void updateGraphData(KLine _curK)
{
//上下Range 45根高低點 + 10%
int min_rr = 9999999;
int max_rr = -9999999;
if (m_KLdata_30Min.Count >= parent.m_numBarFocused)
{
for (int k = 1; k < (parent.m_numBarFocused + 1); k++)
{
KLine curKL = m_KLdata_30Min[m_KLdata_30Min.Count - k];
if (curKL.highest > max_rr)
{
max_rr = curKL.highest;
}
if (curKL.lowest < min_rr)
{
min_rr = curKL.lowest;
}
}
int rng = Math.Abs(max_rr - min_rr);
double rng10perc = rng * 0.1;
max_rr += (int)rng10perc;
min_rr -= (int)rng10perc;
}
else
{
min_rr = 16000;
max_rr = 19000;
}
parent.BeginUpdGraph(_curK, EMA11.Value(), EMA22.Value(), min_rr, max_rr);
}
public void doCleanupInventory()
{
if (g_curDeposite == 0)
{
return;
}
if (m_KLdata_1Hour.Count < 22)
{
return;
}
bool b30minPositive = m_ema11_30Min.Value() > m_ema22_30Min.Value();
bool b30minMacdPositive = m_macd_30Min.HistRecords[m_macd_30Min.HistRecords.Count - 1] > 0;
// 任一條件，均線破線 or macd 翻轉
if ((g_bTradePositive != b30minMacdPositive) || (g_bTradePositive != b30minMacdPositive))
{
KLine _curKL30min = m_KLdata_30Min[m_KLdata_30Min.Count - 1];
g_curDeposite--;
if (g_bTradePositive)
{
totalWinPnt += _curKL30min.close - g_lastDealPrice - 20;
Console.WriteLine("平倉賣出 時間：" + _curKL30min.datetime.ToString() + "賺賠:" + totalWinPnt.ToString());
}
else
{
totalWinPnt += g_lastDealPrice - _curKL30min.close - 20;
Console.WriteLine("平倉買進 時間：" + _curKL30min.datetime.ToString() + "賺賠:" + totalWinPnt.ToString());
}
}
}
public void RecordMACD(KLine _curKL, ref iEMA ema11, ref iEMA ema22, ref iMACD macd)
{
ema11.ReceiveTick(_curKL.close);
ema22.ReceiveTick(_curKL.close);
double DI = ((double)_curKL.close * 2 + _curKL.highest + _curKL.lowest) / 4.0;
macd.ReceiveTick(DI / 100);
}
bool insertNewKLine(TICK tTick, DateTime _time, List <KLine> madata, double interval)
{
bool bNewKLineInserted = false;
//最後一根分k的時間轉 time_t
int cnt = madata.Count;
if (cnt > historyKLCnt)
{
KLine lastK = madata[(cnt - 1)];
DateTime lastKLineTime = lastK.datetime;
//現在已超出最後一根k棒的時間
double timedif = Math.Abs((_time - lastKLineTime).TotalSeconds);
if (timedif >= interval)
{
DateTime tdate = lastKLineTime.AddSeconds(interval);
bNewKLineInserted = true;
KLine kl = new KLine(interval, tdate, tTick.m_nClose, tTick.m_nClose,
tTick.m_nClose, tTick.m_nClose, tTick.m_nQty);
madata.Add(kl);
}
else
{
lastK.close = tTick.m_nClose;
lastK.amount += tTick.m_nQty;
if (tTick.m_nClose < lastK.lowest)
{
lastK.lowest = tTick.m_nClose;
}
else if (tTick.m_nClose > lastK.highest)
{
lastK.highest = tTick.m_nClose;
}
// 上下檔壓力記錄
if (tTick.m_nClose == lastK.open)
{
lastK.OpenCloseHitTime++;
}
lastK.tickAmount++;
}
}
else //一根k棒都沒有
{
//算出當前tick最靠近的一個區間時間，可以在任意時間開啟監看
DateTime curbaseTime = date_RoundDown(_time, TimeSpan.FromSeconds(interval));
KLine kl = new KLine(interval, curbaseTime, tTick.m_nClose, tTick.m_nClose,
tTick.m_nClose, tTick.m_nClose, tTick.m_nQty);
madata.Add(kl);
}
return(bNewKLineInserted);
}
public void RecordMACD(KLine _curKL)
{
EMA11.ReceiveTick(_curKL.close);
EMA22.ReceiveTick(_curKL.close);
double DI = ((double)_curKL.close * 2 + _curKL.highest + _curKL.lowest) / 4.0;
m_iMACD.ReceiveTick(DI / 100);
//Console.WriteLine(_curKL.datetime + " Histogram:" + his.ToString());
}
void insertTodayKLine(TICK tTick, KLine _KL)
{
if (_KL.open == 0)
{
_KL.open = tTick.m_nClose;
}
_KL.close = tTick.m_nClose;
_KL.amount += tTick.m_nQty;
if (tTick.m_nClose < _KL.lowest)
{
_KL.lowest = tTick.m_nClose;
}
else if (tTick.m_nClose > _KL.highest)
{
_KL.highest = tTick.m_nClose;
}
}
void doBuildInventory(KLine newestKL, bool bAttackKLPositive, KLine prevKL = null, bool bAddOn = false)
{
if (bOrderSent)
{
return;
}
// 新倉
if ((g_CurDeposit == 0) && (!bAddOn))
{
if (isDuringMarketTime(g_CurTime))
{
if (bAttackKLPositive)
{
SendOrder(newestKL, tBuySell.Buy, true, prevKL);
}
else
{
SendOrder(newestKL, tBuySell.Sell, true, prevKL);
}
g_b1MinTradePositive = bAttackKLPositive;
g_LastTradeTime = g_CurTime;
lastMovLossTime = newestKL.datetime;
}
}
// 加碼
else if ((g_CurDeposit > 0) && (g_CurDeposit < g_AvailableDeposit)) //&& bAddOn
{
if (isDuringMarketTime(g_CurTime))
{
if (g_b1MinTradePositive)
{
SendOrder(newestKL, tBuySell.Buy, true, prevKL);
}
else
{
SendOrder(newestKL, tBuySell.Sell, true, prevKL);
}
g_LastTradeTime = g_CurTime;
lastMovLossTime = newestKL.datetime;
}
}
}
private void DoDayTradeMACD(List <KLine> KLineData)
{
if (!bDoTrading)
{
return;
}
if (g_bWaitingDeal != waitDealMode.notWaiting)
{
return;
}
KLine _KL = KLineData[KLineData.Count - 2];
double tdiff = (g_CurTime - _KL.datetime).TotalSeconds;
// 發現已經有新K棒剛剛成形
if ((tdiff < (THIRTY_MINUTE + 3)) && (tdiff >= THIRTY_MINUTE))
{
double _ema11 = EMA11.Value();
double _ema22 = EMA22.Value();
double _his = m_iMACD.HistRecords[m_iMACD.HistRecords.Count - 1];
bool bEmaPositive = _ema11 > _ema22;
bool bMACDPositive = _his > 0;
if (g_CurDeposit > 0)
{
// 出場，只要macd方向變就出
if (g_b1MinTradePositive != bMACDPositive)
{
doCleanInventory(_KL, cleanupMode.cleanupMode_KLEnd);
}
}
else
{
// 進場，macd方向跟均線皆同向
if (bMACDPositive == bEmaPositive)
{
doBuildInventory(_KL, bMACDPositive);
}
}
}
}
public void doCleanInventory(KLine newestKL, cleanupMode __mode__ = cleanupMode.cleanupMode_DayEnd)
{
if (g_CurDeposit == 0)
{
return;
}
if (bOrderSent)
{
return;
}
g_cleanUpMode = __mode__;
if (g_b1MinTradePositive)
{
SendOrder(newestKL, tBuySell.Sell, false);
}
else
{
SendOrder(newestKL, tBuySell.Buy, false);
}
}
public bool ReceiveData(ref int cnt, ref KLine _KL, ref List <KLine> _lst,
ref iEMA _ema11, ref iEMA _ema22, ref iMACD _macd,
int period, DateTime _CurTime,
int open, int highest, int lowest, int close, int amount)
{
cnt++;
if (cnt == 1)
{
_KL = new KLine(FIFTEEN_MINUTES, _CurTime, open, highest, lowest, close, amount);
}
else
{
_KL.amount += amount;
if (lowest < _KL.lowest)
{
_KL.lowest = lowest;
}
else if (highest > _KL.highest)
{
_KL.highest = highest;
}
if (cnt == period / ONE_MINUTE)
{
_KL.close = close;
_KL.datetime = g_CurTime;
_lst.Add(_KL);
cnt = 0;
//記錄MACD
RecordMACD(_KL, ref _ema11, ref _ema22, ref _macd);
//K棒收集完成
return(true);
}
}
return(false);
}
// 當沖最後平倉時間
void dayTradCleanInventory_EndDay(List <KLine> KLineData)
{
if (KLineData == null)
{
return;
}
if (g_bWaitingDeal != waitDealMode.notWaiting)
{
return;
}
// 有倉位，而且到接近收盤時間
if ((isTimeToCleanInventory1MinK(g_CurTime)) && (g_CurDeposit > 0))
{
int cnt = KLineData.Count;
if (cnt < 1)
{
return;
}
KLine newestKL = KLineData[cnt - 1];
doCleanInventory(newestKL, cleanupMode.cleanupMode_DayEnd);
}
}
void collectKLineData(TICK tTick, DateTime curT, bool bTicksGet = true)
{
insertTodayKLine(tTick, KLineToday);
if (insertNewKLine(tTick, curT, m_KLdata_30Min, THIRTY_MINUTE))
{
KLine _curK = m_KLdata_30Min[m_KLdata_30Min.Count - 2];
//Console.WriteLine("KL: [op:" + _curK.open.ToString() + "] [cl:" + _curK.close.ToString() + "]");
RecordMACD(_curK);
updateGraphData(_curK);
}
if (!bTicksGet)
{
// K棒結束後2秒內出手(盤中要送單測試暫時關閉)
//DoDayTradeMACD(m_KLdata_30Min);
// 不用平倉
//dayTradCleanInventory_EndDay(m_KLdata_30Min);
}
//如果等不到回報，表示上次的order沒有成交，應該要繼續嘗試強制平倉
if (m_KLdata_30Min.Count > 0)
{
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM))
{
if (g_bWaitingDeal == waitDealMode.waitToCleanInventory)
{
doCleanInventory(m_KLdata_30Min[m_KLdata_30Min.Count - 1], g_cleanUpMode);
}
else if (g_bWaitingDeal == waitDealMode.waitToBuildInventory)
{
doBuildInventory(AttackKL, g_b1MinTradePositive);
}
}
}
}
void updateGraphData(KLine _curK)
{
//上下Range 45根高低點 + 10%
int min_rr = 9999999;
int max_rr = -9999999;
if (m_KLdata_30Min.Count >= parent.m_numBarFocused)
{
for (int k = 1; k < (parent.m_numBarFocused+1); k++)
{
KLine curKL = m_KLdata_30Min[m_KLdata_30Min.Count - k];
if (curKL.highest > max_rr)
max_rr = curKL.highest;
if (curKL.lowest < min_rr)
min_rr = curKL.lowest;
}
int rng = Math.Abs(max_rr - min_rr);
double rng10perc = rng * 0.1;
max_rr += (int)rng10perc;
min_rr -= (int)rng10perc;
}
else
{
min_rr = 16000;
max_rr = 19000;
}
parent.BeginUpdGraph(_curK, EMA11.Value(), EMA22.Value(),min_rr,max_rr);
}
public void startSim()
{
using (StreamReader sr = new StreamReader(m_histPth, Encoding.Default, true))
{
int Cnt_15min = 0;
int Cnt_30min = 0;
int Cnt_1Hour = 0;
KLine _KL_15min = new KLine(FIFTEEN_MINUTES, g_CurTime, 0, 0, 0, 0, 0);
KLine _KL_30min = new KLine(THIRTY_MINUTES, g_CurTime, 0, 0, 0, 0, 0);
KLine _KL_1hour = new KLine(ONE_HOUR, g_CurTime, 0, 0, 0, 0, 0);
while (sr.Peek() != -1)
{
string _tkstr = sr.ReadLine();
if ( _tkstr.Contains(':') && (!_tkstr.Contains('#')) && (!ContainStr(_tkstr , "Tick")) )
{
#region Parsing Text
string[] klspl1 = _tkstr.Split(':');
//:17445.:17445.:17445.:17445.:1 :20141125 21:01
int open = int.Parse(klspl1[1].Split('.')[0]);
int close = int.Parse(klspl1[2].Split('.')[0]);
int highest = int.Parse(klspl1[3].Split('.')[0]);
int lowest = int.Parse(klspl1[4].Split('.')[0]);
int amount = int.Parse(klspl1[5].Split('.')[0]);
int ymd = int.Parse(klspl1[6].Split(' ')[0]);
int year = 2015;
int month = 1;
int day = 1;
if (ymd > 20100000)
{
year = ymd / 10000;
month = (ymd - year * 10000) / 100;
day = (ymd - year * 10000 - month * 100);
}
int hour = int.Parse(klspl1[6].Split(' ')[1]);
int minute = int.Parse(klspl1[7].Split('=')[0]);
g_CurTime = new DateTime(year, month, day, hour, minute, 0);
#endregion
if (ReceiveData(ref Cnt_15min, ref _KL_15min, ref m_KLdata_15Min,
ref m_ema11_15Min, ref m_ema22_15Min, ref m_macd_15Min,
FIFTEEN_MINUTES, g_CurTime,
open, highest, lowest, close, amount))
ReceiveData(ref Cnt_1Hour, ref _KL_1hour, ref m_KLdata_1Hour,
ref m_ema11_1Hour, ref m_ema22_1Hour, ref m_macd_1Hour,
ONE_HOUR, g_CurTime,
open, highest, lowest, close, amount);
if( ReceiveData( ref Cnt_30min, ref _KL_30min, ref m_KLdata_30Min,
ref m_ema11_30Min, ref m_ema22_30Min, ref m_macd_30Min,
THIRTY_MINUTES, g_CurTime,
open, highest, lowest, close, amount) )
{
DoTrendFollowingTrade();
doCleanupInventory();
}
}
}
}
Console.WriteLine("============================================================================");
//Console.WriteLine(" Total Win Point =" + (totalWinPnt).ToString());
//Console.WriteLine(" money earned =" + ((totalWinPnt / 5) * 140 - (totalTradTimes * 136)).ToString());
}
public void RecordMACD(KLine _curKL ,ref iEMA ema11 ,ref iEMA ema22 ,ref iMACD macd )
{
ema11.ReceiveTick(_curKL.close);
ema22.ReceiveTick(_curKL.close);
double DI = ((double)_curKL.close * 2 + _curKL.highest + _curKL.lowest) / 4.0;
macd.ReceiveTick(DI / 100);
}
public bool ReceiveData(ref int cnt , ref KLine _KL , ref List<KLine> _lst ,
ref iEMA _ema11, ref iEMA _ema22, ref iMACD _macd ,
int period , DateTime _CurTime ,
int open , int highest , int lowest , int close , int amount)
{
cnt++;
if (cnt == 1)
{
_KL = new KLine(FIFTEEN_MINUTES, _CurTime, open, highest, lowest, close, amount);
}
else
{
_KL.amount += amount;
if (lowest < _KL.lowest)
_KL.lowest = lowest;
else if (highest > _KL.highest)
_KL.highest = highest;
if (cnt == period / ONE_MINUTE)
{
_KL.close = close;
_KL.datetime = g_CurTime;
_lst.Add(_KL);
cnt = 0;
//記錄MACD
RecordMACD(_KL, ref _ema11, ref _ema22, ref _macd);
//K棒收集完成
return true;
}
}
return false;
}
//int nTradeType = 2,int nDayTrade = 0
// 送出委託 nBuySell 0:買進 1:賣出 nTradeType = 0:ROD 1:IOC 2:FOK
// nDayTrade 0:否 1:是
private void SendOrder(KLine newestKL, tBuySell nBuySell, bool doStopLoss, KLine prevKL = null, int nTradeType = 4, int nDayTrade = 1)
{
todayTradeTimes++;
if (todayTradeTimes > maxOneDayTradeTimes)
{
//Console.WriteLine("一日交易次數不超出" + maxOneDayTradeTimes.ToString() + "次");
return;
}
#region 盤中真單
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
int nCode = -1;
int nNewClose = 2;//自動
string _price;
string _stoplossPrice;
string strStockNo = "JNM";
//if(ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM)
// strStockNo = "JNMPM";
int nSpecialTradeType = 0;//限價
int iBuySell = nBuySell == tBuySell.Buy ? 0 : 1;
string strProdYM = "20" + ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
if (doStopLoss)
{
nNewClose = 0;
if (g_CurDeposit > 0) // 加碼倉
nQty = (m_best5.m_nBidQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nBidQty1;
else
nQty = (m_best5.m_nBidQty1 >= numAddOnPerTime) ? numAddOnPerTime : m_best5.m_nBidQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nBidQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nBidQty1;
}
_price = (m_best5.m_nBid1 ).ToString();
_stoplossPrice = ((newestKL.open + g_MaxStopLoss) ).ToString();
}
else //要買，看Ask(買出價)
{
if (doStopLoss)
{
nNewClose = 0;
nQty = (m_best5.m_nAskQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nAskQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nAskQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nAskQty1;
}
_price = (m_best5.m_nAsk1 ).ToString();
_stoplossPrice = ((newestKL.open - g_MaxStopLoss) ).ToString();
}
if (nQty > 0)
{
if (doStopLoss)
{
if((g_CurDeposit == 0)&&(todayTradeTimes>1)) // 新倉，設置停損點
g_LastPrice = 0;//newestKL.open;
StringBuilder strMessage = new StringBuilder();
strMessage.Length = 1024;
Int32 nSiz = 1024;
nCode = OrderReply.Functions.SendOverseaFutureOrderAsync(futureAccount, "OSE", strStockNo, strProdYM , iBuySell, nNewClose, nDayTrade, nTradeType, nSpecialTradeType, nQty, _price, "0", "0", "0");
if (nCode != 0)
{
//開啟等待成交回報，帶有停損單的委託一定是建立倉位的委託單
g_bWaitingDeal = waitDealMode.waitToBuildInventory;
g_lastOrderSentTime = g_CurTime;
}
}
bOrderSent = true;
}
}
#endregion
#region 盤後模擬單
//送出模擬單，沒有Best5，直接用買賣盤
else if (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_Neutural)
{
String strRes = "";
if (doStopLoss) //新倉
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
g_LastPrice = 0;//newestKL.open;
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
g_LastDealPrice = m_tick.m_nClose;
}
else
{
g_LastDealPrice = m_tick.m_nClose;
}
string strInventoryTyp = "INV 建倉";
if (g_CurDeposit > 0) // 加碼倉
strInventoryTyp = "加碼";
strRes = strInventoryTyp + "賣出 , ";
if (nBuySell == tBuySell.Buy)
strRes = strInventoryTyp + "買進 , ";
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + g_LastDealPrice.ToString();
g_CurDeposit += numContractPerTrade;
Console.WriteLine(strRes);
}
else //平倉
{
if (nBuySell == tBuySell.Sell)
{
g_todayWinPoint += (m_tick.m_nClose - g_LastDealPrice) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
else if (nBuySell == tBuySell.Buy)
{
g_todayWinPoint += (g_LastDealPrice - m_tick.m_nClose) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
}
#endregion
}
void insertTodayKLine(TICK tTick, KLine _KL)
{
if (_KL.open == 0) _KL.open = tTick.m_nClose;
_KL.close = tTick.m_nClose;
_KL.amount += tTick.m_nQty;
if (tTick.m_nClose < _KL.lowest)
_KL.lowest = tTick.m_nClose;
else if (tTick.m_nClose > _KL.highest)
_KL.highest = tTick.m_nClose;
}
bool insertNewKLine(TICK tTick, DateTime _time, List<KLine> madata, double interval)
{
bool bNewKLineInserted = false;
//最後一根分k的時間轉 time_t
int cnt = madata.Count;
if (cnt > historyKLCnt)
{
KLine lastK = madata[(cnt - 1)];
DateTime lastKLineTime = lastK.datetime;
//現在已超出最後一根k棒的時間
double timedif = Math.Abs((_time - lastKLineTime).TotalSeconds);
if (timedif >= interval)
{
DateTime tdate = lastKLineTime.AddSeconds(interval);
bNewKLineInserted = true;
KLine kl = new KLine(interval, tdate, tTick.m_nClose, tTick.m_nClose,
tTick.m_nClose, tTick.m_nClose, tTick.m_nQty);
madata.Add(kl);
}
else
{
lastK.close = tTick.m_nClose;
lastK.amount += tTick.m_nQty;
if (tTick.m_nClose < lastK.lowest)
lastK.lowest = tTick.m_nClose;
else if (tTick.m_nClose > lastK.highest)
lastK.highest = tTick.m_nClose;
// 上下檔壓力記錄
if (tTick.m_nClose == lastK.open)
lastK.OpenCloseHitTime++;
lastK.tickAmount++;
}
}
else //一根k棒都沒有
{
//算出當前tick最靠近的一個區間時間，可以在任意時間開啟監看
DateTime curbaseTime = date_RoundDown(_time, TimeSpan.FromSeconds(interval));
KLine kl = new KLine(interval, curbaseTime, tTick.m_nClose, tTick.m_nClose,
tTick.m_nClose, tTick.m_nClose, tTick.m_nQty);
madata.Add(kl);
}
return bNewKLineInserted;
}
void doBuildInventory(KLine newestKL, bool bAttackKLPositive, KLine prevKL = null, bool bAddOn = false)
{
if (bOrderSent) return;
// 新倉
if ((g_CurDeposit == 0) && (!bAddOn))
{
if (isDuringMarketTime(g_CurTime))
{
if (bAttackKLPositive)
SendOrder(newestKL, tBuySell.Buy, true, prevKL);
else
SendOrder(newestKL, tBuySell.Sell, true, prevKL);
g_b1MinTradePositive = bAttackKLPositive;
g_LastTradeTime = g_CurTime;
lastMovLossTime = newestKL.datetime;
}
}
// 加碼
else if ((g_CurDeposit > 0) && (g_CurDeposit < g_AvailableDeposit)) //&& bAddOn
{
if (isDuringMarketTime(g_CurTime))
{
if (g_b1MinTradePositive)
SendOrder(newestKL, tBuySell.Buy, true, prevKL);
else
SendOrder(newestKL, tBuySell.Sell, true, prevKL);
g_LastTradeTime = g_CurTime;
lastMovLossTime = newestKL.datetime;
}
}
}
public void RecordMACD(KLine _curKL)
{
EMA11.ReceiveTick(_curKL.close);
EMA22.ReceiveTick(_curKL.close);
double DI = ((double)_curKL.close * 2 + _curKL.highest + _curKL.lowest) / 4.0;
m_iMACD.ReceiveTick(DI / 100);
//Console.WriteLine(_curKL.datetime + " Histogram:" + his.ToString());
}
public void readHistoryKLData(string exeRootPth="")
{
string ff = mAppPath + @"\HistoryKLine1Min.xml";
if (exeRootPth.Length > 0)
ff = exeRootPth;
using (StreamReader sr = new StreamReader(ff, Encoding.Default, true))
{
int Cnt = 0;
KLine _KL = new KLine(THIRTY_MINUTE, g_CurTime, 0, 0, 0, 0, 0);
while (sr.Peek() != -1)
{
string _tkstr = sr.ReadLine();
if ( _tkstr.Contains(':') && (!_tkstr.Contains('#')) && (!ContainStr(_tkstr , "Tick")) )
{
string[] klspl1 = _tkstr.Split(':');
//:17445.:17445.:17445.:17445.:1 :20141125 21:01
int open = int.Parse(klspl1[1].Split('.')[0]);
int close = int.Parse(klspl1[2].Split('.')[0]);
int highest = int.Parse(klspl1[3].Split('.')[0]);
int lowest = int.Parse(klspl1[4].Split('.')[0]);
int amount = int.Parse(klspl1[5].Split('.')[0]);
int ymd = int.Parse(klspl1[6].Split(' ')[0]);
int year = 2015;
int month = 1;
int day = 1;
if (ymd > 20100000)
{
year = ymd / 10000;
month = (ymd - year * 10000) / 100;
day = (ymd - year * 10000 - month * 100);
}
int hour = int.Parse(klspl1[6].Split(' ')[1]);
int minute = int.Parse(klspl1[7].Split('=')[0]);
g_CurTime = new DateTime(year, month, day, hour, minute, 0);
Cnt++;
if (Cnt == 1)
{
_KL = new KLine(THIRTY_MINUTE, g_CurTime, open, highest, lowest, close, amount);
}
else
{
_KL.amount += amount;
if (lowest < _KL.lowest)
_KL.lowest = lowest;
else if (highest > _KL.highest)
_KL.highest = highest;
if (Cnt == THIRTY_MINUTE/ONE_MINUTE)
{
_KL.close = close;
_KL.datetime = g_CurTime;
m_KLdata_30Min.Add(_KL);
Cnt = 0;
//記錄MACD
RecordMACD(_KL);
}
}
}
else if (_tkstr.IndexOf("JNM") != -1)
{
if (_tkstr.IndexOf("PM") != -1)
ServMain.OSEJNIPM_ID_CAP = _tkstr;
else
{
ServMain.OSEJNI_ID_CAP = _tkstr;
string strProdYM = ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
}
}
}
}
historyKLCnt = m_KLdata_30Min.Count;
g_CurTime = DateTime.Now;
//上午開盤時間，日本時間上午9:00 (台灣時間晚日本1小時)
g_marketStartTime_AM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 9, 0, 0);
//上午收盤時間，日本時間下午3:15
g_marketEndTime_AM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 15, 15, 59);
//下午開盤時間，日本時間下午4:30
g_marketStartTime_PM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 16, 29, 59);
DateTime nxDate = g_CurTime.AddDays(1);
//下午收盤時間，日本時間上午3:00
g_marketEndTime_PM = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 3, 0, 0);
//收盤強制平倉時間，日本時間上午2:50
g_cleanIntrestTime = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 2, 40, 00);
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
g_marketStartTime_AM = new DateTime(todate.Year, todate.Month, todate.Day, 9, 0, 0);
g_marketEndTime_AM = new DateTime(todate.Year, todate.Month, todate.Day, 15, 15, 59);
g_marketStartTime_PM = new DateTime(todate.Year, todate.Month, todate.Day, 16, 29, 59);
nxDate = todate.AddDays(1);
g_marketEndTime_PM = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 3, 0, 0);
g_cleanIntrestTime = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 2, 40, 00);
}
}
public void updGraph(KLine newKL, double newEma11, double newEma22 , int min_rr , int max_rr )
{
GraphPane myPane = this.zg1.GraphPane;
//Console.WriteLine("KL: [op:" + newKL.open.ToString() + "] [cl:" + newKL.close.ToString() + "]");
// K 棒更新
//KLine newKL = KLLst[KLLst.Count - 2];
List<StockPt> KLPnts = (List<StockPt>)jpnCandle.Points;
XDate xDate = new XDate(newKL.datetime.Year, newKL.datetime.Month, newKL.datetime.Day, newKL.datetime.Hour, newKL.datetime.Minute, 0);
StockPt pt_kl = new StockPt(xDate.XLDate, newKL.highest, newKL.lowest, newKL.open, newKL.close, newKL.amount);
KLPnts.Add(pt_kl);
// Ema 11 更新
List<StockPt> Ema11Pnts = (List<StockPt>)ema11LineGr.Points;
StockPt pt_ema11 = new StockPt(xDate.XLDate, newEma11, newEma11, newEma11, newEma11, newEma11);
Ema11Pnts.Add(pt_ema11);
// Ema 11 更新
List<StockPt> Ema22Pnts = (List<StockPt>)ema22LineGr.Points;
StockPt pt_ema22 = new StockPt(xDate.XLDate, newEma22, newEma22, newEma22, newEma22, newEma22);
Ema22Pnts.Add(pt_ema22);
#region Range 更新 : Update
myPane.YAxis.Scale.Min = min_rr;
myPane.YAxis.Scale.Max = max_rr;
//Console.WriteLine(min_rr.ToString());
#endregion
zg1.AxisChange();
zg1.Invalidate();
}
public void readHistoryKLData(string exeRootPth = "")
{
string ff = mAppPath + @"\HistoryKLine1Min.xml";
if (exeRootPth.Length > 0)
{
ff = exeRootPth;
}
using (StreamReader sr = new StreamReader(ff, Encoding.Default, true))
{
int Cnt = 0;
KLine _KL = new KLine(THIRTY_MINUTE, g_CurTime, 0, 0, 0, 0, 0);
while (sr.Peek() != -1)
{
string _tkstr = sr.ReadLine();
if (_tkstr.Contains(':') && (!_tkstr.Contains('#')) && (!ContainStr(_tkstr, "Tick")))
{
string[] klspl1 = _tkstr.Split(':');
//:17445.:17445.:17445.:17445.:1 :20141125 21:01
int open = int.Parse(klspl1[1].Split('.')[0]);
int close = int.Parse(klspl1[2].Split('.')[0]);
int highest = int.Parse(klspl1[3].Split('.')[0]);
int lowest = int.Parse(klspl1[4].Split('.')[0]);
int amount = int.Parse(klspl1[5].Split('.')[0]);
int ymd = int.Parse(klspl1[6].Split(' ')[0]);
int year = 2015;
int month = 1;
int day = 1;
if (ymd > 20100000)
{
year = ymd / 10000;
month = (ymd - year * 10000) / 100;
day = (ymd - year * 10000 - month * 100);
}
int hour = int.Parse(klspl1[6].Split(' ')[1]);
int minute = int.Parse(klspl1[7].Split('=')[0]);
g_CurTime = new DateTime(year, month, day, hour, minute, 0);
Cnt++;
if (Cnt == 1)
{
_KL = new KLine(THIRTY_MINUTE, g_CurTime, open, highest, lowest, close, amount);
}
else
{
_KL.amount += amount;
if (lowest < _KL.lowest)
{
_KL.lowest = lowest;
}
else if (highest > _KL.highest)
{
_KL.highest = highest;
}
if (Cnt == THIRTY_MINUTE / ONE_MINUTE)
{
_KL.close = close;
_KL.datetime = g_CurTime;
m_KLdata_30Min.Add(_KL);
Cnt = 0;
//記錄MACD
RecordMACD(_KL);
}
}
}
else if (_tkstr.IndexOf("JNM") != -1)
{
if (_tkstr.IndexOf("PM") != -1)
{
ServMain.OSEJNIPM_ID_CAP = _tkstr;
}
else
{
ServMain.OSEJNI_ID_CAP = _tkstr;
string strProdYM = ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
}
}
}
}
historyKLCnt = m_KLdata_30Min.Count;
g_CurTime = DateTime.Now;
//上午開盤時間，日本時間上午9:00 (台灣時間晚日本1小時)
g_marketStartTime_AM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 9, 0, 0);
//上午收盤時間，日本時間下午3:15
g_marketEndTime_AM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 15, 15, 59);
//下午開盤時間，日本時間下午4:30
g_marketStartTime_PM = new DateTime(g_CurTime.Year, g_CurTime.Month, g_CurTime.Day, 16, 29, 59);
DateTime nxDate = g_CurTime.AddDays(1);
//下午收盤時間，日本時間上午3:00
g_marketEndTime_PM = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 3, 0, 0);
//收盤強制平倉時間，日本時間上午2:50
g_cleanIntrestTime = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 2, 40, 00);
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
g_marketStartTime_AM = new DateTime(todate.Year, todate.Month, todate.Day, 9, 0, 0);
g_marketEndTime_AM = new DateTime(todate.Year, todate.Month, todate.Day, 15, 15, 59);
g_marketStartTime_PM = new DateTime(todate.Year, todate.Month, todate.Day, 16, 29, 59);
nxDate = todate.AddDays(1);
g_marketEndTime_PM = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 3, 0, 0);
g_cleanIntrestTime = new DateTime(nxDate.Year, nxDate.Month, nxDate.Day, 2, 40, 00);
}
}
// 送出委託 nBuySell 0:買進 1:賣出 nTradeType = 0:ROD 1:IOC 2:FOK
// nDayTrade 0:否 1:是
private void SendOrder(KLine newestKL, tBuySell nBuySell, bool doStopLoss, KLine prevKL = null, int nTradeType = 4, int nDayTrade = 1) //int nTradeType = 2,int nDayTrade = 0
{
todayTradeTimes++;
if (todayTradeTimes > maxOneDayTradeTimes)
{
//Console.WriteLine("一日交易次數不超出" + maxOneDayTradeTimes.ToString() + "次");
return;
}
#region 盤中真單
if ((ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketAM) || (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM))
{
int nCode = -1;
int nNewClose = 2;//自動
string _price;
string _stoplossPrice;
string strStockNo = "JNM";
//if(ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_MarketPM)
// strStockNo = "JNMPM";
int nSpecialTradeType = 0;//限價
int iBuySell = nBuySell == tBuySell.Buy ? 0 : 1;
string strProdYM = "20" + ServMain.OSEJNI_ID_CAP.Substring(ServMain.OSEJNI_ID_CAP.IndexOf("JNM") + 3, 4);
if (nBuySell == tBuySell.Sell)//要賣，看Bid(買入價)
{
if (doStopLoss)
{
nNewClose = 0;
if (g_CurDeposit > 0) // 加碼倉
{
nQty = (m_best5.m_nBidQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nBidQty1;
}
else
{
nQty = (m_best5.m_nBidQty1 >= numAddOnPerTime) ? numAddOnPerTime : m_best5.m_nBidQty1;
}
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nBidQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nBidQty1;
}
_price = (m_best5.m_nBid1).ToString();
_stoplossPrice = ((newestKL.open + g_MaxStopLoss)).ToString();
}
else //要買，看Ask(買出價)
{
if (doStopLoss)
{
nNewClose = 0;
nQty = (m_best5.m_nAskQty1 >= numContractPerTrade) ? numContractPerTrade : m_best5.m_nAskQty1;
}
else // 平倉，全部平掉
{
nNewClose = 1;
nQty = (m_best5.m_nAskQty1 >= g_CurDeposit) ? g_CurDeposit : m_best5.m_nAskQty1;
}
_price = (m_best5.m_nAsk1).ToString();
_stoplossPrice = ((newestKL.open - g_MaxStopLoss)).ToString();
}
if (nQty > 0)
{
if (doStopLoss)
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
{
g_LastPrice = 0; //newestKL.open;
}
StringBuilder strMessage = new StringBuilder();
strMessage.Length = 1024;
Int32 nSiz = 1024;
nCode = OrderReply.Functions.SendOverseaFutureOrderAsync(futureAccount, "OSE", strStockNo, strProdYM, iBuySell, nNewClose, nDayTrade, nTradeType, nSpecialTradeType, nQty, _price, "0", "0", "0");
if (nCode != 0)
{
//開啟等待成交回報，帶有停損單的委託一定是建立倉位的委託單
g_bWaitingDeal = waitDealMode.waitToBuildInventory;
g_lastOrderSentTime = g_CurTime;
}
}
bOrderSent = true;
}
}
#endregion
#region 盤後模擬單
//送出模擬單，沒有Best5，直接用買賣盤
else if (ServMain.quoteProgramMode == QuoteProgramModeOS.QPM_Neutural)
{
String strRes = "";
if (doStopLoss) //新倉
{
if ((g_CurDeposit == 0) && (todayTradeTimes > 1)) // 新倉，設置停損點
{
g_LastPrice = 0; //newestKL.open;
}
if (nBuySell == tBuySell.Sell) //要賣，看Bid(買入價)
{
g_LastDealPrice = m_tick.m_nClose;
}
else
{
g_LastDealPrice = m_tick.m_nClose;
}
string strInventoryTyp = "INV 建倉";
if (g_CurDeposit > 0) // 加碼倉
{
strInventoryTyp = "加碼";
}
strRes = strInventoryTyp + "賣出 , ";
if (nBuySell == tBuySell.Buy)
{
strRes = strInventoryTyp + "買進 , ";
}
strRes += "時間：" + g_CurTime.ToString() + " 價格：" + g_LastDealPrice.ToString();
g_CurDeposit += numContractPerTrade;
Console.WriteLine(strRes);
}
else //平倉
{
if (nBuySell == tBuySell.Sell)
{
g_todayWinPoint += (m_tick.m_nClose - g_LastDealPrice) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉賣出 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
else if (nBuySell == tBuySell.Buy)
{
g_todayWinPoint += (g_LastDealPrice - m_tick.m_nClose) * numContractPerTrade;
g_CurDeposit = 0;
switch (g_cleanUpMode)
{
case (cleanupMode.cleanupMode_KLEnd):
strRes = "INV 分K結束平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
case (cleanupMode.cleanupMode_DayEnd):
strRes = "INV 收盤平倉買進 時間：" + g_CurTime.ToString() + " 價格：" + m_tick.m_nClose.ToString() + " 賺賠：" + (g_todayWinPoint).ToString();
break;
}
Console.WriteLine(strRes);
}
// 停損
if (g_todayWinPoint < -100)
{
bDoTrading = false;
Console.WriteLine("停損，今日停單");
}
}
}
#endregion
}
public void DoTrendFollowingTrade()
{
// 小時線要有方向才做
if (m_KLdata_1Hour.Count < 22)
{
return;
}
if (g_curDeposite > 0)
{
return;
}
KLine _curKL30min = m_KLdata_30Min[m_KLdata_30Min.Count - 1];
// 研判趨勢多空
bool b30minPositive = m_ema11_30Min.Value() > m_ema22_30Min.Value();
bool b30minMacdPositive = m_macd_30Min.HistRecords[m_macd_30Min.HistRecords.Count - 1] > 0;
bool b1hourPositive = m_ema11_1Hour.Value() > m_ema22_1Hour.Value();
bool bTrendFound = (b30minPositive == b30minMacdPositive) && (b30minMacdPositive == b1hourPositive);
// 如果30分K棒發生逆趨勢線生長，進場
bool bDoTrading = false;
if (bTrendFound)
{
double oneThrd = Math.Abs(m_ema11_30Min.Value() - m_ema22_30Min.Value()) / 3.0;
if (b30minPositive)
{
if (_curKL30min.close < m_ema11_30Min.Value() - oneThrd)
{
bDoTrading = true;
}
}
else
{
if (_curKL30min.close > m_ema11_30Min.Value() + oneThrd)
{
bDoTrading = true;
}
}
}
if (bDoTrading)
{
g_curDeposite++;
g_lastDealPrice = _curKL30min.close;
g_lastDealTime = _curKL30min.datetime;
g_bTradePositive = b30minPositive;
totalTradTimes++;
if (g_bTradePositive)
{
Console.WriteLine("建倉買進 時間：" + _curKL30min.datetime.ToString());
}
else
{
Console.WriteLine("建倉賣出 時間：" + _curKL30min.datetime.ToString());
}
}
}
public void doCleanInventory(KLine newestKL, cleanupMode __mode__ = cleanupMode.cleanupMode_DayEnd)
{
if (g_CurDeposit == 0) return;
if (bOrderSent) return;
g_cleanUpMode = __mode__;
if (g_b1MinTradePositive)
SendOrder(newestKL, tBuySell.Sell, false);
else
SendOrder(newestKL, tBuySell.Buy, false);
}
public void startSim()
{
using (StreamReader sr = new StreamReader(m_histPth, Encoding.Default, true))
{
int Cnt_15min = 0;
int Cnt_30min = 0;
int Cnt_1Hour = 0;
KLine _KL_15min = new KLine(FIFTEEN_MINUTES, g_CurTime, 0, 0, 0, 0, 0);
KLine _KL_30min = new KLine(THIRTY_MINUTES, g_CurTime, 0, 0, 0, 0, 0);
KLine _KL_1hour = new KLine(ONE_HOUR, g_CurTime, 0, 0, 0, 0, 0);
while (sr.Peek() != -1)
{
string _tkstr = sr.ReadLine();
if (_tkstr.Contains(':') && (!_tkstr.Contains('#')) && (!ContainStr(_tkstr, "Tick")))
{
#region Parsing Text
string[] klspl1 = _tkstr.Split(':');
//:17445.:17445.:17445.:17445.:1 :20141125 21:01
int open = int.Parse(klspl1[1].Split('.')[0]);
int close = int.Parse(klspl1[2].Split('.')[0]);
int highest = int.Parse(klspl1[3].Split('.')[0]);
int lowest = int.Parse(klspl1[4].Split('.')[0]);
int amount = int.Parse(klspl1[5].Split('.')[0]);
int ymd = int.Parse(klspl1[6].Split(' ')[0]);
int year = 2015;
int month = 1;
int day = 1;
if (ymd > 20100000)
{
year = ymd / 10000;
month = (ymd - year * 10000) / 100;
day = (ymd - year * 10000 - month * 100);
}
int hour = int.Parse(klspl1[6].Split(' ')[1]);
int minute = int.Parse(klspl1[7].Split('=')[0]);
g_CurTime = new DateTime(year, month, day, hour, minute, 0);
#endregion
if (ReceiveData(ref Cnt_15min, ref _KL_15min, ref m_KLdata_15Min,
ref m_ema11_15Min, ref m_ema22_15Min, ref m_macd_15Min,
FIFTEEN_MINUTES, g_CurTime,
open, highest, lowest, close, amount))
{
ReceiveData(ref Cnt_1Hour, ref _KL_1hour, ref m_KLdata_1Hour,
ref m_ema11_1Hour, ref m_ema22_1Hour, ref m_macd_1Hour,
ONE_HOUR, g_CurTime,
open, highest, lowest, close, amount);
}
if (ReceiveData(ref Cnt_30min, ref _KL_30min, ref m_KLdata_30Min,
ref m_ema11_30Min, ref m_ema22_30Min, ref m_macd_30Min,
THIRTY_MINUTES, g_CurTime,
open, highest, lowest, close, amount))
{
DoTrendFollowingTrade();
doCleanupInventory();
}
}
}
}
Console.WriteLine("============================================================================");
//Console.WriteLine(" Total Win Point =" + (totalWinPnt).ToString());
//Console.WriteLine(" money earned =" + ((totalWinPnt / 5) * 140 - (totalTradTimes * 136)).ToString());
}
public IAsyncResult BeginUpdGraph( KLine _KL, double newEma11, double newEma22,int min,int max )
{
return m_updGraphDelegate.BeginInvoke(_KL, newEma11, newEma22, min, max, EndUpdGraph, m_updGraphDelegate);
}