/// <summary>
/// 取得週合約到期日資訊(適用於周選擇權商品)
/// </summary>
/// <param name="date">日期</param>
/// <returns>返回值: 合約到期日資訊</returns>
internal static ContractTime GetWeekMaturityDate(DateTime date)
{
ContractTime cContractTime = new ContractTime();
DateTime cMaturity = GetMonthMaturityDate(date, false).MaturityDate;
for (int i = 0; i < 7; i++)
{
if (date.DayOfWeek == DayOfWeek.Wednesday)
{
int iDay = date.Day;
int iEndDay = cMaturity.Day;
int iStartDay = iEndDay - 6;
if (iDay >= iStartDay && iDay <= iEndDay) //如果是第三個星期三就跳過這個區間
{
date = cMaturity.AddSeconds(604800); //一次加上一星期的秒數
}
cContractTime.ContractYear = date.Year;
cContractTime.ContractMonth = date.Month;
cContractTime.MaturityDate = date;
break;
}
date = date.AddSeconds(86400); //一次加上一天 86400 秒
}
return(cContractTime);
}
public ContractTime GetContractTime(DateTime date, int index = 0)
{
ContractTime cContractTime = null;
date = new DateTime(date.Year, date.Month, date.Day, __iCloseHour, __iCloseMinute, __iCloseSecond);
int iCount = __cContractTimes.Count;
for (int i = index; i < iCount; i++)
{
ContractTime cContractTemp = __cContractTimes[i];
double dTotals = (cContractTemp.MaturityDate - date).TotalSeconds;
if (dTotals >= 0 && dTotals <= 604800)
{
cContractTime = cContractTemp;
break;
}
}
if (cContractTime == null)
{
if (index > 0)
{
date = date.AddSeconds(index * 604800);
}
cContractTime = MaturityDateUtil.GetWeekMaturityDate(date);
}
return(cContractTime);
}
private void CalcContractTime(DateTime today)
{
//先計算出現月
ContractTime cCurrentContractTime = MaturityDateUtil.GetMonthMaturityDate(today, true);
AddContractTime(0, cCurrentContractTime);
//由現月計算出其他月份
int iMonth = cCurrentContractTime.ContractMonth;
int iBaseMonth = CalcBaseMonth(iMonth);
int[] iMonthPeriods = new int[5];
iMonthPeriods[0] = 1;
iMonthPeriods[1] = 2;
for (int i = 0; i < 3; i++)
{
iMonthPeriods[i + 2] = (iBaseMonth + (3 * i)) - iMonth;
}
//計算其他月份的交易日與到期日
int iLength = iMonthPeriods.Length;
for (int i = 0; i < iLength; i++)
{
ContractTime cContractTime = AddContractMonths(cCurrentContractTime, iMonthPeriods[i]);
AddContractTime(i + 1, cContractTime);
}
}
/// <summary>
/// 取得合約到期日資訊(適用於月選擇權與期貨商品)
/// </summary>
/// <param name="date">日期</param>
/// <param name="isAutoNextMonth">是否自動換月(如果不自動換月,不會超過本月)</param>
/// <returns>返回值: 合約到期日資訊</returns>
internal static ContractTime GetMonthMaturityDate(DateTime date, bool isAutoNextMonth)
{
int iYear = date.Year;
int iMonth = date.Month;
ContractTime cContractTime = new ContractTime();
for (int i = 15; i <= 21; i++)
{
DateTime cDate = new DateTime(iYear, iMonth, i, date.Hour, date.Minute, date.Second);
if (cDate.DayOfWeek == DayOfWeek.Wednesday)
{
if (isAutoNextMonth && date > cDate)
{
i = 14;
++iMonth;
if (iMonth > 12)
{
iMonth = 1;
++iYear;
}
continue;
}
cContractTime.ContractYear = iYear;
cContractTime.ContractMonth = iMonth;
cContractTime.MaturityDate = cDate;
break;
}
}
return(cContractTime);
}
public ContractTime GetContractTime(DateTime date, int index = 0)
{
ContractTime cContractTime = null;
int iYear = date.Year, iMonth = date.Month;
int iIndex = 0, iKey = iYear * 100 + iMonth;
if (__cIndexs.TryGetValue(iKey, out iIndex))
{
cContractTime = __cContractTimes[(index > 0) ? index : iIndex];
}
else
{
date = new DateTime(iYear, iMonth, date.Day, __iCloseHour, __iCloseMinute, __iCloseSecond);
cContractTime = MaturityDateUtil.GetMonthMaturityDate(date, true);
if (index > 0)
{
int iCMonth = cContractTime.ContractMonth;
int iBaseMonth = CalcBaseMonth(iMonth);
int iMonthPeriod = (index > 1) ? (iBaseMonth + (3 * (index - 2))) - iCMonth : 1;
cContractTime = AddContractMonths(cContractTime, iMonthPeriod);
}
}
return(cContractTime);
}
internal Queue <DateTime> CreateRealtimePeriods(DateTime today)
{
DateTime cFrom = today;
AbstractExchange cExchange = ProductManager.Manager.GetExchange(__cDataRequest.Exchange);
AbstractProductProperty cProperty = cExchange.GetProperty(__cDataRequest.Symbol);
IContractTime cContractTime = cProperty.ContractRule as IContractTime;
DateTime cExpiration = DateTime.MinValue;
if (cContractTime == null)
{
cExpiration = today.AddDays(2);
}
else
{
ContractTime cContract = cContractTime.GetContractTime(today);
cExpiration = cContract.MaturityDate;
}
ESymbolCategory cCategory = __cSettings.ASymbolInfo2.Category;
if ((cCategory == ESymbolCategory.Future || cCategory == ESymbolCategory.IndexOption || cCategory == ESymbolCategory.StockOption || cCategory == ESymbolCategory.FutureOption || cCategory == ESymbolCategory.FutureRolover) && ConvertParameter.強制今日為期權到期日)
{
cExpiration = new DateTime(today.Year, today.Month, today.Day, cExpiration.Hour, cExpiration.Minute, cExpiration.Second);
}
if (__cDataRequest.Resolution.TotalSeconds == Resolution.MAX_BASE_TOTALSECONDS)
{
cFrom = today.AddDays(-1);
}
__cTimeQueue = __cDataRequest.Resolution.CalculateRealtimePeriods(this.LastBarTime, today, cExpiration);
return(__cTimeQueue);
}
private void AddContractTime(int id, ContractTime contractTime)
{
int iKey = contractTime.ContractYear * 100 + contractTime.ContractMonth;
if (!__cIndexs.ContainsKey(iKey))
{
contractTime.Id = id;
__cIndexs.Add(iKey, id);
__cContractTimes.Add(contractTime);
}
}
private ContractTime AddContractMonths(ContractTime contract, int month)
{
int iYear = contract.ContractYear;
int iMonth = contract.ContractMonth + month;
if (iMonth > 12)
{
--iMonth;
iMonth %= 12;
++iMonth;
++iYear;
}
return(MaturityDateUtil.GetMonthMaturityDate(new DateTime(iYear, iMonth, 1, __iCloseHour, __iCloseMinute, __iCloseSecond), false));
}
private ContractTime AddContractMonths(ContractTime contract, int month)
{
int iYear = contract.ContractYear;
int iMonth = contract.ContractMonth + month;
if (iMonth > 12)
{
--iMonth;
iMonth %= 12;
++iMonth;
++iYear;
}
return(MaturityDateUtil.GetMonthMaturityDate((new DateTime(iYear, iMonth, 1)).AddSeconds(__cCloseTime.TotalSeconds), false));
}
private void CalcContractTime(DateTime today)
{
//先計算出目前此週到期日
ContractTime cCurrentContractTime = MaturityDateUtil.GetWeekMaturityDate(today);
AddContractTime(0, cCurrentContractTime);
DateTime cDate = cCurrentContractTime.MaturityDate.AddSeconds(604800);
for (int i = 1; i < 3; i++)
{
ContractTime cContractTime = MaturityDateUtil.GetWeekMaturityDate(cDate);
AddContractTime(i, cContractTime);
cDate = cContractTime.MaturityDate.AddSeconds(604800);
}
}
private static int GetContractTimeIndex(string commodityId, int year, int month, int week = 0) {
int iRet = -1;
AbstractExchange cExchange = ProductManager.Manager.GetExchange(__sExchangeName);
AbstractProductProperty cProperty = cExchange.GetProperty(commodityId, DataSource);
if (cProperty != null) {
int iYear = __cToday.Year;
int iMod = iYear % 10;
if (iMod == 9 && year == 0) {
++iYear;
} else {
iYear = (iYear - iMod) + year;
}
int iDay = __cToday.Day;
int iDays = DateTime.DaysInMonth(iYear, month); //取得該月份的最大天數
DateTime cContract = DateTime.MinValue;
if (commodityId[2] == 'W') { //如果是週商品(期權)
int iFirstWeek = (int) new DateTime(iYear, month, 1).DayOfWeek;
int iFirstWedDay = (7 - iFirstWeek > 3) ? 4 - iFirstWeek : 11 - iFirstWeek;
int iWeekDay = iFirstWedDay + (week - 1) * 7;
if (iDay > iWeekDay) { //如果今日日期 > 週商品結算日
return -1; //返回 -1 (表示此週商品已經過期)
}
iWeekDay = (iWeekDay > iDays) ? iDays : iDay;
cContract = new DateTime(iYear, month, iWeekDay);
} else {
iDay = ((iDay > iDays) ? iDays : iDay); //如果傳進來的月份為商品代號上的月份代碼轉換的, 就必須注意是否超過此月份的最大天數, 如果超過就需要修正
cContract = new DateTime(iYear, month, iDay);
}
IContractTime cRule = cProperty.ContractRule as IContractTime;
if (cRule != null) {
ContractTime cContractTimes = cRule.GetContractTime(cContract);
iRet = cContractTimes.Id;
}
}
return iRet;
}
private void AddContractTime(int id, ContractTime contractTime)
{
contractTime.Id = id;
__cContractTimes.Add(contractTime);
}
internal static void Convert(DateTime date, bool isDownload = true)
{
string[] sData = LoadRPT(date, isDownload);
if (sData == null)
{
return;
}
double dVolume = 0;
bool bConvert = false;
string sEDate = string.Empty;
string sOSymbolId = string.Empty;
string sDate = date.ToString("yyyyMMdd");
SeriesSymbolData cMSeries = null, cDSeries = null;
if (logger.IsInfoEnabled)
{
logger.Info("[Convert] 開始轉換期交所的期貨資訊...");
}
int iLength = sData.Length;
for (int i = 1; i < iLength; i++)
{
string[] sItems = sData[i].Split(',');
if (sItems.Length == 9)
{
string sFutureDate = sItems[0].Trim();
if (!sFutureDate.Equals(sDate)) //檢查日期是否為欲轉換的日期
{
continue;
}
string sSymbolId = sItems[1].Trim();
if (!sSymbolId.Equals(sOSymbolId))
{
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
dVolume = 0;
sOSymbolId = sSymbolId;
string sTWSymbolId = null;
bConvert = cTargetSymbols.TryGetValue(sSymbolId, out sTWSymbolId);
if (bConvert)
{
cMSeries = CreateSeries(sTWSymbolId, EResolution.Minute, date);
cDSeries = CreateSeries(sTWSymbolId, EResolution.Day, date);
if (ConvertParameter.強制今日為期權到期日)
{
sEDate = DateTime.Now.Year.ToString() + ConvertParameter.自訂期權合約月份.ToString("0#");
}
else
{
AbstractExchange cExchange = ProductManager.Manager.GetExchange("TWSE");
AbstractProductProperty cProperty = cExchange.GetProperty(sTWSymbolId);
IContractTime cContractTime = cProperty.ContractRule as IContractTime;
ContractTime cContract = cContractTime.GetContractTime(date);
sEDate = cContract.MaturityDate.ToString("yyyyMM");
}
}
}
if (bConvert)
{
string sEndDate = sItems[2].Trim();
if (sEndDate.Length == 6 && sEndDate.Equals(sEDate))
{
Tick cTick = new Tick();
cTick.Time = DateTimeParser.Parse(sItems[0], sItems[3]);
cTick.Price = double.Parse(sItems[4]);
cTick.Single = double.Parse(sItems[5]) / 2; //Buy + Sell(需要除以2)
dVolume += cTick.Single;
cTick.Volume = dVolume;
cMSeries.Merge(cTick);
cDSeries.Merge(cTick);
}
}
}
}
if (bConvert)
{
FileAdapter cAdapter = new FileAdapter(Settings.GlobalSettings.Settings.DataPath, false);
cAdapter.Write(cMSeries);
cAdapter.Write(cDSeries);
}
}
