public List<SQLiteKit> CalTime(String path, int sec, int scope)
{
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 lastHandle = 0;
int lastSec = 0;
int lastPrice = 0;
int dotPV = 0;
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 (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;
}
else
{
if (/*tick.price - graph.value[TickGraph.VALUE_D] > scope
|| graph.value[TickGraph.VALUE_C] - tick.price > scope
|| */tick.seqsec - lastSec >= sec || lastHandle != handle.index)
//if (Math.Abs(dotPV) > scope)
{
lastSec = tick.seqsec;
lastHandle = handle.index;
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
graphBase.AddNewItem("TXF_A", average);
graph.value[TickGraph.VALUE_K] = dotPV;
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;
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]);
}
dotPV = 0;
lastPrice = tick.price;
}
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;
if (tick.price >= lastPrice)
{
dotPV += (tick.price - lastPrice) * (tick.price - lastPrice) * tick.quanty;
}
else
{
dotPV -= (tick.price - lastPrice) * (tick.price - lastPrice) * tick.quanty;
}
lastPrice = tick.price;
}
}
} while (true);
return tickBase.GetFiles();
}
public void CalSimple(String path, int main, int slowAmount, int fastAmount)
{
int end = 0;
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];
TickGraph nowAverage = null;
TickGraph nowGraph = null;
TickGraph lastAverage = null;
TickGraph lastGraph = null;
double preDiff = 0;
double nowDiff = 0;
int cond = 0;
int type = (int)TRADE_TYPE.TRADE_NONE;
double lastMain = -1;
double fastMain = -1;
double lastPrice = -1;
double lastSlowAmount = -1;
double lastFastAmount = -1;
double maxDiff = 0;
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)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
nowGraph = graph;
nowAverage = average;
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]);
}
graphBase.AddNewItem("TXF_A", nowAverage);
graphBase.AddNewItem("TXF_K", nowGraph);
break;
}
if (graph.type == TICK_GRAPH.TICK_GRAPH_NONE)
{
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;
lastPrice = tick.price;
lastSlowAmount = 0;
lastFastAmount = 0;
}
else
{
/*if (fastAmount == -1)
{
if (tick.price < graph.value[TickGraph.VALUE_D] || graph.value[TickGraph.VALUE_C] < tick.price)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
graphBase.AddNewItem("TXF_A", average);
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;
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]);
}
fastAmount = range;
}
else
{
graph.value[TickGraph.VALUE_B] = tick.price;
average.value[TickGraph.VALUE_B] += tick.price * tick.quanty;
average.value[TickGraph.VALUE_C] += tick.quanty;
}
}
else*/
{
if (lastSlowAmount > slowAmount
|| lastFastAmount > fastAmount
|| preDiff * nowDiff < 0
|| (preDiff > 0 && tick.price < graph.value[TickGraph.VALUE_A])
|| (preDiff < 0 && tick.price > graph.value[TickGraph.VALUE_A])
|| tick.price > average_a[main - 1].value[TickGraph.VALUE_A] && average.value[TickGraph.VALUE_A] < average_a[main - 1].value[TickGraph.VALUE_A]
|| tick.price < average_a[main - 1].value[TickGraph.VALUE_A] && average.value[TickGraph.VALUE_A] > average_a[main - 1].value[TickGraph.VALUE_A])
{
lastPrice = tick.price;
if (lastSlowAmount > slowAmount)
{
lastSlowAmount = 0;
}
lastFastAmount = 0;
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
if (nowAverage != null)
{
preDiff = average.value[TickGraph.VALUE_A] - nowAverage.value[TickGraph.VALUE_A];
cond = 1;
}
nowGraph = 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;
nowAverage = average;
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;
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]);
}
/********************/
#if false
if (lastMain == -1)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] != 0)
{
lastMain = average_a[main - 1].value[TickGraph.VALUE_A];
maxDiff = average_a[main - 1].value[TickGraph.VALUE_A] - lastMain;
fastMain = average_a[main - 1].value[TickGraph.VALUE_A];
}
}
else
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
if (maxDiff < average_a[main - 1].value[TickGraph.VALUE_A] - lastMain)
{
maxDiff = average_a[main - 1].value[TickGraph.VALUE_A] - lastMain;
if (average_a[main - 1].value[TickGraph.VALUE_A] > fastMain + maxDiff)
{
fastMain = average_a[main - 1].value[TickGraph.VALUE_A];
}
else
{
fastMain += maxDiff;
}
}
else
{
fastMain += maxDiff;
}
if (nowAverage.value[TickGraph.VALUE_A] < fastMain)
{
performance += AddSell(tick.price);
//lastprice = tick.price;
lastGraph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
lastGraph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
lastGraph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, lastGraph.value[TickGraph.VALUE_J]);
type = (int)TRADE_TYPE.TRADE_NONE;
}
}
else if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
if (maxDiff > average_a[main - 1].value[TickGraph.VALUE_A] - lastMain)
{
maxDiff = average_a[main - 1].value[TickGraph.VALUE_A] - lastMain;
if (average_a[main - 1].value[TickGraph.VALUE_A] < fastMain + maxDiff)
{
fastMain = average_a[main - 1].value[TickGraph.VALUE_A];
}
else
{
fastMain += maxDiff;
}
}
else
{
fastMain += maxDiff;
}
if (nowAverage.value[TickGraph.VALUE_A] > fastMain)
{
performance += AddBuy(tick.price);
//lastprice = tick.price;
lastGraph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
lastGraph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
lastGraph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, lastGraph.value[TickGraph.VALUE_J]);
type = (int)TRADE_TYPE.TRADE_NONE;
}
}
if (type == (int)TRADE_TYPE.TRADE_NONE)
{
if (nowAverage.value[TickGraph.VALUE_A] > average_a[main - 1].value[TickGraph.VALUE_A])
{
performance += AddBuy(tick.price);
//lastPrice = tick.price;
lastGraph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
lastGraph.value[TickGraph.VALUE_G] = (long)tick.price;
lastGraph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_BUY_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, lastGraph.value[TickGraph.VALUE_J]);
}
else if (nowAverage.value[TickGraph.VALUE_A] < average_a[main - 1].value[TickGraph.VALUE_A])
{
performance += AddSell(tick.price);
//lastprice = tick.price;
lastGraph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
lastGraph.value[TickGraph.VALUE_G] = (long)tick.price;
lastGraph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_SELL_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, lastGraph.value[TickGraph.VALUE_J]);
}
maxDiff = average_a[main - 1].value[TickGraph.VALUE_A] - lastMain;
fastMain = average_a[main - 1].value[TickGraph.VALUE_A];
}
lastMain = average_a[main - 1].value[TickGraph.VALUE_A];
}
#if false
if (average.value[TickGraph.VALUE_A] <= average_a[main - 1].value[TickGraph.VALUE_A])
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
performance += AddSell(tick.price);
//lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_CLOSE;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
type = (int)TRADE_TYPE.TRADE_NONE;
}
}
else if (average.value[TickGraph.VALUE_A] >= average_a[main - 1].value[TickGraph.VALUE_A])
{
if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
performance += AddBuy(tick.price);
//lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_CLOSE;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, graph.value[TickGraph.VALUE_J]);
type = (int)TRADE_TYPE.TRADE_NONE;
}
}
lastAverage = average_a[main - 1].value[TickGraph.VALUE_A];
}
#endif
#endif
/********************/
graphBase.AddNewItem("TXF_A", nowAverage);
graphBase.AddNewItem("TXF_K", nowGraph);
}
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;
if (lastPrice < tick.price)
{
lastSlowAmount += (tick.price - lastPrice) * tick.quanty;
lastFastAmount += (tick.price - lastPrice) * tick.quanty;
}
else
{
lastSlowAmount += (lastPrice - tick.price) * tick.quanty;
lastFastAmount += (lastPrice - tick.price) * tick.quanty;
}
if (nowAverage != null)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
nowDiff = average.value[TickGraph.VALUE_A] - nowAverage.value[TickGraph.VALUE_A];
}
}
}
}
} while (true);
}
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 void CalAvk(String path, int range)
{
int bound = 1;
int pretype = (int)TRADE_TYPE.TRADE_NONE;
long lastprice = -1;
int type = (int)TRADE_TYPE.TRADE_NONE;
int step = range;
TickBase tickBase = new TickBase(path);
TickBaseHandle handle = new TickBaseHandle();
GraphBase graphBase = new GraphBase(System.DateTime.Now, 100);
FutureTick tick;
TickGraph lastGraph;
TickGraph graph = new TickGraph();
TickGraph slowAverage;
TickGraph fastAverage;
TickGraph lastAverage;
TickGraph temp = new TickGraph();
TickGraph average = new TickGraph();
TickGraph[] graph_a = new TickGraph[50];
TickGraph[] average_a = new TickGraph[50];
String table;
graphBase.CreateTable("TXF_AK");
do
{
tick = tickBase.GetFutureTick("TXF", ref handle);
if (tick == null)
{
break;
}
if (graph.type == TICK_GRAPH.TICK_GRAPH_NONE)
{
temp.value[TickGraph.VALUE_B] = tick.price * tick.quanty;
temp.value[TickGraph.VALUE_C] = tick.quanty;
temp.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_B] / temp.value[TickGraph.VALUE_C];
graph.type = TICK_GRAPH.TICK_GRAPH_KBAR;
graph.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_C] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_D] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_E] = handle.index;
}
else
{
lastGraph = null;
lastGraph = graphBase.GetLatestItem("TXF_AK");
temp.value[TickGraph.VALUE_B] += tick.price * tick.quanty;
temp.value[TickGraph.VALUE_C] += tick.quanty;
temp.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_B] / temp.value[TickGraph.VALUE_C];
if (step == -1)
{
if (temp.value[TickGraph.VALUE_A] <= graph.value[TickGraph.VALUE_D] || graph.value[TickGraph.VALUE_C] <= temp.value[TickGraph.VALUE_A])
{
graphBase.UpdateLatestItem("TXF_AK", graph);
//temp.value[TickGraph.VALUE_B] = tick.price * tick.quanty;
//temp.value[TickGraph.VALUE_C] = tick.quanty;
//temp.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_B] / temp.value[TickGraph.VALUE_C];
graph = new TickGraph();
graph.type = TICK_GRAPH.TICK_GRAPH_KBAR;
graph.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_C] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_D] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_E] = handle.index;
step = range;
}
else
{
graph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
if (temp.value[TickGraph.VALUE_A] > graph.value[TickGraph.VALUE_C]) graph.value[TickGraph.VALUE_C] = temp.value[TickGraph.VALUE_A];
if (temp.value[TickGraph.VALUE_A] < graph.value[TickGraph.VALUE_D]) graph.value[TickGraph.VALUE_D] = temp.value[TickGraph.VALUE_A];
}
}
else
{
if (lastGraph != null && lastGraph.value[TickGraph.VALUE_C] >= temp.value[TickGraph.VALUE_A] && temp.value[TickGraph.VALUE_A] >= lastGraph.value[TickGraph.VALUE_D] /*&& !(lastGraph.value[TickGraph.VALUE_F] != (long)TRADE_TYPE.TRADE_NONE && lastGraph.value[TickGraph.VALUE_H] != (long)TRADE_TYPE.TRADE_NONE)*/)
{
if (graph.value[TickGraph.VALUE_C] > lastGraph.value[TickGraph.VALUE_C]) lastGraph.value[TickGraph.VALUE_C] = graph.value[TickGraph.VALUE_C];
if (graph.value[TickGraph.VALUE_D] < lastGraph.value[TickGraph.VALUE_D]) lastGraph.value[TickGraph.VALUE_D] = graph.value[TickGraph.VALUE_D];
lastGraph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
lastGraph.value[TickGraph.VALUE_F] = graph.value[TickGraph.VALUE_F] != -1 ? graph.value[TickGraph.VALUE_F] : lastGraph.value[TickGraph.VALUE_F];
lastGraph.value[TickGraph.VALUE_G] = graph.value[TickGraph.VALUE_G] != -1 ? graph.value[TickGraph.VALUE_G] : lastGraph.value[TickGraph.VALUE_G];
lastGraph.value[TickGraph.VALUE_H] = graph.value[TickGraph.VALUE_H] != -1 ? graph.value[TickGraph.VALUE_H] : lastGraph.value[TickGraph.VALUE_H];
lastGraph.value[TickGraph.VALUE_I] = graph.value[TickGraph.VALUE_I] != -1 ? graph.value[TickGraph.VALUE_I] : lastGraph.value[TickGraph.VALUE_I];
lastGraph.value[TickGraph.VALUE_J] += graph.value[TickGraph.VALUE_J] != -1 ? graph.value[TickGraph.VALUE_J] : 0;
graph = lastGraph;
step = -1;
}
else
{
if (temp.value[TickGraph.VALUE_A] - graph.value[TickGraph.VALUE_D] > step || graph.value[TickGraph.VALUE_C] - temp.value[TickGraph.VALUE_A] > step)
{
graphBase.AddNewItem("TXF_AK", graph);
//temp.value[TickGraph.VALUE_B] = tick.price * tick.quanty;
//temp.value[TickGraph.VALUE_C] = tick.quanty;
//temp.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_B] / temp.value[TickGraph.VALUE_C];
graph = new TickGraph();
graph.type = TICK_GRAPH.TICK_GRAPH_KBAR;
graph.value[TickGraph.VALUE_A] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_C] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_D] = temp.value[TickGraph.VALUE_A];
graph.value[TickGraph.VALUE_E] = handle.index;
}
else
{
graph.value[TickGraph.VALUE_B] = temp.value[TickGraph.VALUE_A];
if (temp.value[TickGraph.VALUE_A] > graph.value[TickGraph.VALUE_C]) graph.value[TickGraph.VALUE_C] = temp.value[TickGraph.VALUE_A];
if (temp.value[TickGraph.VALUE_A] < graph.value[TickGraph.VALUE_D]) graph.value[TickGraph.VALUE_D] = temp.value[TickGraph.VALUE_A];
}
}
}
}
} while (true);
}
public void CalTrade(String path, int range, int main, int favg, int savg, int maxloss, int maxgain)
{
int bound = 1;
int pretype = (int)TRADE_TYPE.TRADE_NONE;
long lastprice = -1;
int type = (int)TRADE_TYPE.TRADE_NONE;
int step = range;
String slowAvg = String.Format("TXF_A{0}", savg);
String fastAvg = String.Format("TXF_A{0}", favg);
TickBase tickBase = new TickBase(path);
TickBaseHandle handle = new TickBaseHandle();
GraphBase graphBase = new GraphBase(System.DateTime.Now, 100);
FutureTick tick;
TickGraph lastGraph;
TickGraph graph = new TickGraph();
TickGraph slowAverage;
TickGraph fastAverage;
TickGraph lastAverage;
TickGraph average = new TickGraph();
TickGraph[] graph_a = new TickGraph[50];
TickGraph[] average_a = new TickGraph[50];
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 (graph.type == TICK_GRAPH.TICK_GRAPH_NONE)
{
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;
}
else
{
lastGraph = null;
lastGraph = graphBase.GetLatestItem("TXF_K");
lastAverage = null;
lastAverage = graphBase.GetLatestItem("TXF_A");
slowAverage = null;
slowAverage = graphBase.GetLatestItem(slowAvg);
fastAverage = null;
fastAverage = graphBase.GetLatestItem(fastAvg);
if (step == -1)
{
if (tick.price <= graph.value[TickGraph.VALUE_D] || graph.value[TickGraph.VALUE_C] <= tick.price)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
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);
average_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
long m = graphBase.CalAverage("TXF_A", TickGraph.VALUE_C, i);
if (m != 0)
{
average_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_A", TickGraph.VALUE_B, i) / m;
}
else
{
average_a[i - 1].value[TickGraph.VALUE_A] = -1;
}
}
/********************/
if (average_a[main - 1].value[TickGraph.VALUE_A] != -1 && average_a[favg - 1].value[TickGraph.VALUE_A] != -1 && average_a[savg - 1].value[TickGraph.VALUE_A] != -1)
{
if (type == (int)TRADE_TYPE.TRADE_NONE)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] >= average_a[favg - 1].value[TickGraph.VALUE_A] && average_a[main - 1].value[TickGraph.VALUE_A] > average_a[savg - 1].value[TickGraph.VALUE_A])
{
if (graph.value[TickGraph.VALUE_F] == (long)TRADE_TYPE.TRADE_NONE)
{
performance += AddBuy(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_G] = (long)tick.price;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_BUY_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
else if (average_a[main - 1].value[TickGraph.VALUE_A] <= average_a[favg - 1].value[TickGraph.VALUE_A] && average_a[main - 1].value[TickGraph.VALUE_A] < average_a[savg - 1].value[TickGraph.VALUE_A])
{
if (graph.value[TickGraph.VALUE_F] == (long)TRADE_TYPE.TRADE_NONE)
{
performance += AddSell(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_G] = (long)tick.price;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_SELL_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
}
else
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] < average_a[favg - 1].value[TickGraph.VALUE_A])
{
if (pretype == (int)TRADE_TYPE.TRADE_NONE)
{
performance += AddSell(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
type = (int)TRADE_TYPE.TRADE_NONE;
pretype = (int)TRADE_TYPE.TRADE_NONE;
}
}
else if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] > average_a[favg - 1].value[TickGraph.VALUE_A])
{
if (pretype == (int)TRADE_TYPE.TRADE_NONE)
{
performance += AddBuy(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
type = (int)TRADE_TYPE.TRADE_NONE;
pretype = (int)TRADE_TYPE.TRADE_NONE;
}
}
}
}
/********************/
graphBase.UpdateLatestItem("TXF_A", average);
graphBase.UpdateLatestItem("TXF_K", graph);
for (int i = 1; i <= 50; i++)
{
String table = String.Format("TXF_K{0}", i);
graphBase.UpdateLatestItem(table, graph_a[i - 1]);
table = String.Format("TXF_A{0}", i);
graphBase.UpdateLatestItem(table, average_a[i - 1]);
}
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;
step = range;
}
else
{
graph.value[TickGraph.VALUE_B] = 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];
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);
average_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
long m = graphBase.CalAverage("TXF_A", TickGraph.VALUE_C, i);
if (m != 0)
{
average_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_A", TickGraph.VALUE_B, i) / m;
}
else
{
average_a[i - 1].value[TickGraph.VALUE_A] = -1;
}
}
/**********************/
#if true
if (average_a[main - 1].value[TickGraph.VALUE_A] != -1 && average_a[favg - 1].value[TickGraph.VALUE_A] != -1 && average_a[savg - 1].value[TickGraph.VALUE_A] != -1)
{
if (type != (int)TRADE_TYPE.TRADE_NONE && pretype != (int)TRADE_TYPE.TRADE_PRE)
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] < average_a[favg - 1].value[TickGraph.VALUE_A])
/*if (tick.price < average_a[bound - 1].value[TickGraph.VALUE_A]
|| tick.price - lastprice <= maxloss
|| tick.price - lastprice >= maxgain)*/
//if (lastAverage.value[TickGraph.VALUE_A] >= average.value[TickGraph.VALUE_A])
{
performance += AddSell(tick.price);
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
pretype = (int)TRADE_TYPE.TRADE_PRE;
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
else if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] > average_a[favg - 1].value[TickGraph.VALUE_A])
/*if (tick.price > average_a[bound - 1].value[TickGraph.VALUE_A]
|| lastprice - tick.price <= maxloss
|| lastprice - tick.price >= maxgain)*/
//if (lastAverage.value[TickGraph.VALUE_A] <= average.value[TickGraph.VALUE_A])
{
performance += AddBuy(tick.price);
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
pretype = (int)TRADE_TYPE.TRADE_PRE;
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
}
}
#endif
/********************/
}
}
else
{
if (lastGraph != null && lastGraph.value[TickGraph.VALUE_C] >= tick.price && tick.price >= lastGraph.value[TickGraph.VALUE_D] /*&& !(lastGraph.value[TickGraph.VALUE_F] != (long)TRADE_TYPE.TRADE_NONE && lastGraph.value[TickGraph.VALUE_H] != (long)TRADE_TYPE.TRADE_NONE)*/)
{
if (graph.value[TickGraph.VALUE_C] > lastGraph.value[TickGraph.VALUE_C]) lastGraph.value[TickGraph.VALUE_C] = graph.value[TickGraph.VALUE_C];
if (graph.value[TickGraph.VALUE_D] < lastGraph.value[TickGraph.VALUE_D]) lastGraph.value[TickGraph.VALUE_D] = graph.value[TickGraph.VALUE_D];
lastGraph.value[TickGraph.VALUE_B] = tick.price;
lastGraph.value[TickGraph.VALUE_F] = graph.value[TickGraph.VALUE_F] != -1 ? graph.value[TickGraph.VALUE_F] : lastGraph.value[TickGraph.VALUE_F];
lastGraph.value[TickGraph.VALUE_G] = graph.value[TickGraph.VALUE_G] != -1 ? graph.value[TickGraph.VALUE_G] : lastGraph.value[TickGraph.VALUE_G];
lastGraph.value[TickGraph.VALUE_H] = graph.value[TickGraph.VALUE_H] != -1 ? graph.value[TickGraph.VALUE_H] : lastGraph.value[TickGraph.VALUE_H];
lastGraph.value[TickGraph.VALUE_I] = graph.value[TickGraph.VALUE_I] != -1 ? graph.value[TickGraph.VALUE_I] : lastGraph.value[TickGraph.VALUE_I];
lastGraph.value[TickGraph.VALUE_J] += graph.value[TickGraph.VALUE_J] != -1 ? graph.value[TickGraph.VALUE_J] : 0;
graph = lastGraph;
lastAverage = graphBase.GetLatestItem("TXF_A");
lastAverage.value[TickGraph.VALUE_B] += average.value[TickGraph.VALUE_B];
lastAverage.value[TickGraph.VALUE_C] += average.value[TickGraph.VALUE_C];
lastAverage.value[TickGraph.VALUE_B] += tick.price * tick.quanty;
lastAverage.value[TickGraph.VALUE_C] += tick.quanty;
average = lastAverage;
step = -1;
}
else
{
if (tick.price - graph.value[TickGraph.VALUE_D] > step || graph.value[TickGraph.VALUE_C] - tick.price > step)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
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);
average_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
long m = graphBase.CalAverage("TXF_A", TickGraph.VALUE_C, i);
if (m != 0)
{
average_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_A", TickGraph.VALUE_B, i) / m;
}
else
{
average_a[i - 1].value[TickGraph.VALUE_A] = -1;
}
}
graphBase.AddNewItem("TXF_A", average);
graphBase.AddNewItem("TXF_K", graph);
graph = new TickGraph();
/********************/
if (average_a[main - 1].value[TickGraph.VALUE_A] != -1 && average_a[favg - 1].value[TickGraph.VALUE_A] != -1 && average_a[savg - 1].value[TickGraph.VALUE_A] != -1)
{
if (type == (int)TRADE_TYPE.TRADE_NONE)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] >= average_a[favg - 1].value[TickGraph.VALUE_A] && average_a[main - 1].value[TickGraph.VALUE_A] > average_a[savg - 1].value[TickGraph.VALUE_A])
{
if (graph.value[TickGraph.VALUE_F] == (long)TRADE_TYPE.TRADE_NONE)
{
performance += AddBuy(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_G] = (long)tick.price;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_BUY_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
else if (average_a[main - 1].value[TickGraph.VALUE_A] <= average_a[favg - 1].value[TickGraph.VALUE_A] && average_a[main - 1].value[TickGraph.VALUE_A] < average_a[savg - 1].value[TickGraph.VALUE_A])
{
if (graph.value[TickGraph.VALUE_F] == (long)TRADE_TYPE.TRADE_NONE)
{
performance += AddSell(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_F] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_G] = (long)tick.price;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
type = (int)TRADE_TYPE.TRADE_SELL_OPEN;
Console.WriteLine("performance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
}
else
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] < average_a[favg - 1].value[TickGraph.VALUE_A])
{
if (pretype == (int)TRADE_TYPE.TRADE_NONE)
{
performance += AddSell(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
type = (int)TRADE_TYPE.TRADE_NONE;
pretype = (int)TRADE_TYPE.TRADE_NONE;
}
}
else if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] > average_a[favg - 1].value[TickGraph.VALUE_A])
{
if (pretype == (int)TRADE_TYPE.TRADE_NONE)
{
performance += AddBuy(tick.price);
lastprice = tick.price;
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
/*if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;*/
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
type = (int)TRADE_TYPE.TRADE_NONE;
pretype = (int)TRADE_TYPE.TRADE_NONE;
}
}
}
}
/********************/
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;
for (int i = 1; i <= 50; i++)
{
String table = String.Format("TXF_K{0}", i);
graphBase.AddNewItem(table, graph_a[i - 1]);
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];
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);
average_a[i - 1].type = TICK_GRAPH.TICK_GRAPH_LINE;
long m = graphBase.CalAverage("TXF_A", TickGraph.VALUE_C, i);
if (m != 0)
{
average_a[i - 1].value[TickGraph.VALUE_A] = graphBase.CalAverage("TXF_A", TickGraph.VALUE_B, i) / m;
}
else
{
average_a[i - 1].value[TickGraph.VALUE_A] = -1;
}
}
/**********************/
#if true
if (average_a[main - 1].value[TickGraph.VALUE_A] != -1 && average_a[favg - 1].value[TickGraph.VALUE_A] != -1 && average_a[savg - 1].value[TickGraph.VALUE_A] != -1)
{
if (type != (int)TRADE_TYPE.TRADE_NONE && pretype != (int)TRADE_TYPE.TRADE_PRE)
{
if (type == (int)TRADE_TYPE.TRADE_BUY_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] < average_a[favg - 1].value[TickGraph.VALUE_A])
/*if (tick.price < average_a[bound - 1].value[TickGraph.VALUE_A]
|| tick.price - lastprice <= maxloss
|| tick.price - lastprice >= maxgain)*/
//if (lastAverage.value[TickGraph.VALUE_A] >= average.value[TickGraph.VALUE_A])
{
performance += AddSell(tick.price);
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_SELL_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
if (tick.price - lastprice < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
pretype = (int)TRADE_TYPE.TRADE_PRE;
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Buy", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
else if (type == (int)TRADE_TYPE.TRADE_SELL_OPEN)
{
if (average_a[main - 1].value[TickGraph.VALUE_A] > average_a[favg - 1].value[TickGraph.VALUE_A])
/*if (tick.price > average_a[bound - 1].value[TickGraph.VALUE_A]
|| lastprice - tick.price <= maxloss
|| lastprice - tick.price >= maxgain)*/
//if (lastAverage.value[TickGraph.VALUE_A] <= average.value[TickGraph.VALUE_A])
{
performance += AddBuy(tick.price);
graph.value[TickGraph.VALUE_H] = (long)TRADE_TYPE.TRADE_BUY_OPEN;
graph.value[TickGraph.VALUE_I] = (long)tick.price;
if (lastprice - tick.price < 0) bound--;
else bound++;
if (bound <= 0) bound = 1;
if (bound > savg) bound = savg;
graph.value[TickGraph.VALUE_J] = (long)new System.Diagnostics.StackTrace(true).GetFrame(0).GetFileLineNumber();
pretype = (int)TRADE_TYPE.TRADE_PRE;
Console.WriteLine("\tperformance = {0}, price = {1}, line = {2} - Sell", performance, tick.price, graph.value[TickGraph.VALUE_J]);
}
}
}
}
#endif
/********************/
}
}
}
}
} while (true);
}
public void CalNormal(String path, int range)
{
TickBase tickBase = new TickBase(path);
TickBaseHandle handle = new TickBaseHandle();
GraphBase graphBase = new GraphBase(System.DateTime.Now, 100);
int step = range;
FutureTick tick;
TickGraph graph = new TickGraph();
TickGraph average = new TickGraph();
TickGraph[] graph_a = new TickGraph[50];
TickGraph[] average_a = new TickGraph[50];
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 (graph.type == TICK_GRAPH.TICK_GRAPH_NONE)
{
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;
}
else
{
if (step == -1)
{
if (tick.price < graph.value[TickGraph.VALUE_D] || graph.value[TickGraph.VALUE_C] < tick.price)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
graphBase.AddNewItem("TXF_A", average);
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;
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]);
}
step = range;
}
else
{
graph.value[TickGraph.VALUE_B] = tick.price;
average.value[TickGraph.VALUE_B] += tick.price * tick.quanty;
average.value[TickGraph.VALUE_C] += tick.quanty;
}
}
else
{
if (tick.price - graph.value[TickGraph.VALUE_D] > step || graph.value[TickGraph.VALUE_C] - tick.price > step)
{
average.value[TickGraph.VALUE_A] = average.value[TickGraph.VALUE_B] / average.value[TickGraph.VALUE_C];
graphBase.AddNewItem("TXF_A", average);
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;
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;
}
}
}
} while (true);
}
public FutureTick GetFutureTick(String tablename, ref TickBaseHandle handle)
{
FutureTick tick = new FutureTick();
SQLiteKit kit;
SQLiteDataReader reader;
do {
if (handle.index < mFiles.Count)
{
kit = mFiles[handle.index];
if (handle.initial == 0)
{
String cmd = "SELECT STRIKE_MONTH FROM " + tablename + " WHERE SN=1;";
kit.Cmd(cmd);
reader = kit.GetReader();
if (reader != null)
{
handle.month = (int)reader.GetInt32(0);
reader.Close();
}
cmd = "SELECT * FROM " + tablename + " WHERE STRIKE_MONTH=" + System.Convert.ToString(handle.month) + " ORDER BY SN;";
kit.Cmd(cmd);
handle.initial = 1;
}
reader = kit.GetReader();
if (reader != null && handle.last != 1)
{
tick.type = (int)reader.GetInt32(3);
tick.time = (int)reader.GetInt32(6);
tick.second = tick.time % 100;
tick.minute = (tick.time % 10000) / 100;
tick.hour = tick.time / 10000;
tick.seqsec = tick.hour * 3600 + tick.minute * 60 + tick.second;
tick.buy = (int)reader.GetInt32(7) / 100;
tick.sell = (int)reader.GetInt32(8) / 100;
tick.price = (int)reader.GetInt32(9) / 100;
tick.quanty = (int)reader.GetInt32(10);
if (tick.seqsec > 49490)
{
handle.last = 1;
}
return tick;
}
else
{
handle.last = 0;
handle.index++;
handle.initial = 0;
}
} else return null;
} while (true);
}
