public List <LEVELS_INDEX> GetIndexLevelsDate(string date)
{
if (!isSqlConnetion())
{
return(null);
}
List <LEVELS_INDEX> _Levels_Index = new List <LEVELS_INDEX>();
try
{
String cmdText = "SELECT * FROM es_index WHERE tradedate=@tradedate ORDER BY open_interest DESC";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", (date == "") ? _tradeDate : date);
using (MySqlDataReader reader = cmd.ExecuteReader())
{
while (reader.Read())
{
double high = double.Parse(reader.GetString(8).Replace("#", "").Replace("----", "0.0"), CultureInfo.InvariantCulture);
double low = double.Parse(reader.GetString(10).Replace("#", "").Replace("----", "0.0"), CultureInfo.InvariantCulture);
double range = double.Parse(reader.GetString(12).Replace("#", "").Replace("----", "0.0"), CultureInfo.InvariantCulture);
Levels_Index.Add(new LEVELS_INDEX(reader.GetDateTime(2), reader.GetUInt32(4), reader.GetInt32(5), reader.GetUInt32(3), high, low, range));
_Levels_Index.Add(new LEVELS_INDEX(reader.GetDateTime(2), reader.GetUInt32(4), reader.GetInt32(5), reader.GetUInt32(3), high, low, range));
}
}
cmd.ExecuteNonQuery();
}
catch (MySqlException e)
{
GLog.Print("Error GetIndexLevelsDate: " + e.ToString());
}
_myConn.Close();
return(_Levels_Index);
}
public GTxtParser(string iniFile)
{
_months = new List <string>();
_months.Add("NON");
_months.Add("JAN");
_months.Add("FEB");
_months.Add("MAR");
_months.Add("APR");
_months.Add("MAY");
_months.Add("JUN");
_months.Add("JUL");
_months.Add("AUG");
_months.Add("SEP");
_months.Add("OCT");
_months.Add("NOV");
_months.Add("DEC");
_loadDate = DateTime.Today.ToString();
_iniParser = new GIniParser(iniFile);
_pathTxtData = _iniParser.GetSetting("es", "txtdata");
_database = _iniParser.GetSetting("options", "database");
_username = _iniParser.GetSetting("options", "username");
_password = _iniParser.GetSetting("options", "password");
_pathCall = _iniParser.GetSetting("options", "call");
_pathPut = _iniParser.GetSetting("options", "put");
_pathIndex = _iniParser.GetSetting("options", "index");
_diCall = new Dictionary <string, string[]>();
_diPut = new Dictionary <string, string[]>();
_diIndex = new Dictionary <string, string[]>();
Dates = GetTradeDates();
try
{
List <string> adirs = new List <string>();
_dirs = new DirectoryInfo(@_pathTxtData).GetDirectories("????-??-??");
if (Dates.Count > 0)
{
foreach (DirectoryInfo diNext in _dirs)
{
adirs.Add(diNext.ToString());
}
}
else
{
foreach (DirectoryInfo diNext in _dirs)
{
adirs.Add(diNext.ToString());
}
}
foreach (string s in adirs)
{
if (File.Exists(@_pathTxtData + s + @"\" + _pathCall + ".txt"))
{
_diCall.Add(s, ReadAllText(@_pathTxtData + s + @"\" + _pathCall + ".txt").Split('\n'));
}
if (File.Exists(@_pathTxtData + s + @"\" + _pathPut + ".txt"))
{
_diPut.Add(s, ReadAllText(@_pathTxtData + s + @"\" + _pathPut + ".txt").Split('\n'));
}
if (File.Exists(@_pathTxtData + s + @"\" + _pathIndex + ".txt"))
{
_diIndex.Add(s, ReadAllText(@_pathTxtData + s + @"\" + _pathIndex + ".txt").Split('\n'));
}
}
}
catch (Exception e)
{
GLog.Print("The process failed: " + e.ToString());
}
Levels_Call = new List <LEVELS_CALL_PUT>();
Levels_Put = new List <LEVELS_CALL_PUT>();
Levels_Index = new List <LEVELS_INDEX>();
}
private void parserIndex(string _tradeDate, string[] _strIndex)
{
if (!isSqlConnetion())
{
return;
}
GLog.Print("PARSER INDEX: start " + _tradeDate);
#region DELETE ES_INDEX
try
{
MySqlCommand cmd = new MySqlCommand("DELETE FROM es_index WHERE tradedate=@tradedate", _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: DELETE ES_INDEX " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error DELETE ES_INDEX: " + e.ToString());
}
#endregion
for (int i = 0; i < _strIndex.Length; i++)
{
if (isFut(_strIndex[i]))
{
for (int k = 0; k < 3; k++)
{
i++;
#region INSERT ES_INDEX
string[] tstr = _strIndex[i].Split(' ');
GLog.Print("--PARSER: INSERT ES_INDEX " + _strIndex[i]);
try
{
String cmdText = "INSERT INTO es_index (month, tradedate, volume, open_interest, open_interest_ch, high_contract, low_contract, pit_high, pit_high_a_b, pit_low, pit_low_a_b, pit_open_range) VALUES (@month, @tradedate, @volume, @open_interest, @open_interest_ch, @high_contract, @low_contract, @pit_high, @pit_high_a_b, @pit_low, @pit_low_a_b, @pit_open_range)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@month", tstr[0]);
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@pit_open_range", tstr[1]);
string s = tstr[2];
string t = "";
if (s.Contains("."))
{
if (s.Contains("A"))
{
t = s.Remove(7);
cmd.Parameters.AddWithValue("@pit_high_a_b", "A");
}
else if (s.Contains("B"))
{
t = s.Remove(7);
cmd.Parameters.AddWithValue("@pit_high_a_b", "B");
}
else
{
cmd.Parameters.AddWithValue("@pit_high_a_b", "-");
}
}
else
{
cmd.Parameters.AddWithValue("@pit_high_a_b", "-");
}
cmd.Parameters.AddWithValue("@pit_high", ((t != "") ? t : s));
string s1 = tstr[3];
string t1 = "";
if (s1.Contains("."))
{
if (s1.Contains("A"))
{
t1 = s1.Remove(7);
cmd.Parameters.AddWithValue("@pit_low_a_b", "A");
}
else if (s1.Contains("B"))
{
t1 = s1.Remove(7);
cmd.Parameters.AddWithValue("@pit_low_a_b", "B");
}
else
{
cmd.Parameters.AddWithValue("@pit_low_a_b", "-");
}
}
else
{
cmd.Parameters.AddWithValue("@pit_low_a_b", "-");
}
cmd.Parameters.AddWithValue("@pit_low", ((t1 != "") ? t1 : s1));
cmd.Parameters.AddWithValue("@volume", (tstr[8] == "----") ? "0" : tstr[8]);
if (tstr[10] == "----")
{
cmd.Parameters.AddWithValue("@open_interest", 0);
cmd.Parameters.AddWithValue("@open_interest_ch", tstr[11] + tstr[12]);
cmd.Parameters.AddWithValue("@high_contract", tstr[13]);
cmd.Parameters.AddWithValue("@low_contract", tstr[14]);
}
else if (tstr[10] == "-")
{
cmd.Parameters.AddWithValue("@open_interest", "0");
cmd.Parameters.AddWithValue("@open_interest_ch", tstr[10] + tstr[11]);
cmd.Parameters.AddWithValue("@high_contract", tstr[12]);
cmd.Parameters.AddWithValue("@low_contract", tstr[13]);
}
else
{
cmd.Parameters.AddWithValue("@open_interest", tstr[10]);
if (tstr[11] == "UNCH")
{
cmd.Parameters.AddWithValue("@open_interest_ch", 0);
cmd.Parameters.AddWithValue("@high_contract", tstr[12]);
cmd.Parameters.AddWithValue("@low_contract", tstr[13]);
}
else
{
cmd.Parameters.AddWithValue("@open_interest_ch", tstr[11] + tstr[12]);
cmd.Parameters.AddWithValue("@high_contract", tstr[13]);
cmd.Parameters.AddWithValue("@low_contract", tstr[14]);
}
}
cmd.ExecuteNonQuery();
}
catch (MySqlException e)
{
GLog.Print("Error INSERT ES_INDEX: " + e.ToString());
}
#endregion
}
GLog.Print("--PARSER: INSERT ES_INDEX " + _tradeDate);
break;
}
}
GLog.Print("PARSER INDEX: stop " + _tradeDate);
SqlClose();
}
private void parserCall(string _tradeDate, string[] _strCall)
{
if (!isSqlConnetion())
{
return;
}
GLog.Print("PARSER CALL: start " + _tradeDate);
#region DELETE ES_FILES, ES_CALL, ES_FUT, ES_EO
try
{
MySqlCommand cmd = new MySqlCommand("DELETE FROM es_files WHERE tradedate=@tradedate and name=@name", _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@name", "CALL");
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: DELETE ES_FILES " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error DELETE ES_FILES: " + e.ToString());
}
try
{
MySqlCommand cmd = new MySqlCommand("DELETE FROM es_call WHERE tradedate=@tradedate", _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: DELETE ES_CALL " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error DELETE ES_CALL: " + e.ToString());
}
try
{
MySqlCommand cmd = new MySqlCommand("DELETE FROM es_fut WHERE tradedate=@tradedate", _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: DELETE ES_FUT " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error DELETE ES_FUT: " + e.ToString());
}
try
{
MySqlCommand cmd = new MySqlCommand("DELETE FROM es_eo WHERE tradedate=@tradedate", _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: DELETE ES_EO " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error DELETE ES_EO: " + e.ToString());
}
#endregion
#region INSERT ES_FILES
try
{
String cmdText = "INSERT INTO es_files (name, tradedate, date) VALUES (@name, @tradedate, @date)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@name", "CALL");
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@date", DateTime.Now.ToString("yyyy-MM-dd"));
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: INSERT ES_FILES " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("--Error INSERT ES_FILES: " + e.ToString());
}
#endregion
bool fstart = false;
string ss = "";
string smonth = "";
string sname = "";
string sm_d = "";
for (int i = 0; i < _strCall.Length; i++)
{
if (isCallOptions(_strCall[i]))
{
fstart = true;
}
else
{
if (fstart)
{
if ((isPreliminary(_strCall[i]) && isFutC(_strCall[i + 2])) || (isFinal(_strCall[i]) && isFutC(_strCall[i + 2])))
{
i += 2;
string tstr = _strCall[i - 1].Split(' ')[0];
i++;
string[] teom = _strCall[i].Trim().Split(' ');
i++;
string[] teow1 = _strCall[i].Trim().Split(' ');
i++;
string[] teow2 = _strCall[i].Trim().Split(' ');
i++;
string[] teow4 = _strCall[i].Trim().Split(' ');
#region INSERT ES_EO
try
{
for (int p = 4; p < teom.Length; p++)
{
String cmdText = "INSERT INTO es_eo (tradedate, month, name, m_d, m, d) VALUES (@tradedate, @month, @name, @m_d, @m, @d)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@name", "EOM");
cmd.Parameters.AddWithValue("@month", tstr);
cmd.Parameters.AddWithValue("@m_d", teom[p]);
cmd.Parameters.AddWithValue("@m", Convert.ToUInt16(teom[p].Split('/')[0]));
cmd.Parameters.AddWithValue("@d", Convert.ToUInt16(teom[p].Split('/')[1]));
cmd.ExecuteNonQuery();
}
for (int p = 4; p < teow1.Length; p++)
{
String cmdText = "INSERT INTO es_eo (tradedate, month, name, m_d, m, d) VALUES (@tradedate, @month, @name, @m_d, @m, @d)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@name", "EOW1");
cmd.Parameters.AddWithValue("@month", tstr);
cmd.Parameters.AddWithValue("@m_d", teow1[p]);
cmd.Parameters.AddWithValue("@m", Convert.ToUInt16(teow1[p].Split('/')[0]));
cmd.Parameters.AddWithValue("@d", Convert.ToUInt16(teow1[p].Split('/')[1]));
cmd.ExecuteNonQuery();
}
for (int p = 4; p < teow2.Length; p++)
{
String cmdText = "INSERT INTO es_eo (tradedate, month, name, m_d, m, d) VALUES (@tradedate, @month, @name, @m_d, @m, @d)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@name", "EOW2");
cmd.Parameters.AddWithValue("@month", tstr);
cmd.Parameters.AddWithValue("@m_d", teow2[p]);
cmd.Parameters.AddWithValue("@m", Convert.ToUInt16(teow2[p].Split('/')[0]));
cmd.Parameters.AddWithValue("@d", Convert.ToUInt16(teow2[p].Split('/')[1]));
cmd.ExecuteNonQuery();
}
for (int p = 4; p < teow4.Length; p++)
{
String cmdText = "INSERT INTO es_eo (tradedate, month, name, m_d, m, d) VALUES (@tradedate, @month, @name, @m_d, @m, @d)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@name", "EOW4");
cmd.Parameters.AddWithValue("@month", tstr);
cmd.Parameters.AddWithValue("@m_d", teow4[p]);
cmd.Parameters.AddWithValue("@m", Convert.ToUInt16(teow4[p].Split('/')[0]));
cmd.Parameters.AddWithValue("@d", Convert.ToUInt16(teow4[p].Split('/')[1]));
cmd.ExecuteNonQuery();
}
GLog.Print("--PARSER: INSERT ES_EO " + _tradeDate);
}
catch (MySqlException e)
{
GLog.Print("Error INSERT ES_EO: " + e.ToString());
}
#endregion
#region SELECT ES_EO
try
{
DateTime dt = Convert.ToDateTime(_tradeDate);
String cmdText = "SELECT * FROM es_eo WHERE tradedate=@tradedate and m=@m and d>=@d ORDER BY m, d ASC LIMIT 1";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@m", dt.Month);
cmd.Parameters.AddWithValue("@d", dt.Day);
using (MySqlDataReader reader = cmd.ExecuteReader())
{
while (reader.Read())
{
smonth = reader.GetString(2);
sname = reader.GetString(3);
sm_d = reader.GetString(4);
ss = smonth + " " + sname;
}
}
cmd.ExecuteNonQuery();
GLog.Print("--PARSER: SELECT ES_EO " + _tradeDate + "_" + ss);
}
catch (MySqlException e)
{
GLog.Print("Error SELECT ES_EO: " + e.ToString());
}
#endregion
}
if (isFutures(_strCall[i]) && isFut(_strCall[i + 11]))
{
i += 11;
for (int k = 0; k < 4; k++)
{
i++;
#region INSERT ES_FUT
string[] tstr = _strCall[i].Split(' ');
try
{
String cmdText = "INSERT INTO es_fut (month, tradedate, open_range, high, low, sett_price, gl_volume, open_interest, oi_modif) VALUES (@month, @tradedate, @open_range, @high, @low, @sett_price, @gl_volume, @open_interest, @oi_modif)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@month", tstr[0]);
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@open_range", tstr[1]);
cmd.Parameters.AddWithValue("@high", tstr[2]);
cmd.Parameters.AddWithValue("@low", tstr[3]);
cmd.Parameters.AddWithValue("@sett_price", tstr[5] + ";" + tstr[6] + ";" + tstr[7]);
cmd.Parameters.AddWithValue("@gl_volume", tstr[9]);
cmd.Parameters.AddWithValue("@open_interest", tstr[10]);
string s = tstr[12];
string t = "";
if (s.Contains("."))
{
if (s.Contains("A") || s.Contains("B"))
{
t = s.Remove(s.Length - 8);
}
else
{
t = s.Remove(s.Length - 7);
}
}
cmd.Parameters.AddWithValue("@oi_modif", tstr[11] + ((t != "") ? t : s));
cmd.ExecuteNonQuery();
}
catch (MySqlException e)
{
GLog.Print("Error INSERT ES_FUT: " + e.ToString());
}
#endregion
}
GLog.Print("--PARSER: INSERT ES_FUT " + _tradeDate);
}
if (isCall(ss, _strCall[i]))
{
GLog.Print("--CALL parsing str: " + ss);
while (!isTotal(_strCall[i]))
{
Regex regex = new Regex(@"^[0-9]{4}\s");
if (regex.IsMatch(_strCall[i]) && !isDaily(_strCall[i]))
{
#region INSERT ES_CALL
string[] tstr = _strCall[i].Split(' ');
try
{
String cmdText = "INSERT INTO es_call (strike, tradedate, month, open_range, high, low, sett_price, sett_price_ch, delta, volume, open_interest, open_interest_ch, high_contract, low_contract, oi_sp, eo_name, eo_m_d) VALUES (@strike, @tradedate, @month, @open_range, @high, @low, @sett_price, @sett_price_ch, @delta, @volume, @open_interest, @open_interest_ch, @high_contract, @low_contract, @oi_sp, @eo_name, @eo_m_d)";
MySqlCommand cmd = new MySqlCommand(cmdText, _myConn);
cmd.Prepare();
cmd.Parameters.AddWithValue("@eo_name", sname);
cmd.Parameters.AddWithValue("@eo_m_d", sm_d);
cmd.Parameters.AddWithValue("@strike", tstr[0]);
cmd.Parameters.AddWithValue("@tradedate", _tradeDate);
cmd.Parameters.AddWithValue("@month", smonth.Substring(0, 3));
cmd.Parameters.AddWithValue("@open_range", tstr[1]);
cmd.Parameters.AddWithValue("@high", tstr[2]);
cmd.Parameters.AddWithValue("@low", tstr[3]);
cmd.Parameters.AddWithValue("@sett_price", tstr[5]);
if (tstr[5] != "CAB")
{
cmd.Parameters.AddWithValue("@sett_price_ch", (tstr[6] != "UNCH" ? tstr[5][tstr[5].Length - 1] + tstr[6] : ""));
string st = tstr[5];
int last = st.Length - 1;
cmd.Parameters.AddWithValue("@oi_sp", float.Parse((st[last] == '-' || st[last] == '+') ? st.Remove(last) : st, CultureInfo.InvariantCulture) * (tstr[10] == "----" ? 0 : int.Parse(tstr[10])));
}
else
{
cmd.Parameters.AddWithValue("@sett_price_ch", 0);
cmd.Parameters.AddWithValue("@oi_sp", 0);
}
cmd.Parameters.AddWithValue("@delta", tstr[7]);
cmd.Parameters.AddWithValue("@volume", tstr[9]);
if (tstr[10] == "----")
{
cmd.Parameters.AddWithValue("@open_interest", 0);
cmd.Parameters.AddWithValue("@open_interest_ch", tstr[11]);
cmd.Parameters.AddWithValue("@high_contract", tstr[12]);
cmd.Parameters.AddWithValue("@low_contract", tstr[13]);
}
else
{
cmd.Parameters.AddWithValue("@open_interest", tstr[10]);
if (tstr[11] == "UNCH")
{
cmd.Parameters.AddWithValue("@open_interest_ch", 0);
cmd.Parameters.AddWithValue("@high_contract", tstr[12]);
cmd.Parameters.AddWithValue("@low_contract", tstr[13]);
}
else
{
cmd.Parameters.AddWithValue("@open_interest_ch", tstr[11] + tstr[12]);
cmd.Parameters.AddWithValue("@high_contract", tstr[13]);
cmd.Parameters.AddWithValue("@low_contract", tstr[14]);
}
}
cmd.ExecuteNonQuery();
}
catch (MySqlException e)
{
GLog.Print("Error INSERT ES_CALL: " + e.ToString());
}
#endregion
}
i++;
}
}
}
}
}
GLog.Print("PARSER CALL: stop " + _tradeDate);
SqlClose();
}