public override void receive(object sender, AxKHOpenAPILib._DKHOpenAPIEvents_OnReceiveTrDataEvent apiEvent)
{
try {
StockData stockData = StockManager.getInstance.stockData(stockCode_);
if (stockData == null)
{
return;
}
lock (stockData.dataLock_) {
stockData.clearPrice(priceType_);
int count = this.getRowCount(apiEvent);
for (int i = 0; i < count; i++)
{
string dateTime = this.dateTime(i, sender, apiEvent);
int price = int.Parse(this.getData("현재가", apiEvent, i));
int startPrice = int.Parse(this.getData("시가", apiEvent, i));
int highPrice = int.Parse(this.getData("고가", apiEvent, i));
int lowPrice = int.Parse(this.getData("저가", apiEvent, i));
PriceData priceData = new PriceData(dateTime, price, startPrice, highPrice, lowPrice);
stockData.updatePrice(priceType_, i, priceData);
}
}
stockData.calculatePrice(priceType_);
}
catch (AccessViolationException execption) {
Logger.getInstance.print(Log.에러, "[receive:{0}] {1}\n{2}\n{3}", this.ToString(), execption.Message, execption.StackTrace, execption.InnerException);
}
}
public Object Clone()
{
PriceData clone = new PriceData(date_, price_, startPrice_, highPrice_, lowPrice_);
calc_.CopyTo(clone.calc_, 0);
return(clone);
}
public override void calculate(ref List <PriceData> priceTable)
{
int maxIndex = priceTable.Count;
int[] avgMax = { 5, 10, 20, 50, 100, 200 }; //평균 기준
for (int index = 0; index < maxIndex; ++index)
{
int sumIndexMax = index + avgMax[(int)AVG_SAMPLEING.AVG_MAX - 1]; //120 이전 부터 그리기
if (sumIndexMax > maxIndex)
{
break;
}
int BOLLIGER_TERM = 20;
double mean = 0.0f;
for (int day = index; day < BOLLIGER_TERM + index; ++day)
{
mean += priceTable[day].price_;
}
mean = mean / BOLLIGER_TERM;
double sumDeviation = 0.0f;
for (int day = index; day < BOLLIGER_TERM + index; ++day)
{
sumDeviation = sumDeviation + (priceTable[day].price_ - mean) * (priceTable[day].price_ - mean);
}
sumDeviation = Math.Sqrt(sumDeviation / BOLLIGER_TERM);
double BOLLIGER_CONSTANT = 2.0f;
PriceData priceData = priceTable[index];
double lower = mean - (sumDeviation * BOLLIGER_CONSTANT);
double upper = mean + (sumDeviation * BOLLIGER_CONSTANT);
priceData.calc_[(int)EVALUATION_DATA.BOLLINGER_LOWER] = lower;
priceData.calc_[(int)EVALUATION_DATA.BOLLINGER_CENTER] = (double)(upper + lower) / 2;
priceData.calc_[(int)EVALUATION_DATA.BOLLINGER_UPPER] = upper;
}
}
public void updatePrice(PRICE_TYPE type, int index, PriceData priceData)
{
priceTable_[(int)type].Insert(index, priceData);
}
public override void calculate(ref List <PriceData> priceTable)
{
// MACD 설명 사이트
// http://investexcel.net/how-to-calculate-macd-in-excel/
// 공식이 좀 만만치 않군...
int[] MACD_DAY = { 12, 26, 9 }; //중기 투자
Hashtable ema12day = new Hashtable();
Hashtable ema26day = new Hashtable();
//계산하는 가장 옛날 시간을 잡아야 함.
int CALC_SIZE = 0;
for (int i = priceTable.Count - 1; i >= 0; --i)
{
if (priceTable[i].price_ != 0)
{
CALC_SIZE = i;
break;
}
}
//-----------------------------------------------------//
// macd 12라인 계산
int days = MACD_DAY[0];
int startday = CALC_SIZE;
int startIdx = startday - days;
if (startIdx < 1)
{
Logger.getInstance.consolePrint("! macd 초기화 문제 샘플링 자체 없음");
return;
}
// 첫 스타트 지점 계산
ema12day[startIdx + 1] = this.average(priceTable, startday, days);
// 이를 기반으로 후기 내용 계산
for (int i = startIdx; i >= 0; --i)
{
PriceData priceDataModify = priceTable[i];
ema12day[i] = (((double)priceDataModify.price_ * (double)(2.0f / (double)(days + 1))) + ((double)ema12day[i + 1] * (1.0f - ((double)(2.0f / (double)(days + 1))))));
}
//-----------------------------------------------------//
// macd 26라인, macd 값 계산
days = MACD_DAY[1];
startIdx = startday - MACD_DAY[1] + 1;
int macdStartIdx = startIdx;
if (startIdx < 1)
{
Logger.getInstance.consolePrint("! macd 초기화 문제, 문제 있음");
return;
}
// 첫 스타트 지점 계산
ema26day[startIdx] = this.average(priceTable, startday, days);
PriceData priceData = priceTable[startIdx];
priceData.calc_[(int)EVALUATION_DATA.MACD] = (double)ema12day[startIdx] - (double)ema26day[startIdx];
// 이를 기반으로 후기 내용 계산
startIdx--;
for (int i = startIdx; i >= 0; --i)
{
PriceData priceDataModify = priceTable[i];
ema26day[i] = (((double)priceDataModify.price_ * (double)(2.0f / (double)(days + 1))) + (((double)ema26day[i + 1] * (1.0f - (double)(2.0f / (double)(days + 1))))));
priceDataModify.calc_[(int)EVALUATION_DATA.MACD] = (double)ema12day[i] - (double)ema26day[i];
}
//-----------------------------------------------------//
// macd 9라인 계산
days = MACD_DAY[2];
startIdx = macdStartIdx - days + 1;
if (startIdx < 1)
{
Logger.getInstance.consolePrint("! macd 초기화 문제, macd9 초기화 에러");
return;
}
priceData = priceTable[startIdx];
priceData.calc_[(int)EVALUATION_DATA.MACD_SIGNAL] = this.macdSum(priceTable, startIdx, days) / days;
priceData.calc_[(int)EVALUATION_DATA.MACD_OSCIL] = priceData.calc_[(int)EVALUATION_DATA.MACD] - priceData.calc_[(int)EVALUATION_DATA.MACD_SIGNAL];
startIdx--;
for (int i = startIdx; i >= 0; --i)
{
PriceData priceDataModify = priceTable[i];
PriceData priceDataNext = priceTable[i + 1];
priceDataModify.calc_[(int)EVALUATION_DATA.MACD_SIGNAL] = (priceDataModify.calc_[(int)EVALUATION_DATA.MACD] * (double)(2.0f / (double)(days + 1)) + priceDataNext.calc_[(int)EVALUATION_DATA.MACD_SIGNAL] * (double)(1 - (double)(2.0f / (double)(days + 1))));
priceDataModify.calc_[(int)EVALUATION_DATA.MACD_OSCIL] = priceDataModify.calc_[(int)EVALUATION_DATA.MACD] - priceDataModify.calc_[(int)EVALUATION_DATA.MACD_SIGNAL];
}
}
public override void calculate(ref List <PriceData> priceTable)
{
int maxIndex = priceTable.Count;
int[] avgMax = { 5, 10, 20, 50, 100, 200 }; //평균 기준
int avgIndex = 0;
foreach (int avgTime in avgMax)
{
// ***단순 macd 구하기
for (int index = 0; index < maxIndex; ++index)
{
int sumIndexMax = index + avgTime;
if (sumIndexMax > maxIndex)
{
break;
}
double sum = 0;
for (int sumIndex = index; sumIndex < sumIndexMax; ++sumIndex)
{
sum += priceTable[sumIndex].price_;
}
PriceData priceData = priceTable[index];
if (avgTime == 0.0f)
{
continue;
}
priceData.calc_[(int)EVALUATION_DATA.SMA_START + avgIndex] = sum / (double)avgTime;
}
// *** 지수 macd구하기
// EMA(지수이동평균) = 전일지수이동평균 +{c×(금일종가지수-전일지수이동평균)}
// ※ 단, 0 < c < 1(9일의 경우 0.2, 12일의 경우 0.15, 26일의 경우엔 가중치 0.075 사용)
// c = 2 / (n + 1)
if ((avgMax[avgIndex] + 1) == 0)
{
continue;
}
double multiplier = 2.0f / (double)(avgMax[avgIndex] + 1);
multiplier = Math.Min(0.999999f, Math.Max(multiplier, 0.000001f));
int startIdx = maxIndex - avgMax[(int)avgIndex];
startIdx--;
double beforeEma = 0.0f;
for (int index = startIdx; index >= 0; --index)
{
double ema = 0.0f;
if (index == startIdx)
{
ema = priceTable[index].calc_[(int)EVALUATION_DATA.SMA_START + avgIndex];
}
else
{
double close = priceTable[index].price_;
ema = multiplier * (close - beforeEma) + beforeEma;
}
PriceData priceData = priceTable[index];
priceData.calc_[(int)EVALUATION_DATA.EMA_START + avgIndex] = ema;
beforeEma = ema;
}
++avgIndex;
}
}
