/// <summary>
/// 添加新行情。
/// </summary>
/// <param name="bCalcImmediately" default=false>是否立即进行指标计算</param>
/// <returns>
/// true: 成功
/// false: 失败，原因指标对象可能未初始化
/// </returns>
public override bool AppendMD(MarketDetph md, bool bCalcImmediately)
{
// 预处理深度行情，并缓存到未算深度行情队列中。
base.AppendMD(md, bCalcImmediately);
// 请在这里填写实现代码。
ma.AppendMD(md, bCalcImmediately);
macd.AppendMD(md, bCalcImmediately);
string[] timesplit = md.updateTime.Split(':');
if (Int32.Parse(timesplit[2]) < 1)
{
InputOrder req = new InputOrder();
req.InstrumentID = md.instrumentId;
req.Qty = 1;
req.Price = md.latestPrice;
req.Hedge = '0';
req.IsMarket = false;
if (Int32.Parse(timesplit[1]) > 30)
{
req.Direction = '0';
req.OpenClose = '0';
}
else
{
req.Direction = '1';
req.OpenClose = '1';
}
ReqOrderInsert(req);
}
// 是否需要立即进行指标计算。
if (bCalcImmediately)
{
return(CalculateMDIndicator());
}
else
{
return(true);
}
}
/// <summary>
/// 添加新行情。
/// </summary>
/// <param name="bCalcImmediately" default=false>是否立即进行指标计算</param>
/// <returns>
/// true: 成功
/// false: 失败，原因指标对象可能未初始化
/// </returns>
public override bool AppendMD(MarketDetph md, bool bCalcImmediately)
{
// 预处理深度行情，并缓存到未算深度行情队列中。
base.AppendMD(md, bCalcImmediately);
// 请在这里填写实现代码。
// 是否需要立即进行指标计算。
if (bCalcImmediately)
{
return(Calculate());
}
else
{
return(true);
}
}
//将xml字符串转换成行情MarketDetph结构
public void Transfer(string strXml, ref MarketDetph md)
{
XmlDocument doc = new XmlDocument();
doc.LoadXml(strXml);
//取得节点名为Q的XmlNode集合
XmlNodeList xxList = doc.GetElementsByTagName("Q");
foreach (XmlNode xxNode in xxList)
{
XmlNodeList childList = xxNode.ChildNodes;
//取得InstrumentID下的子节点集合
foreach (XmlNode xxxxNode in xxList)
{
// 合约ID
md.instrumentId = xxxxNode.Attributes["InstrumentID"].Value;
// 交易所ID
md.exchangeId = xxxxNode.Attributes["ExchangeID"].Value;
// 交易日
md.tradingday = xxxxNode.Attributes["TradingDay"].Value;
// 更新时间
md.updateTime = xxxxNode.Attributes["UpdateTime"].Value;
// 更新毫秒
md.updateMS = Int32.Parse(xxxxNode.Attributes["UpdateMillisec"].Value);
// 最新价
string szTemp = xxxxNode.Attributes["LastPrice"].Value;
if (szTemp.Length == 0)
{
md.latestPrice = CommonDef.dInvalidValue;
}
else
{
md.latestPrice = double.Parse(xxxxNode.Attributes["LastPrice"].Value);
}
// 开盘价
szTemp = xxxxNode.Attributes["OpenPrice"].Value;
if (szTemp.Length == 0)
{
md.open = CommonDef.dInvalidValue;
}
else
{
md.open = double.Parse(xxxxNode.Attributes["OpenPrice"].Value);
}
// 最高价
szTemp = xxxxNode.Attributes["HighestPrice"].Value;
if (szTemp.Length == 0)
{
md.high = CommonDef.dInvalidValue;
}
else
{
md.high = double.Parse(xxxxNode.Attributes["HighestPrice"].Value);
}
// 最低价
szTemp = xxxxNode.Attributes["LowestPrice"].Value;
if (szTemp.Length == 0)
{
md.low = CommonDef.dInvalidValue;
}
else
{
md.low = double.Parse(xxxxNode.Attributes["LowestPrice"].Value);
}
// 现量
md.latestVol = Int32.Parse(xxxxNode.Attributes["Volume"].Value);
// 持仓量
szTemp = xxxxNode.Attributes["LowestPrice"].Value;
if (szTemp.Length == 0)
{
md.low = CommonDef.iInvalidValue;
}
else
{
md.openInt = (int)double.Parse(xxxxNode.Attributes["OpenInterest"].Value);
}
// 收盘价
szTemp = xxxxNode.Attributes["ClosePrice"].Value;
if (szTemp.Length == 0)
{
md.todayClosePrice = CommonDef.dInvalidValue;
}
else
{
md.todayClosePrice = double.Parse(xxxxNode.Attributes["ClosePrice"].Value);
}
// 成交金额
szTemp = xxxxNode.Attributes["Turnover"].Value;
if (szTemp.Length == 0)
{
md.turnover = CommonDef.dInvalidValue;
}
else
{
md.turnover = double.Parse(xxxxNode.Attributes["Turnover"].Value);
}
// 均价
szTemp = xxxxNode.Attributes["AveragePrice"].Value;
if (szTemp.Length == 0)
{
md.avgLatestPrice = CommonDef.dInvalidValue;
}
else
{
md.avgLatestPrice = double.Parse(xxxxNode.Attributes["AveragePrice"].Value);
}
// 昨结算价
szTemp = xxxxNode.Attributes["PreSettlementPrice"].Value;
if (szTemp.Length == 0)
{
md.preSettlementPrice = CommonDef.dInvalidValue;
}
else
{
md.preSettlementPrice = double.Parse(xxxxNode.Attributes["PreSettlementPrice"].Value);
}
// 昨收价
szTemp = xxxxNode.Attributes["PreClosePrice"].Value;
if (szTemp.Length == 0)
{
md.yesterdayClosePrice = CommonDef.dInvalidValue;
}
else
{
md.yesterdayClosePrice = double.Parse(xxxxNode.Attributes["PreClosePrice"].Value);
}
// 昨持仓量
md.yesterdayOpenInt = (int)double.Parse(xxxxNode.Attributes["PreOpenInterest"].Value);
// 结算价
szTemp = xxxxNode.Attributes["SettlementPrice"].Value;
if (szTemp.Length == 0)
{
md.settlementPrice = CommonDef.dInvalidValue;
}
else
{
md.settlementPrice = double.Parse(xxxxNode.Attributes["SettlementPrice"].Value);
}
// 涨停价
szTemp = xxxxNode.Attributes["UpperLimitPrice"].Value;
if (szTemp.Length == 0)
{
md.upperLimitPrice = CommonDef.dInvalidValue;
}
else
{
md.upperLimitPrice = double.Parse(xxxxNode.Attributes["UpperLimitPrice"].Value);
}
// 跌停价
szTemp = xxxxNode.Attributes["LowerLimitPrice"].Value;
if (szTemp.Length == 0)
{
md.lowerLimitPrice = CommonDef.dInvalidValue;
}
else
{
md.lowerLimitPrice = double.Parse(xxxxNode.Attributes["LowerLimitPrice"].Value);
}
// 买一价
szTemp = xxxxNode.Attributes["BidPrice1"].Value;
if (szTemp.Length == 0)
{
md.bidPrice1 = CommonDef.dInvalidValue;
}
else
{
md.bidPrice1 = double.Parse(xxxxNode.Attributes["BidPrice1"].Value);
}
// 卖一量
md.bidVol1 = Int32.Parse(xxxxNode.Attributes["BidVolume1"].Value);
// 卖一价
szTemp = xxxxNode.Attributes["AskPrice1"].Value;
if (szTemp.Length == 0)
{
md.askPrice1 = CommonDef.dInvalidValue;
}
else
{
md.askPrice1 = double.Parse(xxxxNode.Attributes["AskPrice1"].Value);
}
// 卖一量
md.askVol1 = Int32.Parse(xxxxNode.Attributes["AskVolume1"].Value);
// 买二价
//md.bidPrice2 = double.Parse(xxxxNode.Attributes["BidPrice2"].Value);
// 买二量
//md.bidVol2 = Int32.Parse(xxxxNode.Attributes["BidVolume2"].Value);
// 卖二价
//md.askPrice2 = double.Parse(xxxxNode.Attributes["AskPrice2"].Value);
// 卖二量
//md.askVol2 = Int32.Parse(xxxxNode.Attributes["AskVolume2"].Value);
// 买三价
//md.bidPrice3 = double.Parse(xxxxNode.Attributes["BidPrice3"].Value);
// 买三量
//md.bidVol3 = Int32.Parse(xxxxNode.Attributes["BidVolume3"].Value);
// 卖三价
//md.askPrice3 = double.Parse(xxxxNode.Attributes["AskPrice3"].Value);
// 卖三量
//md.askVol3 = Int32.Parse(xxxxNode.Attributes["AskVolume3"].Value);
// 买四价
//md.bidPrice4 = double.Parse(xxxxNode.Attributes["BidPrice4"].Value);
// 买四量
//md.bidVol4 = Int32.Parse(xxxxNode.Attributes["BidVolume4"].Value);
// 卖四价
//md.askPrice4 = double.Parse(xxxxNode.Attributes["AskPrice4"].Value);
// 卖四量
//md.askVol4 = Int32.Parse(xxxxNode.Attributes["AskVolume4"].Value);
// 买五价
//md.bidPrice5 = double.Parse(xxxxNode.Attributes["BidPrice5"].Value);
// 买五量
//md.bidVol5 = Int32.Parse(xxxxNode.Attributes["BidVolume5"].Value);
// 卖五价
//md.askPrice5 = double.Parse(xxxxNode.Attributes["AskPrice5"].Value);
// 卖五量
//md.askVol5 = Int32.Parse(xxxxNode.Attributes["AskVolume5"].Value);
}
}
}
virtual public bool AppendMD(MarketDetph md, bool bCalcImmediately)
{
return true;
}
virtual public bool OnMarketDepth(MarketDetph md)
{
DebugOut("Call CStrategy Function AppendMD from MainForm Successfully");
return(true);
}
virtual public bool OnMarketDepth(MarketDetph md)
{
return(true);
}
/* 参数格式
* const string arg =
* "<strategy><strategyName>MATrend</strategyName>" +
* "<traderName>0003</traderName>" +
* "<parameter>" +
* "<strategy id=\'MATrend\' name=\'均线穿越\' version=\'1.0\'>" +
* "<description>这是关于MATrend策略的描述</description>" +
* "<params>" +
* "<param type=\'int\' name=\'p1\' direction=\'INOUT\' appearmode=\'文本框\' readonly=\'False\' title=\'策略参数一\' default=\'1\'></param>" +
* "<param type=\'double\' name=\'p2\' direction=\'INOUT\' appearmode=\'文本框\' readonly=\'False\' title=\'策略参数二\' default=\'1.5\'></param>" +
* "</params>" +
* "</strategy>" +
* "</parameter>" +
* "<instrument>IF1404</instrument>" +
* "<sessionID>10000</sessionID>" +
* "<frontID>20000</frontID>" +
* "<orderRef>1</orderRef>" +
* "<startTimer>1</startTimer>" +
* "<timerSpan>100</timerSpan>" +
* "</strategy>";
*/
static void Main(string[] args)
{
/*参数判断*/
if (args.Length <= 0)
{
Console.WriteLine("没有传入参数");
Console.ReadLine();
return;
}
if (args.Length > 0)
{
Console.WriteLine("传入的参数为：\n{0}", args[0]);
}
string hostName = System.Reflection.Assembly.GetExecutingAssembly().Location;
hostName = hostName.Substring(0, hostName.LastIndexOf('\\')) + "\\config.ini";
CommonDef.IP = IniReadString(hostName, "IP", "Redis_IP");
CommonDef.Port = Convert.ToInt32(IniReadString(hostName, "Port", "Redis_Port"));
StrategyInfo strategyInfo = StrategyInfo.getInstence();
XmlOpr.AnalyzeXmlParam(args[0], ref strategyInfo);
Redis_Publish = new RedisClient(CommonDef.IP, CommonDef.Port);
Redis_Subscribe = new RedisClient(CommonDef.IP, CommonDef.Port);
string szDllName = RunSingleStrategy.StrategyInfo.StrategyName + ".dll";
//动态加载策略程序集DLL
Assembly ass = Assembly.LoadFrom(szDllName);
Type type = ass.GetType(CommonDef.FoctoryType);
//创建工厂实例
Object oFactory = System.Activator.CreateInstance(type);
string logPath = hostName.Substring(0, hostName.LastIndexOf('\\')) + "\\" + RunSingleStrategy.StrategyInfo.StrategyName + "_log.txt";
Log.PathFile = logPath;
Log.SaveLog = true;
//获取函数
MethodInfo mi = type.GetMethod(CommonDef.FoctoryMethod);
//创建策略实例
Strategy = (CStrategy)mi.Invoke(oFactory, ParseParams.ParseStrategyParams(StrategyInfo.Parameter));
//定义接口对象
IOrderServiceEx orderService = new IOrderServiceEx(Redis_Publish);
//用接口实例初始化策略
Strategy.ResetOrderService(orderService);
Strategy.Initialize(RunSingleStrategy.StrategyInfo.Instruments.ToArray());
Strategy.InitIndicators(RunSingleStrategy.StrategyInfo.Instruments.ToArray());
//创建定时器
Timer_HeartBeat = new System.Timers.Timer();
Timer_HeartBeat.Elapsed += new System.Timers.ElapsedEventHandler(timer_Tick);
Timer_HeartBeat.Interval = 5000;
Timer_HeartBeat.AutoReset = true; //设置是执行一次（false）还是一直执行(true)；
Timer_HeartBeat.Enabled = true; //是否执行System.Timers.Timer.Elapsed事件；
//创建策略定时器
if (Int32.Parse(RunSingleStrategy.StrategyInfo.StartTimer) == 1)
{
Timer_Strategy = new System.Timers.Timer();
Timer_Strategy.Elapsed += new System.Timers.ElapsedEventHandler(timer_Strategy_Tick);
Timer_Strategy.Interval = Int32.Parse(RunSingleStrategy.StrategyInfo.TimerSpan) * 1000;
Timer_Strategy.AutoReset = true;
Timer_Strategy.Enabled = true;
}
//创建线程类
int _NewThreadId = GetCurrentThreadId();
SubPubThread spThread = new SubPubThread(_NewThreadId, Redis_Subscribe);
Thread thread = new Thread(new ThreadStart(spThread.TreadProc));
thread.Name = "PubSub";
thread.Start();
//消息处理
tagMSG msg = new tagMSG();
while (GetMessage(ref msg, 0, 0, 0) > 0)
{
if (msg.message == CommonDef.WM_USER)
{
List <string> refEventList = new List <string>();
EventList.GetItem(ref refEventList);
if (refEventList.Count == 0)
{
continue;
}
foreach (string strItem in refEventList)
{
string strStyle = XmlOpr.GetType(strItem);
string strValue = null;
if (strStyle.Equals("UR"))
{
//交易员是否离线
strValue = XmlOpr.GetVaule(strItem, "online");
if (strValue.Equals("on"))
{
Log.Out("交易员在线");
}
else if (strValue.Equals("off"))
{
Log.Out("交易员离线");
}
}
else if (strStyle.Equals("SR"))
{
//策略启用停用
strValue = XmlOpr.GetVaule(strItem, "run");
if (strValue.Equals("run"))
{
Log.Out("策略启用");
}
else if (strValue.Equals("stop"))
{
Log.Out("策略停用");
//退出子线程
Redis_Subscribe.UnSubscribe(CommonDef.subscribeChannels.ToArray());
System.Threading.Thread.Sleep(1000);
//退出进程
break;
}
}
else if (strStyle.Equals("SIR"))
{
//策略实例启用停用
if (strValue.Equals("run"))
{
Log.Out("策略实例启用");
CommonDef.StrategyInstenceStatus = true;
}
else if (strValue.Equals("stop"))
{
Log.Out("策略实例停用");
CommonDef.StrategyInstenceStatus = false;
}
}
else if (strStyle.Equals("Q"))
{
//行情
MarketDetph md = new MarketDetph();
XmlOpr.Transfer(strItem, ref md);
Strategy.AppendMD(md, true);
}
else if (strStyle.Equals("O"))
{
Log.Out("报单:" + strItem);
//报单
OrderInfo order = new OrderInfo();
XmlOpr.Transfer(strItem, ref order);
Strategy.OnOrder(order);
}
else if (strStyle.Equals("T"))
{
Log.Out("成交:" + strItem);
//成交
TradeInfo trade = new TradeInfo();
XmlOpr.Transfer(strItem, ref trade);
Strategy.OnTrade(trade);
}
else if (strStyle.Equals("OI"))
{
Log.Out("下单错误返回:" + strItem);
//下单错误返回
OrderInfo orderError = new OrderInfo();
XmlOpr.Transfer(strItem, ref orderError);
Strategy.OnOrderError(orderError);
}
else if (strStyle.Equals("OA"))
{
Log.Out("撤单错误返回:" + strItem);
//撤单错误返回
ActionInput actionInput = new ActionInput();
XmlOpr.Transfer(strItem, ref actionInput);
Strategy.OnOrderAction(actionInput);
}
}
}
}
}
virtual public bool AppendMD(MarketDetph md, bool bCalcImmediately)
{
DebugOut("Call CStrategy Function AppendMD from MainForm Successfully");
return(true);
}