/// <summary>
/// 获取指定品种指定日期前历史主力合约。
/// </summary>
/// <param name="varieties"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private List <string> GetHistoryMainContract(USeProduct varieties, DateTime settlementDate)
{
string cmdText = string.Format(@"select m.main_contract from {0}.main_contract m
left join {0}.contracts c on m.main_contract = c.contract
where m.varieties = '{1}' and m.exchange = '{2}' and m.settlement_date < '{3:yyyy-MM-dd}' and c.is_trading = 1
order by settlement_date desc;",
m_alpahDBName, varieties.ProductCode, varieties.Market.ToString(), settlementDate);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
List <string> histroyMainContractList = new List <string>();
if (table != null && table.Rows.Count > 0)
{
foreach (DataRow row in table.Rows)
{
histroyMainContractList.Add(row["main_contract"].ToString());
}
}
return(histroyMainContractList);
}
/// <summary>
/// 保存连续合约。
/// </summary>
/// <param name="varieties">品种。</param>
/// <param name="settlementDate">结算日。</param>
/// <param name="serialContractList">连续合约。</param>
private void SaveSerialContract(USeProduct varieties, DateTime settlementDate, List <string> serialContractList)
{
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
string cmdText = GetSerialContractUpdateSql();
MySqlCommand command = new MySqlCommand(cmdText, connection);
command.Parameters.AddWithValue("@varieties", varieties.ProductCode);
command.Parameters.AddWithValue("@exchange", varieties.Market.ToString());
command.Parameters.AddWithValue("@settlement_date", settlementDate.Date);
for (int i = 1; i <= 12; i++)
{
string key = string.Format("@serial_contract{0}", i);
string value = i <= serialContractList.Count ? serialContractList[i - 1] : "";
command.Parameters.AddWithValue(key, value);
}
int result = command.ExecuteNonQuery();
if (result < 1)
{
command.CommandText = GetSerialContractInsertSql();
result = command.ExecuteNonQuery();
Debug.Assert(result == 1);
}
}
}
/// <summary>
/// 修改-下单参数
/// </summary>
/// <param name="argument"></param>
public ArbitrageOrderCreateForm(ArbitrageArgument argument, USeProduct product)
{
InitializeComponent();
m_product = product;
m_arbitrageArgument = argument;
}
private void SetMarketPanelButton(Panel panel, USeProduct product)
{
foreach (Control subControl in panel.Controls)
{
if ((subControl is Button) == false)
{
continue;
}
Button btn = subControl as Button;
Debug.Assert(btn != null);
if (btn.Tag == null)
{
continue;
}
Debug.Assert(btn.Tag != null && (btn.Tag is USeProduct));
if ((btn.Tag as USeProduct).ProductCode == product.ProductCode)
{
btn.BackColor = System.Drawing.Color.LawnGreen;
btn.Font = new System.Drawing.Font("Microsoft Sans Serif", 15F, System.Drawing.FontStyle.Bold, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
btn.ForeColor = System.Drawing.Color.Purple;
btn.UseVisualStyleBackColor = false;
}
else
{
btn.BackColor = SystemColors.Control;
btn.Font = new System.Drawing.Font("Microsoft Sans Serif", 12F, System.Drawing.FontStyle.Regular, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
btn.ForeColor = System.Drawing.SystemColors.ControlText;
btn.UseVisualStyleBackColor = false;
}
}
}
/// <summary>
/// 获取指定品种指定日期成交量最大的合约。
/// </summary>
/// <param name="varities"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private string GetMaxVolumeInstrument2(USeProduct varities, DateTime settlementDate)
{
string cmdText = string.Format(@"select dk.contract,dk.date_time,dk.openinterest from {0}.day_kline dk
left join {0}.contracts c on dk.contract = c.contract
where dk.date_time = '{1:yyyy-MM-dd}' and c.varieties = '{2}' and c.exchange = '{3}'
order by dk.openinterest desc,dk.contract asc
limit 1;",
m_alpahDBName, settlementDate, varities.ProductCode, varities.Market.ToString());
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
if (table != null && table.Rows.Count > 0)
{
Debug.Assert(table.Rows.Count == 1);
return(table.Rows[0]["contract"].ToString());
}
else
{
return(string.Empty);
}
}
/// <summary>
/// 寻找并选中
/// </summary>
/// <param name="product"></param>
private void FindButtonProduct(USeProduct product)
{
GetMarketPanelButton(this.panelSFE, product);
GetMarketPanelButton(this.panelDCE, product);
GetMarketPanelButton(this.panelCFFE, product);
GetMarketPanelButton(this.panelCZCE, product);
}
/// <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);
}
public void ProductListButtonDoubleClickHandler(object sender, EventArgs e)
{
m_product = this.selectProductControl1.SelectedProduct;
this.DialogResult = DialogResult.Yes;
this.Close();
}
/// <summary>
/// 初始化方法。
/// </summary>
public void Initialize()
{
string strSel = string.Format(@"select * from {0}.varieties
where exchange in ({1});",
m_alphaDBName, USeTraderProtocol.GetInternalFutureMarketSqlString());
DataTable table = MySQLDriver.GetTableFromDB(m_dbConnStr, strSel);
List <USeProduct> productList = new List <USeProduct>();
foreach (DataRow row in table.Rows)
{
string exchange = row["exchange"].ToString();
USeProduct product = new USeProduct()
{
ProductCode = row["code"].ToString(),
Market = (USeMarket)Enum.Parse(typeof(USeMarket), exchange),
ShortName = row["short_name"].ToString(),
LongName = row["long_name"].ToString(),
VolumeMultiple = Convert.ToDecimal(row["volume_multiple"]),
PriceTick = Convert.ToDecimal(row["price_tick"])
};
productList.Add(product);
}
m_varietiesDic.Clear();
foreach (USeProduct product in productList)
{
m_varietiesDic.Add(product.ProductCode, product);
}
}
private void btnOK_Click(object sender, EventArgs e)
{
m_product = this.selectProductControl1.SelectedProduct;
this.DialogResult = DialogResult.Yes;
this.Close();
}
/// <summary>
/// 获取所有品种信息。
/// </summary>
/// <returns></returns>
private List <USeProduct> GetAllVarieties()
{
string cmdText = string.Format(@"select* from {0}.varieties where exchange in ({1});",
m_alpahDBName, GetInternalExchanges());
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
List <USeProduct> varieties = new List <USeProduct>();
if (table != null)
{
foreach (DataRow row in table.Rows)
{
USeProduct product = new USeProduct()
{
ProductCode = row["code"].ToString(),
Market = (USeMarket)Enum.Parse(typeof(USeMarket), row["exchange"].ToString())
};
varieties.Add(product);
}
}
return(varieties);
}
private void InitializeUserControl()
{
this.orderBookListControl1.Initialize();
this.tradeBookListControl1.Initialize();
this.positionListControl1.Initialize();
this.arbitrageOrderListControl1.Initialize();
this.arbitrageLogViewControl1.Initialize();
this.arbitrageRunStateControl1.Initialize();
this.bottomStateControl1.Initialize();
this.investorFundControl1.Initialize();
this.alarmNoticeViewControl1.Initialize();
this.bottomStateControl1.OnSelectedProduct += BottomStateControl1_OnSelectedProduct;
//this.arbitrageQuoteListControl1.OnSelectCombineInstrumentChanged += QuoteListControl1_OnSelectInstrumentChanged;
UserDefineSetting userSetting = USeManager.Instance.SystemConfigManager.GetUserDefineSetting();
Debug.Assert(userSetting != null);
this.arbitrageQuoteListControl1.Initialize();
this.arbitrageQuoteListControl1.OnSelectCombineInstrumentChanged += ArbitrageQuoteListControl1_OnSelectCombineInstrumentChanged;
USeProduct defaultProduct = new USeProduct()
{
ProductCode = userSetting.LastSelectProduct,
ShortName = userSetting.LastSelectProductName
};
this.bottomStateControl1.SetDefaultProduct(defaultProduct);
SetDefaultProduct(defaultProduct);
}
/// <summary>
/// 更换品种。
/// </summary>
/// <param name="product"></param>
private void ChangegProduct(USeProduct product)
{
if (string.IsNullOrEmpty(product.ProductCode))
{
return;
}
try
{
m_instrumentDetailList.Clear();
m_instrumentList.Clear();
List <USeInstrumentDetail> instrumentDetailList = USeManager.Instance.OrderDriver.QueryInstrumentDetail(product.ProductCode);
if (instrumentDetailList == null)
{
return;
}
foreach (USeInstrumentDetail instrumentDetail in instrumentDetailList)
{
m_instrumentDetailList.Add(instrumentDetail);
USeInstrument instrument = instrumentDetail.Instrument;
m_instrumentList.Add(instrument);
}
m_product = product;
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
private void SetSelectVarieties(USeProduct product)
{
SetMarketPanelButton(this.panelSFE, product);
SetMarketPanelButton(this.panelDCE, product);
SetMarketPanelButton(this.panelCFFE, product);
SetMarketPanelButton(this.panelCZCE, product);
}
/// <summary>
/// 新增-行情组合合约
/// </summary>
/// <param name="combineInstrument"></param>
public ArbitrageOrderCreateForm(ArbitrageCombineInstrument combineInstrument, USeProduct product)
{
InitializeComponent();
m_combineInstrument = combineInstrument;
m_product = product;
}
/// <summary>
/// 获取指定品种指定日期合约列表(按日期排序)
/// </summary>
/// <param name="varieties"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private List <string> GetTodaySerialInstrument(USeProduct varieties, DateTime settlementDate)
{
string cmdText = string.Format(@"select contract from {0}.contracts
where varieties = '{1}' and exchange='{2}' and open_date <= '{3:yyyy-MM-dd}' and expire_date >= '{3:yyyy-MM-dd}'
order by contract;",
m_alpahDBName, varieties.ProductCode, varieties.Market.ToString(), settlementDate);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
List <string> serialList = new List <string>();
if (table != null && table.Rows.Count > 0)
{
foreach (DataRow row in table.Rows)
{
serialList.Add(row["contract"].ToString());
}
}
return(serialList);
}
/// <summary>
/// 获取指定品种指定日期成交量最大的合约。[hanyu]2017//11/03修正为持仓量最大
/// </summary>
/// <param name="varieties"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private string GetMaxVolumeInstrument(USeProduct varieties, DateTime settlementDate)
{
string cmdText = string.Format(@"select dk.contract,dk.date_time,dk.openinterest from {0}.day_kline dk
where dk.date_time = '{1:yyyy-MM-dd}' and dk.contract like '{2}%' and dk.exchange = '{3}'
order by dk.openinterest desc,dk.contract asc;",
m_alpahDBName, settlementDate, varieties.ProductCode, varieties.Market.ToString());
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
if (table != null && table.Rows.Count > 0)
{
USeInstrument mainContractCode = USeTraderProtocol.GetMainContractCode(varieties.ProductCode, varieties.Market);
USeInstrument indexCode = USeTraderProtocol.GetVarietiesIndexCode(varieties.ProductCode, varieties.Market);
int maxOpeninterest = 0;
string mainContract = string.Empty;
foreach (DataRow row in table.Rows)
{
string contract = row["contract"].ToString();
string constractVarieties = USeTraderProtocol.GetVarieties(contract);
if (constractVarieties == varieties.ProductCode)
{
if (contract == mainContractCode.InstrumentCode || contract == indexCode.InstrumentCode)
{
//过滤掉指数编码和主力合约编码
string text = string.Format("{0}@{1:yyyy-MM-dd}计算主力合约被过滤的指数编码和主力合约,{2}", varieties.ProductCode, settlementDate, contract);
Debug.WriteLine(text);
m_logger.WriteInformation(text);
continue;
}
else
{
if (Convert.ToInt32(row["openinterest"]) > maxOpeninterest)
{
maxOpeninterest = Convert.ToInt32(row["openinterest"]);
mainContract = row["contract"].ToString();
}
}
}
}
return(mainContract);
}
else
{
return(string.Empty);
}
}
private void ArbitrageQuoteListControl1_OnSelectCombineInstrumentChanged(ArbitrageCombineInstrument combineInstrument)
{
USeProduct product = USeManager.Instance.OrderDriver.QueryProduct(combineInstrument.ProductID);
Debug.Assert(product != null);
ArbitrageOrderCreateForm form = new ArbitrageOrderCreateForm(combineInstrument, product);
form.Show(this);
}
private void ProductButton_DoubleClick(object sender, EventArgs e)
{
USeProduct product = (sender as Button).Tag as USeProduct;
m_selectedProduct = product;
SetSelectVarieties(product);
if (DoubleClickEvent != null)
{
DoubleClickEvent(sender, e);
}
}
/// <summary>
/// 获取产品信息。
/// </summary>
/// <param name="productId">品种代码。</param>
/// <returns></returns>
public USeProduct GetPruduct(string productId)
{
USeProduct product = null;
if (m_varietiesDic.TryGetValue(productId, out product) == false)
{
Debug.Assert(false);
}
return(product);
}
/// <summary>
/// 产品Combox更改
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void ComBoxProduct_SelectedIndexChanged(object sender, EventArgs e)
{
USeProduct product = ((ProductViewAlisa)this.comboBox_Product.SelectedItem).Product;
//更改产品
ChangegProduct(product);
//填充两个腿列表
FillInstrumentListBox();
//填充套利组合约列表
FillCombineInstrumentListBox();
}
private void SetArbitrageArgument()
{
ArbitrageArgument argument = m_autoTrader.GetArgument();
Debug.Assert(argument != null);
USeProduct product = USeManager.Instance.OrderDriver.QueryProduct(argument.ProductID);
Debug.Assert(product != null);
ArbitrageOrderCreateForm form = new ArbitrageOrderCreateForm(argument, product);
form.ShowDialog();
}
public void SetDefultProduct()
{
ProductViewAlisa defultProduct = new ProductViewAlisa();
defultProduct.Product = m_product;
//[hanyu]默认选中defult选项
foreach (object o in this.comboBox_Product.Items)
{
USeProduct product = o as USeProduct;
if (product == m_product)
{
this.comboBox_Product.SelectedItem = defultProduct.Product;
}
}
}
/// <summary>
/// 触发产品变更事件。
/// </summary>
/// <param name="product">产品。</param>
private void SafeFireSelectedProductChanged(USeProduct product)
{
SelectedProductChangeEventHandle handle = this.OnSelectedProduct;
if (handle != null)
{
try
{
handle(product);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
}
public static LogFileInfo ParseLogFile(FileInfo fileInfo, USeProductManager productManager)
{
string[] items = fileInfo.Name.Split(new char[] { '-', '.' });
if (items.Length != 3 && items[2].ToLower() != "csv")
{
throw new Exception("Undistinguish fileName:" + fileInfo.Name);
}
USeCycleType cycle = USeCycleType.Unknown;
string cycleValue = items[0].ToLower();
string instrumentCode = items[1];
if (cycleValue == "1min")
{
cycle = USeCycleType.Min1;
}
else if (cycleValue == "5min")
{
cycle = USeCycleType.Min5;
}
else if (cycleValue == "1day")
{
cycle = USeCycleType.Day;
}
else
{
throw new Exception("Undistinguish cycel:" + cycleValue);
}
string productCode = USeTraderProtocol.GetVarieties(instrumentCode);
USeProduct product = productManager.GetPruduct(productCode);
if (product == null)
{
throw new Exception("Undistinguish cycel:" + cycleValue);
}
LogFileInfo logInfo = new LogFileInfo();
logInfo.InstrumentCode = GetOfficeInstrumentCode(instrumentCode, product.Market);
logInfo.Market = product.Market;
logInfo.Cycle = cycle;
logInfo.FileInfo = fileInfo;
return(logInfo);
}
private void ProductButton_Click(object sender, EventArgs e)
{
TimeSpan span = DateTime.Now - m_clickTime;
if (span.TotalMilliseconds < SystemInformation.DoubleClickTime)
{
ProductButton_DoubleClick(sender, e);
return;
}
m_clickTime = DateTime.Now;
USeProduct product = (sender as Button).Tag as USeProduct;
m_selectedProduct = product;
SetSelectVarieties(product);
}
private void BottomStateControl1_OnSelectedProduct(USeProduct product)
{
SetDefaultProduct(product);
m_product = product;
UserDefineSetting userSetting = USeManager.Instance.SystemConfigManager.GetUserDefineSetting();
userSetting.LastSelectProduct = product.ProductCode;
userSetting.LastSelectProductName = product.ShortName;
try
{
USeManager.Instance.SystemConfigManager.SaveUserDefineSetting(userSetting);
}
catch (Exception ex)
{
Debug.Assert(false, ex.Message);
}
}
/// <summary>
/// 获取指定品种指定日期合约列表(按日期排序)
/// </summary>
/// <param name="varieties"></param>
/// <param name="settlementDate"></param>
/// <returns></returns>
private List <string> GetHistorySerialInstrument(USeProduct varieties, DateTime settlementDate)
{
string cmdText = string.Format(@"select * from {0}.day_kline
where date_time = '{1:yyyy-MM-dd}' and exchange= '{2}' and contract like '{3}%' order by contract;",
m_alpahDBName, settlementDate, varieties.Market.ToString(), varieties.ProductCode);
DataTable table = new DataTable();
using (MySqlConnection connection = new MySqlConnection(m_dbConnStr))
{
connection.Open();
MySqlDataAdapter adapter = new MySqlDataAdapter(cmdText, connection);
adapter.Fill(table);
adapter.Dispose();
}
List <string> serialList = new List <string>();
if (table != null && table.Rows.Count > 0)
{
string mainContractCode = USeTraderProtocol.GetMainContractCode(varieties.ProductCode, varieties.Market).InstrumentCode;
string indexCode = USeTraderProtocol.GetVarietiesIndexCode(varieties.ProductCode, varieties.Market).InstrumentCode;
foreach (DataRow row in table.Rows)
{
string contract = row["contract"].ToString();
string constractVarieties = USeTraderProtocol.GetVarieties(contract);
if (constractVarieties == varieties.ProductCode) // 同品种
{
if (contract == mainContractCode || contract == indexCode)
{
//过滤掉指数编码和主力合约编码
continue;
}
else
{
serialList.Add(contract);
}
}
}
}
return(serialList);
}
private void InitializeVarietiesPanel(Panel panel, List <USeProduct> products, USeMarket market)
{
panel.Controls.Clear();
List <USeProduct> productList = (from i in products
where i.Market == market
select i).ToList();
if (productList == null || productList.Count <= 0)
{
return;
}
int x = 19;
int y = 8;
int xOffset = 103;
int yOffset = 40;
for (int i = 0; i < productList.Count; i++)
{
USeProduct product = productList[i];
int xPos = x + ((i % VARIETIES_ITEM_COUNT) * xOffset);
int yPos = y + ((i / VARIETIES_ITEM_COUNT) * yOffset);
Button button = new System.Windows.Forms.Button();
button.Font = new System.Drawing.Font("Microsoft Sans Serif", 12F, System.Drawing.FontStyle.Regular, System.Drawing.GraphicsUnit.Point, ((byte)(134)));
button.ForeColor = System.Drawing.SystemColors.ControlText;
button.Location = new System.Drawing.Point(xPos, yPos);
button.Name = "button2";
button.Size = new System.Drawing.Size(95, 35);
button.TabIndex = 3;
button.Text = product.ShortName;
button.Tag = product;
button.UseVisualStyleBackColor = true;
button.Click += ProductButton_Click;
panel.Controls.Add(button);
}
}
private List <USeInstrumentDetail> m_insDetailList = null; //合约的信息列表
#endregion
#region construction
/// <summary>
/// 构造方法。
/// </summary>
/// <param name="product">品种。</param>
/// <param name="publisher">发布者。</param>
/// <param name="tradeRange">交易时段。</param>
/// <param name="publishInterval">发布间隔。</param>
public IndexDayKLineFactory(USeProduct product, List <USeInstrument> instrumentList, USeKLine initKLine, TimeSpan publishInterval,
IKLinePublisher publisher, DayTradeRange tradeRange, IAppLogger eventLogger, USeTradingInstrumentManager instrumentManager)
: base(USeTraderProtocol.GetVarietiesIndexCode(product),
publisher, tradeRange, eventLogger)
{
Debug.Assert(product.PriceTick > 0);
Debug.Assert(instrumentList != null && instrumentList.Count > 0);
m_publishInterval = publishInterval;
m_nextPublishTime = DateTime.Now.AddTicks(publishInterval.Ticks);
m_product = product;
m_componentDic = new Dictionary <string, USeMarketData>();
foreach (USeInstrument instrument in instrumentList)
{
m_componentDic.Add(instrument.InstrumentCode, null);
}
if (initKLine != null)
{
Debug.Assert(initKLine.InstrumentCode == USeTraderProtocol.GetVarietiesIndexCode(product).InstrumentCode);
m_kLine = initKLine;
}
else
{
m_kLine = CreateDefaultKLine();
}
//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);
}
}