private void OnNewRatesEvent(RateRecord rec, Candle candle)
{
SendNewRatesEvent(rec, candle);
_strategyController.ProcessTick(rec);
_orderController.CloseOrdersByLimits(rec);
}
//send events
private void SendNewRatesEvent(RateRecord rec, Candle candle)
{
if (NewRatesEvent != null)
{
_asyncOperation.Post(delegate { NewRatesEvent(rec, candle); }, null);
}
}
private void SendNewRatesEvent(RateRecord rec, Candle candle)
{
if (NewRatesEvent != null)
{
NewRatesEvent(rec, candle);
}
}
private void OnNewRates(RateRecord rec, Candle candle)
{
try
{
if (rec != null)
{
if (_currentRates.Keys.Contains(rec.Name))
{
_currentRates[rec.Name] = rec.Value;
}
else
{
_currentRates.Add(rec.Name, rec.Value);
}
tbCurrentRates.Text = "";
foreach (string key in _currentRates.Keys)
{
tbCurrentRates.Text += string.Format("{0} - {3:dd-MM-yyyy HH-mm-ss} - {1}{2}", key, _currentRates[key], Environment.NewLine, rec.UpdateTime);
}
}
DisplayCandle(candle);
}
catch (Exception ex)
{
OnMessage(ex.Message);
}
}
public IList <RateRecord> GetRates()
{
List <RateRecord> result = new List <RateRecord>();
NameValueCollection nvc = new NameValueCollection();
nvc.Add("Key", KEY);
PostSubmitter post = new PostSubmitter(CURRENT_RATES_URL, nvc);
post.Type = PostSubmitter.PostTypeEnum.Post;
string resp = post.Post();
MemoryStream ms = new MemoryStream(Encoding.UTF8.GetBytes(resp.ToCharArray()));
DataSet ds = new DataSet();
ds.ReadXml(ms);
for (int i = 0; i < ds.Tables[0].Rows.Count; i++)
{
RateRecord rt = new RateRecord();
rt.Name = ds.Tables[0].Rows[i]["Quote"].ToString();
string strRate = ds.Tables[0].Rows[i]["Display"].ToString().Substring(0, ds.Tables[0].Rows[i]["Display"].ToString().IndexOf('/'));
rt.Value = decimal.Parse(strRate);
object dt = ds.Tables[0].Rows[i]["UpdateTime"];
DateTime updateTime = Convert.ToDateTime(dt).ToUniversalTime();
rt.UpdateTime = updateTime;
result.Add(rt);
}
return(result);
}
public IStrategyDecision GetStrategyDecision(RateRecord rec)
{
DateTime date = rec.UpdateTime;
decimal price = rec.Value;
IDictionary <DateTime, decimal> historyData = _historyData[rec.Name];
if (!historyData.Keys.Contains(date))
{
historyData.Add(date, price);
}
//return TestAnalize(historyData);
decimal lastValue = StrategyHelper.GetLastValue(historyData);
decimal decrease = StrategyHelper.GetMaximum(INTERVAL_MINUTES, historyData) - lastValue;
decimal increase = lastValue - StrategyHelper.GetMinimum(INTERVAL_MINUTES, historyData);
decimal largeMedium = (StrategyHelper.GetMaximum(LARGE_MEDIUM_INTERVAL_MINUTES, historyData) + StrategyHelper.GetMinimum(LARGE_MEDIUM_INTERVAL_MINUTES, historyData)) / 2;
int momentDirection = 0;
if (decrease > MAX_DIRECTION)
{
momentDirection = -1;
}
if (increase > MAX_DIRECTION)
{
momentDirection = 1;
}
int longDirection = 0;
if (lastValue > largeMedium)
{
longDirection = 1;
}
if (lastValue < largeMedium)
{
longDirection = -1;
}
int result = 0;
if (momentDirection == -1 && longDirection == +1)
{
result = 1;
}
if (momentDirection == 1 && longDirection == -1)
{
result = -1;
}
BaseStrategyDecision decision = new BaseStrategyDecision();
decision.TakeProfit = lastValue + (TAKE_PROFIT_POINTS * result);
decision.StopLoss = lastValue - (STOP_LOSS_POINTS * result);
StringBuilder additionalInfo = new StringBuilder();
additionalInfo.AppendFormat("Максимальное изменение за две минуты:{0}", (decrease > increase ? decrease : increase) * momentDirection);
additionalInfo.AppendFormat("Текущее отклонение от среднего за 30 минут:{0}", lastValue - largeMedium);
return(decision);
}
public void ProcessTick(RateRecord rateRecord)
{
foreach (IStrategyProvider provider in _strategyProviders)
{
//analize
IStrategyDecision decision = provider.GetStrategyDecision(rateRecord);
//make orders
OpenOrCloseOrders(provider.GetName(), decision, rateRecord);
}
}
public void CloseOrdersByLimits(RateRecord rec)
{
for (int i = _openedOrders.Count - 1; i >= 0; i--)
{
Order order = _openedOrders[i];
if (rec.Name != order.RateName)
{
continue;
}
if (order.Direction < 0 && (order.StopLoss < rec.Value || order.TakeProfit > rec.Value))
{
CloseOrder(order, rec);
}
if (order.Direction > 0 && (order.StopLoss > rec.Value || order.TakeProfit < rec.Value))
{
CloseOrder(order, rec);
}
}
}
public void CloseOrder(Order order, RateRecord rec)
{
if (order.RateName != rec.Name)
{
return;
}
order.ClosePrice = rec.Value;
order.CloseTime = rec.UpdateTime;
if (order.IsReal)
{
order.IsReal = _enableRealOrders = StartFx.CloseOrder(order.RateName);
}
UpdateStrategyResult(order);
if (CloseOrderEvent != null)
{
CloseOrderEvent(order);
}
_openedOrders.Remove(order);
}
public static void CloseCandle(IDictionary <string, IList <Candle> > candles, RateRecord rec, int candlesIintervalMinutes)
{
if (!candles.ContainsKey(rec.Name))
{
candles.Add(rec.Name, new List <Candle>());
}
DateTime openCandleDate = new DateTime(rec.UpdateTime.Year, rec.UpdateTime.Month, rec.UpdateTime.Day, rec.UpdateTime.Hour, (rec.UpdateTime.Minute / candlesIintervalMinutes) * candlesIintervalMinutes, 0);
DateTime closeCandleDate = new DateTime(rec.UpdateTime.Year, rec.UpdateTime.Month, rec.UpdateTime.Day, rec.UpdateTime.Hour, (rec.UpdateTime.Minute / candlesIintervalMinutes) * candlesIintervalMinutes, 0).AddMinutes(candlesIintervalMinutes);
Candle currentCandle = candles[rec.Name].Where(item => item.OpenTime == openCandleDate).FirstOrDefault();
if (currentCandle == null)
{
ClosePreviousCandles(candles[rec.Name].Where(item => item.CandleData != null).ToList());
currentCandle = new Candle();
currentCandle.RateName = rec.Name;
currentCandle.OpenTime = openCandleDate;
candles[rec.Name].Add(currentCandle);
}
currentCandle.AddNewData(rec.UpdateTime, rec.Value);
}
private void MainThread()
{
if (_rates.Count == 0)
{
SendMessageEvent("Невыбрано ни одной валютной пары!");
_shouldStop = true;
}
Dictionary <string, DateTime> lastProcessedDates = new Dictionary <string, DateTime>();
if (!_shouldStop)
{
IDictionary <string, IDictionary <DateTime, decimal> > ratesHistory = GetRatesHistory(_rates, _dtStart.AddHours(-4), _dtStart);
_candles = StrategyHelper.BuildCandles(ratesHistory, RateController.CANDLES_INTERVAL_MINUTES);
if (HistoryEvent != null)
{
HistoryEvent(ratesHistory, _candles);
}
foreach (string rateName in _rates)
{
if (ratesHistory[rateName].Count == 0)
{
lastProcessedDates.Add(rateName, _dtStart);
}
else
{
lastProcessedDates.Add(rateName, ratesHistory[rateName].Keys.Max());
}
}
}
while (!_shouldStop)
{
//читаем котировки из интернета
IDictionary <string, IDictionary <DateTime, decimal> > ratesCache;
IDictionary <string, IList <Candle> > candlesCache;
if (_dtEnd == null)
{
ratesCache = GetCurrentRates(_rates);
candlesCache = GetCurrentCandles(_rates);
}
else
{
ratesCache = GetRatesHistory(_rates, lastProcessedDates.Values.Min().AddSeconds(1), lastProcessedDates.Values.Min().AddHours(2));
candlesCache = StrategyHelper.BuildCandles(ratesCache, CANDLES_INTERVAL_MINUTES);
}
//обрабатываем котировки по каждой валютной паре
foreach (string rateName in _rates)
{
if (_shouldStop)
{
break;
}
if (!ratesCache.ContainsKey(rateName))
{
continue;
}
IDictionary <DateTime, decimal> rateCache = ratesCache[rateName];
IList <Candle> candleCache = candlesCache[rateName];
while (rateCache.Count > 0 && rateCache.Keys.Min() > lastProcessedDates[rateName] && !_shouldStop)
{
RateRecord rec = new RateRecord();
rec.Name = rateName;
rec.UpdateTime = rateCache.Keys.Min();
rec.Value = rateCache[rec.UpdateTime];
Candle candle = candlesCache[rateName].Where(item => item.OpenTime < rec.UpdateTime && rec.UpdateTime < item.OpenTime.AddMinutes(RateController.CANDLES_INTERVAL_MINUTES)).FirstOrDefault();
SendNewRatesEvent(rec, candle);
rateCache.Remove(rec.UpdateTime);
candlesCache[rateName].Remove(candle);
lastProcessedDates[rateName] = rec.UpdateTime;
}
}
if (_dtEnd != null && lastProcessedDates.Values.Min() > _dtEnd)
{
break;
}
Thread.Sleep(5000);
}
if (StopEvent != null)
{
StopEvent();
}
SendMessageEvent("Работа остановлена");
}
public IEnumerable <IList <T> > GetBatch()
{
var stopwatch = new Stopwatch();
var batch = new List <T>();
var benchmarks = new List <RateRecord>(5);
IEnumerator <T> enumerator = null;
try
{
enumerator = _collection.GetEnumerator();
uint count = 0;
stopwatch.Start();
while (enumerator.MoveNext())
{
if (count == batchLength)
{
benchmarks.Add(new RateRecord {
Length = BatchLength, ElapsedTicks = stopwatch.ElapsedTicks
});
var currentBatch = batch.ToList();
batch.Clear();
if (benchmarks.Count == 10)
{
var currentRate = benchmarks.Average(x => x.Rate);
if (currentRate > bestRate.Rate)
{
bestRate = new RateRecord {
Length = BatchLength, ElapsedTicks = (long)benchmarks.Average(x => x.ElapsedTicks)
};
batchLength = NextPowerOf2(batchLength);
}
// Set margin of error at 10%
else if ((bestRate.Rate * .9) > currentRate)
{
// Shift the current length and make sure it's >= 1
var currentPowOf2 = ((batchLength >> 1) | 1);
batchLength = PreviousPowerOf2(currentPowOf2);
}
benchmarks.Clear();
}
count = 0;
stopwatch.Restart();
yield return(currentBatch);
}
batch.Add(enumerator.Current);
count++;
}
}
finally
{
if (enumerator != null)
{
enumerator.Dispose();
}
}
stopwatch.Stop();
}
private void OpenOrCloseOrders(string strategyName, IStrategyDecision decision, RateRecord rec)
{
decimal lastValue = rec.Value;
if (decision.Direction == 0)
{
return;
}
Order openedOrder = _orderController.GetOpenedOrder(strategyName, rec.Name);
if (openedOrder != null)
{
if (openedOrder.Direction * decision.Direction > 0)
{
openedOrder.TakeProfit = decision.TakeProfit;
}
else
{
_orderController.CloseOrder(openedOrder, rec);
}
}
else
{
_orderController.OpenOrder(strategyName, lastValue, decision.StopLoss, decision.TakeProfit, rec.Name, rec.UpdateTime, decision.AdditionalInfo);
}
}
/// <summary>
/// 计算一个金融衍生品交易的定价和风险指标
/// </summary>
/// <param name="trade">交易</param>
/// <param name="market">市场数据对象</param>
/// <param name="request">计算请求类型</param>
/// <returns>计算结果</returns>
public override IPricingResult Calculate(TTrade trade, IMarketCondition market, PricingRequest request)
{
var result = new PricingResult(market.ValuationDate, request);
if (result.IsRequested(PricingRequest.Pv))
{
result.Pv = CalcPv(trade, market);
}
if (result.IsRequested(PricingRequest.Carry))
{
result.Carry = CalcCarry(trade, market);
}
if (result.IsRequested(PricingRequest.Dv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var mktDown = market.FixingCurve.HasValue
? market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)),
new UpdateMktConditionPack <IYieldCurve>(x => x.FixingCurve, market.FixingCurve.Value.Shift(1)))
: market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DiscountCurve, market.DiscountCurve.Value.Shift(1)));
result.Dv01 = CalcPv(trade, mktDown) - result.Pv;
}
if (result.IsRequested(PricingRequest.Cashflow))
{
result.Cashflows = trade.GetCashflows(market, false);
}
//Ai and AiEod are mutually exclusive requests
var isEod = result.IsRequested(PricingRequest.AiEod);
if (result.IsRequested(PricingRequest.Ai) || result.IsRequested(PricingRequest.AiEod))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
result.Ai = trade.GetAccruedInterest(market.ValuationDate, market, isEod);
}
if (result.IsRequested(PricingRequest.KeyRateDv01))
{
if (double.IsNaN(result.Pv))
{
result.Pv = CalcPv(trade, market);
}
var dc = new Dictionary <string, CurveRisk[]>();
var fc = new Dictionary <string, CurveRisk[]>();
Parallel.Invoke(
() => CalcDiscountDv01(trade, market, result.Pv, ref dc),
() => CalcResetDv01(trade, market, result.Pv, ref fc)
);
result.KeyRateDv01 = PricingResultExtension.Aggregate(dc, fc);
}
if (result.IsRequested(PricingRequest.FairQuote))
{
result.FairQuote = GetFairQuote(trade, market);
}
if (result.IsRequested(PricingRequest.MacDuration))
{
if (result.Cashflows == null || result.Cashflows.Length == 0)
{
result.Cashflows = trade.GetCashflows(market, false);
}
var weightedCf = 0.0;
var totalCf = 0.0;
foreach (var cashflow in result.Cashflows)
{
if (cashflow.PaymentDate > market.ValuationDate)
{
var t = market.DiscountCurve.Value.DayCount.CalcDayCountFraction(market.ValuationDate, cashflow.PaymentDate);
var df = market.DiscountCurve.Value.GetDf(market.ValuationDate, cashflow.PaymentDate);
weightedCf += cashflow.PaymentAmount * df * t;
totalCf += cashflow.PaymentAmount * df;
}
}
result.MacDuration = weightedCf / totalCf;
}
if (result.IsRequested(PricingRequest.Pv01))
{
result.Pv01 = CalcPv01(trade, market, result.Pv);
}
Date valueDate = result.ValuationDate;
if (result.IsRequested(PricingRequest.ProductSpecific))
{
var yieldCurve = market.DiscountCurve.Value;
#region
var psDict = new Dictionary <string, Dictionary <string, RateRecord> >();
var dayGap = new DayGap("+0BD");
var T = (trade is InterestRateSwap) ? (trade as InterestRateSwap).FloatingLeg : trade as SwapLeg;
//forward rate points
var tenors = new[] { "1D", "7D", "3M", "1Y" };
var fwdStartInTenors = new List <string> {
"1D", "1W", "2W", "1M", "2M", "3M", "4M", "5M", "6M", "7M", "8M", "9M", "10M", "11M", "1Y"
};
var totalMonths = Convert.ToInt16((yieldCurve.KeyPoints.Last().Item1 - yieldCurve.KeyPoints.First().Item1) / 30.0) + 1;
for (var i = 15; i <= totalMonths; i += 3)
{
fwdStartInTenors.Add(i + "M");
}
foreach (var tenor in tenors)
{
var fwdRates = new Dictionary <string, RateRecord>();
var fwdTerm = new Term(tenor);
foreach (var fwdStartInTenor in fwdStartInTenors)
{
var fwdStartDate = dayGap.Get(T.Calendar, new Term(fwdStartInTenor).Next(valueDate));
var fwdEndDate = dayGap.Get(T.Calendar, fwdTerm.Next(fwdStartDate));
if (fwdEndDate < yieldCurve.KeyPoints.Last().Item1)
{
fwdRates[fwdStartInTenor] = new RateRecord()
{
Date = fwdStartDate.ToString(),
Rate = yieldCurve.GetForwardRate(fwdStartDate, fwdTerm)
};
}
}
psDict["forwardrates" + tenor] = fwdRates;
}
//spot rate
var spotRates = new Dictionary <string, RateRecord>();
var spotInTenors = fwdStartInTenors;
foreach (var spotInTenor in spotInTenors)
{
var spotDate = dayGap.Get(T.Calendar, new Term(spotInTenor).Next(valueDate));
if (spotDate <= yieldCurve.KeyPoints.Last().Item1)
{
spotRates[spotInTenor] = new RateRecord
{
Date = spotDate.ToString(),
Rate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple)
};
}
}
psDict["spotRates"] = spotRates;
//key rates
var rates = new Dictionary <string, RateRecord>();
var ccTenors = yieldCurve.GetKeyTenors().ToArray();
var mktInstruments = yieldCurve.MarketInstruments;
if (mktInstruments != null)
{
if (mktInstruments.Length != ccTenors.Length)
{
throw new PricingBaseException("Number of calibration instruments mismatches number of calibrated points!");
}
}
for (var i = 0; i < ccTenors.Count(); ++i)
{
//var spotDate = mktInstruments != null ? mktInstruments[i].Instrument.GetClibrationDate() : dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
var spotDate = dayGap.Get(T.Calendar, new Term(ccTenors[i]).Next(valueDate));
rates[ccTenors[i]] = new RateRecord()
{
ContinuousRate = yieldCurve.ZeroRate(valueDate, spotDate),
Date = spotDate.ToString(),
DiscountFactor = yieldCurve.GetDf(valueDate, spotDate),
Rate = mktInstruments == null?yieldCurve.GetSpotRate(spotDate) : mktInstruments[i].TargetValue,
ProductType = mktInstruments == null ? "None" : (mktInstruments[i].Instrument is Deposit) ? "Index" : "Swap",
ZeroRate = yieldCurve.ZeroRate(valueDate, spotDate, Compound.Simple),
Term = ccTenors[i]
};
}
psDict["rates"] = rates;
//discount at cash flow dates
var dfs = new Dictionary <string, RateRecord>();
var dates = result.Cashflows.Select(x => x.PaymentDate);
foreach (var date in dates)
{
dfs[date.ToString()] = new RateRecord
{
DiscountFactor = yieldCurve.GetDf(date)
};
}
psDict["discountfactor"] = dfs;
//qb rate return
result.ProductSpecific = psDict;
#endregion
}
return(result);
}
public virtual IStrategyDecision GetStrategyDecision(RateRecord rec)
{
StrategyHelper.CloseCandle(_candles, rec, CANDLES_INTERVAL_MINUTES);
BaseStrategyDecision decision = new BaseStrategyDecision();
Candle maximum = GetMaximumForInterval(rec.Name, CANDLES_RANGE, _candles[rec.Name].Last());
Candle minimum = GetMinimumForInterval(rec.Name, CANDLES_RANGE, _candles[rec.Name].Last());
if (maximum == null || minimum == null)
{
return(decision);
}
if (maximum.OpenTime > minimum.OpenTime) //тренд вверх
{
Candle previousMaximum = GetMaximumBetween(rec.Name, minimum, maximum);
if (previousMaximum != null)
{
Candle previousMinimum = GetMinimumBetween(rec.Name, previousMaximum, maximum);
if (previousMinimum != null)
{
//пробойный бар
Candle breakout = GetMaximumBreakout(rec.Name, previousMinimum, previousMaximum.HighPrice);
if (breakout != null)
{
Candle previousMaximum2 = GetMaximumBetween(rec.Name, minimum, previousMaximum);
if (previousMaximum2 != null)
{
//наш takeProfit
Candle previousMinimum2 = GetMinimumBetween(rec.Name, previousMaximum2, previousMaximum);
if (previousMinimum2 != null && rec.Value < breakout.LowPrice)
{
if (rec.Value - previousMinimum2.LowPrice > 0.0010m
&&
breakout.HighPrice - rec.Value > 0.0005m
)
{
decision.TakeProfit = previousMinimum2.LowPrice;
decision.StopLoss = breakout.HighPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit, Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный минимум был:{0:yyy-MM-dd HH:mm}{1}", previousMinimum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
if (minimum.OpenTime > maximum.OpenTime) // тренд вниз
{
Candle previousMinimum = GetMinimumBetween(rec.Name, maximum, minimum);
if (previousMinimum != null)
{
Candle previousMaximum = GetMaximumBetween(rec.Name, previousMinimum, minimum);
if (previousMaximum != null)
{
//пробойный бар
Candle breakout = GetMinimumBreakout(rec.Name, previousMaximum, previousMinimum.LowPrice);
if (breakout != null)
{
Candle previousMinimum2 = GetMinimumBetween(rec.Name, maximum, previousMinimum);
if (previousMinimum2 != null)
{
//наш takeProfit
Candle previousMaximum2 = GetMaximumBetween(rec.Name, previousMinimum2, previousMinimum);
if (previousMaximum2 != null && rec.Value > breakout.HighPrice)
{
if (previousMaximum2.HighPrice - rec.Value > 0.0010m
&&
rec.Value - breakout.LowPrice > 0.0005m
)
{
decision.TakeProfit = previousMaximum2.HighPrice;
decision.StopLoss = breakout.LowPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit, Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный максимум был:{0:yyy-MM-dd HH:mm}{1}", previousMaximum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
return(decision);
}
