public MarketDataSet GetMarketDataSet()
{
if (_marketData == null)
{
LoadPrevMarketData();
}
if (_bMerged)
{
logger.Warn("Already merged...");
return _marketData;
}
if (_curData == null)
{
logger.Info("curData not set....");
return _marketData;
}
_bMerged = true;
this.InputData.EndDate = DataUtil.GetDateWithDayPrecision(DateTime.Now);
foreach (String ticker in Tickers)
{
MarketDataSetKey key = MarketDataSetKeyManager.Ins().GetKey(ticker);
MarketData md = this._marketData.GetData(key);
double value = _curData[ticker];
DateTime today = DataUtil.GetDateWithDayPrecision(DateTime.Now);
DOHLC datum = new DOHLC(today, new OHLC(0, 0, 0, value));
md.AddDatum(datum);
}
return this._marketData;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AdjRateDatum ret = null;
if (_prevMarketData == null)
{
ret = new AdjRateDatum(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public MarketDataTrace(String ticker, DOHLC data)
{
this.Ticker = ticker;
this.CurData = data;
}
public void AddDatum(DateTime dt, OHLC ohlc)
{
DOHLC dohlc = new DOHLC(dt, ohlc);
_data.Add(dohlc);
_dateDict.Add(dohlc.CurDate, dohlc);
}
public void AddDatum(DOHLC dohlc)
{
_data.Add(dohlc);
_dateDict.Add(dohlc.CurDate, dohlc);
}
public void LoadDataFromDB()
{
DBManager dbManager = new DBManager();
MySqlConnection con = null;
try
{
String ip = Config.DB_SERVER_IP;
con = dbManager.CreateConnection(ip, Config.DATABASE_CORREL);
con.Open();
String query = String.Format(
"select * from raw_price_data where Ticker = '{0}' and datetime >= '{1}' and datetime <= '{2}' order by DateTime",
this.Ticker, this.StartDate.ToString("yyyy-MM-dd"), this.EndDate.ToString("yyyy-MM-dd"));
MySqlCommand cmd = new MySqlCommand(query, con);
MySqlDataAdapter dataAdapter = new MySqlDataAdapter(cmd);
DataSet ds = new DataSet("raw_price_data");
dataAdapter.Fill(ds, "raw_price_data");
DataRowCollection drc = ds.Tables["raw_price_data"].Rows;
double prevOpen = 0;
double prevHigh = 0;
double prevLow = 0;
double prevClose = 0;
for (int i = 0; i < drc.Count; ++i)
{
DataRow dr = drc[i];
String ticker = dr["Ticker"].ToString();
DateTime curDate = Convert.ToDateTime(dr["DateTime"]);
double open = Convert.ToDouble(dr["Open"]);
double high = Convert.ToDouble(dr["High"]);
double low = Convert.ToDouble(dr["Low"]);
double close = Convert.ToDouble(dr["LastPrice"]);
// 주말 데이터가 들어오면 이상 데이터로 간주. 제외한다.
if (curDate.DayOfWeek == DayOfWeek.Saturday
|| curDate.DayOfWeek == DayOfWeek.Sunday)
{
continue;
}
// 임시: 코스피 선물 데이터의 경우시고저종 값이 모두 같으면 이상 데이터로 간주. 제외한다.
if ("KM1 R:00_0_R Index".CompareTo(ticker) == 0 &&
open == prevOpen && high == prevHigh && low == prevLow && close == prevClose)
{
continue;
}
OHLC ohlc = new OHLC(open, high, low, close);
DOHLC dolhc = new DOHLC(curDate, ohlc);
this._data.Add(dolhc);
this._dateDict.Add(curDate, dolhc);
prevOpen = open;
prevHigh = high;
prevLow = low;
prevClose = close;
}
ds.Clear();
logger.Debug("{0} data load complete.", this.Ticker);
}
catch (System.Exception e)
{
logger.Error(e.ToString());
}
finally
{
dbManager.Close(con);
}
}
// market data format
// 2011-06-01 273.5
DOHLC ParseLine(String line, String ticker, DateTime startDateTime, DateTime endDateTime)
{
StringPacket data = new StringPacket(line);
String dateString = data.Decode(); // 날짜
dateString.Replace("/", "-");
double value = Convert.ToDouble(data.Decode()); // 가격
DateTime date = DateTime.MaxValue;
if (DateTime.TryParseExact(
dateString, "yyyy-MM-dd", null, System.Globalization.DateTimeStyles.None, out date))
{
}
else if (DateTime.TryParseExact(
dateString, "yyyy-MM-dd HH:mm", null, System.Globalization.DateTimeStyles.None, out date))
{
}
else if (DateTime.TryParseExact(
dateString, "yyyy-MM", null, System.Globalization.DateTimeStyles.None, out date))
{
//월데이터가 들어가면 해당 월 말일 오전 12:00로 세팅함.
date = date.AddMonths(1).AddDays(-1);
}
if (!DeltaVolUtil.IsInValidDateTimeRange(date, startDateTime, endDateTime))
{
return null;
}
OHLC ohlc = new OHLC(0, 0, 0, value);
DOHLC datum = new DOHLC(date, ohlc);
return datum;
}