{

public partial class Form1 : Form

{

//private object missing = Missing.Value;

private Microsoft.Office.Interop.Excel.Application ExcelRS;

private Microsoft.Office.Interop.Excel.Workbook RSbook;

private Microsoft.Office.Interop.Excel.Worksheet RSsheet;

private static List<DataStruct> DataList;

private static int Mode;

private static int FilterMode;

private static int TimeWindow;

private static double Ratio1;

private static double Ratio2;

private static int pK;

private static int Prev;

private static int Next;

private static int prevQ;

private static double inputBaseVol;

private static double inputBasePrice;

private static int gzRadioMode;

public Form1()

{

InitializeComponent();

DataList = new List<DataStruct>();

}

public const string LineBetween = "----------------------------------------------------------------------------------------------------------------------";

private void button1_Click(object sender, EventArgs e)

{

MessageBox.Show(this.textTimeWin.Text);

//List<string[]> ds;

//ds = LoadDataFromExcel("IF07_20120702.csv");

//dataGridView1.DataSource = ds.Tables[0];

//Word.Document wDoc = new Word.Document();

//Word.Application WApp = new Word.Application();

//Work(ds, 1);

//CreateNewExcel();

//SaveDataToExcel("result.xls");

//WordWriteData(ds);

}

private void button2_Click(object sender, EventArgs e)

{

if (this.TimeZoneRadio.Checked == true)

Mode = 1;

else

Mode = 2;

if (this.PrevQRadio.Checked == true)

FilterMode = 1;

else

FilterMode = 2;

if (this.gzRadio1.Checked == true)

gzRadioMode = 1;

else

gzRadioMode = 2;

TimeWindow = int.Parse(textTimeWin.Text);

Ratio1 = double.Parse(textRatio1.Text);

Ratio2 = double.Parse(textRatio2.Text);

pK = int.Parse(textK.Text);

Prev = int.Parse(textPrev.Text);

Next = int.Parse(textNext.Text);

prevQ = int.Parse(textQ.Text);

inputBasePrice = double.Parse(basePrice.Text);

inputBaseVol = double.Parse(baseVol.Text);

DataList.Clear();

OpenFileDialog openFileDialog = new OpenFileDialog();

openFileDialog.Multiselect = true;

openFileDialog.Filter = "csv文件(*.csv)|*.csv|Excel文件(*.xls)|*.xls";

openFileDialog.RestoreDirectory = true;

openFileDialog.FilterIndex = 1;

string[] fNamePath = null;

string[] fName = null;

if (openFileDialog.ShowDialog() == DialogResult.OK)

{

fNamePath = openFileDialog.FileNames;

fName = openFileDialog.SafeFileNames;

Array.Sort(fName);

Array.Sort(fNamePath);

//MessageBox.Show(fName);

}

else

return;

Work(fName, fNamePath);

CreateNewExcel();

//SaveDataToExcel("out.xls");

}

private static void Work(string[] fName, string[] fPath) // start work here

{

for (int i = 0; i < fName.Length; i++)

{

List<string[]> ds = LoadDataFromExcel(fName[i],fPath[i]);

if (ds == null)

continue;

List<DataStruct> QminList = ProcessPerMin(ds);

//WriteFile wf = new WriteFile();

//wf.writeF(QminList);

workQList(ref QminList, ref ds);

}

MessageBox.Show("处理完成！！");

}

public static string getFileNameExtension(string FileName)

{

string[] x = FileName.Split('.');

return x[1];

}

public static List<string[]> LoadDataFromExcel(string fName,string fPath)

{

string extension = getFileNameExtension(fName);

if (extension == "csv") // csv file

{

try

{

List<String[]> ls = new List<String[]>();

StreamReader fileReader = new StreamReader(fPath);

string strLine = "";

strLine = fileReader.ReadLine(); // neglect the first line

strLine = fileReader.ReadLine(); // neglect the second line

while (strLine != null)

{

strLine = fileReader.ReadLine();

if (strLine != null && strLine.Length > 0)

{

//ls.Add(strLine.Split(','));

string[] x = strLine.Split(',');

string[] y = new string[4];

for (int i = 0; i < 4; i++)

y[i] = x[i];

ls.Add(y);

}

}

fileReader.Close();

return ls;

}

catch (Exception err)

{

MessageBox.Show("读取文件" + fPath + "出错：" + err.Message + "\n请检查文件格式", "提示信息",

MessageBoxButtons.OK, MessageBoxIcon.Information);

}

}

else // excel

{

try

{

string strConn;

strConn = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" + fPath + ";Extended Properties='Excel 8.0;HDR=Yes;IMEX=1'";

OleDbConnection OleConn = new OleDbConnection(strConn);

OleConn.Open();

String sql = "SELECT * FROM [Sheet1$]";//可是更改Sheet名称，比如sheet2，等等

OleDbDataAdapter OleDaExcel = new OleDbDataAdapter(sql, OleConn);

DataSet OleDsExcle = new DataSet();

OleDaExcel.Fill(OleDsExcle, "Sheet1");

OleConn.Close();

List<String[]> ls = new List<String[]>();

int fd = 0;

foreach (DataRow row in OleDsExcle.Tables[0].Rows)

{

if (fd == 0)

{

fd++;

continue;

}

string[] y = new string[4];

for (int i = 0; i < 4; i++)

y[i] = row[i].ToString();

y[0] = y[0].Split(' ')[0];

ls.Add(y);

}

return ls;

}

catch (Exception err)

{

MessageBox.Show("数据绑定Excel失败!失败原因：" + err.Message, "提示信息",

MessageBoxButtons.OK, MessageBoxIcon.Information);

return null;

}

}

return null;

}

public static bool SaveDataToExcel(string filePath)

{

try

{

string strConn = "Provider=Microsoft.Jet.OLEDB.4.0;" + "Data Source=" + filePath + ";" + "Extended Properties=Excel 8.0;";

OleDbConnection conn = new OleDbConnection(strConn);

conn.Open();

System.Data.OleDb.OleDbCommand cmd = new OleDbCommand();

cmd.Connection = conn;

for (int i = 0; i < DataList.Count; i++)

{

DataStruct d = DataList[i];

string sql = "INSERT INTO [Sheet1$] (日期,时间,时刻,极端量,Pi,Pi开盘价,Pi最高价,Pi最低价,Pi收盘价,极价量,Pj,P1,P2,P3,T1,T2,T3,类型) VALUES(";

//string sql = "INSERT INTO [Sheet1$] (Data,Tim,Ti,Q,Pi,PiOpen,PiMax,PiMin,PiEnd,Pj,Pk,Pd,T,Tj,Typ) VALUES(";

sql += "'" + d.getData() + "',";

sql += "'" + d.getQiTime() + "',";

sql += "'" + d.getPiTime() + "',";

sql += d.getQi().ToString() + ",";

sql += d.getPiBefore().ToString() + ",";

sql += d.getPiOpen().ToString() + ",";

sql += d.getPiMax().ToString() + ",";

sql += d.getPiMin().ToString() + ",";

sql += d.getPiEnd().ToString() + ",";

sql += d.getPiTotal().ToString() + ",";

sql += d.getPiNext().ToString() + ",";

sql += d.getPStopProfit().ToString() + ",";

sql += d.getPStopLoss().ToString() + ",";

sql += d.getP3().ToString() + ",";

if (d.getPStopProfitTime() == null)

sql += "'null',";

else

sql += "'" + d.getPStopProfitTime() + "',";

if (d.getPStopLossTime() == null)

sql += "'null',";

else

sql += "'" + d.getPStopLossTime() + "',";

if (d.getP3Time() == null)

sql += "'null',";

else

sql += "'" + d.getP3Time() + "',";

sql += "'" + d.getType() + "')";

cmd.CommandText = sql;

cmd.ExecuteNonQuery();

}

conn.Close();

return true;

}

catch (System.Data.OleDb.OleDbException err)

{

MessageBox.Show("写入Excel失败!失败原因：" + err.Message, "提示信息",

MessageBoxButtons.OK, MessageBoxIcon.Information);

//System.Diagnostics.Debug.WriteLine("写入Excel发生错误：" + ex.Message);

}

return false;

}

private static void CreateNewExcel()

{

string OutFilePath = Application.StartupPath + @"\out.xls";

string TemplateFilePath = Application.StartupPath + @"\Book1.xls";

PrintInit(TemplateFilePath, OutFilePath);

SaveDataToExcel(OutFilePath);

}

public static bool PrintInit(string templetFile, string outputFile)

{

try

{

if (templetFile == null)

{

MessageBox.Show("模板文件Book1.xls不存在~");

return false;

}

System.IO.File.Copy(templetFile, outputFile, true);

}

catch (Exception ex)

{

MessageBox.Show(ex.ToString());

return false;

}

return true;

}

private static List<DataStruct> ProcessPerMin(List<string[]> lstEntity)

{

List<DataStruct> QminList = new List<DataStruct>();

try

{

int lstLen = lstEntity.Count;

int tw = TimeWindow;

string data;

string time;

int startIndex=0;

//double price;

//double volume;

InputStr tInput = new InputStr();

TimeProc timeProc = new TimeProc();

DataStruct item;

int lastTime= timeProc.time2int("9:15:00"); // 9:14:00

string lastData = "";

List<InputStr> list = new List<InputStr>();

if (Mode == 1)

{

list.Clear();

int index;

for (index = 0; index < lstLen; index++)

{

string[] ht = lstEntity[index];

tInput = new InputStr();

time = ht[1];

data = ht[0];

tInput.setTime(time);

tInput.setData(data);

tInput.setPrice(double.Parse(ht[2]));

tInput.setVolume(int.Parse(ht[3]));

int now = timeProc.time2int(time);

if (now-lastTime >=tw ) // collect a set in 1 minute

{

item = new DataStruct();

item.setNextMinIndex(index);

item.setStartMinIndex(startIndex);

ProcessList(list, ref item);

list.Clear();

QminList.Add(item);

startIndex = index;

while (lastTime + tw <= now)

{

lastTime += tw;

if (lastTime > 41400 && lastTime < 46800) // 41400 = 11:30:00

lastTime = 46800; // 46800 = 13:00:00

}

}

lastData = data;

list.Add(tInput);

}

// add the last minute

item = new DataStruct();

item.setNextMinIndex(index);

item.setStartMinIndex(startIndex);

ProcessList(list, ref item);

list.Clear();

QminList.Add(item);

}

else // time window

{

int index;

for (index = 0; index < lstLen;)

{

int t = 0;

while (index < lstLen)

{

time = lstEntity[index][1];

t = timeProc.time2int(time);

if (index < lstLen && t >= lastTime)

break;

index++;

}

while (t >= lastTime + tw)

{

lastTime++;

if (lastTime > 41400 && lastTime < 46800)

lastTime = 46800;

if (lastTime > timeProc.time2int("15:15:00"))

break;

}

list.Clear();

int si;

for (si = index; si < lstLen; si++)

{

time = lstEntity[si][1];

if (timeProc.time2int(time) < lastTime + tw)

{

string[] ht = lstEntity[si];

tInput = new InputStr();

time = ht[1];

data = ht[0];

tInput.setTime(time);

tInput.setData(data);

tInput.setPrice(double.Parse(ht[2]));

tInput.setVolume(int.Parse(ht[3]));

list.Add(tInput);

}

else

{

item = new DataStruct();

item.setNextMinIndex(si);

item.setStartMinIndex(index);

ProcessList(list, ref item);

QminList.Add(item);

list.Clear();

lastTime++;

break;

}

}

if (list.Count > 0) // the last list

{

item = new DataStruct();

item.setNextMinIndex(si);

item.setStartMinIndex(index);

ProcessList(list, ref item);

list.Clear();

QminList.Add(item);

lastTime++;

}

}

}

}

catch (System.Exception ex)

{

MessageBox.Show(ex.ToString());

}

return QminList;

}

private static void workQList(ref List<DataStruct> Qlist, ref List<string[]> lstEntity)

{

double maxQ = 0;

int maxQid = -1;

bool isQable = false;

int QlistLen = Qlist.Count;

double Q = getQ(prevQ);

for (int i = 0; i < QlistLen; i++)

{

if (checkQi(ref Qlist,Q,i))

{

isQable = true;

completeQ(ref Qlist, ref lstEntity, i);

DataList.Add(Qlist[i]);

}

else

if (!isQable)

{

if (Qlist[i].getQi() > maxQ)

{

maxQ = Qlist[i].getQi();

maxQid = i;

}

}

}

if (!isQable)

{

completeQ(ref Qlist, ref lstEntity, maxQid);

DataList.Add(Qlist[maxQid]);

}

}

private static void completeQ(ref List<DataStruct> Qlist, ref List<string[]> lstEntity, int i)

{

int QlistLen = Qlist.Count;

int len = lstEntity.Count;

if (Qlist[i].getType() == "沽" && i > 0 && i < QlistLen - 1)

{

double prevMin = getPrevNMin(ref Qlist, ref lstEntity, i);

double nextMax = getNextNMax(ref Qlist, ref lstEntity, i);

Qlist[i].setPiBefore(prevMin);

Qlist[i].setPiNext(nextMax);

Qlist[i].setP3(getP3NextMin(ref Qlist, i + 1));

Qlist[i].setPStopProfit(Qlist[i].getPiMax() - (Qlist[i].getPiMax() - Qlist[i-1].getPiMin()) * Ratio1);

Qlist[i].setPStopLoss(Qlist[i].getPiMax() + (Qlist[i].getPiMax() - Qlist[i-1].getPiMin()) * Ratio2);

}

if (Qlist[i].getType() == "扎" && i > 0 && i < QlistLen - 1)

{

double prevMax = getPrevNMax(ref Qlist, ref lstEntity, i);

double nextMin = getNextNMin(ref Qlist, ref lstEntity, i);

Qlist[i].setPiBefore(prevMax);

Qlist[i].setPiNext(nextMin);

Qlist[i].setP3(getP3NextMax(ref Qlist, i + 1));

Qlist[i].setPStopProfit(Qlist[i].getPiMin() + (Qlist[i-1].getPiMax() - Qlist[i].getPiMin()) * Ratio1);

Qlist[i].setPStopLoss(Qlist[i].getPiMin() - (Qlist[i-1].getPiMax() - Qlist[i].getPiMin()) * Ratio2);

}

string today = Qlist[i].getData();

int j = Qlist[i].getNextMinIndex();

TimeProc tp = new TimeProc();

int cc = 0;

for (; j<len && cc<3; j++)

{

string[] ht = lstEntity[j];

if (floatEqual(double.Parse(ht[2]), Qlist[i].getPStopProfit()))

{

Qlist[i].setPStopProfitTime(ht[1]);

cc++;

}

if (floatEqual(double.Parse(ht[2]), Qlist[i].getPStopLoss()))

{

Qlist[i].setPStopLossTime(ht[1]);

cc++;

}

if (floatEqual(double.Parse(ht[2]), Qlist[i].getP3()))

{

Qlist[i].setP3Time(ht[1]);

cc++;

}

}

}

private static double getPrevNMax(ref List<DataStruct> Qlist, ref List<string[]> lstEntity, int index)

{

TimeProc tproc = new TimeProc();

double m = 0;

int c = Prev;

int startTime = tproc.time2int(lstEntity[Qlist[index].getStartMinIndex()][1]);

for (int i = Qlist[index].getStartMinIndex(); i >= 0 && (startTime - tproc.time2int(lstEntity[i][1])<c); i--)

if (double.Parse(lstEntity[i][2]) > m)

m = double.Parse(lstEntity[i][2]);

return m;

}

private static double getPrevNMin(ref List<DataStruct> Qlist, ref List<string[]> lstEntity, int index)

{

TimeProc tproc = new TimeProc();

double m = 999999999;

int c = Prev;

int startTime = tproc.time2int(lstEntity[Qlist[index].getStartMinIndex()][1]);

for (int i = Qlist[index].getStartMinIndex(); i >= 0 && (startTime - tproc.time2int(lstEntity[i][1]) < c); i--)

if (double.Parse(lstEntity[i][2]) < m)

m = double.Parse(lstEntity[i][2]);

return m;

}

private static double getNextNMax(ref List<DataStruct> Qlist, ref List<string[]> lstEntity, int index)

{

TimeProc tproc = new TimeProc();

int len = lstEntity.Count;

double m = 0;

int c = Next;

int startTime = tproc.time2int(lstEntity[Qlist[index].getNextMinIndex()][1]);

for (int i = Qlist[index].getNextMinIndex(); i <len && (tproc.time2int(lstEntity[i][1])-startTime < c); i++)

if (double.Parse(lstEntity[i][2]) > m)

m = double.Parse(lstEntity[i][2]);

return m;

}

private static double getNextNMin(ref List<DataStruct> Qlist, ref List<string[]> lstEntity, int index)

{

TimeProc tproc = new TimeProc();

int len = lstEntity.Count;

double m = 999999999;

int c = Next;

int startTime = tproc.time2int(lstEntity[Qlist[index].getNextMinIndex()][1]);

for (int i = Qlist[index].getNextMinIndex(); i < len && (tproc.time2int(lstEntity[i][1]) - startTime < c); i++)

if (double.Parse(lstEntity[i][2]) < m)

m = double.Parse(lstEntity[i][2]);

return m;

}

private static double getP3NextMax(ref List<DataStruct> Qlist, int index)

{

int len = Qlist.Count;

double m = 0;

int c = 0;

for (int i = index; i < len && c < pK; i++, c++)

if (Qlist[i].getPiMax() > m)

m = Qlist[i].getPiMax();

return m;

}

private static double getP3NextMin(ref List<DataStruct> Qlist, int index)

{

int len = Qlist.Count;

double m = 999999999;

int c = 0;

for (int i = index; i < len && c < pK; i++, c++)

if (Qlist[i].getPiMin() < m)

m = Qlist[i].getPiMin();

return m;

}

private static bool floatEqual(double x,double y)

{

if((int)(x*10)==(int)(y*10))

return true;

return false;

}

private static bool floatLarger(double x, double y)

{

if ((int)(x * 10) >= (int)(y * 10))

return true;

return false;

}

private static void ProcessList(List<InputStr> List, ref DataStruct item)

{

item.setStartTime(List[0].getTime());

item.setData(List[0].getData());

item.setPiOpen(List[0].getPrice());

int len = List.Count;

item.setEndTime(List[len - 1].getTime());

item.setPiEnd(List[len - 1].getPrice());

double minPrice = 999999999;

double maxPrice = 0;

string maxPriceTime = "";

int Qi=0;

int MaxPriceTotal = 0;

int MinPriceTotal = 0;

TimeProc tp = new TimeProc();

item.setQiTime(tp.getMinute(List[0].getTime()));

for (int i = 0; i < len; i++ )

{

InputStr itr = List[i];

Qi += itr.getVolume();

if (itr.getPrice() > maxPrice)

{

maxPrice = itr.getPrice();

maxPriceTime = itr.getTime();

MaxPriceTotal = Qi;

}

if (itr.getPrice() < minPrice)

{

minPrice = itr.getPrice();

MinPriceTotal = Qi;

}

}

item.setPiMax(maxPrice);

item.setPiMin(minPrice);

item.setPiTime(maxPriceTime);

item.setQi(Qi);

if (gzRadioMode==1 && item.getPiEnd()>item.getPiOpen() || gzRadioMode==2 && max(item.getPiEnd(),item.getPiMax())>=item.getPiOpen())

{

item.setType("沽");

item.setPiTotal(MaxPriceTotal);

}

else

{

item.setType("扎");

item.setPiTotal(MinPriceTotal);

}

}

private static double getQ(int margin)

{

int len = DataList.Count;

if (len == 0)

return 99999999;

int d = 0;

double Q = 0;

int numday = 0;

string nowday = "";

for (int i = len - 1; i >= 0; i--)

{

if (DataList[i].getData() != nowday)

{

nowday = DataList[i].getData();

numday++;

}

if (numday > margin)

break;

Q += DataList[i].getQi();

d++;

}

return Q / d;

}

private static bool checkQi(ref List<DataStruct> Qlist, double Q, int i)

{

if (FilterMode == 1)

{

if (floatLarger(Qlist[i].getQi(), Q))

return true;

else

return false;

}

else

{

if (i < 1 || i==Qlist.Count-1)

return false;

double prevMin = Qlist[i-1].getPiMin();

double nextMax = Qlist[i+1].getPiMax();

if (Qlist[i].getQi() > inputBaseVol && (Qlist[i].getType() == "沽" ? Qlist[i].getPiMax() - prevMin > inputBasePrice : nextMax - Qlist[i].getPiMin() > inputBasePrice))

{

inputBaseVol = (inputBaseVol + Qlist[i].getQi()) / 2;

if (Qlist[i].getType() == "沽")

inputBasePrice = (inputBasePrice + (Qlist[i].getPiMax() - Qlist[i - 1].getPiMin())) / 2;

else

inputBasePrice = (inputBasePrice + (Qlist[i - 1].getPiMax() - Qlist[i].getPiMin())) / 2;

inputBasePrice = smoothBasePrice(inputBasePrice);

return true;

}

else

return false;

}

}

private static double smoothBasePrice(double p)

{

double r = p * 10;

if ((int)r % 2 == 1)

r -= 1;

return r / 10;

}

private static double max(double a, double b)

{

return a > b ? a : b;

}

private void Form1_Load(object sender, EventArgs e)

{

}

private void label5_Click(object sender, EventArgs e)

{

}

private void textBox1_TextChanged(object sender, EventArgs e)

{

}

private void radioButton2_CheckedChanged(object sender, EventArgs e)

{

}

private void textQ_TextChanged(object sender, EventArgs e)

{

}

}

}