public static DataTable LoadCovMatrix()
{
DateTime FolderDate;
string DirectoyRoot = DirectoryNames.GetDirectoryName("overnightCandlestick");
string FullFolderName;
DataTable CovMatrix = null;
for (int i = 1; i < 6; i++)
{
FolderDate = BusinessDays.GetBusinessDayShifted(-i);
FullFolderName = DirectoyRoot + DirectoryNames.GetDirectoryExtension(FolderDate);
double CovDataIntegrity = Convert.ToDouble(FromTxt2List.LoadFile(FullFolderName + "/covDataIntegrity.txt")[0]);
if (i > 1)
{
Console.WriteLine("Most recent covFile not available or lower quality! ");
}
if (CovDataIntegrity > 80)
{
CovMatrix = IOUtilities.ExcelDataReader.LoadFile(FullFolderName + "/cov_matrix.xlsx").Tables["cov_matrix"];
break;
}
}
return(CovMatrix);
}
public BusinessWeek(string instanceName, TimeSpan startTime, TimeSpan endTime, params DayOfWeek[] dayOfWeeks) : this(instanceName)
{
if (dayOfWeeks != null)
{
for (int i = 0; i < dayOfWeeks.Length; i++)
{
BusinessDays.Add(new BusinessDay(dayOfWeeks[i], startTime, endTime));
}
}
}
/// <summary>
/// Primary constructor
/// </summary>
public apiInitialize(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = "C:/Research/data/intraday_data/tt_api/" + BusinessDays.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
sw = new StreamWriter(OutputFolder + "/ContractList.csv");
plsList = new List <ProductLookupSubscription>();
}
public ActionResult CheckOut()
{
BusinessDays BookDdate = new BusinessDays();
var receivedDatedTime = DateTime.Now;
double workdays = 2;
DateTime PickUpDueDate = DateTime.Now;
ViewBag.PickUpDueDate = BusinessDays.GetDueDate(receivedDatedTime, workdays, PickUpDueDate);
return(View());
}
/// <summary>
/// 清空工作单元
/// </summary>
public void ClearBusinessDays()
{
if (InstanceName == nameof(Default))
{
throw new InvalidOperationException($"Operation is forbidden as the default instance.");
}
if (BusinessDays != null)
{
BusinessDays.Clear();
}
}
/// <summary>
/// 添加工作单元
/// </summary>
/// <param name="businessDay"></param>
public void AddBusinessDay(BusinessDay businessDay)
{
if (InstanceName == nameof(Default))
{
throw new InvalidOperationException($"Operation is forbidden as the default instance.");
}
if (businessDay != null)
{
BusinessDays.Add(businessDay);
}
}
/// <summary>
/// 验证当前实例是否存在工作单元
/// </summary>
/// <param name="throwException"></param>
/// <returns></returns>
///
protected virtual bool Validate(bool throwException)
{
if (BusinessDays.Any())
{
return(true);
}
if (throwException)
{
throw new InvalidOperationException($"The {nameof(BusinessDays)} property must have at least one {nameof(BusinessDay)}.");
}
return(false);
}
/// <summary>
/// 批量添加工作单元
/// </summary>
/// <param name="businessDays"></param>
public void AddBusinessDays(IList <BusinessDay> businessDays)
{
if (InstanceName == nameof(Default))
{
throw new InvalidOperationException($"Operation is forbidden as the default instance.");
}
if (businessDays != null)
{
foreach (var item in businessDays)
{
BusinessDays.Add(item);
}
}
}
/// <summary>
/// Saves the BusinessDays
/// </summary>
/// <param name="businessDaysDTO"></param>
/// <returns></returns>
public bool SaveBusinessDays(List <BusinessModel.BusinessModels.BusinessDays> businessDaysDTO)
{
try
{
List <BusinessDays> businessDays = new List <DomainModel.DomainModels.BusinessDays>();
List <BusinessDays> businessDaysUpdated = new List <DomainModel.DomainModels.BusinessDays>();
foreach (BusinessModel.BusinessModels.BusinessDays businessDayDTO in businessDaysDTO)
{
BusinessDays businessDay = _m3pactContext.BusinessDays.FirstOrDefault(x => x.MonthId == businessDayDTO.MonthID && x.Year == businessDayDTO.Year);
BusinessDays businessDayModel;
if (businessDay != null)
{
businessDayModel = businessDay;
businessDaysUpdated.Add(businessDayModel);
}
else
{
businessDayModel = new BusinessDays();
businessDayModel.CreatedDate = DateTime.UtcNow;
businessDayModel.CreatedBy = userContext.UserId;
businessDays.Add(businessDayModel);
}
businessDayModel.BusinessDays1 = businessDayDTO.NumberOfBusinessDays;
businessDayModel.Year = businessDayDTO.Year;
businessDayModel.MonthId = businessDayDTO.MonthID;
businessDayModel.RecordStatus = businessDayDTO.RecordStatus;
businessDayModel.ModifiedBy = userContext.UserId;
businessDayModel.ModifiedDate = DateTime.UtcNow;;
}
if (businessDaysUpdated.Count > 0)
{
_m3pactContext.BusinessDays.UpdateRange(businessDaysUpdated);
}
if (businessDays.Count > 0)
{
_m3pactContext.AddRange(businessDays);
}
if (businessDaysUpdated.Count > 0 || businessDays.Count > 0)
{
_m3pactContext.SaveChanges();
}
return(true);
}
catch (Exception ex)
{
throw ex;
}
}
/// <summary>
/// 移除周中指定天的工作单元
/// </summary>
/// <param name="dayOfWeek"></param>
public void RemoveBusinessDays(DayOfWeek dayOfWeek)
{
if (InstanceName == nameof(Default))
{
throw new InvalidOperationException($"Operation is forbidden as the default instance.");
}
if (BusinessDays != null)
{
var toRemove = BusinessDays.Where(o => o.DayOfWeek == dayOfWeek);
foreach (var item in toRemove)
{
BusinessDays.Remove(item);
}
}
}
private Dictionary <DayOfWeek, IList <BusinessDay> > GetDayTree()
{
if (_dayTree != null)
{
return(_dayTree);
}
_dayTree = new Dictionary <DayOfWeek, IList <BusinessDay> >();
var days = BusinessDays.OrderBy(o => o.DayOfWeek).ThenBy(o => o.StartTime).ToList();
foreach (var day in days)
{
if (!_dayTree.ContainsKey(day.DayOfWeek))
{
_dayTree.Add(day.DayOfWeek, new List <BusinessDay>());
}
_dayTree[day.DayOfWeek].Add(day);
}
return(_dayTree);
}
/// <summary>
/// 判断指定时间点是否处于工作时间
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
public bool IsBusinessDay(DateTime date)
{
return(BusinessDays.Any(day => day.IsBusinessDay(date)));
}
public static IEnumerable <ContractVolume> GetContractVolumes(DateTime folderDate)
{
ContractVolumeFolder = DirectoryNames.GetDirectoryName("ttapiContractVolume") + DirectoryNames.GetDirectoryExtension(BusinessDays.GetBusinessDayShifted(-1));
var sr = new StreamReader(ContractVolumeFolder + "/ContractList.csv");
var reader = new CsvHelper.CsvReader(sr);
reader.Configuration.RegisterClassMap(new MyClassMap());
ContractVolumeList = reader.GetRecords <ContractVolume>().ToList();
for (int i = 0; i < ContractVolumeList.Count(); i++)
{
string[] words = ContractVolumeList[i].instrumentName.Split();
ContractVolumeList[i].SeriesKey = words[words.Count() - 1];
}
return(ContractVolumeList);
}
public static IEnumerable <ContractVolume> GetContractVolumes()
{
DateTime folderDate = BusinessDays.GetBusinessDayShifted(-1);
return(GetContractVolumes(folderDate));
}
/// <summary>
/// Primary constructor
/// </summary>
public MarketRecorder(string u, string p)
{
m_username = u;
m_password = p;
OutputFolder = TA.DirectoryNames.GetDirectoryName(ext: "ttapiBidAsk") + TA.DirectoryNames.GetDirectoryExtension(DateTime.Now.Date);
System.IO.Directory.CreateDirectory(OutputFolder);
PriceFileDictionary = new Dictionary <string, StreamWriter>();
FilteredList = new List <ttapiTicker>();
DateTime referanceDate = DateTime.Today;
EndTime = new DateTime(referanceDate.Year, referanceDate.Month, referanceDate.Day, 15, 45, 0);
ContractVolumeList = TA.LoadContractVolumeFile.GetContractVolumes(folderDate: BusinessDays.GetBusinessDayShifted(-1));
FilteredList = ContractVolumeList.Where(x => x.Volume > 100).ToList().OfType <ttapiTicker>().ToList();
string [] TickerHeadList = ContractUtilities.ContractMetaInfo.cmeFuturesTickerheadList.Union(ContractUtilities.ContractMetaInfo.iceFuturesTickerheadList).ToArray();
LiquidContractList = new ContractUtilities.ContractList(TickerHeadList);
//LiquidDbTickerList = LiquidContractList.dbTickerList;
LiquidDbTickerList = new List <string>();
for (int i = 0; i < FilteredList.Count; i++)
{
//Console.WriteLine(FilteredList[i].instrumentName);
PriceFileDictionary.Add(FilteredList[i].instrumentName, new StreamWriter(OutputFolder + "/" + FilteredList[i].instrumentName.Replace("/", "-").Replace(":", "-") + ".csv"));
}
TTAPISubs = new ttapiUtils.Subscription(m_username, m_password);
TTAPISubs.TTAPITickerList = FilteredList;
TTAPISubs.LiquidDbTickerList = LiquidDbTickerList;
TTAPISubs.ilsUpdateList = new List <EventHandler <InstrumentLookupSubscriptionEventArgs> > {
TTAPISubs.startPriceSubscriptions
};
TTAPISubs.AsuUpdateList = new List <EventHandler <AuthenticationStatusUpdateEventArgs> > {
TTAPISubs.startInstrumentLookupSubscriptionsFromTTAPITickers
};
TTAPISubs.priceUpdatedEventHandler = m_ps_FieldsUpdated;
}
