public StrategyResult Analyze(Candle[] candles, out object[] outData)
{
if (!_matrix.Any())
{
InitiateCandles(candles);
}
else
{
AddMatrixRow(candles.Last());
ProcessRow(_matrix.Count() - 1);
}
StrategyResult result = StrategyResult.Exit;
if (_matrix.Last().Last() == 1)
{
result = StrategyResult.Long;
}
if (_matrix.Last().Last() == -1)
{
result = StrategyResult.Short;
}
outData = new object[] { _matrix.Last()[4], _matrix.Last()[5], _matrix.Last()[6], result };
return(result);
}
static void PrintResult(StrategyResult result)
{
Console.WriteLine("Distinct Client Ips:");
foreach (var res in result.DistinctClientIPResult)
{
Console.WriteLine(res);
}
Console.WriteLine(Environment.NewLine);
Console.WriteLine("Distinct FQDN Ips of the client");
foreach (var res in result.DistinctFqdnIPResult)
{
Console.WriteLine(res.Key);
foreach (var val in res.Value)
{
Console.WriteLine($"-- {val}");
}
}
Console.WriteLine(Environment.NewLine);
Console.WriteLine("Count calls per client:");
foreach (var res in result.CountClientCallsResult)
{
Console.WriteLine($"{res.Key} -- {res.Value}");
}
}
public override IStrategyResult ApplyStrategy(IDiscoveryStrategy strategy)
{
List<IMail> results = new List<IMail>();
foreach (IContentItem item in _dataSource)
{
if (item != null)
{
if (StrategyManager.CancellationPending)
{
return new StrategyResult();
}
Logger.LogInfo(string.Format("OutlookSentItemSource.Applying Strategy {0}, on {1}", strategy.DisplayName, (item as IMail).Subject));
OnApplyingStrategy(new StrategyEventArgs() { MailItem = (item as IMail), Strategy = strategy, Source = this });
if (strategy.CompareTo(item) == 0)
{
results.Add(item as IMail);
break;
}
}
}
IMail parentMail = ExtractParentContentItem(results);
IStrategyResult strategyResult = new StrategyResult();
if (parentMail != null)
{
strategyResult.Add(parentMail);
}
return strategyResult;
}
public StrategyResult Analyze(Candle[] candles, out object[] outData)
{
if (!_matrix.Any())
{
InitiateCandles(candles);
}
else
{
AddMatrixRow(candles.Last());
ProcessRow(_matrix.Count() - 1);
}
var row = _matrix.Last();
var intResult = _matrix.Last().Last();
StrategyResult result = StrategyResult.Exit;
if (intResult > 0)
{
result = StrategyResult.Long;
}
if (intResult < 0)
{
result = StrategyResult.Short;
}
outData = new object[] { row[4], row[5], row[6], row[7], row[8], row[9 + 2 * (int)Parameters[3].Value], row[9 + 2 * (int)Parameters[3].Value + 1], row[9 + 2 * (int)Parameters[3].Value + 2], row[9 + 2 * (int)Parameters[3].Value + 3], result };
if (result != _lastResult)
{
_newSLValue = null;
}
if (StopLossValue != 0)
{
if (result == StrategyResult.Short)
{
var newValue = Math.Max(_matrix.Last()[3] + StopLossValue, _matrix.Last()[6]);
if ((_newSLValue == null) || (newValue < _newSLValue))
{
_newSLValue = newValue;
ChangeStopLoss((float)_newSLValue);
}
}
if (result == StrategyResult.Long)
{
var newValue = Math.Min(_matrix.Last()[3] - StopLossValue, _matrix.Last()[6]);
if ((_newSLValue == null) || (newValue > _newSLValue))
{
_newSLValue = newValue;
ChangeStopLoss((float)_newSLValue);
}
}
}
_lastResult = result;
return(result);
}
public virtual IStrategyResult ApplyStrategy(IDiscoveryStrategy strategy)
{
IStrategyResult strategyResult = new StrategyResult();
foreach (var item in DataSource)
{
if (strategy.CompareTo(item) == 0)
{
strategyResult.Add(item);
}
}
return strategyResult;
}
public object GetAllStrategy(object json)
{
var body = JsonConverter.Decode(json);
var user_id = body["user_id"];
using (var ctx = new quantEntities()) {
var strategys = ctx.strategy.Where(a => a.user_id == user_id).ToList();
var list = new List <StrategyResult>();
foreach (var each_strategy in strategys)
{
// 根据backtest表找最后测试时间
var strategy_id = each_strategy.strategy_id;
var q = ctx.backtest.Where(a => a.strategy_id == strategy_id);
string last_modify_time = "";
int times = 0;
if (q.Any())
{
var target_backtests = q.ToList();
last_modify_time = target_backtests.Max(a => a.time);
times = target_backtests.Count();
}
StrategyResult sr = new StrategyResult(
each_strategy.strategy_id,
each_strategy.strategy_name,
each_strategy.create_time,
each_strategy.strategy_hash,
last_modify_time,
times
);
list.Add(sr);
//list.Add(new {
// strategy_id = each_strategy.strategy_id,
// name = each_strategy.strategy_name,
// create_time = each_strategy.create_time,
// strategy_hash = each_strategy.strategy_hash,
// last_modify_time = last_modify_time,
// times = times
//}) ;
}
var sorted_list = list.OrderByDescending(sr => sr.last_modify_time);
var data = new {
strategys = sorted_list
};
return(Helper.JsonConverter.BuildResult(data));
}
}
public void Process(StrategyResult result)
{
var statistic = _mapper.Map <StrategyStatistics>(result);
if (!_strategyResults.ContainsKey(result.Strategy))
{
_strategyResults.Add(result.Strategy, statistic);
}
else
{
_strategyResults[result.Strategy] = statistic;
}
}
private IStrategyResult FindOriginal(List<IContentSource> sources, List<IDiscoveryStrategy> strategies)
{
IStrategyResult result = new StrategyResult();
foreach (IContentSource source in sources)
{
if (source.Context == Context.Original)
{
source.ApplyingStrategy += source_ApplyingStrategy;
result = source.ApplyStrategies(strategies);
if (result.Count > 0)
{
return result;
}
}
}
return result;
}
public IStrategyResult LoadStrategyResult(int day, string resultName)
{
string resultPath = dataPathUtils.GetStrategyResultFilePath(day, resultName);
StrategyResult result = new StrategyResult();
result.Load(resultPath);
//XmlDocument doc = new XmlDocument();
//doc.Load(resultPath);
//result.Load(doc.DocumentElement);
IList <string> codes = LoadStrategyResultCodes(day, resultName);
for (int i = 0; i < codes.Count; i++)
{
IStrategyResult_CodePeriod result_Code = LoadStrategyResult_CodePeriod(day, resultName, codes[i]);
result.AddStrategyResult_Code(result_Code);
}
return(result);
}
public virtual IStrategyResult ApplyStrategies(List<IDiscoveryStrategy> strategies)
{
IStrategyResult strategyResult = new StrategyResult();
foreach (IDiscoveryStrategy strategy in strategies)
{
strategyResult = ApplyStrategy(strategy);
if (StrategyManager.CancellationPending)
{
return strategyResult;
}
if (strategyResult.Count > 0)
{
// Stop processing once result found;
return strategyResult;
}
}
return strategyResult;
}
public void Initialize()
{
_matrix = new List <float[]>();
_lastResult = StrategyResult.None;
_newSLValue = null;
}
public StrategyResult Execute(ISerializable info = null)
{
return(StrategyResult.FromStrategyExecute(this, info));
}
