public void OnExecutionReport(ExecutionReport report)
{
DualPositionRecord record = GetPositionRecord(report.Instrument);
// 更新对应的持仓信息
record.OnExecutionReport(report);
// 加入定时器，用于定时跟单功能
switch (report.ExecType)
{
case SmartQuant.ExecType.ExecTrade:
OnOrderFilled(report.Order, record);
break;
case SmartQuant.ExecType.ExecRejected:
OnOrderRejected(report.Order, record);
break;
case SmartQuant.ExecType.ExecCancelReject:
OnOrderCancelReject(report.Order);
break;
case SmartQuant.ExecType.ExecCancelled:
OnOrderCancelled(report.Order);
break;
case SmartQuant.ExecType.ExecNew:
OnPendingNewOrder(report.Order);
break;
}
}
/// <summary>
/// 处理核心
/// </summary>
public virtual void Process(DualPositionRecord record, double price)
{
// 得到仓差
double diff = record.TargetPosition - record.CurrentPosition;
if (diff != 0 &&
record.IsDone)
{
// 先标记成处理中，防止再次进入
record.IsDone = false;
if (diff > 0)
{
// 增多仓
Order order1 = BuyOrder(record.Instrument, diff, record.Text);
Order order2 = OpenCloseHelper.RebuildOrder(record, order1);
OpenCloseHelper.Send(order2);
}
else
{
// 增空仓
Order order1 = SellOrder(record.Instrument, -diff, record.Text);
Order order2 = OpenCloseHelper.RebuildOrder(record, order1);
OpenCloseHelper.Send(order2);
}
}
}
private void OnOrderFilled(Order order, DualPositionRecord record)
{
// 当前单子成交后，立即发接下来的新单
if (OpenCloseHelper.SendNext(order))
{
// 表示还在发单，所以状态必须改成一样的
record.IsDone = false;
}
}
protected override void OnBarOpen(Instrument instrument, Bar bar)
{
if (MaxBarSize == bar.Size)
{
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
InstrumentStrategyHelper.ChangeTradingDay(record);
// 2.同步持仓
//SyncPosition();
}
}
public void ChangeTradingDay(DualPositionRecord record)
{
if (TimeHelper.BeginOfDay > TimeHelper.EndOfDay)
{
// 夜盘
if (TimeHelper.GetTime(framework.Clock.DateTime) > TimeHelper.EndOfDay &&
TimeHelper.GetTime(framework.Clock.DateTime) < TimeHelper.BeginOfDay)
{
record.ChangeTradingDay();
}
}
else
{
if (TimeHelper.GetTime(framework.Clock.DateTime) > TimeHelper.EndOfDay ||
TimeHelper.GetTime(framework.Clock.DateTime) < TimeHelper.BeginOfDay)
{
record.ChangeTradingDay();
}
}
}
private void OnOrderRejected(Order order, DualPositionRecord record)
{
// 1.非交易时间
// 2.超出涨跌停
// 3.报单错误
OpenCloseType OpenClose = OpenCloseHelper.GetOpenClose(order);
if (OpenClose == OpenCloseType.Open)
{
// 1.资金不足
// 开仓被拒绝，需要返回原持仓
}
else
{
// 1.可平手数不足
}
// 是重试N次还是立即还原呢？就算是立即还原，会由于行情满足会再次进入
// 这种方法还原是否可行？
record.TargetPosition = record.CurrentPosition;
}
protected override void OnBar(Instrument instrument, Bar bar)
{
StrategyHelper.StatisticsHelper.Update(instrument, bar.Close);
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
if (MaxBarSize == bar.Size)
{
bars86400.Add(bar);
return;
}
else
{
Log(bar, barsGroup);
}
if (HH.Count > 0)
{
Log(HH.Last, hhGroup);
Log(HC.Last, hcGroup);
Log(LC.Last, lcGroup);
Log(LL.Last, llGroup);
}
// Update performance.
Portfolio.Performance.Update();
// Log equity.
Log(Portfolio.Value, equityGroup);
do
{
// 尾盘平仓
if (TimeHelper.GetTime(Clock.DateTime) > 1500 && TimeHelper.GetTime(Clock.DateTime) < 2100)
{
record.TargetPosition = 0;
break;
}
double price = bar.Close;
double NetQty = record.CurrentPosition;
if (NetQty == 0)
{
if (price >= UpperBand)
{
record.TargetPosition = 1;
}
if (price <= LowerBand)
{
record.TargetPosition = -1;
}
}
else if (NetQty > 0)
{
if (price <= LowerBand)
{
record.TargetPosition = -1;
}
}
else if (NetQty < 0)
{
if (price >= UpperBand)
{
record.TargetPosition = 1;
}
}
// 策略改进:14:00以后了只让平仓，不让开仓
if (TimeHelper.GetTime(Clock.DateTime) > 1400)
{
record.FilterCloseOnly();
}
// 策略改进:达到当日亏损次数上限和当日连续亏损次数上限后不让开仓
if (dailyNumOfLossTrades.TotalValue >= MaxLoss || dailyConsecutiveLossTrades.TotalValue >= MaxConsecutiveLoss)
{
record.FilterCloseOnly();
}
} while (false);
InstrumentStrategyHelper.Process(record, bar.Close);
//// 价格达到涨跌停
//if (bar.Close >= UpperLimitPrice)
//{
// //// 这个地方方向是否有问题？会不会将我在这个地方的反方向开仓给平了？
// //StrategyHelper.ClosePosition(Position, "涨跌停平仓");
// //// 由于在这之前已经先达到了
// // 01.19 判断一下持仓方向，然后决定是否平仓（如涨停时，持有多仓则不应平仓）
// if (HasShortPosition(instrument))
// {
// StrategyHelper.ClosePosition(Position, "涨停平仓");
// }
// return;
//}
//else if (bar.Close <= LowerLimitPrice)
//{
// // 01.19 判断一下持仓方向，然后决定是否平仓（如跌停时，持有空仓则不应平仓）
// if (HasLongPosition(instrument))
// {
// StrategyHelper.ClosePosition(Position, "跌停平仓");
// }
//}
// 开仓条件
//if (bar.Close >= UpperBand)
//{
// if (HasShortPosition(instrument))
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (!HasPosition(instrument))
// {
// if (!flgLongStopped)
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (bar.Close > TrailingPrice.HighestAfterEntry)
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// }
//}
//if (bar.Close <= LowerBand)
//{
// if (HasLongPosition(instrument))
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (!HasPosition(instrument))
// {
// if (!flgShortStopped)
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (bar.Close < TrailingPrice.LowestAfterEntry)
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// }
//}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
// Add bar to bar series.
if (MaxBarSize == bar.Size)
{
bars86400.Add(bar);
return;
}
else
{
bars60.Add(bar);
Log(bar, bars60Group);
}
//if (!SuspendTrading)
//{
// Console.WriteLine("fastSMA.Count = {0}", fastSMA.Count);
// Console.WriteLine("slowSMA.Count = {0}", slowSMA.Count);
//}
if (fastSMA.Count <= 0)
{
return;
}
Log(fastSMA.Last, fastSmaGroup);
if (slowSMA.Count <= 0)
{
return;
}
Log(slowSMA.Last, slowSmaGroup);
// Update performance.
Portfolio.Performance.Update();
// Log equity.
Log(Portfolio.Value, equityGroup);
if (SuspendTrading)
{
return;
}
do
{
// 尾盘平仓
if (TimeHelper.GetTime(Clock.DateTime) > 1500 && TimeHelper.GetTime(Clock.DateTime) < 2055)
{
record.TargetPosition = 0;
break;
}
// 开仓条件
Cross cross = fastSMA.Crosses(slowSMA, bar.DateTime);
switch (cross)
{
case Cross.Above:
record.TargetPosition = 1;
record.Text = "上行";
break;
case Cross.Below:
record.TargetPosition = -1;
record.Text = "下行";
break;
}
}while(false);
InstrumentStrategyHelper.Process(record, bar.Close);
}
