//根据挂单情况获取可成交汇总
private SortedDictionary <double, int> getMarketWaitingVolumeSummary(StockTickTransaction tickData)
{
SortedDictionary <double, int> market = new SortedDictionary <double, int>();
if (tickData.Ask1 * tickData.AskV1 > 0)
{
market.Add(tickData.Ask1, Convert.ToInt32(tickData.AskV1));
}
if (tickData.Ask2 * tickData.AskV2 > 0)
{
market.Add(tickData.Ask2, Convert.ToInt32(tickData.AskV2));
}
if (tickData.Ask3 * tickData.AskV3 > 0)
{
market.Add(tickData.Ask3, Convert.ToInt32(tickData.AskV3));
}
if (tickData.Ask4 * tickData.AskV4 > 0)
{
market.Add(tickData.Ask4, Convert.ToInt32(tickData.AskV4));
}
if (tickData.Ask5 * tickData.AskV5 > 0)
{
market.Add(tickData.Ask5, Convert.ToInt32(tickData.AskV5));
}
return(market);
}
private int getTradableVolumeFromMarket(StockTickTransaction tickData, double price)
{
int volume = 0;
SortedDictionary <double, int> market = new SortedDictionary <double, int>();
if (tickData.Bid1 * tickData.BidV1 > 0)
{
market.Add(tickData.Bid1, Convert.ToInt32(tickData.BidV1));
}
if (tickData.Bid2 * tickData.BidV2 > 0)
{
market.Add(tickData.Bid2, Convert.ToInt32(tickData.BidV2));
}
if (tickData.Bid3 * tickData.BidV3 > 0)
{
market.Add(tickData.Bid3, Convert.ToInt32(tickData.BidV3));
}
if (tickData.Bid4 * tickData.BidV4 > 0)
{
market.Add(tickData.Bid4, Convert.ToInt32(tickData.BidV4));
}
if (tickData.Bid5 * tickData.BidV5 > 0)
{
market.Add(tickData.Bid5, Convert.ToInt32(tickData.BidV5));
}
foreach (var item in market)
{
if (item.Key >= price)
{
volume = +item.Value;
}
}
return(volume);
}
private void printTradingLog(TradeBook trade, List <OrderBook> orderBook, StockTickTransaction tickData)
{
//foreach (var order in orderBook)
//{
// if (trade.orderId==order.orderId)
// {
// Console.WriteLine("成交时间:{0},挂单时间:{1},成交量:{2},成交价:{3},ask1:{4},bid1:{5},lp：{6}", trade.time, order.time, trade.volume, trade.price, tickData.Ask1, tickData.Bid1, tickData.LastPrice);
// }
//}
}
private double getOrderPrice(int orderPriceMode, StockTickTransaction tickData)
{
double price = -1;
switch (orderPriceMode)
{
case 5:
price = tickData.Ask5;
break;
case 4:
price = tickData.Ask4;
break;
case 3:
price = tickData.Ask3;
break;
case 2:
price = tickData.Ask2;
break;
case 1:
price = tickData.Ask1;
break;
case -1:
price = tickData.Bid1;
break;
case -2:
price = tickData.Bid2;
break;
case -3:
price = tickData.Bid3;
break;
case -4:
price = tickData.Bid4;
break;
case -5:
price = tickData.Bid5;
break;
default:
break;
}
if (price == 0 && tickData.Bid1 != 0)
{
price = tickData.Bid1;
}
return(price);
}
//撤单，撤掉五档行情之外的挂单
private void cancelDeviateOrders(ref List <OrderBook> orderBook, StockTickTransaction tickData)
{
foreach (var item in orderBook)
{
if (item.price > tickData.Ask5)
{
item.volume = 0;
item.waitingVolume = 0;
}
}
}
private List <StockTickTransaction> FetchDataFromSource(string code, DateTime date)
{
List <StockTickTransaction> list = new List <StockTickTransaction>();
var dt = dataSource.Get(code, new DateTime(date.Year, date.Month, date.Day, 9, 15, 0, 0), new DateTime(date.Year, date.Month, date.Day, 15, 1, 0, 0));
bool highLimitExists = false;
if (dt.Columns.Contains("HighLimit"))
{
highLimitExists = true;
}
foreach (DataRow dr in dt.Rows)
{
StockTickTransaction tick = new StockTickTransaction();
tick.Code = Convert.ToString(dr["stkcd"]);
tick.TransactionDateTime = Convert.ToDateTime(dr["tdatetime"]);
tick.LastPrice = Convert.ToDouble(dr["cp"]);
tick.Volume = Convert.ToDouble(dr["ts"]);
tick.Amount = Convert.ToDouble(dr["tt"]);
if (highLimitExists == true)
{
tick.HighLimit = Convert.ToDouble(dr["HighLimit"]);
tick.LowLimit = Convert.ToDouble(dr["LowLimit"]);
}
tick.Ask1 = Convert.ToDouble(dr["S1"]);
tick.Ask2 = Convert.ToDouble(dr["S2"]);
tick.Ask3 = Convert.ToDouble(dr["S3"]);
tick.Ask4 = Convert.ToDouble(dr["S4"]);
tick.Ask5 = Convert.ToDouble(dr["S5"]);
tick.AskV1 = Convert.ToDouble(dr["SV1"]);
tick.AskV2 = Convert.ToDouble(dr["SV2"]);
tick.AskV3 = Convert.ToDouble(dr["SV3"]);
tick.AskV4 = Convert.ToDouble(dr["SV4"]);
tick.AskV5 = Convert.ToDouble(dr["SV5"]);
tick.Bid1 = Convert.ToDouble(dr["B1"]);
tick.Bid2 = Convert.ToDouble(dr["B2"]);
tick.Bid3 = Convert.ToDouble(dr["B3"]);
tick.Bid4 = Convert.ToDouble(dr["B4"]);
tick.Bid5 = Convert.ToDouble(dr["B5"]);
tick.BidV1 = Convert.ToDouble(dr["BV1"]);
tick.BidV2 = Convert.ToDouble(dr["BV2"]);
tick.BidV3 = Convert.ToDouble(dr["BV3"]);
tick.BidV4 = Convert.ToDouble(dr["BV4"]);
tick.BidV5 = Convert.ToDouble(dr["BV5"]);
list.Add(tick);
}
return(list);
}
private StockTickTransaction onTick(int seconds, List <StockTickTransaction> data)
{
StockTickTransaction tick = new StockTickTransaction();
int secondsIndex = DataTimeStampExtension.GetStockSecondsIndex(data[0].TransactionDateTime);
for (int i = 0; i < data.Count(); i++)
{
secondsIndex = DataTimeStampExtension.GetStockSecondsIndex(data[i].TransactionDateTime);
if (secondsIndex <= seconds)
{
tick = data[i];
}
else
{
break;
}
}
return(tick);
}
private void UpdateTickData(ref StockTickTransaction tickData, int volume)
{
int residualVolume = volume;
residualVolume -= Convert.ToInt32(Math.Min(volume, tickData.BidV1));
tickData.BidV1 -= Math.Min(volume, tickData.BidV1);
volume = residualVolume;
residualVolume -= Convert.ToInt32(Math.Min(volume, tickData.BidV2));
tickData.BidV2 -= Math.Min(volume, tickData.BidV2);
volume = residualVolume;
residualVolume -= Convert.ToInt32(Math.Min(volume, tickData.BidV3));
tickData.BidV3 -= Math.Min(volume, tickData.BidV3);
volume = residualVolume;
residualVolume -= Convert.ToInt32(Math.Min(volume, tickData.BidV4));
tickData.BidV4 -= Math.Min(volume, tickData.BidV4);
volume = residualVolume;
residualVolume -= Convert.ToInt32(Math.Min(volume, tickData.BidV5));
tickData.BidV5 -= Math.Min(volume, tickData.BidV5);
volume = residualVolume;
}
private List <StockTickTransaction> ConvertToTicks(string code, HashEntry[] hashEntries)
{
var ticks = new List <StockTickTransaction>();
for (int i = 0; i < hashEntries.Length; i++)
{
var array = hashEntries[i].Value.ToString().Split(',');
var tick = new StockTickTransaction()
{
Code = code,
TransactionDateTime = hashEntries[i].Name.ToString().ToDateTime(),
LastPrice = array[0].ConvertTo <double>(),
Ask1 = array[1].ConvertTo <double>(),
Ask2 = array[2].ConvertTo <double>(),
Ask3 = array[3].ConvertTo <double>(),
Ask4 = array[4].ConvertTo <double>(),
Ask5 = array[5].ConvertTo <double>(),
Bid1 = array[6].ConvertTo <double>(),
Bid2 = array[7].ConvertTo <double>(),
Bid3 = array[8].ConvertTo <double>(),
Bid4 = array[9].ConvertTo <double>(),
Bid5 = array[10].ConvertTo <double>(),
AskV1 = array[11].ConvertTo <double>(),
AskV2 = array[12].ConvertTo <double>(),
AskV3 = array[13].ConvertTo <double>(),
AskV4 = array[14].ConvertTo <double>(),
AskV5 = array[15].ConvertTo <double>(),
BidV1 = array[16].ConvertTo <double>(),
BidV2 = array[17].ConvertTo <double>(),
BidV3 = array[18].ConvertTo <double>(),
BidV4 = array[19].ConvertTo <double>(),
BidV5 = array[20].ConvertTo <double>(),
Volume = array[21].ConvertTo <double>(),
Amount = array[22].ConvertTo <double>(),
HighLimit = array[23].ConvertTo <double>(),
LowLimit = array[24].ConvertTo <double>()
};
ticks.Add(tick);
}
return(ticks);
}
public static List <StockTickTransaction> ModifyStockTickData(List <StockTickTransaction> original)
{
var timelist = GetStockTickStamp();
StockTickTransaction[] modify = new StockTickTransaction[timelist.Count];
int timeIndex = 0;
DateTime today = new DateTime(original[0].TransactionDateTime.Year, original[0].TransactionDateTime.Month, original[0].TransactionDateTime.Day);
for (int j = 0; j < original.Count; j++)
{
while (original[j].TransactionDateTime.TimeOfDay >= timelist[timeIndex] && timeIndex < timelist.Count - 1)
{
timeIndex++;
}
if (original[j].TransactionDateTime.TimeOfDay < timelist[timeIndex])
{
var data0 = original[j];
modify[timeIndex - 1] = new StockTickTransaction {
Ask1 = data0.Ask1, Ask2 = data0.Ask2, Ask3 = data0.Ask3, Ask4 = data0.Ask4, Ask5 = data0.Ask5, AskV1 = data0.AskV1, AskV2 = data0.AskV2, AskV3 = data0.AskV3, AskV4 = data0.AskV4, AskV5 = data0.AskV5, Bid1 = data0.Bid1, Bid2 = data0.Bid2, Bid3 = data0.Bid3, Bid4 = data0.Bid4, Bid5 = data0.Bid5, BidV1 = data0.BidV1, BidV2 = data0.BidV2, BidV3 = data0.BidV3, BidV4 = data0.BidV4, BidV5 = data0.BidV5, Amount = data0.Amount, Code = data0.Code, LastPrice = data0.LastPrice, TransactionDateTime = data0.TransactionDateTime, Volume = data0.Volume
};
}
}
for (int i = 1; i < timelist.Count; i++)
{
if (modify[i] == null && modify[i - 1] != null)
{
var data0 = modify[i - 1];
modify[i] = new StockTickTransaction {
Ask1 = data0.Ask1, Ask2 = data0.Ask2, Ask3 = data0.Ask3, Ask4 = data0.Ask4, Ask5 = data0.Ask5, AskV1 = data0.AskV1, AskV2 = data0.AskV2, AskV3 = data0.AskV3, AskV4 = data0.AskV4, AskV5 = data0.AskV5, Bid1 = data0.Bid1, Bid2 = data0.Bid2, Bid3 = data0.Bid3, Bid4 = data0.Bid4, Bid5 = data0.Bid5, BidV1 = data0.BidV1, BidV2 = data0.BidV2, BidV3 = data0.BidV3, BidV4 = data0.BidV4, BidV5 = data0.BidV5, Amount = data0.Amount, Code = data0.Code, LastPrice = data0.LastPrice, TransactionDateTime = data0.TransactionDateTime, Volume = data0.Volume
};
modify[i].TransactionDateTime = today + timelist[i];
}
if (modify[i] != null)
{
modify[i].TransactionDateTime = today + timelist[i];
}
}
return(modify.ToList());
}
//根据盘口数据更新orderbook中的waitingvolume字段
private void modifyOrderBookByTickData(ref List <OrderBook> orderBook, StockTickTransaction tickData)
{
var marketSummary = getMarketWaitingVolumeSummary(tickData);
var orderSummary = getOrderBookSummary(orderBook);
foreach (var market in marketSummary)
{
if (orderSummary.ContainsKey(market.Key) && orderSummary[market.Key] > 0)
{
//从后往前更新数据
int waitingVolume = market.Value;
for (int i = orderBook.Count() - 1; i >= 0; i--)
{
var order = orderBook[i];
if (order.price == market.Key && order.volume > 0)
{
order.waitingVolume = waitingVolume;
waitingVolume = Math.Max(waitingVolume - order.volume, 0);
}
}
}
}
}
private void placeAnOrder(ref List <OrderBook> orderBook, StockTickTransaction tickData, double price, DateTime time, int volume, int orderId)
{
var marketSummary = getMarketWaitingVolumeSummary(tickData);
var order = new OrderBook();
order.time = time;
order.price = price;
order.orderId = orderId;
order.volume = volume;
order.code = tickData.Code;
order.waitingVolume = 0;
if (marketSummary.ContainsKey(price))
{
order.waitingVolume = marketSummary[price];
}
else if (marketSummary.Count() > 0)
{
if (price > marketSummary.Keys.Max() && marketSummary.Keys.Max() > 0)
{
order.waitingVolume = 2 * marketSummary[marketSummary.Keys.Max()];
}
}
orderBook.Add(order);
}
private double getStockMidPrice(StockTickTransaction tick, double volumeTarget = 1000)
{
double mid = 0;
if (tick == null || tick.AskV1 == 0 || tick.BidV1 == 0 || tick.Ask1 == 0 || tick.Bid1 == 0)
{
return(mid);
}
var askv1 = Math.Min(volumeTarget, tick.AskV1);
var askv2 = Math.Max(Math.Min(volumeTarget - askv1, tick.AskV2), 0);
var askv3 = Math.Max(Math.Min(volumeTarget - askv1 - askv2, tick.AskV3), 0);
var askv4 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3, tick.AskV4), 0);
var askv5 = Math.Max(Math.Min(volumeTarget - askv1 - askv2 - askv3 - askv4, tick.AskV5), 0);
var bidv1 = Math.Min(volumeTarget, tick.BidV1);
var bidv2 = Math.Max(Math.Min(volumeTarget - bidv1, tick.BidV2), 0);
var bidv3 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2, tick.BidV3), 0);
var bidv4 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3, tick.BidV4), 0);
var bidv5 = Math.Max(Math.Min(volumeTarget - bidv1 - bidv2 - bidv3 - bidv4, tick.BidV5), 0);
var askvtotal = askv1 + askv2 + askv3 + askv4 + askv5;
var bidvtotal = bidv1 + bidv2 + bidv3 + bidv4 + bidv5;
mid = (askv1 * tick.Ask1 + askv2 * tick.Ask2 + askv3 * tick.Ask3 + askv4 * tick.Ask4 + askv5 * tick.Ask5 + bidv1 * tick.Bid1 + bidv2 * tick.Bid2 + bidv3 * tick.Bid3 + bidv4 * tick.Bid4 + bidv5 * tick.Bid5) / (askvtotal + bidvtotal);
return(mid);
}
//按盘口价格模拟成交
private void transactionSimulation(ref List <OrderBook> orderBook, ref List <TradeBook> tradeBook, StockTickTransaction tickData)
{
//如果orderbook上的挂单时间早于tickData数据的时间，认为orderbook的挂单完全成交。
for (int i = 0; i < orderBook.Count(); i++)
{
var order = orderBook[i];
if (order.time < tickData.TransactionDateTime)
{
if (order.price <= tickData.Bid1 && order.volume > 0) //若order的卖价小于等于bid1的价格，认为其在该时刻已经成交了。
{
//记录成交信息
TradeBook trade = new TradeBook();
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = order.price;
trade.volume = order.volume;
trade.orderId = order.orderId;
//刷新orderbook情况
UpdateOrderBookWaitingVolume(order.price, orderBook[i].waitingVolume + orderBook[i].volume, i + 1, ref orderBook);
order.waitingVolume = 0;
order.volume = 0;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
}
}
}
//如果orderbook上的挂单时间等于或者晚于tickData数据的时间，按照盘口成交，并减少盘口的量。
var summary = getOrderBookSummary(orderBook);//先汇总挂单价格
//按挂单价格遍历
foreach (var price in summary.Keys)
{
for (int i = 0; i < orderBook.Count(); i++)//按order挂单的先后顺序成交
{
int tradableVolume = getTradableVolumeFromMarket(tickData, price);
int tradedVolume = 0;
if (tradableVolume <= 0)
{
break;
}
var order = orderBook[i];
if (orderBook[i].volume == 0 || orderBook[i].price != price)
{
continue;
}
//先成交他人的订单
if (tradableVolume <= orderBook[i].waitingVolume)
{
//无法成交
UpdateOrderBookWaitingVolume(price, tradableVolume, i, ref orderBook);
tradedVolume = tradableVolume;
tradableVolume = 0;
UpdateTickData(ref tickData, tradedVolume);
break;
}
//再成交策略的挂单
else if (tradableVolume <= orderBook[i].waitingVolume + orderBook[i].volume)
{
//部分成交
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
TradeBook trade = new TradeBook();
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = price;
trade.volume = tradableVolume - orderBook[i].waitingVolume;
trade.orderId = orderBook[i].orderId;
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
orderBook[i].volume -= tradableVolume - orderBook[i].waitingVolume;
orderBook[i].waitingVolume = 0;
tradedVolume = tradableVolume;
UpdateTickData(ref tickData, tradedVolume);
tradableVolume = 0;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
break;
}
else
{
//完全成交
UpdateOrderBookWaitingVolume(price, orderBook[i].waitingVolume + orderBook[i].volume, i + 1, ref orderBook);
TradeBook trade = new TradeBook();
trade.code = code;
trade.tradeId = tradeId;
tradeId += 1;
trade.time = tickData.TransactionDateTime;
trade.price = price;
trade.volume = orderBook[i].volume;
trade.orderId = orderBook[i].orderId;
UpdateOrderBookWaitingVolume(price, tradableVolume, i + 1, ref orderBook);
tradedVolume = orderBook[i].waitingVolume + orderBook[i].volume;
orderBook[i].volume = 0;
orderBook[i].waitingVolume = 0;
UpdateTickData(ref tickData, tradedVolume);
tradableVolume -= tradedVolume;
tradeBook.Add(trade);
printTradingLog(trade, orderBook, tickData);
}
}
}
}
private List <StockTickTransaction> getMergeData(List <StockTickTransaction> list1, List <StockTickTransaction> list2)
{
List <StockTickTransaction> list = new List <StockTickTransaction>();
foreach (var item in list1)
{
StockTickTransaction trans = new StockTickTransaction();
trans.Volume = item.Volume;
trans.Amount = item.Amount;
trans.Code = item.Code;
trans.LastPrice = item.LastPrice;
trans.TransactionDateTime = item.TransactionDateTime;
trans.Ask1 = item.Ask1;
trans.Ask2 = item.Ask2;
trans.Ask3 = item.Ask3;
trans.Ask4 = item.Ask4;
trans.Ask5 = item.Ask5;
trans.AskV1 = item.AskV1;
trans.AskV2 = item.AskV2;
trans.AskV3 = item.AskV3;
trans.AskV4 = item.AskV4;
trans.AskV5 = item.AskV5;
trans.Bid1 = item.Bid1;
trans.Bid2 = item.Bid2;
trans.Bid3 = item.Bid3;
trans.Bid4 = item.Bid4;
trans.Bid5 = item.Bid5;
trans.BidV1 = item.BidV1;
trans.BidV2 = item.BidV2;
trans.BidV3 = item.BidV3;
trans.BidV4 = item.BidV4;
trans.BidV5 = item.BidV5;
list.Add(trans);
}
foreach (var item in list2)
{
StockTickTransaction trans = new StockTickTransaction();
trans.Volume = item.Volume;
trans.Amount = item.Amount;
trans.Code = item.Code;
trans.LastPrice = item.LastPrice;
trans.TransactionDateTime = item.TransactionDateTime;
trans.Ask1 = item.Ask1;
trans.Ask2 = item.Ask2;
trans.Ask3 = item.Ask3;
trans.Ask4 = item.Ask4;
trans.Ask5 = item.Ask5;
trans.AskV1 = item.AskV1;
trans.AskV2 = item.AskV2;
trans.AskV3 = item.AskV3;
trans.AskV4 = item.AskV4;
trans.AskV5 = item.AskV5;
trans.Bid1 = item.Bid1;
trans.Bid2 = item.Bid2;
trans.Bid3 = item.Bid3;
trans.Bid4 = item.Bid4;
trans.Bid5 = item.Bid5;
trans.BidV1 = item.BidV1;
trans.BidV2 = item.BidV2;
trans.BidV3 = item.BidV3;
trans.BidV4 = item.BidV4;
trans.BidV5 = item.BidV5;
list.Add(trans);
}
return(list.OrderBy(x => x.TransactionDateTime).ToList());
}
