/// <summary>
/// 获取交易日(临时做法周五不适用)。
/// </summary>
/// <returns></returns>
private string GetTradeDayPath()
{
TradeCalendar tradeCalendar = m_tradeCalendar.GetTradeCalendar(DateTime.Today);
if (tradeCalendar == null)
{
string text = string.Format("未能找到{0:yyyy-MM-dd}交易日历", DateTime.Today);
m_eventLogger.WriteError(text);
USeNotifyEventArgs arg = new USeNotifyEventArgs(USeNotifyLevel.Error, text);
SafeRaiseNotifyEvent(this, arg);
return(DateTime.Today.ToString("yyyyMMdd"));
}
else
{
if (tradeCalendar.IsTradeDay)
{
if (DateTime.Now.TimeOfDay > new TimeSpan(20, 0, 0))
{
return(tradeCalendar.NextTradeDay.ToString("yyyyMMdd"));
}
else
{
return(DateTime.Today.ToString("yyyyMMdd"));
}
}
else
{
return(tradeCalendar.NextTradeDay.ToString("yyyyMMdd"));
}
}
}
/// <summary>
/// 加载交易日历。
/// </summary>
private void LoadTradeCalendar()
{
try
{
string strSel = string.Format(@"select * from {0}.trade_calendar where today >= '{1}'
order by today limit 0,15 ;", m_alphaDBName, DateTime.Today.ToString("yyyy-MM-dd"));
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
List <TradeCalendar> calendarList = new List <TradeCalendar>();
foreach (DataRow row in table.Rows)
{
TradeCalendar calendar = new TradeCalendar()
{
Today = Convert.ToDateTime(row["today"]),
IsTradeDay = Convert.ToInt32(row["is_trading_day"]) == 1,
PreTradeDay = Convert.ToDateTime(row["pre_trade_day"]),
NextTradeDay = Convert.ToDateTime(row["next_trade_day"])
};
calendarList.Add(calendar);
}
m_tradeCalendarList = calendarList;
}
catch (Exception ex)
{
throw new Exception("加载交易日历失败," + ex.Message);
}
}
/// <summary>
/// 加载交易日历。
/// </summary>
/// <returns></returns>
private TradeCalendar GetTradeCalendar()
{
string strSel = string.Format(@"select * from {0}.trade_calendar
where today = '{1:yyyy-MM-dd}';", m_alphaDBName, DateTime.Today);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
MySqlDataAdapter adapter = new MySqlDataAdapter(strSel, connection);
adapter.Fill(table);
adapter.Dispose();
}
if (table != null && table.Rows.Count > 0)
{
Debug.Assert(table.Rows.Count == 1);
DataRow row = table.Rows[0];
TradeCalendar calendar = new TradeCalendar()
{
Today = Convert.ToDateTime(row["today"]),
IsTradeDay = Convert.ToBoolean(row["is_trading_day"]),
PreTradeDay = Convert.ToDateTime(row["pre_trade_day"]),
NextTradeDay = Convert.ToDateTime(row["next_trade_day"])
};
return(calendar);
}
else
{
throw new Exception(string.Format("未找到[{0}]交易日历", DateTime.Today.ToDate()));
}
}
/// <summary>
/// 初始化。
/// </summary>
public void Initialize(DateTime?beginDate = null, DateTime?endDate = null)
{
m_tradingDateDic.Clear();
StringBuilder sbCmdText = new StringBuilder();
sbCmdText.Append(string.Format("select * from {0}.trade_calendar", m_alphaDBName));
if (beginDate.HasValue || endDate.HasValue)
{
sbCmdText.Append(" where");
bool flag = false;
if (beginDate.HasValue)
{
if (flag)
{
sbCmdText.Append(" and");
}
sbCmdText.Append(string.Format(" (today >= '{0:yyyy-MM-dd}')", beginDate.Value));
flag = true;
}
if (endDate.HasValue)
{
if (flag)
{
sbCmdText.Append(" and");
}
sbCmdText.Append(string.Format(" (today <= '{0:yyyy-MM-dd}')", endDate.Value));
flag = true;
}
}
sbCmdText.Append(" order by today;");
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, sbCmdText.ToString());
if (table != null && table.Rows.Count > 0)
{
foreach (DataRow row in table.Rows)
{
TradeCalendar calendar = new TradeCalendar()
{
IsTradeDay = Convert.ToBoolean(row["is_trading_day"]),
NextTradeDay = Convert.ToDateTime(row["next_trade_day"]),
PreTradeDay = Convert.ToDateTime(row["pre_trade_day"]),
Today = Convert.ToDateTime(row["today"])
};
m_tradingDateDic.Add(calendar.Today, calendar);
}
}
}
/// <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>
/// 计算指定日主力合约。
/// </summary>
/// <param name="settlementDate"></param>
/// <returns></returns>
private bool CalculateMainContract(DateTime settlementDate, List <ErrorVarieties> errorList)
{
string text = string.Empty;
TradeCalendar tradeCalendar = m_tradingDateManager.GetTradeCalendar(settlementDate);
if (tradeCalendar.IsTradeDay == false)
{
text = string.Format("{0:yyyy-MM-dd}为非交易日,无需计算", settlementDate);
USeConsole.WriteLine(text);
return(true);
}
//[yangming]历史数据未维护暂不校验
//if (CheckBaseDataIsReady(settlementDate) == false)
//{
// text = string.Format("{0:yyyy-MM-dd}结算数据未就绪，无法计算", settlementDate);
// m_logger.WriteWarning(text);
// USeConsole.WriteLine(text);
// errorList.Add(new ErrorVarieties() {
// Varieties = "All",
// SettlementDate = settlementDate,
// ErrorMessage = text
// });
// return false;
//}
Debug.Assert(m_varietiesList != null && m_varietiesList.Count > 0);
foreach (USeProduct varieties in m_varietiesList)
{
//if (varieties.ProductCode != "CF") continue;
try
{
string mainContract = GetMaxVolumeInstrument(varieties, settlementDate);
//mainContract = "CF709";
List <string> hisMainContractList = GetHistoryMainContract(varieties, settlementDate);
if (hisMainContractList != null && hisMainContractList.Count > 0)
{
string lastMainContract = hisMainContractList[0];
if (mainContract != lastMainContract)
{
//主力合约不同于昨日,且曾经为主力合约，则主力合约不切换
if (hisMainContractList.Contains(mainContract))
{
mainContract = lastMainContract;
}
}
}
SaveMainContract(varieties, tradeCalendar.NextTradeDay, mainContract);
text = string.Format("{0}@{1:yyyy-MM-dd}主力合约计算完成,主力合约:{2}", varieties.ProductCode, settlementDate, mainContract);
m_logger.WriteInformation(text);
USeConsole.WriteLine(text);
}
catch (Exception ex)
{
text = string.Format("{0}@{1:yyyy-MM-dd}主力合约计算失败,{2}", varieties.ProductCode, settlementDate, ex.Message);
m_logger.WriteInformation(text);
USeConsole.WriteLine(text);
errorList.Add(new ErrorVarieties()
{
Varieties = varieties.ProductCode,
SettlementDate = settlementDate,
ErrorMessage = ex.Message
});
}
}
return(true);
}
/// <summary>
/// 运行。
/// </summary>
public int Start()
{
try
{
m_serverLogger = AppLogger.InitInstance();
}
catch (Exception ex)
{
throw new ApplicationException("Initialize applogger failed," + ex.Message);
}
m_serverLogger.LineFeed();
string message = string.Empty;
TradingDaySection config = ConfigurationManager.GetSection("TradingDayManager") as TradingDaySection;
if (config == null)
{
message = "Not found [TradingDayManager] config.";
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-1);
}
try
{
m_dbConn = ConfigurationManager.ConnectionStrings["KLineDB"].ConnectionString;
if (string.IsNullOrEmpty(m_dbConn))
{
throw new ApplicationException("KLineDB connection string is null");
}
}
catch (Exception ex)
{
message = "Read db connection string failed," + ex.Message;
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-1);
}
message = "Begin process trading day.";
WriteConsoleLog(message);
m_serverLogger.WriteInformation(message);
DateTime startDate;
DateTime endDate;
startDate = config.BeginDay;
endDate = config.EndDay;
List <string> commands = new List <string>();
DateTime currDate = startDate;
List <TradeCalendar> calendarList = new List <TradeCalendar>();
while (currDate <= endDate)
{
bool isTradingDay = false;
switch (currDate.DayOfWeek)
{
case DayOfWeek.Monday:
case DayOfWeek.Tuesday:
case DayOfWeek.Wednesday:
case DayOfWeek.Thursday:
case DayOfWeek.Friday:
isTradingDay = !IsHoliday(config, currDate);
break;
default:
isTradingDay = false;
break;
}
TradeCalendar calendar = new TradeCalendar()
{
Today = currDate,
IsTradeDay = isTradingDay,
PreTradeDay = DateTime.MinValue,
NextTradeDay = DateTime.MinValue
};
calendarList.Add(calendar);
currDate = currDate.AddDays(1);
}
for (int i = 0; i < calendarList.Count; i++)
{
TradeCalendar calendar = calendarList[i];
//补前一交易日
for (int j = i - 1; j >= 0; j--)
{
if (calendarList[j].IsTradeDay)
{
calendar.PreTradeDay = calendarList[j].Today;
break;
}
}
if (calendar.PreTradeDay == DateTime.MinValue)
{
calendar.PreTradeDay = config.BeginDayPreTradeDay;
}
//补下一交易日
for (int j = i + 1; j < calendarList.Count; j++)
{
if (calendarList[j].IsTradeDay)
{
calendar.NextTradeDay = calendarList[j].Today;
break;
}
}
if (calendar.NextTradeDay == DateTime.MinValue)
{
calendar.NextTradeDay = config.EndDayNextTradeDay;
}
}
try
{
SaveToMySqlDB(calendarList, config.BeginDay, config.EndDay);
}
catch (Exception ex)
{
message = string.Format("Save data to db failed,Error:{0}.", ex.Message);
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-2);
}
message = "End process trading day.";
WriteConsoleLog(message);
m_serverLogger.WriteInformation(message);
return(0);
}
