/// <summary>
/// 读取一行数据.
/// </summary>
/// <param name="line"></param>
/// <returns></returns>
private CommodityPrice GetOneCommodityPriceDay(string line)
{
// 数据格式：
// Date,Open,High,Low,Close,Volume,Adj Close
// 2010-10-08,13.08996,13.46995,12.86,13.35997,129016300,8.60814
string[] itemArray = line.Split(',');
CommodityPrice result = new CommodityPrice()
{
// 日期.
TradingStartDate = Convert.ToDateTime(itemArray[0]),
TradingFinishDate = Convert.ToDateTime(itemArray[0]),
// 开.
OpenPrice = Convert.ToDecimal(itemArray[1]),
// 高.
HighestPrice = Convert.ToDecimal(itemArray[2]),
// 低.
LowestPrice = Convert.ToDecimal(itemArray[3]),
// 平.
ClosePrice = Convert.ToDecimal(itemArray[4]),
// 成交.
Volume = Convert.ToInt64(itemArray[5])
};
return(result);
}
private static void removePricePointsInCommodityPrice(SQLiteDB db, CommodityPrice price)
{
Dictionary <string, string> priceID = new Dictionary <string, string>();
priceID.Add("CommodityPriceID", price.Guid.ToString());
db.RemoveValueFromTable("PricePoint", priceID);
}
public override void DoProcess()
{
SinaCommodityPriceReader reader = new SinaCommodityPriceReader();
List <CommodityPrice> dataList = reader.GetCommodityPriceList(this.Code, DateTime.Today, DateTime.Today);
CommodityPrice newData = dataList[0];
// 代码
newData.CommodityCode = this.Code.Substring(2);
// 有效.
newData.IsActive = true;
CommodityPriceService service = new CommodityPriceService();
// 插入或更新.
bool result = service.InsertOrUpdateCommodityPrice(newData);
if (result)
{
logger.Info("Success!");
}
else
{
logger.Info("Fail!");
logger.Info(service.ResultMessage);
}
}
/// <summary>
/// 计算 ATR.
/// </summary>
/// <param name="context"></param>
/// <param name="newData"></param>
/// <param name="atrParam"></param>
/// <returns></returns>
private static decimal GetAtrValue(MyMiniTradingSystemContext context, CommodityPrice newData, int atrParam = 14)
{
// 查询前 N 天的交易数据.
var query =
from data in context.CommodityPrices
where
data.CommodityCode == newData.CommodityCode &&
data.TradingStartDate < newData.TradingStartDate
orderby data.TradingStartDate descending
select data.Tr;
// 用于平均的行数（目的： 避免前 N 天， 日期不足， 平均的时候，分母过大.）
int rowCount = 1;
// 前 n-1 天.
decimal resultData = 0;
foreach (decimal oneTr in query.Take(atrParam - 1))
{
resultData += oneTr;
rowCount++;
}
// 加 今天.
resultData += newData.Tr;
// 平均.
resultData = resultData / rowCount;
return(resultData);
}
private static void removeCommodityPrice(SQLiteDB db, CommodityPrice price)
{
Dictionary <string, string> id = new Dictionary <string, string>();
id.Add("Guid", price.Guid.ToString());
db.RemoveValueFromTable("CommodityPrice", id);
}
/// <summary>
/// 计算 TR
/// </summary>
/// <param name="context"></param>
/// <param name="newData"></param>
/// <returns></returns>
private static decimal GetTrValue(MyMiniTradingSystemContext context, CommodityPrice newData)
{
// 查询前一天的交易数据.
var query =
from data in context.CommodityPrices
where
data.CommodityCode == newData.CommodityCode &&
data.TradingStartDate < newData.TradingStartDate
orderby data.TradingStartDate descending
select data;
CommodityPrice prevData = query.FirstOrDefault();
// TR=∣最高价-最低价∣和∣最高价-昨收∣和∣昨收-最低价∣的最大值
List <decimal> tempDataList = new List <decimal>();
// 最高价-最低价
tempDataList.Add(Math.Abs(newData.HighestPrice - newData.LowestPrice));
if (prevData != null)
{
// 最高价-昨收
tempDataList.Add(Math.Abs(newData.HighestPrice - prevData.ClosePrice));
// 昨收-最低价
tempDataList.Add(Math.Abs(prevData.ClosePrice - newData.LowestPrice));
}
return(tempDataList.Max());
}
private static void addPricePoint(SQLiteDB db, PricePoint point, CommodityPrice price)
{
Dictionary <string, string> pointFieldValues = new Dictionary <string, string>();
pointFieldValues.Add("CommodityPriceGuid", price.Guid.ToString());
pointFieldValues.Add("Price", point.Price.ToString());
pointFieldValues.Add("DateTime", point.DateTime.Ticks.ToString());
db.AddValueToTable("PricePoint", pointFieldValues);
}
private static void addCommodityPrice(SQLiteDB db, CommodityPrice price)
{
Dictionary <string, string> priceFieldValues = new Dictionary <string, string>();
priceFieldValues.Add("Guid", price.Guid.ToString());
priceFieldValues.Add("CommodityGuid", price.Commodity.Guid.ToString());
priceFieldValues.Add("Type", price.Type.ToString());
db.AddValueToTable("CommodityPrice", priceFieldValues);
}
public List <CommodityPrice> GetCommodityPriceList(string stockCode, DateTime startDate, DateTime finishDate)
{
List <CommodityPrice> resultList = new List <CommodityPrice>();
string url = FormatUrl(stockCode, startDate, finishDate);
try
{
//访问该链接
WebRequest request = WebRequest.Create(url);
//获得返回值
WebResponse response = request.GetResponse();
// 从 Internet 资源返回数据流。
Stream s = response.GetResponseStream();
using (StreamReader sr = new StreamReader(s, Encoding.UTF8))
{
int lineIndex = 0;
string line;
while ((line = sr.ReadLine()) != null)
{
lineIndex++;
if (lineIndex == 1)
{
// 第一行是标题行， 忽略.
continue;
}
if (String.IsNullOrWhiteSpace(line))
{
// 只有空白， 结束.
break;
}
// 读取一行.
CommodityPrice oneResult = GetOneCommodityPriceDay(line);
// 加入列表.
resultList.Add(oneResult);
}
}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
throw ex;
}
return(resultList);
}
public override void DoProcess()
{
CommodityPriceService service = new CommodityPriceService();
CommodityPrice newData = new CommodityPrice()
{
// 代码.
CommodityCode = this.Code,
// 日期.
TradingStartDate = this.Date,
TradingFinishDate = this.Date,
// 开.
OpenPrice = this.OpenPrice,
// 收.
ClosePrice = this.ClosePrice,
// 高.
HighestPrice = this.HighestPrice,
// 地.
LowestPrice = this.LowestPrice,
// 量.
Volume = this.Volume,
// 有效.
IsActive = true,
};
bool result = service.InsertOrUpdateCommodityPrice(newData);
if (result)
{
logger.Info("Success!");
}
else
{
logger.Info("Fail!");
logger.Info(service.ResultMessage);
}
}
/// <summary>
/// 读取一行数据.
/// </summary>
/// <param name="line"></param>
/// <returns></returns>
private CommodityPrice GetOneCommodityPriceDay(string line)
{
Console.WriteLine(line);
// 数据格式：
// var hq_str_sh601006="大秦铁路,13.41,13.69,13.07,13.69,13.05,13.06,13.07,115275247,1540387027,43400,13.06,51500,13.05,34900,13.04,187800,13.03,547600,13.02,13800,13.07,26000,13.08,19800,13.09,312424,13.10,79400,13.11,2015-04-24,11:35:42,00";
line = line.Trim();
int eqIndex = line.IndexOf('=');
line = line.Substring(eqIndex + 2);
line = line.Substring(0, line.Length - 2);
string[] itemArray = line.Split(',');
CommodityPrice result = new CommodityPrice()
{
// 日期.
TradingStartDate = DateTime.Today,
TradingFinishDate = DateTime.Today,
// 开.
OpenPrice = Convert.ToDecimal(itemArray[1]),
// 高.
HighestPrice = Convert.ToDecimal(itemArray[4]),
// 低.
LowestPrice = Convert.ToDecimal(itemArray[5]),
// 平.
ClosePrice = Convert.ToDecimal(itemArray[3]),
// 成交.
Volume = Convert.ToInt64(itemArray[8])
};
return(result);
}
private void addPriceExecute()
{
CommodityPrice matchingPrice = null;
foreach (CommodityPrice price in this.SelectedPort.Prices)
{
if (price.Commodity == this.SelectedCommodity && price.Type == this.SelectedType)
{
matchingPrice = price;
break;
}
}
if (matchingPrice == null)
{
matchingPrice = new CommodityPrice(this.SelectedCommodity, this.SelectedType);
this.SelectedPort.Prices.Add(matchingPrice);
}
matchingPrice.AddPrice(this.NewPrice);
this.SelectedCommodity = null;
this.NewPrice = 0;
}
/// <summary>
/// 创建某用户的每日总结.
/// </summary>
/// <param name="userCode"></param>
/// <returns></returns>
public bool BuildOneUserDailySummary(string userCode, DateTime date)
{
bool result = false;
try
{
using (MyMiniTradingSystemContext context = new MyMiniTradingSystemContext())
{
// 先查询有没有仓位.
var pQuery =
from data in context.Positions
where
data.UserCode == userCode &&
data.Quantity > 0
select
data;
List <Position> userPositionList = pQuery.ToList();
if (userPositionList.Count == 0)
{
ResultMessage = "用户没有任何持仓！";
return(result);
}
List <DailySummary> newDataList = new List <DailySummary>();
foreach (Position userPosition in userPositionList)
{
CommodityPrice cp =
context.CommodityPrices.FirstOrDefault(p => p.CommodityCode == userPosition.CommodityCode && p.TradingStartDate == date);
if (cp == null)
{
ResultMessage = String.Format("未能检索到{0}的{1:yyyy-MM-dd}的行情数据！", userPosition.CommodityCode, date);
return(result);
}
DailySummary newData = new DailySummary()
{
// 用户.
UserCode = userCode,
// 商品.
PositionCommodityCode = userPosition.CommodityCode,
// 日期.
DailySummaryDate = date,
// 数量.
PositionQuantity = userPosition.Quantity,
// 收盘.
ClosePrice = cp.ClosePrice,
// 市值.
PositionValue = userPosition.Quantity * cp.ClosePrice,
// 有效.
IsActive = true,
};
// 止损 = 收盘 - 3ATR.
newData.StopLossPrice = newData.ClosePrice - 3 * cp.Atr;
// 取得前日数据.
DailySummary prevData =
context.DailySummarys.Where(p => p.UserCode == newData.UserCode &&
p.PositionCommodityCode == newData.PositionCommodityCode &&
p.DailySummaryDate < newData.DailySummaryDate).OrderByDescending(p => p.DailySummaryDate).FirstOrDefault();
if (prevData != null)
{
// 存在前日数据.
if (prevData.StopLossPrice > newData.StopLossPrice)
{
// 浮动止损， 只能上升，不能下降.
newData.StopLossPrice = prevData.StopLossPrice;
}
}
if (newData.ClosePrice <= newData.StopLossPrice)
{
// 当日收盘低于止损.
// 明日应当完成平仓操作.
newData.Todo = "准备平仓";
}
newData.BeforeInsertOperation();
newDataList.Add(newData);
}
// 先删除历史数据（如果有.）
var oldQuery =
from data in context.DailySummarys
where
data.UserCode == userCode &&
data.DailySummaryDate == date
select data;
List <DailySummary> oldDataList = oldQuery.ToList();
if (oldDataList.Count > 0)
{
context.DailySummarys.RemoveRange(oldDataList);
}
// 插入新数据.
context.DailySummarys.AddRange(newDataList);
// 保存.
context.SaveChanges();
result = true;
}
}
catch (Exception ex)
{
logger.Error(ex.Message, ex);
result = false;
ResultMessage = ex.Message;
}
return(result);
}
private static void removeTradingPortCommodityPrice(SQLiteDB db, TradingPort port, CommodityPrice price)
{
Dictionary <string, string> portPriceGuids = new Dictionary <string, string>();
portPriceGuids.Add("TradingPortGuid", port.Guid.ToString());
portPriceGuids.Add("CommodityPriceGuid", price.Guid.ToString());
db.RemoveValueFromTable("TradingPortCommodityPriceTable", portPriceGuids);
}
public static SCDataManager Load(string path)
{
using (SQLiteDB db = new SQLiteDB(path))
{
SCDataManager dataManager = new SCDataManager();
//Commodity
DataTable commodityTable = db.GetDataFromTable("Commodity");
foreach (DataRow row in commodityTable.Rows)
{
Guid guid = new Guid(row.ItemArray[0].ToString());
string name = row.ItemArray[1].ToString();
Commodity commodity = new Commodity(name, guid);
dataManager.Commodities.Add(commodity);
}
Dictionary <Guid, Commodity> commodityDict = createGuidDictionary(dataManager.Commodities);
//TradingPort
DataTable tradingPortTable = db.GetDataFromTable("TradingPort");
foreach (DataRow row in tradingPortTable.Rows)
{
Guid guid = new Guid(row.ItemArray[0].ToString());
string name = row.ItemArray[1].ToString();
TradingPort port = new TradingPort(name, guid);
dataManager.TradingPorts.Add(port);
}
Dictionary <Guid, TradingPort> portDict = createGuidDictionary(dataManager.TradingPorts);
//TradingPortComodityPrice
DataTable portPriceTable = db.GetDataFromTable("TradingPortCommodityPrice");
Dictionary <Guid, TradingPort> priceToPort = new Dictionary <Guid, TradingPort>();
foreach (DataRow row in portPriceTable.Rows)
{
Guid portGuid = new Guid(row.ItemArray[0].ToString());
Guid priceGuid = new Guid(row.ItemArray[1].ToString());
priceToPort.Add(priceGuid, portDict[portGuid]);
}
//CommodityPrice
DataTable priceTable = db.GetDataFromTable("CommodityPrice");
List <CommodityPrice> allPrices = new List <CommodityPrice>();
foreach (DataRow row in priceTable.Rows)
{
Guid guid = new Guid(row.ItemArray[0].ToString());
Guid commodityGuid = new Guid(row.ItemArray[1].ToString());
Commodity commodity = commodityDict[commodityGuid];
PriceType type = PriceTypeUtils.ConvertString(row.ItemArray[2].ToString());
CommodityPrice price = new CommodityPrice(commodity, type, guid);
TradingPort port = priceToPort[price.Guid];
port.Prices.Add(price);
allPrices.Add(price);
}
Dictionary <Guid, CommodityPrice> priceDict = createGuidDictionary(allPrices);
//PricePoint
DataTable pointTable = db.GetDataFromTable("PricePoint");
foreach (DataRow row in pointTable.Rows)
{
Guid commodityPriceGuid = new Guid(row.ItemArray[0].ToString());
double priceDouble = (double)row.ItemArray[1];
DateTime dateTime = new DateTime(Convert.ToInt64(row.ItemArray[2]));
CommodityPrice commodityPrice = priceDict[commodityPriceGuid];
commodityPrice.AddPrice(priceDouble, dateTime);
}
return(dataManager);
}
}
/// <summary>
/// 更新每日行情.
/// </summary>
/// <param name="newData"></param>
/// <returns></returns>
public bool InsertOrUpdateCommodityPrice(CommodityPrice newData)
{
bool result = false;
try
{
using (MyMiniTradingSystemContext context = new MyMiniTradingSystemContext())
{
// 计算 Tr.
newData.Tr = GetTrValue(context, newData);
// 计算 Atr.
newData.Atr = GetAtrValue(context, newData);
// 查询数据是否已存在.
var query =
from data in context.CommodityPrices
where
data.CommodityCode == newData.CommodityCode &&
data.TradingStartDate == newData.TradingStartDate
select data;
CommodityPrice oldData = query.FirstOrDefault();
if (oldData != null)
{
// 更新.
// 开.
oldData.OpenPrice = newData.OpenPrice;
// 收.
oldData.ClosePrice = newData.ClosePrice;
// 高.
oldData.HighestPrice = newData.HighestPrice;
// 低.
oldData.LowestPrice = newData.LowestPrice;
// 量.
oldData.Volume = newData.Volume;
// Tr.
oldData.Tr = newData.Tr;
// ATR.
oldData.Atr = newData.Atr;
oldData.BeforeUpdateOperation();
}
else
{
// 插入.
newData.BeforeInsertOperation();
context.CommodityPrices.Add(newData);
}
// 保存.
context.SaveChanges();
result = true;
}
}
catch (Exception ex)
{
logger.Error(ex.Message, ex);
result = false;
ResultMessage = ex.Message;
}
return(result);
}
