void assembler_init(const char *in_file)
{
char *f_buffer = f_load_file(in_file);
if (f_buffer == NULL) {
printf("compiler error: error on opening input file ...\n");
exit(EXIT_FAILURE);
}
ASM_DESCR.MAIN_FILE = f_process_file(f_buffer);
fmt_init();
tokenizer_init();
parser_init();
icl_init();
}
static int preproc_rule_preprocess(token_t *tok, token_rule_t *rule)
{
if (tok->type == KEYWORD_INCLUDE_PREPROC) {
int i;
token_t *arg = tok_get_token(tok, 1);
if (tok_strlen(arg) == 2) {
sprintf(COMP_DESCR.err_msg, "illegal file name ...");
return 0;
}
char *f_name = (char*)malloc(tok_strlen(arg) - 1);
for (i = arg->f_char + 1; i < arg->l_char - 1; i++)
f_name[i - arg->f_char - 1] = tok->str->ptr[i];
f_name[i - arg->f_char - 1] = '\0';
char *f_buffer = f_load_file(f_name);
if (f_buffer == NULL) {
sprintf(COMP_DESCR.err_msg, "file not found [file: %s] ...", f_name);
return 0;
}
f_header_t *file = f_parse_text(f_name, f_buffer);
token_t *f_tokens = tokenizer_run(file);
if (f_tokens == NULL) {
printf("preprocessor warning: file '%s' is empty\n", f_name);
return 1;
}
tok_insert_tokens(arg, f_tokens);
} else if (tok->type == KEYWORD_ENTRY_PREPROC) {
token_t *arg = tok_get_token(tok, 1);
if (tok_strlen(arg) >= 64) {
sprintf(COMP_DESCR.err_msg, "entry name too long (max. 63 chars)");
return 0;
}
tok_strcpy(COMP_DESCR.prg_entry, arg);
printf("new entry: '%s'\n", COMP_DESCR.prg_entry);
} else if (tok->type == KEYWORD_MODULE_PREPROC) {
printf("preproc: module\n");
}
return 1;
}
/**
* 计算arbitrage
* 套利模式的计算
*/
void run_as_arbitrage()
{
FileSet m_left,m_right;
FILE *fh;
char m_sFileName[1024];
CTimeSegmentedQuote *ct,*dt;
ST_INTCTRLBLK m_ctrl,m_ctrl2;
char m_sExchangeID[11];
char m_sInstrumentID[11];
char m_sTradingDay[11];
char m_sExchangeID2[11];
char m_sInstrumentID2[11];
char m_sTradingDay2[11];
CArbitrageBaseData *arb;
st_quoteitem *pi0,*pi1;
int i0,i1;
/* 判断参数是否足够 */
if (g_var.m_iParm != 5)
{
WARN("quote -arb TradingDay EXCHID ALL|InsturmentID EXCHID ALL|InstrumentID","");
return;
}
/* 找到左边股票集合 */
f_load_set(g_var.m_pParm[1],g_var.m_pParm[2],g_var.m_pParm[0],&m_left,FILESET_LOAD_CORRELATION);
f_load_set(g_var.m_pParm[3],g_var.m_pParm[4],g_var.m_pParm[0],&m_right,FILESET_LOAD_CORRELATION);
f_load_file(&m_left);
f_load_file(&m_right);
/* 找到右边股票集合 */
FileSet::iterator it0,it1;
it0 = m_left.begin();
while (it0 != m_left.end())
{
/* 左边股票的cor文件,path exchid_inst_tradingday.cor */
it0->second->GetQuoteInfo(m_sExchangeID, m_sInstrumentID, m_sTradingDay);
sprintf(m_sFileName,"%s%s_%s_%s.arb",it0->first.c_str(),m_sExchangeID,m_sInstrumentID,m_sTradingDay);
EVENT("Processing %s", m_sFileName);
printf("Processing %s\n",m_sFileName);
fh = fopen(m_sFileName,"a+");
if (fh == nullptr)
{
WARN("Can not open %s", m_sFileName);
it0++;
continue;
}
ct = it0->second;
ct->GetSegmentInfo(&m_ctrl);
pi0 = ct->GetQuoteItem(&i0);
arb = new CArbitrageBaseData();
arb->SetInstrument(0, m_sExchangeID, m_sInstrumentID, m_sTradingDay, &m_ctrl);
arb->SetInstQuote(0, i0, pi0);
it1 = m_right.begin();
while (it1 != m_right.end())
{
dt = it1->second;
dt->GetQuoteInfo(m_sExchangeID2, m_sInstrumentID2, m_sTradingDay2);
dt->GetSegmentInfo(&m_ctrl2);
pi1 = dt->GetQuoteItem(&i1);
arb->SetInstrument(1, m_sExchangeID2, m_sInstrumentID2, m_sTradingDay2, &m_ctrl2);
arb->SetInstQuote(1, i1, pi1);
int iArbCount,i;
double *pdArbI1BI2A;
double *pdArbI1AI2B;
long *plVolumeBA;
long *plVolumeAB;
fprintf(fh,"%s_%s_%s\n",m_sExchangeID2,m_sInstrumentID2,m_sTradingDay2);
fprintf(fh,"Inst2 Ask - Inst1 Bid, volume, Inst2 Bid - Inst1 Ask , volume\n");
/* 对应实际操作时：卖第一个券同时买入第二个券价差，买入第一个券卖出第二个券的价差
所以，捕捉第一个较小的数字，捕捉第二个较大的数字 才有利益 */
arb->CalcArbitrageGaps(&iArbCount, &pdArbI1BI2A, &pdArbI1AI2B, &plVolumeBA, &plVolumeAB);
for(i=0;i<iArbCount;i++)
{
fprintf(fh,"%.5f,%ld,%.5f,%ld\n",pdArbI1BI2A[i],plVolumeBA[i],pdArbI1AI2B[i],plVolumeAB[i]);
}
it1++;
}
fclose(fh);
delete arb;
it0 ++;
}
f_unload_set(&m_left);
f_unload_set(&m_right);
}
/**
* 计算correlation
* 有三种模式
* 1、全部计算某一天的相关性
* 2、计算某一天某一只股票与其他股票的相关性
* 3、计算某一天某一只股票与某一只股票的相关性
*/
void run_as_correlation()
{
FileSet m_left,m_right;
FILE *fh;
char m_sFileName[1024];
int iSize0,iSize1;
CTimeSegmentedQuote *ct;
double *dPrice0;
double dHigh,dLow,dPre;
ST_INTCTRLBLK m_ctrl;
char m_sExchangeID[11];
char m_sInstrumentID[11];
char m_sTradingDay[11];
/* 判断参数是否足够 */
if (g_var.m_iParm != 5)
{
WARN("quote -cor TradingDay EXCHID ALL|InsturmentID EXCHID ALL|InstrumentID","");
return;
}
/* 找到左边股票集合 */
f_load_set(g_var.m_pParm[1],g_var.m_pParm[2],g_var.m_pParm[0],&m_left,FILESET_LOAD_CORRELATION);
f_load_set(g_var.m_pParm[3],g_var.m_pParm[4],g_var.m_pParm[0],&m_right,FILESET_LOAD_CORRELATION);
f_load_file(&m_left);
f_load_file(&m_right);
/* 找到右边股票集合 */
FileSet::iterator it0,it1;
it0 = m_left.begin();
while (it0 != m_left.end())
{
/* 左边股票的cor文件,path exchid_inst_tradingday.cor */
it0->second->GetQuoteInfo(m_sExchangeID, m_sInstrumentID, m_sTradingDay);
sprintf(m_sFileName,"%s%s_%s_%s.cor",it0->first.c_str(),m_sExchangeID,m_sInstrumentID,m_sTradingDay);
EVENT("Processing %s", m_sFileName);
printf("Processing %s\n",m_sFileName);
fh = fopen(m_sFileName,"a+");
if (fh == nullptr)
{
WARN("Can not open %s", m_sFileName);
it0++;
continue;
}
ct = it0->second;
ct->GetSegmentInfo(&m_ctrl);
iSize0 = m_ctrl.m_dwSegmentEndTime[0] - m_ctrl.m_dwSegmentBeginTime[0] + 1;
iSize0 = iSize0 / m_ctrl.m_wnSeconds * m_ctrl.m_wmQuotes ;
if(iSize0<2)
iSize0 = 2;
iSize1 = m_ctrl.m_dwSegmentEndTime[1] - m_ctrl.m_dwSegmentBeginTime[1] + 1;
iSize1 = iSize1 / m_ctrl.m_wnSeconds * m_ctrl.m_wmQuotes ;
if(iSize1<2)
iSize1 = 2;
dPrice0 = new double[iSize0+iSize1];
ct->GetQuoteLastPrice(0, iSize0, dPrice0, nullptr,&dHigh, &dLow, &dPre);
ct->GetQuoteLastPrice(1, iSize1, &(dPrice0[iSize0]), nullptr,&dHigh, &dLow, &dPre);
it1 = m_right.begin();
while (it1 != m_right.end())
{
f_calc_cor(fh,dPrice0,iSize0,iSize1,it1->second,m_sInstrumentID);
it1++;
}
delete [] dPrice0;
fclose(fh);
it0 ++;
}
f_unload_set(&m_left);
f_unload_set(&m_right);
}