private void OpenThread(OpenArgs oa)
{
Open(oa.Price, oa.Qty, oa.Opentype, oa.Si, oa.Tickdata, oa.Tr);
}
public override void Notify(Guid tradeGuid, OpenStatus status, double dealQty = 0, double dealPrice = 0, string weituobianhao = "", string pendWeituobianhao = "")
{
if (tps.ContainsKey(tradeGuid))
{
TradePoints t = tps[tradeGuid];
if (t.TradeGuid == tradeGuid)
{
if (status == OpenStatus.Opened)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
t.Status = OpenStatus.Opened;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓通知，成交数量:{1}", this.policyName, dealQty)));
}
else if (status == OpenStatus.Open)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓下单通知", this.policyName)));
}
else if (status == OpenStatus.OpenPending)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收入场追单通知", this.policyName)));
}
else if (status == OpenStatus.Failed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受失败通知", this.policyName)));
}
else if (status == OpenStatus.PartOpend)
{
if (dealQty > (t.EnterPoint.DealQty - t.EnterPoint.PartDealQty))
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
t.EnterPoint.DealQty = dealQty + t.EnterPoint.PartDealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分入场成交通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.OpenRest)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
if (t.EnterPoint.DealQty == 0)
{
t.Finished = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.OpenCanceled)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = currentTick.Ask;
}
else
{
openPrice = currentTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = SecondTick.Ask;
}
else
{
openPrice = SecondTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecondSi,
SecondTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.CloseCanceled)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受出场撤单通知", this.policyName)));
}
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
loseArr.Add(loseCount);
currentDay = tickdata.Time.Date;
this.Reset();
}
currentTick = tickdata;
SecondTick = CurrentStockData.GetTick(SecondSi);
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (CanOpen())
{
if (Math.Abs((tickdata.Time - SecondTick.Time).Seconds) <= 1)
{
double a = tickdata.Bid - SecondTick.Ask;
double b = (tickdata.Bid * parameter.Fee + SecondTick.Ask * parameter.SecondFee + tickdata.Last * parameter.Lirun);
double c = SecondTick.Bid - tickdata.Ask;
double d = (tickdata.Ask * parameter.Fee + SecondTick.Bid * parameter.SecondFee + tickdata.Last * parameter.Lirun);
List <CurrentBanalce> ACBS = CurrentBalances.getCurrentBalance(SecInfo.Market);
List <CurrentBanalce> BCBS = CurrentBalances.getCurrentBalance(parameter.SecondMarket);
foreach (CurrentBanalce aCBS in ACBS)
{
if (aCBS.Code.ToUpper() == parameter.Code.ToUpper() || aCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * 2)
{
Code1AtoB = true;
}
else
{
Code1AtoB = false;
}
}
if (aCBS.Code.ToUpper() == parameter.Code2.ToUpper() || aCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2BtoA = true;
}
else
{
Code2BtoA = false;
}
}
}
foreach (CurrentBanalce bCBS in BCBS)
{
if (bCBS.Code.ToUpper() == parameter.Code.ToUpper() || bCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * 2)
{
Code1BtoA = true;
}
else
{
Code1BtoA = false;
}
}
if (bCBS.Code.ToUpper() == parameter.Code2.ToUpper() || bCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2AtoB = true;
}
else
{
Code2AtoB = false;
}
}
}
if (a > b)
{
if (Code1AtoB && Code2AtoB)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
if (c > d)
{
if (Code1BtoA && Code2BtoA)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
}
}
}
}
LiveDataUpdate(tickdata);
}
}
