/// <summary>
/// 根据股票数据或者期货数据整理得到的数组
/// </summary>
/// <param name="data">DataTable格式的股票或者期货数组</param>
/// <returns>List格式的数据</returns>
public stockFormat[] GetStockArray(DataTable data)
{
stockFormat[] stockArray = new stockFormat[28802];
int lastTime = 0;
foreach (DataRow row in data.Rows)
{
stockFormat stock = new stockFormat();
stock.ask = new stockPrice[5];
stock.bid = new stockPrice[5];
stock.code = (int)row["Code"];
stock.date = (int)row["Date"];
//剔除非交易时间的交易数据。
int now = (int)row["Time"] + (int)row["Tick"] * 500;
if (now < 93000000 || (now > 113000000 && now < 130000000) || (now > 150000000) || (int)row["Tick"] >= 2)
{
continue;
}
if (now <= lastTime)
{
continue;
}
stock.time = now;
lastTime = now;
stock.lastPrice = (double)row["LastPrice"];
for (int i = 1; i <= 5; i++)
{
stock.ask[i - 1] = new stockPrice((double)row["Ask" + i.ToString()], (double)row["Askv" + i.ToString()]);
stock.bid[i - 1] = new stockPrice((double)row["Bid" + i.ToString()], (double)row["Bidv" + i.ToString()]);
}
stock.preClose = (double)row["PreClose"];
stockArray[TradeDays.TimeToIndex(now)] = stock;
}
return(stockArray);
}
/// <summary>
/// 构造函数。获取所有的期权合约代码的信息。
/// </summary>
/// <param name="dataBase">数据库名称</param>
/// <param name="tableName">期权合约代码</param>
/// <param name="connectionString">连接字符串</param>
public OptionCodeInformation(string dataBase, string tableName, string connectionString)
{
DataApplication myDataBase = new DataApplication(dataBase, connectionString);
contractData = myDataBase.GetDataTable(tableName);
CodeList = myDataBase.GetOptionInfoList(contractData);
TradeDays myTradeDays = new TradeDays(20150209);
}
/// <summary>
/// 根据期权合约代码和今日日期，给出期权的到期天数。
/// </summary>
/// <param name="optionCode">期权合约代码</param>
/// <param name="date">今日日期</param>
/// <returns>合约到期天数</returns>
public int GetOptionDuration(int optionCode, int date)
{
optionInfo contract = GetContractInfo(optionCode);
int duration = -1;
if (contract.optionCode > 0)
{
duration = TradeDays.GetTimeSpan(date, contract.endDate);
}
return(duration);
}
/// <summary>
/// 获得期权盘口价格变动的函数。
/// </summary>
/// <returns>盘口价格的变动</returns>
public optionPositionChange[] GetPositionChange()
{
optionPositionChange[] changeArray = new optionPositionChange[28802];
for (int i = 1; i < optionList.Count; i++)
{
optionFormat lastPosition = optionList[i - 1];
optionFormat thisPosition = optionList[i];
changeArray[TradeDays.TimeToIndex(thisPosition.time)] = getChange(lastPosition, thisPosition);
}
return(changeArray);
}
/// <summary>
/// 根据当日日期和strike的区间给出合约列表。
/// </summary>
/// <param name="minStrike">最低行权价</param>
/// <param name="maxStrike">最高行权价</param>
/// <param name="date">今日日期</param>
/// <returns>期权合约代码的列表</returns>
public List <int> GetCodeListByStrike(double minStrike, double maxStrike, int date)
{
List <int> codeList = new List <int>();
int frontDuration = GetFrontDuration(date);
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
if (contract.startDate <= date && contract.endDate >= date && TradeDays.GetTimeSpan(date, contract.endDate) == frontDuration && contract.strike >= minStrike && contract.strike <= maxStrike)
{
codeList.Add(contract.optionCode);
}
}
return(codeList);
}
/// <summary>
/// 构造函数。存储基本的信息。
/// </summary>
/// <param name="initialCapital">初始资金</param>
/// <param name="startDate">开始时间</param>
/// <param name="endDate">结束时间</param>
/// <param name="recordStr">记录字符</param>
public RBDaily(double initialCapital, int startDate, int endDate, string recordStr)
{
if (endDate < startDate)
{
endDate = startDate;
}
this.startDate = startDate;
this.endDate = endDate;
myTradeDays = new TradeDays(startDate, endDate);
recordTableName = recordStr + DateTime.Now.ToString("yyyyMMddhhmm");
recordCSV = recordStr + DateTime.Now.ToString("yyyyMMddhhmm") + ".csv";
mainContract = GetMainContract("RB", "SHF", startDate, endDate);
//DocumentApplication.RecordCsv(recordCSV, "日期", "总资金", "可用资金", "期权保证金", "期货保证金", "期权现值", "总金额Delta", "期权金额Delta", "期货金额Delta", "日内开仓量", "当日持仓量");
//判断主力合约的函数
}
/// <summary>
/// 给出当日近月合约到期天数。
/// </summary>
/// <param name="date">今日日期</param>
/// <returns>近月合约到期天数</returns>
public int GetFrontDuration(int date)
{
int frontDuration = 999;
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
if (contract.startDate <= date && contract.endDate >= date)
{
int duration = TradeDays.GetTimeSpan(date, contract.endDate);
if (duration < frontDuration)
{
frontDuration = duration;
}
}
}
return(frontDuration);
}
/// <summary>
/// 读取50etf前收盘数据的函数
/// </summary>
/// <param name="tableName">50etf表</param>
/// <param name="startDate">开始日期</param>
/// <param name="endDate">结束日期</param>
/// <returns></returns>
public SortedDictionary <int, double> GetETFPreClosePrice(string tableName, int startDate = 0, int endDate = 0)
{
DataTable myDataTable = new DataTable();
SortedDictionary <int, double> etfClose = new SortedDictionary <int, double>();
string commandString;
if (startDate == 0)
{
commandString = "select distinct [PreClose],[date] from " + tableName + " order by [Date]";
}
else
{
if (endDate == 0)
{
endDate = startDate;
}
endDate = TradeDays.GetNextTradeDay(endDate);
commandString = "select distinct [PreClose],[date] from " + tableName + " where [Date]>=" + startDate.ToString() + " and [Date]<=" + endDate.ToString() + " order by [Date]";
}
try
{
using (SqlConnection conn = new SqlConnection(connectionString))
{
using (SqlCommand command = conn.CreateCommand())
{
command.CommandText = commandString;
using (SqlDataAdapter adapter = new SqlDataAdapter(command))
{
adapter.Fill(myDataTable);
}
}
}
}
catch (Exception)
{
throw;
}
foreach (DataRow row in myDataTable.Rows)
{
etfClose.Add((int)row["Date"], (double)row["PreClose"]);
}
return(etfClose);
}