public bool operateInstrument(OpType op, string instrumentId, double price, int limitMin)
{
if (op == OpType.BUY_OPEN || op == OpType.SELL_OPEN)
{
int orderId = _orderId++;
OrderField orderField = new OrderField();
orderField.OrderID = orderId;
orderField.InstrumentID = instrumentId;
orderField.LimitPrice = price;
if (op == OpType.BUY_OPEN)
{
orderField.Direction = DirectionType.Buy;
}
else
{
orderField.Direction = DirectionType.Sell;
}
_tradeOrders.Add(orderId, orderField);
if (limitMin > 0)
{
_waitingOrder.Add(instrumentId, new HashSet <string>());
_waitingMin[instrumentId] = limitMin;
}
else
{
_waitingMin[_instrumentId] = 0;
}
StrategyManager.getInstance().onOrder(orderField);
}
else
{
if (_holding != 0)
{
TradeArgs tradeArgs = new TradeArgs();
tradeArgs.Value = new TradeField();
if (_holdingOrder.Direction == DirectionType.Buy)
{
tradeArgs.Value.Direction = DirectionType.Sell;
}
else
{
tradeArgs.Value.Direction = DirectionType.Buy;
}
tradeArgs.Value.InstrumentID = _instrumentId;
tradeArgs.Value.Price = _currentLastPrice;
tradeArgs.Value.TradeTime = _currentTime;
tradeArgs.Value.OrderID = _holdingOrder.OrderID;
tradeArgs.Value.Offset = OffsetType.Close;
StrategyManager.getInstance().onTrade(tradeArgs);
_holding = 0;
_holdingOrder = null;
}
}
return(true);
}
public void init(string instrumentId)
{
_instrumentId = instrumentId;
BreakStrategy breakStrategy = new BreakStrategy(this);
breakStrategy.mMinSpan = 30;
breakStrategy.mTotalSize = 9;
StrategyManager.getInstance().addStrategy(breakStrategy);
}
public void start()
{
FileStream fs = new FileStream(FileUtil.getTestDataFilePath(_instrumentId + "_Tick.csv"), System.IO.FileMode.Open, System.IO.FileAccess.Read);
//StreamReader sr = new StreamReader(fs, Encoding.UTF8);
StreamReader sr = new StreamReader(fs, Encoding.UTF8);
//string fileContent = sr.ReadToEnd();
//encoding = sr.CurrentEncoding;
//记录每次读取的一行记录
string strLine = "";
//记录每行记录中的各字段内容
string[] aryLine = null;
//标示列数
int columnCount = 0;
//标示是否是读取的第一行
bool IsFirst = true;
//逐行读取CSV中的数据
int count = 0;
while ((strLine = sr.ReadLine()) != null)
{
//strLine = Common.ConvertStringUTF8(strLine, encoding);
//strLine = Common.ConvertStringUTF8(strLine);
{
aryLine = strLine.Split(',');
TickEventArgs tick = new TickEventArgs();
tick.Tick = new MarketData();
bool result = double.TryParse(aryLine[8], out tick.Tick.LastPrice);
if (result == false || tick.Tick.LastPrice <= 0)
{
continue;
}
_currentLastPrice = tick.Tick.LastPrice;
tick.Tick.InstrumentID = _instrumentId;
string date = aryLine[0].Substring(0, 4) + "-" + aryLine[0].Substring(4, 2) + "-" + aryLine[0].Substring(6);
string time;
string temparyLine1 = aryLine[1];
string temparyLine2 = aryLine[1];
if (temparyLine1.IndexOf('E') >= 0)
{
Decimal dec = ChangeDataToD(temparyLine1);
temparyLine2 = dec.ToString();
}
temparyLine2 += "00000000";
time = temparyLine2.Substring(2, 2) + ":" + temparyLine2.Substring(4, 2) + ":" + temparyLine2.Substring(6, 2);
tick.Tick.UpdateTime = date + " " + time;
_currentTime = tick.Tick.UpdateTime;
OrderField order = getOpeningOrder(_instrumentId);
if (order != null)
{
if ((order.Direction == DirectionType.Buy &&
order.LimitPrice >= tick.Tick.LastPrice) ||
(order.Direction == DirectionType.Sell &&
order.LimitPrice <= tick.Tick.LastPrice))
{
TradeArgs tradeArgs = new TradeArgs();
tradeArgs.Value = new TradeField();
tradeArgs.Value.Direction = order.Direction;
tradeArgs.Value.InstrumentID = _instrumentId;
tradeArgs.Value.Price = tick.Tick.LastPrice;
tradeArgs.Value.TradeTime = tick.Tick.UpdateTime;
tradeArgs.Value.OrderID = order.OrderID;
tradeArgs.Value.Offset = order.Offset;
StrategyManager.getInstance().onTrade(tradeArgs);
_holding = 1;
_holdingOrder = order;
removeOrder(order.OrderID);
removeWaitingOrder(_instrumentId);
}
}
StrategyManager.getInstance().onTick(tick);
if (hasWaitingOrder(_instrumentId))
{
if (_waitingOrder.ContainsKey(_instrumentId))
{
HashSet <string> tickTime = _waitingOrder[_instrumentId];
tickTime.Add(tick.Tick.UpdateTime);
if (tickTime.Count == 1 && order != null)
{
order.InsertTime = tick.Tick.UpdateTime;
}
if (tickTime.Count > _waitingMin[_instrumentId] * 60)
{
removeOrder(order.OrderID);
removeWaitingOrder(_instrumentId);
order.InsertTime = tick.Tick.UpdateTime;
StrategyManager.getInstance().onOrderCancel(order);
}
}
}
}
}
sr.Close();
fs.Close();
}