/// <summary>
/// CTP合约数据转换。
/// </summary>
/// <param name="field"></param>
/// <returns></returns>
private USeInstrumentDetail InsturmentFiledToUSeInstrumentDetail(InstrumentField field)
{
USeMarket market = CtpProtocol.CtpExchangeToUSeMarket(field.ExchangeID);
USeInstrumentDetail entity = new USeInstrumentDetail();
entity.Instrument = new USeInstrument(field.InstrumentID,
field.InstrumentName,
market);
entity.OpenDate = DateTime.ParseExact(field.OpenDate, "yyyyMMdd", null);
entity.ExpireDate = DateTime.ParseExact(field.ExpireDate, "yyyyMMdd", null);
if (string.IsNullOrEmpty(field.StartDelivDate) == false)
{
entity.StartDelivDate = DateTime.ParseExact(field.StartDelivDate, "yyyyMMdd", null);
}
else
{
entity.StartDelivDate = entity.ExpireDate.AddDays(1);
}
entity.EndDelivDate = DateTime.ParseExact(field.EndDelivDate, "yyyyMMdd", null);
entity.VolumeMultiple = Convert.ToInt32(field.VolumeMultiple);
entity.IsTrading = field.IsTrading == IntBoolType.Yes;
entity.Varieties = field.ProductID;
entity.PriceTick = Convert.ToDecimal(field.PriceTick);
entity.ProductClass = CtpProtocol.CtpProductClassToUSeProductClass(field.ProductClass);
entity.MaxMarketOrderVolume = Convert.ToInt32(field.MaxMarketOrderVolume);
entity.MinMarketOrderVolume = Convert.ToInt32(field.MinMarketOrderVolume);
entity.MaxLimitOrderVolume = Convert.ToInt32(field.MaxLimitOrderVolume);
entity.MinLimitOrderVolume = Convert.ToInt32(field.MinLimitOrderVolume);
entity.ExchangeLongMarginRatio = Convert.ToDecimal(field.LongMarginRatio);
entity.ExchangeShortMarginRatio = Convert.ToDecimal(field.ShortMarginRatio);
return(entity);
}
/// <summary>
/// 市场中文描述。
/// </summary>
/// <param name="market"></param>
/// <returns></returns>
public static string ToDescription(this USeMarket market)
{
switch (market)
{
case USeMarket.CFFEX: return("中金所");
case USeMarket.CZCE: return("郑商所");
case USeMarket.DCE: return("大商所");
case USeMarket.SHFE: return("上期所");
case USeMarket.INE: return("能源中心");
case USeMarket.SH: return("上交所");
case USeMarket.SZ: return("深交所");
case USeMarket.LME: return("伦敦金属");
case USeMarket.COMEX: return("纽约商业");
case USeMarket.TOCOM: return("东京交易所");
case USeMarket.SGX: return("新加坡交易所");
default: return(string.Empty);
}
}
/// <summary>
/// 获取数据表名。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string GetDBTableName(USeCycleType cycle, USeMarket market)
{
string tableName = string.Empty;
if (cycle == USeCycleType.Day)
{
tableName = "day_kline";
}
else if (cycle == USeCycleType.Min1)
{
switch (market)
{
case USeMarket.CFFEX:
case USeMarket.CZCE:
case USeMarket.DCE:
case USeMarket.SHFE:
tableName = string.Format("min1_kline_{0}", market.ToString().ToLower());
break;
default:
Debug.Assert(false);
throw new Exception("Invalid market:" + market.ToString());
}
}
else
{
throw new Exception("Invalid cycel:" + cycle.ToString());
}
return(tableName);
}
/// <summary>
/// 从数据库中获得合约表。
/// </summary>
/// <param name="monitorMarketes"></param>
/// <returns></returns>
private List <USeInstrument> GetSubscribeInstruments(List <USeMarket> monitorMarketes)
{
List <USeInstrument> instrumentList = new List <USeInstrument>();
string strSel = string.Format(@"select contract,contract_name,exchange, open_date,expire_date,is_trading from {0}.contracts
where product_class ='Futures' and UNIX_TIMESTAMP(CURDATE()) >= UNIX_TIMESTAMP(open_date) and UNIX_TIMESTAMP(CURDATE()) <= UNIX_TIMESTAMP(expire_date);", m_dbName);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(strSel, connection);
adapter.Fill(table);
}
foreach (DataRow row in table.Rows)
{
USeMarket market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
USeInstrument instrument = new USeInstrument(row["contract"].ToString(),
row["contract_name"].ToString(),
market);
instrumentList.Add(instrument);
}
return(instrumentList);
}
private void ProcessUSeMarketData(USeMarketData marketData)
{
Debug.Assert(marketData.QuoteDay.HasValue);
Debug.Assert(marketData.QuoteTime.HasValue);
if (USeManager.Instance.DayNightType == DayNightType.Night)
{
USeMarket market = USeMarket.Unknown;
if (m_instrumentDic.TryGetValue(marketData.Instrument.InstrumentCode, out market) == false)
{
Debug.Assert(false);
}
if (market == USeMarket.SHFE || market == USeMarket.DCE)// 如果是上期所，大连
{
DateTime preTradeDay = USeManager.Instance.TradeCalendarManager.GetPreTradingDate(marketData.QuoteDay.Value);
if (marketData.QuoteTime.Value > new TimeSpan(20, 45, 0))
{
marketData.UpdateTime = preTradeDay.Add(marketData.QuoteTime.Value);
}
else
{
marketData.UpdateTime = preTradeDay.AddDays(1).Add(marketData.QuoteTime.Value);
}
}
}
}
/// <summary>
/// 获取主力合约列表。
/// </summary>
/// <returns></returns>
private List <MainContractEntity> GetMainContractList()
{
string cmdText = string.Format(@"select varieties, exchange, settlement_date, main_contract from {0}.main_contract
where settlement_date >= '{1:yyyy-MM-dd}' and settlement_date <= '{2:yyyy-MM-dd}'
order by settlement_date, exchange, varieties;",
m_alphaDBName, m_beginDate, m_endDate);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
}
List <MainContractEntity> mainContractList = new List <MainContractEntity>();
foreach (DataRow row in table.Rows)
{
USeMarket exchange = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
MainContractEntity mainContract = new MainContractEntity()
{
Varieties = row["varieties"].ToString(),
Exchange = exchange,
SettlementDate = Convert.ToDateTime(row["settlement_date"]),
BaseContract = row["main_contract"].ToString(),
MainContractCode = USeTraderProtocol.GetMainContractCode(row["varieties"].ToString(), exchange).InstrumentCode
};
mainContractList.Add(mainContract);
}
return(mainContractList);
}
private void SaveClosePrice2Data(USeMarket market, List <ClosePrice2Entity> closePriceList)
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
StringBuilder sb = new StringBuilder();
foreach (ClosePrice2Entity closePrice in closePriceList)
{
string cmdText = CreateClosePrice2UpdateSql(closePrice);
sb.Append(cmdText);
if (sb.Length > 6000)
{
MySqlCommand command = new MySqlCommand(sb.ToString(), connection);
int result = command.ExecuteNonQuery();
sb.Clear();
}
//int result = command.ExecuteNonQuery();
}
if (sb.Length > 0)
{
MySqlCommand command = new MySqlCommand(sb.ToString(), connection);
int result = command.ExecuteNonQuery();
sb.Clear();
}
}
}
private void LoadMonitorMarket()
{
string marketConfig = ConfigurationManager.AppSettings["MonitorMarket"];
try
{
List <USeMarket> marketList = new List <USeMarket>();
string[] items = marketConfig.Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
foreach (string marketValue in items)
{
USeMarket market = (USeMarket)Enum.Parse(typeof(USeMarket), marketValue);
marketList.Add(market);
}
if (marketList.Count <= 0)
{
throw new Exception("MonitorMarket is empty");
}
m_monitorMarketes = marketList;
}
catch (Exception ex)
{
string text = "Load MonitorMarketConfig failed, " + ex.Message;
throw new ApplicationException(text, ex);
}
}
/// <summary>
/// 获取品种所有合约明细。
/// </summary>
/// <returns></returns>
public List <USeInstrument> GetAllInstruments(string productId, USeMarket exchange)
{
List <USeInstrument> list = (from i in m_instrumentList
where i.Varieties == productId && i.Instrument.Market == exchange
select i.Instrument.Clone()).ToList();
return(list);
}
/// <summary>
/// 获取产品明细。
/// </summary>
/// <param name="instrumentCode">合约代码。</param>
/// <param name="exchange">市场。</param>
/// <returns></returns>
public USeInstrumentDetail GetInstrumentDetail(string instrumentCode, USeMarket exchange)
{
USeInstrumentDetail detail = (from i in m_instrumentList
where i.Instrument.InstrumentCode == instrumentCode && i.Instrument.Market == exchange
select i).FirstOrDefault();
return(detail);
}
public KLineImporter(LogFileInfo fileInfo)
{
m_logFileInfo = fileInfo;
m_filePath = fileInfo.FileInfo.FullName;
m_cycle = fileInfo.Cycle;
m_market = fileInfo.Market;
m_instrumentCode = fileInfo.InstrumentCode;
}
private TimeSpan m_logNoonTime = new TimeSpan(11 + 3, 32, 00); //午盘时间 前推三个小时
#endregion
public ClosePrice2Importer(LogFileInfo fileInfo)
{
Debug.Assert(fileInfo.Cycle == USeCycleType.Min1);
m_logFileInfo = fileInfo;
m_filePath = fileInfo.FileInfo.FullName;
m_cycle = fileInfo.Cycle;
m_market = fileInfo.Market;
m_instrumentCode = fileInfo.InstrumentCode;
}
private static string GetOfficeInstrumentCode(string instrumentCode, USeMarket market)
{
if (market == USeMarket.CZCE)
{
return(instrumentCode.Remove(instrumentCode.Length - 4, 1));
}
else
{
return(instrumentCode);
}
}
/// <summary>
/// 初始化方法
/// </summary>
public void Initialize()
{
string strSel = string.Format(@"select * from {0}.contracts;",
m_alphaDBName, USeTraderProtocol.GetInternalFutureMarketSqlString());
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
List <USeInstrumentDetail> instrumentList = new List <USeInstrumentDetail>();
foreach (DataRow row in table.Rows)
{
try
{
if (row["exchange_long_margin_ratio"] == DBNull.Value ||
row["exchange_short_margin_ratio"] == DBNull.Value)
{
continue;
}
USeMarket exchange = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
USeInstrumentDetail instrument = new USeInstrumentDetail();
instrument.Instrument = new USeInstrument(row["contract"].ToString(),
row["contract_name"].ToString(),
exchange);
instrument.OpenDate = Convert.ToDateTime(row["open_date"]);
instrument.ExpireDate = Convert.ToDateTime(row["expire_date"]);
instrument.StartDelivDate = Convert.ToDateTime(row["start_deliv_date"]);
instrument.EndDelivDate = Convert.ToDateTime(row["end_deliv_date"]);
instrument.VolumeMultiple = Convert.ToInt32(row["volume_multiple"]);
instrument.IsTrading = true;
instrument.Varieties = row["varieties"].ToString();
instrument.PriceTick = Convert.ToDecimal(row["price_tick"]);
instrument.ExchangeLongMarginRatio = (row["exchange_long_margin_ratio"] != DBNull.Value) ? Convert.ToDecimal(row["exchange_long_margin_ratio"]) : 0m;
instrument.ExchangeShortMarginRatio = (row["exchange_short_margin_ratio"] != DBNull.Value) ? Convert.ToDecimal(row["exchange_short_margin_ratio"]) : 0m;
instrument.ProductClass = (USeProductClass)Enum.Parse(typeof(USeProductClass), row["product_class"].ToString());
instrument.UnderlyingInstrument = (row["underlying_instrument"] != DBNull.Value)? row["underlying_instrument"].ToString():"";
instrument.MaxMarketOrderVolume = (row["max_market_order_volume"] != DBNull.Value) ? Convert.ToInt16(row["max_market_order_volume"]) : 0;
instrument.MinMarketOrderVolume = (row["min_market_order_volume"] != DBNull.Value) ? Convert.ToInt16(row["min_market_order_volume"]) : 0;
instrument.MaxLimitOrderVolume = (row["max_limit_order_volume"] != DBNull.Value) ? Convert.ToInt16(row["max_limit_order_volume"]) : 0;
instrument.MinLimitOrderVolume = (row["min_limit_order_volume"] != DBNull.Value) ? Convert.ToInt16(row["min_limit_order_volume"]) : 0;
instrumentList.Add(instrument);
}
catch (Exception ex)
{
throw new Exception("初始化合约信息异常:" + ex.Message);
}
}
m_instrumentList = instrumentList;
}
private void SaveKLineData(USeMarket market, USeCycleType cycle, string instrumentCode,
DateTime beginDate, DateTime endDate, List <USeKLine> klineList)
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
string tableName = GetDBTableName(cycle, market);
string cmdText = string.Format(@"delete from {0}.{1} where contract = '{2}'
and date_time >= '{3:yyyy-MM-dd}' and date_time < '{4:yyyy-MM-dd}'",
m_alphaDBName, tableName, instrumentCode, beginDate, endDate.AddDays(1));
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.ExecuteNonQuery();
StringBuilder sb = new StringBuilder();
foreach (USeKLine kLine in klineList)
{
cmdText = CreateKLineInsertSql2(kLine);
sb.Append(cmdText);
//command = new MySqlCommand(cmdText, connection);
//command.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
//command.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
//command.Parameters.AddWithValue("@date_time", kLine.DateTime);
//command.Parameters.AddWithValue("@price_open", kLine.Open);
//command.Parameters.AddWithValue("@price_high", kLine.High);
//command.Parameters.AddWithValue("@price_low", kLine.Low);
//command.Parameters.AddWithValue("@price_close", kLine.Close);
//command.Parameters.AddWithValue("@volumn", kLine.Volumn);
//command.Parameters.AddWithValue("@turnover", kLine.Turnover);
//command.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
//if (kLine.Cycle == USeCycleType.Day)
//{
// command.Parameters.AddWithValue("@pre_settlement_price", kLine.PreSettlementPrice);
// command.Parameters.AddWithValue("@settlement_price", kLine.SettlementPrice);
//}
if (sb.Length > 6000)
{
command = new MySqlCommand(sb.ToString(), connection);
int result = command.ExecuteNonQuery();
sb.Clear();
}
//int result = command.ExecuteNonQuery();
}
if (sb.Length > 0)
{
command = new MySqlCommand(sb.ToString(), connection);
int result = command.ExecuteNonQuery();
sb.Clear();
}
}
}
/// <summary>
/// 获取产品。
/// </summary>
/// <param name="instrumentCode">合约代码。</param>
/// <param name="exchange">市场。</param>
/// <returns></returns>
public USeInstrument GetInstrument(string instrumentCode, USeMarket exchange)
{
USeInstrumentDetail detail = (from i in m_instrumentList
where i.Instrument.InstrumentCode == instrumentCode && i.Instrument.Market == exchange
select i).FirstOrDefault();
if (detail != null)
{
return(detail.Instrument.Clone());
}
else
{
return(null);
}
}
/// <summary>
/// USe市场转换为Ctp市场。
/// </summary>
/// <param name="market">USeMarket对象</param>
/// <returns>Ctp市场字符串</returns>
public string USeMarketToFtdcExchange(USeMarket market)
{
switch (market)
{
case USeMarket.DCE: return("DCE");
case USeMarket.SHFE: return("SHFE");
case USeMarket.CZCE: return("CZCE");
case USeMarket.CFFEX: return("CFFEX");
default: return(string.Empty);
}
}
/// <summary>
/// 加载主力合约信息。
/// </summary>
private void LoadMainContract()
{
try
{
TradeCalendar tradeCalendar = GetTradeCalendar();
DateTime tradeDay = DateTime.Today;
//[yangming]强制设定17点为一天的分隔点，后续在完善
if (DateTime.Now.TimeOfDay > new TimeSpan(17, 0, 0))
{
tradeDay = tradeCalendar.NextTradeDay;
}
string strSel = string.Format(@"select * from {0}.main_contract
where settlement_date = '{1:yyyy-MM-dd}' and exchange in ({2});",
m_alphaDBName, tradeDay, USeTraderProtocol.GetInternalFutureMarketSqlString());
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
MySqlDataAdapter adapter = new MySqlDataAdapter(strSel, connection);
adapter.Fill(table);
adapter.Dispose();
}
Dictionary <string, USeInstrument> mainContractDic = new Dictionary <string, USeInstrument>();
foreach (DataRow row in table.Rows)
{
string varieties = row["varieties"].ToString();
string mainContractCode = row["main_contract"].ToString();
USeMarket exchange = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
if (string.IsNullOrEmpty(mainContractCode) == false)
{
USeInstrument mainContract = new USeInstrument(mainContractCode, mainContractCode, exchange);
mainContractDic.Add(varieties, mainContract);
}
}
m_mainContractDic = mainContractDic;
}
catch (Exception ex)
{
throw new Exception("加载主力合约信息失败," + ex.Message);
}
}
/// <summary>
/// CTP InstrumentField To USeInstrumentDetail。
/// </summary>
/// <param name="filed"></param>
/// <returns></returns>
private USeInstrumentDetail CtpInstrumentFieldToUSeInstrumentDetail(InstrumentField filed)
{
USeMarket market = CtpProtocol.FtdcExchangeToUSeMarket(filed.ExchangeID);
Debug.Assert(market != USeMarket.Unknown, "CtpInstrumentFieldToUSeInstrumentDetail(),market is unknown.");
USeInstrumentDetail detail = new USeInstrumentDetail();
detail.Instrument = new USeInstrument(filed.InstrumentID,
filed.InstrumentName,
market);
try
{
detail.OpenDate = DateTime.ParseExact(filed.OpenDate, "yyyyMMdd", null);
detail.ExpireDate = DateTime.ParseExact(filed.ExpireDate, "yyyyMMdd", null);
if (string.IsNullOrEmpty(filed.StartDelivDate) == false)
{
detail.StartDelivDate = DateTime.ParseExact(filed.StartDelivDate, "yyyyMMdd", null);
}
else
{
//[yangming] 有的合约查询不到开始交割日，暂时用到期日下一天
detail.StartDelivDate = detail.ExpireDate.AddDays(1);
}
detail.EndDelivDate = DateTime.ParseExact(filed.EndDelivDate, "yyyyMMdd", null);
detail.VolumeMultiple = filed.VolumeMultiple;
detail.IsTrading = filed.IsTrading == IntBoolType.Yes;
detail.Varieties = filed.ProductID;
detail.PriceTick = filed.PriceTick.ToDecimal();
detail.ExchangeLongMarginRatio = filed.LongMarginRatio.ToDecimal();
detail.ExchangeShortMarginRatio = filed.ShortMarginRatio.ToDecimal();
detail.MaxMarketOrderVolume = filed.MaxMarketOrderVolume;
detail.MinMarketOrderVolume = filed.MinMarketOrderVolume;
detail.MaxLimitOrderVolume = filed.MaxLimitOrderVolume;
detail.MinLimitOrderVolume = filed.MinLimitOrderVolume;
}
catch (Exception ex)
{
Debug.Assert(false, "CtpInstrumentFieldToUSeInstrumentDetail() convet failed," + ex.Message);
}
return(detail);
}
/// <summary>
/// 获取一分钟K线表名。
/// </summary>
/// <param name="market"></param>
/// <returns></returns>
private string GetMin1KLineTableName(USeMarket market)
{
string tableName = string.Empty;
switch (market)
{
case USeMarket.CFFEX:
case USeMarket.CZCE:
case USeMarket.DCE:
case USeMarket.SHFE:
tableName = string.Format("min1_kline_{0}", market.ToString().ToLower());
break;
default:
Debug.Assert(false);
throw new Exception("Invalid market:" + market.ToString());
}
return(tableName);
}
/// <summary>
/// 初始化方法。
/// </summary>
public void Initialize(DateTime tradeDay)
{
string strSel = string.Format(@"select * from {0}.contracts
where open_date <= '{1}' and expire_date >= '{1}' and exchange in({2});",
m_alphaDBName, tradeDay.ToString("yyyy-MM-dd"), USeTraderProtocol.GetInternalFutureMarketSqlString());
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
List <USeInstrumentDetail> instrumentList = new List <USeInstrumentDetail>();
foreach (DataRow row in table.Rows)
{
USeMarket exchange = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
USeInstrumentDetail instrument = new USeInstrumentDetail()
{
Instrument = new USeInstrument(row["contract"].ToString(),
row["contract_name"].ToString(),
exchange),
OpenDate = Convert.ToDateTime(row["open_date"]),
ExpireDate = Convert.ToDateTime(row["expire_date"]),
StartDelivDate = Convert.ToDateTime(row["start_deliv_date"]),
EndDelivDate = Convert.ToDateTime(row["end_deliv_date"]),
VolumeMultiple = Convert.ToInt32(row["volume_multiple"]),
IsTrading = true,
Varieties = row["varieties"].ToString(),
PriceTick = Convert.ToDecimal(row["price_tick"]),
ExchangeLongMarginRatio = Convert.ToDecimal(row["exchange_long_margin_ratio"]),
ExchangeShortMarginRatio = Convert.ToDecimal(row["exchange_short_margin_ratio"]),
ProductClass = (USeProductClass)Enum.Parse(typeof(USeProductClass), row["product_class"].ToString()),
UnderlyingInstrument = row["underlying_instrument"].ToString(),
MaxMarketOrderVolume = Convert.ToInt16(row["max_market_order_volume"]),
MinMarketOrderVolume = Convert.ToInt16(row["min_market_order_volume"]),
MaxLimitOrderVolume = Convert.ToInt16(row["max_limit_order_volume"]),
MinLimitOrderVolume = Convert.ToInt16(row["min_limit_order_volume"])
};
instrumentList.Add(instrument);
}
m_instrumentList = instrumentList;
}
/// <summary>
/// 匹配交易所
/// </summary>
/// <param name="instrumentCode"></param>
/// <returns></returns>
private USeMarket FromCodeToMarket(string instrumentCode)
{
USeMarket market = USeMarket.Unknown;
Debug.Assert(m_productList != null);
if (m_productList == null)
{
return(USeMarket.Unknown);
}
foreach (USeProduct product in m_productList)
{
if (product.ProductCode == GetVarietiesName(instrumentCode))
{
return(product.Market);
}
}
return(market);
}
/// <summary>
/// 获取USe主力合约编码。
/// </summary>
/// <param name="varieties">品种。</param>
/// <param name="exchange">市场。</param>
/// <returns>主力合约编码。</returns>
public static USeInstrument GetMainContractCode(string varieties, USeMarket exchange)
{
string contractCode = string.Format("{0}9999", varieties);
return(new USeInstrument(contractCode, varieties + "主力", exchange));
//string contractCode = string.Empty;
//switch (exchange)
//{
// case USeMarket.CZCE:
// contractCode = string.Format("{0}999", varieties);
// break;
// case USeMarket.CFFEX:
// case USeMarket.SHFE:
// case USeMarket.DCE:
// contractCode = string.Format("{0}9999", varieties);
// break;
// default:
// throw new NotSupportedException(string.Format("不支持{0}市场主力合约编码", exchange));
//}
//return new USeInstrument(contractCode, varieties+"主力", exchange);
}
/// <summary>
/// 获取USe品种指数编码。
/// </summary>
/// <param name="varieties">品种。</param>
/// <param name="exchange">市场。</param>
/// <returns>品种指数编码。</returns>
public static USeInstrument GetVarietiesIndexCode(string varieties, USeMarket exchange)
{
string indexCode = string.Format("{0}8888", varieties);
return(new USeInstrument(indexCode, varieties + "指数", exchange));
//string indexCode = string.Empty;
//switch (exchange)
//{
// case USeMarket.CZCE:
// indexCode = string.Format("{0}888", varieties);
// break;
// case USeMarket.CFFEX:
// case USeMarket.SHFE:
// case USeMarket.DCE:
// indexCode = string.Format("{0}8888", varieties);
// break;
// default:
// throw new NotSupportedException(string.Format("不支持{0}市场品种指数编码", exchange));
//}
//return new USeInstrument(indexCode, varieties + "指数", exchange);
}
/// <summary>
/// 保存合约结算价数据。
/// </summary>
/// <param name="DepthMarketDataFieldinstrumentList"></param>
/// <returns></returns>
private void SaveInstumentsSettlementPriceToDB(DepthMarketDataField item, string instrumentID, USeMarket market, DateTime settlementDate, double settlementPrice)
{
try
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
string cmdText = string.Format(@"update {0}.day_kline set settlement_price = @settlement_price
where contract = @contract AND exchange = @exchange AND date_time = @date_time;", m_alphaDBName);
// string cmdText = string.Format(@"update {0}.day_kline set settlement_price ={1}
//where contract = '{2}' AND exchange = '{3}' AND date_time = '{4:yyyy-MM-dd}';", m_alphaDBName,settlementPrice,instrumentID,mar);
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.Parameters.AddWithValue("@contract", instrumentID);
command.Parameters.AddWithValue("@exchange", market.ToString());
command.Parameters.AddWithValue("@date_time", settlementDate);
command.Parameters.AddWithValue("@settlement_price", settlementPrice);
int result = command.ExecuteNonQuery();
//Debug.Assert(result == 1);
}
}
catch (Exception ex)
{
string text = "保存结算价失败:" + ex.Message;
WriteConsoleLog(text);
}
}
/// <summary>
/// 构造USeProduct实例。
/// </summary>
/// <param name="instrumentCode">合约代码。</param>
/// <param name="instrumentName">合约名称。</param>
/// <param name="market">所属市场。</param>
public USeInstrument(string instrumentCode, string instrumentName, USeMarket market)
{
this.InstrumentCode = instrumentCode;
this.InstrumentName = instrumentName;
this.Market = market;
}
private void RefreashSendimentaryMoney(DepthMarketDataField item, string instrumentID, USeMarket market, DateTime settlementDate, double settlementPrice)
{
//计算资金沉淀用结算价
decimal sendimentaryMoney = 0m;
foreach (USeInstrumentDetail insDetail in m_insDetailList)
{
if (instrumentID == insDetail.Instrument.InstrumentCode)
{
int perSharesContract = insDetail.VolumeMultiple; //合约规模
decimal exchangeLongMarginRatio = insDetail.ExchangeLongMarginRatio; //保证金
sendimentaryMoney = Convert.ToDecimal(item.OpenInterest) * Convert.ToDecimal(settlementPrice) * perSharesContract * exchangeLongMarginRatio; //资金沉淀
break;
}
}
Debug.Assert(sendimentaryMoney != 0m);
try
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
string cmdText = string.Format(@"update {0}.day_kline set sendimentary_money = @sendimentary_money
where contract = @contract AND exchange = @exchange AND date_time = @date_time;", m_alphaDBName);
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.Parameters.AddWithValue("@contract", instrumentID);
command.Parameters.AddWithValue("@exchange", market.ToString());
command.Parameters.AddWithValue("@date_time", settlementDate);
command.Parameters.AddWithValue("@sendimentary_money", sendimentaryMoney);
int result = command.ExecuteNonQuery();
Debug.Assert(result == 1);
string text = string.Format("用结算价更新资金沉淀成功,合约:{0} 结算价:{1}", item.InstrumentID, settlementPrice);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
catch (Exception ex)
{
string text = "用结算价更新资金沉淀失败:" + ex.Message;
WriteConsoleLog(text);
}
}
/// <summary>
/// 启动午盘休盘价下载。
/// </summary>
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载午盘收盘价服务";
m_eventLogger.WriteInformation(text);
USeConsole.WriteLine(text);
if (ReadConfig() == false)
{
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
List <DepthMarketDataField> depthMarketDataFieldList = new List <DepthMarketDataField>();
depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
//while (true)
//{
// depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
// //返回大于下午开盘的行情时间
// if (VerfiyIsNoonBeginTime(depthMarketDataFieldList) == true)
// {
// text = string.Format("[{0}]行情已经进入下午开盘时间不在午盘时间内", DateTime.Now);
// USeConsole.WriteLine(text);
// m_eventLogger.WriteError(text);
// ctpApp.Disconnect();
// return -1;
// }
// //未找到大于11:30:00。
// if (VerfiyIsNoonEndTime(depthMarketDataFieldList) == false)
// {
// Thread.Sleep(m_queryFrequence);
// continue;
// }
// else
// {
// break;
// }
//}
ctpApp.Disconnect();
try
{
foreach (DepthMarketDataField marketData in depthMarketDataFieldList)
{
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存收盘价
SaveClosePriceToDB(marketData, marketData.InstrumentID, market, DateTime.Today, marketData.LastPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
RefrashPriceCloseDownLoad(DateTime.Today, 1);
}
catch (Exception ex)
{
text = string.Format("查询,保存当日午盘数据异常:{0}", ex.Message);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
return(-1);
}
return(0);
}
/// <summary>
/// 保存合约结算价数据。
/// </summary>
/// <param name="DepthMarketDataFieldinstrumentList"></param>
/// <returns></returns>
private void SaveClosePriceToDB(DepthMarketDataField item, string instrumentID, USeMarket market, DateTime dateTime, double priceClose)
{
try
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
string cmdText = string.Empty;
cmdText = CreateClosePrice2UpdateSql();
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.Parameters.AddWithValue("@contract", instrumentID);
command.Parameters.AddWithValue("@exchange", market.ToString());
command.Parameters.AddWithValue("@date_time", dateTime);
command.Parameters.AddWithValue("@price_close2", (decimal)priceClose);
int result = command.ExecuteNonQuery();
//Debug.Assert(result == 1);
}
}
catch (Exception ex)
{
throw new Exception(ex.Message);
}
}
private TimeSpan m_nextDayRange = new TimeSpan(18, 0, 0); // 下一交易日的时间分界点
#endregion // member
#region methods
/// <summary>
/// 启动结算价下载。
/// </summary>
public int Start()
{
//确定更新结算价成功之后，需要再次计算资金沉淀，盘中的时候用的是最新价计算，有结算价之后，就改为结算价重新刷新一遍计算
//计算公式：资金沉淀=品种持仓量*结算价*合约规模*交易所多头保证金比例
//计算资金总沉淀(盘中就用最新价计算资金沉淀，待下午结算价出来之后，按照结算价再更新一次)
//int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode);//合约规模
//decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode);//保证金
//m_kLine.SendimentaryMoney = marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio;//资金沉淀
//取出UseinstrumentDetail品种合约信息取出合约规模和保证金额比例，再次执行SQL语句
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载结算价服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
if (ReadConfig() == false)
{
return(-1);
}
//下载所有合约详情，失败直接退出因为后面需要基础数据
try
{
USeTradingInstrumentManager tradingInsManager = CreateInstrumentManager();
m_insDetailList = tradingInsManager.GetAllInstrumentDetails();
Debug.Assert(m_insDetailList != null);
}
catch (Exception ex)
{
text = "下载数据库所有合约详情InstrumentDetail失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
DateTime tradingDate = GetTradingDay();
if (m_refrashDate == QueryDay.Today)
{
int queryNum = m_queryNum;
while (queryNum > 0)
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.SettlementPrice <= 0d || marketData.SettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.SettlementPrice);
//保存完一笔的同时刷新一次资金沉淀[暂时不在这里处理，改用直接在特定时间执行SQL语句，因为涉及到8888指数和9999主力合约也需要刷新资金沉淀的问题]
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.SettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
if (instrumentDic.Count <= 0)
{
//所有合约存储完毕，退出
break;
}
queryNum--;
if (queryNum > 0)
{
Thread.Sleep(m_queryFrequence);
}
}
catch (Exception ex)
{
text = string.Format("查询,保存当日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
}
else
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.PreSettlementPrice <= 0d || marketData.PreSettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存结算价
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.PreSettlementPrice);
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.PreSettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
}
catch (Exception ex)
{
text = string.Format("保存昨日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
if (ctpApp != null)
{
ctpApp.Disconnect();
}
if (instrumentDic.Count > 0)
{
//未查询到的合约写入文件
foreach (USeInstrumentDetail field in instrumentDic.Values)
{
text = string.Format("[{0}]结算价查询失败", field.Instrument.InstrumentCode);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
else
{
try
{
#if DEBUG
bool iDownLoadResult = VerifyDBSettlementPrice(tradingDate);
Debug.Assert(iDownLoadResult == true);
#endif
RefreshDBSettlementDownLoad(tradingDate, true);
}
catch (Exception ex)
{
text = string.Format("更新结算状态失败,错误:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
return(0);
}
