public bool collectPrice(CBreakStrategy bs, OHLC prePrice)
{
if (mPriceList.Count < bs.mBreakPeriod - 1 ||
mPriceList.Count < bs.mAtrPeriod - 1 ||
mPriceList.Count < bs.mAveFilterSmall - 1 ||
mPriceList.Count < bs.mAveFilterBig - 1)
{
mPriceList.Add(prePrice);
return(true);
}
return(false);
}
double calAtr(CBreakStrategy bs)
{
double re = 0;
List <OHLC> atrList = mPriceList.Skip(Math.Max(0, mPriceList.Count() - bs.mAtrPeriod)).ToList();
List <double> mtr = new List <double>();
for (int i = atrList.Count - 1; i > 0; i--)
{
OHLC pre = atrList[i - 1];
OHLC cur = atrList[i];
double[] m = { Math.Abs(cur.h - cur.l), Math.Abs(cur.h - pre.c), Math.Abs(cur.l - pre.c) };
mtr.Add(m.Max());
}
re = mtr.Average();
return(re);
}
public static bool getRecentPrice(string symbol, DateTime d, out OHLC re, string gran = "D")
{
bool r = true;
re = new OHLC();
try
{
string requestString = CConfig.mServer + "/v3/instruments/" + symbol + "/candles";
requestString = requestString + "?" + "price=ABM&from=" + date2Str(d) + "&count=1&granularity=" + gran;
HttpWebRequest request = WebRequest.CreateHttp(requestString);
request.Headers[HttpRequestHeader.Authorization] = "Bearer " + CConfig.mToken;
request.Method = "GET";
using (HttpWebResponse response = request.GetResponse() as HttpWebResponse)
{
if (response.StatusCode != HttpStatusCode.OK)
{
throw new WebException("Web request error.");
}
Stream s = response.GetResponseStream();
StreamReader sr = new StreamReader(s);
var jr = new JsonTextReader(sr);
var serializer = new JsonSerializer();
Instrument im = serializer.Deserialize <Instrument>(jr);
foreach (var v in im.candles)
{
re = v.mid;
}
}
}
catch (Exception)
{
r = false;
}
return(r);
}
public void step(DateTime curTime, CBreakStrategy bs)
{
if (!mCandleData.Keys.Contains(curTime.Date))
{
return;
}
OHLC prePrice = mCandleData[curTime].mPrice;
if (!collectPrice(bs, prePrice))
{
mPriceList.Add(prePrice);
int bigPeriod = getMaxPeriod(bs);
while (mPriceList.Count > bigPeriod)
{
mPriceList.RemoveAt(0);
}
double atr = calAtr(bs);
if (!mHasVol)
{
int breakRe = checkBreak(bs);
if (breakRe == 1 && checkAveFilter(bs, breakRe))
{
//break open vol buy
mBuyOrSell = 1;
mTradePrice = prePrice.c;
mCloseStopPrice = prePrice.c - atr * bs.mCloseStopAtr;
mImeStopPrice = prePrice.c - atr * bs.mImeStopAtr;
mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);
mHasVol = true;
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
}
if (breakRe == -1 && checkAveFilter(bs, breakRe))
{
//break open vol sell
mBuyOrSell = -1;
mTradePrice = prePrice.c;
mCloseStopPrice = prePrice.c + atr * bs.mCloseStopAtr;
mImeStopPrice = prePrice.c + atr * bs.mImeStopAtr;
mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);
mHasVol = true;
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
}
}
else
{
bool stop = false;
//check stop
if (mBuyOrSell == 1)
{
if (!stop && prePrice.l < mImeStopPrice)
{
stop = true;
double profit = calLoss(mVol, mImeStopPrice - mTradePrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop && prePrice.c < mCloseStopPrice)
{
stop = true;
double profit = calLoss(mVol, prePrice.c - mTradePrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop)
{
double newCloseStopPrice = prePrice.c - bs.mCloseStopAtr * atr;
double newImeStopPrice = prePrice.c - bs.mImeStopAtr * atr;
if (newCloseStopPrice > mCloseStopPrice)
{
mCloseStopPrice = newCloseStopPrice;
}
if (newImeStopPrice > mImeStopPrice)
{
mImeStopPrice = newImeStopPrice;
}
//Log4netHelper.LogInfo(string.Format("buy update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
}
}
if (mBuyOrSell == -1)
{
if (!stop && prePrice.h > mImeStopPrice)
{
stop = true;
double profit = calLoss(mVol, mTradePrice - mImeStopPrice, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop && prePrice.c > mCloseStopPrice)
{
stop = true;
double profit = calLoss(mVol, mTradePrice - prePrice.c, curTime);
bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);
Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
+ " all_money:" + bs.mMoney.ToString("F2")
+ " time:" + curTime.ToShortDateString());
}
if (!stop)
{
double newCloseStopPrice = prePrice.c + bs.mCloseStopAtr * atr;
double newImeStopPrice = prePrice.c + bs.mImeStopAtr * atr;
if (newCloseStopPrice < mCloseStopPrice)
{
mCloseStopPrice = newCloseStopPrice;
}
if (newImeStopPrice < mImeStopPrice)
{
mImeStopPrice = newImeStopPrice;
}
//Log4netHelper.LogInfo(string.Format("sell update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
}
}
if (stop)
{
mHasVol = false;
}
}
}
}
public CCandleData(OHLC ol, DateTime dt)
{
mPrice = ol;
mCandleTime = dt.Date;
}
public CCandleData(OHLC ol, string dateStr)
{
mPrice = ol;
mCandleTime = CHelp.str2Date(dateStr).Date;
}
public static double toUSD(string currency, DateTime d)
{
double re = 1.0;
if (currency == "USD")
{
re = 1.0;
}
else
{
string symbol = "";
if (currency == "JPY")
{
symbol = "USD_JPY";
}
if (currency == "GBP")
{
symbol = "GBP_USD";
}
if (currency == "EUR")
{
symbol = "EUR_USD";
}
if (currency == "CHF")
{
symbol = "USD_CHF";
}
if (currency == "CAD")
{
symbol = "USD_CAD";
}
if (currency == "AUD")
{
symbol = "AUD_USD";
}
if (currency == "NZD")
{
symbol = "NZD_USD";
}
if (currency == "HKD")
{
symbol = "USD_HKD";
}
OHLC p = new OHLC();
getRecentPrice(symbol, d, out p);
if (symbol.StartsWith("USD"))
{
return(1.0 / p.c);
}
else
{
return(p.c);
}
/*
* OHLC p = new OHLC();
* string symbol = currency + "_USD";
* bool hasP = getRecentPrice(symbol, d, out p);
* if(hasP)
* {
* re = p.c;
* }
* if(!hasP)
* {
* symbol = "USD_" + currency;
* hasP = getRecentPrice(symbol, d, out p);
* re = 1/p.c;
* }
*/
}
return(re);
}
