private void Leave(double closePrice, double qty, Guid tradeGuid)
{
if (tps.ContainsKey(tradeGuid))
{
PTradePoints tp = tps[tradeGuid];
if (tp.OutPoint == null)
{
OpenPoint op = new OpenPoint();
op.SecInfo = currentTick.SecInfo;
//op.FirstTradePriceType = TradeSendOrderPriceType.ShiJiaWeiTuo_SH_SZ_WuDangJiChenShenChe;
op.FirstTradePriceType = parameter.CloseOrderPriceType;
op.CancelLimitTime = parameter.CloseOrderWaitSecond;
op.ReTradePriceType = parameter.ReCloseOrderPriceType;
op.ReEnterPecentage = 1;
op.Openop = false;
//op.Remark = string.Format("MA2:{0},Close{1}", args.Bar.MA.MA2, args.Bar.Close);
tp.OutPoint = op;
openPoints.Add(op);
tp.HowToClose = CloseType.Normal;
tp.Status = OpenStatus.Closed;
}
tp.OutPoint.OpenTime = currentTick.Time;
tp.OutPoint.OpenQty += qty;
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
tp.OutPoint.OpenType = OpenType.PingDuo;
tp.OutPoint.OpenPrice = closePrice;
}
else
{
tp.OutPoint.OpenType = OpenType.PingKong;
tp.OutPoint.OpenPrice = closePrice;
}
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.Tickdata = currentTick;
arg.PolicyName1 = this.policyName;
arg.SecInfo = this.SecInfo;
arg.IsReal = tp.IsReal;
arg.PairePoint = tp;
arg.OpenRmks = tp.EnterPoint.Remark;
RaiseResult(arg);
}
}
private void Open(double price, double qty, OpenType ot)
{
PolicyResultEventArgs arg = new PolicyResultEventArgs();
arg.PolicyName1 = this.policyName;
arg.SecInfo = this.SecInfo;
arg.IsReal = currentTick.IsReal;
OpenPoint op = new OpenPoint();
op.SecInfo = currentTick.SecInfo;
op.OpenTime = currentTick.Time;
op.OpenPrice = price;
op.OpenType = ot;
op.OpenQty = qty;
op.DealQty = 0;
op.Openop = true;
op.FirstTradePriceType = parameter.EnterOrderPriceType;
op.CancelLimitTime = parameter.EnterOrderWaitSecond;
op.ReEnterPecentage = parameter.ReEnterPercent;
//op.CancelLimitTime = 60;
//op.ReEnterPecentage = 0.05;
openPoints.Add(op);
PTradePoints tp = new PTradePoints(op, 0);
if (ot == OpenType.KaiDuo)
{
tp.Y = (1 + parameter.ZhiYingBeiShu) * price;
tp.ZhiSun = (1 - parameter.ZhiSunBiLi) * price;
}
if (ot == OpenType.KaiKong)
{
tp.Y = (1 - parameter.ZhiYingBeiShu) * price;
tp.ZhiSun = (1 + parameter.ZhiSunBiLi) * price;
}
tp.Fee = parameter.Fee;
/////////////add//////////////////////
tp.IsReal = arg.IsReal;
this.tps.TryAdd(tp.TradeGuid, tp);
arg.PairePoint = tp;
arg.PolicyObject = this;
arg.Tickdata = currentTick;
RaiseResult(arg);
}
public override void ManualClose(Guid tradeGuid)
{
if (tps.ContainsKey(tradeGuid))
{
PTradePoints tp = tps[tradeGuid];
if (currentTick.IsReal ? !tp.Finished : !tp.Closed)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
Leave(currentTick.Bid, qty, tradeGuid);
}
else
{
Leave(currentTick.Ask, qty, tradeGuid);
}
}
}
}
}
public override void Notify(Guid tradeGuid, OpenStatus status, double dealQty = 0, double dealPrice = 0, string weituobianhao = "", string pendWeituobianhao = "")
{
if (tps.ContainsKey(tradeGuid))
{
PTradePoints t = tps[tradeGuid];
if (status == OpenStatus.Opened)
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
t.EnterPoint.DealQty = (double)((decimal)dealQty + (decimal)t.EnterPoint.PartDealQty);
if (t.EnterPoint.OpenType == OpenType.KaiDuo)
{
DuoHands += (Decimal)t.EnterPoint.DealQty;
FrozenDuoHands -= (Decimal)t.EnterPoint.DealQty;
}
else
{
KongHands += (Decimal)t.EnterPoint.DealQty;
FrozenKongHands -= (Decimal)t.EnterPoint.DealQty;
}
if (currentTick.IsReal)
{
t.Status = OpenStatus.Opened;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.Open)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓下单通知", this.policyName)));
}
else if (status == OpenStatus.Close)
{
OpenPointWeiTuo opwt = new OpenPointWeiTuo();
opwt.Weituobianhao = weituobianhao;
opwt.OpenQty = dealQty;
t.OutPoint.OpenPointWeiTuo.Add(opwt);
if (currentTick.IsReal)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受平仓下单通知", this.policyName)));
}
}
else if (status == OpenStatus.Closed)
{
double RealTotalDeal = 0;
bool find = false;
for (int j = 0; j < t.OutPoint.OpenPointWeiTuo.Count; j++)
{
if (t.OutPoint.OpenPointWeiTuo[j].Weituobianhao == weituobianhao)
{
OpenPointWeiTuo opwt = t.OutPoint.OpenPointWeiTuo[j];
decimal realDealQty = (decimal)dealQty + (decimal)opwt.PartDealQty - (decimal)opwt.DealQty;
t.OutPoint.OpenPointWeiTuo[j].DealQty = dealQty + opwt.PartDealQty;
find = true;
}
RealTotalDeal += t.OutPoint.OpenPointWeiTuo[j].DealQty;
}
if (t.EnterPoint.DealQty == RealTotalDeal)
{
if (t.EnterPoint.OpenType == OpenType.KaiDuo)
{
DuoHands -= (decimal)RealTotalDeal;
}
else
{
KongHands -= (decimal)RealTotalDeal;
}
t.Finished = true;
PTradePoints tptemp;
tps.TryRemove(tradeGuid, out tptemp);
}
if (currentTick.IsReal)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受平仓通知-{1}-有单子：{2}", this.policyName, weituobianhao, find.ToString())));
}
}
else if (status == OpenStatus.OpenPending)
{
t.EnterPoint.PartDealQty = t.EnterPoint.DealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收入场追单通知", this.policyName)));
}
else if (status == OpenStatus.ClosePending)
{
OpenPointWeiTuo opwt = new OpenPointWeiTuo();
opwt.Weituobianhao = pendWeituobianhao;
opwt.OpenQty = dealQty;
t.OutPoint.OpenPointWeiTuo.Add(opwt);
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收出场追单通知", this.policyName)));
}
else if (status == OpenStatus.Failed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受失败通知", this.policyName)));
}
else if (status == OpenStatus.PartOpend)
{
if (dealQty > (t.EnterPoint.DealQty - t.EnterPoint.PartDealQty))
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
t.EnterPoint.DealQty = dealQty + t.EnterPoint.PartDealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分入场成交通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.PartClosed)
{
for (int j = 0; j < t.OutPoint.OpenPointWeiTuo.Count; j++)
{
if (t.OutPoint.OpenPointWeiTuo[j].Weituobianhao == weituobianhao)
{
OpenPointWeiTuo opwt = t.OutPoint.OpenPointWeiTuo[j];
if (dealQty > (opwt.DealQty - opwt.PartDealQty))
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分出场成交通知，成交数量:{1}", this.policyName, dealQty)));
decimal realDealQty = (decimal)dealQty + (decimal)opwt.PartDealQty - (decimal)opwt.DealQty;
t.OutPoint.OpenPointWeiTuo[j].DealQty = dealQty + opwt.PartDealQty;
}
break;
}
}
}
else if (status == OpenStatus.OpenCanceled)
{
if (t.EnterPoint.DealQty == 0)
{
t.Finished = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.CloseCanceled)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受出场撤单通知", this.policyName)));
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
while (LiveBars["close"].Count > 120)
{
foreach (var item in LiveBars)
{
LiveBars[item.Key].RemoveAt(0);
}
}
currentDay = tickdata.Time.Date;
StopTime = tickdata.Time.Date.AddHours(14).AddMinutes(59);
this.Reset();
}
if (tickdata.Time > StopTime)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Bid, qty, tp.TradeGuid);
}
}
else
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Ask, qty, tp.TradeGuid);
}
}
}
}
}
currentTick = tickdata;
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
}
}
LiveDataUpdate(tickdata);
}
}
void liveDataProcessor_OnLiveBarArrival(object sender, LiveBarArrivalEventArgs args)
{
int inteval = ((LiveBars)sender).Inteval;
#region 策略bar逻辑
if (inteval == parameter.BarInteval)
{
LiveBars["close"].Add(args.Bar.Close);
LiveBars["high"].Add(args.Bar.High);
LiveBars["low"].Add(args.Bar.Low);
if (LiveBars["close"].Count > parameter.BarCount)
{
MarkDp mdp = new MarkDp();
List <Signal> listsig = mdp.GetDpData(LiveBars);
bool NewPoint = false;
for (int i = 0; i < listsig.Count; i++)
{
if (listsig[i].Info == "low" && !ListLowSig.ContainsKey(listsig[i].Index))
{
ListLowSig.Add(listsig[i].Index, listsig[i].Price);
NewPoint = true;
}
if (listsig[i].Info == "high" && !ListHighSig.ContainsKey(listsig[i].Index))
{
ListHighSig.Add(listsig[i].Index, listsig[i].Price);
NewPoint = true;
}
}
if (NewPoint)
{
slope = CalSlope(ListSig.Keys.ToList(), ListSig.Values.ToList());
AvgDistance = 0;
foreach (var item in ListSig)
{
AvgDistance += GetDistance(slope, item.Key, item.Value);
}
AvgDistance = AvgDistance / ListSig.Count;
}
double Cha = args.Bar.Close - ((slope * (LiveBars["close"].Count - 1 - avgX) / stdX) * stdY + avgY);
if (Cha > 0)
{
if (KongHands > 0)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Ask, qty, tp.TradeGuid);
}
}
}
}
}
if (slope < 0 && Math.Abs(Cha) > AvgDistance)
{
if (DuoHands + FrozenDuoHands == 0)
{
FrozenDuoHands += (Decimal)parameter.qty;
Open(currentTick.Bid, parameter.qty, OpenType.KaiDuo);
}
}
}
else
{
if (DuoHands > 0)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Bid, qty, tp.TradeGuid);
}
}
}
}
}
if (slope > 0 && Math.Abs(Cha) > AvgDistance)
{
if (KongHands + FrozenKongHands == 0)
{
FrozenKongHands += (Decimal)parameter.qty;
Open(currentTick.Ask, parameter.qty, OpenType.KaiKong);
}
}
}
}
}
#endregion
}
