protected override void OnBarOpen(Instrument instrument, Bar bar)
{
if (MaxBarSize == bar.Size)
{
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
InstrumentStrategyHelper.ChangeTradingDay(record);
// 2.同步持仓
//SyncPosition();
}
}
protected override void OnStrategyStart()
{
StrategyHelper = new StrategyHelper(framework, this);
StrategyHelper.OpenCloseHelper.SeparateOrder = SeparateOrder.SeparateCloseOpen;
StrategyHelper.OpenCloseHelper.DefaultClose = DefaultClose.CloseToday;
StrategyHelper.OpenCloseHelper.SendStyle = SendStyle.OneByOne;
if (Instrument != null)
{
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
InstrumentStrategyHelper.MarketOrderType = SmartQuant.OrderType.Limit;
InstrumentStrategyHelper.Tick = 10;
// 看情况是否要修正
Console.WriteLine(string.Format("{0},{1}", Instrument.Symbol, InstrumentStrategyHelper.PriceHelper));
// 如果是在模拟测试，需要修正此处理，防止出现需要用到交易所时间的情况下出错
// 注意时区
Console.WriteLine(string.Format("{0},{1}", Instrument.Symbol, InstrumentStrategyHelper.TimeHelper));
}
TrailingPrice = new TrailingPrice(framework, this);
}
protected override void OnBar(Instrument instrument, Bar bar)
{
StrategyHelper.StatisticsHelper.Update(instrument, bar.Close);
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
if (MaxBarSize == bar.Size)
{
bars86400.Add(bar);
return;
}
else
{
Log(bar, barsGroup);
}
if (HH.Count > 0)
{
Log(HH.Last, hhGroup);
Log(HC.Last, hcGroup);
Log(LC.Last, lcGroup);
Log(LL.Last, llGroup);
}
// Update performance.
Portfolio.Performance.Update();
// Log equity.
Log(Portfolio.Value, equityGroup);
do
{
// 尾盘平仓
if (TimeHelper.GetTime(Clock.DateTime) > 1500 && TimeHelper.GetTime(Clock.DateTime) < 2100)
{
record.TargetPosition = 0;
break;
}
double price = bar.Close;
double NetQty = record.CurrentPosition;
if (NetQty == 0)
{
if (price >= UpperBand)
{
record.TargetPosition = 1;
}
if (price <= LowerBand)
{
record.TargetPosition = -1;
}
}
else if (NetQty > 0)
{
if (price <= LowerBand)
{
record.TargetPosition = -1;
}
}
else if (NetQty < 0)
{
if (price >= UpperBand)
{
record.TargetPosition = 1;
}
}
// 策略改进:14:00以后了只让平仓，不让开仓
if (TimeHelper.GetTime(Clock.DateTime) > 1400)
{
record.FilterCloseOnly();
}
// 策略改进:达到当日亏损次数上限和当日连续亏损次数上限后不让开仓
if (dailyNumOfLossTrades.TotalValue >= MaxLoss || dailyConsecutiveLossTrades.TotalValue >= MaxConsecutiveLoss)
{
record.FilterCloseOnly();
}
} while (false);
InstrumentStrategyHelper.Process(record, bar.Close);
//// 价格达到涨跌停
//if (bar.Close >= UpperLimitPrice)
//{
// //// 这个地方方向是否有问题？会不会将我在这个地方的反方向开仓给平了？
// //StrategyHelper.ClosePosition(Position, "涨跌停平仓");
// //// 由于在这之前已经先达到了
// // 01.19 判断一下持仓方向，然后决定是否平仓（如涨停时，持有多仓则不应平仓）
// if (HasShortPosition(instrument))
// {
// StrategyHelper.ClosePosition(Position, "涨停平仓");
// }
// return;
//}
//else if (bar.Close <= LowerLimitPrice)
//{
// // 01.19 判断一下持仓方向，然后决定是否平仓（如跌停时，持有空仓则不应平仓）
// if (HasLongPosition(instrument))
// {
// StrategyHelper.ClosePosition(Position, "跌停平仓");
// }
//}
// 开仓条件
//if (bar.Close >= UpperBand)
//{
// if (HasShortPosition(instrument))
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (!HasPosition(instrument))
// {
// if (!flgLongStopped)
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (bar.Close > TrailingPrice.HighestAfterEntry)
// {
// Order order = StrategyHelper.BuyOrder(instrument, Position.Qty + Qty, "AA");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// }
//}
//if (bar.Close <= LowerBand)
//{
// if (HasLongPosition(instrument))
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (!HasPosition(instrument))
// {
// if (!flgShortStopped)
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// if (bar.Close < TrailingPrice.LowestAfterEntry)
// {
// Order order = StrategyHelper.SellOrder(instrument, Position.Qty + Qty, "BB");
// order = StrategyHelper.RebuildOrder(order);
// StrategyHelper.Send(order);
// return;
// }
// }
//}
}
protected override void OnBar(Instrument instrument, Bar bar)
{
DualPositionRecord record = StrategyHelper.GetPositionRecord(instrument);
InstrumentStrategyHelper InstrumentStrategyHelper = StrategyHelper.GetInstrumentStrategyHelper(Instrument, this);
// Add bar to bar series.
if (MaxBarSize == bar.Size)
{
bars86400.Add(bar);
return;
}
else
{
bars60.Add(bar);
Log(bar, bars60Group);
}
//if (!SuspendTrading)
//{
// Console.WriteLine("fastSMA.Count = {0}", fastSMA.Count);
// Console.WriteLine("slowSMA.Count = {0}", slowSMA.Count);
//}
if (fastSMA.Count <= 0)
{
return;
}
Log(fastSMA.Last, fastSmaGroup);
if (slowSMA.Count <= 0)
{
return;
}
Log(slowSMA.Last, slowSmaGroup);
// Update performance.
Portfolio.Performance.Update();
// Log equity.
Log(Portfolio.Value, equityGroup);
if (SuspendTrading)
{
return;
}
do
{
// 尾盘平仓
if (TimeHelper.GetTime(Clock.DateTime) > 1500 && TimeHelper.GetTime(Clock.DateTime) < 2055)
{
record.TargetPosition = 0;
break;
}
// 开仓条件
Cross cross = fastSMA.Crosses(slowSMA, bar.DateTime);
switch (cross)
{
case Cross.Above:
record.TargetPosition = 1;
record.Text = "上行";
break;
case Cross.Below:
record.TargetPosition = -1;
record.Text = "下行";
break;
}
}while(false);
InstrumentStrategyHelper.Process(record, bar.Close);
}
