static void Main(string[] args)
{
// TO DO: Add your code here
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
List <GMSDK.TradeDate> tradeDates = provider.MdApi.GetCalendar("SHSE", "2016-01-01", "2018-12-31");
List <DateTime> dates = new List <DateTime>();
DateTime startTimeUTC = TimeZone.CurrentTimeZone.ToLocalTime(new DateTime(1970, 1, 1));
foreach (GMSDK.TradeDate tradeDate in tradeDates)
{
dates.Add(startTimeUTC.AddSeconds(tradeDate.utc_time));
}
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("FinanceLast");
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("TradeDates");
collection.RemoveAll();
foreach (DateTime date in dates)
{
BsonDocument insert = new BsonDocument(new BsonElement("Date", date.ToString("yyyy-MM-dd")));
collection.Insert(insert);
}
}
protected override bool doJob()
{
Console.WriteLine("正在下载Daily数据...");
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (provider.IsConnected)
{
string endString = this.curDate.ToString("yyyy-MM-dd");
foreach (Instrument inst in InstrumentManager.Instruments)
{
string symbol = inst.Symbol;
List <GMSDK.DailyBar> gmsdkDailys = provider.MdApi.GetDailyBars(symbol, endString, endString);
List <ISeriesObject> gmDailys = GSKToGM.ConvertDailys(gmsdkDailys);
Console.WriteLine("证券:{0}有{1}笔新日线.", symbol, gmDailys.Count);
if (gmDailys.Count > 0)
{
inst.Add((Daily)(gmDailys[0]));
}
}
return(true);
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
public DQNTradeJob(string name, DateTime jobDate, Strategy strategy, Job[] needJobs) : base(name, needJobs)
{
this.dealDate = jobDate;
this.dealTime = this.dealDate.AddMinutes(Const.DealTimeMins);
this.strategy = strategy;
this.provider = (GMRealTimeProvider)this.strategy.MarketDataProvider;
}
protected override bool doJob()
{
Console.WriteLine("正在检查证券定义...");
/*Console.WriteLine("测试作业.........");
* return true;*/
try {
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (provider.IsConnected)
{
List <GMSDK.Instrument> gskInsts = provider.MdApi.GetInstruments("SHSE", 1, 0);
gskInsts.AddRange(provider.MdApi.GetInstruments("SZSE", 1, 0));
foreach (GMSDK.Instrument gskInst in gskInsts)
{
if (InstrumentManager.Instruments[gskInst.symbol] == null)
{
Instrument newInst = new Instrument(gskInst.symbol, "CS");
string[] ss = gskInst.symbol.Split('.');
newInst.SecurityExchange = ss[0]; //市场
newInst.SecurityID = ss[1]; //代码
newInst.SecurityIDSource = "8";
newInst.Save();
Console.WriteLine("新证券:{0}已添加.", newInst.Symbol);
}
}
return(true);
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
return(false);
}
public static void Init(GMRealTimeProvider provider, DateTime dealTime)
{
BarFeeder.provider = provider;
BarFeeder.dealTime = dealTime;
dealDate = dealTime.Date;
dealDateString = Utils.FormatDate(dealDate);
dealTimeString = Utils.FormatTime(dealTime);
}
public RealPlateMonitor(IProvider provider, string eastMoneyPath, PlateMonitorForm monitorForm)
: base(eastMoneyPath, monitorForm)
{
if (provider is GMRealTimeProvider)
{
this.gmProvider = (GMRealTimeProvider)provider;
}
}
protected List <DateTime> GetTradeDates(string market, string beginDate, string endDate)
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
List <GMSDK.TradeDate> tradeDates = provider.MdApi.GetCalendar(market, beginDate, endDate);
List <DateTime> dates = new List <DateTime>();
DateTime startTimeUTC = TimeZone.CurrentTimeZone.ToLocalTime(new DateTime(1970, 1, 1));
foreach (GMSDK.TradeDate tradeDate in tradeDates)
{
dates.Add(startTimeUTC.AddSeconds(tradeDate.utc_time));
}
return(dates);
}
static void Main(string[] args)
{
// TO DO: Add your code here
bool liveMode = true;
RandomTradeStrategy myStrategy = new RandomTradeStrategy();
if (liveMode)
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
myStrategy.StrategyMode = StrategyMode.Live;
myStrategy.MarketDataProvider = provider;
myStrategy.ExecutionProvider = ProviderManager.ExecutionSimulator;
myStrategy.ResetPortfolio = false;
myStrategy.SaveOrders = true; //是否保存委托订单
myStrategy.Portfolio.Persistent = true; //是否保存投资组合
}
else
{
myStrategy.ResetPortfolio = false; //每次运行是否重置投资组合
myStrategy.CheckBuyPower = true;
myStrategy.SimulationEntryDate = new DateTime(2017, 1, 1);
myStrategy.SimulationExitDate = new DateTime(2017, 1, 31);
}
myStrategy.SimulationCash = 100000;
Thread aThread = new Thread(new ThreadStart(myStrategy.Start));
if (aThread.ThreadState == ThreadState.Unstarted)
{
aThread.Start();
}
MessageBox.Show("Press OK to stop ATS", "SmartQuant Automation", MessageBoxButtons.OK, MessageBoxIcon.Information);
myStrategy.Stop();
aThread.Abort();
aThread.Join();
}
protected override bool doJob()
{
Console.WriteLine("正在下载Daily数据...");
bool flag = true;
try {
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (provider.IsConnected)
{
string endString = this.curDate.ToString("yyyy-MM-dd");
string lastTimeString = this.curDate.AddDays(1).ToString("yyyy-MM-dd HH:mm:ss");
foreach (Instrument inst in InstrumentManager.Instruments)
{
string symbol = inst.Symbol;
if (this.hasDailySymbols.Contains(symbol))
{
continue;
}
List <Daily> gmDailys = new List <Daily>();
int i = 0;
bool hasTrade = true;
do
{
gmDailys = provider.GetDailys(symbol, endString, endString);
i++;
if (gmDailys.Count > 0)
{
inst.Add(gmDailys[0]);
this.hasDailySymbols.Add(symbol);
}
else
{
List <Trade> gmTrades = null;
gmTrades = provider.GetLastNTrades(symbol, lastTimeString, 1);
if (gmTrades.Count <= 0 || gmTrades[0].DateTime < this.curDate || ((GMTrade)gmTrades[0]).Open <= 0.0)
{
Console.WriteLine("证券{0}：当天没有交易", symbol);
hasTrade = false;
}
else
{
Console.WriteLine("证券{0}：当天有交易，但没有读取到日线", symbol);
}
}
}while(gmDailys.Count <= 0 && i < 5 && hasTrade);
if (gmDailys.Count <= 0 && hasTrade)
{
Console.WriteLine("尝试多次({0})获取{1}的最新日线失败", i, symbol);
flag = false;
}
}
}
else
{
Console.WriteLine("GMRealTimeProvider is not connected.");
flag = false;
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
flag = false;
}
return(flag);
}
protected override bool doJob()
{
Console.WriteLine("正在读取Tick数据生成涨停板数据分析表...");
/*Console.WriteLine("测试作业.........");
* return true;*/
try {
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
string path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Console.WriteLine("Trade数据目录不存在！");
return(false);
}
string dateString = this.curDate.ToString("yyyy-MM-dd");
List <AnalysisItem> analysisList = new List <AnalysisItem>();
DataFile file = null;
try {
file = DataFile.Open(path);
foreach (Instrument inst in InstrumentManager.Instruments)
{
if (inst.SecurityDesc.IndexOf("B") >= 0)
{
continue; //除去B股
}
if (inst.SecurityType == "IDX")
{
continue; //除去指数
}
FileSeries dailySeries = (FileSeries)inst.GetDataSeries(DataManager.EDataSeries.Daily);
if (dailySeries == null || dailySeries.Count <= 0)
{
continue;
}
int i = dailySeries.IndexOf(this.curDate);
if (i < 0)
{
continue; //没有日线，当日不开盘
}
i = i - 10 > 0?i - 10:0; //往前推10个交易日
DateTime firstDate = dailySeries[i].DateTime;
ISeriesObject[] dailys = dailySeries.GetArray(firstDate, this.curDate);
int k = dailys.Length - 1;
GMDaily gmDaily = (GMDaily)dailys[k];
if (gmDaily.Close / gmDaily.LastClose > 1.095) //今日涨停
{
AnalysisItem ai = new AnalysisItem();
ai.Date = gmDaily.DateTime;
ai.Symbol = inst.Symbol;
GMSDK.ShareIndex si = null;
//先读取当日股本，如果没有，则读取最近股本。一般情况下当日股本与最近股本相同，除非当天正好是除权日
List <GMSDK.ShareIndex> shareIndexList = provider.MdApi.GetShareIndex(ai.Symbol, dateString, dateString);
if (shareIndexList.Count <= 0)
{
shareIndexList = provider.MdApi.GetLastShareIndex(ai.Symbol);
}
if (shareIndexList.Count > 0)
{
si = shareIndexList[0];
}
if (si != null)
{
ai.FlowAShare = si.flow_a_share;
}
else
{
ai.FlowAShare = 0.0;
}
ai.LastClose = gmDaily.LastClose;
ai.Open = gmDaily.Open;
ai.High = gmDaily.High;
ai.Low = gmDaily.Low;
ai.Close = gmDaily.Close;
//换手率
if (ai.FlowAShare > 0)
{
ai.TurnoverRate = gmDaily.Volume / ai.FlowAShare * 100;
}
else
{
ai.TurnoverRate = 0.0;
}
//当日量与前5日均量比
int m = k - 1;
double sumVol = 0.0;
while (m >= 0 && m >= k - 5)
{
sumVol += ((Daily)dailys[m]).Volume;
m--;
}
double last5AvgVol = sumVol / (k - m - 1);
ai.VolDivLast5AvgVol = gmDaily.Volume / last5AvgVol;
//计算封板时间、时长等
bool flag = false;
string name = inst.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
continue;
}
FileSeries series = file.Series[name];
ISeriesObject[] trades = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (trades.Length <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)trades[trades.Length - 1]; //最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
GMTrade lastGMTrade = null;
DateTime openTimeAM = gmDaily.Date.Add(new TimeSpan(9, 25, 0));
DateTime openTimePM = gmDaily.Date.Add(new TimeSpan(13, 0, 0));
foreach (ISeriesObject aTrade in trades)
{
GMTrade gmTrade = (GMTrade)aTrade;
if (!flag && gmTrade.Price == gmTrade.UpperLimit && gmTrade.DateTime >= openTimeAM)
{
ai.WhenUpLimit = gmTrade.DateTime - ai.Date;
flag = true;
}
if (flag && gmTrade.Price < gmTrade.UpperLimit)
{
ai.UpLimitBreaked = true;
}
//将下午13：00之后的每笔时间减去90分钟，这样便于计算封涨停的时长
if (gmTrade.DateTime >= openTimePM)
{
gmTrade.DateTime = gmTrade.DateTime.AddMinutes(-90);
}
if (flag && lastGMTrade != null && gmTrade.Price == gmTrade.UpperLimit && lastGMTrade.Price == gmTrade.UpperLimit)
{
ai.HowLongUpLimit += gmTrade.DateTime - lastGMTrade.DateTime;
}
if (flag)
{
lastGMTrade = gmTrade;
}
}
//封成比
name = inst.Symbol + ".Quote";
if (!file.Series.Contains(name))
{
continue;
}
series = file.Series[name];
ISeriesObject[] quotes = series.GetArray(gmDaily.DateTime, gmDaily.DateTime.AddDays(1));
if (quotes.Length <= 0)
{
continue;
}
GMQuote gmLastQuote = (GMQuote)quotes[quotes.Length - 1]; //最后一刻报价数据
ai.BidSizeDivVol = (double)gmLastQuote.BidSize / gmDaily.Volume;
if (k > 0)
{
GMDaily lastGMDaily = (GMDaily)dailys[k - 1];
if (lastGMDaily.Close / lastGMDaily.LastClose >= 1.099)
{
ai.LastUpLimited = true;
}
}
if (flag)
{
analysisList.Add(ai);
}
}
}
}catch (Exception ex) {
throw ex;
}finally{
file.Close();
}
Console.WriteLine("今日共有{0}只涨停。", analysisList.Count);
foreach (AnalysisItem ai in analysisList)
{
Console.WriteLine(@"Date:{0},Symbol:{1},昨收价:{2},昨日是否涨停:{3},开盘价:{4},
最高价:{5},最低价:{6},收盘价:{7},涨停时间:{8},是否开板:{9},涨停时长:{10},
成交量与昨日5日均量比:{11},收盘买一量与成交量比:{12},流通A股:{13},换手率:{14}" ,
ai.Date, ai.Symbol, ai.LastClose, ai.LastUpLimited, ai.Open, ai.High, ai.Low, ai.Close,
ai.WhenUpLimit, ai.UpLimitBreaked, ai.HowLongUpLimit, ai.VolDivLast5AvgVol, ai.BidSizeDivVol,
ai.FlowAShare, ai.TurnoverRate);
}
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("finance");
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("UpLimitAnalysis");
foreach (AnalysisItem ai in analysisList)
{
BsonElement[] eleArray = new BsonElement[2];
eleArray[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray[1] = new BsonElement("symbol", ai.Symbol);
QueryDocument query = new QueryDocument(eleArray);
collection.Remove(query);
BsonElement[] eleArray1 = new BsonElement[19];
eleArray1[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("symbol", ai.Symbol);
eleArray1[2] = new BsonElement("flowashare", ai.FlowAShare);
eleArray1[3] = new BsonElement("lastclose", ai.LastClose);
eleArray1[4] = new BsonElement("lastuplimited", ai.LastUpLimited);
eleArray1[5] = new BsonElement("open", ai.Open);
eleArray1[6] = new BsonElement("high", ai.High);
eleArray1[7] = new BsonElement("low", ai.Low);
eleArray1[8] = new BsonElement("close", ai.Close);
eleArray1[9] = new BsonElement("whenuplimit", ai.WhenUpLimit.ToString());
eleArray1[10] = new BsonElement("uplimitbreaked", ai.UpLimitBreaked);
eleArray1[11] = new BsonElement("howlonguplimit", ai.HowLongUpLimit.ToString());
eleArray1[12] = new BsonElement("turnoverrate", ai.TurnoverRate);
eleArray1[13] = new BsonElement("voldivlast5avgvol", ai.VolDivLast5AvgVol);
eleArray1[14] = new BsonElement("bidsizedivvol", ai.BidSizeDivVol);
BsonDocument insert = new BsonDocument(eleArray1);
collection.Insert(insert);
}
return(true);
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
return(false);
}
protected override bool doJob()
{
Console.WriteLine("正在检查Tick数据的完整性...");
/*Console.WriteLine("测试作业.........");
* for(int i=0;i<1000;i++) Console.WriteLine("tick{0}",i);
* return false;*/
try {
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
bool overwrite = false;
string path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = this.curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
DataFile file = DataFile.Open(path);
try {
//获取股票代码列表
foreach (Instrument inst in InstrumentManager.Instruments)
{
//获取当天的日线数据
Daily dailyBar = null;
DailySeries dailySeries = inst.GetDailySeries(this.curDate, this.curDate);
if (dailySeries.Count > 0)
{
dailyBar = dailySeries[0];
}
else
{
continue;
}
string name = inst.Symbol + ".Trade";
if (!file.Series.Contains(name))
{
file.Series.Add(name);
}
FileSeries series = file.Series[name];
ISeriesObject[] has = series.GetArray(beginTime, endTime);
bool needRebuild = false;
//检查是否丢失
if (has.Length <= 0)
{
Console.WriteLine("证券:{0}，在日期:{1}时丢失Tick数据", inst.Symbol, this.curDate);
needRebuild = true;
}
else
{
//检查是否不完整
GMTrade lastTrade = (GMTrade)has[has.Length - 1];
if (lastTrade.TotalSize < dailyBar.Volume)
{
Console.WriteLine("证券:{0}，在日期:{1}时Tick数据不全", inst.Symbol, this.curDate);
needRebuild = true;
}
}
if (needRebuild)
{
List <GMSDK.Tick> gskTicksCache = provider.MdApi.GetTicks(inst.Symbol, beginString, endString);
Console.WriteLine(inst.Symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = inst.Symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
if (inst.SecurityType == "IDX")
{
continue; //指数没有报价数据
}
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = inst.Symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
}
}
}
return(true);
}catch (Exception ex) {
throw ex;
}finally {
file.Close();
}
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
return(false);
}
public SaveRandomTradeRecordsJob(string name, DateTime jobDate, Strategy strategy, Job[] needJobs) : base(name, needJobs)
{
this.dealDate = jobDate;
this.strategy = strategy;
this.provider = (GMRealTimeProvider)this.strategy.MarketDataProvider;
}
static void Main(string[] args)
{
// TO DO: Add your code here
bool liveMode = true;
PlateMonitorForm monitorForm = null;
HotPlateTradeStrategy myStrategy = null;
if (liveMode)
{
monitorForm = new PlateMonitorForm();
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
RealPlateMonitor plateMonitor = new RealPlateMonitor(provider, @"D:\eastmoney\swc8", monitorForm);
myStrategy = new HotPlateTradeStrategy(plateMonitor);
myStrategy.StrategyMode = StrategyMode.Live;
myStrategy.MarketDataProvider = provider;
myStrategy.ExecutionProvider = ProviderManager.ExecutionSimulator;
myStrategy.ResetPortfolio = false;
//myStrategy.SaveOrders=true;//是否保存委托订单
myStrategy.Portfolio.Persistent = true; //是否保存投资组合
}
else
{
myStrategy = new HotPlateTradeStrategy(null);
myStrategy.ResetPortfolio = false; //每次运行是否重置投资组合
myStrategy.CheckBuyPower = true;
myStrategy.SimulationEntryDate = new DateTime(2017, 1, 1);
myStrategy.SimulationExitDate = new DateTime(2017, 1, 31);
}
myStrategy.SimulationCash = 100000;
Thread aThread = new Thread(new ThreadStart(myStrategy.Start));
if (aThread.ThreadState == ThreadState.Unstarted)
{
aThread.Start();
}
if (monitorForm != null)
{
Application.Run(monitorForm);
}
else
{
MessageBox.Show("Press OK to stop ATS", "SmartQuant Automation", MessageBoxButtons.OK, MessageBoxIcon.Information);
}
myStrategy.Stop();
aThread.Abort();
aThread.Join();
/*GraphShowForm showForm=new GraphShowForm();
* DateTime curDate=Clock.Now.Date;
* string symbol="SZSE.300503";
* Instrument inst=InstrumentManager.Instruments[symbol];
* ISeriesObject[] dailyBars=Util.GetNDailiesBeforeDate(inst,curDate,60);
* if (dailyBars.Length>0){
* Util.AdjustDailys(dailyBars);//向前复权
* double[] inputs=new double[60];
* double[] outputs=new double[60];
* double basePrice=((GMDaily)dailyBars[0]).Amount/((GMDaily)dailyBars[0]).Volume;
* for(int i=0;i<dailyBars.Length;i++){
* inputs[i]=i;
* outputs[i]=((GMDaily)dailyBars[i]).Amount/((GMDaily)dailyBars[i]).Volume;
* outputs[i]=(outputs[i]/basePrice-1)*100;
* }
* PatternRecognition pr=new PatternRecognition(showForm);
* RecognitionState ret=pr.Recognition(inputs,outputs);
* Console.WriteLine("slope={0},shape={1},speed={2}",ret.Slope,ret.Shape,ret.Speed);
* Application.Run(showForm);
* }else {
* Console.WriteLine("no data.");
* }*/
Console.WriteLine("Strategy Stopped!");
}
public RandomTradeJob(string name, Strategy strategy, Job[] needJobs) : base(name, needJobs)
{
this.strategy = strategy;
this.provider = (GMRealTimeProvider)this.strategy.MarketDataProvider;
}
protected override bool doJob()
{
Console.WriteLine("正在下载Tick数据...");
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
bool overwrite = false;
string path = this.dataPath + "/" + this.curDate.Year.ToString() + "/" + this.curDate.Month.ToString();
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
DateTime beginTime = this.curDate.Add(new TimeSpan(9, 0, 0));
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string beginString = beginTime.ToString("yyyy-MM-dd HH:mm:ss");
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
Console.WriteLine("时间段:" + beginString + "----" + endString);
DataFile file = DataFile.Open(path);
try
{
//获取股票代码列表
foreach (Instrument inst in InstrumentManager.Instruments)
{
string symbol = inst.Symbol;
Console.WriteLine("正在处理证券" + symbol + "的Tick数据...");
List <GMSDK.Tick> gskTicksCache = provider.MdApi.GetTicks(symbol, beginString, endString);
Console.WriteLine(symbol + "有" + gskTicksCache.Count.ToString() + "笔数据。");
if (gskTicksCache.Count > 0)
{
//添加trades
Console.WriteLine("存储Trade数据...");
List <ISeriesObject> trades = GSKToGM.ConvertTrades(gskTicksCache);
string name1 = symbol + ".Trade";
if (!file.Series.Contains(name1))
{
file.Series.Add(name1);
}
FileSeries series1 = file.Series[name1];
ISeriesObject[] hasTrades = series1.GetArray(beginTime, endTime);
if (overwrite || hasTrades.Length != trades.Count)
{
foreach (ISeriesObject aTrade in hasTrades)
{
series1.Remove(aTrade.DateTime);
}
foreach (ISeriesObject trade in trades)
{
series1.Add(trade);
}
}
series1.Reindex(Indexer.Daily);
//添加quotes
if (inst.SecurityType == "IDX")
{
continue; //指数没有报价数据
}
Console.WriteLine("存储Quote数据...");
List <ISeriesObject> quotes = GSKToGM.ConvertQuotes(gskTicksCache);
string name2 = symbol + ".Quote";
if (!file.Series.Contains(name2))
{
file.Series.Add(name2);
}
FileSeries series2 = file.Series[name2];
ISeriesObject[] hasQuotes = series2.GetArray(beginTime, endTime);
if (overwrite || hasQuotes.Length != quotes.Count)
{
foreach (ISeriesObject aQuote in hasQuotes)
{
series2.Remove(aQuote.DateTime);
}
foreach (ISeriesObject quote in quotes)
{
series2.Add(quote);
}
}
series2.Reindex(Indexer.Daily);
Console.WriteLine("证券:{0}的Tick数据存储完毕.", symbol);
}
}
return(true);
}
catch (Exception ex)
{
throw ex;
}
finally
{
file.Close();
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
protected override bool doJob()
{
Console.WriteLine("正在读取Tick数据生成涨停板数据分析表...");
/*Console.WriteLine("测试作业.........");
* return true;*/
try
{
GMRealTimeProvider provider = (GMRealTimeProvider)ProviderManager.MarketDataProviders["GMRealTimeProvider"];
provider.Connect(10000);
if (!provider.IsConnected)
{
return(false);
}
string dateString = this.curDate.ToString("yyyy-MM-dd");
DateTime endTime = this.curDate.Add(new TimeSpan(24, 0, 0));
string endString = endTime.ToString("yyyy-MM-dd HH:mm:ss");
List <AnalysisItem> analysisList = new List <AnalysisItem>();
foreach (Instrument inst in InstrumentManager.Instruments)
{
if (inst.SecurityDesc.IndexOf("B") >= 0)
{
continue; //除去B股
}
if (inst.SecurityType == "IDX")
{
continue; //除去指数
}
FileSeries dailySeries = (FileSeries)inst.GetDataSeries(DataManager.EDataSeries.Daily);
if (dailySeries == null || dailySeries.Count <= 0)
{
continue;
}
int i = dailySeries.IndexOf(this.curDate);
if (i < 0)
{
continue; //没有日线，当日不开盘
}
i = i - 10 > 0 ? i - 10 : 0; //往前推10个交易日
DateTime firstDate = dailySeries[i].DateTime;
ISeriesObject[] dailys = dailySeries.GetArray(firstDate, this.curDate);
int k = dailys.Length - 1;
GMDaily gmDaily = (GMDaily)dailys[k];
if (gmDaily.Close / gmDaily.LastClose > 1.095)
{//今日涨停
AnalysisItem ai = new AnalysisItem();
ai.Date = gmDaily.DateTime;
ai.Symbol = inst.Symbol;
GMSDK.ShareIndex si = null;
//先读取当日股本，如果没有，则读取最近股本。一般情况下当日股本与最近股本相同，除非当天正好是除权日
List <GMSDK.ShareIndex> shareIndexList = provider.MdApi.GetShareIndex(ai.Symbol, dateString, dateString);
if (shareIndexList.Count <= 0)
{
shareIndexList = provider.MdApi.GetLastShareIndex(ai.Symbol);
}
if (shareIndexList.Count > 0)
{
si = shareIndexList[0];
}
if (si != null)
{
ai.FlowAShare = si.flow_a_share;
}
else
{
ai.FlowAShare = 0.0;
}
ai.LastClose = gmDaily.LastClose;
ai.Open = gmDaily.Open;
ai.High = gmDaily.High;
ai.Low = gmDaily.Low;
ai.Close = gmDaily.Close;
//换手率
if (ai.FlowAShare > 0)
{
ai.TurnoverRate = gmDaily.Volume / ai.FlowAShare * 100;
}
else
{
ai.TurnoverRate = 0.0;
}
//当日量与前5日均量比
int m = k - 1;
double sumVol = 0.0;
while (m >= 0 && m >= k - 5)
{
sumVol += ((Daily)dailys[m]).Volume;
m--;
}
double last5AvgVol = sumVol / (k - m - 1);
ai.VolDivLast5AvgVol = gmDaily.Volume / last5AvgVol;
//最后一笔判断是否是涨停
List <GMSDK.Tick> lastTicks = provider.MdApi.GetLastNTicks(inst.Symbol, 1, endString);
if (lastTicks.Count <= 0)
{
continue;
}
GMTrade gmLastTrade = (GMTrade)GSKToGM.ConvertTrade(lastTicks[0]);//最后一笔交易数据
if (gmLastTrade.Price < gmLastTrade.UpperLimit)
{
continue;
}
//封成比
GMQuote gmLastQuote = (GMQuote)GSKToGM.ConvertQuote(lastTicks[0]);//最后一刻报价数据
ai.BidSizeDivVol = (double)gmLastQuote.BidSize / gmDaily.Volume;
if (k > 0)
{
GMDaily lastGMDaily = (GMDaily)dailys[k - 1];
if (lastGMDaily.Close / lastGMDaily.LastClose >= 1.099)
{
ai.LastUpLimited = true;
}
}
analysisList.Add(ai);
}
}
Console.WriteLine("今日共有{0}只涨停。", analysisList.Count);
foreach (AnalysisItem ai in analysisList)
{
Console.WriteLine(@"Date:{0},Symbol:{1},昨收价:{2},昨日是否涨停:{3},开盘价:{4},
最高价:{5},最低价:{6},收盘价:{7},涨停时间:{8},是否开板:{9},涨停时长:{10},
成交量与昨日5日均量比:{11},收盘买一量与成交量比:{12},流通A股:{13},换手率:{14}" ,
ai.Date, ai.Symbol, ai.LastClose, ai.LastUpLimited, ai.Open, ai.High, ai.Low, ai.Close,
ai.WhenUpLimit, ai.UpLimitBreaked, ai.HowLongUpLimit, ai.VolDivLast5AvgVol, ai.BidSizeDivVol,
ai.FlowAShare, ai.TurnoverRate);
}
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("finance");
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("UpLimitAnalysis");
foreach (AnalysisItem ai in analysisList)
{
BsonElement[] eleArray = new BsonElement[2];
eleArray[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray[1] = new BsonElement("symbol", ai.Symbol);
QueryDocument query = new QueryDocument(eleArray);
collection.Remove(query);
BsonElement[] eleArray1 = new BsonElement[19];
eleArray1[0] = new BsonElement("date", ai.Date.ToString("yyyy-MM-dd"));
eleArray1[1] = new BsonElement("symbol", ai.Symbol);
eleArray1[2] = new BsonElement("flowashare", ai.FlowAShare);
eleArray1[3] = new BsonElement("lastclose", ai.LastClose);
eleArray1[4] = new BsonElement("lastuplimited", ai.LastUpLimited);
eleArray1[5] = new BsonElement("open", ai.Open);
eleArray1[6] = new BsonElement("high", ai.High);
eleArray1[7] = new BsonElement("low", ai.Low);
eleArray1[8] = new BsonElement("close", ai.Close);
eleArray1[9] = new BsonElement("whenuplimit", ai.WhenUpLimit.ToString());
eleArray1[10] = new BsonElement("uplimitbreaked", ai.UpLimitBreaked);
eleArray1[11] = new BsonElement("howlonguplimit", ai.HowLongUpLimit.ToString());
eleArray1[12] = new BsonElement("turnoverrate", ai.TurnoverRate);
eleArray1[13] = new BsonElement("voldivlast5avgvol", ai.VolDivLast5AvgVol);
eleArray1[14] = new BsonElement("bidsizedivvol", ai.BidSizeDivVol);
BsonDocument insert = new BsonDocument(eleArray1);
collection.Insert(insert);
}
return(true);
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
return(false);
}
public RandomBehavior(Instrument instrument, Strategy strategy) : base(instrument, strategy)
{
this.provider = (GMRealTimeProvider)this.strategy.MarketDataProvider;
}
