private void RunCurrentPeriodInstructions(
Bar[] lastPeriodTradingData,
Bar[] currentPeriodTradingData,
DateTime time)
{
var readyInstructions = new List <Tuple <Instruction, double> >(_currentPeriodInstructions.Count);
foreach (var instruction in _currentPeriodInstructions)
{
var tradingObjectIndex = instruction.TradingObject.Index;
var currentBarOfObject = currentPeriodTradingData[tradingObjectIndex];
if (currentBarOfObject.Time == Bar.InvalidTime)
{
_context.Log(string.Format("the data for trading object {0} is invalid, can't execute instruction", instruction.TradingObject.Code));
continue;
}
// exclude 开盘涨停/跌停
var lastBarOfObject = lastPeriodTradingData[tradingObjectIndex];
const double MaxChangesCoefficient = 0.99;
if (lastBarOfObject.Time != Bar.InvalidTime)
{
if (instruction.Price.Option == TradingPriceOption.OpenPrice ||
instruction.Price.Option == TradingPriceOption.CustomPrice)
{
double priceChangeRatio = Math.Abs(currentBarOfObject.OpenPrice - lastBarOfObject.ClosePrice) / lastBarOfObject.ClosePrice;
if (instruction.Action == TradingAction.OpenLong &&
priceChangeRatio >= instruction.TradingObject.LimitUpRatio * MaxChangesCoefficient)
{
_context.Log(
string.Format(
"{0} price {1:0.0000} hit limit up in {2:yyyy-MM-dd}, failed to execute transaction",
instruction.TradingObject.Code,
currentBarOfObject.OpenPrice,
time));
continue;
}
if (instruction.Action == TradingAction.CloseLong &&
priceChangeRatio >= instruction.TradingObject.LimitDownRatio * MaxChangesCoefficient)
{
_context.Log(
string.Format(
"{0} price {1:0.0000} hit limit down in {2:yyyy-MM-dd}, failed to execute transaction",
instruction.TradingObject.Code,
currentBarOfObject.OpenPrice,
time));
continue;
}
}
}
// exclude 一字板
if (currentBarOfObject.HighestPrice == currentBarOfObject.LowestPrice)
{
if ((currentBarOfObject.LowestPrice < lastBarOfObject.ClosePrice &&
instruction.Action == TradingAction.CloseLong) ||
(currentBarOfObject.LowestPrice > lastBarOfObject.ClosePrice &&
instruction.Action == TradingAction.OpenLong))
{
_context.Log(
string.Format(
"{0} price is locked down in {1:yyyy-MM-dd}, failed to execute transaction",
instruction.TradingObject.Code,
time));
}
continue;
}
double price = CalculateTransactionPrice(
currentBarOfObject,
lastBarOfObject,
instruction);
// Exclude unrealistic price.
if ((_settings.IsLowestPriceAchievable && price < currentBarOfObject.LowestPrice) ||
(!_settings.IsLowestPriceAchievable && price <= currentBarOfObject.LowestPrice) ||
price > currentBarOfObject.HighestPrice)
{
_context.Log(
string.Format(
"{0} price {1:0.000} in {2:yyyy-MM-dd} is not achievable",
instruction.TradingObject.Code,
price,
time));
continue;
}
readyInstructions.Add(Tuple.Create(instruction, price));
}
int totalNumberOfObjectsToBeEstimated = readyInstructions.Count(t => t.Item1.Action == TradingAction.OpenLong);
int maxNewPositionCount = _strategy.GetMaxNewPositionCount(totalNumberOfObjectsToBeEstimated);
var pendingTransactions = new List <Transaction>(readyInstructions.Count);
foreach (var readyInstruction in readyInstructions)
{
var instruction = readyInstruction.Item1;
double price = readyInstruction.Item2;
if (instruction.Action == TradingAction.OpenLong)
{
if (maxNewPositionCount <= 0)
{
_context.Log(string.Format(
"Max new position count reached, ignore this instruction: {0}/{1}. //{2}",
instruction.TradingObject.Code,
instruction.TradingObject.Name,
instruction.Comments));
continue;
}
_strategy.EstimateStoplossAndSizeForNewPosition(instruction, price, totalNumberOfObjectsToBeEstimated);
if (instruction.Volume == 0)
{
_context.Log(string.Format(
"The volume of instruction for {0}/{1} is 0. //{2}",
instruction.TradingObject.Code,
instruction.TradingObject.Name,
instruction.Comments));
continue;
}
--maxNewPositionCount;
}
var transaction = BuildTransactionFromInstruction(
instruction,
time,
price);
pendingTransactions.Add(transaction);
}
// always execute transaction according to the original order, so the strategy itself
// can decide the order.
foreach (var transaction in pendingTransactions)
{
ExecuteTransaction(transaction, true);
}
// compact pending instruction list
_currentPeriodInstructions.Clear();
}