public void Delete(string Name)
{
stockInfo stock = CodeManager.Instance.GetNameFromInfo(Name);
for (int i = 0; i < setRealRegs.Count; i++)
{
if (setRealRegs[i].Delete(stock.stockCode) == 0)
{
break;
}
}
int FirstCheck = 0;
for (int i = 0; i < setRealRegs.Count; i++)
{
if (setRealRegs[i].Count() == 0)
{
FirstCheck++;
}
}
if (FirstCheck != MonitorMaxCount - 1)
{
sRealType = "0";
}
}
private parameterPair getBestParameters(stockInfo stock)
{
double max = -10;
parameterPair bestPara = new parameterPair();
double k1Max = 0;
double k2Max = 0;
double trailingParameterMax = 0;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
Dictionary <DateTime, parameterPair> parameters = new Dictionary <DateTime, parameterPair>();
for (double k1 = 1; k1 <= 3; k1 = k1 + 0.2)
{
for (double k2 = 1; k2 <= 3; k2 = k2 + 0.2)
{
for (double trailingParameter = 0.004; trailingParameter <= 0.03; trailingParameter = trailingParameter + 0.002)
{
parameters = new Dictionary <DateTime, parameterPair>();
foreach (var date in myTradeDays)
{
parameterPair para = new parameterPair();
para.parameter1 = k1;
para.parameter2 = k2;
para.parameter3 = trailingParameter;
para.date = date;
para.strategy = "DualTrust";
para.code = stock.code;
para.existGoodParameter = true;
parameters.Add(date, para);
}
List <netvalueDaily> nv = new List <netvalueDaily>();
List <OneByOneTransaction> transactionData = new List <OneByOneTransaction>();
dualTrust(stock, parameters, ref nv, ref transactionData);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv.Select(s => s.netvalue).ToList());
if (sharpe > max)
{
max = sharpe;
k1Max = k1;
k2Max = k2;
trailingParameterMax = trailingParameter;
//Console.WriteLine("sharpe:{0}, k1:{1}, k2:{2}, trailing:{3}", max, k1Max, k2Max, trailingParameterMax);
}
}
}
}
bestPara.parameter1 = k1Max;
bestPara.parameter2 = k2Max;
bestPara.parameter3 = trailingParameterMax;
bestPara.strategy = "DualTrust";
bestPara.code = stock.code;
bestPara.bestSharpe = max;
if (max > 0)
{
bestPara.existGoodParameter = true;
}
else
{
bestPara.existGoodParameter = false;
}
return(bestPara);
}
/*
* add stock into the dictionary with initail shares 1000 and up-to-date price from Yahoo.
* This function is private. Use writeNewStockData() to both add new stock in memory and file
*/
public bool addToTheStockList(string stockName)
{
stockInfo info = new stockInfo();
info.price = getPriceFromYahoo(stockName);
if (info.price != null)
{
info.shares = 1000;
this.m_stocksDictionary.Add(stockName, info);
return true;
}
return false;
}
private stockInfo getStockByName(string name, DateTime dt_st, DateTime dt_et, BathDBDataContext db)
{
stockInfo stockinfo = new stockInfo(0, 0);
double number_Ins = 0;
double money_Ins = 0;
double number_Outs = 0;
double number_OrderOuts = 0;
double number_pans = 0;
double number_Total = 0;
double unitPrice = 0;
var mainStock = db.Stock.FirstOrDefault(x => x.main != null && x.main.Value);
var name_stockIns = db.StockIn.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date >= dt_st && x.date <= dt_et);
if (name_stockIns.Any())
{
number_Ins = name_stockIns.Sum(x => x.amount).Value;
money_Ins = name_stockIns.Sum(x => x.money).Value;
if (number_Ins != 0)
{
unitPrice = Math.Round(money_Ins / number_Ins, 2);
}
}
var name_stockOuts = db.StockOut.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et && x.date >= dt_st);
if (name_stockOuts.Any())
{
number_Outs = MConvert <double> .ToTypeOrDefault(name_stockOuts.Sum(x => x.amount), 0);
}
var name_orderStockOuts = db.OrderStockOut.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et && x.date >= dt_st);
if (name_orderStockOuts.Any())
{
number_OrderOuts = MConvert <double> .ToTypeOrDefault(name_orderStockOuts.Sum(x => x.amount), 0);
}
var name_pans = db.Pan.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et && x.date >= dt_st);
if (name_pans.Any())
{
number_pans = MConvert <double> .ToTypeOrDefault(name_pans.Sum(x => x.amount), 0);
}
number_Total = number_Ins + number_pans - number_Outs - number_OrderOuts;
stockinfo.stockleft = number_Total;
stockinfo.unitPrice = unitPrice;
stockinfo.totalMoney = Math.Round(number_Total * unitPrice, 2);
return(stockinfo);
}
//算出一年的最优参数，给后面N天使用
private double rollingByTime(stockInfo stock, int trainingSetDuration = 120, int testSetDuration = 10)
{
stockInfo stockRollInfo = new stockInfo();
Dictionary <DateTime, parameterPair> parameters = new Dictionary <DateTime, parameterPair>();
DateTime startDate = stock.startDate;
DateTime endDate = stock.endDate;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
int length = tradedays.Count();
for (int i = 0; i < length - trainingSetDuration; i = i + testSetDuration)
{
DateTime trainStart = tradedays[i];
DateTime trainEnd = tradedays[i + trainingSetDuration];
int testStartIndex = i + trainingSetDuration + 1;
int testEndIndex = i + trainingSetDuration + testSetDuration;
if (i == 0)
{
testStartIndex = 0;
}
if (testEndIndex >= length)
{
testEndIndex = length - 1;
}
stockRollInfo.code = stock.code;
stockRollInfo.startDate = trainStart;
stockRollInfo.endDate = trainEnd;
var bestPara = getBestParameters(stockRollInfo);
Console.WriteLine("start:{0}, end:{1}, bestSharpe:{2}, para1:{3}, para2:{4}, para3:{5}", trainStart, trainEnd, bestPara.bestSharpe, bestPara.parameter1, bestPara.parameter2, bestPara.parameter3);
for (int j = testStartIndex; j <= testEndIndex; j++)
{
parameterPair para = new parameterPair();
para.code = stock.code;
para.date = tradedays[j];
para.parameter1 = bestPara.parameter1;
para.parameter2 = bestPara.parameter2;
para.parameter3 = bestPara.parameter3;
para.strategy = bestPara.strategy;
para.existGoodParameter = bestPara.existGoodParameter;
parameters.Add(para.date, para);
}
}
List <netvalueDaily> nv = new List <netvalueDaily>();
List <OneByOneTransaction> transactionData = new List <OneByOneTransaction>();
dualTrust(stock, parameters, ref nv, ref transactionData);
double sharpe = Utilities.strategyPerformance.sharpeRatioByDailyNetValue(nv.Select(s => s.netvalue).ToList());
return(sharpe);
}
public ResultInfo Add(string Name)
{
ResultInfo result = new ResultInfo
{
Code = 0,
Msg = "더 이상 등록 될 수 없습니다."
};
int i = 0;
bool bRegiCheck = false;
int Monitor = 0;
int FirstCheck = 0;
for (i = 0; i < setRealRegs.Count; i++)
{
int cnt = setRealRegs[i].Count();
if (bRegiCheck == false && cnt <= 200)
{
Monitor = i;
bRegiCheck = true;
}
if (cnt == 0)
{
FirstCheck++;
}
}
if (i == MonitorMaxCount - 1 && bRegiCheck == false) // 모니터갯수 20개 모두 200개의 종목 꽉 찼을 때
{
return(result);
}
if (FirstCheck != MonitorMaxCount - 1)
{
sRealType = "1";
}
stockInfo stock = CodeManager.Instance.GetNameFromInfo(Name);
setRealRegs[Monitor].Add(stock, sRealType);
string sMonitor = (Monitor + 1).ToString("D4");
result.Code = 1;
result.Msg = sMonitor + "에 등록 되었습니다.";
return(result);
}
//获取股票近三年列表信息
private List <stockInfo> searchAllStocks(string stockBorad, DateTime startDate, DateTime endDate)
{
List <stockInfo> info = new List <stockInfo>();
WindReader windReader = new WindReader();
var dt = windReader.GetSectorconstituentByDate(stockBorad, startDate);
foreach (DataRow dr in dt.Rows)
{
stockInfo stock = new stockInfo();
stock.code = dr[1].ToString();
stock.startDate = startDate;
stock.endDate = endDate;
info.Add(stock);
break;
}
return(info);
}
public trendT0(StockMinuteRepository stockMinutelyRepo, StockDailyRepository stockDailyRepo, string stockBoard, DateTime startDate, DateTime endDate)
{
this.stockDailyRepo = stockDailyRepo;
this.stockMinutelyRepo = stockMinutelyRepo;
dateRepo = new TransactionDateTimeRepository(ConnectionType.Default);
sqlWriter = new SqlServerWriter(ConnectionType.Server84);
sqlReader = new SqlServerReader(ConnectionType.Local);
this.stockBoard = stockBoard;
this.startDate = startDate;
this.endDate = endDate;
this.tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
var list = searchAllStocks(stockBoard, startDate, endDate);
list = new List <stockInfo>();
stockInfo stock = new stockInfo();
stock.code = "IF.CFE";
stock.startDate = startDate;
stock.endDate = endDate;
list.Add(stock);
getAllStocks(list);
computeOnAllStocks(list);
}
private bool dualTrust(stockInfo stock, Dictionary <DateTime, parameterPair> parameters, ref List <netvalueDaily> nv, ref List <OneByOneTransaction> transactionData)
{
if (allStocks.ContainsKey(stock.code) == false)
{
return(false);
}
var data = allStocks[stock.code];
double cash = 10000;
double position = 0;
var myTradeDays = dateRepo.GetStockTransactionDate(stock.startDate, stock.endDate);
OneByOneTransaction transaction = new OneByOneTransaction();
//观察期限30分钟
int duration = 30;
int minutes = 240;
foreach (var date in myTradeDays)
{
if (data.ContainsKey(date) == false || parameters.ContainsKey(date) == false)
{
return(false);
}
var stockToday = data[date];
var para = parameters[date];
double k1 = para.parameter1;
double k2 = para.parameter2;
double trailing = para.parameter3;
double maxProfit = 0;
bool tradable = true;
if (para.existGoodParameter == false)
{
tradable = false;
}
//通过每日前30分钟计算指标
double HH = 0; //最高价的最高价
double HC = 0; //收盘价的最高价
double LC = 99999; //收盘价的最低价
double LL = 99999; //最低价的最低价
double Range = 0;
double longPoint = -1;
double shortPoint = -1;
for (int j = 0; j < duration; j++)
{
var dataNow = stockToday[j];
if (dataNow.High > HH)
{
HH = dataNow.High;
}
if (dataNow.Close > HC)
{
HC = dataNow.Close;
}
if (dataNow.Close < LC)
{
LC = dataNow.Close;
}
if (dataNow.Low < LL)
{
LL = dataNow.Low;
}
}
Range = Math.Max(HH - LC, HC - LL);
longPoint = stockToday[duration].Open + k1 * Range;
shortPoint = stockToday[duration].Open - k2 * Range;
for (int j = duration; j < minutes; j++)
{
var dataNow = stockToday[j];
var dataLast = stockToday[j - 1];
double avgPrice = dataNow.Close;
if (dataNow.Volume == 0)
{
tradable = false;
}
else
{
avgPrice = dataNow.Amount / dataNow.Volume / multiple;
if (para.existGoodParameter == true)
{
tradable = true;
}
}
if (position == 0 && j <= minutes - 10 && tradable)
{
//多头信号
if (dataNow.Open > longPoint && dataLast.Open < longPoint)
{
position = 0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position - avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
//空头信号
else if (dataNow.Open < shortPoint && dataLast.Open > shortPoint)
{
position = -0.9 * Math.Floor(cash * 1000 / avgPrice) / 1000;
cash = cash - avgPrice * position + avgPrice * position * slipRatio;
transaction = new OneByOneTransaction();
transaction.position = position;
transaction.openTime = dataNow.DateTime;
transaction.openPrice = avgPrice;
maxProfit = 0;
}
}
else if (position != 0 && j <= minutes - 5 && tradable) //非收盘前5分钟，按追踪止损平仓
{
if (position > 0)
{
if ((dataNow.Open / transaction.openPrice - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Open - 1) < maxProfit - trailing)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "追踪止损";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
}
else if (position != 0 && j > minutes - 5 && tradable)//收盘前5分钟强制平仓
{
if (position > 0)
{
cash = cash + avgPrice * position - avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
if (position < 0)
{
cash = cash + avgPrice * position + avgPrice * position * slipRatio;
position = 0;
transaction.closePrice = avgPrice;
transaction.closeTime = dataNow.DateTime;
transaction.closeStatus = "收盘强平";
transactionData.Add(transaction);
transaction = new OneByOneTransaction();
}
}
//计算追踪止损的参数
if (position > 0)
{
if ((dataNow.Close / transaction.openPrice - 1) > maxProfit)
{
maxProfit = (dataNow.Close / transaction.openPrice - 1);
}
}
if (position < 0)
{
if ((transaction.openPrice / dataNow.Close - 1) > maxProfit)
{
maxProfit = (transaction.openPrice / dataNow.Close - 1);
}
}
if (j == minutes - 1)
{
dataNow = stockToday[j];
netvalueDaily nvToday = new netvalueDaily();
nvToday.date = dataNow.DateTime.Date;
nvToday.netvalue = cash + position * dataNow.Close;
nv.Add(nvToday);
}
}
}
return(true);
}
/*
* get stock's information from the disk
* only used when server is shut down and restar again
*/
public bool getStockDataFromFile(String FileName)
{
try
{
using (StreamReader reader = new StreamReader(FileName))
{
string line;
while ((line = reader.ReadLine()) != null)
{
string[] words = line.Split(' ');
stockInfo info = new stockInfo();
info.price = words[1];
info.shares = Convert.ToInt32(words[2]);
stocksDictionary.Add(words[0], info);
}
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
return false;
}
return true;
}
public void onReceiveRealData(object sender, AxKHOpenAPILib._DKHOpenAPIEvents_OnReceiveRealDataEvent e)
{
if (e.sRealType == "주식체결")
{
#region FID
//[20] = 체결시간
//[10] = 현재가
//[11] = 전일대비
//[12] = 등락율
//[27] = (최우선) 매도호가
//[28] = (최우선)매수호가
//[15] = 거래량
//[13] = 누적거래량
//[14] = 누적거래대금
//[16] = 시가
//[17] = 고가
//[18] = 저가
//[25] = 전일대비기호
//[26] = 전일거래량대비(계약, 주)
//[29] = 거래대금증감
//[30] = 전일거래량대비(비율)
//[31] = 거래회전율
//[32] = 거래비용
//[228] = 체결강도
//[311] = 시가총액(억)
//[290] = 장구분
//[691] = KO접근도
//[567] = 상한가발생시간
//[568] = 하한가발생시간
#endregion
stockInfo stock = CodeManager.Instance.GetCodeFromInfo(e.sRealKey);
DateTime stockTime = DateTime.ParseExact(axKHOpenAPI1.GetCommRealData(e.sRealKey, 20), "HHmmss", System.Globalization.CultureInfo.InvariantCulture); // 체결시간
long stockPrice = long.Parse(axKHOpenAPI1.GetCommRealData(e.sRealKey, 10)); // 현재가
long volume = long.Parse(axKHOpenAPI1.GetCommRealData(e.sRealKey, 15)); // 거래량
StringBuilder sb = new StringBuilder();
//sb.AppendFormat("{0} ", stockTime.ToString("HH:mm:ss"));
//sb.AppendFormat("현재가 : {0}, ", String.Format("{0:#,###}", stockPrice));
//sb.AppendFormat("거래량 : {0}, ", String.Format("{0:#,###}", volume));
//Console.WriteLine(sb.ToString());
try
{
sb.Clear();
sb.Append("select * from LiveTable where ");
sb.AppendFormat("SignTime = '{0}' ", stockTime.ToString("HH:mm:ss"));
sb.AppendFormat("and SignCode = '{0}' ", e.sRealKey);
sb.AppendFormat("and SignCodeName = '{0}' ", stock.stockName);
DataTable dt = ADBEngine.Instance.fc_SqlDataAdapterQuery(sb.ToString());
int Cnt = 0;
if (dt != null)
{
Cnt = dt.Rows.Count;
if (Cnt >= 2) // 2개 이상은 저장안함
{
return;
}
}
sb.Clear();
sb.Append("insert into LiveTable ");
sb.Append("(SignTime, SignCode, SignCodeName, SignPrice, SignPriceValue, SignPriceIdx,SignDate) VALUES(");
sb.AppendFormat("'{0}', ", stockTime.ToString("HH:mm:ss"));
sb.AppendFormat("'{0}', ", e.sRealKey);
sb.AppendFormat("'{0}', ", stock.stockName);
sb.AppendFormat("'{0}', ", String.Format("{0:#,###}", stockPrice));
sb.AppendFormat("'{0}', ", String.Format("{0:#,###}", volume));
sb.AppendFormat("{0}, ", Cnt);
sb.AppendFormat("'{0}') ", sDateTime);
ADBEngine.Instance.ExecuteNoneQuery(sb.ToString());
List <string> Data = new List <string>();
string[] row = new string[] { stockTime.ToString("HH:mm:ss"), e.sRealKey, stock.stockName, String.Format("{0:#,###}", stockPrice), String.Format("{0:#,###}", volume) };
ds1(row);
if (String.IsNullOrEmpty(SelectName))
{
return;
}
if (SelectName != stock.stockName)
{
return;
}
row = new string[] { stockTime.ToString("HH:mm:ss"), e.sRealKey, stock.stockName, String.Format("{0:#,###}", stockPrice), String.Format("{0:#,###}", volume) };
ds2(row);
}
catch (Exception ex)
{
Console.WriteLine("DB 관련 에러 남");
}
}
}
private stockInfo getStockByName(string name, DateTime dt_st, DateTime dt_et, BathDBDataContext db)
{
stockInfo stockinfo=new stockInfo(0,0);
double number_Ins = 0;
double money_Ins=0;
double number_Outs = 0;
double number_OrderOuts = 0;
double number_pans = 0;
double number_Total = 0;
double unitPrice=0;
var mainStock = db.Stock.FirstOrDefault(x => x.main != null && x.main.Value);
var name_stockIns = db.StockIn.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date >= dt_st && x.date <= dt_et);
if (name_stockIns.Any())
{
number_Ins = name_stockIns.Sum(x => x.amount).Value;
money_Ins=name_stockIns.Sum(x=>x.money).Value;
if (number_Ins != 0)
unitPrice = Math.Round(money_Ins / number_Ins, 2);
}
var name_stockOuts = db.StockOut.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et&&x.date>=dt_st);
if (name_stockOuts.Any())
number_Outs = MConvert<double>.ToTypeOrDefault(name_stockOuts.Sum(x => x.amount), 0);
var name_orderStockOuts = db.OrderStockOut.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et&&x.date>=dt_st);
if (name_orderStockOuts.Any())
number_OrderOuts = MConvert<double>.ToTypeOrDefault(name_orderStockOuts.Sum(x => x.amount), 0);
var name_pans = db.Pan.Where(x => x.stockId == mainStock.id && x.name == name).Where(x => x.amount != null).Where(x => x.date <= dt_et&&x.date>=dt_st);
if (name_pans.Any())
number_pans = MConvert<double>.ToTypeOrDefault(name_pans.Sum(x => x.amount), 0);
number_Total = number_Ins + number_pans - number_Outs - number_OrderOuts;
stockinfo.stockleft=number_Total;
stockinfo.unitPrice=unitPrice;
stockinfo.totalMoney=Math.Round(number_Total*unitPrice,2);
return stockinfo;
}
