQuant.Instruments.DataManager.Add(instrument2, trade.trade);
}
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()
{
bool ret = false;
List <Plate> topHotPlates = plateMonitor.GetTopNHotPlates(2, 17);
List <Stock> stocks = new List <Stock>();
foreach (Plate curPlate in topHotPlates)
{
Console.WriteLine("版块：{0}", curPlate.Name);
foreach (Stock curStock in curPlate.Stocks)
{
if (curStock.Price <= 0)
{
continue; //没有价格的除掉
}
if (curStock.IncPercent < 1 || curStock.IncPercent >= 5)
{
continue; //去掉不涨的和已经涨得好高的
}
if (!stocks.Contains(curStock))
{
stocks.Add(curStock);
}
}
}
stocks.Sort(delegate(Stock s1, Stock s2){
return(s2.IncPercent.CompareTo(s1.IncPercent));
});
DateTime lastDate = Clock.Now.Date.AddDays(-1);
DateTime beginTime = Clock.Now.Date.Add(new TimeSpan(9, 30, 0));
DateTime endTime = Clock.Now;
string lastDateString = lastDate.ToString("yyyy-MM-dd");
string beginTimeString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endTimeString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
foreach (Stock curStock in stocks)
{
Daily[] gmDailys = this.plateMonitor.GetDailyLine(curStock.Symbol, 20, lastDateString);
RecognitionState dailyLineState = this.plateMonitor.GetDailyLineState(gmDailys);
Bar[] gmMinBars = this.plateMonitor.GetMinLine(curStock.Symbol, beginTimeString, endTimeString);
RecognitionState minLineState = this.plateMonitor.GetMinLineState(gmMinBars);
if (!((dailyLineState.Shape == ShapeState.Rise) ||
(dailyLineState.Shape == ShapeState.RiseAfterFall && dailyLineState.Slope == SlopeState.Steep)))
{
continue;
}
if (minLineState.Shape == ShapeState.Fall || minLineState.Shape == ShapeState.RiseAfterFall)
{
continue;
}
if (minLineState.Shape == ShapeState.FallAfterRise && minLineState.Speed == SpeedState.Rapid)
{
continue;
}
SmartQuant.Instruments.Instrument inst = InstrumentManager.Instruments[curStock.Symbol];
if (inst != null)
{
this.strategy.AddBehavior(inst, new StockEntry(inst, dailyLineState, minLineState, this.tradeManager, this.strategy));
ret = true;
}
}
return(ret);
}
public static TradeSeries GetHistoricalTrades(Instrument instrument, DateTime begin, DateTime end)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
return(new TradeSeries(SmartQuant.Instruments.DataManager.GetTradeArray(instrument2, begin, end)));
}
internal Instrument(SmartQuant.Instruments.Instrument instrument)
{
this.instrument = instrument;
this.book = new OrderBook(instrument.OrderBook);
this.AltIDGroups = new AltIDGroupList(this);
}
public Instrument(InstrumentType type, string symbol, string secutityExchange, string currency)
{
if (!SmartQuant.Instruments.InstrumentManager.Instruments.Contains(symbol))
{
this.instrument = new SmartQuant.Instruments.Instrument(symbol, EnumConverter.Convert(type));
this.instrument.SecurityExchange = secutityExchange;
this.instrument.Currency = currency;
this.instrument.Save();
}
}
private void Init(SmartQuant.Instruments.Portfolio sq_Portfolio, SmartQuant.Instruments.Portfolio sq_MetaPortfolio, SmartQuant.Instruments.Instrument sq_Instrument, DataRequests strategyRequests, string strategyName, IStrategyLogManager strategyLogManager)
{
this.sq_Instrument = sq_Instrument;
this.instrument = (Map.SQ_OQ_Instrument[sq_Instrument] as Instrument);
this.portfolio = (Map.SQ_OQ_Portfolio[sq_Portfolio] as Portfolio);
this.metaPortfolio = (Map.SQ_OQ_Portfolio[sq_MetaPortfolio] as Portfolio);
this.performance = new Performance(this.portfolio);
this.metaPerformance = new Performance(this.metaPortfolio);
this.dataRequests = strategyRequests;
this.strategyName = strategyName;
this.strategyLogManager = strategyLogManager;
}
internal Instrument(SmartQuant.Instruments.Instrument instrument)
{
this.instrument = instrument;
this.book = new OrderBook(instrument.OrderBook);
this.AltIDGroups = new AltIDGroupList(this);
}
