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);
}
/// <summary>
/// 從傳入的日期來設定合約到期日
/// </summary>
/// <param name="time">日期時間結構</param>
public void SetExpirationFromTime(DateTime time) {
IContractTime cContractTime = __cProperty.ContractRule as IContractTime;
if (cContractTime == null) {
__cExpiration = time.AddSeconds(86400); //如果沒有設定預設為明天到期(表示沒設定到期日, 永遠都不會到期)
} else {
__cExpiration = cContractTime.GetContractTime(time, __iContractIndex).MaturityDate;
}
}
protected override void UpdateContractTime(DateTime date)
{
if (this.ContractRule != null)
{
IContractTime cContractTime = this.ContractRule as IContractTime;
cContractTime.UpdateContractTime(date);
}
}
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;
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="request">InstrumentDataRequest類別</param>
public InstrumentSettings(ref InstrumentDataRequest request) {
AbstractExchange cExchange = ProductManager.Manager.GetExchange(request.Exchange);
__sSymbolId = request.Symbol;
__sExchange = request.Exchange;
__sDataSource = request.DataFeed;
__dTimeZone = cExchange.TimeZone;
__cProduct = cExchange.GetProduct(__sSymbolId);
__cProperty = cExchange.GetProperty(__sSymbolId, __sDataSource);
//如果沒有商品資訊就使用 request.Symbol 第一個字元當作搜尋條件來取代
if (__cProduct == null) {
List<Product> cProducts = cExchange.SearchProducts(new string(__sSymbolId[0], 1), false);
foreach (Product cProduct in cProducts) {
AbstractProductProperty cProperty = cExchange.GetProperty(cProduct.SymbolId);
if (cProperty != null) {
__cProduct = cProduct;
__cProperty = cProperty;
break;
}
}
}
__cOptionType = __cProperty.GetCallOrPut(__cProduct); //取得選擇權 Call or Put 類型
__dStrikePrice = __cProperty.GetStrikePrice(__cProduct); //取得選擇權履約價格
//取得合約到期日索引值
IContractTime cContractTime = __cProperty.ContractRule as IContractTime;
if (cContractTime != null) {
__iContractIndex = cContractTime.GetContractIndex(__sSymbolId);
}
this.Create(ref request);
__cResolution = request.Resolution;
}
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);
}
}
