public StrategyExecutor_CodePeriod_MainContract(IStrategyCenter strategyCenter, StrategyArguments_CodePeriod strategyArguments) : base(strategyCenter, strategyArguments)
{
this.strategyArguments = strategyArguments;
this.PrepareStrategyHelper();
IList <ICodePeriod> codePeriods = this.strategyArguments.CodePeriod.Contracts;
this.dataPackages = new List <IDataPackage_Code>();
for (int i = 0; i < codePeriods.Count; i++)
{
ICodePeriod codePeriod = codePeriods[i];
this.dataPackages.Add(strategyCenter.BelongDataCenter.DataPackageFactory.CreateDataPackage_Code(codePeriod.Code, codePeriod.StartDate, codePeriod.EndDate));
}
this.BuildExecutorInfo();
for (int i = 0; i < dataPackages.Count; i++)
{
IDataPackage_Code dataPackage = dataPackages[i];
StrategyHelper executorStrategyHelper = new StrategyHelper();
executorStrategyHelper.QueryResultManager = this.strategyHelper.QueryResultManager;
executorStrategyHelper.Drawer = null;//TODO
executorStrategyHelper.Trader = this.strategyHelper.Trader;
StrategyArguments_DataPackage strategyArgument = new StrategyArguments_DataPackage(dataPackage, strategyArguments.ReferedPeriods, strategyArguments.ForwardPeriod, executorStrategyHelper);
StrategyExecutor_DataPackage executor = new StrategyExecutor_DataPackage(strategyCenter, strategyArgument, this.strategyExecutorInfo);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
this.executors.Add(executor);
}
}
public void TestStrategyResult_CodePeriod_MainContract()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
referedPeriods.UseTickData = true;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_15Minute);
StrategyArguments_CodePeriod arguments = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
arguments.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
//IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Simple));
MockStrategy_Results strategy = new MockStrategy_Results();
strategy.Name = "策略结果保存";
executor.Strategy = strategy;
executor.Run();
}
public void TestStrategyExecutorEvent_CodePeriod1()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
//StrategyArguments_DataPackage strategyCodePeriod = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Empty));
executor.Strategy = strategy;
executor.Run();
}
public StrategyResult_CodePeriod(ICodePeriod codePeriod, StrategyForwardPeriod forwardPeriod, StrategyReferedPeriods referedPeriods, IStrategyDrawer strategyDrawer, IStrategyTrader strategyTrader)
{
this.codePeriod = codePeriod;
this.forwardPeriod = forwardPeriod;
this.referedPeriods = referedPeriods;
this.strategyDrawer = strategyDrawer;
this.strategyTrader = strategyTrader;
}
/// <summary>
/// 得到指定代码周期的运行结果
/// </summary>
/// <param name="codePeriod"></param>
/// <returns></returns>
public IStrategyResult_CodePeriod GetStrategyResult_Code(ICodePeriod codePeriod)
{
if (dic_CodePeriod_StrategyResult_CodePeriods.ContainsKey(codePeriod))
{
return(dic_CodePeriod_StrategyResult_CodePeriods[codePeriod]);
}
return(null);
}
private void BuildExecutorInfo()
{
ICodePeriod codePeriod = strategyArguments.CodePeriod;
int totalDays = 0;
for (int i = 0; i < dataPackages.Count; i++)
{
totalDays += dataPackages[i].GetTradingDays().Count;
}
this.strategyExecutorInfo = new StrategyExecutorInfo(codePeriod, totalDays);
}
public StrategyExecutor_DataPackage(IStrategyCenter strategyCenter, StrategyArguments_DataPackage strategyArguments, StrategyExecutorInfo strategyExecutorInfo) : base(strategyCenter, strategyArguments)
{
this.dataPackage = strategyArguments.DataPackage;
this.codePeriod = new CodePeriod(dataPackage.Code, dataPackage.StartDate, dataPackage.EndDate);
if (strategyExecutorInfo == null)
{
this.InitStrategyExecutorInfo();
}
else
{
this.strategyExecutorInfo = strategyExecutorInfo;
}
}
private ICodePeriod GetCodePackage_MainContract(string variety, int start, int end)
{
List <MainContractInfo> contractInfos = dataReader.MainContractReader.GetMainContractInfos(variety, start, end);
List <ICodePeriod> mainContracts = new List <ICodePeriod>();
for (int i = 0; i < contractInfos.Count; i++)
{
MainContractInfo mainContractInfo = contractInfos[i];
ICodePeriod codePeriod = CreateCodePeriod(mainContractInfo.Code, mainContractInfo.Start, mainContractInfo.End);
mainContracts.Add(codePeriod);
}
return(CreateCodePeriod_MainContract(variety, start, end, mainContracts));
}
public override string ToString()
{
StringBuilder sb = new StringBuilder();
sb.Append(Code + "," + StartDate + "," + EndDate);
if (isFromContract)
{
for (int i = 0; i < Contracts.Count; i++)
{
ICodePeriod codePeriod = Contracts[i];
sb.Append("\r\n").Append(codePeriod);
}
}
return(sb.ToString());
}
public StrategyExecutor_Multi(IStrategyCenter strategyCenter, StrategyArguments_CodePeriodList arguments)
{
this.strategyCenter = strategyCenter;
this.arguments = arguments;
IList <ICodePeriod> codePeriods = this.arguments.CodePeriodPackage.CodePeriods;
for (int i = 0; i < codePeriods.Count; i++)
{
ICodePeriod codePeriod = codePeriods[i];
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, arguments.ReferedPeriods, arguments.ForwardPeriod);
IStrategyExecutor_Single executor = strategyCenter.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
this.executors.Add(executor);
}
}
public override int GetHashCode()
{
int hash = Code.GetHashCode();
hash = hash * 10 + startDate;
hash = hash * 10 + endDate;
if (isFromContract)
{
for (int i = 0; i < Contracts.Count; i++)
{
ICodePeriod codePeriod = Contracts[i];
hash = hash * 10 + codePeriod.GetHashCode();
}
}
return(hash);
}
private void LoadMain(XmlElement xmlElem)
{
XmlElement elemCodePeriod = (XmlElement)xmlElem.GetElementsByTagName("codeperiod")[0];
codePeriod = new CodePeriod();
codePeriod.Load(elemCodePeriod);
XmlElement elemForwardPeriod = (XmlElement)xmlElem.GetElementsByTagName("forwardperiod")[0];
forwardPeriod = new StrategyForwardPeriod();
forwardPeriod.Load(elemForwardPeriod);
XmlElement elemReferedPeriods = (XmlElement)xmlElem.GetElementsByTagName("referedperiods")[0];
referedPeriods = new StrategyReferedPeriods();
referedPeriods.Load(elemReferedPeriods);
}
private void InitByCodePeriod(IStrategyCenter strategyCenter, StrategyArguments_CodePeriod strategyArguments)
{
ICodePeriod codePeriod = strategyArguments.CodePeriod;
if (codePeriod.IsFromContracts)
{
this.strategyExecutor = new StrategyExecutor_CodePeriod_MainContract(strategyCenter, strategyArguments);
}
else
{
IDataPackage_Code dataPackage = strategyCenter.BelongDataCenter.DataPackageFactory.CreateDataPackage_Code(codePeriod.Code, codePeriod.StartDate, codePeriod.EndDate);
StrategyArguments_DataPackage strategyDataPackage = new StrategyArguments_DataPackage(dataPackage, strategyArguments.ReferedPeriods, strategyArguments.ForwardPeriod);
this.strategyExecutor = strategyCenter.GetStrategyExecutorFactory().CreateExecutor_History(strategyDataPackage);
}
this.strategyExecutor.OnStart += StrategyExecutor_OnStart;;
this.strategyExecutor.OnBarFinished += StrategyExecutor_OnBarFinished;
this.strategyExecutor.OnDayFinished += StrategyExecutor_OnDayFinished;
this.strategyExecutor.OnCanceled += StrategyExecutor_OnCanceled;
this.strategyExecutor.OnFinished += StrategyExecutor_OnFinished;
}
public StrategyArguments_CodePeriod(ICodePeriod codePeriod, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod, StrategyTraderSetting traderSetting) : this(codePeriod, referedPeriods, forwardPeriod)
{
this.TraderSetting = traderSetting;
}
public StrategyArguments_CodePeriod(ICodePeriod codePeriod, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod)
{
this.codePeriod = codePeriod;
this.ReferedPeriods = referedPeriods;
this.ForwardPeriod = forwardPeriod;
}
/// <summary>
/// 创建一个历史数据回测执行器
/// </summary>
/// <param name="codePeriod"></param>
/// <returns></returns>
public IStrategyExecutor CreateExecutor_History(ICodePeriod codePeriod)
{
return(null);
}
public StrategyExecutorInfo(ICodePeriod codePeriod, int totalDayCount)
{
this.codePeriod = codePeriod;
this.totalDayCount = totalDayCount;
}
public StrategyExecutorInfo_CodePeriod(IStrategyExecutor executor, ICodePeriod codePeriod)
{
this.executor = executor;
this.codePeriod = codePeriod;
}
public StrategyResult_CodePeriod(ICodePeriod codePeriod, StrategyForwardPeriod forwardPeriod, StrategyReferedPeriods referedPeriods)
{
this.codePeriod = codePeriod;
this.forwardPeriod = forwardPeriod;
this.referedPeriods = referedPeriods;
}
