public static TradeArray GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Trade, datetime1, datetime2, -1L);
TradeArray tradeArray = new TradeArray();
foreach (Trade trade in arrayList)
{
tradeArray.Add(trade);
}
return(tradeArray);
}
public Stack stkTrades; // stack the trades so oldest at the bottom based on retrieval from iqfeed
public HistoryState(
GetHistory gh
)
{
this.gh = gh;
trades = new TradeArray();
quotes = new QuoteArray();
stkTrades = new Stack(2000);
dtstk = new DateTime(0);
Init();
}
public void Close()
{
gh = null;
instrument = null;
bs = null;
bars = null;
trades = null;
quotes = null;
stkTrades = null;
bufSock.Close();
bufSock = null;
}
public TradeArray GetTradeArray(string series, DateTime datetime1, DateTime datetime2)
{
TradeArray trades = new TradeArray();
if (this.file.Series[series] != null)
{
foreach (Trade trade in this.file.Series[series].GetArray(datetime1, datetime2))
{
trades.Add(trade);
}
}
return(trades);
}
public TradeArray this[Instrument instrument]
{
get
{
TradeArray tradeArray = this.arrayList[instrument] as TradeArray;
if (tradeArray == null)
{
tradeArray = new TradeArray();
this.arrayList.Add(instrument, tradeArray);
}
return(tradeArray);
}
}
public static TradeSeries GetHistoricalTrades(string provider, Instrument instrument, DateTime begin, DateTime end)
{
TradeSeries tradeSeries = new TradeSeries();
if (SmartQuant.Providers.ProviderManager.HistoricalDataProviders.Contains(provider))
{
TradeArray historicalTrades = SmartQuant.Instruments.DataManager.GetHistoricalTrades(SmartQuant.Providers.ProviderManager.HistoricalDataProviders[provider], instrument.instrument, begin, end);
foreach (SmartQuant.Data.Trade obj in historicalTrades)
{
tradeSeries.series.Add(obj);
}
}
return(tradeSeries);
}
private static void OnNewTrade(object sender, TradeEventArgs e)
{
Instrument instrument = e.Instrument as Instrument ?? InstrumentManager.Instruments[e.Instrument.Symbol, e.Provider.Name];
if (instrument == null)
{
return;
}
Trade trade = e.Trade;
if (DataManager.tradeArrayLength != 0)
{
TradeArray tradeArray = DataManager.tradeArrayList[instrument];
tradeArray.Add(trade);
if (DataManager.tradeArrayLength != -1 && tradeArray.Count > DataManager.tradeArrayLength)
{
tradeArray.RemoveAt(0);
}
}
instrument.EmitNewTrade(new TradeEventArgs(trade, instrument, e.Provider));
}
public TradeSeries()
{
this.series = new TradeArray();
}
internal TradeSeries(TradeArray series)
{
this.series = series;
}
public TradeSeriesEnumerator(TradeArray series)
{
this.series = series;
this.enumerator = series.GetEnumerator();
}
public TradeSeries()
{
this.series = new TradeArray();
}
internal TradeSeries(TradeArray series)
{
this.series = series;
}
public TradeSeriesEnumerator(TradeArray series)
{
this.series = series;
this.enumerator = series.GetEnumerator();
}
public virtual void Save()
{
//修正持仓周期
if (HasPosition && this.holdingPeriod < 1)
{
this.holdingPeriod = 1; //当天入场的
}
if (this.holdingPeriod < 1)
{
return;
}
//提取日线，分线数据，还有大盘的数据
string symbol = this.instrument.Symbol;
Instrument indexInst = null;
if (symbol.IndexOf("SHSE.") >= 0)
{
indexInst = InstrumentManager.Instruments["SHSE.000001"];
}
else if (symbol.IndexOf("SZSE.3") >= 0)
{
indexInst = InstrumentManager.Instruments["SZSE.399006"];
}
else
{
indexInst = InstrumentManager.Instruments["SZSE.399001"];
}
//指数的日线和分线
BarSeries indexDaily = this.getDailySeries(indexInst);
if (indexDaily.Count <= 0)
{
this.readLastNDailys(indexInst, this.indexDailyPeriod - 1);
this.addTodayDaily(indexInst);
}
BarSeries indexMin5 = this.getMin5Series(indexInst);
if (indexMin5.Count <= 0)
{
this.readLastNMin5s(indexInst, this.indexMin5Period);
}
//股票的日线和分线
BarSeries stockDaily = this.getDailySeries(this.instrument);
if (stockDaily.Count <= 0)
{
this.readLastNDailys(this.instrument, this.dailyPeriod - 1);
}
BarSeries stockMin5 = this.getMin5Series(this.instrument);
if (stockMin5.Count <= 0)
{
this.readLastNMin5s(this.instrument, this.min5Period);
}
if (stockDaily.Count < 1)
{
return; //没有日线的不记录
}
//计算当天的奖赏
double rewardForInside = 0.0; //在场内的奖赏
double rewardForOutside = 0.0; //在场外的奖赏
if (this.holdingPeriod == 1)
{
rewardForInside = Math.Log(this.lastPrice / Position.EntryPrice);
}
else if (this.holdingPeriod > 1)
{
rewardForInside = Math.Log(this.lastPrice / stockDaily.Last.Close);
rewardForOutside = Math.Log(this.lastPriceWhenDeal / stockDaily.Last.Close);
}
//Console.WriteLine("symbol:{0} --- last price is {1} --- entry Price is {2},has {3} ticks",
// this.instrument.Symbol,this.lastPrice,Position.EntryPrice,this.Trades[this.instrument].Count);
//当天的日线,交易决断前一刻的数据
this.addTodayDaily(this.instrument);
//正规化数据
List <NormalizedBar> indexNormalizedDaily = this.NormalizeBars(indexDaily);
List <NormalizedBar> indexNormalizedMin5 = this.NormalizeBars(indexMin5);
List <NormalizedBar> stockNormalizedDaily = this.NormalizeBars(stockDaily);
List <NormalizedBar> stockNormalizedMin5 = this.NormalizeBars(stockMin5);
//写入数据库
try{
this.initDB();
string curDateString = Clock.Now.Date.ToString("yyyy-MM-dd");
//周期大于1且当天停盘没有交易的,不插入新记录，但要修改之前记录的下一个交易日期
TradeArray trades = this.Trades[this.instrument];
if (this.holdingPeriod > 1 &&
(trades.Count <= 0 || trades.LastDateTime < Clock.Now.Date))
{
Console.WriteLine("证券{0}:今日没有交易", this.instrument.Symbol);
BsonElement[] eleArray2 = new BsonElement[3];
eleArray2[0] = new BsonElement("NextTradeDate", curDateString);
eleArray2[1] = new BsonElement("Symbol", this.instrument.Symbol);
eleArray2[2] = new BsonElement("Inside", 1);
QueryDocument query2 = new QueryDocument(eleArray2);
UpdateDocument update = new UpdateDocument();
update.Add(new BsonElement("$set", new QueryDocument(new BsonElement("NextTradeDate", (string)this.strategy.Global["NextTradeDate"]))));
this.collection.Update(query2, update);
return;
}
//如果当天已写入记录，先删除
BsonElement[] eleArray = new BsonElement[2];
eleArray[0] = new BsonElement("Date", curDateString);
eleArray[1] = new BsonElement("Symbol", this.instrument.Symbol);
QueryDocument query = new QueryDocument(eleArray);
this.collection.Remove(query);
//写入在场外的记录，如果是第一天，则是假设没有买入，如果是第二天及以后，则是假设卖出
//此情况下，下一交易日为空
BsonElement[] eleArray1 = new BsonElement[12];
eleArray1[0] = new BsonElement("Date", curDateString);
eleArray1[1] = new BsonElement("Symbol", this.instrument.Symbol);
eleArray1[2] = new BsonElement("HoldingPeriod", this.holdingPeriod);
eleArray1[3] = new BsonElement("Inside", 0); //当前是否在场内
eleArray1[4] = new BsonElement("IndexDaily", this.GetBsonArrayFromBars(indexNormalizedDaily));
eleArray1[5] = new BsonElement("IndexMin5", this.GetBsonArrayFromBars(indexNormalizedMin5));
eleArray1[6] = new BsonElement("StockDaily", this.GetBsonArrayFromBars(stockNormalizedDaily));
eleArray1[7] = new BsonElement("StockMin5", this.GetBsonArrayFromBars(stockNormalizedMin5));
eleArray1[8] = new BsonElement("Reward", rewardForOutside);
eleArray1[9] = new BsonElement("NextTradeDate", "");
BsonDocument insert = new BsonDocument(eleArray1);
this.collection.Insert(insert);
//写入在场内的记录，如果是第一天，则是买入，如果是第二天及以后，则是继续持有
eleArray1 = new BsonElement[10];
eleArray1[0] = new BsonElement("Date", curDateString);
eleArray1[1] = new BsonElement("Symbol", this.instrument.Symbol);
eleArray1[2] = new BsonElement("HoldingPeriod", this.holdingPeriod);
eleArray1[3] = new BsonElement("Inside", 1); //当前是否在场内
eleArray1[4] = new BsonElement("IndexDaily", this.GetBsonArrayFromBars(indexNormalizedDaily));
eleArray1[5] = new BsonElement("IndexMin5", this.GetBsonArrayFromBars(indexNormalizedMin5));
eleArray1[6] = new BsonElement("StockDaily", this.GetBsonArrayFromBars(stockNormalizedDaily));
eleArray1[7] = new BsonElement("StockMin5", this.GetBsonArrayFromBars(stockNormalizedMin5));
eleArray1[8] = new BsonElement("Reward", rewardForInside);
//已到了持仓周期限制，并且确实已卖出的，下一交易日为空
if (this.holdingPeriod >= this.holdingPeriodLimit && (!HasPosition))
{
eleArray1[9] = new BsonElement("NextTradeDate", "");
}
else
{
eleArray1[9] = new BsonElement("NextTradeDate", (string)this.strategy.Global["NextTradeDate"]);
}
insert = new BsonDocument(eleArray1);
this.collection.Insert(insert);
}catch (Exception ex) {
Console.WriteLine(ex.Message);
}
}
