/// <summary>
/// 构造方法。
/// </summary>
/// <param name="instrument">合约。</param>
/// <param name="publisher">发布者。</param>
/// <param name="tradeRange">交易时段。</param>
/// <param name="publishInterval">发布间隔(单位:秒)。</param>
public DayKLineFactory(USeInstrument instrument, USeKLine initKLine, IKLinePublisher publisher, DayTradeRange tradeRange, IAppLogger eventLogger, TimeSpan publishInterval, bool isMainContract, USeTradingInstrumentManager instrumentManager)
: base(instrument, publisher, tradeRange, eventLogger)
{
m_publishInterval = publishInterval;
m_nextPublishTime = DateTime.Now.AddTicks(publishInterval.Ticks);
m_isMainContract = isMainContract;
if (initKLine != null)
{
Debug.Assert(initKLine.InstrumentCode == instrument.InstrumentCode);
m_kLine = initKLine;
}
if (isMainContract)
{
string varieties = USeTraderProtocol.GetVarieties(instrument.InstrumentCode);
m_mainContractCode = USeTraderProtocol.GetMainContractCode(varieties, instrument.Market);
}
//获取该数据库下的合约详细信息
try
{
Debug.Assert(instrumentManager != null);
m_insDetailList = instrumentManager.GetAllInstrumentDetails();
}
catch (Exception ex)
{
throw new Exception("IndexDayKLineFactory 获取全部合约详细信息异常:" + ex.Message);
}
}
/// <summary>
/// 接收K线数据。
/// </summary>
/// <param name="kLine"></param>
public void ReceiveKLineData(USeKLine kLine)
{
if (FilterKLineData(kLine))
{
m_kLineQueue.Enqueue(kLine);
}
}
/// <summary>
/// 创建KLine。
/// </summary>
/// <param name="marketData"></param>
/// <returns></returns>
private USeKLine CreateDefaultKLine()
{
USeKLine kline = new USeKLine()
{
InstrumentCode = m_instrument.InstrumentCode,
Market = m_instrument.Market,
Cycle = USeCycleType.Day,
DateTime = GetCycleTime(DateTime.Now),
Open = 0m,
High = 0m,
Low = 0m,
Close = 0m,
Volumn = 0,
Turnover = 0m,
OpenInterest = 0m,
SettlementPrice = 0m,
PreSettlementPrice = 0m,
AskVolumn = 0,
BidVolumn = 0,
SendimentaryMoney = 0m,
FlowFund = 0m,
SpeculateRadio = 0m
};
return(kline);
}
/// <summary>
/// 创建KLine。
/// </summary>
/// <param name="marketData"></param>
/// <returns></returns>
private USeKLine CreateFirstKLine(USeMarketData marketData)
{
USeKLine kline = new USeKLine()
{
InstrumentCode = m_instrument.InstrumentCode,
Market = m_instrument.Market,
Cycle = USeCycleType.Day,
DateTime = GetCycleTime(marketData.UpdateTime),
Open = marketData.OpenPrice,
High = marketData.HighPrice,
Low = marketData.LowPrice,
Close = marketData.LastPrice,
Volumn = marketData.Volume,
Turnover = marketData.Turnover,
OpenInterest = marketData.OpenInterest,
SettlementPrice = marketData.SettlementPrice,
PreSettlementPrice = marketData.PreSettlementPrice,
AskVolumn = (int)(marketData.Volume / 2),
BidVolumn = marketData.Volume - (int)(marketData.Volume / 2),
SendimentaryMoney = 0m,
FlowFund = 0m,
SpeculateRadio = 0m
};
return(kline);
}
/// <summary>
/// 根据加工后的K线获取数据表名。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string GetDBTableName(USeKLine kLine)
{
string tableName = string.Empty;
if (kLine.Cycle == USeCycleType.Day)
{
tableName = "day_kline";
}
else if (kLine.Cycle == USeCycleType.Min1)
{
Debug.Assert(kLine.Cycle == USeCycleType.Min1);
switch (kLine.Market)
{
case USeMarket.CFFEX:
case USeMarket.CZCE:
case USeMarket.DCE:
case USeMarket.SHFE:
tableName = string.Format("min1_kline_{0}", kLine.Market.ToString().ToLower());
break;
default:
Debug.Assert(false);
throw new Exception("Invalid market:" + kLine.Market.ToString());
}
}
else
{
throw new Exception("Invalid cycel:" + kLine.Cycle.ToString());
}
return(tableName);
}
private USeKLine ParseKLine(string line, ImportFileEntity entity)
{
string[] items = line.Split(new char[] { ',' });
USeKLine kLine = new USeKLine();
//文件名带过来的
kLine.InstrumentCode = entity.InstrumentCode;
//搜索匹配过来的
kLine.Market = FromCodeToMarket(entity.InstrumentCode);
//entity根据文件名获取过来的
kLine.Cycle = entity.Cycle;
//line[0]和line[1]合成...开高低收
string dateRegion = items[0];
string[] dateArray = items[0].Split('.');
string dateProcess = dateArray[0] + "-" + dateArray[1] + "-" + dateArray[2] + " " + items[1];
kLine.DateTime = Convert.ToDateTime(dateProcess);
kLine.Open = Convert.ToDecimal(items[2]);
kLine.High = Convert.ToDecimal(items[3]);
kLine.Low = Convert.ToDecimal(items[4]);
kLine.Close = Convert.ToDecimal(items[5]);
kLine.OpenInterest = Convert.ToDecimal(items[6]);
kLine.Volumn = Convert.ToInt32(items[7]);
kLine.Turnover = Convert.ToDecimal(items[8]) * 10000;
return(kLine);
}
/// <summary>
/// 获取K线生成器。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
private List <KLineFactory> GetIndexKLineFactory(USeInstrument instrument)
{
Debug.Assert(instrument.Market != USeMarket.Unknown);
string varieties = USeTraderProtocol.GetVarieties(instrument.InstrumentCode);
List <KLineFactory> factoryList = null;
if (m_indexkLineFactoryDic.TryGetValue(varieties, out factoryList) == false)
{
USeProduct product = m_productManager.GetPruduct(varieties);
factoryList = new List <KLineFactory>();
DayTradeRange tradeRange = m_tradeRangeManager.CreateTradeRange(varieties);
DateTime tradeDay = tradeRange.GetTradeDay(DateTime.Now);
USeInstrument indexInstrument = USeTraderProtocol.GetVarietiesIndexCode(product);
USeKLine dayKLine = GetDayKLine(tradeDay, indexInstrument);
List <USeInstrument> instrumentList = m_instrumentManager.GetAllInstruments(varieties, product.Market);
IndexDayKLineFactory dayFactory = new IndexDayKLineFactory(product, instrumentList, dayKLine, m_dayKLinePublishInterval, m_kLinePublisher, tradeRange, m_eventLogger, m_instrumentManager);
factoryList.Add(dayFactory);
IndexMinKLineFactory min1Factory = new IndexMinKLineFactory(product, instrumentList, USeCycleType.Min1, m_kLinePublisher, tradeRange, m_eventLogger, m_instrumentManager);
factoryList.Add(min1Factory);
m_indexkLineFactoryDic.Add(varieties, factoryList);
}
Debug.Assert(factoryList != null && factoryList.Count == 2);
return(factoryList);
}
/// <summary>
/// K先保存。
/// </summary>
/// <param name="kLineList"></param>
private void InternalSendToRocketMQ(USeKLine kLine)
{
try
{
HttpHeader header = HttpHeader.DefaultPostHeader;
header.Param = CreatePostParameter(kLine);
JsonData jsonData = m_httpVistor.GetJsonData(m_sendUrl, header, null);
if (jsonData.StatusCode == System.Net.HttpStatusCode.OK)
{
RocketMQReply reply = JsonConvert.DeserializeObject <RocketMQReply>(jsonData.JsonString);
}
else
{
string jsonReply = jsonData.JsonString;
}
Interlocked.Increment(ref m_sotreCount);
}
catch (Exception ex)
{
Interlocked.Increment(ref m_errorStoreCount);
string text = string.Format("{0}保存K线数据失败,{1}", this, ex.Message);
m_eventLogger.WriteError(text);
USeNotifyEventArgs notify = new USeNotifyEventArgs(USeNotifyLevel.Warning, text);
SafeRaiseNotifyEvent(this, notify);
}
}
private USeKLine ParseKLine(string line)
{
line = line.Substring(19);
string[] items = line.Split(new char[] { ',' });
USeKLine kLine = new USeKLine();
kLine.InstrumentCode = items[0];
kLine.Market = (USeMarket)(Enum.Parse(typeof(USeMarket), items[1]));
kLine.Cycle = (USeCycleType)(Enum.Parse(typeof(USeCycleType), items[2]));
kLine.DateTime = Convert.ToDateTime(items[3]);
kLine.Open = Convert.ToDecimal(items[4]);
kLine.High = Convert.ToDecimal(items[5]);
kLine.Low = Convert.ToDecimal(items[6]);
kLine.Close = Convert.ToDecimal(items[7]);
kLine.Volumn = Convert.ToInt32(items[8]);
kLine.Turnover = Convert.ToDecimal(items[9]);
kLine.OpenInterest = Convert.ToDecimal(items[10]);
kLine.SettlementPrice = Convert.ToDecimal(items[11]);
kLine.PreSettlementPrice = Convert.ToDecimal(items[12]);
kLine.AskVolumn = Convert.ToInt32(items[13]);
kLine.BidVolumn = Convert.ToInt32(items[14]);
return(kLine);
}
/// <summary>
/// 获取K线生成器。
/// </summary>
/// <param name="instrument"></param>
/// <returns></returns>
private List <KLineFactory> GetKLineFactory(USeInstrument instrument)
{
Debug.Assert(instrument.Market != USeMarket.Unknown);
List <KLineFactory> factoryList = null;
if (m_kLineFactoryDic.TryGetValue(instrument.InstrumentCode, out factoryList) == false)
{
factoryList = new List <KLineFactory>();
DayTradeRange tradeRange = m_tradeRangeManager.CreateTradeRange(instrument);
bool isMainConract = m_mainContractManager.IsMainContract(instrument.InstrumentCode);
DateTime tradeDay = tradeRange.GetTradeDay(DateTime.Now);
USeKLine dayKLine = GetDayKLine(tradeDay, instrument);
DayKLineFactory dayFactory = new DayKLineFactory(instrument, dayKLine, m_kLinePublisher, tradeRange, m_eventLogger, m_dayKLinePublishInterval, isMainConract, m_instrumentManager);
factoryList.Add(dayFactory);
MinKLineFactory min1Factory = new MinKLineFactory(instrument, m_kLinePublisher, tradeRange, m_eventLogger, USeCycleType.Min1, isMainConract);
factoryList.Add(min1Factory);
m_kLineFactoryDic.Add(instrument.InstrumentCode, factoryList);
}
Debug.Assert(factoryList != null && factoryList.Count == 2);
return(new List <KLineFactory>(factoryList));
}
public void ImportDayKLine(ImportFileEntity entity)
{
USeKLine kLine = ReadDayKLineFile(entity.FilePath);
if (kLine != null)
{
//日线先更新，影响条目为0，则Insert
try
{
using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
{
connection.Open();
string cmdUpdateText = CreateKLineUpdateSql(kLine);
MySqlCommand updateCommand = new MySqlCommand(cmdUpdateText, connection);
updateCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
updateCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
updateCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
updateCommand.Parameters.AddWithValue("@price_open", kLine.Open);
updateCommand.Parameters.AddWithValue("@price_high", kLine.High);
updateCommand.Parameters.AddWithValue("@price_low", kLine.Low);
updateCommand.Parameters.AddWithValue("@price_close", kLine.Close);
updateCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
updateCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
updateCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
updateCommand.Parameters.AddWithValue("@pre_settlement_price", kLine.PreSettlementPrice);
updateCommand.Parameters.AddWithValue("@settlement_price", kLine.SettlementPrice);
updateCommand.Parameters.AddWithValue("@ask_volumn", kLine.AskVolumn);
updateCommand.Parameters.AddWithValue("@bid_volumn", kLine.BidVolumn);
int updateResult = updateCommand.ExecuteNonQuery();
if (updateResult <= 0)
{
string cmdInsertText = CreateKLineUpdateSql(kLine);
MySqlCommand insertCommand = new MySqlCommand(cmdInsertText, connection);
insertCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
insertCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
insertCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
insertCommand.Parameters.AddWithValue("@price_open", kLine.Open);
insertCommand.Parameters.AddWithValue("@price_high", kLine.High);
insertCommand.Parameters.AddWithValue("@price_low", kLine.Low);
insertCommand.Parameters.AddWithValue("@price_close", kLine.Close);
insertCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
insertCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
insertCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
insertCommand.Parameters.AddWithValue("@pre_settlement_price", kLine.PreSettlementPrice);
insertCommand.Parameters.AddWithValue("@settlement_price", kLine.SettlementPrice);
insertCommand.Parameters.AddWithValue("@ask_volumn", kLine.AskVolumn);
insertCommand.Parameters.AddWithValue("@bid_volumn", kLine.BidVolumn);
int insertResult = insertCommand.ExecuteNonQuery();
}
}
}
catch (Exception ex)
{
throw new Exception("ImportDayKLine异常:" + ex.Message);
}
}
}
private USeKLine GetSeriesTradingKline(DateTime dateTime, string seriesInstrument)
{
string strSel = string.Format(@"select * from {0}.day_kline where contract='{1}' AND date_time='{2:yyyy-MM-dd 00:00:00}';",
m_alphaDBName, seriesInstrument, dateTime);
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
foreach (DataRow row in table.Rows)
{
try
{
USeKLine tempKline = new USeKLine();
tempKline.InstrumentCode = row["contract"].ToString();
tempKline.Market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
tempKline.Close = Convert.ToDecimal(row["price_close"]);
tempKline.DateTime = Convert.ToDateTime(row["date_time"]);
tempKline.OpenInterest = Convert.ToDecimal(row["openinterest"]);
tempKline.SettlementPrice = (row["settlement_price"] != DBNull.Value) ? Convert.ToDecimal(row["settlement_price"]) : 0m;
tempKline.SendimentaryMoney = (row["sendimentary_money"] != DBNull.Value) ? Convert.ToDecimal(row["sendimentary_money"]) : 0m;
tempKline.FlowFund = (row["flow_fund"] != DBNull.Value) ? Convert.ToDecimal(row["flow_fund"]) : 0m;
return(tempKline);
}
catch (Exception ex)
{
throw new Exception("GetTradingDaySeriesKline:" + ex.Message);
}
}
return(null);
}
/// <summary>
/// 获取合约指定交易日日K线。
/// </summary>
public USeKLine GetMin1KLine(USeInstrument instrument, DateTime time)
{
string strSel = string.Format(@"select * from {0}.{1}
where contract = '{1}' and date_time = '{3:yyyy-MM-dd HH:mm:00}';",
m_alphaDBName, GetMin1KLineTableName(instrument.Market),
instrument.InstrumentCode, time);
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
if (table != null && table.Rows.Count > 0)
{
DataRow row = table.Rows[0];
USeKLine kline = new USeKLine()
{
InstrumentCode = row["contract"].ToString(),
Market = USeTraderProtocol.ToUseMarket(row["exchange"].ToString()),
Cycle = USeCycleType.Day,
DateTime = Convert.ToDateTime(row["date_time"]),
Open = row["price_open"].ToDecimal(),
High = row["price_high"].ToDecimal(),
Low = row["price_low"].ToDecimal(),
Close = row["price_close"].ToDecimal(),
Volumn = row["volumn"].ToInt(),
Turnover = row["turnover"].ToDecimal(),
OpenInterest = row["openinterest"].ToDecimal()
};
return(kline);
}
return(null);
}
/// <summary>
/// 获取当前K线前一个交易日指数的的资金沉淀去用于计算资金流入流出
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
private decimal GetLastTradingDayIndexInsSendimentaryMoney(USeKLine kline)
{
decimal lastTradingDaySendimentaryMoney = 0m;
DateTime preTradingDay = m_tradeCalendarManager.GetPreTradingDate(kline.DateTime);
string strSel = string.Format(@"select * from {0}.day_kline where contract='{1}' AND date_time='{2:yyyy-MM-dd 00:00:00}';",
m_alphaDBName, kline.InstrumentCode, preTradingDay);
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
foreach (DataRow row in table.Rows)
{
try
{
USeKLine tempKline = new USeKLine();
tempKline.InstrumentCode = row["contract"].ToString();
tempKline.Market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
tempKline.Close = Convert.ToDecimal(row["price_close"]);
tempKline.DateTime = Convert.ToDateTime(row["date_time"]);
tempKline.OpenInterest = Convert.ToDecimal(row["openinterest"]);
tempKline.SettlementPrice = (row["settlement_price"] != DBNull.Value) ? Convert.ToDecimal(row["settlement_price"]) : 0m;
tempKline.SendimentaryMoney = (row["sendimentary_money"] != DBNull.Value) ? Convert.ToDecimal(row["sendimentary_money"]) : 0m;
return(lastTradingDaySendimentaryMoney = tempKline.SendimentaryMoney);
}
catch (Exception ex)
{
throw new Exception("GetLastTradingDayIndexInsSendimentaryMoney:" + ex.Message);
}
}
return(lastTradingDaySendimentaryMoney);
}
private string CreatePostParameter(USeKLine kLine)
{
List <string> filedList = new List <string>();
filedList.Add(kLine.InstrumentCode);
filedList.Add(kLine.Market.ToString());
filedList.Add(kLine.Cycle.ToString());
filedList.Add(kLine.DateTime.ToString("yyyy-MM-dd HH:mm:ss"));
filedList.Add(kLine.Open.ToString());
filedList.Add(kLine.High.ToString());
filedList.Add(kLine.Low.ToString());
filedList.Add(kLine.Close.ToString());
filedList.Add(kLine.Volumn.ToString());
filedList.Add(kLine.Turnover.ToString());
filedList.Add(kLine.OpenInterest.ToString());
filedList.Add(kLine.SettlementPrice.ToString());
filedList.Add(kLine.PreSettlementPrice.ToString());
filedList.Add(kLine.AskVolumn.ToString());
filedList.Add(kLine.BidVolumn.ToString());
RocketMQMessage message = new RocketMQMessage()
{
body = string.Join(",", filedList),
keys = "ctp",
producerGroup = "basedata",
tags = "kline",
topic = "alpha"
};
string parameter = JsonConvert.SerializeObject(message);
return(parameter);
}
/// <summary>
/// 读数据线程
/// </summary>
protected override void DoWork()
{
try
{
while (m_runFlag)
{
while (m_kLineQueue.Count > 0)
{
USeKLine kLine = null;
m_kLineQueue.TryDequeue(out kLine);
Debug.Assert(kLine != null);
FileStorer storer = GetFileStorer(kLine);
try
{
storer.Write(ToKLineLog(kLine));
Interlocked.Increment(ref m_sotreCount);
}
catch (Exception ex)
{
Interlocked.Increment(ref m_errorStoreCount);
USeNotifyEventArgs arg = new USeNotifyEventArgs(USeNotifyLevel.Error, "文件保存K线失败," + ex.Message);
SafeRaiseNotifyEvent(this, arg);
}
}
Thread.Sleep(1000);
}
}
catch (Exception ex)
{
Debug.WriteLine(ex.Message);
}
}
private void btnTest_Click(object sender, EventArgs e)
{
try
{
USeKLine kline = new USeKLine();
kline.InstrumentCode = "cu1707";
kline.Market = USeMarket.CFFEX;
kline.Cycle = USeCycleType.Min1;
kline.DateTime = new DateTime(2017, 06, 26, 09, 30, 0);
kline.Open = 43325;
kline.High = 43325;
kline.Low = 43325;
kline.Close = 43325;
kline.Volumn = 122222;
kline.Turnover = 122222.780m;
kline.OpenInterest = 2345;
List <KLineStoreage> storeageList = USeManager.Instance.KLineStorages;
foreach (KLineStoreage storeage in storeageList)
{
if (storeage is FileKLineStoreage)
{
storeage.ReceiveKLineData(kline);
}
}
//IKLineDataListener store = USeManager.Instance.RabbitMQStore;
//store.ReceiveKLineData(kline);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
/// <summary>
/// 判断是否为8888合约
/// </summary>
/// <param name="kline"></param>
/// <returns></returns>
private bool VerifyIsIndexInstrument(USeKLine kline)
{
if (kline == null || kline.InstrumentCode == "")
{
throw new Exception("VerifyIsIndexInstrument is empty or null");
}
string instrumentCode = kline.InstrumentCode;
foreach (char c in instrumentCode)
{
if (c >= '0' && c <= '9')
{
instrumentCode = instrumentCode + c;
}
else
{
continue;
}
}
if (instrumentCode == "8888")
{
return(true);
}
else
{
return(false);
}
}
/// <summary>
/// 发布K线。
/// </summary>
/// <param name="kLine"></param>
/// <param name="cycle"></param>
public void PublishKLine(USeKLine kLine)
{
foreach (IKLineDataListener storer in m_marketDataStore)
{
storer.ReceiveKLineData(kLine);
}
}
/// <summary>
/// 获取当天交易日的K线
/// </summary>
public List <USeKLine> GetTodayDayKlineList(DateTime dateTime)
{
string strSel = string.Format(@"select * from {0}.day_kline where date_time>='{1:yyyy-MM-dd 00:00:00}';",
m_alphaDBName, dateTime);
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
List <USeKLine> klineList = new List <USeKLine>();
foreach (DataRow row in table.Rows)
{
try
{
USeKLine kline = new USeKLine();
kline.InstrumentCode = row["contract"].ToString();
kline.Market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString());
kline.Close = Convert.ToDecimal(row["price_close"]);
kline.DateTime = Convert.ToDateTime(row["date_time"]);
kline.OpenInterest = Convert.ToDecimal(row["openinterest"]);
kline.SettlementPrice = (row["settlement_price"] != DBNull.Value) ? Convert.ToDecimal(row["settlement_price"]) : 0m;
klineList.Add(kline);
}
catch (Exception ex)
{
throw new Exception("初始化当天交易日的K线:" + ex.Message);
}
}
return(klineList);
}
/// <summary>
/// 创建delete SQL语句。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string CreateKLineDeleteSql(USeKLine kLine)
{
string tableName = GetDBTableName(kLine);
string strSql = string.Empty;
strSql = string.Format(@"DELETE FROM {0}.{1} where contract=@contract and exchange=@exchange and date_time= @date_time", m_alphaDBName, tableName);
return(strSql);
}
/// <summary>
/// 保存K线数据。
/// </summary>
/// <param name="kLine"></param>
public void ReceiveKLineData(USeKLine kLine)
{
Interlocked.Increment(ref m_storeCount);
//if (kLine.InstrumentCode == "cu1708")
{
Debug.WriteLine(string.Format("{0}@{1},Cycle:{7},Open:{2},High:{3},Low:{4},Close:{5},SettlentPrice:{6}",
kLine.InstrumentCode, kLine.DateTime, kLine.Open, kLine.High, kLine.Low, kLine.Close, kLine.SettlementPrice, kLine.Cycle));
}
}
/// <summary>
/// 创建Insert SQL语句。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string CreateKLineInsertSql(USeKLine kLine)
{
string tableName = "day_kline";
string strSql = string.Format(@"INSERT INTO {0}(contract,exchange,date_time,price_open,price_high,price_low,price_close,volumn,turnover,openinterest,pre_settlement_price,settlement_price,ask_volumn,bid_volumn,update_time,sendimentary_money,flow_fund)
values (@contract,@exchange,@date_time,@price_open,@price_high,@price_low,@price_close,@volumn,@turnover,@openinterest,@pre_settlement_price,@settlement_price,@ask_volumn,@bid_volumn,now(),@sendimentary_money,@flow_fund)", tableName);
return(strSql);
}
//public void ReImportDayKLine(ImportFileEntity entity)
//{
// int count = 0;
// List<USeKLine> kLineList = ReadDayKLineFile(entity);
// if (kLineList != null)
// {
// using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
// {
// connection.Open();
// MySqlCommand updateCommand = new MySqlCommand();
// updateCommand.Connection = connection;
// MySqlTransaction tx = connection.BeginTransaction();
// updateCommand.Transaction = tx;
// try
// {
// List<string> SQLStringList = new List<string>();
// foreach (USeKLine kline in kLineList)
// {
// string cmdUpdateText = CreateKLineUpdateSql(kline);
// SQLStringList.Add(cmdUpdateText);
// }
// for (int n = 0; n < SQLStringList.Count; n++)
// {
// string strsql = SQLStringList[n].ToString();
// if (strsql.Trim().Length > 1)
// {
// updateCommand.CommandText = strsql;
// updateCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
// updateCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
// updateCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
// updateCommand.Parameters.AddWithValue("@price_open", kLine.Open);
// updateCommand.Parameters.AddWithValue("@price_high", kLine.High);
// updateCommand.Parameters.AddWithValue("@price_low", kLine.Low);
// updateCommand.Parameters.AddWithValue("@price_close", kLine.Close);
// updateCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
// updateCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
// updateCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
// int updateResult = updateCommand.ExecuteNonQuery();
// if (updateResult <= 0)
// {
// string cmdInsertText = CreateKLineInsertSql(kLine);
// MySqlCommand insertCommand = new MySqlCommand(cmdInsertText, connection);
// insertCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
// insertCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
// insertCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
// insertCommand.Parameters.AddWithValue("@price_open", kLine.Open);
// insertCommand.Parameters.AddWithValue("@price_high", kLine.High);
// insertCommand.Parameters.AddWithValue("@price_low", kLine.Low);
// insertCommand.Parameters.AddWithValue("@price_close", kLine.Close);
// insertCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
// insertCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
// updateCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
// int insertResult = insertCommand.ExecuteNonQuery();
// }
// //后来加上的
// if (n > 0 && (n % 500 == 0 || n == SQLStringList.Count - 1))
// {
// tx.Commit();
// tx = connection.BeginTransaction();
// }
// }
// }
// }
// count++;
// Debug.WriteLine("该文件共{1}个条目,目前:{2},正在处理的文件:{0},", kLineList.Count(), count, entity.FilePath);
// OnProcessDataEvent("Inner", kLineList.Count(), count, entity.FilePath);
// }
// }
// catch (Exception ex)
// {
// throw new Exception("ImportDayKLine异常:" + ex.Message);
// }
//}
//private void ReImportMin1KLine(ImportFileEntity entity)
//{
// int count = 0;
// List<USeKLine> kLineList = ReadMin1KLineFile(entity);
// if (kLineList != null)
// {
// foreach (USeKLine kLine in kLineList)
// {
// try
// {
// using (MySqlConnection connection = new MySqlConnection(m_dbConStr))
// {
// connection.Open();
// string cmdUpdateText = CreateKLineUpdateSql(kLine);
// MySqlCommand updateCommand = new MySqlCommand(cmdUpdateText, connection);
// updateCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
// updateCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
// updateCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
// updateCommand.Parameters.AddWithValue("@price_open", kLine.Open);
// updateCommand.Parameters.AddWithValue("@price_high", kLine.High);
// updateCommand.Parameters.AddWithValue("@price_low", kLine.Low);
// updateCommand.Parameters.AddWithValue("@price_close", kLine.Close);
// updateCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
// updateCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
// updateCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
// int updateResult = updateCommand.ExecuteNonQuery();
// if (updateResult <= 0)
// {
// string cmdInsertText = CreateKLineInsertSql(kLine);
// MySqlCommand insertCommand = new MySqlCommand(cmdInsertText, connection);
// insertCommand.Parameters.AddWithValue("@contract", kLine.InstrumentCode);
// insertCommand.Parameters.AddWithValue("@exchange", kLine.Market.ToString());
// insertCommand.Parameters.AddWithValue("@date_time", kLine.DateTime);
// insertCommand.Parameters.AddWithValue("@price_open", kLine.Open);
// insertCommand.Parameters.AddWithValue("@price_high", kLine.High);
// insertCommand.Parameters.AddWithValue("@price_low", kLine.Low);
// insertCommand.Parameters.AddWithValue("@price_close", kLine.Close);
// insertCommand.Parameters.AddWithValue("@volumn", kLine.Volumn);
// insertCommand.Parameters.AddWithValue("@turnover", kLine.Turnover);
// insertCommand.Parameters.AddWithValue("@openinterest", kLine.OpenInterest);
// int insertResult = insertCommand.ExecuteNonQuery();
// }
// count++;
// Debug.WriteLine("该文件共{0}个条目,目前:{1},正在处理的文件:{2},", kLineList.Count(), count, entity.FilePath);
// OnProcessDataEvent("Inner", kLineList.Count(), count, entity.FilePath);
// }
// }
// catch (Exception ex)
// {
// throw new Exception("ImportDayKLine异常:" + ex.Message);
// }
// }
// }
//}
#endregion
/// <summary>
/// 创建Update SQL语句。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string CreateKLineUpdateSql(USeKLine kLine)
{
string tableName = GetDBTableName(kLine);
string strSql = string.Empty;
strSql = string.Format(@"update {0}.{1} set price_open = @price_open,price_high=@price_high,price_low=@price_low,price_close=@price_close,volumn=@volumn,turnover=@turnover,openinterest=@openinterest
where contract=@contract and exchange=@exchange and date_time= @date_time", m_alphaDBName, tableName);
return(strSql);
}
private void RefreashSeriesContractsSendimentaryMoney(List <USeKLine> klineList)
{
Debug.Assert(klineList != null);
foreach (USeKLine kline in klineList)
{
#region 主力合约更新
if (VerifyISIndexOrSeries(kline) == 1) //主力合约更新
{
//找到当天的主力合约表，确定当天哪一个合约为主力合约，然后把day_kline中的主力合约的数据更新到相应的9999上去
string seriesContract = GetTradingDaySeriesKline(kline.DateTime, USeTraderProtocol.GetVarieties(kline.InstrumentCode));
USeKLine seriesKline = GetSeriesTradingKline(kline.DateTime, seriesContract);
try
{
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
string cmdText = string.Format(@"update {0}.day_kline set sendimentary_money=@sendimentary_money,flow_fund=@flow_fund where contract=@contract AND date_time=@date_time;", m_alphaDBName);
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.Parameters.AddWithValue("@contract", kline.InstrumentCode);
command.Parameters.AddWithValue("@date_time", kline.DateTime);
command.Parameters.AddWithValue("@sendimentary_money", seriesKline.SendimentaryMoney);
command.Parameters.AddWithValue("@flow_fund", seriesKline.FlowFund);
int result = command.ExecuteNonQuery();
Debug.Assert(result == 1);
if (kline.SettlementPrice == 0m)
{
string text = string.Format("用当前收盘价更新主力合约资金沉淀-资金流向成功,合约:{0} 交易所:{1} 当前收盘价:{2} 结算价:{3} 沉淀资金:{4} 资金流向:{5} K线时间:{6}", kline.InstrumentCode, kline.Market.ToString(), kline.Close, kline.SettlementPrice, seriesKline.SendimentaryMoney, seriesKline.FlowFund, kline.DateTime);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
else
{
string text = string.Format("用结算价更新主力合约资金沉淀-资金流向成功,合约:{0} 交易所:{1} 当前收盘价:{2} 结算价:{3} 沉淀资金:{4} 资金流向:{5} K线时间:{6}", kline.InstrumentCode, kline.Market.ToString(), kline.Close, kline.SettlementPrice, seriesKline.SendimentaryMoney, seriesKline.FlowFund, kline.DateTime);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
}
catch (Exception ex)
{
string text = "用结算价更新主力合约资金沉淀失败:" + ex.Message;
WriteConsoleLog(text);
}
}
#endregion
}
}
/// <summary>
/// 创建Update SQL语句。
/// </summary>
/// <param name="kLine"></param>
/// <returns></returns>
private string CreateKLineUpdateSql(USeKLine kLine)
{
string tableName = "day_kline";
string strSql = string.Format(@"update {0}.{1} set price_open = @price_open,price_high=@price_high,price_low=@price_low,price_close=@price_close,volumn=@volumn,turnover=@turnover,openinterest=@openinterest,
pre_settlement_price=@pre_settlement_price,settlement_price = @settlement_price,ask_volumn = @ask_volumn,bid_volumn = @bid_volumn,update_time = now(),sendimentary_money=@sendimentary_money ,flow_fund=@flow_fund
where contract=@contract and exchange=@exchange and date_time= @date_time", m_marketDataDBName, tableName);
return(strSql);
}
private USeKLine GetDayKLine(DateTime day, USeInstrument instrument)
{
try
{
USeKLine kline = m_alphaDBVistor.GetDayKLine(instrument, day);
return(kline);
}
catch (Exception ex)
{
m_eventLogger.WriteError(string.Format("获取{0}@{1:yyyy-MM-dd}日K线数据失败,{2}", instrument, day, ex.Message));
return(null);
}
}
/// <summary>
/// 定时器合成K线
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void M_timerOutMarketData_Tick(object sender, EventArgs e)
{
if (m_marketDataQueue.Count <= 0)
{
return;
}
USeMarketData marketData;
m_marketDataQueue.TryDequeue(out marketData);
Debug.Assert(marketData != null);
//去字典中找是否有一条K线记录，如果没有创建一条新的发布存储，如果找到了，开始update
USeKLine kline = new USeKLine();
kline.InstrumentCode = marketData.Instrument.InstrumentCode;
kline.Market = USeMarket.LME;
//如果K线的时间现在在夜盘时间，而且小于第二天的凌晨时间，那么交易日应该归为前一交易日的行情
Debug.Assert(kline.DateTime != null);
if (kline.DateTime >= m_tradingDayflag)
{
kline.DateTime = new DateTime(m_tradingDayflag.Year, m_tradingDayflag.Month, m_tradingDayflag.Day, 0, 0, 0);
}
else
{
kline.DateTime = new DateTime(DateTime.Now.Year, DateTime.Now.Month, DateTime.Now.Day, 0, 0, 0);
}
kline.Open = marketData.OpenPrice;
kline.High = marketData.HighPrice;
kline.Low = marketData.LowPrice;
kline.Close = marketData.ClosePrice;
kline.Volumn = marketData.Volume;
kline.Turnover = marketData.Turnover;
kline.OpenInterest = marketData.OpenInterest;
kline.PreSettlementPrice = marketData.PreSettlementPrice;
kline.SettlementPrice = marketData.SettlementPrice;
kline.AskVolumn = 0;
kline.BidVolumn = 0;
kline.SendimentaryMoney = 0m;
kline.FlowFund = 0m;
//发布
List <USeKLine> klineList = new List <USeKLine>();
klineList.Add(kline);
InternalSaveKLineData(klineList);
}
private FileStorer GetFileStorer(USeKLine kLine)
{
string key = string.Format("{0}_{1}", kLine.Cycle.ToString(), kLine.InstrumentCode);
FileStorer storer = null;
if (m_fileStorerDic.TryGetValue(key, out storer) == false)
{
string fileName = Path.Combine(m_kLineFolderPath, GetTradeDayPath(), key + ".csv");
storer = new FileStorer(fileName);
m_fileStorerDic.Add(key, storer);
}
return(storer);
}
/// <summary>
/// 获取上一个有效交易日的指数资金沉淀
/// </summary>
/// <param name="lastTradingDay"></param>
/// <returns></returns>
private USeKLine CalKlineFlowMoney(USeKLine kline)
{
//根据目前交易日到交易日历中找到上一个交易日，再到day_kline中找到上一个交易日该指数合约的sendmentaryMoney
DateTime preTradingDay = USeManager.Instance.TradeCalendarManager.GetPreTradingDate(kline.DateTime);
foreach (USeKLine k in m_preKlineList)
{
if (k.DateTime == preTradingDay && k.InstrumentCode == kline.InstrumentCode)
{
kline.FlowFund = kline.SendimentaryMoney - k.SendimentaryMoney;
}
}
return(kline);
}
