public static IMarketData Compose(List <IMarketData> source, MarketDataGrade grade)
{
if (source.Count == 0)
{
return(null);
}
var m = new MarketData();
var s = source.OrderBy(v => v.Time);
m.Open = s.FirstOrDefault().Open;
m.High = s.FirstOrDefault().High;
m.Low = s.FirstOrDefault().Low;
m.Close = s.LastOrDefault().Close;
m.Time = s.LastOrDefault().Time;
foreach (var v in s)
{
if (m.High < v.High)
{
m.High = v.High;
}
if (m.Low > v.Low)
{
m.Low = v.Low;
}
m.Shares += v.Shares;
m.Volume += v.Volume;
}
m.InstrumentTicker = source.FirstOrDefault().InstrumentTicker;
m.Grade = grade;
return(m);
}
ISignal IsLongArrange(IInstrument instrument, DateTime start, DateTime end, MarketDataGrade grade)
{
var ml = GetMarketData(instrument, start, end, grade);
if (ml.Count < 10)
{
return(null);
}
if (ml.Count < 20)
{
return(IsLongArrange(ml, 5, 10));
}
if (ml.Count < 30)
{
var t1 = IsLongArrange(ml, 5, 10);
var t2 = IsLongArrange(ml, 10, 20);
if (t1 != null && t2 != null)
{
if (t1.Value > t2.Value)
{
return(t1);
}
}
return(null);
}
{
var t1 = IsLongArrange(ml, 5, 10);
var t2 = IsLongArrange(ml, 10, 20);
var t3 = IsLongArrange(ml, 20, 30);
if (t1 != null && t2 != null && t3 != null)//return max distance
{
if (t1.Value > t2.Value)
{
if (t1.Value > t3.Value)
{
return(t1);
}
else
{
return(t3);
}
}
else
{
if (t2.Value > t3.Value)
{
return(t2);
}
else
{
return(t3);
}
}
//var t = new List<TimeValueObject>() { t1, t2, t3 }.OrderBy(v=>v.DoubleValue);
//return t.LastOrDefault();
}
return(null);
}
}
ISignal IsCross(IInstrument instrument, DateTime start, DateTime end, MarketDataGrade grade)
{
var ml = GetMarketData(instrument, start, end, grade);
if (ml.Count > BaseUnit)
{
return(IsCross(ml));
}
return(null);
}
public static List <DateTime> FindTimeStep(List <IMarketData> source, MarketDataGrade grade)
{
var tl = new List <DateTime>();
var st = source.Min(v => v.Time);
var et = source.Max(v => v.Time);
tl.Add(st - TimeSpan.FromDays(1));
if (grade == MarketDataGrade.Year)
{
for (int i = st.Year; i <= et.Year; i++)
{
tl.Add(new DateTime(i, 1, 1));
}
}
if (grade == MarketDataGrade.HalfYear)
{
for (int i = st.Year; i <= et.Year; i++)
{
tl.Add(new DateTime(i, 1, 1));
tl.Add(new DateTime(i, 7, 1));
}
}
if (grade == MarketDataGrade.Season)
{
for (int i = st.Year; i <= et.Year; i++)
{
tl.Add(new DateTime(i, 1, 1));
tl.Add(new DateTime(i, 4, 1));
tl.Add(new DateTime(i, 7, 1));
tl.Add(new DateTime(i, 10, 1));
}
}
if (grade == MarketDataGrade.Month)
{
for (int i = st.Year; i <= et.Year; i++)
{
tl.Add(new DateTime(i, 1, 1));
tl.Add(new DateTime(i, 2, 1));
tl.Add(new DateTime(i, 3, 1));
tl.Add(new DateTime(i, 4, 1));
tl.Add(new DateTime(i, 5, 1));
tl.Add(new DateTime(i, 6, 1));
tl.Add(new DateTime(i, 7, 1));
tl.Add(new DateTime(i, 8, 1));
tl.Add(new DateTime(i, 9, 1));
tl.Add(new DateTime(i, 10, 1));
tl.Add(new DateTime(i, 11, 1));
tl.Add(new DateTime(i, 12, 1));
}
}
if (grade == MarketDataGrade.HalfMonth)
{
var start = CommonLib.CommonProc.GetWeekMonday(st);
for (var i = start; i <= et + TimeSpan.FromDays(20); i = i + TimeSpan.FromDays(14))
{
tl.Add(new DateTime(i.Value.Year, i.Value.Month, i.Value.Day));
}
}
if (grade == MarketDataGrade.Week)
{
var start = CommonLib.CommonProc.GetWeekMonday(st);
for (var i = start; i <= et + TimeSpan.FromDays(8); i = i + TimeSpan.FromDays(7))
{
tl.Add(new DateTime(i.Value.Year, i.Value.Month, i.Value.Day));
}
}
if (grade == MarketDataGrade.ThreeDays)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(3); i = i + TimeSpan.FromDays(3))
{
tl.Add(new DateTime(i.Year, i.Month, i.Day));
}
}
if (grade == MarketDataGrade.Day)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(1); i = i + TimeSpan.FromDays(1))
{
tl.Add(new DateTime(i.Year, i.Month, i.Day));
}
}
if (grade == MarketDataGrade.HalfDay)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(1); i = i + TimeSpan.FromDays(1))
{
tl.Add(new DateTime(i.Year, i.Month, i.Day));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 12, 0, 0));
}
}
if (grade == MarketDataGrade.Hour)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(1); i = i + TimeSpan.FromDays(1))
{
//tl.Add(new DateTime(i.Year, i.Month, i.Day));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 15, 0, 0));
}
}
if (grade == MarketDataGrade.HalfHour)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(1); i = i + TimeSpan.FromDays(1))
{
//tl.Add(new DateTime(i.Year, i.Month, i.Day));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 13, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 15, 0, 0));
}
}
if (grade == MarketDataGrade.FifteenMinutes)
{
for (var i = st.Date; i <= et + TimeSpan.FromDays(1); i = i + TimeSpan.FromDays(1))
{
//tl.Add(new DateTime(i.Year, i.Month, i.Day));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 9, 45, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 15, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 10, 45, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 15, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 11, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 13, 15, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 13, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 13, 45, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 0, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 15, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 30, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 14, 45, 0));
tl.Add(new DateTime(i.Year, i.Month, i.Day, 15, 0, 0));
}
}
return(tl);
}
public static List <IMarketData> SummaryMarketDataList(List <IMarketData> source, MarketDataGrade grade)
{
if (source.Count == 0)
{
return(source);
}
var fm = source.FirstOrDefault();
if (grade == fm.Grade)
{
return(source);
}
if (grade < fm.Grade)
{
throw new Exception("Con not summary market data from " + fm.Grade.ToString() + " to " + grade.ToString());
}
var tl = FindTimeStep(source, grade);
var l = new List <IMarketData>();
for (int i = 0; i < tl.Count - 1; i++)
{
if (source.Any(v => v.Time > tl[i] && v.Time <= tl[i + 1]))
{
var m = Compose(source.Where(v => v.Time > tl[i] && v.Time <= tl[i + 1]).ToList(), grade);
l.Add(m);
}
}
return(l);
}
public static DateTime GetNextTime(DateTime time, MarketDataGrade grade)
{
if (grade == MarketDataGrade.Year)
{
return(new DateTime(time.Year + 1, 1, 1));
}
if (grade == MarketDataGrade.HalfYear)
{
if (time.Month < 7)
{
return(new DateTime(time.Year, 7, 1));
}
return(new DateTime(time.Year + 1, 1, 1));
}
if (grade == MarketDataGrade.Season)
{
if (time.Month < 4)
{
return(new DateTime(time.Year, 4, 1));
}
if (time.Month < 7)
{
return(new DateTime(time.Year, 7, 1));
}
if (time.Month < 10)
{
return(new DateTime(time.Year, 10, 1));
}
return(new DateTime(time.Year + 1, 1, 1));
}
if (grade == MarketDataGrade.Month)
{
if (time.Month < 12)
{
return(new DateTime(time.Year, time.Month + 1, 1));
}
return(new DateTime(time.Year + 1, 1, 1));
}
if (grade == MarketDataGrade.HalfMonth)
{
if (time.Day < 16)
{
return(new DateTime(time.Year, time.Month, 16));
}
if (time.Month < 12)
{
return(new DateTime(time.Year, time.Month + 1, 1));
}
return(new DateTime(time.Year + 1, 1, 1));
}
if (grade == MarketDataGrade.Week)
{
if (time.DayOfWeek == DayOfWeek.Monday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(7));
}
if (time.DayOfWeek == DayOfWeek.Tuesday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(6));
}
if (time.DayOfWeek == DayOfWeek.Wednesday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(5));
}
if (time.DayOfWeek == DayOfWeek.Thursday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(4));
}
if (time.DayOfWeek == DayOfWeek.Friday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(3));
}
if (time.DayOfWeek == DayOfWeek.Saturday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(2));
}
if (time.DayOfWeek == DayOfWeek.Sunday)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(1));
}
}
if (grade == MarketDataGrade.ThreeDays)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(3));
}
if (grade == MarketDataGrade.Day)
{
return(new DateTime(time.Year, time.Month, time.Day) + TimeSpan.FromDays(1));
}
if (grade == MarketDataGrade.HalfDay)
{
if (time.Hour < 12)
{
return(new DateTime(time.Year, time.Month, time.Day, 12, 0, 0));
}
var temp = time + TimeSpan.FromDays(1);
return(new DateTime(temp.Year, temp.Month, temp.Day));
}
if (grade == MarketDataGrade.Hour)
{
if (time.Hour <= 10 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 31, 0));
}
if (time.Hour < 12)
{
return(new DateTime(time.Year, time.Month, time.Day, 12, 0, 0));
}
if (time.Hour < 14)
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 1, 0));
}
var temp = time + TimeSpan.FromDays(1);
return(new DateTime(temp.Year, temp.Month, temp.Day));
}
if (grade == MarketDataGrade.HalfHour)
{
if (time.Hour < 10 || (time.Hour == 10 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 1, 0));
}
if (time.Hour == 10 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 31, 0));
}
if (time.Hour < 11 || (time.Hour == 11 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 11, 1, 0));
}
if (time.Hour == 11 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 11, 31, 0));
}
if (time.Hour == 13 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 13, 31, 0));
}
if (time.Hour < 14 || (time.Hour == 14 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 1, 0));
}
if (time.Hour == 14 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 31, 0));
}
var temp = time + TimeSpan.FromDays(1);
return(new DateTime(temp.Year, temp.Month, temp.Day));
}
if (grade == MarketDataGrade.FifteenMinutes)
{
if (time.Hour == 9 && time.Minute <= 45)
{
return(new DateTime(time.Year, time.Month, time.Day, 9, 46, 0));
}
if (time.Hour < 10 || (time.Hour == 10 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 1, 0));
}
if (time.Hour == 10 && time.Minute <= 15)
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 16, 0));
}
if (time.Hour == 10 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 31, 0));
}
if (time.Hour == 10 && time.Minute <= 45)
{
return(new DateTime(time.Year, time.Month, time.Day, 10, 46, 0));
}
if (time.Hour < 11 || (time.Hour == 11 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 11, 1, 0));
}
if (time.Hour == 11 && time.Minute <= 15)
{
return(new DateTime(time.Year, time.Month, time.Day, 11, 16, 0));
}
if (time.Hour == 11 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 11, 31, 0));
}
if (time.Hour == 13 && time.Minute <= 15)
{
return(new DateTime(time.Year, time.Month, time.Day, 13, 16, 0));
}
if (time.Hour == 13 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 13, 31, 0));
}
if (time.Hour == 13 && time.Minute <= 45)
{
return(new DateTime(time.Year, time.Month, time.Day, 13, 46, 0));
}
if (time.Hour < 14 || (time.Hour == 14 && time.Minute == 0))
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 1, 0));
}
if (time.Hour == 14 && time.Minute <= 15)
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 16, 0));
}
if (time.Hour == 14 && time.Minute <= 30)
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 31, 0));
}
if (time.Hour == 14 && time.Minute <= 45)
{
return(new DateTime(time.Year, time.Month, time.Day, 14, 46, 0));
}
var temp = time + TimeSpan.FromDays(1);
return(new DateTime(temp.Year, temp.Month, temp.Day));
}
var minmode = time.Minute % 5;
var t = time + TimeSpan.FromMinutes(5) - TimeSpan.FromMinutes(minmode);
return(new DateTime(t.Year, t.Month, t.Day, t.Hour, t.Minute, 0));
}
public virtual List <IMarketData> GetDataList(List <IInstrument> instrumentList, DateTime startTime, DateTime endTime, MarketDataGrade grade)
{
var ml = new List <IMarketData>();
try
{
instrumentList.ForEach(v =>
{
ml.AddRange(GetDataList(v, startTime, endTime, grade));
});
}
catch (Exception ex)
{
LogSupport.Error(ex);
}
return(ml);
}
public virtual IMarketData GetFirstData(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade grade)
{
var ml = GetDataList(instrument, startTime, endTime, grade);
if (ml.Count == 0)
{
return(null);
}
return(ml.OrderBy(v => v.Time).FirstOrDefault());
}
public void PrepareCache(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade grade)
{
var cl = Cache.FirstOrDefault(v => v.Ticker == instrument.Ticker && v.StartTime <= startTime && v.EndTime >= endTime);
if (cl != null)
{
return;
}
else
{
if (Cache.Count >= CacheSize)
{
Cache.RemoveAt(0);
}
var start = startTime;
var end = endTime;
if (CacheStartTime != null)
{
start = CacheStartTime.Value;
}
if (CacheEndTime != null)
{
end = CacheEndTime.Value;
}
var l = GetSourceDataList(instrument, start, end);
Cache.Add(new MarketDataCacke()
{
DataList = l, StartTime = start, EndTime = end, Ticker = instrument.Ticker
});
}
}
public List <IMarketData> GetDataList(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade grade)
{
var cl = Cache.FirstOrDefault(v => v.Ticker == instrument.Ticker && v.StartTime <= startTime && v.EndTime >= endTime);
if (cl != null)
{
return(MarketData.SummaryMarketDataList(cl.DataList.Where(v => v.Time > startTime && v.Time <= endTime).ToList(), grade));
}
else
{
if (Cache.Count >= CacheSize)
{
Cache.RemoveAt(0);
}
var start = startTime;
var end = endTime;
if (CacheStartTime != null)
{
start = CacheStartTime.Value;
}
if (CacheEndTime != null)
{
end = CacheEndTime.Value;
}
var l = GetSourceDataList(instrument, start, end);
Cache.Add(new MarketDataCacke()
{
DataList = l, StartTime = start, EndTime = end, Ticker = instrument.Ticker
});
return(MarketData.SummaryMarketDataList(l.Where(v => v.Time > startTime && v.Time <= endTime).ToList(), grade));
}
}
public List <IMarketData> GetMarketData(IInstrument instrument, DateTime start, DateTime end, MarketDataGrade grade)
{
if (AnalyseDataSource != null)
{
return(AnalyseDataSource.GetDataList(instrument, start, end, grade));
}
return(null);
}
public override IMarketData GetFirstData(IInstrument instrument, DateTime startTime, DateTime endTime, MarketDataGrade grade)
{
if (instrument == null || string.IsNullOrEmpty(instrument.Ticker))
{
return(null);
}
if (grade == MarketDataGrade.FiveMinutes)
{
try
{
string sqlconnection = "Data Source=LYNX-NOTEBOOK\\SQLEXPRESS;Initial Catalog=MarketData;Integrated Security=True";
var connection = new SqlConnection(sqlconnection);
var cs = ConfigurationManager.ConnectionStrings["MarketDataConnectionString"].ConnectionString;
var sql = "select top 1 * from Table_TradePrice where Time >'" + startTime.ToString() + "' and Time<='" + endTime.ToString() + "' and Ticker='" + instrument.Ticker + "' order by Time";
connection.Open();
var t = connection.Query(sql);
connection.Close();
var v = t.FirstOrDefault();
if (v != null)
{
var md = new MarketData();
md.Time = v.Time;
md.InstrumentTicker = instrument.Ticker;
md.Low = v.Low;
md.Open = v.Open;
md.High = v.High;
md.Close = v.Close;
md.Volume = v.Volume;
md.Shares = v.Shares;
md.Grade = MarketDataGrade.FiveMinutes;
return(md);
}
return(null);
}
catch (Exception e)
{
LogSupport.Error(e);
throw e;
}
}
return(base.GetFirstData(instrument, startTime, endTime, grade));
}
