public override void OnInit()
{
DateTime curDate = Clock.Now.Date;
ISeriesObject[] dailyBars = Util.GetNDailiesBeforeDate(this.instrument, curDate, 60);
foreach (Daily dBar in dailyBars)
{
this.Bar.Add(dBar);
}
bool overWrite = false;
FileSeries series = (FileSeries)this.instrument.GetDataSeries("RiskLevel");
if (series == null)
{
series = (FileSeries)this.instrument.AddDataSeries("RiskLevel");
}
float prevRiskLevel = 1.0F;
if (series.Count > 0)
{
DateTime lastDate = curDate;
int i;
do
{
lastDate = lastDate.AddDays(-1);
i = series.IndexOf(lastDate);
}while(i < 0 && lastDate > series.FirstDateTime);
if (i >= 0)
{
ISeriesObject[] riskArray = series.GetArray(i, i);
GMData gmData = (GMData)riskArray[0];
prevRiskLevel = gmData.DataValue;
}
}
GMDaily gmLastDaily = (GMDaily)this.DailyBar.Last;
double inc = (gmLastDaily.Close / gmLastDaily.LastClose - 1) * 100;
double abs = Math.Abs(inc);
double riskLevel = prevRiskLevel + inc / abs * (int)(abs / 0.5) * 0.1;
riskLevel = riskLevel < 0.5?0.5:(riskLevel > 1.2?1.2:riskLevel);
GMData gmData1 = new GMData(curDate, (float)riskLevel);
if (overWrite)
{
series.Remove(curDate);
series.Add(gmData1);
}
else if (!series.Contains(curDate))
{
series.Add(gmData1);
}
//this.PositionLevel=(float)riskLevel;
Console.WriteLine("昨日涨跌幅：{0},今日风险水平为：{1}", inc, riskLevel);
}
public static void CoverDailyFormTrade(Daily daily, GMTrade gmTrade)
{
daily.DateTime = gmTrade.DateTime.Date;
daily.High = gmTrade.High;
daily.Open = gmTrade.Open;
daily.Low = gmTrade.Low;
daily.Close = gmTrade.Price;
daily.Volume = (long)gmTrade.TotalSize;
GMDaily gmDaily = daily as GMDaily;
if (gmDaily != null)
{
gmDaily.LastClose = gmTrade.LastClose;
gmDaily.Amount = gmTrade.Amount;
}
}
protected void addTodayDaily(Instrument inst)
{
Trade lastTrade = this.getLastTrade(inst);
if (lastTrade != null)
{
GMTrade gmTrade = (GMTrade)lastTrade;
GMDaily daily = new GMDaily();
daily.Date = gmTrade.DateTime.Date;
daily.High = gmTrade.High;
daily.Open = gmTrade.Open;
daily.Low = gmTrade.Low;
daily.Close = gmTrade.Price;
daily.Volume = (long)gmTrade.TotalSize;
BarSeries barSeries = this.getDailySeries(inst);
barSeries.Add(daily);
}
}
private static void ReviseDailys(List <Daily> dailys, string symbol, Trade lastTrade)
{
GMTrade gmTrade = (GMTrade)lastTrade;
//去掉当天日线后
int m = dailys.Count;
if (dailys[m - 1].DateTime == dealDate)
{
BarUtils.CoverDailyFormTrade(dailys[m - 1], gmTrade);
}
else
{
dailys.RemoveAt(0);
GMDaily newDaily = new GMDaily(dailys[m - 2] as GMDaily);
BarUtils.CoverDailyFormTrade(newDaily, gmTrade);
dailys.Add(newDaily);
}
//向前复权
BarUtils.AdjustDailys(dailys);
}
//将日线向前复权
public static void AdjustDailys(ISeriesObject[] gmDailys) //进行向前复权
{
int num = gmDailys.Length;
if (num > 1)
{
GMDaily lastDaily = (GMDaily)gmDailys[num - 1];
for (int i = num - 2; i >= 0; i--)
{
GMDaily curDaily = (GMDaily)gmDailys[i];
if (curDaily.AdjFactor != lastDaily.AdjFactor)
{
curDaily.Close = curDaily.Close * curDaily.AdjFactor / lastDaily.AdjFactor;
curDaily.High = curDaily.High * curDaily.AdjFactor / lastDaily.AdjFactor;
curDaily.Low = curDaily.Low * curDaily.AdjFactor / lastDaily.AdjFactor;
curDaily.Open = curDaily.Open * curDaily.AdjFactor / lastDaily.AdjFactor;
curDaily.LastClose = curDaily.LastClose * curDaily.AdjFactor / lastDaily.AdjFactor;
curDaily.Volume = (long)(curDaily.Volume * lastDaily.AdjFactor / curDaily.AdjFactor);
curDaily.AdjFactor = lastDaily.AdjFactor;
}
lastDaily = curDaily;
}
}
}
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);
}
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 path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Console.WriteLine("Trade数据目录不存在！");
return(false);
}
string dateString = this.curDate.ToString("yyyy-MM-dd");
List <AnalysisItem> analysisList = new List <AnalysisItem>();
DataFile file = null;
try {
file = DataFile.Open(path);
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;
//计算封板时间、时长等
bool flag = false;
string name = inst.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
continue;
}
FileSeries series = file.Series[name];
ISeriesObject[] trades = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (trades.Length <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)trades[trades.Length - 1]; //最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
GMTrade lastGMTrade = null;
DateTime openTimeAM = gmDaily.Date.Add(new TimeSpan(9, 25, 0));
DateTime openTimePM = gmDaily.Date.Add(new TimeSpan(13, 0, 0));
foreach (ISeriesObject aTrade in trades)
{
GMTrade gmTrade = (GMTrade)aTrade;
if (!flag && gmTrade.Price == gmTrade.UpperLimit && gmTrade.DateTime >= openTimeAM)
{
ai.WhenUpLimit = gmTrade.DateTime - ai.Date;
flag = true;
}
if (flag && gmTrade.Price < gmTrade.UpperLimit)
{
ai.UpLimitBreaked = true;
}
//将下午13：00之后的每笔时间减去90分钟，这样便于计算封涨停的时长
if (gmTrade.DateTime >= openTimePM)
{
gmTrade.DateTime = gmTrade.DateTime.AddMinutes(-90);
}
if (flag && lastGMTrade != null && gmTrade.Price == gmTrade.UpperLimit && lastGMTrade.Price == gmTrade.UpperLimit)
{
ai.HowLongUpLimit += gmTrade.DateTime - lastGMTrade.DateTime;
}
if (flag)
{
lastGMTrade = gmTrade;
}
}
//封成比
name = inst.Symbol + ".Quote";
if (!file.Series.Contains(name))
{
continue;
}
series = file.Series[name];
ISeriesObject[] quotes = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (quotes.Length <= 0)
{
continue;
}
GMQuote gmLastQuote = (GMQuote)quotes[quotes.Length - 1]; //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;
}
}
if (flag)
{
analysisList.Add(ai);
}
}
}
}catch (Exception ex) {
throw ex;
}finally{
file.Close();
}
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
DateTime beginDate = new DateTime(2017, 3, 24);
DateTime endDate = new DateTime(2017, 3, 25);
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("finance");
string username = "******";
string password = "******";
int ret = _md.Init(username, password, GMSDK.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 monthString = curDate.ToString("yyyy-MM");
//区域统计数据准备
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("Areas." + monthString);
Dictionary <string, List <string> > areaDict = new Dictionary <string, List <string> >();
foreach (BsonDocument document in collection.FindAll())
{
List <string> ls = null;
if (!areaDict.TryGetValue((string)document["code"], out ls))
{
ls = new List <string>();
areaDict.Add((string)document["code"], ls);
}
if (!(document["area"] is BsonNull))
{
ls.Add((string)document["area"]);
}
}
Dictionary <string, StatisItem> areaUpLimitStatis = new Dictionary <string, StatisItem>();
//行业统计数据准备
collection = database.GetCollection <BsonDocument>("Industries." + monthString);
Dictionary <string, List <string> > industryDict = new Dictionary <string, List <string> >();
foreach (BsonDocument document in collection.FindAll())
{
List <string> ls = null;
if (!industryDict.TryGetValue((string)document["code"], out ls))
{
ls = new List <string>();
industryDict.Add((string)document["code"], ls);
}
if (!(document["c_name"] is BsonNull))
{
ls.Add((string)document["c_name"]);
}
}
Dictionary <string, StatisItem> industryUpLimitStatis = new Dictionary <string, StatisItem>();
//概念统计数据准备
collection = database.GetCollection <BsonDocument>("Concepts." + monthString);
Dictionary <string, List <string> > conceptDict = new Dictionary <string, List <string> >();
foreach (BsonDocument document in collection.FindAll())
{
List <string> ls = null;
if (!conceptDict.TryGetValue((string)document["code"], out ls))
{
ls = new List <string>();
conceptDict.Add((string)document["code"], ls);
}
if (!(document["c_name"] is BsonNull))
{
ls.Add((string)document["c_name"]);
}
}
Dictionary <string, StatisItem> conceptUpLimitStatis = new Dictionary <string, StatisItem>();
//找出日线当天接近涨停股
List <Instrument> toUpLimit = new List <Instrument>();
foreach (Instrument instrument in InstrumentManager.Instruments)
{
if (instrument.SecurityType == "CS" && instrument.SecurityDesc.IndexOf('B') < 0)
{
DailySeries series = instrument.GetDailySeries(curDate.AddMonths(-3), curDate);
//下面这里要求日线数大于20，是为了排除新股
if (series.Count > 20)
{
GMDaily gmDaily = (GMDaily)series[series.Count - 1]; //最近一天的日线
if (gmDaily.Date != curDate)
{
continue;
}
//下面是对于st,*st的，因为名字判断不准确，故去掉
//if ((instrument.SecurityDesc.IndexOf("ST")>=0||instrument.SecurityDesc.IndexOf('S')>=0)
//&&(gmDaily.Close/gmDaily.LastClose>1.044)){
// toUpLimit.Add(instrument);
//}
//下面是对于普通股
if (gmDaily.Close / gmDaily.LastClose > 1.094)
{
toUpLimit.Add(instrument);
}
}
}
}
//读出Trade数据，确定是否真的涨停及涨停时间，交统计数据
string dataPath = "e:/QDData";
string path = dataPath + "/" + curDate.Year.ToString() + "/" + curDate.Month.ToString();
if (!Directory.Exists(path))
{
Console.WriteLine("Trade数据目录不存在！");
return;
}
try {
DataFile file = DataFile.Open(path);
try {
foreach (Instrument instrument in toUpLimit)
{
string name = instrument.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
throw new Exception(instrument.Symbol + "的Trade数据不存在，请补充完整。");
}
FileSeries series = file.Series[name];
ISeriesObject[] trades = series.GetArray(curDate, curDate.AddDays(1));
if (trades.Length <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)trades[trades.Length - 1]; //最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
foreach (ISeriesObject aTrade in trades)
{
GMTrade gmTrade = (GMTrade)aTrade;
if (gmTrade.Price == gmTrade.UpperLimit && gmTrade.DateTime >= curDate.Add(new TimeSpan(9, 25, 0)))
{
Console.WriteLine(instrument.Symbol + instrument.SecurityDesc + "在" + gmTrade.DateTime + "时涨停");
//区域统计
if (areaDict.ContainsKey(instrument.SecurityID))
{
List <string> areaList = areaDict[instrument.SecurityID];
foreach (string area in areaList)
{
StatisItem si = null;
if (!areaUpLimitStatis.TryGetValue(area, out si))
{
si = new StatisItem();
areaUpLimitStatis.Add(area, si);
}
si.AddSymbol(instrument.Symbol, gmTrade.DateTime);
}
}
//行业统计
if (industryDict.ContainsKey(instrument.SecurityID))
{
List <string> industryList = industryDict[instrument.SecurityID];
foreach (string industry in industryList)
{
StatisItem si = null;
if (!industryUpLimitStatis.TryGetValue(industry, out si))
{
si = new StatisItem();
industryUpLimitStatis.Add(industry, si);
}
si.AddSymbol(instrument.Symbol, gmTrade.DateTime);
}
}
//概念统计
if (conceptDict.ContainsKey(instrument.SecurityID))
{
List <string> conceptList = conceptDict[instrument.SecurityID];
foreach (string concept in conceptList)
{
StatisItem si = null;
if (!conceptUpLimitStatis.TryGetValue(concept, out si))
{
si = new StatisItem();
conceptUpLimitStatis.Add(concept, si);
}
si.AddSymbol(instrument.Symbol, gmTrade.DateTime);
}
}
break;
}
}
}
}catch (Exception ex) {
throw ex;
}
finally{
file.Close();
}
//区域统计写入数据库
MongoCollection <BsonDocument> collection1 = database.GetCollection <BsonDocument>("AreasUpLimitStatis");
BsonElement[] eleArray = new BsonElement[1];
eleArray[0] = new BsonElement("date", curDate.ToString("yyyy-MM-dd"));
QueryDocument query = new QueryDocument(eleArray);
collection1.Remove(query);
foreach (KeyValuePair <string, StatisItem> kvp in areaUpLimitStatis)
{
BsonElement[] eleArray1 = new BsonElement[4];
eleArray1[0] = new BsonElement("date", curDate.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("area", kvp.Key);
eleArray1[2] = new BsonElement("count", kvp.Value.Count);
BsonArray bsonArray = new BsonArray(kvp.Value.Count);
foreach (KeyValuePair <string, DateTime> kvp1 in kvp.Value.Securities)
{
bsonArray.Add(new BsonDocument(new BsonElement[2] {
new BsonElement("symbol", kvp1.Key),
new BsonElement("time", kvp1.Value.ToString("yyyy-MM-dd HH:mm:ss"))
}));
}
eleArray1[3] = new BsonElement("securities", bsonArray);
BsonDocument insert = new BsonDocument(eleArray1);
collection1.Insert(insert);
}
//行业统计写入数据库
MongoCollection <BsonDocument> collection2 = database.GetCollection <BsonDocument>("IndustriesUpLimitStatis");
collection2.Remove(query);
foreach (KeyValuePair <string, StatisItem> kvp in industryUpLimitStatis)
{
BsonElement[] eleArray1 = new BsonElement[4];
eleArray1[0] = new BsonElement("date", curDate.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("industry", kvp.Key);
eleArray1[2] = new BsonElement("count", kvp.Value.Count);
BsonArray bsonArray = new BsonArray(kvp.Value.Count);
foreach (KeyValuePair <string, DateTime> kvp1 in kvp.Value.Securities)
{
bsonArray.Add(new BsonDocument(new BsonElement[2] {
new BsonElement("symbol", kvp1.Key),
new BsonElement("time", kvp1.Value.ToString("yyyy-MM-dd HH:mm:ss"))
}));
}
eleArray1[3] = new BsonElement("securities", bsonArray);
BsonDocument insert = new BsonDocument(eleArray1);
collection2.Insert(insert);
}
//概念统计写入数据库
MongoCollection <BsonDocument> collection3 = database.GetCollection <BsonDocument>("ConceptsUpLimitStatis");
collection3.Remove(query);
foreach (KeyValuePair <string, StatisItem> kvp in conceptUpLimitStatis)
{
BsonElement[] eleArray1 = new BsonElement[4];
eleArray1[0] = new BsonElement("date", curDate.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("concept", kvp.Key);
eleArray1[2] = new BsonElement("count", kvp.Value.Count);
BsonArray bsonArray = new BsonArray(kvp.Value.Count);
foreach (KeyValuePair <string, DateTime> kvp1 in kvp.Value.Securities)
{
bsonArray.Add(new BsonDocument(new BsonElement[2] {
new BsonElement("symbol", kvp1.Key),
new BsonElement("time", kvp1.Value.ToString("yyyy-MM-dd HH:mm:ss"))
}));
}
eleArray1[3] = new BsonElement("securities", bsonArray);
BsonDocument insert = new BsonDocument(eleArray1);
collection3.Insert(insert);
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
curDate = curDate.AddDays(1);
}
}
static void Main(string[] args)
{
// TO DO: Add your code here
string username = "******";
string password = "******";
int ret = _md.Init(username, password, GMSDK.MDMode.MD_MODE_NULL, "", "", "");
if (ret != 0)
{
string msg = _md.StrError(ret);
Console.WriteLine(msg);
return;
}
string dataPath = "e:/QDData";
DateTime beginDate = new System.DateTime(2017, 4, 10);
DateTime endDate = new System.DateTime(2017, 4, 17);
string beginDateString = beginDate.ToString("yyyy-MM-dd");
string endDateString = endDate.ToString("yyyy-MM-dd");
Dictionary <string, Dictionary <string, double> > shareDict = new Dictionary <string, Dictionary <string, double> >();//存放股本
List <AnalysisItem> analysisList = new List <AnalysisItem>();
foreach (Instrument inst in InstrumentManager.Instruments)
{
if (inst.SecurityDesc.IndexOf("B") >= 0)
{
continue; //除去B股
}
FileSeries dailySeries = (FileSeries)inst.GetDataSeries(DataManager.EDataSeries.Daily);
if (dailySeries == null || dailySeries.Count <= 0)
{
continue;
}
int i;
DateTime firstDate = beginDate;
do
{
i = dailySeries.IndexOf(firstDate);
firstDate = firstDate.AddDays(1);
}while(i < 0 && firstDate < endDate);
if (i < 0)
{
continue;
}
i = i - 5 > 0?i - 5:0;
firstDate = dailySeries[i].DateTime;
ISeriesObject[] dailys = dailySeries.GetArray(firstDate, endDate);
for (int k = 0; k < dailys.Length; k++)
{
GMDaily gmDaily = (GMDaily)dailys[k];
if (gmDaily.DateTime >= beginDate && gmDaily.DateTime < endDate)
{
if (gmDaily.Close / gmDaily.LastClose > 1.095) //今日涨停
{
AnalysisItem ai = new AnalysisItem();
ai.Date = gmDaily.DateTime;
ai.Symbol = inst.Symbol;
Dictionary <string, double> sd = null;
if (!shareDict.TryGetValue(inst.Symbol, out sd))
{
sd = new Dictionary <string, double>();
List <GMSDK.ShareIndex> shareIndexList = _md.GetShareIndex(inst.Symbol, beginDateString, endDateString);
foreach (GMSDK.ShareIndex si in shareIndexList)
{
sd.Add(si.pub_date, si.flow_a_share);
}
shareDict.Add(inst.Symbol, sd);
}
sd.TryGetValue(ai.Date.ToString("yyyy-MM-dd"), out ai.FlowAShare);
ai.LastClose = gmDaily.LastClose;
ai.Open = gmDaily.Open;
ai.High = gmDaily.High;
ai.Low = gmDaily.Low;
ai.Close = gmDaily.Close;
if (ai.FlowAShare > 0)
{
ai.TurnoverRate = gmDaily.Volume / ai.FlowAShare * 100;
}
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;
string path = dataPath + "/" + gmDaily.DateTime.Year.ToString() + "/" + gmDaily.DateTime.Month.ToString();
if (!Directory.Exists(path))
{
Console.WriteLine("Trade数据目录不存在！");
return;
}
DataFile file = null;
bool flag = false;
try {
file = DataFile.Open(path);
string name = inst.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
continue;
}
FileSeries series = file.Series[name];
ISeriesObject[] trades = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (trades.Length <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)trades[trades.Length - 1]; //最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
GMTrade lastGMTrade = null;
DateTime openTimeAM = gmDaily.Date.Add(new TimeSpan(9, 25, 0));
DateTime openTimePM = gmDaily.Date.Add(new TimeSpan(13, 0, 0));
foreach (ISeriesObject aTrade in trades)
{
GMTrade gmTrade = (GMTrade)aTrade;
if (!flag && gmTrade.Price == gmTrade.UpperLimit && gmTrade.DateTime >= openTimeAM)
{
ai.WhenUpLimit = gmTrade.DateTime - ai.Date;
flag = true;
}
if (flag && gmTrade.Price < gmTrade.UpperLimit)
{
ai.UpLimitBreaked = true;
}
//将下午13：00之后的每笔时间减去90分钟，这样便于计算封涨停的时长
if (gmTrade.DateTime >= openTimePM)
{
gmTrade.DateTime = gmTrade.DateTime.AddMinutes(-90);
}
if (flag && lastGMTrade != null && gmTrade.Price == gmTrade.UpperLimit && lastGMTrade.Price == gmTrade.UpperLimit)
{
ai.HowLongUpLimit += gmTrade.DateTime - lastGMTrade.DateTime;
}
if (flag)
{
lastGMTrade = gmTrade;
}
}
//封成比
name = inst.Symbol + ".Quote";
if (!file.Series.Contains(name))
{
continue;
}
series = file.Series[name];
ISeriesObject[] quotes = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (quotes.Length <= 0)
{
continue;
}
GMQuote gmLastQuote = (GMQuote)quotes[quotes.Length - 1]; //最后一笔报价数据
ai.BidSizeDivVol = (double)gmLastQuote.BidSize / gmDaily.Volume;
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}finally{
file.Close();
}
if (k > 0)
{
GMDaily lastGMDaily = (GMDaily)dailys[k - 1];
if (lastGMDaily.Close / lastGMDaily.LastClose > 1.098)
{
ai.LastUpLimited = true;
}
}
if (k < dailys.Length - 1)
{
GMDaily nextGMDaily = (GMDaily)dailys[k + 1];
ai.NextOpen = nextGMDaily.Open;
ai.NextHigh = nextGMDaily.High;
ai.NextLow = nextGMDaily.Low;
ai.NextClose = nextGMDaily.Close;
}
if (flag)
{
analysisList.Add(ai);
}
}
}
}
}
Console.WriteLine(analysisList.Count);
analysisList.Sort(delegate(AnalysisItem ai1, AnalysisItem ai2){
return(ai1.Date.CompareTo(ai2.Date));
});
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},
明日开盘价:{13},明日最高价:{14},明日最低价:{15},明日收盘价:{16},流通A股:{17},换手率:{18}" ,
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.NextOpen, ai.NextHigh, ai.NextLow, ai.NextClose, 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);
eleArray1[15] = new BsonElement("nextopen", ai.NextOpen);
eleArray1[16] = new BsonElement("nexthigh", ai.NextHigh);
eleArray1[17] = new BsonElement("nextlow", ai.NextLow);
eleArray1[18] = new BsonElement("nextclose", ai.NextClose);
BsonDocument insert = new BsonDocument(eleArray1);
collection.Insert(insert);
}
}
