private double?GetVolumeRatioBySymbol(
string symbol,
DateRange dateRange,
TradingTimeRange timeRange,
ITimeRange timeRangeVolumeRatio)
{
using (var conn = connectionProvider.GetConnection())
{
if (dateRange == DateRange.All)
{
return(null);
}
else if (dateRange == DateRange.Today ||
dateRange == DateRange.Range && timeRange.TimeRange.Start.Date == DateTime.UtcNow.Date)
{
var volumeRatio = conn.Query <double?>(@"
SELECT vr.VolumeRatio FROM VolumeRatio vr WITH(NOLOCK) WHERE vr.Symbol = @symbol
", new { symbol }).FirstOrDefault();
return(volumeRatio);
}
else
{
var mainPeriodVolumeRatio = conn.Query <double?>(@"
SELECT AVG(p.AllVolume) FROM Price p WITH(NOLOCK)
WHERE
CAST(p.[Date] AS DATE) >= @dateFrom
AND CAST(p.[Date] AS DATE) <= @dateTo
AND p.Symbol = @symbol
", new
{
symbol,
dateFrom = timeRange.TimeRange.Start,
dateTo = timeRange.TimeRange.End
}).FirstOrDefault();
if (mainPeriodVolumeRatio == null)
{
return(null);
}
var periodsToCompare = conn.Query <double>(@"
SELECT AVG(p.AllVolume) FROM Price p WITH(NOLOCK)
WHERE
CAST(p.[Date] AS DATE) >= @dateFrom
AND CAST(p.[Date] AS DATE) <= @dateTo
AND p.Symbol = @symbol
", new
{
symbol,
dateFrom = timeRangeVolumeRatio.Start,
dateTo = timeRangeVolumeRatio.End,
}).FirstOrDefault();
return(mainPeriodVolumeRatio / periodsToCompare);
}
}
}
public async Task <SummaryDataSection> BuildCompanySection(
string symbol,
DateRange dateRange,
TradingTimeRange timeRange)
{
var timeRangeVolumeRatio = MarketCalendar.CalculateVolumeRatioDateRange(dateRange, timeRange.TimeRange.Start, timeRange.TimeRange.End);
using (var conn = connectionProvider.GetConnection())
{
var dateFromParam = timeRange.TimeRange.Start;
var dateToParam = timeRange.TimeRange.End;
var companySummaryDataTask = await conn.QueryAsync <SummaryDataSection>(
"dbo.usp_CompanyGeneralData",
commandType : CommandType.StoredProcedure,
param : new
{
symbol,
dateFrom = dateFromParam,
dateTo = dateToParam,
datePreviousTradingDay = timeRange.AlignedTimeRange.Start
});
var companySummaryData = companySummaryDataTask.FirstOrDefault();
if (companySummaryData == null)
{
return(null);
}
companySummaryData.VolumeRatio = GetVolumeRatioBySymbol(symbol, dateRange, timeRange,
timeRangeVolumeRatio);
companySummaryData.SectionType = "company";
return(companySummaryData);
}
}
private DateTime GetBarBeginTime(DateTime datetime, TradingTimeRange timeRanges)
{
if (timeRanges.InFristMd(datetime.TimeOfDay))
{
if (datetime.TimeOfDay > timeRanges.CloseTime)
{
datetime = datetime.Date.Add(timeRanges.NightOpenTime);
}
else
{
datetime = datetime.Date.Add(timeRanges.OpenTime);
}
}
if (newBarSize > QuantBoxConst.DayBarSize)
{
var tradingDay = datetime.Date;
if (datetime.TimeOfDay > timeRanges.CloseTime)
{
tradingDay = TradingCalendar.Instance.GetNextTradingDay(tradingDay);
}
if (newBarSize == QuantBoxConst.DayBarSize)
{
return(tradingDay);
}
if (newBarSize == QuantBoxConst.WeekBarSize)
{
int num = (int)((tradingDay.DayOfWeek == DayOfWeek.Sunday) ? DayOfWeek.Saturday : (tradingDay.DayOfWeek - 1));
return(tradingDay.AddDays(-num));
}
if (newBarSize == QuantBoxConst.MonthBarSize)
{
return(tradingDay.AddDays(-tradingDay.Day + 1));
}
}
long seconds = (long)datetime.TimeOfDay.TotalSeconds / newBarSize * newBarSize;
return(datetime.Date.AddSeconds(seconds));
}
private DateTime GetBarEndTime(DateTime begintime, TradingTimeRange timeRanges)
{
if (newBarSize > QuantBoxConst.DayBarSize)
{
if (newBarSize == QuantBoxConst.DayBarSize)
{
return(begintime.Add(timeRanges.CloseTime));
}
if (newBarSize == QuantBoxConst.WeekBarSize)
{
var date = begintime.Date.AddDays(5);
if (!TradingCalendar.Instance.IsTradingDay(date))
{
date = TradingCalendar.Instance.GetPrevTradingDay(date);
}
return(date.Add(timeRanges.CloseTime));
}
if (newBarSize == QuantBoxConst.MonthBarSize)
{
var date = begintime.Date.AddMonths(1).AddDays(-1);
if (!TradingCalendar.Instance.IsTradingDay(date))
{
date = TradingCalendar.Instance.GetPrevTradingDay(date);
}
return(date.Add(timeRanges.CloseTime));
}
}
var datetime = begintime.AddSeconds(newBarSize);
if (datetime.TimeOfDay > timeRanges.CloseTime && (timeRanges.NightOpenTime == TimeSpan.Zero || datetime.TimeOfDay < timeRanges.NightOpenTime))
{
datetime = datetime.Date.Add(timeRanges.CloseTime);
}
return(datetime);
}
public DataEntry(DateTime datetime, TradingTimeRange timeRanges, PriceSizeItem[] items)
{
DateTime = datetime;
TimeRanges = timeRanges;
Items = items;
}
public async Task <SummaryDataSection> BuildIndustrySection(
int sicCode,
DateRange dateRange,
TradingTimeRange timeRange)
{
var timeRangeVolumeRatio = MarketCalendar.CalculateVolumeRatioDateRange(dateRange, timeRange.TimeRange.Start, timeRange.TimeRange.End);
using (var conn = connectionProvider.GetConnection())
{
var dateFromParam = timeRange.TimeRange.Start;
var dateToParam = timeRange.AlignedTimeRange.End;
var industrySummaryDataTask = await conn.QueryAsync <SummaryDataSection>(
"dbo.usp_IndustryGeneralData",
commandType : CommandType.StoredProcedure,
param : new
{
sicCode,
dateFrom = dateFromParam,
dateTo = dateToParam,
datePreviousTradingDay = timeRange.AlignedTimeRange.Start
});
var industrySummaryData = industrySummaryDataTask.FirstOrDefault();
if (industrySummaryData == null)
{
return(null);
}
if (dateRange == DateRange.All)
{
industrySummaryData.VolumeRatio = null;
}
else if (dateRange == DateRange.Today ||
dateRange == DateRange.Range && timeRange.TimeRange.Start.Date == DateTime.UtcNow.Date)
{
var volumeRatio = conn.Query <double?>(@"
SELECT AVG(vr.VolumeRatio) FROM VolumeRatio vr WITH(NOLOCK)
INNER JOIN Fundamental4 f WITH(NOLOCK) ON vr.Symbol = f.Symbol
WHERE f.SICCode = @sicCode
", new { sicCode }).FirstOrDefault();
industrySummaryData.VolumeRatio = volumeRatio;
}
else
{
var mainPeriodVolumeRatio = conn.Query <double>(@"
SELECT AVG(CAST(ip.Volume AS FLOAT)) FROM IndustryPrice ip WITH(NOLOCK)
WHERE
ip.SICCode = @sicCode
AND ip.JDate >= CONVERT(CHAR(8), @dateFrom, 112)
AND ip.JDate <= CONVERT(CHAR(8), @dateTo, 112)
", new
{
sicCode,
dateFrom = timeRange.TimeRange.Start,
dateTo = timeRange.TimeRange.End
}).FirstOrDefault();
var periodsToCompare = conn.Query <double>(@"
SELECT AVG(CAST(ip.Volume AS FLOAT)) FROM IndustryPrice ip WITH(NOLOCK)
WHERE
ip.SICCode = @sicCode
AND ip.JDate >= CONVERT(CHAR(8), @dateFrom, 112)
AND ip.JDate <= CONVERT(CHAR(8), @dateTo, 112)
", new
{
sicCode,
dateFrom = timeRangeVolumeRatio.Start,
dateTo = timeRangeVolumeRatio.End,
}).FirstOrDefault();
industrySummaryData.VolumeRatio = mainPeriodVolumeRatio / periodsToCompare;
}
industrySummaryData.SectionType = "industry";
return(industrySummaryData);
}
}
