public Performance(Performance p)
{
perf = p.perf;
total = p.total;
price = p.price;
num = p.num;
}
public Performance AddBuy(int price, int seq)
{
Trade trade;
String cmd;
Performance per = new Performance();
if (sellnum != 0)
{
do
{
remain--;
trade = tqueue.Dequeue();
trade.type = Trade.TRADE_BUY;
trade.end = price;
trade.remain = remain;
trade.performance = trade.price - trade.end - 1;
per.perf += trade.performance;
performance += trade.performance;
trade.seq = seq;
cmd = String.Format("INSERT INTO Trade (type, no, price, end, remain, performance, seq) VALUES (");
cmd += System.Convert.ToString(trade.type) + ",";
cmd += System.Convert.ToString(trade.no) + ",";
cmd += System.Convert.ToString(trade.price) + ",";
cmd += System.Convert.ToString(trade.end) + ",";
cmd += System.Convert.ToString(trade.remain) + ",";
cmd += System.Convert.ToString(trade.performance) + ",";
cmd += System.Convert.ToString(trade.seq) + ");";
kit.CmdNonQuery(cmd);
sellnum--;
} while (sellnum > 0);
}
trade = new Trade();
buynum++;
remain++;
trade.type = Trade.TRADE_BUY;
trade.no = buynum;
trade.price = price;
trade.end = 0;
trade.remain = remain;
trade.performance = 0;
trade.seq = seq;
tqueue.Enqueue(new Trade(trade));
cmd = String.Format("INSERT INTO Trade (type, no, price, end, remain, performance, seq) VALUES (");
cmd += System.Convert.ToString(trade.type) + ",";
cmd += System.Convert.ToString(trade.no) + ",";
cmd += System.Convert.ToString(trade.price) + ",";
cmd += System.Convert.ToString(trade.end) + ",";
cmd += System.Convert.ToString(trade.remain) + ",";
cmd += System.Convert.ToString(trade.performance) + ",";
cmd += System.Convert.ToString(trade.seq) + ");";
kit.CmdNonQuery(cmd);
per.total = performance;
per.price = trade.price;
per.num = buynum;
return per;
}
public List<SQLiteKit> CalForce(String path, int scope, int stop)
{
TickBase tickBase = new TickBase(path);
TickBaseHandle handle = new TickBaseHandle();
GraphBase graphBase = new GraphBase(System.DateTime.Now, 100);
FutureTick tick;
TickGraph graph = new TickGraph();
TickGraph average = new TickGraph();
TickGraph[] graph_a = new TickGraph[50];
TickGraph[] average_a = new TickGraph[50];
int seq = 0;
int make = 0;
long lastSec = 0;
long lastPrice = 0;
long lastAvg = 0;
long lastDirect = 0;
long lastHigh = 0;
long lastLow = 0;
long lastIndex = 0;
long td = 0;
long direct = 0;
long dotPV = 0;
long posForce = 0;
long nagForce = 0;
Performance per = new Performance();
graphBase.CreateTable("TXF_K");
graphBase.CreateTable("TXF_A");
for (int i = 1; i <= 50; i++)
{
String table = String.Format("TXF_K{0}", i);
graphBase.CreateTable(table);
graph_a[i - 1] = new TickGraph();
table = String.Format("TXF_A{0}", i);
graphBase.CreateTable(table);
average_a[i - 1] = new TickGraph();
}
do
{
tick = tickBase.GetFutureTick("TXF", ref handle);
if (tick == null)
{
break;
}
if (tick.buy < 0 && tick.sell < 0)
{
continue;
}
if (graph.type == TICK_GRAPH.TICK_GRAPH_NONE)
{
lastSec = tick.seqsec;
lastPrice = tick.price;
dotPV = 0;
graph.type = TICK_GRAPH.TICK_GRAPH_KBAR;
graph.value[TickGraph.VALUE_A] = tick.price;
graph.value[TickGraph.VALUE_B] = tick.price;
graph.value[TickGraph.VALUE_C] = tick.price;
graph.value[TickGraph.VALUE_D] = tick.price;
graph.value[TickGraph.VALUE_E] = handle.index;
average.type = TICK_GRAPH.TICK_GRAPH_LINE;
average.value[TickGraph.VALUE_B] = tick.price * tick.quanty;
average.value[TickGraph.VALUE_C] = tick.quanty;
average.value[TickGraph.VALUE_A] = tick.price;
lastAvg = -1;
lastDirect = 0;
}
else
{
/*if (tick.price - graph.value[TickGraph.VALUE_D] > scope
|| graph.value[TickGraph.VALUE_C] - tick.price > scope
|| tick.seqsec - lastSec >= sec)*/
//if (Math.Abs(dotPV) > Math.Abs(average.value[TickGraph.VALUE_A] - lastAvg) * scope
if (Math.Abs(dotPV) > scope
/*if (per.num == 0 && Math.Abs(dotPV) > scope
|| per.num > 0 && Math.Abs(dotPV) > (scope / per.num)*/
/*|| direct > 0 && dotPV < -stop
|| direct < 0 && dotPV > stop*/
|| td == 0 && direct > 0 && average.value[TickGraph.VALUE_A] < lastAvg
|| td > 0 && tick.price > td
|| td == 0 && direct < 0 && average.value[TickGraph.VALUE_A] > lastAvg
|| td < 0 && tick.price < -td
|| direct > 0 && tick.price < lastLow
|| direct < 0 && tick.price > lastHigh
|| handle.last == 1)
{
td = 0;
if (lastAvg != -1)
{
if (direct > 0 && average.value[TickGraph.VALUE_A] < lastAvg)
{
td = lastHigh;
}
else if (direct < 0 && average.value[TickGraph.VALUE_A] > lastAvg)
{
td = -lastLow;
}
if (average.value[TickGraph.VALUE_A] > lastAvg)
{
direct = 1;
}
else if (average.value[TickGraph.VALUE_A] < lastAvg)
{
direct = -1;
}
}
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
/*if (dotPV > 0)
{
direct = 1;
}
else if (dotPV < 0)
{
direct = -1;
}*/
graph.value[TickGraph.VALUE_J] = direct;
graph.value[TickGraph.VALUE_K] = dotPV;
seq++;
if (handle.last == 1/* || average.value[TickGraph.VALUE_A] == lastAvg*/)
{
per = Reduce(tick.price, seq, -1);
graph.value[TickGraph.VALUE_F] = 0;
graph.value[TickGraph.VALUE_G] = per.price;
graph.value[TickGraph.VALUE_H] = per.perf;
graph.value[TickGraph.VALUE_I] = per.total;
Console.WriteLine("\tmake = {0} , Buy {1}", per.total, tick.price);
}
else if (direct == 1)
{
if (average.value[TickGraph.VALUE_A] > lastAvg)
{
per = AddBuy(tick.price, seq);
graph.value[TickGraph.VALUE_F] = 1;
graph.value[TickGraph.VALUE_G] = per.price;
graph.value[TickGraph.VALUE_H] = per.perf;
graph.value[TickGraph.VALUE_I] = per.total;
Console.WriteLine("\tmake = {0} , Buy {1}", per.total, tick.price);
} else if (dotPV < 0 || average.value[TickGraph.VALUE_A] < lastAvg)
{
per = AddSell(tick.price, seq);
graph.value[TickGraph.VALUE_F] = -1;
graph.value[TickGraph.VALUE_G] = per.price;
graph.value[TickGraph.VALUE_H] = per.perf;
graph.value[TickGraph.VALUE_I] = per.total;
Console.WriteLine("\tmake = {0} , Sell {1}", per.total, tick.price);
}
}
else if (direct == -1)
{
if (average.value[TickGraph.VALUE_A] < lastAvg)
{
per = AddSell(tick.price, seq);
graph.value[TickGraph.VALUE_F] = -1;
graph.value[TickGraph.VALUE_G] = per.price;
graph.value[TickGraph.VALUE_H] = per.perf;
graph.value[TickGraph.VALUE_I] = per.total;
Console.WriteLine("\tmake = {0} , Sell {1}", per.total, tick.price);
}
else if (dotPV > 0 || average.value[TickGraph.VALUE_A] > lastAvg)
{
per = AddBuy(tick.price, seq);
graph.value[TickGraph.VALUE_F] = 1;
graph.value[TickGraph.VALUE_G] = per.price;
graph.value[TickGraph.VALUE_H] = per.perf;
graph.value[TickGraph.VALUE_I] = per.total;
Console.WriteLine("\tmake = {0} , Buy {1}", per.total, tick.price);
}
}
graph.value[TickGraph.VALUE_L] = posForce;
graph.value[TickGraph.VALUE_M] = nagForce;
graph.value[TickGraph.VALUE_N] = td;
dotPV = 0;
posForce = 0;
nagForce = 0;
lastSec = tick.seqsec;
lastIndex = handle.index;
lastPrice = tick.price;
lastAvg = average.value[TickGraph.VALUE_A];
lastHigh = graph.value[TickGraph.VALUE_C];
lastLow = graph.value[TickGraph.VALUE_D];
graphBase.AddNewItem("TXF_A", average);
seq = graphBase.AddNewItem("TXF_K", graph);
graph = new TickGraph();
graph.type = TICK_GRAPH.TICK_GRAPH_KBAR;
graph.value[TickGraph.VALUE_A] = tick.price;
graph.value[TickGraph.VALUE_B] = tick.price;
graph.value[TickGraph.VALUE_C] = tick.price;
graph.value[TickGraph.VALUE_D] = tick.price;
graph.value[TickGraph.VALUE_E] = handle.index;
average = new TickGraph();
average.type = TICK_GRAPH.TICK_GRAPH_LINE;
average.value[TickGraph.VALUE_B] = tick.price * tick.quanty;
average.value[TickGraph.VALUE_C] = tick.quanty;
average.value[TickGraph.VALUE_A] = tick.price;
for (int i = 1; i <= 50; i++)
{
graph_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
graph_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_K", TickGraph.VALUE_C, i);
String table = String.Format("TXF_K{0}", i);
graphBase.AddNewItem(table, graph_a[i - 1]);
average_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
average_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_A", TickGraph.VALUE_A, i);
table = String.Format("TXF_A{0}", i);
graphBase.AddNewItem(table, average_a[i - 1]);
}
}
else
{
graph.value[TickGraph.VALUE_B] = tick.price;
if (tick.price > graph.value[TickGraph.VALUE_C]) graph.value[TickGraph.VALUE_C] = tick.price;
if (tick.price < graph.value[TickGraph.VALUE_D]) graph.value[TickGraph.VALUE_D] = tick.price;
average.value[TickGraph.VALUE_B] += tick.price * tick.quanty;
average.value[TickGraph.VALUE_C] += tick.quanty;
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
if (tick.price >= lastPrice)
{
long f = (tick.price - lastPrice) * (tick.price - lastPrice) * tick.quanty;
dotPV += f;
posForce += f;
}
else
{
long f = (tick.price - lastPrice) * (tick.price - lastPrice) * tick.quanty;
dotPV -= f;
nagForce += f;
}
lastPrice = tick.price;
}
}
} while (true);
return tickBase.GetFiles();
}
public Performance Reduce(int price, int seq, int num)
{
Trade trade;
String cmd;
Performance per = new Performance();
if (sellnum != 0)
{
if (num == -1)
{
num = sellnum;
}
do
{
remain--;
trade = tqueue.Dequeue();
trade.type = Trade.TRADE_BUY;
trade.end = price;
trade.remain = remain;
trade.performance = trade.price - trade.end - 1;
per.perf += trade.performance;
performance += trade.performance;
trade.seq = seq;
cmd = String.Format("INSERT INTO Trade (type, no, price, end, remain, performance, seq) VALUES (");
cmd += System.Convert.ToString(trade.type) + ",";
cmd += System.Convert.ToString(trade.no) + ",";
cmd += System.Convert.ToString(trade.price) + ",";
cmd += System.Convert.ToString(trade.end) + ",";
cmd += System.Convert.ToString(trade.remain) + ",";
cmd += System.Convert.ToString(trade.performance) + ",";
cmd += System.Convert.ToString(trade.seq) + ");";
kit.CmdNonQuery(cmd);
sellnum--;
} while (--num > 0);
per.num = sellnum;
}
else if (buynum != 0)
{
if (num == -1)
{
num = buynum;
}
do
{
remain--;
trade = tqueue.Dequeue();
trade.type = Trade.TRADE_SELL;
trade.end = price;
trade.remain = remain;
trade.performance = trade.end - trade.price - 1;
per.perf += trade.performance;
performance += trade.performance;
trade.seq = seq;
cmd = String.Format("INSERT INTO Trade (type, no, price, end, remain, performance, seq) VALUES (");
cmd += System.Convert.ToString(trade.type) + ",";
cmd += System.Convert.ToString(trade.no) + ",";
cmd += System.Convert.ToString(trade.price) + ",";
cmd += System.Convert.ToString(trade.end) + ",";
cmd += System.Convert.ToString(trade.remain) + ",";
cmd += System.Convert.ToString(trade.performance) + ",";
cmd += System.Convert.ToString(trade.seq) + ");";
kit.CmdNonQuery(cmd);
buynum--;
} while (--num > 0);
per.num = buynum;
}
per.total = performance;
return per;
}
