public List <CtpInfo> QueryMarketInfo(string instrument_id, int count)
{
List <CtpInfo> lists = new List <CtpInfo>();
try
{
sqlConnection.Open();
string sql = "SELECT * FROM market WHERE instrument_id = '" + instrument_id + "' ORDER BY m_data DESC LIMIT 0, " + count;
//Console.WriteLine(sql);
MySqlCommand cmd = new MySqlCommand(sql, sqlConnection);
MySqlDataReader reader = cmd.ExecuteReader();
while (reader.Read())//init index -1
{
/*Console.WriteLine(reader.GetString("instrument_id") + " " + reader.GetString("m_data") +
* " " + reader.GetDouble("m_open") +
* " " + reader.GetDouble("m_high") +
* " " + reader.GetDouble("m_low") +
* " " + reader.GetDouble("m_close"));*/
string data = reader.GetString("m_data");
double m_open = reader.GetDouble("m_open");
double m_high = reader.GetDouble("m_high");
double m_low = reader.GetDouble("m_low");
double m_close = reader.GetDouble("m_close");
CtpInfo info = new CtpInfo();
info.date = Convert.ToDateTime(data);
info.open = m_open;
info.high = m_high;
info.low = m_low;
info.close = m_close;
lists.Add(info);
}
}
catch (MySqlException ex)
{
Console.WriteLine(ex.Message);
}
finally
{
sqlConnection.Close();
}
return(lists);
}
// public void AddContract(string instrumentID) {
// TradeContractList.Add(instrumentID);
// }
public void ITick(FormTrade formTrade, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
if (which == pDepthMarketData.InstrumentID)
{
Console.WriteLine("strategy tick tradestrategy[0] = " + tradestrategy[0]);
if (tradestrategy[0] == 1)
{
tickprice[3] = tickprice[2];
tickprice[2] = tickprice[1];
tickprice[1] = tickprice[0];
tickprice[0] = pDepthMarketData.LastPrice;
//Console.WriteLine(tickprice[0] + "," + tickprice[1] + "," + tickprice[2]);
if (tickprice[0] > tickprice[1] && tickprice[1] > tickprice[2] &&
tickprice[2] > tickprice[3])
{
if (TradeHave[0] == 0)
{
//3 TICK up，buy
formTrade.tradeApi.OrderInsert(pDepthMarketData.InstrumentID, EnumOffsetFlagType.Open, EnumDirectionType.Buy,
pDepthMarketData.LastPrice + 10, //价格
1);
buyprice[0] = pDepthMarketData.LastPrice;
TradeHave[0] = 1;
}
}
else if (tickprice[0] < tickprice[1] && tickprice[1] < tickprice[2] &&
tickprice[2] < tickprice[3])
{
//3 TICK down，Sell
if (TradeHave[0] == 1)
{
formTrade.tradeApi.OrderInsert(pDepthMarketData.InstrumentID, EnumOffsetFlagType.Open, EnumDirectionType.Sell,
pDepthMarketData.LastPrice - 10, //价格
1);
TradeHave[0] = 0;
}
}
}
else if (tradestrategy[0] == 2)
{
List <CtpInfo> lists = formTrade.dbConn.QueryMarketInfo(which, 1);
//Console.WriteLine("database: " + lists.Count);
CtpInfo ctpInfo = lists[0];
if (lists.Count == 0)
{
return;
}
double v1 = ctpInfo.high - ctpInfo.close, v2 = ctpInfo.close - ctpInfo.low;
double mx = Math.Max(v1, v2);
double offset = mx * 0.7;
double todayOpen = pDepthMarketData.OpenPrice;
//Console.WriteLine("LastPrice = " + pDepthMarketData.LastPrice + ", " + todayOpen + "+" + offset);
if (TradeHave[0] == 0)
{
if (pDepthMarketData.LastPrice > todayOpen + offset)
{ // buy
buyprice[0] = pDepthMarketData.LastPrice;
formTrade.tradeApi.OrderInsert(pDepthMarketData.InstrumentID, EnumOffsetFlagType.Open, EnumDirectionType.Buy,
pDepthMarketData.LastPrice + 10, //价格
1);
TradeHave[0] = 1;
}
}
else if (TradeHave[0] == 1)
{
if (pDepthMarketData.LastPrice < todayOpen - offset)
{
formTrade.tradeApi.OrderInsert(pDepthMarketData.InstrumentID, EnumOffsetFlagType.Open, EnumDirectionType.Sell,
pDepthMarketData.LastPrice - 10, //价格
1);
TradeHave[0] = 0;
}
else if (pDepthMarketData.LastPrice > buyprice[0] + winstoparr[0]) // 盈利大于预设
{
formTrade.tradeApi.OrderInsert(pDepthMarketData.InstrumentID, EnumOffsetFlagType.Open, EnumDirectionType.Sell,
pDepthMarketData.LastPrice - 10, //价格
1);
TradeHave[0] = 0;
}
}
}
}
}
