//tick加载
private void LoadDataTick(int rid)
{
DataGridViewRow row = this.DataGridViewStrategies.Rows[rid];
var inst = row.Cells["Instrument"].Value.ToString();
var instOrder = row.Cells["InstrumentOrder"].Value.ToString();
var interval = row.Cells["Interval"].Value.ToString();
var stra = _dicStrategies[row.Cells["StraName"].Value.ToString()];
var begin = ((DateTime)row.Cells["BeginDate"].Value).ToString("yyyyMMdd");
var end = row.Cells["EndDate"].Value == null?DateTime.Today.ToString("yyyyMMdd") : ((DateTime)row.Cells["EndDate"].Value).ToString("yyyyMMdd");
Data data = new Data
{
Interval = int.Parse(interval.Split(' ')[1]),
IntervalType = (EnumIntervalType)Enum.Parse(typeof(EnumIntervalType), interval.Split(' ')[0]),
Instrument = inst,
InstrumentOrder = instOrder,
};
//需处理成按合约取品种(期权规则与期货不同)
Instrument instInfo;
Product procInfo;
if (!_dataProcess.InstrumentInfo.TryGetValue(inst, out instInfo) || !_dataProcess.ProductInfo.TryGetValue(instInfo.ProductID, out procInfo))
{
LogError("无合约对应的品种信息");
return;
}
data.InstrumentInfo = new InstrumentInfo
{
InstrumentID = inst,
ProductID = instInfo.ProductID,
PriceTick = procInfo.PriceTick,
VolumeMultiple = procInfo.VolumeTuple,
};
this.DataGridViewStrategies.EndEdit();
this.DataGridViewStrategies.Refresh();
new Thread(() =>
{
row.Cells["TickLoad"].Value = "加载中...";
//=>初始化策略/回测
stra.Init(data);
stra.EnableTick = true; //允许接收tick数据
List <string> insts = new List <string>(); //需要处理的合约
if (data.Instrument.EndsWith("000"))
{
//_dicTick000[data.Instrument] = new Tick { InstrumentID = data.Instrument };//对于xx000需要先有数据保存
insts.AddRange(_dataProcess.InstrumentInfo.Where(n => n.Value.ProductID == _dataProcess.InstrumentInfo[data.Instrument].ProductID).Select(n => n.Key).ToArray());
}
else
{
insts.Add(data.Instrument);
}
foreach (var day in new DirectoryInfo("Y:\\_tick").GetFiles("*.csv").Select(n => n.Name.Replace(n.Extension, "")).OrderBy(n => n))
{
if (day.CompareTo(begin) < 0 || day.CompareTo(end) > 0)
{
continue;
}
_tradingDay = day;
//var reader = new StreamReader($"y:\\_tick\\{day}.csv");
//while (!string.IsNullOrEmpty(line = reader.ReadLine()))
var list = new List <MarketData>();
foreach (var line in File.ReadAllLines($"y:\\_tick\\{day}.csv"))
{ //ag1209,5929,2,5915,9,5929,8,19542,88935,20120814,08:59:00,500
string[] fs = line.Split(',');
if (insts.IndexOf(fs[0]) < 0)
{
continue;
}
list.Add(new MarketData
{
InstrumentID = fs[0],
AskPrice = double.Parse(fs[1]),
AskVolume = int.Parse(fs[2]),
BidPrice = double.Parse(fs[3]),
BidVolume = int.Parse(fs[4]),
LastPrice = double.Parse(fs[5]),
Volume = int.Parse(fs[6]),
OpenInterest = double.Parse(fs[7]),
AveragePrice = double.Parse(fs[8]),
UpdateTime = $"{fs[9]} {fs[10]}", //模仿原始tick不加日期 $"{fs[9]} {fs[10]}",
UpdateMillisec = int.Parse(fs[11]),
});
}
list = list.OrderBy(n => n.UpdateTime).ToList();
int i = 0;
foreach (var tick in list)
{
tick.UpdateTime = tick.UpdateTime.Split(' ')[1];
quote_OnRtnTick(null, new TickEventArgs {
Tick = tick
});
row.Cells["TickLoad"].Value = $"{++i}/{list.Count}";
Thread.Sleep(1); //行情太快时由于多线程处理,造成bug
}
}
LogInfo($"{stra.Name,8},策略加载数据完成.");
this.DataGridViewStrategies.Rows[rid].Cells["TickLoad"].Value = "已加载";
this.DataGridViewStrategies.Rows[rid].Cells["Loaded"].Value = "已加载";
this.DataGridViewStrategies.Rows[rid].ReadOnly = true;
}).Start();
}
//加载测试指定行的策略的
private void LoadDataBar(int rid)
{
DataGridViewRow row = this.DataGridViewStrategies.Rows[rid];
var inst = row.Cells["Instrument"].Value.ToString();
var instOrder = row.Cells["InstrumentOrder"].Value.ToString();
var interval = row.Cells["Interval"].Value.ToString();
var stra = _dicStrategies[row.Cells["StraName"].Value.ToString()];
var begin = ((DateTime)row.Cells["BeginDate"].Value).ToString("yyyyMMdd");
var end = row.Cells["EndDate"].Value == null?DateTime.Today.AddDays(7).ToString("yyyyMMdd") : ((DateTime)row.Cells["EndDate"].Value).AddDays(1).ToString("yyyyMMdd");
this.DataGridViewStrategies.Rows[rid].Cells["Loaded"].Value = "加载中...";
Data data = new Data
{
Interval = int.Parse(interval.Split(' ')[1]),
IntervalType = (EnumIntervalType)Enum.Parse(typeof(EnumIntervalType), interval.Split(' ')[0]),
Instrument = inst,
InstrumentOrder = instOrder,
};
//需处理成按合约取品种(期权规则与期货不同)
Instrument instInfo;
Product procInfo;
if (!_dataProcess.InstrumentInfo.TryGetValue(inst, out instInfo) || !_dataProcess.ProductInfo.TryGetValue(instInfo.ProductID, out procInfo))
{
LogError("无合约对应的品种信息");
return;
}
data.InstrumentInfo = new InstrumentInfo
{
InstrumentID = inst,
ProductID = instInfo.ProductID,
PriceTick = procInfo.PriceTick,
VolumeMultiple = procInfo.VolumeTuple,
};
this.DataGridViewStrategies.EndEdit();
this.DataGridViewStrategies.Refresh();
List <Bar> bars = null;
if (data.IntervalType != EnumIntervalType.Sec) // == EnumIntervalType.Min || data.IntervalType == EnumIntervalType.Hour)
{
bars = _dataProcess.QueryMin(inst, begin, end).Select(n => new Bar
{
D = DateTime.ParseExact(n._id, "yyyyMMdd HH:mm:ss", null),
TradingDay = int.Parse(n.TradingDay),
O = n.Open,
H = n.High,
L = n.Low,
C = n.Close,
V = n.Volume,
I = n.OpenInterest,
}).ToList();
// 取当日数据
if (row.Cells["EndDate"].Value == null)
{
var listReal = _dataProcess.QueryReal(inst);
bars = (bars ?? new List <Bar>());
if (listReal != null)
{
bars.AddRange(listReal.Select(n => new Bar
{
D = DateTime.ParseExact(n._id, "yyyyMMdd HH:mm:ss", null),
TradingDay = int.Parse(n.TradingDay),
O = n.Open,
H = n.High,
L = n.Low,
C = n.Close,
V = n.Volume,
I = n.OpenInterest
}).ToList());
}
}
}
//else //取日线数据
// bars = _dataProcess.QueryDay(inst, begin, end).Select(n => new Bar
// {
// D = DateTime.ParseExact(n._id, "yyyyMMdd", null),
// O = n.Open,
// H = n.High,
// L = n.Low,
// C = n.Close,
// V = n.Volume,
// I = n.OpenInterest
// }).ToList();
//=>初始化策略/回测
stra.Init(data);
stra.LoadHistory(Tuple.Create(data, bars));
//未设置结束日期=>可订阅并接收行情
if (row.Cells["EndDate"].Value == null && _q != null)
{
stra.EnableTick = true;
foreach (var v in stra.Datas)
{
LogInfo($"行情订阅:{v.Instrument}");
SubscribeInstrument(v.Instrument);
SubscribeInstrument(v.InstrumentOrder);
}
}
LogInfo($"{stra.Name,8},策略加载数据完成.");
this.DataGridViewStrategies.Rows[rid].Cells["Loaded"].Value = "已加载";
this.DataGridViewStrategies.Rows[rid].Cells["TickLoad"].Value = "已加载";
if (!_offline)
{
var colIdx = this.DataGridViewStrategies.Columns.IndexOf(this.DataGridViewStrategies.Columns["Order"]);
if (!(bool)this.DataGridViewStrategies[colIdx, rid].Value) //未被选中
{
var rect = this.DataGridViewStrategies.GetCellDisplayRectangle(colIdx, rid, false);
this.toolTip1.Show("勾选'委托',对接口下单.", this.DataGridViewStrategies, rect.X + 30, rect.Y + 20, 3000);
}
}
}
public UpperPeriod UpperPeriod(Data data, int inteval, EnumIntervalType type)
{
return(Indicator.UpperPeriod(data.C, data.CurrentMinBar, inteval, type));
}
