public override TradeRecords Execute(string code, Properties strategyParam, BacktestParameter backtestParam, ISeller seller = null)
{
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return(null);
}
String modeName = strategyParam.Get <String>("mode");
Mode mode = Mode.Find(modeName);
if (mode == null)
{
return(null);
}
return(mode.DoBuy(ds, strategyParam, backtestParam));
}
/// <summary>
/// 月k
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button13_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
KLine monthKline = (KLine)tsd.Create("kline", TimeUnit.month, checkBox2.Checked);
}
}
public void getAllIndicatorsOK2()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
var id2 = Guid.NewGuid();
string color = "red";
BaseCondition component = new Condition();
Indicator indicator = new Indicator();
Indicator indicator2 = new Indicator();
indicator.Id = id;
indicator.Color = color;
indicator.Condition = component;
indicatorRepo.Add(indicator);
indicatorRepo.Save();
indicator2.Id = id2;
indicator2.Color = color;
indicator2.Condition = component;
indicatorRepo.Add(indicator2);
indicatorRepo.Save();
List <Indicator> indicators = indicatorRepo.GetAll().ToList();
Assert.IsTrue(indicators[0].Id == id && indicators[1].Id == id2);
}
private void button9_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
tsd.CubeCreate(Utility.Collections.Time.TimeUnit.month);
tsd.FundTrendCreate(Utility.Collections.Time.TimeUnit.month);
num += 1;
}
showText("");
MessageBox.Show("生成完成,共有" + num.ToString() + "个股票生成数据");
}
public void UdateIndicatorStringValeExpresionEqualNotOk()
{
Guid id = Guid.NewGuid();
string color = "red";
Value izq = new StringValue {
Data = "hola"
};
Value der = new StringValue {
Data = "hola"
};
BaseCondition component = new Condition
{
ValueIzq = izq,
ValueDer = der,
Operator = "="
};
Indicator indicator = new Indicator {
Color = color,
Id = id,
Condition = component
};
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
IndicatorLogic indicatroLogic = new IndicatorLogic(indicatorRepo);
indicatroLogic.Update(indicator);
}
public void getAllIndicatorsNotOk()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
Indicator indicators = indicatorRepo.Get(id);
}
public void UpdateAreaNotOk()
{
List <User> managers = new List <User>();
User user = new User
{
Id = Guid.NewGuid(),
Name = "Santiago",
LastName = "Larralde",
UserName = "******",
Password = "******",
};
managers.Add(user);
List <Indicator> indicators = new List <Indicator>();
Area area = new Area();
Guid id = Guid.NewGuid();
area.Id = id;
area.Name = "name";
area.ConnectionString = "connectionString";
area.Indicators = indicators;
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Area> areaRepo = new AreaRepository(context);
IRepository <AreaManager> areaManagerRepo = new AreaManagerRepository(context);
IRepository <User> userRepo = new UserRepository(context);
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
AreaLogic areaLogic = new AreaLogic(areaRepo, areaManagerRepo, userRepo, indicatorRepo);
areaLogic.UpdateArea(area);
var areas = areaRepo.GetAll().ToList();
}
public void CreateIndicatorStringValeExpresionEqualOk2()
{
Guid id = Guid.NewGuid();
string color = "red";
Value izq = new StringValue {
Data = "hola"
};
Value der = new StringValue {
Data = "chau"
};
BaseCondition component = new Condition
{
ValueIzq = izq,
ValueDer = der,
Operator = "="
};
Indicator indicator = new Indicator
{
Color = color,
Id = id,
Condition = component
};
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
IndicatorLogic indicatroLogic = new IndicatorLogic(indicatorRepo);
indicatroLogic.Create(indicator);
var components = indicatorRepo.GetAll().ToList();
bool res = components[0].Condition.Eval();
Assert.IsTrue(res == false);
}
public void BindData()
{
Indicator indicator = new IndicatorRepository().Get(
int.Parse(Request.QueryString["id"]));
tbName.Text = indicator.IndicatorName;
tbUnit.Text = indicator.IndivatorUnit;
SpecialtyControl1.SpecialtyId = indicator.SpecialtyId;
}
public IndicatorService(CpfValidate cpfValidate, IndicatorRepository repository, PaymentAccountRepository paymentAccountRepository, SendConfirmAccountCode sendConfirmAccountCode, UserRepository userRepository, SendForgotPassEmail sendForgotPassEmail)
{
_cpfValidate = cpfValidate;
_repository = repository;
_paymentAccountRepository = paymentAccountRepository;
_sendConfirmMail = sendConfirmAccountCode;
_userRepository = userRepository;
_sendForgotPassEmail = sendForgotPassEmail;
}
protected void btnEdit_Click(object sender, EventArgs e)
{
bool result = new IndicatorRepository().Add(
new Indicator
{
IndicatorName = tbName.Text,
IndivatorUnit = tbUnit.Text
});
EditConfirm(result,
string.Format("Indicator.aspx?specialtyId={0}", Request.QueryString["specialtyId"]));
}
/// <summary>
/// 对代码集合进行回测
/// </summary>
/// <param name="codes"></param>
/// <returns></returns>
protected virtual List <TradeRecords> doTestByCodes(List <String> codes)
{
if (codes == null || codes.Count <= 0)
{
return(new List <TradeRecords>());
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(null);
}
if (buyer == null || Seller == null)
{
throw new Exception("买卖策略对象无效");
}
List <TradeRecords> allTrades = new List <TradeRecords>();
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
TradeRecords tr = buyer.Execute(code, props, backtestParam);
if (tr == null || tr.Bouts.Count <= 0)
{
continue;
}
seller.Execute(tr, props, backtestParam);
//最后删除未完成的回合
tr.RemoveUnCompeletedBouts();
if (tr.Bouts.Count > 0)
{
allTrades.Add(tr);
tr.Print(log, true);
//tr.Print(log,backtestParam.Get<bool>("printdetailed",false));
log.Info("总回合数=" + allTrades.Sum(x => x.Bouts.Count).ToString() + "," +
"总胜率=" + (allTrades.Sum(x => x.WinCount) * 1.0 / allTrades.Sum(x => x.Bouts.Count)).ToString("F3"));
}
}
return(allTrades);
}
public void Register(List <string> instList, object indicatorRep)
{
indicatorRepository = indicatorRep as IndicatorRepository;
//we do not empty instrument list because during load, some instruments are added
foreach (string inst in instList)
{
if (null == FindInstrument(inst))
{
instruments.Add(new Instrument(inst));
}
}
}
public void RemoveIndicatorNotExist()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
string color = "red";
BaseCondition component = new Condition();
Indicator indicator = new Indicator();
indicator.Id = id;
indicator.Color = color;
indicator.Condition = component;
indicatorRepo.Remove(indicator);
indicatorRepo.Save();
}
public UserLogic(IRepository <User> repository)
{
if (repository == null)
{
this.userRepository = new UserRepository(ContextFactory.GetNewContext());
this.iRepository = new IndicatorRepository(ContextFactory.GetNewContext());
this.logRepository = new LogRepository(ContextFactory.GetNewContext());
this.userIndicatorRepository = new UserIndicatorRepository();
}
else
{
this.userRepository = repository;
this.userIndicatorRepository = new UserIndicatorRepository();
this.iRepository = new IndicatorRepository(ContextFactory.GetNewContext());
this.logRepository = new LogRepository(ContextFactory.GetNewContext());
}
}
public void Init(IndicatorRepository repository)
{
if (repository == null)
{
return;
}
for (int i = 0; i < codes.Length; i++)
{
String code = codes[i];
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
return;
}
bspts[i] = ds.CubePtCreateOrLoad(TimeUnit.day);
}
}
/// <summary>
/// 导入
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button2_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
List <SecurityProperties> sps = null;
if (radioButton1.Checked)
{
sps = new SHTrader().LoadStockAInfo(this.textBox1.Text);
}
else if (radioButton2.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "主板");
}
else if (radioButton3.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "创业板");
}
else if (radioButton4.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "中小板");
}
else
{
MessageBox.Show("需选择导入类型");
return;
}
if (sps == null)
{
MessageBox.Show("没有需要导入的数据");
return;
}
SecurityPropertiesSet securities = repository.Securities;
securities.Merge(sps);
repository.SaveSecuritiesInfo();
MessageBox.Show("导入完成");
}
public static Strategy LoadFromDescription(string desc, IndicatorRepository ir, IMarketWatch mw)
{
int rulesIndex = desc.IndexOf("Rules:");
int instIndex = desc.IndexOf("INST:");
string tfs = desc.Substring(3, instIndex - 3);
string[] tfsList = tfs.Replace("(", "").Replace(")", "").Split(' ');
Strategy result = new Strategy(ir);
result.smallPeriod = int.Parse(tfsList[0]);
result.defaultPeriod = int.Parse(tfsList[1]);
result.largePeriod = int.Parse(tfsList[2]);
string inst = desc.Substring(instIndex + 6, rulesIndex - instIndex - 7);
result.defaultInstrument = mw.FindInstrument(inst);
if (result.defaultInstrument == null)
{
throw new Exception("Cannot find strategy instrument");
}
rulesIndex = desc.IndexOf('{', rulesIndex);
string[] rules = desc.Substring(rulesIndex).Split('{');
foreach (string rule in rules)
{
if (rule.Length == 0)
{
continue;
}
string trule = rule.Substring(0, rule.Length - 1);
BaseRule ruleObject = BaseRule.LoadFromDescription(trule);
//ruleObject.SetPeriods(result.smallPeriod, result.defaultPeriod, result.largePeriod);
result.AddRule(ruleObject);
}
return(result);
}
/// <summary>
/// 生成指标数据
/// </summary>
/// <returns></returns>
public bool doGenerateIndicator()
{
showBeginMessage("开始生成指标...");
if (repository == null)
{
repository = new IndicatorRepository(FileUtils.GetDirectory(props.Get <String>("repository")));
repository.Initilization();
}
try
{
List <String> codes = repository.Securities.Codes;
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
showProgressMessage(code);
KLine kline = ds.DayKLine;
TradingLine tradeLine = ds.DayTradeLine;
ds.Create("kline", TimeUnit.week);
ds.Create("kline", TimeUnit.month);
ds.CubeCreate();
ds.CubeCreate(TimeUnit.week);
ds.CubeCreate(TimeUnit.month);
ds.FundTrendCreate(TimeUnit.day);
ds.FundTrendCreate(TimeUnit.week);
ds.FundTrendCreate(TimeUnit.month);
ds.FundTrendCrossCreate(TimeUnit.day);
ds.FundTrendCrossCreate(TimeUnit.week);
ds.FundTrendCrossCreate(TimeUnit.month);
}
showResultMessage("");
return(true);
}
catch (Exception e)
{
showResultMessage("生成指标失败", -1, e.Message);
return(false);
}
}
public void RemoveIndicatorOK()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
string color = "red";
BaseCondition component = new Condition();
Indicator indicator = new Indicator();
indicator.Id = id;
indicator.Color = color;
indicator.Condition = component;
indicatorRepo.Add(indicator);
indicatorRepo.Save();
indicatorRepo.Remove(indicator);
indicatorRepo.Save();
var indicators = indicatorRepo.GetAll().ToList();
Assert.AreEqual(indicators.Count, 0);
}
public ClientContext()
{
DefaultAccount = new Account();
PortfolioManager = new PortfolioManager();
GeneticEnvironment = new GeneticEnvironment();
MarketWatch = new MarketWatch();
MarketMeter = new MarketMeter();
PerformanceLogic = new PerformanceLogic();
PositionLogic = new PositionLogic();
StrategyRepository = new StrategyRepository();
IndicatorRepository = new IndicatorRepository();
PersistenceLogic = new PersistenceLogic();
PersistenceLogic.Register(this);
//we need marketWatch.Instruments in strategyRep before connecting to server when loading report
StrategyRepository.Register(MarketWatch, null);
//we need this when loading performance
PerformanceLogic.Register(this);
}
public void AddIndicatorWithSameId()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
string color = "red";
BaseCondition component = new Condition();
Indicator indicator = new Indicator();
Indicator indicator2 = new Indicator();
indicator.Id = id;
indicator.Color = color;
indicator.Condition = component;
indicatorRepo.Add(indicator);
indicatorRepo.Save();
indicator2.Id = id;
indicator2.Color = color;
indicator2.Condition = component;
indicatorRepo.Add(indicator2);
indicatorRepo.Save();
}
/// <summary>
/// 生成MACD
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button10_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null)
{
continue;
}
KLine dayLine = tsd.DayKLine;
if (dayLine != null)
{
tsd.Create("macd", TimeUnit.day, checkBox1.Checked);
}
KLine weekLine = tsd.WeekKLine;
if (weekLine != null)
{
tsd.Create("macd", TimeUnit.week, checkBox1.Checked);
}
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
}
}
public void CreateAreaNotOkNullName()
{
List <User> managers = new List <User>();
List <Indicator> indicators = new List <Indicator>();
Area area = new Area();
Guid id = Guid.NewGuid();
area.Id = id;
area.Name = null;
area.ConnectionString = "connectionString";
area.Indicators = indicators;
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Area> areaRepo = new AreaRepository(context);
IRepository <AreaManager> areaManagerRepo = new AreaManagerRepository(context);
IRepository <User> userRepo = new UserRepository(context);
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
AreaLogic areaLogic = new AreaLogic(areaRepo, areaManagerRepo, userRepo, indicatorRepo);
areaLogic.CreateArea(area);
var areas = areaRepo.GetAll().ToList();
}
public void GetIndicatorByIdOK()
{
string contextName = Guid.NewGuid().ToString();
var context = ContextFactory.GetMemoryContext(contextName);
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
var id = Guid.NewGuid();
string color = "red";
BaseCondition component = new Condition();
Indicator indicator = new Indicator();
indicator.Id = id;
indicator.Color = color;
indicator.Condition = component;
indicatorRepo.Add(indicator);
indicatorRepo.Save();
context = ContextFactory.GetMemoryContext(contextName);
indicatorRepo = new IndicatorRepository(context);
Indicator obtainedIndicator = indicatorRepo.Get(id);
Assert.AreEqual(obtainedIndicator.Id, indicator.Id);
}
public void AddIndicatorOK()
{
var context = ContextFactory.GetMemoryContext(Guid.NewGuid().ToString());
IRepository <Indicator> indicatorRepo = new IndicatorRepository(context);
BaseCondition condition1 = new Condition();
BaseCondition condition2 = new Condition();
BaseCondition condition3 = new Condition();
Indicator indicator = new Indicator()
{
Name = "Indicator 1",
Id = Guid.NewGuid(),
GreenCondition = condition1,
YellowCondition = condition2,
RedCondition = condition3
};
indicatorRepo.Add(indicator);
indicatorRepo.Save();
var indicators = indicatorRepo.GetAll().ToList();
Assert.AreEqual(indicators[0].Name, indicator.Name);
}
private void button11_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null)
{
continue;
}
KLine dayLine = tsd.DayKLine;
if (dayLine == null)
{
continue;
}
MACD macd = (MACD)tsd.Create("macd", TimeUnit.day, false);
if (macd == null)
{
continue;
}
}
}
/// <summary>
/// 执行方法
/// </summary>
/// <param name="context"></param>
public override void Execute(CommandContext context)
{
logger.Debug("执行命令:" + this.ToString());
//取得参数
everydayLinePath = (String)context.GetExternalValue(everydayLinePath);
dayLineReposorityPath = (String)context.GetExternalValue(dayLineReposorityPath);
mergeDateString = (String)context.GetExternalValue(mergeDateString);
mergeDate = DateUtils.Parse(mergeDateString);
logger.Debug("取得参数:源路径=" + everydayLinePath + ",合并路径=" + dayLineReposorityPath + ",日期=" + mergeDateString);
if (!everydayLinePath.EndsWith("\\"))
{
everydayLinePath += "\\";
}
if (!dayLineReposorityPath.EndsWith("\\"))
{
dayLineReposorityPath += "\\";
}
IndicatorRepository repository = (IndicatorRepository)context.GetExternalValue("{$repository}");
//检查路径
DirectoryInfo dFromInfo = new DirectoryInfo(everydayLinePath);
if (!dFromInfo.Exists)
{
throw new Exception("单日日线存储路径不存在:" + everydayLinePath);
}
DirectoryInfo dToInfo = new DirectoryInfo(dayLineReposorityPath);
if (!dToInfo.Exists)
{
throw new Exception("日线存储仓库路径不存在:" + dayLineReposorityPath);
}
FileInfo[] finfos = dFromInfo.GetFiles("*.txt");
logger.Debug("共有" + (finfos == null ? "0" : finfos.Length.ToString()) + "个单日K线数据待合并...");
foreach (FileInfo fInfo in finfos)
{
logger.Debug("处理" + fInfo.Name + "...");
String market = fInfo.Name.Substring(0, fInfo.Name.IndexOf("#"));
String code = fInfo.Name.substring(0, "#", ".");
String[] lines = File.ReadAllLines(fInfo.FullName);
for (int i = 0; i < lines.Length; i++)
{
if (lines[i] == null || lines[i] == "")
{
continue;
}
if (!lines[i].Contains(","))
{
continue;
}
String[] ss = lines[i].Trim().Split(',');
if (ss == null || ss.Length != 7)
{
continue;
}
if (ss[0] == null)
{
continue;
}
DateTime d = DateUtils.InitDate;
if (!DateUtils.TryParse(ss[0].Trim(), out d))
{
continue;
}
if (d.Date != this.mergeDate.Date)
{
continue;
}
KLineItem item = new KLineItem();
item.SetValue <String>(KLineItem.PD_CODE.Name, code);
item.SetValue <DateTime>(KLineItem.PD_TIME.Name, d);
item.SetValue <double>(KLineItem.PD_OPEN.Name, ConvertUtils.ConvertTo <double>(ss[1].Trim()));
item.SetValue <double>(KLineItem.PD_HIGH.Name, ConvertUtils.ConvertTo <double>(ss[2].Trim()));
item.SetValue <double>(KLineItem.PD_LOW.Name, ConvertUtils.ConvertTo <double>(ss[3].Trim()));
item.SetValue <double>(KLineItem.PD_CLOSE.Name, ConvertUtils.ConvertTo <double>(ss[4].Trim()));
item.SetValue <double>(KLineItem.PD_VOLUMN.Name, ConvertUtils.ConvertTo <double>(ss[5].Trim()));
item.SetValue <double>(KLineItem.PD_TURNOVER.Name, ConvertUtils.ConvertTo <double>(ss[6].Trim()));
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
ds.DayKLine[d.Date] = item;
ds.Save("kline", TimeUnit.day);
logger.Debug("合并到" + market.ToUpper() + code + ".csv");
}
}
}
public override bool DoSell(string code, TradeBout bout, DateTime d, Properties strategyParam, BacktestParameter backtestParam, out string reason)
{
reason = "";
if (bout == null)
{
return(false);
}
IndicatorRepository repository = (IndicatorRepository)backtestParam.Get <Object>("repository");
if (repository == null)
{
return(false);
}
TimeSerialsDataSet ds = repository[bout.Code];
if (ds == null)
{
return(false);
}
KLine kline = ds.DayKLine;
if (kline == null)
{
return(false);
}
//跳过已完成的
if (bout.Completed)
{
return(false);
}
TimeSeries <ITimeSeriesItem <char> > btpoints = ds.DayTradeLine.buysellPoints;
if (btpoints == null || btpoints.Count <= 0)
{
return(false);
}
ITimeSeriesItem <char> item = btpoints[d];
if (item == null || item.Value == 'B')
{
return(false);
}
KLineItem klineItemDay = kline[d];
if (klineItemDay == null)
{
return(false);
}
double price = klineItemDay.CLOSE;
//if (price < bout.BuyInfo.TradePrice)
// return true;
int amount = bout.BuyInfo.Amount;
bout.RecordTrade(2, klineItemDay.Date, TradeDirection.Sell, price, amount, backtestParam.Volumecommission, backtestParam.Stampduty, "日线出S点");
return(false);
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
public IEnumerable <Indicator> GetAllWithObjectTypeAndScore()
{
var repo = new IndicatorRepository(new DatabaseFactory());
return(repo.GetAllWithObjectTypeAndScore());
}
public override List <TradeInfo> DoBuy(Properties strategyParam, DateTime d, StrategyContext context)
{
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//读取代码
List <String> codes = LoadCodes(strategyParam, context);
if (codes == null || codes.Count <= 0)
{
return(null);
}
//取得策略参数
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
List <TradeInfo> results = new List <TradeInfo>();
//遍历
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
KLine klineDay = ds.DayKLine;
if (klineDay == null)
{
continue;
}
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
continue;
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null)
{
continue;
}
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int index = fundDay.IndexOf(fundItemDay);
if (index <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > prevfundItemDay = fundDay[index - 1];
if (!p_grail.CanBuy(d, code)) //大盘禁止买入的跳过
{
continue;
}
if (p_mainforcelow > 0)//判断主力线上穿p_mainforcelow
{
if (fundItemDay.Value[0] < p_mainforcelow)
{
continue;
}
if (prevfundItemDay.Value[0] > p_mainforcelow)
{
continue;
}
}
if (p_mainforceslope > 0) //判断主力线上升速度超过p_mainforceslope
{
if (fundItemDay.Value[0] - prevfundItemDay.Value[0] < p_mainforceslope)
{
continue;
}
}
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Buy,
Code = code,
Amount = (int)(p_fundpergetin.Value / klineItemDay.CLOSE),
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = (p_mainforcelow <= 0 ? "" : "[主力线低位" + p_mainforcelow.ToString("F2") + "]") + (p_mainforceslope <= 0 ? "" : "[主力线上升速度超过" + p_mainforceslope.ToString("F2") + "]")
};
results.Add(tradeInfo);
}
return(results);
}
