private void LimitFilledSessionOrders()
{
FilledSessionOrders.RemoveAll(a => a == null);
int filledSessionOrdersCount = FilledSessionOrders.Count;
if (filledSessionOrdersCount > 2000)
{
FilledSessionOrders.RemoveRange(0, filledSessionOrdersCount - 2000);
}
}
private void UpdateFilledSessionOrders()
{
Parallel.ForEach(filledOrders, (order, loop) =>
{
if (order == null)
{
return;
}
if (!FilledSessionOrders.Exists(a => a != null && a.order_id == order.order_id))
{
if (order == null)
{
return;
}
FilledSessionOrders.Add(order);
decimal fee = order.fill_fees;
if (order.type == "buy")
{
fee = fee * order.price;
}
info.total_fees += fee;
}
});
}
/// <summary>
/// 是否调参（交易过少）
/// </summary>
/// <param name="ResetTimes"></param>
/// <param name="ShockTimes"></param>
/// <returns></returns>
private bool CheckLittleTrade(List <decimal> ResetTimes, List <decimal> ShockTimes)
{
try
{
ResetTimes = ResetTimes ?? new List <decimal>();
ShockTimes = ShockTimes ?? new List <decimal>();
//已为最低配置，不可调0.25 10
#region 获取统计数据 resetcount、shockcount
//默认统计时间5分钟 1->0.5
int minutes = 5;
//0.5振幅时统计10钟 0.5->0.25
if (info.SpanPrice <= info.Open_SpanPrice / 2)
{
minutes = 10;
}
//小于0.5振幅统计时间15分钟 10P->5P
if (info.SpanPrice < info.Open_SpanPrice / 3)
{
minutes = 15;
}
//时间点minu
decimal minu = Utils.GetUtcTimeDec(-minutes * 60);
int resetcount = ResetTimes.Count(a => a > minu);
int shockcount = ShockTimes.Count(a => a > minu);
#endregion
//1、若有平仓。不调参
if (resetcount > 0)
{
return(false);
}
//2、刚开始运行时间不足
if (ShockTimes.Count == 0 || ShockTimes.Min() > minu)
{
return(false);
}
//3、若震荡大于阈值，不算过小。不调参
if (minutes == 5 && shockcount >= 2)
{
return(false);
}
if (minutes == 10 && shockcount >= 5)
{
return(false);
}
if (minutes == 15 && shockcount >= 7)
{
return(false);
}
#region 获取行情数据 maxPrice、minPrice、diff、pdiff
decimal diff = 0;
decimal time = Utils.GetUtcTimeDec(-minutes * 60);
List <Order> oreders = FilledSessionOrders.Where(a => a.create_date >= time).ToList();
if (oreders == null || oreders.Count == 0)
{
diff = 0;
Log4NetUtility.Info("行情平缓", $"{minutes}分钟内，{resetcount}次平仓，{shockcount}次震荡,SpanPrice:{info.SpanPrice}");
return(true);
}
else
{
decimal maxPrice = oreders.Max(a => a.price);
decimal minPrice = oreders.Min(a => a.price);
diff = maxPrice - minPrice; //价差
}
decimal pdiff = info.SpanPrice * info.OrderQty * 2; //包差
#endregion
//4、行情价差小于等于包范围的1/3时。调参
if (diff <= pdiff / 3)
{
if (info.SpanPrice >= 0.25m)//非最小振幅
{
//降振幅
//info.SpanPrice = info.SpanPrice / 2;
//if (info.SpanPrice == 0.5m)//0.5->0.25时先增加包数
//{
// result.PacketNumResult = AnalyzePropertyResultEnum.Up;
// result.TradeQTYResult = AnalyzePropertyResultEnum.Down;
//}
Log4NetUtility.Info("行情平缓", string.Format("{0}分钟内，{1}次平仓，{2}次震荡,行情价差{3}，包差{4},SpanPrice:{5}", minutes, resetcount, shockcount, diff, pdiff, info.SpanPrice));
return(true);
}
//else//最小振幅0.25.降包、增量
//{
//result.PacketNumResult = AnalyzePropertyResultEnum.Down;
//result.TradeQTYResult = AnalyzePropertyResultEnum.Up;
//}
//Log4NetUtility.Info("行情平缓", string.Format("{0}分钟内，{1}次平仓，{2}次震荡,行情价差{3}，包差{4},SpanPrice:{5}", minutes, resetcount, shockcount, diff, pdiff, info.SpanPrice));
}
}
catch (Exception e)
{
Log4NetUtility.Error("行情平缓", Utils.Exception2String(e));
DbHelper.CreateInstance().AddError("CheckLittleTrade", e);
}
return(false);
}
