protected override bool doJob()
{
Console.WriteLine("正在下载Daily数据...");
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (provider.IsConnected)
{
string endString = this.curDate.ToString("yyyy-MM-dd");
foreach (Instrument inst in InstrumentManager.Instruments)
{
string symbol = inst.Symbol;
List <GMSDK.DailyBar> gmsdkDailys = provider.MdApi.GetDailyBars(symbol, endString, endString);
List <ISeriesObject> gmDailys = GSKToGM.ConvertDailys(gmsdkDailys);
Console.WriteLine("证券:{0}有{1}笔新日线.", symbol, gmDailys.Count);
if (gmDailys.Count > 0)
{
inst.Add((Daily)(gmDailys[0]));
}
}
return(true);
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
public List <Bar> GetBars(string symbol, int barSize, string beginTimeString, string endTimeString)
{
List <GMSDK.Bar> gskBars;
lock (this._md)
{
gskBars = this._md.GetBars(symbol, barSize, beginTimeString, endTimeString);
}
List <Bar> bars = new List <Bar>();
foreach (GMSDK.Bar gskBar in gskBars)
{
bars.Add(GSKToGM.ConvertBar(gskBar));
}
return(bars);
}
public List <Daily> GetLastNDaily(string symbol, int n, string lastDateString)
{
List <GMSDK.DailyBar> gskDailys;
lock (this._md)
{
gskDailys = this._md.GetLastNDailyBars(symbol, n, lastDateString);
}
gskDailys.Reverse();
List <Daily> dailys = new List <Daily>();
foreach (GMSDK.DailyBar gskDaily in gskDailys)
{
dailys.Add(GSKToGM.ConvertDaily(gskDaily));
}
return(dailys);
}
public Dictionary <string, Trade> GetLastTrades(string symbolList)
{
List <GMSDK.Tick> gskTicks = new List <GMSDK.Tick>();
lock (this._md)
{
gskTicks = this._md.GetLastTicks(symbolList);
}
Dictionary <string, Trade> tradeDict = new Dictionary <string, Trade>();
foreach (GMSDK.Tick gskTick in gskTicks)
{
string symbol = gskTick.exchange + "." + gskTick.sec_id;
tradeDict.Add(symbol, GSKToGM.ConvertTrade(gskTick));
}
return(tradeDict);
}
protected override bool doJob()
{
Console.WriteLine("正在读取Tick数据生成涨停板数据分析表...");
/*Console.WriteLine("测试作业.........");
* return true;*/
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
string dateString = this.curDate.ToString("yyyy-MM-dd");
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
List <AnalysisItem> analysisList = new List <AnalysisItem>();
foreach (Instrument inst in InstrumentManager.Instruments)
{
if (inst.SecurityDesc.IndexOf("B") >= 0)
{
continue; //除去B股
}
if (inst.SecurityType == "IDX")
{
continue; //除去指数
}
FileSeries dailySeries = (FileSeries)inst.GetDataSeries(DataManager.EDataSeries.Daily);
if (dailySeries == null || dailySeries.Count <= 0)
{
continue;
}
int i = dailySeries.IndexOf(this.curDate);
if (i < 0)
{
continue; //没有日线，当日不开盘
}
i = i - 10 > 0 ? i - 10 : 0; //往前推10个交易日
DateTime firstDate = dailySeries[i].DateTime;
ISeriesObject[] dailys = dailySeries.GetArray(firstDate, this.curDate);
int k = dailys.Length - 1;
GMDaily gmDaily = (GMDaily)dailys[k];
if (gmDaily.Close / gmDaily.LastClose > 1.095)
{//今日涨停
AnalysisItem ai = new AnalysisItem();
ai.Date = gmDaily.DateTime;
ai.Symbol = inst.Symbol;
GMSDK.ShareIndex si = null;
//先读取当日股本，如果没有，则读取最近股本。一般情况下当日股本与最近股本相同，除非当天正好是除权日
List <GMSDK.ShareIndex> shareIndexList = provider.MdApi.GetShareIndex(ai.Symbol, dateString, dateString);
if (shareIndexList.Count <= 0)
{
shareIndexList = provider.MdApi.GetLastShareIndex(ai.Symbol);
}
if (shareIndexList.Count > 0)
{
si = shareIndexList[0];
}
if (si != null)
{
ai.FlowAShare = si.flow_a_share;
}
else
{
ai.FlowAShare = 0.0;
}
ai.LastClose = gmDaily.LastClose;
ai.Open = gmDaily.Open;
ai.High = gmDaily.High;
ai.Low = gmDaily.Low;
ai.Close = gmDaily.Close;
//换手率
if (ai.FlowAShare > 0)
{
ai.TurnoverRate = gmDaily.Volume / ai.FlowAShare * 100;
}
else
{
ai.TurnoverRate = 0.0;
}
//当日量与前5日均量比
int m = k - 1;
double sumVol = 0.0;
while (m >= 0 && m >= k - 5)
{
sumVol += ((Daily)dailys[m]).Volume;
m--;
}
double last5AvgVol = sumVol / (k - m - 1);
ai.VolDivLast5AvgVol = gmDaily.Volume / last5AvgVol;
//最后一笔判断是否是涨停
List <GMSDK.Tick> lastTicks = provider.MdApi.GetLastNTicks(inst.Symbol, 1, endString);
if (lastTicks.Count <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)GSKToGM.ConvertTrade(lastTicks[0]);//最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
//封成比
GMQuote gmLastQuote = (GMQuote)GSKToGM.ConvertQuote(lastTicks[0]);//最后一刻报价数据
ai.BidSizeDivVol = (double)gmLastQuote.BidSize / gmDaily.Volume;
if (k > 0)
{
GMDaily lastGMDaily = (GMDaily)dailys[k - 1];
if (lastGMDaily.Close / lastGMDaily.LastClose >= 1.099)
{
ai.LastUpLimited = true;
}
}
analysisList.Add(ai);
}
}
Console.WriteLine("今日共有{0}只涨停。", analysisList.Count);
foreach (AnalysisItem ai in analysisList)
{
Console.WriteLine(@"Date:{0},Symbol:{1},昨收价:{2},昨日是否涨停:{3},开盘价:{4},
最高价:{5},最低价:{6},收盘价:{7},涨停时间:{8},是否开板:{9},涨停时长:{10},
成交量与昨日5日均量比:{11},收盘买一量与成交量比:{12},流通A股:{13},换手率:{14}" ,
ai.Date, ai.Symbol, ai.LastClose, ai.LastUpLimited, ai.Open, ai.High, ai.Low, ai.Close,
ai.WhenUpLimit, ai.UpLimitBreaked, ai.HowLongUpLimit, ai.VolDivLast5AvgVol, ai.BidSizeDivVol,
ai.FlowAShare, ai.TurnoverRate);
}
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("finance");
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("UpLimitAnalysis");
foreach (AnalysisItem ai in analysisList)
{
BsonElement[] eleArray = new BsonElement[2];
eleArray[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray[1] = new BsonElement("symbol", ai.Symbol);
QueryDocument query = new QueryDocument(eleArray);
collection.Remove(query);
BsonElement[] eleArray1 = new BsonElement[19];
eleArray1[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("symbol", ai.Symbol);
eleArray1[2] = new BsonElement("flowashare", ai.FlowAShare);
eleArray1[3] = new BsonElement("lastclose", ai.LastClose);
eleArray1[4] = new BsonElement("lastuplimited", ai.LastUpLimited);
eleArray1[5] = new BsonElement("open", ai.Open);
eleArray1[6] = new BsonElement("high", ai.High);
eleArray1[7] = new BsonElement("low", ai.Low);
eleArray1[8] = new BsonElement("close", ai.Close);
eleArray1[9] = new BsonElement("whenuplimit", ai.WhenUpLimit.ToString());
eleArray1[10] = new BsonElement("uplimitbreaked", ai.UpLimitBreaked);
eleArray1[11] = new BsonElement("howlonguplimit", ai.HowLongUpLimit.ToString());
eleArray1[12] = new BsonElement("turnoverrate", ai.TurnoverRate);
eleArray1[13] = new BsonElement("voldivlast5avgvol", ai.VolDivLast5AvgVol);
eleArray1[14] = new BsonElement("bidsizedivvol", ai.BidSizeDivVol);
BsonDocument insert = new BsonDocument(eleArray1);
collection.Insert(insert);
}
return(true);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
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);
}
}
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);
}
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);
}
