public WindData getDataSet()
{
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wss(_SecCodes, _Fields, _Params);
return(wd);
}
public Int64 getDataSetCount()
{
WindAPI w = new WindAPI();
w.start();
WindData wd = w.wss(_SecCodes, _Fields, _Params);
if (wd == null)
{
return(-1);
}
return(wd.codeList.Length);
}
public static CodeInfo[] Down(string[] windcode, string date)
{
WindAPI wind = new WindAPI();
wind.start();
if (string.IsNullOrEmpty(date))
{
date = DateTime.Now.ToString("yyyyMMdd");
}
var wd = wind.wss(string.Join(",", windcode), $"lasttrade_date,dlmonth,transactionfee,todaypositionfee,sccode,margin,contract_issuedate,ipo_date", $"tradeDate={date}");
if (wd.data == null)
{
return(null);
}
var ws = wd.getDataByFunc("wss", false) as object[, ];
var l = ws.GetLongLength(0);
List <CodeInfo> ret = new List <CodeInfo>();
for (var i = 0; i < l; i++)
{
var info = new CodeInfo();
info.WindCode = windcode[i];
info.LastTradeDate = (DateTime)ws[i, 0];
info.DLMonth = int.Parse(ws[i, 1].ToString());
info.Transactionfee = (string)ws[i, 2];
info.TodayPositionfee = (string)ws[i, 3];
info.Name = (string)ws[i, 4];
if (ws[i, 5] != null)
{
info.margin = (double)ws[i, 5];
}
info.ContractIssuedate = (DateTime)ws[i, 6];
info.IssueDate = (DateTime)ws[i, 7];
info.Code = CodeInfo.GetTradeCode(info.WindCode);
ret.Add(info);
}
return(ret.ToArray());
}
/// <summary>
/// 处理
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void btnDeal_Click(object sender, EventArgs e)
{
//接口初始化
WindAPI w = new WindAPI();
//在接口操作前，用户首先要登录并启动C#插件，即使用w.start()命令。其中，返回值0表示登陆成功，负数表示登陆失败，可通过w.getErrorMsg()函数获取错误信息。
w.start();
//当需要判断是否连接c#接口时，可以使用w.isconnected()命令。返回值True表示处于连接状态，反之False表示连接断开。
if (w.isconnected())
{
WindData wd = w.wss("000001.SZ,000002.SZ", "open,low,close,volume", "tradeDate=20180809;priceAdj=U;cycle=D");
//返回的数据转化为便于使用的数据结构,
object[,] getData = (object[, ])wd.getDataByFunc("wss", false);
MessageBox.Show("连接成功");
}
//当需要停止使用C#接口时，可以使用w.stop()命令，由于程序退出时会自动执行w.stop()命令，用户一般并不需要执行。
w.stop();
}
public static double GetSettlePrice(string symbol, string date)
{
double price = 0;
if (Login())
{
string par = string.Format("tradeDate={0};cycle=D", date);//"tradeDate=20160410;cycle=D"
WindData wd = windHandle.wss(symbol, "settle", par);
object getData = wd.getDataByFunc("wss", false);
if (checkError(wd) != 0)
{
return(0);
}
if (getData is object[, ])//转化为2维数组
{
object[,] odata = (object[, ])getData;
price = double.Parse(odata[0, 0].ToString());
}
}
return(price);
}
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();
}