private int Test01_b(int nextDate, int date, CSChart csc)
{
for (int c = 0; c <
4
//10
//20
; c++)
{
{
long dt = date * 1000000L + 90000;
long nextDt = nextDate * 1000000L + 90000;
if (csc.GetPrice(dt).Mid < csc.GetPrice(nextDt).Mid)
{
break;
}
}
do
{
nextDate = DateToDay.ToDate(DateToDay.ToDay(nextDate) + 1);
}while ("土日".Contains(DateTimeUnit.FromDate(nextDate).GetWeekday()));
}
return(nextDate);
}
public static void CheckDate(int date)
{
if (date < CSConsts.DATE_TIME_MIN / 1000000 || CSConsts.DATE_TIME_MAX / 1000000 < date)
{
throw new Exception("Out of range date: " + date);
}
if (DateToDay.ToDate(DateToDay.ToDay(date)) != date)
{
throw new Exception("Bad date: " + date);
}
}
private void Test01_a(int dateStart, int dateEnd)
{
for (int maDay = 5; maDay <= 30; maDay += 5)
{
List <Info> infos = new List <Info>();
CSChartManager cscm = new CSChartManager();
CSChart csc = cscm.GetCSChart("USDJPY");
TTChart ttc = new TTChart(csc);
MAChart mac = new MAChart(ttSec => ttc.GetPrice(ttSec).Mid, 60 * 24 * maDay, 60);
for (int date = dateStart; date <= dateEnd;)
{
int nextDate = date;
do
{
nextDate = DateToDay.ToDate(DateToDay.ToDay(nextDate) + 1);
}while ("土日".Contains(DateTimeUnit.FromDate(nextDate).GetWeekday()));
int bNextDate = Test01_b(nextDate, date, csc);
long dt = date * 1000000L + 90000;
long bNextDt = bNextDate * 1000000L + 90000;
// ----
infos.Add(new Info()
{
MvAvgPrice = mac.GetPrice(TTCommon.DateTimeToTTSec(dt)),
Price = csc.GetPrice(dt).Mid,
NextDayPrice = csc.GetPrice(bNextDt).Mid,
});
// ----
date = nextDate;
}
using (CsvFileWriter writer = new CsvFileWriter(string.Format(@"C:\temp\maDay={0}.csv", maDay)))
{
foreach (Info info in infos)
{
writer.WriteCell(info.Price.ToString("F9"));
writer.WriteCell(info.MvAvgPrice.ToString("F9"));
writer.WriteCell(info.NextDayPrice.ToString("F9"));
writer.WriteCell((info.MvAvgPrice / info.Price).ToString("F9"));
writer.WriteCell((info.NextDayPrice / info.Price).ToString("F9"));
writer.EndRow();
}
}
}
}
public CSPrice GetPrice(long dateTime)
{
Validators.CheckDateTime(dateTime);
int day = DateToDay.ToDay((int)(dateTime / 1000000));
SortedList <CSPrice> prices = GetDayPrices(day);
CSPrice[] matched = prices.GetMatchWithEdge(prices.GetFerret(new CSPrice()
{
DateTime = dateTime
})).ToArray();
if (matched.Length == 3)
{
return(matched[1]);
}
if (matched.Length != 2)
{
throw null; // 2bs -- 同じ日時のデータは無いはず！
}
if (matched[0] == null)
{
for (int c = 1; c <= Consts.MARGIN_DAY_MAX; c++)
{
prices = GetDayPrices(day - c);
if (1 <= prices.Count)
{
matched[0] = prices.Get(prices.Count - 1);
break;
}
}
}
if (matched[1] == null)
{
for (int c = 1; c <= Consts.MARGIN_DAY_MAX; c++)
{
prices = GetDayPrices(day + c);
if (1 <= prices.Count)
{
matched[0] = prices.Get(0);
break;
}
}
}
matched = matched.Where(v => v != null).ToArray();
if (matched.Length == 0)
{
return new CSPrice()
{
DateTime = dateTime
}
}
;
if (matched.Length == 1)
{
return(matched[0]);
}
long sec1 = DateTimeToSec.ToSec(matched[0].DateTime);
long sec2 = DateTimeToSec.ToSec(dateTime);
long sec3 = DateTimeToSec.ToSec(matched[1].DateTime);
double rate = (sec2 - sec1) * 1.0 / (sec3 - sec1);
return(new CSPrice()
{
DateTime = dateTime,
Hig = matched[0].Hig + rate * (matched[1].Hig - matched[0].Hig),
Low = matched[0].Low + rate * (matched[1].Low - matched[0].Low),
Ask = matched[0].Ask + rate * (matched[1].Ask - matched[0].Ask),
Bid = matched[0].Bid + rate * (matched[1].Bid - matched[0].Bid),
});
}
}