Beispiel #1
0
        public static void UpdateHp(string symbol, char dealType, int tp, int sl, string where, System.Data.DataTable dt = null, bool deleteFirst = false)
        {
            if (dt == null)
            {
                dt = GetUpdateHpMainTable(symbol, where);
            }
            System.Console.WriteLine(string.Format("UpdateHp of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));

            if (deleteFirst)
            {
                string sql = string.Format("DELETE FROM {0}_HP WHERE DealType = '{1}' AND Tp = {2} AND Sl = {3} AND {4}",
                    symbol, dealType, tp, sl,
                    string.IsNullOrEmpty(where) ? "1=1" : where);
                DbHelper.Instance.ExecuteNonQuery(sql);
            }

            ISimulateStrategy strategy;// = new TpSlSimulateStrategy(0.0070, 0.0035);
            var simulationData = SimulationData.Instance.Init(symbol);
            strategy = new TpSlM1SimulateStrategy(symbol, tp * 0.0001, sl * 0.0001, simulationData);
            //strategy = new BreakEvenM1SimulateStrategy(0.0080, 0.0030, 0.0030);
            //strategy = new PriceProbSimulationStrategy(60, 0.0600);

            System.Data.DataTable dt2 = new System.Data.DataTable();
            dt2.Columns.Add(new System.Data.DataColumn("Time", typeof(long)));
            dt2.Columns.Add(new System.Data.DataColumn("DealType", typeof(string)));
            dt2.Columns.Add(new System.Data.DataColumn("Tp", typeof(int)));
            dt2.Columns.Add(new System.Data.DataColumn("Sl", typeof(int)));
            dt2.Columns.Add(new System.Data.DataColumn("hp", typeof(int)));
            dt2.Columns.Add(new System.Data.DataColumn("hp_date", typeof(DateTime)));
            foreach (System.Data.DataRow row in dt.Rows)
            {
                DateTime date = (DateTime)row["Date"];

                DateTime? closeDate;
                bool? hp;
                if (dealType == 'B')
                    hp = strategy.DoBuy(date, (double)row["Close"], out closeDate);
                else if (dealType == 'S')
                    hp = strategy.DoSell(date, (double)row["Close"], out closeDate);
                else
                    throw new ArgumentException("Invalid dealtype of " + dealType);

                System.Data.DataRow row2 = dt2.NewRow();
                row2["Time"] = row["Time"];
                row2["DealType"] = dealType;
                row2["Tp"] = tp;
                row2["Sl"] = sl;
                row2["hp"] = hp == null ? (object)System.DBNull.Value : hp;
                row2["hp_date"] = closeDate == null ? (object)System.DBNull.Value : closeDate;
                dt2.Rows.Add(row2);
            }
            DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
            //System.Threading.ThreadPool.QueueUserWorkItem(new System.Threading.WaitCallback((o) =>
            //    {
            //        System.Console.WriteLine(string.Format("UpdateWriteHp Start of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));
            //        DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
            //        System.Console.WriteLine(string.Format("UpdateWriteHp End of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));
            //    }));
        }
Beispiel #2
0
        public static void CheckHpData2()
        {
            string symbol = "EURUSD";
            var simulationData = SimulationData.Instance.Init(symbol);
            int tp = 20;
            int sl = 20;
            var x = new TpSlM1SimulateStrategy(symbol, tp * 10, sl * 10, simulationData);
            var y = new DbSimulationStrategy(symbol, tp * 10, sl * 10);

            DateTime openDate = WekaUtils.GetDateFromTime(946859400);
            int ntp = 0, nfp = 0;
            for (int i = 0; i < 48; ++i)
            {
                var d = openDate.AddMinutes(30 * i);
                DateTime? closeDate;
                var hp = x.DoBuy(d, -1, out closeDate);
                if (hp.Value)
                    ntp++;
                else
                    nfp++;

                DateTime? closeDate2;
                var hp2 = y.DoBuy(d, -1, out closeDate2);
                WekaUtils.DebugAssert(hp == hp2, "hp == hp2");
                WekaUtils.DebugAssert(closeDate == closeDate2, "closeDate == closeDate2");
            }
            ntp = 0; nfp = 0;
            for (int i = 0; i < 48; ++i)
            {
                var d = new DateTime(2006, 6, 19).AddMinutes(30 * i);
                DateTime? closeDate;
                var hp = x.DoSell(d, -1, out closeDate);
                if (hp.Value)
                    ntp++;
                else
                    nfp++;

                DateTime? closeDate2;
                var hp2 = y.DoSell(d, -1, out closeDate2);
                WekaUtils.DebugAssert(hp == hp2, "hp == hp2");
                WekaUtils.DebugAssert(closeDate == closeDate2, "closeDate == closeDate2");
            }
        }