private bool IsDateRow(string line)
{
if (string.IsNullOrEmpty(line))
{
return(false);
}
// ожидается строка вида
//PG39 BULLETIN # 41@ EURO FX & CME$INDEX OPTIONS Wed, Mar 02, 2011 PG39
//PG38 AUSTRALIAN DOLLAR AND NEW ZEALAND DOLLAR OPTIONS Thu, Aug 26, 2010 PG38
line = line.Trim(' ', (char)9);
var preffix = string.Format("PG{0}", SectionNum);
if (!line.StartsWith(preffix))
{
return(false);
}
if (!line.EndsWith(preffix))
{
return(false);
}
var parts = line.Split(new[] { ' ', (char)9 }, StringSplitOptions.RemoveEmptyEntries);
if (parts.Length < 9)
{
return(false);
}
var month = ExpirationMonth.ParseMonth(parts[parts.Length - 4], true); // Mar
if (month <= 0)
{
return(false);
}
var dayStr = parts[parts.Length - 3].TrimEnd(','); // Mar
int day, year;
if (!int.TryParse(dayStr, out day))
{
return(false);
}
var yearStr = parts[parts.Length - 2];
if (!int.TryParse(yearStr, out year))
{
return(false);
}
DocumentDate = new DateTime(year, month, day);
return(true);
}
private News MakeOptionLevelNews(DateTime curDate,
string curSymbol, ExpirationMonth expMonth,
OptionStyle optStyle, OptionType optType, decimal strike, int volume,
int OI, decimal closeRange, decimal openRange, decimal high, decimal low,
decimal delta, decimal settPrice)
{
//[#fmt]#&newstype=option#&type=Call#&style=American#&baseactive=EURUSD#&
//publishdate=09.03.2011 02:34:00#&dateexpiration=11.06.2011#&strikeprice=1.4550#&
//high=0.0140#&low=0.0090#&close=0.0110#&oi=948#&volume=0
var newsBody = string.Format(CultureProvider.Common,
"[#fmt]#&newstype=option#&type={0}#&style={1}#&baseactive={2}#&" +
"publishdate={3:dd.MM.yyyy HH:mm:ss}#&dateexpiration={4:dd.MM.yyyy}#&strikeprice={5}#&" +
"high={6}#&low={7}#&close={8}#&oi={9}#&volume={10}",
optType, optStyle, curSymbol, curDate, new DateTime(expMonth.Year, expMonth.Month, 11),
strike, high, low, closeRange, OI, volume);
return(new News(newsChannelId, curDate, titleNewsOption, newsBody));
}
private int MakeOptionLevels()
{
var tmpFolderPath = string.Format("{0}\\{1}", ExecutablePath.ExecPath, FolderTemp);
var newsList = new List <News>();
foreach (var fileName in Directory.GetFiles(tmpFolderPath, "*.xls"))
{
// ожидаем записи вида
// BULLETIN 29 17.08.2010
// LEGEND:strike volume OI ClosRange OpRange High Low Delta SettPrice
// TABLE USDJPY SEP10 CALL American 100000 10000 1
// 920 8 3,81 0,971 4,85
DateTime? curDate = null;
string curSymbol = null;
var optType = OptionType.CALL;
var optStyle = OptionStyle.American;
ExpirationMonth month = null;
decimal strikeToBase = 1, premiumToBase = 1;
var invertRate = false;
using (var sr = new StreamReader(fileName, Encoding.Unicode))
{
while (!sr.EndOfStream)
{
var line = sr.ReadLine();
if (string.IsNullOrEmpty(line))
{
continue;
}
if (line.StartsWith("LEGEND"))
{
continue;
}
var parts = line.Split(new[] { ' ', (char)9 }, StringSplitOptions.None);
if (parts[0] == "TABLE")
{
// получить текущие актив, дату экспирации, тип и стиль опциона
curSymbol = parts[1];
month = ExpirationMonth.Parse(parts[2]);
optType = (OptionType)Enum.Parse(typeof(OptionType), parts[3]);
optStyle = (OptionStyle)Enum.Parse(typeof(OptionStyle), parts[4]);
strikeToBase = parts[5].Replace(',', '.').ToDecimalUniform();
premiumToBase = parts[6].Replace(',', '.').ToDecimalUniform();
invertRate = parts[7] == "1" ? true : false;
continue;
}
if (parts[0] == "BULLETIN")
{
// получить дату бюллетеня
curDate = DateTime.ParseExact(parts[2], "dd.MM.yyyy", CultureProvider.Common);
continue;
}
// получить текущие данные:
// strike volume OI ClosRange OpRange High Low Delta SettPrice
var strike = parts[0].Replace(',', '.').ToDecimalUniformSafe();
var volume = string.IsNullOrEmpty(parts[1]) ? 0 : parts[1].ToInt();
var OI = string.IsNullOrEmpty(parts[2]) ? 0 : parts[2].ToInt();
var closeRange = parts[3].Replace(',', '.').ToDecimalUniformSafe();
var openRange = parts[4].Replace(',', '.').ToDecimalUniformSafe();
var high = parts[5].Replace(',', '.').ToDecimalUniformSafe();
var low = parts[6].Replace(',', '.').ToDecimalUniformSafe();
var delta = parts[7].Replace(',', '.').ToDecimalUniformSafe();
var settPrice = parts[8].Replace(',', '.').ToDecimalUniformSafe();
// привести все цены к ценам БА
strike = strike / strikeToBase;
closeRange = closeRange.HasValue ? closeRange / premiumToBase : 0;
openRange = openRange.HasValue ? openRange / premiumToBase : 0;
high = high.HasValue ? high / premiumToBase : 0;
low = low.HasValue ? low / premiumToBase : 0;
delta = delta.HasValue ? delta / premiumToBase : 0;
settPrice = settPrice.HasValue ? settPrice / premiumToBase : 0;
if (curDate.HasValue && (!string.IsNullOrEmpty(curSymbol)) && month != null)
{
if (OI >= minOi && volume >= minVolume)
{
if (invertRate)
{
if (optType == OptionType.CALL)
{
optType = OptionType.PUT;
high = high.HasValue ? 1 / strike - 1 / (strike + high.Value) : 0;
low = low.HasValue ? 1 / strike - 1 / (strike + low.Value) : 0;
delta = delta.HasValue ? 1 / strike - 1 / (strike + delta.Value) : 0;
closeRange = closeRange.HasValue ? 1 / strike - 1 / (strike + closeRange.Value) : 0;
openRange = openRange.HasValue ? 1 / strike - 1 / (strike + openRange.Value) : 0;
settPrice = settPrice.HasValue ? 1 / strike - 1 / (strike + settPrice.Value) : 0;
}
else
{
optType = OptionType.CALL;
high = high.HasValue ? 1 / (strike - high.Value) - 1 / strike : 0;
low = low.HasValue ? 1 / (strike - low.Value) - 1 / strike : 0;
delta = delta.HasValue ? 1 / (strike - delta.Value) - 1 / strike : 0;
closeRange = closeRange.HasValue ? 1 / (strike - closeRange.Value) - 1 / strike : 0;
openRange = openRange.HasValue ? 1 / (strike - openRange.Value) - 1 / strike : 0;
settPrice = settPrice.HasValue ? 1 / (strike - settPrice.Value) - 1 / strike : 0;
}
strike = 1 / strike;
}
var news = MakeOptionLevelNews(curDate.Value, curSymbol, month, optStyle,
optType,
strike.Value, volume, OI, closeRange.Value,
openRange.Value,
high.Value, low.Value, delta.Value,
settPrice.Value);
newsList.Add(news);
}
}
} // while ! EOS
} // using (var sr =
} // foreach (var fileName
// отправить каждую новость провайдеру
return(SendNewsToProvider(newsList));
}
private News MakeOptionLevelNews(DateTime curDate,
string curSymbol, ExpirationMonth expMonth,
OptionStyle optStyle, OptionType optType, decimal strike, int volume,
int OI, decimal closeRange, decimal openRange, decimal high, decimal low,
decimal delta, decimal settPrice)
{
//[#fmt]#&newstype=option#&type=Call#&style=American#&baseactive=EURUSD#&
//publishdate=09.03.2011 02:34:00#&dateexpiration=11.06.2011#&strikeprice=1.4550#&
//high=0.0140#&low=0.0090#&close=0.0110#&oi=948#&volume=0
var newsBody = string.Format(CultureProvider.Common,
"[#fmt]#&newstype=option#&type={0}#&style={1}#&baseactive={2}#&" +
"publishdate={3:dd.MM.yyyy HH:mm:ss}#&dateexpiration={4:dd.MM.yyyy}#&strikeprice={5}#&" +
"high={6}#&low={7}#&close={8}#&oi={9}#&volume={10}",
optType, optStyle, curSymbol, curDate, new DateTime(expMonth.Year, expMonth.Month, 11),
strike, high, low, closeRange, OI, volume);
return new News(newsChannelId, curDate, titleNewsOption, newsBody);
}
private bool ParseTxtDocument(string fileName, CMETickerInfoCollection bulletinInfo)
{
// получить секцию из имени файла
int sectionNum;
if (!GetSectionNumFromFileName(fileName, out sectionNum))
{
return(false);
}
SectionNum = sectionNum.ToString();
// получить набор таблиц (экспирация - опцион - тип опциона)
CMEBulletinTable curTable = null;
bool docDateParsed = false;
CMETickerInfo curTicker = null;
CMEBulletinReference curTickerRef = null;
using (var sr = new StreamReader(fileName, Encoding.Unicode))
{
while (!sr.EndOfStream)
{
// парсинг даты
var line = sr.ReadLine();
try
{
if (!docDateParsed)
{
docDateParsed = IsDateRow(line);
continue;
}
// строка содержит месяц экспирации?
line = line.Trim(' ', (char)9);
var parts = line.Split(new[] { ' ', (char)9 }, StringSplitOptions.RemoveEmptyEntries);
if (parts.Length == 0)
{
continue;
}
var em = ExpirationMonth.Parse(parts[0]);
if (em != null)
{
if (curTicker != null && curTickerRef != null)
{
// создать таблицу
if (curTable != null)
{
tables.Add(curTable);
}
curTable = new CMEBulletinTable
{
ExpMonth = em,
OptStyle = curTickerRef.OptionStyle,
OptType = curTickerRef.OptionType,
SpotSymbol = curTicker.SpotSymbol,
StrikeToBaseRatio = curTicker.StrikeToBaseRatio,
PremiumToBaseRatio = curTicker.PremiumToBaseRatio,
InvertRate = curTicker.InvertRate
};
}
continue;
}
// строка содержит заголовок?
// EURO FX C (EU)
// BRIT PND-P EU
CMETickerInfo tick;
CMEBulletinReference tickRef;
if (bulletinInfo.FindTicker(parts, out tick, out tickRef, SectionNum))
{
if (futuresInfo != null)
{
if (futuresInfo.Ticker == null)
{
futuresInfo.Ticker = tick;
}
}
curTicker = tick;
curTickerRef = tickRef;
continue;
}
var row = CMEBulletinTableRow.ParseLine(line);
if (row != null && curTable != null)
{
curTable.rows.Add(row);
}
if (row == null) // строка содержит данные по фьючам?
{
var summ = CheckFutureInfoLine(parts);
if (summ != null)
{
futuresInfo = summ;
}
}
}
catch (Exception ex)
{
Logger.ErrorFormat("CMEDocumentParser.ParseTxtDocument parse line: \"{0}\", line:[{1}]",
ex.Message, line);
}
}
}
try
{
CMEBulletinTable.MergeSameTables(tables);
}
catch (Exception ex)
{
Logger.Error("CMEDocumentParser.ParseTxtDocument MergeSameTables", ex);
}
return(true);
}
