public static Dictionary <string, BaseStragClass <T> > Init_StragList <T>() where T : TimeSerialData { Dictionary <string, BaseStragClass <T> > AllStragList = new Dictionary <string, BaseStragClass <T> >(); try { string stragList = GlobalClass.ReReadStragList(); if (stragList == null || stragList.Trim().Length == 0) { ToLog("策略列表", "为空!"); return(AllStragList); } List <BaseStragClass <T> > list = BaseStragClass <T> .getObjectListByXml <BaseStragClass <T> >(stragList); //StragClass.getStragsByXml(stragList); if (list == null) { return(AllStragList); } AllStragList = list.ToDictionary(t => t.GUID, v => v); ToLog("策略列表", AllStragList.Count.ToString()); return(AllStragList); } catch (Exception ce) { ToLog("策略列表错误", ce.StackTrace); return(AllStragList); } }
/// <summary> /// 记录交易,可以可视化查看交易结果及查看资金曲线,同时复利策略的计划必须绑定资产单元 /// </summary> /// <param name="list"></param> /// <param name="newList"></param> /// <returns></returns> protected bool ExChange(List <ChanceClass <T> > list, string lastExpectNo) { ////List<ChanceClass> list = new List<ChanceClass>(); ////Oldlist.Values.ToList<ChanceClass>().ForEach(p => list.Add(p)); ////newList.ForEach(p => list.Add(p)); for (int i = 0; i < list.Count; i++) { ChanceClass <T> cc = list[i]; BaseStragClass <T> sc = UseStrags[cc.StragId]; if (sc.AssetUnitId == null) { continue; //所属计划未指定资产单元,不记录交易信息 } if (!UseAssetUnits.ContainsKey(sc.AssetUnitId)) { continue; //所属分类无记录的资产单元,不记录信息 } if (cc.UnitCost == 0) //无交易金额,不处理 { continue; } AssetUnitClass uu = UseAssetUnits[sc.AssetUnitId]; ExchangeChance <T> ec = new ExchangeChance <T>(uu.getCurrExchangeServer(), sc, cc.ExpectCode, lastExpectNo, cc); ec.ExchangeAmount = cc.UnitCost; ec.ExchangeRate = cc.UnitCost / uu.getCurrExchangeServer().summary; if (uu.getCurrExchangeServer().Push(ref ec)) { AllExchance.Add(ec); } } return(true); }
bool Update(bool DeleteOperate) { BaseStragClass <TimeSerialData> sc = this.propertyGrid1.SelectedObject as BaseStragClass <TimeSerialData>; if (sc == null) { MessageBox.Show("请先双击选择要操作的策略!"); return(false); } if (!this.AllList.ContainsKey(sc.GUID)) { MessageBox.Show("选择的策略不存在!"); return(false); } this.AllList[sc.GUID] = sc; if (DeleteOperate) { if (!this.AllList.Remove(sc.GUID)) { MessageBox.Show("无法删除选择策略!"); return(false); } this.propertyGrid1.SelectedObject = null; } SaveList(); RefreshGrid(); MessageBox.Show(string.Format("{0}成功!", DeleteOperate?"删除":"保存")); return(true); }
void SaveList() { List <BaseStragClass <TimeSerialData> > CurrList = AllList.Values.ToList <BaseStragClass <TimeSerialData> >(); //Program.AllGlobalSetting.gc.setStragXml(StragClass.getXmlByObjectList<StragClass>(CurrList)); GlobalClass.SaveStragList(BaseStragClass <TimeSerialData> .getXmlByObjectList <BaseStragClass <TimeSerialData> >(CurrList)); Program.AllGlobalSetting.AllStrags = AllList as Dictionary <string, BaseStragClass <TimeSerialData> >; }
public ExchangeChance(ExchangeService _es, BaseStragClass <T> sc, string InExpectNo, string CurrExpectNo, ChanceClass <T> cc) { _cc = cc; _sc = sc; _InExpect = InExpectNo; ExExpectNo = CurrExpectNo; es = _es; }
private void btn_Save_Click(object sender, EventArgs e) { BaseStragClass <TimeSerialData> sc = this.propertyGrid1.SelectedObject as BaseStragClass <TimeSerialData>; if (sc == null) { return; } //sc.CommSetting.SetGlobalSetting(Program.gc); RetJson = sc; Saved = true; this.Close(); }
void RefreshGrid() { List <BaseStragClass <TimeSerialData> > CurrList = AllList.Values.ToList <BaseStragClass <TimeSerialData> >(); if (CurrList == null) { return; } DataTable dt = BaseStragClass <TimeSerialData> .GetTableByStragList(CurrList); this.dg_Strags.DataSource = dt; this.dg_Strags.Refresh(); this.dg_Strags.Tag = CurrList; }
public override object EditValue(System.ComponentModel.ITypeDescriptorContext context, IServiceProvider provider, object value) { if (provider != null) { this.editorService = provider.GetService(typeof(IWindowsFormsEditorService)) as IWindowsFormsEditorService; } if (this.editorService != null) { AllList = BaseStragClass <TimeSerialData> .getObjectListByXml <BaseStragClass <TimeSerialData> >(GlobalClass.ReReadStragList()); AllPlans = StragRunPlanClass <TimeSerialData> .getObjectListByXml <StragRunPlanClass <TimeSerialData> >(GlobalClass.getStragRunningPlan(true)).ToDictionary(t => t.GUID, t => t); List <BaseStragClass <TimeSerialData> > list = AllList.Where(t => AllPlans.ContainsKey(t.GUID) == false).ToList <BaseStragClass <TimeSerialData> >(); List <StragClass> list1 = new List <StragClass>(); list.ForEach(a => { //list1.Add(ConvertionExtensions.ConvertTo<StragClass>(a as IConvertible)); StragClass sc = a as StragClass; list1.Add(sc); }); picker = new StragPicker(list1);//支持一组合对多相同策略 editorService.ShowDialog(picker); if (picker.SelectedStrag == null) { value = null; } else { value = picker.SelectedStrag; //picker.Hide(); } ////if (value == null) ////{ //// picker.Show(); //// picker.Visible = true; ////} ////else ////{ ////} } return(value); }
bool CheckFinished() { try { string path = @"c:\inetpub\wwwroot\PK10\InstData\" + DataPoint.DataType; string strExpectNo = "expectNo"; string strResult = "record"; string strForApp = "expertNoForApp"; string strtype = "txt"; this.FinishedThreads++; //if (IsTestBack) return true; //如果是回测,不做处理 //Log("进程结束", string.Format("目标{1},现有{0}",this.FinishedThreads,this.RunThreads)); if (FinishedThreads == RunThreads) { OnFinishedCalc(DataPoint); ThreadPools = new List <Thread>(); if (IsTestBack) { return(true); //如果是回测,不做处理 } Log("写入标志文件", "供web程序读取!"); string expectCode = CurrData.LastData.Expect; DataReader rder = DataReaderBuild.CreateReader(DataPoint.DataType, ReadDataTableName, Codes); string NewExpectNo = DataReader.getNextExpectNo(expectCode, DataPoint); string NewNo = string.Format("{0}|{1}|{2}", NewExpectNo, CurrData.LastData.OpenTime, CurrData.LastData.OpenCode); rder.updateExpectInfo(DataPoint.DataType, NewExpectNo, expectCode); new LogInfo().WriteFile(NewNo, path, strExpectNo, strtype, true, true); //保存策略 GlobalClass.SaveStragList(BaseStragClass <TimeSerialData> .getXmlByObjectList <BaseStragClass <TimeSerialData> >(Program.AllServiceConfig.AllStrags.Values.ToList <BaseStragClass <TimeSerialData> >())); Log("保存策略清单", "保存成功"); } } catch (Exception ce) { } return(true); }
private void btn_Save_Click(object sender, EventArgs e) { StragRunPlanClass <TimeSerialData> srp = this.propertyGrid1.SelectedObject as StragRunPlanClass <TimeSerialData>; if (srp == null) { MessageBox.Show("请先双击列表选择需要修改的计划或点击新增按钮新建计划!"); return; } if (Program.AllGlobalSetting.AllStrags.ContainsKey(srp.GUID)) { BaseStragClass <TimeSerialData> sc = Program.AllGlobalSetting.AllStrags[srp.GUID]; ////srp.StragName = sc.StragClassName; ////srp.StragDescript = sc.StragScript; } if (!Program.AllGlobalSetting.AllRunPlannings.ContainsKey(srp.GUID)) { Program.AllGlobalSetting.AllRunPlannings.Add(srp.GUID, srp); } else { if (NewAPlan) { MessageBox.Show("该计划已新建,标志错误!"); return; } Program.AllGlobalSetting.AllRunPlannings[srp.GUID] = srp; } if (!SaveData()) { return; } refreshGrid(Program.AllGlobalSetting.AllRunPlannings); this.propertyGrid1.SelectedObject = null; this.propertyGrid1.Refresh(); MessageBox.Show("保存成功!"); }
public new void ExecRun(object data) { ExpectList <T> el = data as ExpectList <T>; //2019/4/22日出现错过732497,732496两期记录错过,但是732498却收到的情况,同时,正好在732498多次重复策略正好开出结束,因错过2期导致一直未归零, //一直长时间追号开出近60期 //为避免出现这种情况 //判断是否错过了期数,如果错过期数,将所有追踪策略归零,不再追号,也不再执行选号程序, //是否要连续停几期?执行完后,在接收策略里面发现前10期有不连续的情况,直接跳过,只接收数据不执行选号。 if (el.MissExpectCount() > 1)//期号不连续 { } //Log("计算服务","准备数据", "为每个策略分配数据"); foreach (string key in UseStrags.Keys) { UseStrags[key].SetLastUserData(el); } //准备数据 BaseCollection <T> cc = null; int maxViewCnt = (int)this.UseStrags.Max(t => t.Value.ReviewExpectCnt); //Log("计算服务", "最大回览期数", maxViewCnt.ToString()); cc = new ExpectListProcessBuilder <T>(dtp, el).getProcess().getSerialData(maxViewCnt, this.UseSerial); // cc.orgData = el;//必须指定原始数据? //Log("计算服务", "中间数据长度",cc.Data.Count.ToString()); Dictionary <StragClass, List <ChanceClass> > css = new Dictionary <StragClass, List <ChanceClass> >(); //Log("计算服务", "计算数据", "为每个策略计算最大回顾周期数据"); //遍历每个策略获得机会 DbChanceList <T> OldDbList = new DbChanceList <T>(); Dictionary <string, ChanceClass <T> > OldList = new Dictionary <string, ChanceClass <T> >(); List <ChanceClass <T> > NewList = new List <ChanceClass <T> >(); //Log("计算服务", "遍历所有策略", string.Format("策略数量:{0}",this.UseStrags.Count)); CloseAllExchance(el);//清空所有可视化机会 #region 获取交易机会 for (int i = 0; i < this.UseSPlans.Count; i++) { StragRunPlanClass <T> currPlan = UseSPlans[i]; if (currPlan.PlanStrag == null)//如果计划所执行的策略为空,只在chance上执行tracer { List <ChanceClass <T> > emptycs = CurrExistChanceList.Values.Where(p => p.StragId == null).ToList <ChanceClass <T> >(); for (int c = 0; c < emptycs.Count; c++) { ChanceClass <T> CurrCc = emptycs[c]; TraceChance <T> tcc = CurrCc as TraceChance <T>; CurrCc.UnitCost = tcc.getChipAmount(GlobalClass.DefaultMaxLost, CurrCc, GlobalClass._DefaultHoldAmtSerials.Value); CurrCc.HoldTimeCnt = CurrCc.HoldTimeCnt + 1; CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = CurrCc.CreateTime; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest)//非回测需要额外保存数据 { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } } continue; } BaseStragClass <T> currStrag = UseStrags[currPlan.PlanStrag.GUID]; currStrag.SetLastUserData(el); //必须<T>给策略填充数据 List <ChanceClass <T> > cs = currStrag.getChances(cc, el.LastData); //获取该策略的机会 if (currStrag is TotalStdDevTraceStragClass) //如果是整体标准差类,记录所有的标准差数据 { grpTotolStdDic = (currStrag as TotalStdDevTraceStragClass).getAllStdDev(); } if (cs.Count > 0) { Log("计算服务", string.Format("策略[{0}/{1}]", currStrag.GUID, currStrag.StragScript), string.Format("取得机会数量为:{0}", cs.Count)); } Dictionary <string, ChanceClass <T> > StragChances = CurrExistChanceList.Where(p => p.Value.StragId == currStrag.GUID).ToDictionary(p => p.Value.ChanceCode, p => p.Value); AmoutSerials amts = GlobalClass.getOptSerials(CurrSetting.Odds, currPlan.InitCash, 1); Int64 restAmt = currStrag.CommSetting.GetGlobalSetting().DefMaxLost; //初始资金 #region 遍历各机会 for (int j = 0; j < cs.Count; j++) //对每个机会,检查上期遗留的机会是否包括 { bool NeedUseOldData = false; ChanceClass <T> CurrCc = cs[j]; CurrCc.HoldTimeCnt = 1; CurrCc.AllowMaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt; CurrCc.IncrementType = currPlan.IncreamType; if (currPlan.IncreamType == InterestType.CompoundInterest) { CurrCc.FixRate = currPlan.FixRate; } else { CurrCc.FixAmt = currPlan.FixAmt; } //该语句存在机会重复的风险 if (StragChances.ContainsKey(CurrCc.ChanceCode))//未关闭的及机会列表中存在该机会 { ChanceClass <T> OldCc = StragChances[CurrCc.ChanceCode]; //Log("计算服务", "老机会信息", string.Format("idx:{0};holdcnt:{1}", OldCc.ChanceIndex, OldCc.HoldTimeCnt)); //Log("计算服务", "老记录", string.Format("上期相同的机会{0}", CurrCc.ChanceCode)); //Log("计算服务", "判断是否允许重复", currStrag.AllowRepeat.ToString()); if (!currStrag.AllowRepeat)//如果不允许重复 { CurrCc = OldCc; CurrCc.HoldTimeCnt = CurrCc.HoldTimeCnt + 1; NeedUseOldData = true; Log("计算服务", "相同处理", string.Format("出现相同的机会{0},持有次数增1->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); } } else { //Log("计算服务", string.Format("上期相同未关闭的机会数{0},{1}", CurrExistChanceList.Count, CurrCc.ChanceCode), "本期未出现"); } if (currPlan.AssetUnitInfo != null) { if (this.UseAssetUnits.ContainsKey(currPlan.AssetUnitInfo.UnitId)) { AssetUnitClass useUnit = UseAssetUnits[currPlan.AssetUnitInfo.UnitId]; if (!useUnit.Running) { useUnit.Run(); } restAmt = (long)useUnit.getCurrExchangeServer().summary; } else { continue; } } //Log("计算服务", "再次检查数据", string.Format("出现相同的机会{0},持有次数增1.->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); CurrCc.UnitCost = -1; //先默认为-1 if (currStrag is WolfInv.com.BaseObjectsLib.ISpecAmount) //先从策略级别判断 { WolfInv.com.BaseObjectsLib.ISpecAmount testStrag = (currStrag as WolfInv.com.BaseObjectsLib.ISpecAmount); if (testStrag == null) { //等待下一步按机会级别判断 } else { CurrCc.UnitCost = testStrag.getChipAmount(restAmt, CurrCc, amts); } } if (CurrCc.UnitCost < 0) //如果策略级别未改变值 { if (CurrCc.IsTracer == 1) //如果是自我追踪机会 { Log("计算服务", "自我跟踪机会,当前持有次数", string.Format("HoldTimes:{0}", CurrCc.HoldTimeCnt)); TraceChance <T> useCc = Convert.ChangeType(CurrCc, currStrag.getTheChanceType()) as TraceChance <T>; //Log("计算服务", "使用的机会持有次数", string.Format("HoldTimes:{0}", useCc.HoldTimeCnt)); if (useCc == null) //获得的类型并非跟踪类型 { CurrCc.UnitCost = (currStrag as ChanceTraceStragClass).getChipAmount(restAmt, CurrCc, amts); } else { CurrCc.UnitCost = useCc.getChipAmount <T>(restAmt, CurrCc, amts); } } else//默认为ChanceTraceStragClass,其实是不可能触发的,而且会出错,因为ChanceTraceStragClass本身就是ispaceamount { Log("计算服务", "非跟踪机会,持有次数", string.Format("HoldTimes:{0}", CurrCc.HoldTimeCnt)); CurrCc.UnitCost = (currStrag as ChanceTraceStragClass).getChipAmount(restAmt, CurrCc, amts); } } //Log("计算服务", "再二次检查数据", string.Format("出现相同的机会{0},持有次数增1->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); if (NeedUseOldData)//未关闭的及机会列表中存在该机会 { Log("计算服务", "策略不可以出现重复", string.Format("策略编号:{0}", CurrCc.UnitCost)); CurrCc.Cost += CurrCc.UnitCost * CurrCc.ChipCount; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } CurrCc.HoldTimeCnt = 1; CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.Gained = 0; CurrCc.Profit = 0; CurrCc.ExecDate = DateTime.Today; CurrCc.CreateTime = DateTime.Now; CurrCc.UpdateTime = CurrCc.CreateTime; CurrCc.StragId = currStrag.GUID; CurrCc.ExpectCode = el.LastData.Expect; CurrCc.AllowMaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt; CurrCc.ChanceType = currPlan.OutPutType; NewList.Add(CurrCc); } #endregion #region 未关闭的机会需要自我跟踪 foreach (string code in StragChances.Keys) { ChanceClass <T> CurrCc = StragChances[code]; //if (!CurrCc.Tracerable) continue; int cnt = OldList.Values.Where(p => p.ChanceCode.Equals(code)).Count(); if (cnt > 0) { continue; } if (currStrag is WolfInv.com.BaseObjectsLib.ISpecAmount)//先从策略级检查 { WolfInv.com.BaseObjectsLib.ISpecAmount specStrag = currStrag as WolfInv.com.BaseObjectsLib.ISpecAmount; if (specStrag != null)//如果没有方法,再从机会级检查 { CurrCc.HoldTimeCnt++; CurrCc.UnitCost = specStrag.getChipAmount(restAmt, CurrCc, amts); CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } } if (CurrCc.Tracerable)//再检查机会级 { CurrCc.HoldTimeCnt++; TraceChance <T> testCc = (TraceChance <T>)CurrCc; if (testCc == null) { continue; } CurrCc.UnitCost = testCc.getChipAmount <T>(restAmt, CurrCc, amts); CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } else { CurrCc.HoldTimeCnt++; WolfInv.com.BaseObjectsLib.ISpecAmount Strag = (WolfInv.com.BaseObjectsLib.ISpecAmount)currStrag; if (Strag == null) { continue; } CurrCc.UnitCost = Strag.getChipAmount(restAmt, CurrCc, amts); CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } } } #endregion } #endregion if (!IsBackTest)//额外保存 { //int savecnt = OldDbList.Save(null); DataReader dr = DataReaderBuild.CreateReader(GlobalClass.DataTypes.First().Key, null, null); //int savecnt = new PK10ExpectReader().SaveChances<T>(OldDbList.Values.ToList<ChanceClass<T>>(), null); int savecnt = dr.SaveChances <T>(OldDbList.Values.ToList <ChanceClass <T> >(), null); if (OldList.Count > 0) { Log("计算服务", "保存已有机会", string.Format("条数:{0};实际条数:{1}", OldList.Count, savecnt)); } savecnt = dr.SaveChances <T>(NewList, null); if (NewList.Count > 0) { Log("计算服务", "保存新增机会", string.Format("条数:{0};实际条数:{1}", NewList.Count, savecnt)); } } //合并到未关闭机会列表中 NewList.ForEach(p => AllNoClosedChances.Add(p.GUID, p)); OldList.Values.ToList <ChanceClass <T> >().ForEach(p => AllNoClosedChances.Add(p.GUID, p)); //就算是老记录未有guid,当ToTable时已经生成了guid ExChange(AllNoClosedChances.Values.ToList <ChanceClass <T> >(), el.LastData.Expect); //执行交易提供可视化 }
public RoundBackTestReturnClass <T> RunRound(BaseStragClass <T> teststrag, long TestLong, long StepLong)//滚动获取 { long begNo = BegExpect; ExpectReader er = new ExpectReader(); ExpectList <T> el = null; long cnt = 0; RoundBackTestReturnClass <T> ret = new RoundBackTestReturnClass <T>(); ExpectList <T> AllData = new ExpectList <T>(); long testIndex = teststrag.ReviewExpectCnt - 1; ExpectList <T> testData = null; Dictionary <string, ChanceClass <T> > NoCloseChances = new Dictionary <string, ChanceClass <T> >(); Dictionary <string, ChanceClass <T> > tmpChances = new Dictionary <string, ChanceClass <T> >(); long roundId = 0; int currRid = 0; List <Dictionary <string, ChanceClass <T> > > roundNoMatchedChances = new List <Dictionary <string, ChanceClass <T> > >(); List <long> roundBegIds = new List <long>(); while (el == null || el.Count > 0) //如果取到的数据长度大于0 { el = er.ReadHistory <T>(begNo, LoopCnt); if (el == null) { ret.LoopCnt = cnt * LoopCnt; ret.succ = false; ret.Msg = "读取历史数据错误!"; break; } if (el.Count == 0) { ret.LoopCnt = testIndex; ret.succ = true; ret.Msg = string.Format("成功遍历{0}条记录!", testIndex); break; } AllData = ExpectList <T> .Concat(AllData, el); begNo = el.LastData.LExpectNo + 1; cnt++; //Todo: while (testIndex < AllData.Count) { if (testData == null) { testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt); } else { if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1) { throw new Exception(string.Format("{1}第{0}期后出现数据遗漏,请补充数据后继续测试!", testData.LastData.Expect, testData.LastData.OpenTime)); } testData.RemoveAt(0); testData.Add(AllData[(int)testIndex]); } if (roundBegIds.Count > 0 && testIndex == roundBegIds[currRid] + TestLong)//切换当前滚动id { //取出当前未完成队列, Dictionary <string, ChanceClass <T> > NoMatchDic = roundNoMatchedChances[currRid]; BackTestReturnClass <T> brc = ret.RoundData[currRid]; foreach (string key in NoMatchDic.Keys)//结束所有未玩成的结果 { ChanceClass <T> cc = NoMatchDic[key]; int matchcnt = 0; if (cc.Matched(testData.LastData, out matchcnt, teststrag.GetRev)) { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } else { cc.HoldTimeCnt = 99;//还未开出但是已经结束了的 } cc.MatchChips = matchcnt; cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; cc.UpdateTime = testData.LastData.OpenTime; brc.ChanceList.Add(cc); if (brc.HoldCntDic.ContainsKey(cc.HoldTimeCnt)) { brc.HoldCntDic[cc.HoldTimeCnt] = brc.HoldCntDic[cc.HoldTimeCnt] + 1; } else { brc.HoldCntDic.Add(cc.HoldTimeCnt, 1); } } currRid++; } if ((testIndex + 1 - teststrag.ReviewExpectCnt) % (StepLong) == 0) //每到周期整数倍,滚动开始id队列增加当前id { roundBegIds.Add(testIndex); //加入队列 roundNoMatchedChances.Add(new Dictionary <string, ChanceClass <T> >()); //加入未完成的机会表到指定队列中 BackTestReturnClass <T> brc = new BackTestReturnClass <T>(); ret.RoundData.Add(brc); roundId++; } for (int i = currRid; i < roundBegIds.Count; i++)//处理每个滚动周期的 { ExchanceClass <T> cc = new ExchanceClass <T>(); Dictionary <string, ChanceClass <T> > NoMatchDic = roundNoMatchedChances[i]; BackTestReturnClass <T> brc = ret.RoundData[i]; cc.Run(dtp, testData, teststrag, ref brc.ChanceList, ref NoMatchDic, ref brc.HoldCntDic); roundNoMatchedChances[i] = NoMatchDic; brc.LoopCnt = testIndex - roundBegIds[i] + 1; ret.RoundData[i] = brc; } testIndex++; } } return(ret); }
public BackTestReturnClass <T> VirExchange_oldLogic(ExchangeService es, StragRunPlanClass <T>[] teststragplans) { long begNo = BegExpect; ExpectReader er = new ExpectReader(); ExpectList <T> el = null; long cnt = 0; BackTestReturnClass <T> ret = new BackTestReturnClass <T>(); ret.HoldCntDic = new Dictionary <int, int>(); ret.HoldWinCntDic = new Dictionary <int, int>(); ret.InChipsDic = new Dictionary <int, int>(); ret.WinChipsDic = new Dictionary <int, int>(); ExpectList <T> AllData = new ExpectList <T>(); //long testIndex = teststrag.ReviewExpectCnt - 1; BaseStragClass <T>[] teststrags = teststragplans.Select(p => p.PlanStrag).ToArray <BaseStragClass <T> >(); long testIndex = teststrags.Max <BaseStragClass <T> >(s => s.ReviewExpectCnt);//取所有策略中回览期最大的开始,之前的数据不看 long InitIndex = testIndex; ExpectList <T> testData = null; Dictionary <string, StragChance <T> > NoCloseChances = new Dictionary <string, StragChance <T> >(); Dictionary <string, StragChance <T> > tmpChances = new Dictionary <string, StragChance <T> >(); Dictionary <Int64, ExchangeChance <T> > NewExchangeRecord = new Dictionary <Int64, ExchangeChance <T> >(); int AllCnt = 0; while (el == null || el.Count > 0) //如果取到的数据长度大于0 { el = er.ReadHistory <T>(begNo, LoopCnt); if (el == null) { ret.LoopCnt = cnt * LoopCnt; ret.succ = false; ret.Msg = "读取历史数据错误!"; break; } if (el.Count == 0) { ret.LoopCnt = testIndex; ret.succ = true; ret.Msg = string.Format("成功遍历{0}条记录!共发现机会{1}次!其中,{2}.", testIndex, ret.ChanceList.Count, ret.HoldInfo); break; } AllData = ExpectList <T> .Concat(AllData, el); begNo = el.LastData.LExpectNo + 1; cnt++; //Todo: while (testIndex < AllData.Count) { int CurrExpectClose = 0; AllCnt++; es.UpdateExpectCnt(AllCnt); if (testData == null) { //testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt); testData = AllData.getSubArray(0, (int)InitIndex + 1); } else { if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1) { throw new Exception(string.Format("{1}第{0}期后出现数据遗漏,请补充数据后继续测试!", testData.LastData.Expect, testData.LastData.OpenTime)); } testData.RemoveAt(0); testData.Add(AllData[(int)testIndex]); } for (int i = 0; i < teststrags.Length; i++)//专门针对需要程序话关闭机会,且关闭时需要知道当前数据策略使用 { teststrags[i].SetLastUserData(testData); } tmpChances = new Dictionary <string, StragChance <T> >(); //关闭所有交易 foreach (int id in NewExchangeRecord.Keys) { ExchangeChance <T> ec = NewExchangeRecord[id]; int matchcnt = 0; ec.OwnerChance.Matched(testData.LastData, out matchcnt, false); ec.MatchChips = matchcnt; es.Update(ec); ec = null; } NewExchangeRecord = new Dictionary <Int64, ExchangeChance <T> >(); foreach (string key in NoCloseChances.Keys) { StragChance <T> scc = NoCloseChances[key]; ChanceClass <T> cc = scc.Chance; if (cc.Closed == false) { int matchcnt = 0; //////if (teststrag.GetRev)//如果求相反组合 //////{ ////// if (cc.Matched(testData.LastData, out matchcnt, true))//不关闭 ////// { ////// if (cc.HoldTimeCnt < 0) ////// { ////// cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); ////// } ////// } //////} bool Matched = cc.Matched(testData.LastData, out matchcnt, false); if (cc.NeedConditionEnd) //需要策略自定义条件结束 { cc.MatchChips += matchcnt; if (Matched) //匹配到了 { int LastMatchId = cc.LastMatchTimesId; //最后一次匹配次序号 int maxHoldCnt = cc.AllowMaxHoldTimeCnt; if (cc.HoldTimeCnt - cc.LastMatchTimesId > maxHoldCnt) { cc.AllowMaxHoldTimeCnt = cc.HoldTimeCnt - cc.LastMatchTimesId; } cc.LastMatchTimesId = cc.HoldTimeCnt; } if (CurrExpectClose == 1)//如果当期已关闭,后面所有机会均关闭 { cc.Closed = true; } else if (CurrExpectClose == -1) { cc.Closed = Matched; } else { cc.Closed = cc.OnCheckTheChance(cc, Matched); if (teststrags[0].StagSetting.IsLongTermCalc) //如果是长期计算,设置当期是否关闭 { if (!Matched && cc.Closed) //匹配和状态相背,一定是状态已关闭 { CurrExpectClose = 1; } if (!Matched && !cc.Closed)//第一次非匹配状态能判断出当期是否关闭 { CurrExpectClose = -1; } } } if (cc.Closed) { cc.EndExpectNo = testData.LastData.Expect; cc.UpdateTime = testData.LastData.OpenTime; } else { cc.HoldTimeCnt++; tmpChances.Add(key, scc); } } else { if (Matched || cc.HoldTimeCnt == cc.AllowMaxHoldTimeCnt)//关闭 { cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; cc.MatchChips = matchcnt; //////if (!teststrag.GetRev)//只有不求相反值的情况下,才赋持有是次数 //////{ cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); //////} //////else //////{ ////// if (cc.HoldTimeCnt < 0) ////// { ////// cc.HoldTimeCnt = 999; ////// } //////} cc.UpdateTime = testData.LastData.OpenTime; ret.ChanceList.Add(cc); } else { cc.HoldTimeCnt++; tmpChances.Add(key, scc); } } #region //////////if (cc.Closed) //////////{ ////////// int HCnt = 1; ////////// if (cc.NeedConditionEnd) ////////// { ////////// if (ret.HoldCntDic.ContainsKey(cc.MaxHoldTimeCnt)) ////////// { ////////// HCnt = ret.HoldCntDic[cc.MaxHoldTimeCnt]; ////////// HCnt++; ////////// ret.HoldCntDic[cc.MaxHoldTimeCnt] = HCnt; ////////// ret.HoldWinCntDic[cc.MaxHoldTimeCnt] = ret.HoldWinCntDic[cc.MaxHoldTimeCnt] + matchcnt; ////////// ret.InChipsDic[cc.MaxHoldTimeCnt] = ret.InChipsDic[cc.MaxHoldTimeCnt] + cc.ChipCount * cc.HoldTimeCnt; ////////// ret.WinChipsDic[cc.MaxHoldTimeCnt] = ret.WinChipsDic[cc.MaxHoldTimeCnt] + cc.MatchChips; ////////// } ////////// else ////////// { ////////// ret.HoldCntDic.Add(cc.MaxHoldTimeCnt, 1); ////////// ret.HoldWinCntDic.Add(cc.MaxHoldTimeCnt, matchcnt); ////////// ret.InChipsDic.Add(cc.MaxHoldTimeCnt, cc.ChipCount * cc.HoldTimeCnt); ////////// ret.WinChipsDic.Add(cc.MaxHoldTimeCnt, cc.MatchChips); ////////// } ////////// } ////////// else ////////// { ////////// if (ret.HoldCntDic.ContainsKey(cc.HoldTimeCnt)) ////////// { ////////// HCnt = ret.HoldCntDic[cc.HoldTimeCnt]; ////////// HCnt++; ////////// ret.HoldCntDic[cc.HoldTimeCnt] = HCnt; ////////// ret.HoldWinCntDic[cc.HoldTimeCnt] = ret.HoldWinCntDic[cc.HoldTimeCnt] + matchcnt; ////////// ret.InChipsDic[cc.HoldTimeCnt] = ret.InChipsDic[cc.HoldTimeCnt] + cc.ChipCount; ////////// ret.WinChipsDic[cc.HoldTimeCnt] = ret.WinChipsDic[cc.HoldTimeCnt] + cc.MatchChips; ////////// } ////////// else ////////// { ////////// ret.HoldCntDic.Add(cc.HoldTimeCnt, 1); ////////// ret.HoldWinCntDic.Add(cc.HoldTimeCnt, matchcnt); ////////// ret.InChipsDic.Add(cc.HoldTimeCnt, cc.ChipCount); ////////// ret.WinChipsDic.Add(cc.HoldTimeCnt, cc.MatchChips); ////////// } ////////// } //////////} #endregion } } List <StragChance <T> > cs = new List <StragChance <T> >(); for (int i = 0; i < teststrags.Length; i++) { BaseCollection <T> sc = new ExpectListProcessBuilder <T>(dtp, testData).getProcess().getSerialData(teststrags[i].ReviewExpectCnt, teststrags[i].BySer); if (testData.Count == 0) { break; } List <ChanceClass <T> > scs = teststrags[i].getChances(sc, testData.LastData);//获取所有机会 for (int j = 0; j < scs.Count; j++) { ChanceClass <T> CurrCc = scs[j]; ////scs[j].IncrementType = teststragplans[i].IncreamType; ////scs[j].FixAmt = teststragplans[i].FixAmt; ////scs[j].FixRate = teststragplans[i].FixRate; StragRunPlanClass <T> currPlan = teststragplans[i]; BaseStragClass <T> currStrag = currPlan.PlanStrag; CurrCc.HoldTimeCnt = 1; CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.Gained = 0; CurrCc.Profit = 0; CurrCc.ExecDate = DateTime.Today; CurrCc.CreateTime = el.LastData.OpenTime; CurrCc.UpdateTime = CurrCc.CreateTime; CurrCc.StragId = currStrag.GUID; CurrCc.ExpectCode = el.LastData.Expect; CurrCc.AllowMaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt; CurrCc.FixAmt = currPlan.FixAmt; CurrCc.FixRate = currPlan.FixRate; CurrCc.IncrementType = currPlan.IncreamType; cs.Add(new StragChance <T>(teststrags[i], CurrCc)); } } if (ret.ChanceList == null) { ret.ChanceList = new List <ChanceClass <T> >(); } //ret.ChanceList.AddRange(cs); NoCloseChances = new Dictionary <string, StragChance <T> >(); foreach (string key in tmpChances.Keys) { StragChance <T> scc = tmpChances[key]; ChanceClass <T> cc = scc.Chance; NoCloseChances.Add(key, scc); //////ProbWaveSelectStragClass组合改为统一交易 ////if ((scc.Strag is ProbWaveSelectStragClass) == false) ////{ //// ExchangeChance<T> ec = new ExchangeChance(scc.Strag, testData.LastData.Expect, cc); //// bool Suc = es.Push(ref ec); //// if (Suc) //// NewExchangeRecord.Add(ec.Id, ec); ////} } tmpChances = null; //如果设置了最大持仓,必须按照最大持仓限制下注。 for (int i = 0; i < Math.Min(cs.Count, teststrags[0].CommSetting.MaxHoldingCnt - NoCloseChances.Count); i++) { //string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode); string key = string.Format("{0}", cs[i].Chance.ChanceCode); if (NoCloseChances.ContainsKey(key)) { //////if (teststrag.AllowRepeat) //////{ ////// string test = key; ////// //NoCloseChances.Add(key, cs[i]); //////} } else { cs[i].Chance.BaseAmount = es.summary < es.InitCash?1:es.summary / es.InitCash; NoCloseChances.Add(key, cs[i]); ////////ProbWaveSelectStragClass组合改为统一交易 //////if ((cs[i].Strag is ProbWaveSelectStragClass)==false) //////{ ////// ExchangeChance<T> ec = new ExchangeChance(cs[i].Strag, testData.LastData.Expect, cs[i].Chance);//交易 ////// bool Suc = es.Push(ref ec); ////// if (Suc) ////// NewExchangeRecord.Add(ec.Id, ec); //////} } } //if ((cs[0].Strag is ProbWaveSelectStragClass) == false) //{ foreach (string key in NoCloseChances.Keys) { ExchangeChance <T> ec = new ExchangeChance <T>(es, NoCloseChances[key].Strag, NoCloseChances[key].Chance.ExpectCode, testData.LastData.Expect, NoCloseChances[key].Chance); //交易 if (ec.OccurStrag is ProbWaveSelectStragClass) //对于ProbWaveSelectStragClass,一开始就计算好了Amount { ProbWaveSelectStragClass strag = ec.OccurStrag as ProbWaveSelectStragClass; if (!strag.UseAmountList().ContainsKey(testData.LastData.Expect)) { Int64 AllAmt = (ec.OccurStrag as BaseObjectsLib.ISpecAmount).getChipAmount(es.summary, ec.OwnerChance, ec.OccurStrag.CommSetting.GetGlobalSetting().DefaultHoldAmtSerials); Int64 ChipAmt = (Int64)Math.Floor((double)AllAmt / NoCloseChances.Count); ec.ExchangeAmount = ChipAmt; ec.ExchangeRate = ChipAmt / es.summary; if (!strag.UseAmountList().ContainsKey(testData.LastData.Expect)) { strag.UseAmountList().Add(testData.LastData.Expect, ChipAmt); } } else { ec.ExchangeAmount = strag.UseAmountList()[testData.LastData.Expect]; } } bool Suc = es.Push(ref ec); if (Suc) { NewExchangeRecord.Add(ec.Id, ec); } } //} testIndex++; } } return(ret); }
private void tsmi_refreshPlans_Click(object sender, EventArgs e) { ToolStripMenuItem menu = sender as ToolStripMenuItem; string sort = null; try { // menu.Owner DataGridView dg = (menu.Owner as ContextMenuStrip).SourceControl as DataGridView; if (dg == null) { return; } if (UseSetting == null) { return; } DataTable dt = null; if (dg.Equals(this.dg_stragStatus)) { dt = StragRunPlanClass <TimeSerialData> .ToTable <StragRunPlanClass <TimeSerialData> >(UseSetting.AllRunPlannings.Values.ToList <StragRunPlanClass <TimeSerialData> >()); } else if (dg.Equals(this.dg_NoCloseChances)) { //DbChanceList<T> dc = new PK10ExpectReader().getNoCloseChances<T>(null); DbChanceList <T> dc = exread.getNoCloseChances <T>(null); if (dc == null) { return; } dt = dc.Table; } else if (dg.Equals(this.dg_CloseChances)) { //DbChanceList<T> dc = new PK10ExpectReader().getNoCloseChances<T>(null); DbChanceList <T> dc = exread.getClosedChances <T>(null, 2); if (dc == null) { return; } dt = dc.Table; sort = "chanceindex desc"; } else if (dg.Equals(this.dg_baseData)) { RefreshPK10Data(); } else if (dg.Equals(this.dg_ExchangeList)) { RefrshStragAndPlan(true); } else if (dg.Equals(this.dg_LoginList)) { RefreshLogData(true); } else if (dg.Equals(this.dg_StragList)) { dt = BaseStragClass <TimeSerialData> .ToTable <BaseStragClass <TimeSerialData> >(UseSetting.AllStrags.Values.ToList <BaseStragClass <TimeSerialData> >()); } if (dt == null) { return; } SetDataGridDataTable(dg, dt, sort); } catch (Exception ce) { string msg = ce.Message; } }
void RefrshStragAndPlan(bool ForceRefresh = false) { try { if (UseSetting == null) { return; } DataTable dt_strag = BaseStragClass <TimeSerialData> .ToTable <BaseStragClass <TimeSerialData> >(UseSetting.AllStrags.Values.ToList <BaseStragClass <TimeSerialData> >()); if (dt_strag != null) { SetDataGridDataTable(dg_StragList, dt_strag); } DataTable dt_plans = StragRunPlanClass <TimeSerialData> .ToTable <StragRunPlanClass <TimeSerialData> >(UseSetting.AllRunPlannings.Values.ToList <StragRunPlanClass <TimeSerialData> >()); if (dt_plans != null) { SetDataGridDataTable(dg_stragStatus, dt_plans); } DataTable dt_grps = CalcStragGroupClass <TimeSerialData> .ToTable <CalcStragGroupClass <TimeSerialData> >(UseSetting.AllRunningPlanGrps.Values.ToList <CalcStragGroupClass <TimeSerialData> >()); if (dt_grps != null) { SetDataGridDataTable(dg_PlanGrps, dt_grps); } DataTable dt_assetunit = AssetUnitClass.ToTable <AssetUnitClass>(UseSetting.AllAssetUnits.Values.ToList <AssetUnitClass>()); if (dt_assetunit != null) { SetDataGridDataTable(dg_AssetUnits, dt_assetunit); } DataTable dt_exchange = null; foreach (AssetUnitClass auc in UseSetting.AllAssetUnits.Values) { ExchangeService ed = auc.getCurrExchangeServer(); if (ed == null) { //MessageBox.Show(string.Format("{0}资产单元交易服务为空!", auc.UnitName)); continue; } DataTable assetdt = ed.ExchangeDetail; if (assetdt == null) { //MessageBox.Show(string.Format("{0}资产单元交易记录为空!", auc.UnitName)); continue; } //MessageBox.Show(string.Format("{0}有新交易记录{1}条!列数:{2}", auc.UnitName, assetdt.Rows.Count,assetdt.Columns.Count)); if (assetdt != null) { if (dt_exchange == null) { dt_exchange = assetdt.Clone(); } for (int i = 0; i < assetdt.Rows.Count; i++) { dt_exchange.Rows.Add(assetdt.Rows[i].ItemArray); } } } //MessageBox.Show(dt_exchange.Rows.Count.ToString()); if (dt_exchange != null) { SetDataGridDataTable(dg_ExchangeList, dt_exchange, "createtime desc"); } if (UseSetting.AllAssetUnits != null) { lock (UseSetting.AllAssetUnits) { refresh_AssetChart(); } } } catch (Exception e) { string msg = string.Format("{0}:{1}", e.Message, e.StackTrace); if (ForceRefresh) { MessageBox.Show(msg); } } }
public Dictionary <string, ChanceClass <T> > CloseTheChances(bool IsTestBack, bool ForceCloseAllData = false) { List <ChanceClass <T> > cl = new List <ChanceClass <T> >(); DateTime currTime = DateTime.Now; Dictionary <string, ChanceClass <T> > CloseList = new Dictionary <string, ChanceClass <T> >(); if (IsTestBack)//如果回测,使用内存数据 { cl = Program.AllServiceConfig.AllNoClosedChanceList.Values.Select(a => a).ToList() as List <ChanceClass <T> >; } else//非回测,使用数据库数据ReadDataTableName { //DbChanceList<T> dcl = new PK10ExpectReader().getNoCloseChances<T>(null); DbChanceList <T> dcl = DataReaderBuild.CreateReader(DataPoint.DataType, ReadDataTableName, Codes).getNoCloseChances <T>(null); //必须强制按数据库中存储的策略id,获取到策略的机会类型 foreach (var dc in dcl.Values) { if (!Program.AllServiceConfig.AllStrags.ContainsKey(dc.StragId))//策略未找到数据库中存储的机会所产生的策略 { continue; } if (DataPoint.DataType == "PK10") { cl.Add(dc); } else { BaseStragClass <TimeSerialData> sc = Program.AllServiceConfig.AllStrags[dc.StragId]; Type ct = sc.getTheChanceType(); object tmp = Activator.CreateInstance(ct); if (DataPoint.IsXxY == 1) { (tmp as iXxYClass).AllNums = DataPoint.AllNums; (tmp as iXxYClass).SelectNums = DataPoint.SelectNums; (tmp as iXxYClass).strAllTypeBaseOdds = DataPoint.strAllTypeOdds; (tmp as iXxYClass).strCombinTypeBaseOdds = DataPoint.strCombinTypeOdds; (tmp as iXxYClass).strPermutTypeBaseOdds = DataPoint.strPermutTypeOdds; } Log("转换前机会类型", string.Format("{0}", tmp.GetType())); dc.FillTo(ref tmp, true); //获取所有属性 ChanceClass <T> cc = tmp as ChanceClass <T>; Log("转换后机会类型", string.Format("{0}:{1}:{2}", cc.GetType(), cc.StragId, cc.ChanceCode)); // cc.ToDetailString())); cl.Add(cc); } //cl = dcl.Values.ToList(); } } Dictionary <string, ChanceClass <T> > rl = new Dictionary <string, ChanceClass <T> >(); if (cl.Count > 0) { Log("未关闭机会列表数量为", string.Format("{0}", cl.Count)); } //2019/4/22日出现错过732497,732496两期记录错过,但是732498却收到的情况,同时,正好在732498多次重复策略正好开出结束,因错过2期导致一直未归零, //一直长时间追号开出近60期 //为避免出现这种情况 //判断是否错过了期数,如果错过期数,将所有追踪策略归零,不再追号,也不再执行选号程序, //是否要连续停几期?执行完后,在接收策略里面发现前10期有不连续的情况,直接跳过,只接收数据不执行选号。 this.CurrData.UseType = this.DataPoint; if (this.CurrData.MissExpectCount() > 1) { if (!IsTestBack) //如果非回测,保存交易记录 { DbChanceList <T> dbsavelist = new DbChanceList <T>(); cl.ForEach(p => dbsavelist.Add(p.ChanceIndex, p)); CloseChanceInDBAndExchangeService(dbsavelist, true);//强制关闭,就算命中也不算其盈利 } return(rl); } for (int i = 0; i < cl.Count; i++) { string sGUId = cl[i].StragId; if (sGUId == null || !Program.AllServiceConfig.AllStrags.ContainsKey(sGUId)) //如果策略已注销,立即关闭机会 { if (cl[i].Tracerable) //如果是自我跟踪机会,不理会,让它自己去跟踪 { } else { CloseList.Add(cl[i].GUID, cl[i]); //cl.Remove(cl[i].ChanceIndex); Log("强制结束机会", string.Format("该机会所属策略已经注销,并且该机会是非跟踪机会!{0}", cl[i].ChanceCode)); continue; } } List <string> AllUsePans = Program.AllServiceConfig.AllRunningPlanGrps.SelectMany(a => a.Value.UseSPlans.Select(t => t.PlanStrag.GUID)).ToList <string>(); if (!AllUsePans.Contains(sGUId))//不在执行的计划内 { if (cl[i].Tracerable) { } else { CloseList.Add(cl[i].GUID, cl[i]); Log("强制结束机会", string.Format("不存在绑定该机会所属策略的计划,并且该机会是非跟踪机会!{0}", cl[i].ChanceCode)); continue; } } //如果策略已经超出时间 List <string> StopedPlans = Program.AllServiceConfig.AllRunningPlanGrps.SelectMany(a => a.Value.UseSPlans.Where(t => (InitServerClass.JudgeInRunTime(currTime, t) == false))).Select(a => a.GUID).ToList <string>(); if (!IsTestBack) { if (StopedPlans.Contains(sGUId))//停止的计划产生的机会 { if (cl[i].Tracerable) { } else { Log("强制结束机会", string.Format("该机会所属策略超出计划运行时间!{0}", cl[i].ChanceCode)); CloseList.Add(cl[i].GUID, cl[i]); continue; } } } StopedPlans = Program.AllServiceConfig.AllRunningPlanGrps.SelectMany(a => a.Value.UseSPlans.Where(t => (t.Running == false))).Select(a => a.GUID).ToList <string>(); if (StopedPlans.Contains(sGUId))//停止的计划产生的机会 { if (cl[i].Tracerable) { } else { Log("强制结束机会", string.Format("该机会所属策略的计划状态为停止!{0}", cl[i].ChanceCode)); CloseList.Add(cl[i].GUID, cl[i]); continue; } } //如果策略已经停止 //获得策略 BaseStragClass <T> sc = Program.AllServiceConfig.AllStrags[sGUId] as BaseStragClass <T>; int mcnt = 0; bool Matched = cl[i].Matched(CurrData, out mcnt); cl[i].MatchChips += mcnt; if (sc is ITraceChance)//优先关闭程序跟踪 { cl[i].Closed = (sc as ITraceChance).CheckNeedEndTheChance(cl[i], Matched); } else { cl[i].Closed = Matched; } if (cl[i].Tracerable && Matched)//如果是策略自我跟踪,无论其策略是否是跟踪策略,先关了。 { cl[i].Closed = true; } //////if (cl[i].MaxHoldTimeCnt > 0 && cl[i].HoldTimeCnt == cl[i].MaxHoldTimeCnt) //////{ ////// cl[i].Closed = true; //////} if (cl[i].Closed)//如果已经关闭 { CloseList.Add(cl[i].GUID, cl[i]); continue; } rl.Add(cl[i].GUID, cl[i]); } //Log("结束机会", "所有非法,以及命中并确认需要结束的机会"); if (!IsTestBack) //如果非回测,保存交易记录 { DbChanceList <T> dbsavelist = new DbChanceList <T>(); CloseList.Values.ToList <ChanceClass <T> >().ForEach(p => { if (p != null) { dbsavelist.Add(p.ChanceIndex, p); } }); CloseChanceInDBAndExchangeService(dbsavelist); } return(rl); }
public void Run(DataTypePoint dtp, ExpectList <T> testData, BaseStragClass <T> teststrag, ref List <ChanceClass <T> > ChanceList, ref Dictionary <string, ChanceClass <T> > NoCloseChances, ref Dictionary <int, int> HoldCntDic) { tmpChances = new Dictionary <string, ChanceClass <T> >(); if (ChanceList == null) { ChanceList = new List <ChanceClass <T> >(); } BaseCollection <T> sc = new ExpectListProcessBuilder <T>(dtp, testData).getProcess().getSerialData(teststrag.ReviewExpectCnt, teststrag.BySer); foreach (string key in NoCloseChances.Keys) { ChanceClass <T> cc = NoCloseChances[key]; if (cc.Closed == false) { int matchcnt = 0; if (teststrag.GetRev) //如果求相反组合 { if (cc.Matched(testData.LastData, out matchcnt, true)) //不关闭 { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } } if (cc.Matched(testData.LastData, out matchcnt, false))//如果用相反组合,不改变真正关闭 { cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; if (!teststrag.GetRev)//只有不求相反值的情况下,才赋持有是次数 { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } cc.MatchChips = matchcnt; cc.UpdateTime = testData.LastData.OpenTime; ChanceList.Add(cc); int HCnt = 1; if (HoldCntDic == null) { HoldCntDic = new Dictionary <int, int>(); } if (HoldCntDic.ContainsKey(cc.HoldTimeCnt)) { HCnt = HoldCntDic[cc.HoldTimeCnt]; HCnt++; HoldCntDic[cc.HoldTimeCnt] = HCnt; } else { HoldCntDic.Add(cc.HoldTimeCnt, 1); } } else { tmpChances.Add(key, cc); } } } //List<ChanceClass<T>> cs = teststrag.getChances(testData); List <ChanceClass <T> > cs = teststrag.getChances(sc, testData.LastData); if (ChanceList == null) { ChanceList = new List <ChanceClass <T> >(); } //ret.ChanceList.AddRange(cs); NoCloseChances = new Dictionary <string, ChanceClass <T> >(); foreach (string key in tmpChances.Keys) { ChanceClass <T> cc = tmpChances[key]; NoCloseChances.Add(key, cc); } for (int i = 0; i < cs.Count; i++) { //string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode); string key = string.Format("{0}", cs[i].ChanceCode); if (NoCloseChances.ContainsKey(key)) { if (teststrag.AllowRepeat) { string test = key; //NoCloseChances.Add(key, cs[i]); } } else { NoCloseChances.Add(key, cs[i]); } } }
public ExchanceReuslt Run(ExpectList <T> testData, BaseStragClass <T> teststrag) { return(null); }
/// <summary> /// 初始化计划,将数据类型和运算类型相同的计划分组 /// </summary> public static Dictionary <string, CalcStragGroupClass <T> > InitCalcStrags <T>(DataTypePoint dpt, ref Dictionary <string, CalcStragGroupClass <T> > AllStatusStrags, Dictionary <string, BaseStragClass <T> > AllStrags, Dictionary <string, StragRunPlanClass <T> > list, Dictionary <string, AssetUnitClass> AssetUnits, bool StartTheAuto, bool IsBackTest) where T : TimeSerialData { if (AllStatusStrags == null) { AllStatusStrags = new Dictionary <string, CalcStragGroupClass <T> >(); } foreach (string key in list.Keys) //按相同类型+视图分类,相同类分在一组 { StragRunPlanClass <T> spc = list[key]; if (AllStatusStrags.SelectMany(t => t.Value.UseSPlans.Select(a => a.GUID)).Contains(key))//支持后续加入计划,只要状态合适都可以加入 { continue; } if (!AllStrags.ContainsKey(spc.PlanStrag.GUID)) { ToLog(string.Format("计划{0}非法", spc.PlanStrag.StragScript), "计划所对应策略已注销"); continue; } BaseStragClass <T> sc = AllStrags[spc.PlanStrag.GUID]; spc.PlanStrag = sc; if (spc.AssetUnitInfo != null)//分配资产单元号 { sc.AssetUnitId = spc.AssetUnitInfo.UnitId; } ///更新为首先按数据源分类,然后按类和视图分类 //string strModel = "Type_{0}_ViewBySerial_{1}";//按类和数据视图分类 //string strKey = string.Format(strModel, sc.GetType().Name, sc.BySer); string strModel = "DS_{2}Type_{0}_ViewBySerial_{1}";//更新为首先按数据源分类,然后按类和视图分类 string strKey = string.Format(strModel, sc.GetType().Name, sc.BySer, spc.UseDataSource); if (!IsBackTest) { if (spc.ExpiredTime < DateTime.Now) { ToLog("计划时间不匹配", "超过计划过期时间"); continue; } if (!JudgeInRunTime(DateTime.Now, spc))//没在指定运行时间内,跳过 { ToLog("计划时间不匹配", "未在指定时间区间内"); continue; } } if (StartTheAuto)//如果第一次运行,将此标志设为真,将自动启动策略 { spc.Running = spc.AutoRunning; } if (!spc.Running && !IsBackTest) { continue; } if (spc.UseDataSource != dpt.DataType && !IsBackTest) { ToLog("计划不属于使用的数据源", strKey); continue; } CalcStragGroupClass <T> csg = null; if (!AllStatusStrags.ContainsKey(strKey) || IsBackTest) { if (GlobalClass.TypeDataPoints.ContainsKey(spc.UseDataSource) || IsBackTest)//如果计划不属于数据源,不加载 { csg = new CalcStragGroupClass <T>(GlobalClass.TypeDataPoints[spc.UseDataSource]); if (!AllStatusStrags.ContainsKey(strKey)) { AllStatusStrags.Add(strKey, csg); } } } if (!AllStatusStrags.ContainsKey(strKey)) { ToLog("计划未登记!", strKey); continue; } csg = AllStatusStrags[strKey]; if (spc.AssetUnitInfo != null)//必须加资产单元信息 { string uid = spc.AssetUnitInfo.UnitId; if (AssetUnits.ContainsKey(uid)) { if (!csg.UseAssetUnits.ContainsKey(uid)) { csg.UseAssetUnits.Add(uid, AssetUnits[uid]); //注意,一定是要用全局设置的单元资产,才有动态的金额等信息 } } else { ToLog("计划资产单元不匹配", "计划所属资产单元不存在"); } } //csg = AllStatusStrags[strKey]; csg.UseSPlans.Add(spc); ToLog("加入计划", spc.StragDescript); csg.UseStrags.Add(sc.GUID, sc); csg.UseSerial = sc.BySer; //ToLog("初始化待计算的计划", string.Format("准备运行的计划数为:{0};", AllStatusStrags.Count)); } return(AllStatusStrags); }
public StragChance(BaseStragClass <T> _Strag, ChanceClass <T> _Chance) { Strag = _Strag; Chance = _Chance; }