protected override List <OptionMinute> readFromWind(string code, DateTime date)
{
WindAPI w = Platforms.GetWindAPI();
DateTime date1 = date.Date, date2 = date.Date.AddDays(1);
WindData wd = w.wsi(code, "open,high,low,close,volume,amt,oi", date1, date2, "periodstart=09:30:00;periodend=15:00:00;Fill=Previous");
int len = wd.timeList.Length;
int fieldLen = wd.fieldList.Length;
var items = new List <OptionMinute>(len);
if (wd.data is double[])
{
double[] dataList = (double[])wd.data;
DateTime[] timeList = wd.timeList;
for (int k = 0; k < len; k++)
{
items.Add(new OptionMinute
{
time = timeList[k],
open = (double)dataList[k * fieldLen + 0],
high = (double)dataList[k * fieldLen + 1],
low = (double)dataList[k * fieldLen + 2],
close = (double)dataList[k * fieldLen + 3],
volume = (double)dataList[k * fieldLen + 4],
amount = (double)dataList[k * fieldLen + 5],
openInterest = (double)dataList[k * fieldLen + 6]
});
}
}
return(items);
}
public static void test1()
{
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wsi("510050.SH", "open,high,low,close", "2016-07-26 09:00:00", "2016-07-26 14:56:12", "");
}
private List <FuturesMinute> readByParameters(string code, DateTime date, string paramters)
{
WindAPI w = Platforms.GetWindAPI();
DateTime date2 = new DateTime(date.Year, date.Month, date.Day, 15, 0, 0);
DateTime date1 = DateUtils.PreviousTradeDay(date).AddHours(17);
//获取日盘数据
WindData wd = w.wsi(code, "open,high,low,close,volume,amt,oi", date1, date2, paramters);
int len = wd.timeList.Length;
int fieldLen = wd.fieldList.Length;
var items = new List <FuturesMinute>(len);
if (wd.data is double[])
{
double[] dataList = (double[])wd.data;
DateTime[] timeList = wd.timeList;
for (int k = 0; k < len; k++)
{
items.Add(new FuturesMinute
{
tradeday = date,
time = timeList[k],
open = (double)dataList[k * fieldLen + 0],
high = (double)dataList[k * fieldLen + 1],
low = (double)dataList[k * fieldLen + 2],
close = (double)dataList[k * fieldLen + 3],
volume = (double)dataList[k * fieldLen + 4],
amount = (double)dataList[k * fieldLen + 5],
openInterest = (double)dataList[k * fieldLen + 6]
});
}
}
//【原版】如果该时间段第1个时间点的close为NAN，则放弃该时间段的所有数据
//if (items.Count>0 && double.IsNaN(items[0].close)==true)
//{
// return new List<FuturesMinute>();
//}
//判断该时间段前25条数据是否含有真正的数据(至少一条数据)
List <FuturesMinute> tempItem = items.GetRange(0, 25);
bool haveData = items.Any(x => double.IsNaN(x.close) != true);
//【新版1】如果该时间段前5个时间点的close为NAN，则放弃该时间段的所有数据
//if (items.Count > 0 && double.IsNaN(items[0].close) && double.IsNaN(items[1].close) &&
// double.IsNaN(items[2].close) && double.IsNaN(items[3].close) && double.IsNaN(items[4].close))
//{
// return new List<FuturesMinute>();
//}
//【新版2】如果该时间段前20个时间点的close为NAN，则放弃该时间段的所有数据
if (items.Count > 0 && haveData == false)
{
return(new List <FuturesMinute>());
}
return(items);
}
private void button2_Click(object sender, EventArgs e)
{
string windCode = textBox4.Text;
string svolume = textBox3.Text;
if (!int.TryParse(svolume, out volume))
{
volume = 100;
}
WindData wd = w.wsi(windCode, "open", DateTime.Today.AddHours(9.5), DateTime.Now, "BarSize=1");
if (wd.errorCode != 0)
{
richTextBox1.Text += "\r\n";
richTextBox1.Text += w.getErrorMsg(wd.errorCode);
return;
}
open = (float)((double[])wd.data)[0];
Kmin = open;
Kmax = 0;
w.cancelRequest(rid);
updateKLines(windCode);
label4.Text = "当前价";
label7.Text = "K线最高价";
label7.ForeColor = Color.Red;
label8.Text = "K线最低价";
label8.ForeColor = Color.Green;
label13.Text = "开盘价";
label13.ForeColor = Color.SkyBlue;
label14.Text = Convert.ToString(open);
label14.ForeColor = Color.SkyBlue;
//label11.Text = "5分钟K线图";
//label12.Text = "15分钟K线图";
//label11.ForeColor = myPens[0].Color;
//label12.ForeColor = myPens[1].Color;
label5.Text = windCode + " 最近15分钟价格走势图";
//for (int i = 1; i < allLabels.Count; i++)
//{
// Controls.Add((Label)allLabels[i]);
// ((Label)allLabels[i]).BringToFront();
//}
}
public void Execute()
{
//从万得提取数据
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wsi("510050.SH", "open,high,low,close,volume"
, "2016-07-01 09:00:00", "2016-07-22 15:00:00", "Fill=Previous");
w.stop();
//初始化各类变量
DateTime[] DataDate = wd.timeList;
String.Format("yyyy/MM/dd hh:mm:ss", DataDate);
//日期、开盘价、最高价、最低价、收盘价、成交量
int FieldLength = wd.GetFieldLength();
int DataLength = wd.GetDataLength();
int DateLength = DataLength / FieldLength;
int sign = 0;//下标计数
double[] RawData = (double[])wd.data;
double[,] MarketData = new double[DateLength, 5];
/*
* double[] OP = new double[DateLength];
* double[] HP = new double[DateLength];
* double[] LP = new double[DateLength];
* double[] CP = new double[DateLength];
*/
for (int i = 0; i < RawData.Length; i = i + FieldLength)
{
for (int j = 0; j < FieldLength; j++)
{
MarketData[sign, j] = RawData[i + j];
}
sign++;
}
// System.Console.WriteLine("{0},{1},{2},{3}", sign, MarketData.GetLength(0), MarketData.GetLength(1), DateLength);
/*
* for (int now = 0; now <= sign; now++)
* {
* if (now != 0 && now % 60 == 0)//60min做一次停顿
* Console.ReadKey();
* System.Console.WriteLine("Time:{0} -- O:{1} H:{2} L:{3} C:{4} Volum:{5}\n"
* , DataDate[now], MarketData[now,0], MarketData[now,1]
* , MarketData[now,2], MarketData[now,3], MarketData[now,4]);
* }
* Console.ReadKey();
*/
GenSignal myGS = new GenSignal();
myGS.getSignal(MarketData);
}
public static DataNode[] QueryDataK(string code, DateTime day)
{
WindData result;
lock (_threadLock)
{
var start = day.Date.AddHours(9.5);
var end = day.Date.AddHours(15);
result = _api.wsi(code, "close,volume", start, end, "BarSize=1");
}
return(DataHelper.ParseData(result, "wsi"));
}
public static unsafe Bar[] DumpBarByWind(string code, string startDate, string endDate, BarType barType)
{
var ret = new List <Bar>();
if (barType == BarType.Day || barType == BarType.Week)
{
WindData wd = wind.wsd(code, "open,high,low,close,volume,settle,oi", startDate, endDate, "");
if (wd.data == null)
{
return(ret.ToArray());
}
object[,] data = wd.getDataByFunc("wsd", false) as object[, ];
var w = wd.fieldList.Length;
var l = (int)(data.Length / w);
for (var i = 0; i < l; i++)
{
var bar = new Bar();
bar.TradingDay = int.Parse(wd.timeList[i].ToString("yyyyMMdd"));
bar.D = wd.timeList[i];
bar.Settle = data[i, 5].GetDouble();
bar.O = data[i, 0].GetDouble();
bar.H = data[i, 1].GetDouble();
bar.L = data[i, 2].GetDouble();
bar.C = data[i, 3].GetDouble();
bar.V = data[i, 4].GetDouble();
bar.I = data[i, 6].GetDouble();
bar.WindCode = code;
bar.BarType = barType;
ret.Add(bar);
}
}
else
{
var wd = wind.wsi(code, "open,high,low,close,volume,oi", startDate, endDate, $"BarSize={(int)barType}");
if (wd.data == null)
{
return(ret.ToArray());
}
object[,] data = wd.getDataByFunc("wsi", false) as object[, ];
if (data == null)
{
Console.WriteLine($"{code} not find wsi {startDate} ~ {endDate}");
return(ret.ToArray());
}
var w = wd.fieldList.Length;
var l = (int)(data.Length / w);
for (var i = 0; i < l; i++)
{
var bar = new Bar();
bar.TradingDay = int.Parse(wd.timeList[i].ToString("yyyyMMdd"));
bar.D = wd.timeList[i];
bar.O = data[i, 0].GetDouble();
bar.H = data[i, 1].GetDouble();
bar.L = data[i, 2].GetDouble();
bar.C = data[i, 3].GetDouble();
bar.V = data[i, 4].GetDouble();
bar.I = data[i, 5].GetDouble();
bar.WindCode = code;
bar.BarType = barType;
ret.Add(bar);
}
}
return(ret.ToArray());
}
public void DoIt()
{
WindAPI w = new WindAPI();
w.start();
//取昨天的最高、最低、收盘
double dLastHigh = 0; double dLastLow = 0; double dLastClose = 0;
WindData wd = w.wss("600999.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("601000.SH", "high,low,close", "tradeDate=20141202;priceAdj=U;cycle=D");
//WindData wd = w.wss("M1309.DCE", "high,low,close", "tradeDate=20130411;priceAdj=U;cycle=D");
double[,] lastPriceData = (double[, ])wd.getDataByFunc("wss", true);
if (null == lastPriceData)
{
return;
}
dLastHigh = lastPriceData[0, 0];
dLastLow = lastPriceData[0, 1];
dLastClose = lastPriceData[0, 2];
//计算出6个价位
double dSsetup = dLastHigh + 0.35 * (dLastClose - dLastLow); //观察卖出价
double dSenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastLow; //反转卖出价
double dBenter = (1.07 / 2) * (dLastHigh + dLastLow) - 0.07 * dLastHigh; //反转买入价
double dBsetup = dLastLow - 0.35 * (dLastHigh - dLastClose); //观察买入价
double dBbreak = dSsetup + 0.25 * (dSenter - dBsetup); //突破买入价
double dSbreak = dBsetup - 0.205 * (dSenter - dBsetup); //突破卖出价
//某天的交易数据
WindData wdWSI = w.wsi("600999.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("601000.SH", "high,low,close", "2014-12-03 09:30:00", "2014-12-03 15:00:00", "");
//WindData wdWSI = w.wsi("M1309.DCE", "high,low,close", "2013-04-12 09:30:00", "2013-04-12 15:00:00", "");
double[,] curPriceData = (double[, ])wdWSI.getDataByFunc("wsi", true);
if (null == curPriceData)
{
return;
}
int nTimeCount = curPriceData.GetLength(0);
if (nTimeCount < 0)
{
return;
}
int nPriceDim = curPriceData.GetLength(1);
if (nPriceDim < 3)
{
return;
}
//策略初值，1表示做多，-1表示做空，0表示无操作
List <int> curHoldList = new List <int>(nTimeCount);
for (int i = 0; i < nTimeCount; i++)
{
curHoldList.Add(0);
}
double dCurHigh = curPriceData[0, 0];
double dCurLow = curPriceData[0, 1];
double dCurPrice = curPriceData[0, 2];
for (int i = 0; i < nTimeCount; i++)
{
dCurHigh = (curPriceData[i, 0] > dCurHigh) ? curPriceData[i, 0] : dCurHigh;
dCurLow = (curPriceData[i, 1] > dCurLow) ? curPriceData[i, 1] : dCurLow;
dCurPrice = curPriceData[i, 2];
//当前持仓
int nCurHold = curHoldList.Sum();
bool bCon1 = (dCurPrice > dBbreak) && (0 == nCurHold); //空仓做多条件
bool bCon2 = (dCurPrice < dSbreak) && (0 == nCurHold); //空仓做空条件
bool bCon3 = (nCurHold > 0) && (dCurHigh > dSsetup) && (dCurPrice < dSenter); //多单反转卖出条件:holding>0 and 今高>观察卖出价 and c<反转卖出价;
bool bCon4 = (nCurHold < 0) && (dCurLow < dBsetup) && (dCurPrice > dBenter); //空单反转买入条件:=holding<0 and 今低<观察买入价 and c>反转买入价;
//交易
if (bCon3) //多单反转
{
curHoldList[i] = -1; //平多 //sell
}
else if (bCon2) //空单做空
{
curHoldList[i] = -1; //sell
}
else if (bCon4) //空单反转
{
curHoldList[i] = 1; //buy
}
else if (bCon1) //空仓做多
{
curHoldList[i] = 1; //buy
}
else
{
curHoldList[i] = 0;
}
}
int nCurHole = curHoldList.Sum();
//尾盘轧平
if (1 == nCurHole && 1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (1 == nCurHole)
{
curHoldList[nTimeCount - 1] = -1;
}
else if (-1 == nCurHole && -1 == curHoldList.Last())
{
curHoldList[nTimeCount - 1] = 0;
}
else if (-1 == nCurHole)
{
curHoldList[nTimeCount - 1] = 1;
}
//统计收益
double dProfit = 0;
for (int i = 0; i < nTimeCount; i++)
{
dProfit += curPriceData[i, 2] * curHoldList[i];
}
Console.WriteLine("策略收益:" + dProfit);
w.stop();
}
