/// <summary>
/// 程序初始化。
/// </summary>
/// <returns></returns>
private bool Init()
{
Debug.Assert(!String.IsNullOrEmpty(m_appName));
Console.Title = m_appName;
FileInfo fileInfo = new FileInfo(Process.GetCurrentProcess().MainModule.FileName);
System.Environment.CurrentDirectory = fileInfo.DirectoryName;
IAppLogger logger = null;
try
{
logger = AppLogger.InitInstance();
}
catch (Exception ex)
{
USeConsole.WriteLine(string.Format("初始化日志失败,错误:{0}.", ex.Message));
return(false);
}
AppDomain.CurrentDomain.UnhandledException += OnUnhandledException;
logger.LineFeed();
logger.WriteInformation(m_appName + " 启动。");
return(true);
}
private static bool InitAppLoggers()
{
IAppLogger logger = null;
try
{
logger = AppLogger.InitInstance();
}
catch (Exception ex)
{
string text = "Create AppLogger failed, Error: " + ex.Message;
MessageBox.Show(text, AppTitle, MessageBoxButtons.OK, MessageBoxIcon.Error);
return(false);
}
return(true);
}
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = string.Format("本地时间:{0},开始更新午盘数据", DateTime.Now);
m_eventLogger.WriteInformation(text);
if (ReadConfig() == false)
{
return(-1);
}
while (true)
{
if (DateTime.Now.TimeOfDay < m_queryNoonBeginTime || DateTime.Now.TimeOfDay > m_queryNoonEndTime)
{
Console.WriteLine(string.Format("当前本地时间:{0} 不在午盘开始查询时间{1} 和午盘查询结束时间{2}之间,继续等待...",
DateTime.Now, m_queryNoonBeginTime, m_queryNoonEndTime));
System.Threading.Thread.Sleep(5000);
continue;
}
try
{
UpdateNoonClosePriceToDB();
}
catch (Exception ex)
{
string exInfo = string.Format("本地时间:{0},更新午盘数据发生异常:", ex.Message);
m_eventLogger.WriteInformation(exInfo);
return(-1);
}
}
}
public HttpServerDataReceiver(HttpReceiverSection config)
{
m_config = config;
m_eventLogger = AppLogger.InitInstance();
m_listenerList = new List <IMarketDataListener>();
}
private TimeSpan m_nextDayRange = new TimeSpan(18, 0, 0); // 下一交易日的时间分界点
#endregion // member
#region methods
/// <summary>
/// 启动结算价下载。
/// </summary>
public int Start()
{
//确定更新结算价成功之后，需要再次计算资金沉淀，盘中的时候用的是最新价计算，有结算价之后，就改为结算价重新刷新一遍计算
//计算公式：资金沉淀=品种持仓量*结算价*合约规模*交易所多头保证金比例
//计算资金总沉淀(盘中就用最新价计算资金沉淀，待下午结算价出来之后，按照结算价再更新一次)
//int perSharesContract = GetInstrumentPerSharesContract(marketData.Instrument.InstrumentCode);//合约规模
//decimal exchangeLongMarginRatio = GetExchangeLongMarginRatio(marketData.Instrument.InstrumentCode);//保证金
//m_kLine.SendimentaryMoney = marketData.OpenInterest * marketData.LastPrice * perSharesContract * exchangeLongMarginRatio;//资金沉淀
//取出UseinstrumentDetail品种合约信息取出合约规模和保证金额比例，再次执行SQL语句
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载结算价服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
if (ReadConfig() == false)
{
return(-1);
}
//下载所有合约详情，失败直接退出因为后面需要基础数据
try
{
USeTradingInstrumentManager tradingInsManager = CreateInstrumentManager();
m_insDetailList = tradingInsManager.GetAllInstrumentDetails();
Debug.Assert(m_insDetailList != null);
}
catch (Exception ex)
{
text = "下载数据库所有合约详情InstrumentDetail失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
DateTime tradingDate = GetTradingDay();
if (m_refrashDate == QueryDay.Today)
{
int queryNum = m_queryNum;
while (queryNum > 0)
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.SettlementPrice <= 0d || marketData.SettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.SettlementPrice);
//保存完一笔的同时刷新一次资金沉淀[暂时不在这里处理，改用直接在特定时间执行SQL语句，因为涉及到8888指数和9999主力合约也需要刷新资金沉淀的问题]
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.SettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
if (instrumentDic.Count <= 0)
{
//所有合约存储完毕，退出
break;
}
queryNum--;
if (queryNum > 0)
{
Thread.Sleep(m_queryFrequence);
}
}
catch (Exception ex)
{
text = string.Format("查询,保存当日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
}
else
{
try
{
List <DepthMarketDataField> tempDepthMarketDataFieldList = ctpApp.QueryDepthMarketData();
Debug.Assert(tempDepthMarketDataFieldList != null);
foreach (DepthMarketDataField marketData in tempDepthMarketDataFieldList)
{
if (marketData.PreSettlementPrice <= 0d || marketData.PreSettlementPrice == double.MaxValue)
{
continue;
}
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
//[hanyu]未防返回的MarketData没有ExchangeID,改用查询回来的合约交易所信息
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存结算价
SaveInstumentsSettlementPriceToDB(marketData, marketData.InstrumentID, market, tradingDate, marketData.PreSettlementPrice);
//RefreashSendimentaryMoney(marketData, marketData.InstrumentID, market, tradingDate,marketData.PreSettlementPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
}
catch (Exception ex)
{
text = string.Format("保存昨日结算价异常:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
return(-1);
}
}
if (ctpApp != null)
{
ctpApp.Disconnect();
}
if (instrumentDic.Count > 0)
{
//未查询到的合约写入文件
foreach (USeInstrumentDetail field in instrumentDic.Values)
{
text = string.Format("[{0}]结算价查询失败", field.Instrument.InstrumentCode);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
else
{
try
{
#if DEBUG
bool iDownLoadResult = VerifyDBSettlementPrice(tradingDate);
Debug.Assert(iDownLoadResult == true);
#endif
RefreshDBSettlementDownLoad(tradingDate, true);
}
catch (Exception ex)
{
text = string.Format("更新结算状态失败,错误:{0}", ex.Message);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
}
return(0);
}
/// <summary>
/// 运行。
/// </summary>
public int Start()
{
try
{
m_serverLogger = AppLogger.InitInstance();
}
catch (Exception ex)
{
throw new ApplicationException("Initialize applogger failed," + ex.Message);
}
m_serverLogger.LineFeed();
string message = string.Empty;
TradingDaySection config = ConfigurationManager.GetSection("TradingDayManager") as TradingDaySection;
if (config == null)
{
message = "Not found [TradingDayManager] config.";
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-1);
}
try
{
m_dbConn = ConfigurationManager.ConnectionStrings["KLineDB"].ConnectionString;
if (string.IsNullOrEmpty(m_dbConn))
{
throw new ApplicationException("KLineDB connection string is null");
}
}
catch (Exception ex)
{
message = "Read db connection string failed," + ex.Message;
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-1);
}
message = "Begin process trading day.";
WriteConsoleLog(message);
m_serverLogger.WriteInformation(message);
DateTime startDate;
DateTime endDate;
startDate = config.BeginDay;
endDate = config.EndDay;
List <string> commands = new List <string>();
DateTime currDate = startDate;
List <TradeCalendar> calendarList = new List <TradeCalendar>();
while (currDate <= endDate)
{
bool isTradingDay = false;
switch (currDate.DayOfWeek)
{
case DayOfWeek.Monday:
case DayOfWeek.Tuesday:
case DayOfWeek.Wednesday:
case DayOfWeek.Thursday:
case DayOfWeek.Friday:
isTradingDay = !IsHoliday(config, currDate);
break;
default:
isTradingDay = false;
break;
}
TradeCalendar calendar = new TradeCalendar()
{
Today = currDate,
IsTradeDay = isTradingDay,
PreTradeDay = DateTime.MinValue,
NextTradeDay = DateTime.MinValue
};
calendarList.Add(calendar);
currDate = currDate.AddDays(1);
}
for (int i = 0; i < calendarList.Count; i++)
{
TradeCalendar calendar = calendarList[i];
//补前一交易日
for (int j = i - 1; j >= 0; j--)
{
if (calendarList[j].IsTradeDay)
{
calendar.PreTradeDay = calendarList[j].Today;
break;
}
}
if (calendar.PreTradeDay == DateTime.MinValue)
{
calendar.PreTradeDay = config.BeginDayPreTradeDay;
}
//补下一交易日
for (int j = i + 1; j < calendarList.Count; j++)
{
if (calendarList[j].IsTradeDay)
{
calendar.NextTradeDay = calendarList[j].Today;
break;
}
}
if (calendar.NextTradeDay == DateTime.MinValue)
{
calendar.NextTradeDay = config.EndDayNextTradeDay;
}
}
try
{
SaveToMySqlDB(calendarList, config.BeginDay, config.EndDay);
}
catch (Exception ex)
{
message = string.Format("Save data to db failed,Error:{0}.", ex.Message);
WriteConsoleLog(message);
m_serverLogger.WriteError(message);
return(-2);
}
message = "End process trading day.";
WriteConsoleLog(message);
m_serverLogger.WriteInformation(message);
return(0);
}
/// <summary>
/// 启动结算价下载。
/// </summary>
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "启动下载合约服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
if (ReadConfig() == false)
{
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
List <USeInstrumentDetail> entityList = new List <USeInstrumentDetail>();
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
try
{
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
entityList.Add(entity);
}
catch (Exception eee)
{
Debug.Assert(false, eee.Message);
}
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", entityList.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
ctpApp.Disconnect();
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
SaveInstumentsToDB(entityList);
text = string.Format("保存期货合约信息完成，共计{0}个合约", entityList.Count);
WriteConsoleLog(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "保存期货合约信息失败," + ex.Message;
WriteConsoleLog(text);
m_eventLogger.WriteError(text);
return(-1);
}
return(0);
}
/// <summary>
/// 启动午盘休盘价下载。
/// </summary>
public int Start()
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始下载午盘收盘价服务";
m_eventLogger.WriteInformation(text);
USeConsole.WriteLine(text);
if (ReadConfig() == false)
{
return(-1);
}
CtpOrderQuerier ctpApp = new CtpOrderQuerier();
try
{
ctpApp.Connect(m_ctpDriverConfig.Address, m_ctpDriverConfig.Port,
m_ctpDriverConfig.LoginTimeOut, m_ctpDriverConfig.QueryTimeOut);
text = "连接CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "连接CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
ctpApp.Login(m_ctpAccountConfig.ID, m_ctpAccountConfig.Password, m_ctpAccountConfig.BrokerID);
text = "登陆CTP交易服务器成功";
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "登陆CTP交易服务器失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
try
{
List <InstrumentField> instrumentList = ctpApp.QueryInstument();
foreach (InstrumentField item in instrumentList)
{
if (item.ProductClass != ProductClass.Futures)
{
continue;
}
USeInstrumentDetail entity = InsturmentFiledToUSeInstrumentDetail(item);
instrumentDic.Add(entity.Instrument.InstrumentCode, entity);
}
text = string.Format("查询期货合约数据完成,共计{0}个合约", instrumentDic.Count);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
}
catch (Exception ex)
{
text = "查询期货合约数据失败," + ex.Message;
USeConsole.WriteLine(text);
m_eventLogger.WriteError(text);
ctpApp.Disconnect();
return(-1);
}
List <DepthMarketDataField> depthMarketDataFieldList = new List <DepthMarketDataField>();
depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
//while (true)
//{
// depthMarketDataFieldList = ctpApp.QueryDepthMarketData();
// //返回大于下午开盘的行情时间
// if (VerfiyIsNoonBeginTime(depthMarketDataFieldList) == true)
// {
// text = string.Format("[{0}]行情已经进入下午开盘时间不在午盘时间内", DateTime.Now);
// USeConsole.WriteLine(text);
// m_eventLogger.WriteError(text);
// ctpApp.Disconnect();
// return -1;
// }
// //未找到大于11:30:00。
// if (VerfiyIsNoonEndTime(depthMarketDataFieldList) == false)
// {
// Thread.Sleep(m_queryFrequence);
// continue;
// }
// else
// {
// break;
// }
//}
ctpApp.Disconnect();
try
{
foreach (DepthMarketDataField marketData in depthMarketDataFieldList)
{
if (instrumentDic.ContainsKey(marketData.InstrumentID))
{
USeMarket market = instrumentDic[marketData.InstrumentID].Instrument.Market;
//保存收盘价
SaveClosePriceToDB(marketData, marketData.InstrumentID, market, DateTime.Today, marketData.LastPrice);
instrumentDic.Remove(marketData.InstrumentID);
USeConsole.WriteLine(string.Format("保存{0}成功", marketData.InstrumentID));
}
}
RefrashPriceCloseDownLoad(DateTime.Today, 1);
}
catch (Exception ex)
{
text = string.Format("查询,保存当日午盘数据异常:{0}", ex.Message);
USeConsole.WriteLine(text);
m_eventLogger.WriteInformation(text);
return(-1);
}
return(0);
}
/// <summary>
/// 开始启动
/// </summary>
public int Start()
{
//获取配置文件
{
try
{
if (false == ReadConfig())
{
return(-1);
}
}
catch (Exception ex)
{
string info = "基础数据：配置文件加载失败" + ex.Message;
m_eventLogger.WriteInformation(info);
WriteConsoleLog(info);
return(-1);
}
}
//加载交易日历
try
{
TradeCalendarManager tradeCalendarManager = new TradeCalendarManager(m_dbConnStr, m_alphaDBName);
tradeCalendarManager.Initialize(DateTime.Today.AddDays(-150), DateTime.Today);
m_tradeCalendarManager = tradeCalendarManager;
}
catch (Exception ex)
{
throw new ArgumentException("初始化交易日历失败," + ex.Message);
}
//加载log日志
{
try
{
m_eventLogger = AppLogger.InitInstance();
}
catch
{
m_eventLogger = new NullLogger("DownloadProcessor_DefaultLogger");
}
m_eventLogger.LineFeed();
string text = "开始用结算价更新资金沉淀任务服务";
m_eventLogger.WriteInformation(text);
WriteConsoleLog(text);
}
//获取合约列表详情
{
try
{
m_insDetailList = GetInsDetailList();
}
catch (Exception ex)
{
string info = "基础数据：获取合约详情列表失败" + ex.Message;
m_eventLogger.WriteInformation(info);
WriteConsoleLog(info);
return(-1);
}
}
{
try
{
List <USeKLine> klineList = GetTodayDayKlineList(DateTime.Today.AddDays(-20));
RefreashSendimentaryMoney(klineList);
}
catch (Exception ex)
{
string info = "服务：获取当天交易日K线数据,更新资金沉淀失败" + ex.Message;
m_eventLogger.WriteInformation(info);
WriteConsoleLog(info);
return(-1);
}
}
return(0);
}