public FiveLevelQuote[] GetQuote(string[] securityCodes, out string[] errors)
{
TabulateData[] data;
bool[] succeeds = GetQuote(securityCodes, out data, out errors);
FiveLevelQuote[] quotes = new FiveLevelQuote[securityCodes.Length];
for (int i = 0; i < securityCodes.Length; ++i)
{
if (!succeeds[i])
{
quotes[i] = null;
}
else
{
var results = FiveLevelQuote.ExtractFrom(data[i]);
if (results == null || results.Count() == 0)
{
errors[i] = "GetQuote succeeded, but not result";
quotes[i] = null;
}
else
{
quotes[i] = results.First();
}
}
}
return(quotes);
}
public static IEnumerable <FiveLevelQuote> ExtractFrom(TabulateData data, DateTime timestamp)
{
if (columnIndices == null)
{
columnIndices = columns.Select(c => data.GetColumnIndex(c)).ToArray();
}
var subData = data.GetSubColumns(columnIndices);
foreach (var row in subData.Rows)
{
FiveLevelQuote quote = new FiveLevelQuote(timestamp);
int index = 0;
quote.SecurityCode = row[index++];
quote.SecurityName = row[index++];
quote.YesterdayClosePrice = TradingHelper.SafeParseFloat(row[index++]);
quote.TodayOpenPrice = TradingHelper.SafeParseFloat(row[index++]);
quote.CurrentPrice = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyPrices = new float[5];
quote.BuyVolumesInHand = new int[5];
quote.SellPrices = new float[5];
quote.SellVolumesInHand = new int[5];
quote.BuyPrices[0] = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyPrices[1] = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyPrices[2] = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyPrices[3] = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyPrices[4] = TradingHelper.SafeParseFloat(row[index++]);
quote.BuyVolumesInHand[0] = TradingHelper.SafeParseInt(row[index++]);
quote.BuyVolumesInHand[1] = TradingHelper.SafeParseInt(row[index++]);
quote.BuyVolumesInHand[2] = TradingHelper.SafeParseInt(row[index++]);
quote.BuyVolumesInHand[3] = TradingHelper.SafeParseInt(row[index++]);
quote.BuyVolumesInHand[4] = TradingHelper.SafeParseInt(row[index++]);
quote.SellPrices[0] = TradingHelper.SafeParseFloat(row[index++]);
quote.SellPrices[1] = TradingHelper.SafeParseFloat(row[index++]);
quote.SellPrices[2] = TradingHelper.SafeParseFloat(row[index++]);
quote.SellPrices[3] = TradingHelper.SafeParseFloat(row[index++]);
quote.SellPrices[4] = TradingHelper.SafeParseFloat(row[index++]);
quote.SellVolumesInHand[0] = TradingHelper.SafeParseInt(row[index++]);
quote.SellVolumesInHand[1] = TradingHelper.SafeParseInt(row[index++]);
quote.SellVolumesInHand[2] = TradingHelper.SafeParseInt(row[index++]);
quote.SellVolumesInHand[3] = TradingHelper.SafeParseInt(row[index++]);
quote.SellVolumesInHand[4] = TradingHelper.SafeParseInt(row[index++]);
yield return(quote);
}
}
private bool ShouldStoploss(FiveLevelQuote quote, float maxBuyPrice, float minBuyPrice, int totalBuyVolume, StoplossOrder order)
{
bool shouldStoploss = false;
if (order.StoplossPrice < minBuyPrice)
{
if (totalBuyVolume > order.ExistingVolume)
{
}
else
{
// no solution yet, need to predicate volume.
// TODO: predicate volume
}
}
else
{
if (order.StoplossPrice >= maxBuyPrice)
{
// need to stop loss immediately.
shouldStoploss = true;
}
else
{
// order stop loss price is between minBuyPrice and maxBuyPrice
// we count the buy volume above stop loss price.
int aboveStoplossBuyVolume =
ChinaStockHelper.ConvertHandToVolume(
Enumerable
.Range(0, quote.BuyPrices.Length)
.Where(index => quote.BuyPrices[index] >= order.StoplossPrice)
.Sum(index => quote.BuyVolumesInHand[index]));
if (aboveStoplossBuyVolume <= order.ExistingVolume * 5)
{
shouldStoploss = true;
}
else
{
// there is enough buy volume now, so don't be rush.
}
}
}
return(shouldStoploss);
}
public FiveLevelQuote GetQuote(string securityCode, out string error)
{
TabulateData data;
if (!GetQuote(securityCode, out data, out error))
{
return(null);
}
var results = FiveLevelQuote.ExtractFrom(data);
if (results == null || results.Count() == 0)
{
error = "GetQuote succeeded, but not result";
return(null);
}
return(results.First());
}
