public SimulationPlateMonitor(IProvider provider, string eastMoneyPath, PlateMonitorForm monitorForm)
: base(eastMoneyPath, monitorForm)
{
if (provider is SimulationDataProvider)
{
this.sdProvider = (SimulationDataProvider)provider;
}
}
private void doAnalysis(object sender, DoWorkEventArgs e)
{
AnalysisParameters analysisParameters = e.Argument as AnalysisParameters;
pidList = null;
TunerNodeType tunerNodeType;
TuningSpec tuningSpec;
SatelliteFrequency satelliteFrequency = analysisParameters.ScanningFrequency as SatelliteFrequency;
if (satelliteFrequency != null)
{
tunerNodeType = TunerNodeType.Satellite;
tuningSpec = new TuningSpec((Satellite)satelliteFrequency.Provider, satelliteFrequency);
}
else
{
TerrestrialFrequency terrestrialFrequency = analysisParameters.ScanningFrequency as TerrestrialFrequency;
if (terrestrialFrequency != null)
{
tunerNodeType = TunerNodeType.Terrestrial;
tuningSpec = new TuningSpec(terrestrialFrequency);
}
else
{
CableFrequency cableFrequency = analysisParameters.ScanningFrequency as CableFrequency;
if (cableFrequency != null)
{
tunerNodeType = TunerNodeType.Cable;
tuningSpec = new TuningSpec(cableFrequency);
}
else
{
AtscFrequency atscFrequency = analysisParameters.ScanningFrequency as AtscFrequency;
if (atscFrequency != null)
{
if (atscFrequency.TunerType == TunerType.ATSC)
{
tunerNodeType = TunerNodeType.ATSC;
}
else
{
tunerNodeType = TunerNodeType.Cable;
}
tuningSpec = new TuningSpec(atscFrequency);
}
else
{
ClearQamFrequency clearQamFrequency = analysisParameters.ScanningFrequency as ClearQamFrequency;
if (clearQamFrequency != null)
{
tunerNodeType = TunerNodeType.Cable;
tuningSpec = new TuningSpec(clearQamFrequency);
}
else
{
ISDBSatelliteFrequency isdbSatelliteFrequency = analysisParameters.ScanningFrequency as ISDBSatelliteFrequency;
if (isdbSatelliteFrequency != null)
{
tunerNodeType = TunerNodeType.ISDBS;
tuningSpec = new TuningSpec((Satellite)satelliteFrequency.Provider, isdbSatelliteFrequency);
}
else
{
ISDBTerrestrialFrequency isdbTerrestrialFrequency = analysisParameters.ScanningFrequency as ISDBTerrestrialFrequency;
if (isdbTerrestrialFrequency != null)
{
tunerNodeType = TunerNodeType.ISDBT;
tuningSpec = new TuningSpec(isdbTerrestrialFrequency);
}
else
{
throw (new InvalidOperationException("Tuning frequency not recognized"));
}
}
}
}
}
}
}
Tuner currentTuner = null;
bool finished = false;
while (!finished)
{
if ((sender as BackgroundWorker).CancellationPending)
{
Logger.Instance.Write("Scan abandoned by user");
e.Cancel = true;
resetEvent.Set();
return;
}
BDAGraph graph = BDAGraph.FindTuner(analysisParameters.Tuners, tunerNodeType, tuningSpec, currentTuner, analysisParameters.RepeatDiseqc, analysisParameters.SwitchAfterPlay);
if (graph == null)
{
Logger.Instance.Write("<e> No tuner able to tune frequency " + analysisParameters.ScanningFrequency.ToString());
frequencySelectionControl.Invoke(new ShowMessage(showMessage), "No tuner able to tune frequency " + analysisParameters.ScanningFrequency.ToString(),
MessageBoxButtons.OK, MessageBoxIcon.Error);
finished = true;
}
else
{
string tuneReply = checkTuning(graph, analysisParameters, sender as BackgroundWorker);
if ((sender as BackgroundWorker).CancellationPending)
{
Logger.Instance.Write("Scan abandoned by user");
graph.Dispose();
e.Cancel = true;
resetEvent.Set();
return;
}
if (tuneReply == null)
{
try
{
if (analysisParameters.DumpFileName == null || analysisParameters.DumpFileName == string.Empty)
{
getData(graph, analysisParameters, sender as BackgroundWorker);
}
else
{
SimulationDataProvider dataProvider = new SimulationDataProvider(analysisParameters.DumpFileName, graph.Frequency);
string providerReply = dataProvider.Run();
if (providerReply != null)
{
Logger.Instance.Write("<e> Simulation Data Provider failed");
Logger.Instance.Write("<e> " + providerReply);
frequencySelectionControl.Invoke(new ShowMessage(showMessage), "Simulation Data Provider failed." +
Environment.NewLine + Environment.NewLine + providerReply,
MessageBoxButtons.OK, MessageBoxIcon.Error);
}
else
{
getData(dataProvider, analysisParameters, sender as BackgroundWorker);
dataProvider.Stop();
}
}
}
catch (IOException ex)
{
Logger.Instance.Write("<e> Failed to process dump file");
Logger.Instance.Write("<e> " + ex.Message);
frequencySelectionControl.Invoke(new ShowMessage(showMessage), "Failed to process dump file." +
Environment.NewLine + Environment.NewLine + ex.Message,
MessageBoxButtons.OK, MessageBoxIcon.Error);
}
graph.Dispose();
finished = true;
}
else
{
Logger.Instance.Write("Failed to tune frequency " + analysisParameters.ScanningFrequency.ToString());
graph.Dispose();
currentTuner = graph.Tuner;
}
}
}
e.Cancel = true;
resetEvent.Set();
}
static void Main(string[] args)
{
// TO DO: Add your code here
int dailyPeriod = 40; //日线周期
int min5Period = 10; //分线周期
int indexDailyPeriod = 10;
int indexMin5Period = 10;
int holdingPeriodLimit = 5; //持仓周期限制
MongoClient client = new MongoClient("mongodb://localhost:27017");
MongoServer server = client.GetServer();
MongoDatabase database = server.GetDatabase("FinanceLast");
//读取交易日期
List <DateTime> dates = new List <DateTime>();
MongoCollection <BsonDocument> collection = database.GetCollection <BsonDocument>("TradeDates");
foreach (BsonDocument record in collection.FindAll())
{
DateTime date = DateTime.Parse(record["Date"].ToString());
dates.Add(date);
}
//
collection = database.GetCollection <BsonDocument>("RandomTradeStatistics");
SimulationDataProvider sdp = (SimulationDataProvider)ProviderManager.MarketDataSimulator;
List <string> activeSymbols = new List <String>();
activeSymbols.AddRange(sdp.GetSymbols("SHSE", 1));
activeSymbols.AddRange(sdp.GetSymbols("SZSE", 1));
DateTime beginDate = new DateTime(2017, 12, 11);
DateTime endDate = new DateTime(2017, 12, 31);
DateTime curDate = beginDate;
Dictionary <string, RandomTradeRecord> randomTradeRecordDict = new Dictionary <string, RandomTradeRecord>();
while (curDate <= endDate)
{
//sdp.Connect();
string curDateString = curDate.ToString("yyyy-MM-dd");
Console.WriteLine("当前日期是{0}", curDateString);
int i = dates.IndexOf(curDate);
if (i < 0)
{
Console.WriteLine("今天不是交易日。");
}
else
{
DateTime nextTradeDate = curDate.AddDays(1);
if (i + 1 < dates.Count)
{
nextTradeDate = dates[i + 1];
}
string nextTradeDateString = nextTradeDate.ToString("yyyy-MM-dd");
DateTime dealTime = curDate.Add(new TimeSpan(10, 20, 0));
DateTime closeTime = curDate.Add(new TimeSpan(15, 3, 0));
//处理已有的头寸
QueryDocument query = new QueryDocument(new BsonElement("NextTradeDate", curDateString));
foreach (BsonDocument record in collection.Find(query))
{
RandomTradeRecord aTradeRecord = new RandomTradeRecord();
aTradeRecord._id = record["_id"].ToString();
aTradeRecord.Symbol = record["Symbol"].ToString();
aTradeRecord.HoldingPeriod = (int)record["HoldingPeriod"] + 1;
randomTradeRecordDict.Add(aTradeRecord.Symbol, aTradeRecord);
}
//获取最新价格，排序，然后随机选择入场
Dictionary <String, Trade> lastTrades = sdp.GetLastTrades(activeSymbols.ToArray(), dealTime);
List <string> symbols = new List <string>();
foreach (KeyValuePair <String, Trade> kvp in lastTrades)
{
if (kvp.Value == null)
{
continue;
}
GMTrade gmTrade = (GMTrade)kvp.Value;
if (gmTrade.Price <= 0)
{
continue;
}
if (gmTrade.Price == gmTrade.UpperLimit)
{
continue;
}
if (gmTrade.Price / gmTrade.LastClose - 1 < 0)
{
continue;
}
if (randomTradeRecordDict.ContainsKey(kvp.Key))
{
continue;
}
symbols.Add(kvp.Key);
}
int total = symbols.Count;
Random randomer = new Random((int)DateTime.Now.Ticks);
int[] randomNumbers = new int[100];
for (int k = 0; k < 100; k++)
{
randomNumbers[k] = randomer.Next(total);
}
foreach (int r in randomNumbers)
{
string symbol = symbols[r];
if (!randomTradeRecordDict.ContainsKey(symbol))
{
RandomTradeRecord aTradeRecord = new RandomTradeRecord();
aTradeRecord.Symbol = symbol;
aTradeRecord.HoldingPeriod = 1;
randomTradeRecordDict.Add(aTradeRecord.Symbol, aTradeRecord);
}
}
symbols.Clear();
//如果当天已写入记录，先删除
query = new QueryDocument(new BsonElement("Date", curDateString));
collection.Remove(query);
foreach (RandomTradeRecord aTradeRecord in randomTradeRecordDict.Values)
{
//读取交易价格和收盘价格
Trade nextTrade = sdp.GetNextTrade(aTradeRecord.Symbol, dealTime);
if (nextTrade == null || nextTrade.DateTime.Date > curDate)
{
Console.WriteLine("Symbol {0} 在 {1} 时无法在下一笔成交", aTradeRecord.Symbol, dealTime);
aTradeRecord.PriceWhenDeal = 0.0;
}
else
{
aTradeRecord.PriceWhenDeal = nextTrade.Price;
}
Trade closeTrade = sdp.GetLastTrade(aTradeRecord.Symbol, closeTime);
if (closeTrade == null || closeTrade.DateTime.Date < curDate)
{
Console.WriteLine("Symbol {0} 今天没有收盘价", aTradeRecord.Symbol);
aTradeRecord.PriceWhenClose = 0.0;
}
else
{
aTradeRecord.PriceWhenClose = closeTrade.Price;
}
//没有交易价格和收盘价格则认为是停盘
if (aTradeRecord.PriceWhenDeal <= 0 && aTradeRecord.PriceWhenClose <= 0)
{
Console.WriteLine("证券{0}:今日没有交易", aTradeRecord.Symbol);
if (aTradeRecord.HoldingPeriod > 1)
{
query = new QueryDocument(new BsonElement("_id", aTradeRecord._id));
UpdateDocument update = new UpdateDocument();
update.Add(new BsonElement("$set", new BsonDocument(new BsonElement("NextTradeDate", nextTradeDateString))));
collection.Update(query, update);
}
continue;
}
//读取应指数的日线和5分线，证券的日线和分线
string indexSymbol = "";
if (aTradeRecord.Symbol.IndexOf("SHSE.") >= 0)
{
indexSymbol = "SHSE.000001";
}
else if (aTradeRecord.Symbol.IndexOf("SZSE.3") >= 0)
{
indexSymbol = "SZSE.399006";
}
else
{
indexSymbol = "SZSE.399001";
}
List <Daily> indexDailys = sdp.GetLastNDailys(indexSymbol, indexDailyPeriod, curDate);
List <Bar> indexMin5s = sdp.GetLastNBars(indexSymbol, 300, indexMin5Period, dealTime);
//***这里多加了当天日线，便于向前复权
List <Daily> stockDailys = sdp.GetLastNDailys(aTradeRecord.Symbol, dailyPeriod, curDate);
AdjustDailys(stockDailys);
List <Bar> stockMin5s = sdp.GetLastNBars(aTradeRecord.Symbol, 300, min5Period, dealTime);
//去掉当天日线后，获取昨日收盘价
int m = stockDailys.Count;
if (m < dailyPeriod)
{
continue;
}
if (stockDailys[m - 1].DateTime == curDate)
{
stockDailys.RemoveAt(m - 1);
}
else
{
stockDailys.RemoveAt(0);
}
double lastClose = stockDailys[stockDailys.Count - 1].Close;
//加入当天决断时刻的日线
Trade trade = lastTrades[aTradeRecord.Symbol];
if (trade == null)
{
continue;
}
Daily todayDaily = BuildDailyFormTrade((GMTrade)trade);
stockDailys.Add(todayDaily);
//正规化数据
List <NormalizedBar> indexNormalizedDailys = NormalizeBars(indexDailys);
List <NormalizedBar> indexNormalizedMin5s = NormalizeBars(indexMin5s);
List <NormalizedBar> stockNormalizedDailys = NormalizeBars(stockDailys);
List <NormalizedBar> stockNormalizedMin5s = NormalizeBars(stockMin5s);
//计算当天的奖赏
double rewardForInside = 0.0; //在场内的奖赏
double rewardForOutside = 0.0; //在场外的奖赏
if (aTradeRecord.HoldingPeriod == 1)
{
rewardForInside = Math.Log(aTradeRecord.PriceWhenClose / aTradeRecord.PriceWhenDeal);
}
else if (aTradeRecord.HoldingPeriod > 1)
{
rewardForInside = Math.Log(aTradeRecord.PriceWhenClose / lastClose);
rewardForOutside = Math.Log(aTradeRecord.PriceWhenDeal / lastClose);
}
//Console.WriteLine("{0}，{1}，{2}",aTradeRecord.PriceWhenDeal,aTradeRecord.PriceWhenClose,lastClosePrice);
//写入在场外的记录，如果是第一天，则是假设没有买入，如果是第二天及以后，则是假设卖出
//此情况下，下一交易日为空
BsonElement[] eleArray = new BsonElement[9];
eleArray[0] = new BsonElement("Date", curDateString);
eleArray[1] = new BsonElement("Symbol", aTradeRecord.Symbol);
eleArray[2] = new BsonElement("HoldingPeriod", aTradeRecord.HoldingPeriod);
eleArray[3] = new BsonElement("IndexDaily", GetBsonArrayFromBars(indexNormalizedDailys));
eleArray[4] = new BsonElement("IndexMin5", GetBsonArrayFromBars(indexNormalizedMin5s));
eleArray[5] = new BsonElement("StockDaily", GetBsonArrayFromBars(stockNormalizedDailys));
eleArray[6] = new BsonElement("StockMin5", GetBsonArrayFromBars(stockNormalizedMin5s));
BsonArray bsonArray = new BsonArray(2);
bsonArray.Add(rewardForInside);
bsonArray.Add(rewardForOutside);
eleArray[7] = new BsonElement("Reward", bsonArray);
//已到了持仓周期限制，卖出，下一交易日为空
if (aTradeRecord.HoldingPeriod >= holdingPeriodLimit)
{
eleArray[8] = new BsonElement("NextTradeDate", "");
}
else
{
eleArray[8] = new BsonElement("NextTradeDate", nextTradeDateString);
}
BsonDocument insert = new BsonDocument(eleArray);
collection.Insert(insert);
indexDailys.Clear();
indexMin5s.Clear();
stockDailys.Clear();
stockMin5s.Clear();
indexNormalizedDailys.Clear();
indexNormalizedMin5s.Clear();
stockNormalizedDailys.Clear();
stockNormalizedMin5s.Clear();
}
lastTrades.Clear();
randomTradeRecordDict.Clear();
Console.WriteLine("统计完毕。");
}
sdp.FlushAllSeries();
//sdp.Disconnect();
//为了防止内存溢出
GC.Collect();
GC.WaitForPendingFinalizers();
GC.Collect();
GC.WaitForFullGCApproach();
GC.WaitForFullGCComplete();
curDate = curDate.AddDays(1);
}
}
