private void Open(double price, double qty, OpenType ot, SecurityInfo si, TickData td, string tr)
{
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.PolicyName1 = this.policyName;
arg.SecInfo = si;
arg.IsReal = currentTick.IsReal;
OpenPoint op = new OpenPoint();
op.SecInfo = si;
op.OpenTime = td.Time;
op.OpenPrice = price;
op.OpenType = ot;
op.OpenQty = qty;
op.DealQty = 0;
op.Openop = true;
op.FirstTradePriceType = parameter.EnterOrderPriceType;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = parameter.ReEnterPercent;
TradePoints tp = new TradePoints(op, 0);
tp.Fee = parameter.Fee;
tp.TpRemark = tr;
/////////////add//////////////////////
tp.IsReal = arg.IsReal;
this.tps.TryAdd(tp.TradeGuid, tp);
arg.PairePoint = tp;
arg.PolicyObject = this;
arg.Tickdata = td;
RaiseResult(arg);
}
/// <summary>
/// Constructor with all data
/// </summary>
/// <param name="d"></param>
public GenericStrategy(AnalysisData d)
{
this.data = d;
this.adviceInfo = new TradePoints();
this.last_position = 0;
this.trailing_stop = -1;
}
/// <summary>
/// constructor
/// </summary>
public GenericStrategy()
{
if (adviceInfo == null)
{
adviceInfo = new TradePoints();
}
}
//todo https://github.com/aspnet/EntityFrameworkCore/issues/1100
public async Task <TradePoint[]> GetNearestAsync(Location location, double radius)
{
var sql = $"SELECT * FROM {GetTableName(typeof(TradePoint))} " +
$"WHERE Location.STDistance({ToPoint(location)}) <= {radius.ToString(CultureInfo.InvariantCulture)}";
return(await TradePoints.FromSql(sql).Include(tp => tp.Type).ToArrayAsync().ConfigureAwait(false));
}
override public TradePoints Execute(application.Data data, int[] parameters)
{
//application.Data vnidxData1 = data.New("^VNINDEX");
adviceInfo = new TradePoints();
DataSeries minusDmi_14 = new Indicators.MinusDI(data.Bars, parameters[0], "");
DataSeries plusDmi_14 = new Indicators.PlusDI(data.Bars, parameters[1], "");
AppTypes.MarketTrend lastTrend = AppTypes.MarketTrend.Unspecified;
AppTypes.MarketTrend currentTrend = AppTypes.MarketTrend.Unspecified;
for (int idx = 0; idx < minusDmi_14.Count; idx++)
{
currentTrend = ((plusDmi_14[idx] > minusDmi_14[idx]) ? AppTypes.MarketTrend.Upward : AppTypes.MarketTrend.Downward);
if (lastTrend == AppTypes.MarketTrend.Downward && currentTrend == AppTypes.MarketTrend.Upward)
{
BuyAtClose(idx);
}
if (lastTrend == AppTypes.MarketTrend.Upward && currentTrend == AppTypes.MarketTrend.Downward)
{
SellAtClose(idx);
}
lastTrend = currentTrend;
}
return(adviceInfo);
}
private void button1_Click(object sender, EventArgs e)
{
var guid = ReportTree.SelectedNode.Name;
var bill = TradePoints.FirstOrDefault(x => x.Guid.ToString() == guid);
var spendingGroup = SpendingGroupComboBox.SelectedItem;
var gr = SpendingGroups.First(x => x.Name == spendingGroup);
gr.Marks.Add(bill.GroupDesc);
DoGood_Click(null, null);
SaveSettingsBtn.Enabled = true;
}
/// <summary>
/// Constructor with all data and parameter
/// </summary>
/// <param name="d"></param>
/// <param name="p"></param>
public GenericStrategy(AnalysisData d, Parameters p)
{
this.data = d;
this.parameters = p;
if (adviceInfo == null)
{
this.adviceInfo = new TradePoints();
}
this.last_position = 0;
this.trailing_stop = -1;
}
//virtual public TradePoints Execute(AnalysisData data, double[] paras)
virtual public TradePoints Execute(AnalysisData data, double[] paras)
{
this.data = data;
parameters = new Parameters(paras);
//??Bug fixed by Dung 11 Nov 2011
if (adviceInfo == null)
{
adviceInfo = new TradePoints();
}
StrategyExecute();
return(adviceInfo);
}
private void Open(double price, double qty, OpenType ot, SecurityInfo si, TickData td, double zhuidan, string _tr = "")
{
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.PolicyName1 = this.policyName;
arg.SecInfo = si;
arg.IsReal = currentTick.IsReal;
OpenPoint op = new OpenPoint();
op.SecInfo = si;
op.OpenTime = td.Time;
op.OpenPrice = price;
op.OpenType = ot;
op.OpenQty = qty;
op.DealQty = 0;
op.Openop = true;
if (zhuidan < 0)
{
op.FirstTradePriceType = parameter.EnterOrderPriceType;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = zhuidan;
}
else
{
op.FirstTradePriceType = TradeSendOrderPriceType.Market;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = zhuidan;
}
openPoints.Add(op);
string tr = _tr;
if (tr == "")
{
tr = DateTime.Now.ToString("yyyyMMddHHmmss");
}
TradePoints tp = new TradePoints(op, 0);
tp.TpRemark = tr;
tp.Fee = parameter.Fee;
tp.IsReal = arg.IsReal;
this.tps.Add(tp);
arg.PairePoint = tp;
arg.Tickdata = currentTick;
RaiseResult(arg);
}
private TreeNode CreateTreeNode(SpendingGroup spendingGroup)
{
var node = new TreeNode();
double summ = 0;
var count = 0;
foreach (var mark in spendingGroup.Marks)
{
var tradePoint = TradePoints.FirstOrDefault(x => x.GroupDesc.Contains(mark));
if (tradePoint != null)
{
summ += tradePoint.MainSumm;
count += tradePoint.Bills.Count();
node.Nodes.Add(tradePoint.Guid.ToString(), tradePoint.ToString());
TradePoints.Remove(tradePoint);
}
}
node.Text = $"{spendingGroup.Name}. Сумма: {summ}. Счетов: {count}";
return(node);
}
private void Open(double price, double qty, OpenType ot)
{
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.PolicyName1 = this.policyName;
arg.SecInfo = this.SecInfo;
arg.IsReal = currentTick.IsReal;
OpenPoint op = new OpenPoint();
op.SecInfo = currentTick.SecInfo;
op.OpenTime = currentTick.Time;
op.OpenPrice = price;
op.OpenType = ot;
op.OpenQty = qty;
op.DealQty = 0;
op.Openop = true;
op.FirstTradePriceType = parameter.EnterOrderPriceType;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = parameter.ReEnterPercent;
//op.CancelLimitTime = 60;
//op.ReEnterPecentage = 0.05;
openPoints.Add(op);
TradePoints tp = new TradePoints(op, 0);
tp.Fee = parameter.Fee;
/////////////add//////////////////////
tp.IsReal = arg.IsReal;
this.tps.Add(tp);
arg.PairePoint = tp;
arg.Tickdata = currentTick;
open_complete = 1;
RaiseResult(arg);
}
public override void Notify(Guid tradeGuid, OpenStatus status, double dealQty = 0, double dealPrice = 0, string weituobianhao = "", string pendWeituobianhao = "")
{
if (tps.ContainsKey(tradeGuid))
{
TradePoints t = tps[tradeGuid];
if (t.TradeGuid == tradeGuid)
{
if (status == OpenStatus.Opened)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
t.Status = OpenStatus.Opened;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓通知，成交数量:{1}", this.policyName, dealQty)));
}
else if (status == OpenStatus.Open)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓下单通知", this.policyName)));
}
else if (status == OpenStatus.OpenPending)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收入场追单通知", this.policyName)));
}
else if (status == OpenStatus.Failed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受失败通知", this.policyName)));
}
else if (status == OpenStatus.PartOpend)
{
if (dealQty > (t.EnterPoint.DealQty - t.EnterPoint.PartDealQty))
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
t.EnterPoint.DealQty = dealQty + t.EnterPoint.PartDealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分入场成交通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.OpenRest)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
if (t.EnterPoint.DealQty == 0)
{
t.Finished = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.OpenCanceled)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = currentTick.Ask;
}
else
{
openPrice = currentTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = SecondTick.Ask;
}
else
{
openPrice = SecondTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecondSi,
SecondTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.CloseCanceled)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受出场撤单通知", this.policyName)));
}
}
}
}
