private void AssertForwardData(string code, int start, int end, List <string> list_OnBar)
{
IDataPackage_Code dataPackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end, 0, 0);
List <KLinePeriod> usedKLinePeriods = new List <KLinePeriod>();
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Hour);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Day);
ForwardReferedPeriods referedPeriods = new ForwardReferedPeriods(usedKLinePeriods, true, true);
DataForForward_Code dataForForward = new DataForForward_Code(dataPackage, referedPeriods);
List <int> tradingDays = dataForForward.TradingDayReader.GetAllTradingDays();
dataForForward.TradingDay = tradingDays[0];
ForwardDataIndeier indeier = new ForwardDataIndeier(dataForForward);
IKLineData_Extend klineData = dataForForward.MainKLine;
int currentBarPos = klineData.BarPos;
for (int i = 0; i < tradingDays.Count; i++)
{
int tradingDay = tradingDays[i];
dataForForward.TradingDay = tradingDay;
currentBarPos = Forward(dataForForward, indeier, tradingDay, currentBarPos, list_OnBar);
}
}
private void AssertText(string code, int start, int end, string fileName)
{
List <string> list_OnBar = new List <string>();
IDataPackage_Code datapackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end, 0, 0);
IKLineData_Extend klineData = datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
ITickData tickData = datapackage.GetTickData(start);
KLineToTickIndeier indeier = new KLineToTickIndeier(tickData, klineData);
int lastBarPos;
for (int i = 0; i < tickData.Length; i++)
{
list_OnBar.Add("tick:" + tickData.GetBar(i));
Console.WriteLine("tick:" + tickData.GetBar(i));
int pos = indeier.GetKLineBarPosIfFinished(i, out lastBarPos);
if (pos >= 0)
{
list_OnBar.Add(klineData.Period + ":" + klineData.GetBar(pos));
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(pos));
for (int m = pos + 1; m <= lastBarPos; m++)
{
list_OnBar.Add(klineData.Period + ":" + klineData.GetBar(m));
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(m));
//lastBarPos = 1;
}
}
}
AssertUtils.AssertEqual_List(fileName, GetType(), list_OnBar);
}
private int Forward(DataForForward_Code dataForForward, ForwardDataIndeier indeier, int tradingDay, int klineIndex, List <string> list_OnBar)
{
IKLineData_Extend klineData = dataForForward.GetMainKLineData();
ITickData_Extend tickData = dataForForward.CurrentTickData;
int lastMainKLineBarPos;
int mainBarPos = 0;
KLinePeriod mainPeriod = dataForForward.MainKLinePeriod;
for (int i = 0; i < tickData.Length; i++)
{
tickData.BarPos = i;
Console.WriteLine("tick:" + tickData);
list_OnBar.Add("tick:" + tickData);
mainBarPos = indeier.GetMainKLineBarPosIfFinished(i, out lastMainKLineBarPos);
if (mainBarPos < 0)
{
continue;
}
PrintData(dataForForward, indeier, klineData, mainBarPos, mainPeriod, list_OnBar);
if (lastMainKLineBarPos >= 0 && lastMainKLineBarPos != mainBarPos)
{
for (int m = mainBarPos + 1; m <= lastMainKLineBarPos; m++)
{
PrintData(dataForForward, indeier, klineData, m, mainPeriod, list_OnBar);
}
}
}
return(mainBarPos);
}
private void DealEvent_OnBar()
{
if (isDayStart)
{
return;
}
if (OnBar != null && forwardPeriod.KlineForwardPeriod != null)
{
bool isForwardPeriodEnd = dic_KLinePeriod_IsEnd[forwardPeriod.KlineForwardPeriod];
if (isForwardPeriodEnd)
{
barFinishedInfos.Clear();
for (int i = 0; i < forwardData.ReferedKLinePeriods.Count; i++)
{
KLinePeriod period = forwardData.ReferedKLinePeriods[i];
bool isPeriodEnd = dic_KLinePeriod_IsEnd[period];
if (isPeriodEnd)
{
IKLineData_Extend klineData = forwardData.GetKLineData(period);
int barPos = klineData.BarPos - 1;
if (IsDayEnd)
{
barPos++;
}
barFinishedInfos.Add(new ForwardOnbar_Info(klineData, barPos));
}
}
//OnBar(this, mainKlineData, mainKlineData.BarPos);
OnBar(this, onBarArgument);
}
}
}
private void RealTimeReader_OnBar(object sender, IForwardOnBarArgument argument)
{
OnBar_ReferedStrategies(this.Strategy, argument);
IKLineData_Extend mainKLineData = argument.MainBar.KLineData;
if (this.strategyExecutorInfo != null)
{
this.strategyExecutorInfo.CurrentKLineData = mainKLineData;
}
if (HasBarFinishedEvent())
{
if (tempBarFinishedArguments == null)
{
tempBarFinishedArguments = new StrategyBarFinishedArguments(this.strategyExecutorInfo);
}
DealBarFinishEvent(tempBarFinishedArguments);
}
if (HasDayFinishedEvent() && mainKLineData.IsDayEnd())
{
if (tempDayFinishedArguments == null)
{
tempDayFinishedArguments = new StrategyDayFinishedArguments(this.strategyExecutorInfo);
}
DealDayFinishEvent(tempDayFinishedArguments);
}
this.strategyExecutorInfo.CurrentKLineData = mainKLineData;
this.strategyExecutorInfo.CurrentDay = mainKLineData.GetTradingTime().TradingDay;
if (mainKLineData.IsDayStart())
{
this.strategyExecutorInfo.CurrentDayIndex++;
//this.strategyExecutorInfo.CurrentDay = mainKLineData.GetTradingTime().TradingDay;
}
}
private void IndexKLineData(int mainIndex, double time)
{
foreach (KLinePeriod period in data.ReferedKLinePeriods)
{
if (period.Equals(data.MainKLinePeriod))
{
continue;
}
if (period.PeriodType >= KLineTimeType.DAY)
{
if (period.Period == 1)
{
IKLineData_Extend mainKlineData = data.GetMainKLineData();
//if (mainKlineData.IsDayEnd(mainIndex))
if (mainKlineData.IsDayStart(mainIndex))
{
int currentDayIndex = GetCurrentIndex(period);
AddOnBarData(mainIndex - 1, period, currentDayIndex);
dic_Period_CurrentIndex[period] = currentDayIndex + 1;
}
}
continue;
}
IKLineData_RealTime klineData = data.GetKLineData(period);
int barIndex = FindBarIndex(klineData, time, GetCurrentIndex(period));
if (barIndex >= klineData.BarPos)
{
int endBarMainKLineIndex = mainIndex - 1;
AddOnBarData(endBarMainKLineIndex, period, barIndex);
dic_Period_CurrentIndex[period] = barIndex;
}
}
}
public StrategyDrawer(IDataPackage_Code dataPackage, StrategyReferedPeriods referPeriods)
{
this.dataPackage = dataPackage;
foreach (KLinePeriod period in referPeriods.UsedKLinePeriods)
{
IKLineData_Extend klineData = dataPackage.GetKLineData(period);
dic_KLinePeriod_Start.Add(period, klineData.BarPos);
dic_KLinePeriod_DataKey.Add(period, new KLineKey(dataPackage.Code, dataPackage.StartDate, dataPackage.EndDate, period));
}
}
/// <summary>
/// 得到指定周期的K线
/// </summary>
/// <param name="period"></param>
/// <returns></returns>
public IKLineData_Extend GetKLineData(KLinePeriod period)
{
if (dic_Period_KLineData.ContainsKey(period))
{
return(dic_Period_KLineData[period]);
}
IKLineData_Extend klineData = dataReader.KLineDataReader.GetData_Extend(code, startDate, endDate, minBefore, minAfter, period);
dic_Period_KLineData.Add(period, klineData);
return(klineData);
}
public void TestGetKLineExtend_Second()
{
IDataReader dataReader = DataCenter.Default.DataReader;
IKLineData_Extend klineData = dataReader.KLineDataReader.GetData_Extend("rb1801", 20170801, KLinePeriod.KLinePeriod_5Second);
//AssertUtils.PrintKLineData(klineData);
AssertUtils.AssertEqual_KLineData("KLineData_RB1801_20170801_5Second", GetType(), klineData);
klineData = dataReader.KLineDataReader.GetData_Extend("rb1801", 20170801, KLinePeriod.KLinePeriod_15Second);
//AssertUtils.PrintKLineData(klineData);
AssertUtils.AssertEqual_KLineData("KLineData_RB1801_20170801_15Second", GetType(), klineData);
}
private static double GetEndTime(IKLineData_Extend klineData, int barPos)
{
if (klineData.Period.PeriodType >= KLineTimeType.DAY)
{
return(klineData.Time);
}
double endTime = klineData.GetKLinePeriodEndTime(barPos);
if (barPos < klineData.Length - 1 && klineData.IsTradingPeriodEnd(barPos))
{
endTime = (endTime + klineData.Arr_Time[barPos + 1]) / 2;
}
return(endTime);
}
private void ForwardCurrentBar()
{
IKLineData_Extend mainKLineData = this.dataForForward.GetMainKLineData();
ITickBar tickBar = dataForForward.CurrentTickData.GetCurrentBar();
ForwardCurrentBar(mainKLineData, tickBar);
foreach (KLinePeriod period in dataForForward.ReferedKLinePeriods)
{
if (dataForForward.MainKLinePeriod.Equals(period))
{
continue;
}
ForwardCurrentBar(dataForForward.GetKLineData(period), tickBar);
}
}
private void Index()
{
IKLineData_RealTime mainKLineData = data.GetMainKLineData();
IKLineData_Extend klineData = mainKLineData.GetKLineData_Original();
for (int i = klineData.BarPos + 1; i < klineData.Length; i++)
{
if (i == klineData.Length - 1)
{
IndexEndBarPos();
continue;
}
double time = klineData.Arr_Time[i];
IndexKLineData(i, time);
}
}
public IKLineData_Extend GetKLineData_Second(int date, KLinePeriod period)
{
if (dic_Period_SecondKLineData.ContainsKey(period))
{
KLineDataSecond klineData = dic_Period_SecondKLineData[period];
if (date == klineData.Date)
{
return(klineData.KlineData);
}
}
IKLineData_Extend klineData_Extend = dataReader.KLineDataReader.GetData_Extend(code, date, period);
KLineDataSecond klineDataSecond = new KLineDataSecond();
klineDataSecond.Date = date;
klineDataSecond.KlineData = klineData_Extend;
dic_Period_SecondKLineData[period] = klineDataSecond;
return(klineData_Extend);
}
public void TestTimeLineToKLine()
{
string code = "RB1710";
int start = 20170601;
int end = 20170605;
IDataPackage_Code datapackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end, 0, 0);
IKLineData_Extend klineData = datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
//IKLineData_Extend klineData = datapackage.GetKLineData(KLinePeriod.KLinePeriod_5Minute);
IList <int> tradingDays = datapackage.GetTradingDays();
ITimeLineData timeLineData = datapackage.GetTimeLineData(tradingDays[0]);
TimeLineToKLineIndeier indeier = new TimeLineToKLineIndeier(klineData, timeLineData);
int tradingDayIndex = 0;
bool isFirst = true;
for (int i = klineData.BarPos; i < klineData.Length; i++)
{
if (!isFirst && klineData.IsDayStart(i))
{
tradingDayIndex++;
if (tradingDayIndex >= tradingDays.Count)
{
return;
}
timeLineData = datapackage.GetTimeLineData(tradingDays[tradingDayIndex]);
indeier.ChangeTradingDay(timeLineData);
}
isFirst = false;
klineData.BarPos = i;
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(i));
int barPos = indeier.GetTimeLineBarPosIfFinished(i);
if (barPos >= 0)
{
timeLineData.BarPos = barPos;
Console.WriteLine("分时线:" + timeLineData.GetBar(barPos));
}
Assert.AreEqual(klineData.Time, timeLineData.Time);
Assert.AreEqual(klineData.End, timeLineData.Price);
}
}
private static void DoIndex(List <string> list_OnBar, IKLineData_Extend klineData, ITickData tickData, KLineToTickIndeier indeier)
{
int lastBarPos;
for (int i = 0; i < tickData.Length; i++)
{
list_OnBar.Add("tick:" + tickData.GetBar(i));
Console.WriteLine("tick:" + tickData.GetBar(i));
int pos = indeier.GetKLineBarPosIfFinished(i, out lastBarPos);
if (pos >= 0)
{
list_OnBar.Add(klineData.Period + ":" + klineData.GetBar(pos));
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(pos));
for (int m = pos + 1; m <= lastBarPos; m++)
{
list_OnBar.Add(klineData.Period + ":" + klineData.GetBar(m));
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(m));
}
}
}
}
private void DealEvent_OnBar()
{
if (OnBar != null && forwardPeriod.KlineForwardPeriod != null)
{
bool isForwardPeriodEnd = IsPeriodEnd(forwardPeriod.KlineForwardPeriod);
if (isForwardPeriodEnd)
{
barFinishedInfos.Clear();
for (int i = 0; i < dataForForward_Code.ReferedKLinePeriods.Count; i++)
{
KLinePeriod period = dataForForward_Code.ReferedKLinePeriods[i];
bool isPeriodEnd = IsPeriodEnd(period);
if (isPeriodEnd)
{
IKLineData_Extend klineData = dataForForward_Code.GetKLineData(period);
barFinishedInfos.Add(new ForwardOnbar_Info(klineData, klineData.BarPos));
}
}
OnBar(this, onBarArgument);
}
}
}
private void AssertKLineToKLine(string code, int start, int end, List <string> list_OnBar)
{
IDataPackage_Code datapackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end);
IKLineData_Extend mainKLine = datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
IList <IKLineData_Extend> indexKLines = new List <IKLineData_Extend>();
indexKLines.Add(datapackage.GetKLineData(KLinePeriod.KLinePeriod_5Minute));
indexKLines.Add(datapackage.GetKLineData(KLinePeriod.KLinePeriod_15Minute));
indexKLines.Add(datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Hour));
indexKLines.Add(datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Day));
KLineToKLineIndeier indeier = new KLineToKLineIndeier(mainKLine, indexKLines);
int startMainPos = mainKLine.BarPos;
int endMainPos = mainKLine.Length - 1;
for (int i = startMainPos; i <= endMainPos; i++)
{
Console.WriteLine(mainKLine.Period + ":" + mainKLine.GetBar(i));
list_OnBar.Add(mainKLine.Period + ":" + mainKLine.GetBar(i));
PrintKLines(i, indeier, indexKLines, list_OnBar);
}
}
public void TestKLineDataExtendDayStart()
{
string code = "RB1710";
int start = 20170601;
int end = 20170603;
IKLineData_Extend klineData = DataCenter.Default.DataReader.KLineDataReader.GetData_Extend(code, start, end, KLinePeriod.KLinePeriod_1Minute);
int barPos = klineData.BarPos;
for (int i = 0; i < klineData.Length; i++)
{
Console.WriteLine(i + ":" + klineData.GetBar(i).ToString());
}
Assert.IsTrue(klineData.IsDayStart());
klineData.BarPos += 1;
Assert.IsFalse(klineData.IsDayStart());
Assert.IsFalse(klineData.IsDayStart(barPos + 1));
Assert.IsFalse(klineData.IsDayEnd(12));
Assert.IsTrue(klineData.IsDayEnd(344));
Assert.IsTrue(klineData.IsDayStart(345));
}
public void TestExecuteStrategy_MA()
{
string code = "rb1710";
int start = 20170601;
int end = 20170603;
IStrategyExecutor_Single executor = StrategyTestUtils.CreateExecutor_CodePeriod(code, start, end);
MockStrategy_Ma strategy = new MockStrategy_Ma();
executor.Strategy = strategy;
executor.Run();
List <float> floats = strategy.MAList;
IDataPackage_Code dataPackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end);
IKLineData_Extend klineData = dataPackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
List <float> floats2 = KLineDataUtils.MaList(klineData, klineData.BarPos, klineData.Length - 1, 5);
for (int i = 0; i < floats.Count; i++)
{
Console.WriteLine(floats[i] + "," + floats2[i]);
}
AssertUtils.AssertEqual_List(floats2, floats);
}
public void TestKLineToTick_Days()
{
string code = "RB1710";
int start = 20170601;
int end = 20170605;
List <string> list_OnBar = new List <string>();
IDataPackage_Code datapackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end, 0, 0);
IKLineData_Extend klineData = datapackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
IList <int> tradingDays = datapackage.GetTradingDays();
ITickData tickData = datapackage.GetTickData(tradingDays[0]);
KLineToTickIndeier indeier = new KLineToTickIndeier(tickData, klineData);
DoIndex(list_OnBar, klineData, tickData, indeier);
for (int i = 1; i < tradingDays.Count; i++)
{
tickData = datapackage.GetTickData(tradingDays[i]);
indeier.ChangeTradingDay(tickData);
DoIndex(list_OnBar, klineData, tickData, indeier);
}
}
public IKLineData_RealTime CreateKLineData_RealTime_Second(int date, KLinePeriod period)
{
IKLineData_Extend klineData = GetKLineData_Second(date, period);
return(new KLineDataExtend_RealTime(klineData));
}
public ForwardOnbar_Info(IKLineData_Extend klineData, int finishedBarPos)
{
this.klineData = klineData;
this.finishedBarPos = finishedBarPos;
}
public StrategyOnBarInfo(IKLineData_Extend klineData, int finishedBarPos) : base(klineData, finishedBarPos)
{
}
public void ChangeTradingDay(ITickData tickData, IKLineData_Extend klineData)
{
this.tickData = tickData;
this.klineData = klineData;
Index();
}
public KLineToTickIndeier(ITickData tickData, IKLineData_Extend klineData)
{
this.tickData = tickData;
this.klineData = klineData;
Index();
}
public KLineToKLineIndeier(IKLineData_Extend mainKLine, IList <IKLineData_Extend> indexKLines)
{
this.mainKLine = mainKLine;
this.indexKLines = indexKLines;
this.Index();
}
public IKLineData_RealTime CreateKLineData_RealTime(KLinePeriod period)
{
IKLineData_Extend klineData = GetKLineData(period);
return(new KLineDataExtend_RealTime(klineData));
}
private void ForwardNextBar(IKLineData_Extend mainKLineData)
{
}
public KLineDataExtend_RealTime(IKLineData_Extend klineData) : base(klineData)
{
//this.klineData_Extend = klineData;
}
private static void PrintData(DataForForward_Code dataForForward, ForwardDataIndeier indeier, IKLineData_Extend klineData, int mainBarPos, KLinePeriod mainPeriod, List <string> list_OnBar)
{
Console.WriteLine(klineData.Period + ":" + klineData.GetBar(mainBarPos));
list_OnBar.Add(klineData.Period + ":" + klineData.GetBar(mainBarPos));
for (int m = 0; m < dataForForward.ReferedKLinePeriods.Count; m++)
{
KLinePeriod period = dataForForward.ReferedKLinePeriods[m];
if (mainPeriod.Equals(period))
{
continue;
}
int barPos = indeier.GetOtherKLineBarPosIfFinished(mainBarPos, period);
if (barPos >= 0)
{
IKLineData otherKLine = dataForForward.GetKLineData(period);
Console.WriteLine(period + ":" + otherKLine.GetBar(barPos));
list_OnBar.Add(period + ":" + otherKLine.GetBar(barPos));
}
}
Console.WriteLine("分时线:" + dataForForward.CurrentTimeLineData.GetBar(mainBarPos));
list_OnBar.Add("分时线:" + dataForForward.CurrentTimeLineData.GetBar(mainBarPos));
}
