public override void OnBar(Bar bar)
{
if (VolatilityExitEnabled)
{
rangeSeries.Add(bar.DateTime, bar.High - bar.Low);
}
// check if there are least "length" bars
if (series.Count >= EntryLength && rangeSMA.Count > 0)
{
double highestHigh = series.HighestHigh(EntryLength);
double lowestLow = series.LowestLow(EntryLength);
double volatilty = 0;
if (VolatilityBarrierEnabled)
{
volatilty = rangeSMA.Last;
}
highestHighSeries.Add(bar.DateTime, highestHigh);
lowestLowSeries.Add(bar.DateTime, lowestLow);
double channelHigh = highestHigh + barrier - volatilty;
double channelLow = lowestLow - barrier + volatilty;
channelHighSeries.Add(bar.DateTime, channelHigh);
channelLowSeries.Add(bar.DateTime, channelLow);
if (!HasPosition)
{
if (channelHigh <= bar.Close)
{
OpenPosition(OrderSide.Buy);
}
else
if (channelLow >= bar.Close)
{
OpenPosition(OrderSide.Sell);
}
}
else
{
SetExit();
}
}
series.Add(bar);
}
public void 设置指标()
{
操盘 cp = new 操盘();
TickBuffer = new List <Tick>();
操盘表 = new AtsList <操盘>();
盘口表 = new AtsList <盘口>();
// _1mlist = GetBarSeries(EnumMarket.期货, DefaultFutureCode, 1, EnumBarType.分钟, 240, EnumRestoration.前复权);
// _5mlist = GetBarSeries(EnumMarket.期货, "ru1609", 5, EnumBarType.分钟, 100, EnumRestoration.前复权);
// _15mlist = GetBarSeries(EnumMarket.期货, "ru1609", 15, EnumBarType.分钟, 100, EnumRestoration.前复权);
// _1dlist = GetBarSeries(EnumMarket.期货, "ru1605", 1, EnumBarType.日线, 100, EnumRestoration.前复权);
if (_1mlist != null)
{
for (int i = 0; i < _1mlist.Count; i++)
{
cp.dt = _1mlist[i].BeginTime;
cp.高低点差 = _1mlist.HighestHigh(0, i) - _1mlist.LowestLow(0, i);
操盘表.Add(cp);
// Print("k:" + _1mlist[i].ToString());
}
}
计算开盘前涨跌();
多空.多量 = 0;
多空.开多数 = 0;
多空.空量 = 0;
多空.平多数 = 0;
多空.平空数 = 0;
}
/*
* 按照股指的时间要求，时间划分是这样的
* 9:15
* 9:45
* 10:15
* 10:45
* 11:15-11:30 13:00-13:15 两个15分钟被午休隔开了
* 13:45
* 14:15
* 14:45
* 15:15 交割日时只到15:00,已经到最后一天了，少15分钟也没什么
*/
public override void OnBar(Bar bar)
{
//只处理15分钟的
if (900 == bar.Size)
{
if (bars == null)
{
bars = new BarSeries();
}
bars.Add(bar);
//在处理11:15-11:30 13:00-13:15这两个15分钟时会合并成一个
if (bars.Count == 2) // 2 * 15min = 30 min
{
// get OHLC values for 30min bar
double open = bars[0].Open;
double high = bars.HighestHigh();
double low = bars.LowestLow();
double close = bars[1].Close;
long volume = bars[0].Volume + bars[1].Volume;
// todo something
Bar b = new Bar(bars[0].DateTime, open, high, low, close, volume, 900 * 2);
bars30min.Add(b);
Console.WriteLine(b);
// reset 15min bar series
bars = null;
}
}
}
private void Update()
{
if (lbd.Count < 1)
{
return;
}
int lookBackDaysInt = (int)lbd.Last;
longLiqPoint = SMA.Value(bars86400, bars86400.Count - 1, lookBackDaysInt, BarData.Close);
if (double.IsNaN(longLiqPoint))
{
return;
}
nEnd = bars86400.Count - 1;
nBegin = nEnd - lookBackDays + 1;
buyPoint = bars86400.HighestHigh(nBegin, nEnd);
sellPoint = bars86400.LowestLow(nBegin, nEnd);
shortLiqPoint = SMA.Value(bars86400, bars86400.Count - 1, lookBackDaysInt, BarData.Close);
upBand = BBU.Value(bars86400, bars86400.Count - 1, lookBackDaysInt, bolBandTrig, BarData.Close);
dnBand = BBL.Value(bars86400, bars86400.Count - 1, lookBackDaysInt, bolBandTrig, BarData.Close);
}
public override void OnBar(Bar bar)
{
if (bar.Size == 86400)
{
return;
}
if (lbd.Count < 1 || dbbu.Count < 1)
{
return;
}
int lookBackDaysInt = (int)lbd.Last;
int nEnd = bars86400.Count - 1;
int nBegin = nEnd - lookBackDays + 1;
double buyPoint = bars86400.HighestHigh(nBegin, nEnd);
double sellPoint = bars86400.LowestLow(nBegin, nEnd);
double longLiqPoint = dbbu.SMA.Last;
double shortLiqPoint = dbbu.SMA.Last;
double upBand = dbbu.Last;
double dnBand = dbbu.BBL.Last;
upBandSeries.Add(bar.DateTime, upBand);
dnBandSeries.Add(bar.DateTime, dnBand);
buyPointSeries.Add(bar.DateTime, buyPoint);
sellPointSeries.Add(bar.DateTime, sellPoint);
// 下面代码可能有问题
if (HasPosition)
{
if (Position.Amount > 0 && Bar.Close < longLiqPoint)
{
ClosePosition("T|");
}
if (Position.Amount < 0 && Bar.Close > shortLiqPoint)
{
ClosePosition("T|");
}
}
else
{
if (Bar.Close > upBand)// && Bar.Close >= buyPoint
{
Buy(Qty, "O|");
}
if (Bar.Close < dnBand)// && Bar.Close <= sellPoint
{
Sell(Qty, "O|");
}
}
}
public override void OnBar(Bar bar)
{
if (bar.Size == 86400)
{
base.ChangeTradingDay();
return;
}
if (lbd.Count < 1 || dbbu.Count < 1)
{
return;
}
int lookBackDaysInt = (int)lbd.Last;
int nEnd = bars86400.Count - 1;
int nBegin = nEnd - lookBackDays + 1;
double buyPoint = bars86400.HighestHigh(nBegin, nEnd);
double sellPoint = bars86400.LowestLow(nBegin, nEnd);
double longLiqPoint = dbbu.SMA.Last;
double shortLiqPoint = dbbu.SMA.Last;
double upBand = dbbu.Last;
double dnBand = dbbu.BBL.Last;
upBandSeries.Add(bar.DateTime, upBand);
dnBandSeries.Add(bar.DateTime, dnBand);
buyPointSeries.Add(bar.DateTime, buyPoint);
sellPointSeries.Add(bar.DateTime, sellPoint);
do
{
if (GetCurrentQty() > 0)
{
if (bar.Close < longLiqPoint)
{
TargetPosition = 0;
TextParameter.Text = "低于多头流动点";
}
}
else if (GetCurrentQty() < 0)
{
if (bar.Close > shortLiqPoint)
{
TargetPosition = 0;
TextParameter.Text = "高于空头流动点";
}
}
else
{
if (bar.Close > upBand)
{
TargetPosition = 1;
TextParameter.Text = "突破上轨开仓";
}
else if (bar.Close < dnBand)
{
TargetPosition = -1;
TextParameter.Text = "突破下轨开仓";
}
}
} while (false);
base.OnBar(bar);
}