private double getChangePercentage(bool isTick)
{
if (isTick)
{
if (_tickA == null)
{
_tickA = LastFutureTick(_instrumentA);
}
if (_tickB == null)
{
_tickB = LastFutureTick(_instrumentB);
}
if (_tickA == null || _tickB == null)
{
return(0.0);
}
double delta = StrategyExHelper.Change(_tickA) - StrategyExHelper.Change(_tickB);
if (DebugChangePercentage)
{
Print("涨幅差(DA-DB): " + delta);
}
return(delta);
}
Print("不支持K先驱动方式");
return(0);
}
public override void OnTrade(Trade trade)
{
Print("===========成交回报===========");
OrderHelper.PrintOnTradeStatus(this, trade);
if (trade.InstrumentID.Equals(_futureA.ID))
{
_tradeA = trade;
}
else if (trade.InstrumentID.Equals(_futureB.ID))
{
_tradeB = trade;
}
if (_tradeA != null && _tradeA.OpenOrClose == EnumOpenClose.平仓 &&
_tradeB != null && _tradeB.OpenOrClose == EnumOpenClose.平仓)
{
_tradeA = _tradeB = null;
}
if (PrintPositionStatusOnTradeDeal)
{
StrategyExHelper.PrintPositionStatus(this);
}
}
public override void Exit()
{
Print("策略停止运行!" + CurrentTime);
_orderStatusTracerA.PrintHitStatus();
_orderStatusTracerB.PrintHitStatus();
Order[] ods = new Order[] { _orderStatusTracerA.Order, _orderStatusTracerB.Order };
StrategyExHelper.PrintPositionStatus(this, ods, true);
}
// 更新策略状态
public void Update(object state)
{
StrategyExHelper.PrintRunningDate(this);
updateTradeSlice();
updateTradeDay();
StrategyExHelper.PrintRuntimeStatus(this);
}
public override void onCustomInit()
{
if (AllFutures.Count != 2)
{
SwitchRunningState(ERunningState.InitFailed);
}
_futureA = AllFutures[0];
_futureB = AllFutures[1];
_instrumentA = _futureA.ID;
_instrumentB = _futureB.ID;
StrategyExHelper.PrintRunningDate(this);
setupDeadline();
setupHedgeStatusTracer();
SwitchRunningState(ERunningState.DurationWatch);
}
