private void initializeClass(List <int> intevals, DateTime?firstBarTime = null)
{
_lastClose = -1;
_todayOpen = -1;
_raisePercent = 0;
intevals.Sort();
_Live_Bars = new List <LiveBars>();
for (int i = 0; i < intevals.Count; i++)
{
LiveBars bar = new LiveBars(intevals[i], _security.TimeRange, firstBarTime);
bar.LiveBar_Arrival += LiveBar_Arrival;
_Live_Bars.Add(bar);
if (intevals[i] == 60)
{
this._bar1M = bar;
}
else if (intevals[i] == 15)
{
this._bar15S = bar;
}
else if (intevals[i] == 300)
{
this._bar5M = bar;
}
}
//bar1M = new LiveBars(60);
//_bar1M.LiveBar_Arrival += LiveBar_Arrival;
_currentTick = new TickData();
}
public static TickData ConvertFromDataRow(DataRow dr)
{
TickData td = new TickData();
td.Code = dr["tick_code"].ToString();
//td.market = System.Convert.ToByte(dr["tick_market"]);
td.secInfo = GlobalValue.GetFutureByCode(td.code)[0];
td.Time = System.Convert.ToDateTime(dr["tick_time"]);
td.Preclose = 0;
td.Open = 0;
td.High = 0;
td.Low = 0;
td.Ask = System.Convert.ToDouble(dr["tick_ask1"]);
td.Bid = System.Convert.ToDouble(dr["tick_bid1"]);
td.Last = Math.Round((td.Ask + td.Bid) / 2, 2, MidpointRounding.AwayFromZero);
td.Volume = 0;
td.Amt = 0;
td.isReal = false;
for (int i = 0; i < 10; i++)
{
td.Asks[i] = System.Convert.ToDouble(dr[string.Format("tick_ask{0}", i + 1)]);
td.Bids[i] = System.Convert.ToDouble(dr[string.Format("tick_bid{0}", i + 1)]);
td.Asksizes[i] = System.Convert.ToDouble(dr[string.Format("tick_asks{0}", i + 1)]);
td.Bidsizes[i] = System.Convert.ToDouble(dr[string.Format("tick_bids{0}", i + 1)]);
}
return(td);
}
private void UpdateCurrentBar(TickData tickdata, TimeSpan CurrentTickTime)
{
if (_currentBar.Open == 0)
{
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
}
else
{
_currentBar.Close = tickdata.Last;
_currentBar.High = _currentBar.High < tickdata.Last ? tickdata.Last : _currentBar.High;
_currentBar.Low = _currentBar.Low > tickdata.Last ? tickdata.Last : _currentBar.Low;
}
_currentBar.Volumn = tickdata.Volume - _lastVolumn;
double seconds = (CurrentTickTime - _currentOpenTimeSpan).TotalSeconds;
if (seconds == 0)
{
seconds = 1;
}
_currentBar.EstVolumn = System.Convert.ToInt64(_currentBar.Volumn / seconds * Inteval);
_barTickPriceQueue.Add(tickdata.Last);
MakeRaiseType();
//return CurrentTickTime;
}
public void Update(StockData.TickData td)
{
//ParameterizedThreadStart pts = new ParameterizedThreadStart(UpdateLabel);
//Thread th = new Thread(pts);
//th.Start(td);
UpdateLabel(td);
}
public static void Update(SecurityInfo sinfo, TickData tick)
{
if (currentStockdatas.Keys.Contains(sinfo.Key))
{
currentStockdatas[sinfo.Key].tick = tick;
}
else
{
currentStockdatas.Add(sinfo.Key, new CurrentStockData(sinfo, tick));
}
}
public virtual void ReceiveTick(TickData tickdata)
{
//if(SecurityMarket.isLive(tickdata.Time.TimeOfDay))
{
//if(tickdata.Time.TimeOfDay == _lastTime)
//{
// _dataisOk = false;
// return;
//}
if (tickdata.Last != 0)
{
if (_lastClose == -1)
{
_lastClose = tickdata.Last;
_todayOpen = tickdata.Last;
}
//if (tickdata.Preclose != 0)
//{
// this._raisePercent = Math.Round((tickdata.Last - tickdata.Preclose) / tickdata.Preclose * 100, 2, MidpointRounding.AwayFromZero);
//}
//int seconds = _security.calculateSeconds(tickdata.Time.TimeOfDay);
//if(seconds != 0)
//{
// this._averageDealVolumn = tickdata.Volume / seconds * 60;
//}
//try
//{
// this._averageDealVolumn = tickdata.Volume / (SecurityMarket.calculateSeconds(new TimeSpan(9, 30, 0), tickdata.Time.TimeOfDay) / 60);
//}
//catch
//{
// this._averageDealVolumn = 0;
//}
//LastTime = tickdata.Time.TimeOfDay;
//_bar1M.ReceiveTick(tickdata);
foreach (LiveBars bar in _Live_Bars)
{
bar.ReceiveTick(tickdata);
}
//_dataisOk = true;
}
else
{
//_dataisOk = false;
}
}
}
public virtual void Reset()
{
//_lastTime = new TimeSpan(9, 30, 0);
_lastClose = -1;
_todayOpen = -1;
_raisePercent = 0;
foreach (LiveBars bar in _Live_Bars)
{
bar.Reset();
}
//_bar1M.Reset();// = new LiveBars(60);
//_bar1M.LiveBar_Arrival += LiveBar_Arrival;
_currentTick = new TickData();
//_dataisOk = false;
}
public static TickData ConvertFromArray(string[] datas)
{
TickData td = new TickData();
if (datas[8] == "1")
{
td.code = string.Empty;
return(td);
}
try
{
td.time = PhraseTimeSpan(datas[8]);
}
catch
{
td.code = string.Empty;
return(td);
}
//td.market = System.Convert.ToByte(datas[0]);
td.code = datas[1];
td.secInfo = new SecurityInfo(td.code, string.Empty, "", 0, 0, 0, "", "");
td.name = datas[1];
//td.amt = System.Convert.ToDouble(datas[12]);
td.ask = System.Convert.ToDouble(datas[18]);
td.bid = System.Convert.ToDouble(datas[17]);
td.high = System.Convert.ToDouble(datas[6]);
td.last = System.Convert.ToDouble(datas[3]);
td.low = System.Convert.ToDouble(datas[7]);
td.open = System.Convert.ToDouble(datas[5]);
td.preclose = System.Convert.ToDouble(datas[4]);
td.volume = System.Convert.ToInt32(datas[10]);
td.isReal = true;
for (int j = 0; j < 5; j++)
{
td.asks[j] = System.Convert.ToDouble(datas[18 + 4 * j]);
td.bids[j] = System.Convert.ToDouble(datas[17 + 4 * j]);
td.Asksizes[j] = System.Convert.ToInt32(datas[20 + 4 * j]);
td.bidsizes[j] = System.Convert.ToInt32(datas[19 + 4 * j]);
}
for (int j = 5; j < 10; j++)
{
td.asks[j] = System.Convert.ToDouble(datas[43 + 4 * (j - 5)]);
td.bids[j] = System.Convert.ToDouble(datas[42 + 4 * (j - 5)]);
td.Asksizes[j] = System.Convert.ToInt32(datas[45 + 4 * (j - 5)]);
td.bidsizes[j] = System.Convert.ToInt32(datas[44 + 4 * (j - 5)]);
}
return(td);
}
public CurrentStockData(SecurityInfo sinfo, TickData tick)
{
// TODO: Complete member initialization
this.sinfo = sinfo;
this.tick = tick;
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (tickdata.Time.TimeOfDay >= new TimeSpan(15, 00, 00))
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
Leave(tickdata.Bid, parameter.qty, tp.TradeGuid);
}
if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
Leave(tickdata.Ask, parameter.qty, tp.TradeGuid);
}
}
}
}
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
currentTick = tickdata;
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (parameter.DebugModel)
{
if (CanOpen)
{
if (tickdata.Bid >= MarkHigh.Price * 0.999 && KaiKong)
{
KaiKong = false;
Open(tickdata.Bid, parameter.qty, OpenType.KaiKong);
}
if (tickdata.Ask <= MarkLow.Price * 1.001 && KaiDuo)
{
KaiDuo = false;
Open(tickdata.Ask, parameter.qty, OpenType.KaiDuo);
}
}
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Bid >= tp.Y)
{
KaiDuo = true;
Leave(tickdata.Bid, parameter.qty, tp.TradeGuid);
}
}
if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
if (tickdata.Ask <= tp.Y)
{
KaiKong = true;
Leave(tickdata.Ask, parameter.qty, tp.TradeGuid);
}
}
}
}
}
#region 止盈、止损
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Bid <= tp.ZhiSun)
{
if (tp.OutPoint != null)
{
for (int i = 0; i < tp.OutPoint.OpenPointWeiTuo.Count; i++)
{
if (tp.OutPoint.OpenPointWeiTuo[i].OpenQty > tp.OutPoint.OpenPointWeiTuo[i].DealQty)
{
string wtbh = tp.OutPoint.OpenPointWeiTuo[i].Weituobianhao;
NeedCheDanWeiTuos.Add(wtbh, wtbh);
}
}
}
KaiDuo = true;
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
else if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
if (tickdata.Ask >= tp.ZhiSun)
{
if (tp.OutPoint != null)
{
for (int i = 0; i < tp.OutPoint.OpenPointWeiTuo.Count; i++)
{
if (tp.OutPoint.OpenPointWeiTuo[i].OpenQty > tp.OutPoint.OpenPointWeiTuo[i].DealQty)
{
string wtbh = tp.OutPoint.OpenPointWeiTuo[i].Weituobianhao;
NeedCheDanWeiTuos.Add(wtbh, wtbh);
}
}
}
KaiKong = true;
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
}
}
}
#endregion
}
}
LiveDataUpdate(tickdata);
}
}
public BarArrivalEventArgs(TimeSpan ts, TickData td)
{
this.barTimeSpan = ts;
this.lastTickData = td;
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
while (LiveBars["close"].Count > 120)
{
foreach (var item in LiveBars)
{
LiveBars[item.Key].RemoveAt(0);
}
}
currentDay = tickdata.Time.Date;
StopTime = tickdata.Time.Date.AddHours(14).AddMinutes(59);
this.Reset();
}
if (tickdata.Time > StopTime)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Bid, qty, tp.TradeGuid);
}
}
else
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(currentTick.Ask, qty, tp.TradeGuid);
}
}
}
}
}
currentTick = tickdata;
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
}
}
LiveDataUpdate(tickdata);
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
currentTick = tickdata;
liveDataProcessor.ReceiveTick(tickdata);
if (tickdata.Time > StopTradeTime)
{
StartTrade = false;
}
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
if (tickdata.Last == 0)
{
return;
}
if (tickdata.Time >= NextOpenTime)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (tickdata.IsReal ? !tp.Finished : !tp.Closed)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(tp.EnterPoint.OpenType == OpenType.KaiDuo ? tickdata.Ask : tickdata.Bid, qty, tp.TradeGuid);
}
}
}
NextOpenTime = NextOpenTime.AddHours(parameter.TimeCycle);
this.resetArgs();
}
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (StartTrade)
{
if (tickdata.Last > ZHighPrice)
{
ZHighPrice = tickdata.Last;
}
if (tickdata.Last < ZLowPrice)
{
ZLowPrice = tickdata.Last;
}
if (tickdata.Last > RegionHighPrice && !arriveHigh)
{
RegionHighPrice = tickdata.Last;
arriveHigh = true;
}
if (tickdata.Last < RegionLowPrice && !arriveLow)
{
RegionLowPrice = tickdata.Last;
arriveLow = true;
}
if (K1 && OpenDuoTimes < parameter.JiaCangCiShu)
{
if (tickdata.Last > RegionHighPrice)
{
Qty = parameter.qty;
if (OpenDuoTimes > 0)
{
for (int j = 1; j <= OpenDuoTimes; j++)
{
Qty = Qty * parameter.JiaCangJiaGeBeiShu;
}
}
OpenDuoTimes += 1;
Open(tickdata.Ask, Qty, OpenType.KaiDuo);
}
}
if (K2 && OpenKongTimes < parameter.JiaCangCiShu)
{
if (tickdata.Last < RegionLowPrice)
{
Qty = parameter.qty;
if (OpenKongTimes > 0)
{
for (int j = 1; j <= OpenKongTimes; j++)
{
Qty = Qty * parameter.JiaCangJiaGeBeiShu;
}
}
OpenKongTimes += 1;
Open(tickdata.Bid, Qty, OpenType.KaiKong);
}
}
#region 止损
if (tickdata.Last < DuoChuChangPrice)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (tickdata.IsReal ? !tp.Finished : !tp.Closed)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
}
}
}
if (tickdata.Last > KongChuChangPrice)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (tickdata.IsReal ? !tp.Finished : !tp.Closed)
{
if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
}
}
}
#endregion
#region 止盈
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (tickdata.IsReal ? !tp.Finished : !tp.Closed)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
if (!tp.StartZhiYing)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Last >= tp.Y)
{
tp.StartZhiYing = true;
}
}
else if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
if (tickdata.Last <= tp.Y)
{
tp.StartZhiYing = true;
}
}
}
else
{
double beiShu = 0;
double huice = 0.6;
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
beiShu = (tickdata.Last - tp.EnterPoint.OpenPrice) / (tp.Y - tp.EnterPoint.OpenPrice);
}
else
{
beiShu = (tp.EnterPoint.OpenPrice - tickdata.Last) / (tp.EnterPoint.OpenPrice - tp.Y);
}
if (beiShu >= 4)
{
huice = 0.3;
}
else if (beiShu >= 3.5)
{
huice = 0.35;
}
else if (beiShu >= 3)
{
huice = 0.4;
}
else if (beiShu >= 2.5)
{
huice = 0.45;
}
else if (beiShu >= 2)
{
huice = 0.5;
}
else if (beiShu >= 1.5)
{
huice = 0.55;
}
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if ((tp.Y - tickdata.Last) / (tp.Y - tp.EnterPoint.OpenPrice) > huice)
{
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
else
{
if ((tickdata.Last - tp.Y) / (tp.EnterPoint.OpenPrice - tp.Y) > huice)
{
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
}
}
}
}
#endregion
#region 出场
#endregion
}
}
}
}
}
public void ReceiveTick(TickData tickdata)
{
if (_lastDayClose == 0)
{
_lastDayClose = tickdata.Preclose;
_todayOpen = tickdata.Open;
}
if (_currentHigh < tickdata.Last)
{
_currentHigh = tickdata.Last;
_reachHigh = true;
}
//TimeSpan closeTimeSpan = getNextCloseTimeSpan(_currentOpenTimeSpan);
//TimeSpan closeTimeSpan = _currentBar.BarCloseTime;
//TimeSpan LastTickTime = _currentBar.LastTickTime;
TimeSpan CurrentTickTime = tickdata.Time.TimeOfDay;
//TimeSpan NextTickTime = tickdata.Time.TimeOfDay.Add(TimeSpan.FromSeconds(_tickInteval));
//.Log(string.Format("{0}-{1}",currentTickTime,closeTimeSpan));
if (CurrentTickTime <= _currentBar.BarCloseTime) //当前时间小于等于本根bar的收盘时间
{
UpdateCurrentBar(tickdata, CurrentTickTime);
//if (CurrentTickTime > _currentBar.LastTickTime)
//{
// _currentBar.EstVolumn = _currentBar.Volumn;
// _lastVolumn += _currentBar.Volumn;
// CalcuateBar();
// PushBarArrivalEvent(_currentBar);
// _currentOpenTimeSpan = _currentBar.NextOpenTime;
// if (Bars.ContainsKey(_currentOpenTimeSpan))
// {
// _currentBar = Bars[_currentOpenTimeSpan];
// }
//}
//PushBarArrivalEvent(_currentBar);
}
else //当前时间大于本根bar收盘时间
{
while (CurrentTickTime > _currentBar.BarCloseTime)
{
LiveBar nextBar;
if (_currentBar.Open == 0)
{
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
}
//_lastVolumn += _currentBar.Volumn;
//_currentBar.EstVolumn = _currentBar.Volumn;
//CalcuateBar();
//MakeRaiseType();
//PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
nextBar = Bars[_currentOpenTimeSpan];
}
else
{
return;
}
//LastTickTime = Bars[_currentOpenTimeSpan].LastTickTime;
//closeTimeSpan = getNextCloseTimeSpan(closeTimeSpan);
if (CurrentTickTime <= nextBar.BarCloseTime) //当前时间小于等于下一根bar收盘时间
{
if (CurrentTickTime > nextBar.LastTickTime) //当前时间大于最后tick时间
{
//push nextbar
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
_currentBar.EstVolumn = _currentBar.Volumn;
CalcuateBar();
MakeRaiseType();
_currentBar.Finish = true;
PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
_currentBar = Bars[_currentOpenTimeSpan];
}
}
else // 当前时间小于最后tick时间
{
//push currentbar
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
_currentBar.Finish = true;
PushBarArrivalEvent(_currentBar);
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
}
}
else
{
CalcuateBar();
MakeRaiseType();
_currentBar = Bars[_currentOpenTimeSpan];
_currentBar.Open = tickdata.Last;
_currentBar.High = tickdata.Last;
_currentBar.Close = tickdata.Last;
_currentBar.Low = tickdata.Last;
_currentBar.EstVolumn = _currentBar.Volumn;
CalcuateBar();
MakeRaiseType();
_lastVolumn += _currentBar.Volumn;
//PushBarArrivalEvent(_currentBar);
_currentOpenTimeSpan = _currentBar.NextOpenTime;
if (Bars.ContainsKey(_currentOpenTimeSpan))
{
_currentBar = Bars[_currentOpenTimeSpan];
}
}
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
loseArr.Add(loseCount);
currentDay = tickdata.Time.Date;
this.Reset();
}
currentTick = tickdata;
SecondTick = CurrentStockData.GetTick(SecondSi);
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (CanOpen())
{
if (Math.Abs((tickdata.Time - SecondTick.Time).Seconds) <= 1)
{
double a = tickdata.Bid - SecondTick.Ask;
double b = (tickdata.Bid * parameter.Fee + SecondTick.Ask * parameter.SecondFee + tickdata.Last * parameter.Lirun);
double c = SecondTick.Bid - tickdata.Ask;
double d = (tickdata.Ask * parameter.Fee + SecondTick.Bid * parameter.SecondFee + tickdata.Last * parameter.Lirun);
List <CurrentBanalce> ACBS = CurrentBalances.getCurrentBalance(SecInfo.Market);
List <CurrentBanalce> BCBS = CurrentBalances.getCurrentBalance(parameter.SecondMarket);
foreach (CurrentBanalce aCBS in ACBS)
{
if (aCBS.Code.ToUpper() == parameter.Code.ToUpper() || aCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * 2)
{
Code1AtoB = true;
}
else
{
Code1AtoB = false;
}
}
if (aCBS.Code.ToUpper() == parameter.Code2.ToUpper() || aCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2BtoA = true;
}
else
{
Code2BtoA = false;
}
}
}
foreach (CurrentBanalce bCBS in BCBS)
{
if (bCBS.Code.ToUpper() == parameter.Code.ToUpper() || bCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * 2)
{
Code1BtoA = true;
}
else
{
Code1BtoA = false;
}
}
if (bCBS.Code.ToUpper() == parameter.Code2.ToUpper() || bCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2AtoB = true;
}
else
{
Code2AtoB = false;
}
}
}
if (a > b)
{
if (Code1AtoB && Code2AtoB)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
if (c > d)
{
if (Code1BtoA && Code2BtoA)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
}
}
}
}
LiveDataUpdate(tickdata);
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
currentTick = tickdata;
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (MarkHigh != 0 && MarkLow != 0)
{
if (tickdata.Last > MarkHigh && MarkHigh > MarkLow)
{
if (DuoHands + FrozenDuoHands == 0)
{
if (KongHands > 0)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
}
}
}
FrozenDuoHands += (Decimal)parameter.qty;
Open(tickdata.Bid, parameter.qty, OpenType.KaiDuo);
}
}
if (tickdata.Last < MarkLow && MarkHigh > MarkLow)
{
if (KongHands + FrozenKongHands == 0)
{
if (DuoHands > 0)
{
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
}
}
}
FrozenKongHands += (Decimal)parameter.qty;
Open(tickdata.Ask, parameter.qty, OpenType.KaiKong);
}
}
}
#region 止盈、止损
foreach (var item in tps)
{
PTradePoints tp = item.Value;
if (!tp.Finished)
{
double qty = tp.EnterPoint.DealQty - (tp.OutPoint != null ? tp.OutPoint.OpenQty : 0);
if (qty > 0)
{
if (!tp.StartZhiYing)
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Last >= tp.Y)
{
tp.StartZhiYing = true;
}
}
else if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
if (tickdata.Last <= tp.Y)
{
tp.StartZhiYing = true;
}
}
}
else
{
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Last > tp.Y)
{
tp.Y = tickdata.Last;
}
if ((tp.Y - tickdata.Last) / (tp.Y - tp.EnterPoint.OpenPrice) > parameter.HuiCheBiLi)
{
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
else
{
if (tickdata.Last < tp.Y)
{
tp.Y = tickdata.Last;
}
if ((tickdata.Last - tp.Y) / (tp.EnterPoint.OpenPrice - tp.Y) > parameter.HuiCheBiLi)
{
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
}
if (tp.EnterPoint.OpenType == OpenType.KaiDuo)
{
if (tickdata.Last <= tp.ZhiSun)
{
Leave(tickdata.Ask, qty, tp.TradeGuid);
}
}
else if (tp.EnterPoint.OpenType == OpenType.KaiKong)
{
if (tickdata.Last >= tp.ZhiSun)
{
Leave(tickdata.Bid, qty, tp.TradeGuid);
}
}
}
}
}
#endregion
}
}
LiveDataUpdate(tickdata);
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
if (tickdata.Last == 0)
{
return;
}
currentTick = tickdata;
//dataAnalisys.ReceiveTick(tickdata);
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
#region 4MA策略
double bid1 = tickdata.Bid;
double ask1 = tickdata.Ask;
double mid_price = (tickdata.Ask + tickdata.Bid) / 2;
if (open_complete == 0 && close_complete == 0)
{
//开仓
if (last_maefast > last_maeslow && last_maxfast > last_maxslow && mid_price >= last_high)
{
if (long_position == 0)
{//开多
Open(ask1, parameter.qty, OpenType.KaiDuo);
}
}
else if (last_maefast < last_maeslow && last_maxfast < last_maxslow && mid_price <= last_low)
{
if (short_position == 0)
{//开空
Open(bid1, parameter.qty, OpenType.KaiKong);
}
}
//平仓
if ((last_maxfast < last_maxslow) || (last_maefast < last_maeslow && last_maxfast < last_maxslow && mid_price <= last_low))
{
if (long_position > 0)
{//平多
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
Leave(long_position, bid1, tp.TradeGuid);
}
}
}
}
else if ((last_maxfast > last_maxslow) || (last_maefast > last_maeslow && last_maxfast > last_maxslow && mid_price >= last_high))
{
if (short_position > 0)
{//平空
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
Leave(short_position, ask1, tp.TradeGuid);
}
}
}
}
}
#endregion
}
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
if (tickdata.Last == 0)
{
return;
}
currentTick = tickdata;
eosusdt = CurrentStockData.GetTick(eosusdtsi);
eosbtc = CurrentStockData.GetTick(eosbtcsi);
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (Math.Abs((tickdata.Time - eosbtc.Time).Seconds) <= 1 && Math.Abs((tickdata.Time - eosusdt.Time).Seconds) <= 1 && Math.Abs((eosusdt.Time - eosbtc.Time).Seconds) <= 1)
{
if (CanOpen())
{
double a = eosusdt.Bid - tickdata.Ask * eosbtc.Ask;
double b = tickdata.Bid * eosbtc.Bid - eosusdt.Ask;
double ChengBenAndLiRun = (eosusdt.Last) * (0.0006 + 0.0002);
if (a > ChengBenAndLiRun)
{
Console.WriteLine(string.Format("{3}-a开仓,时间：{0},价格A：{1}，成本C：{2}", DateTime.Now.ToLongTimeString(), a, ChengBenAndLiRun, SecInfo.Code + "%" + eosusdtsi.Code + "%" + eosbtc.Code));
//EosBtcStatus = false;
//OpenArgs oa = new OpenArgs(
// eosbtc.Ask,
// parameter.qty,
// OpenType.Buy,
// eosbtcsi,
// eosbtc,
// "");
//OpenDelete od = new OpenDelete(OpenThread);
//od.BeginInvoke(oa, null, null);
}
if (b > ChengBenAndLiRun)
{
Console.WriteLine(string.Format("{3}-b开仓,时间：{0},价格B：{1}，成本C：{2}", DateTime.Now.ToLongTimeString(), b, ChengBenAndLiRun, SecInfo.Code + "%" + eosusdtsi.Code + "%" + eosbtc.Code));
//EosBtcStatus = false;
//OpenArgs oa = new OpenArgs(
// eosbtc.Bid,
// parameter.qty,
// OpenType.Sell,
// eosbtcsi,
// eosbtc,
// "");
//OpenDelete od = new OpenDelete(OpenThread);
//od.BeginInvoke(oa, null, null);
}
}
}
}
}
LiveDataUpdate(tickdata);
if (parameter.IsReal)
{
try
{
UpdateChart();
}
catch { }
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
//Console.WriteLine("openSide:{0},signInHighPrice:{1},signInLowPrice:{2},tickdata.Last:{3},dealState:{4},openComplete:{5},closeComplete:{6}", openSide, signInHighPrice, signInLowPrice, tickdata.Last, dealState, openComplete, closeComplete);
//Console.WriteLine("Ratio:{0}", Ratio);
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
if (tickdata.Last == 0)
{
return;
}
liveDataProcessor.ReceiveTick(tickdata);
currentTick = tickdata;
if (parameter.StartTime <= tickdata.Time.TimeOfDay && parameter.EndTime >= tickdata.Time.TimeOfDay && init)
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (dealState == true && openComplete && closeComplete)
{
dealState = false;
}
if (dealState == false)
{
if (openHands > 0)
{
}
if (tickdata.Last > signInHighPrice && openSide != 1)
{
if (openSide == 2)
{
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
if (!tickdata.IsReal)
{
tp.Finished = true;
Leave(tp.EnterPoint.OpenQty, tickdata.Last, tp.TradeGuid);
}
else
{
//平空
closeComplete = false;
dealState = true;
CloseDelete od = new CloseDelete(CloseThread);
od.BeginInvoke(parameter.qty, tickdata.Last, tp.TradeGuid, null, null);
}
}
}
}
if (Ratio <= parameter.Ratio)
{
if (!tickdata.IsReal)
{
openSide = 1;
openComplete = false;
dealState = true;
openHands = parameter.qty;
OpenArgs oa = new OpenArgs(
tickdata.Last,
parameter.qty,
OpenType.KaiDuo,
SecInfo,
tickdata,
-1,
"");
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
else
{
openSide = 1;
holdHands += (decimal)parameter.Qty;
Open(tickdata.Last, parameter.qty, OpenType.KaiDuo, SecInfo, tickdata, -1, "");
}
}
}
else if (tickdata.Last < signInLowPrice && openSide != 2)
{
if (openSide == 1)
{
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
if (!tickdata.IsReal)
{
tp.Finished = true;
Leave(tp.EnterPoint.OpenQty, tickdata.Last, tp.TradeGuid);
}
else
{
//平多
closeComplete = false;
dealState = true;
CloseDelete od = new CloseDelete(CloseThread);
od.BeginInvoke(parameter.qty, tickdata.Last, tp.TradeGuid, null, null);
}
}
}
}
if (Ratio <= parameter.Ratio)
{
if (!tickdata.IsReal)
{
openSide = 2;
openComplete = false;
dealState = true;
openHands = parameter.qty;
OpenArgs oa = new OpenArgs(
tickdata.Last,
parameter.qty,
OpenType.KaiKong,
SecInfo,
tickdata,
-1,
"");
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
else
{
openSide = 2;
Open(tickdata.Last, parameter.qty, OpenType.KaiKong, SecInfo, tickdata, -1, "");
}
}
}
}
}
}
LiveDataUpdate(tickdata);
if (parameter.IsReal)
{
try
{
UpdateChart();
}
catch { }
}
}
}
