public List <FXModes.MqlRates> RatesByPositions(string symbol, string timeframe, int startPosition, int count)
{
RetryConnecting();
if (count <= 0 || startPosition < 0)
{
return(new List <FXModes.MqlRates>());
}
ENUM_TIMEFRAMES enumTimeframe = (ENUM_TIMEFRAMES)Enum.Parse(typeof(ENUM_TIMEFRAMES), timeframe);
var candles = new MqlRates[count];
mtApi5Client.CopyRates(symbol, enumTimeframe, startPosition, count, out candles);
//This is done so that time is not ignored from xml
var newCandles = new List <FXModes.MqlRates>();
foreach (var m in candles)
{
newCandles.Add(new FXModes.MqlRates
{
time = m.time,
close = m.close,
high = m.high,
low = m.low,
mt_time = m.mt_time,
open = m.open,
real_volume = m.real_volume,
spread = m.spread,
tick_volume = m.tick_volume
});
}
return(newCandles);
}
// </summary>
// <param name="timeframe">Timeframe to do scanning on</param>
// <param name="startDateString">Lower bound date in format yyyyMMddHHmmss</param>
// <param name="endDateString">Upper bound date in format yyyyMMddHHmmss</param>
// <returns>List of Engulfings</returns>
public List <FXModes.MqlRates> RatesByDates(string symbol, string timeframe, string startDateString, string endDateString)
{
RetryConnecting();
var startDate = DateTime.ParseExact(startDateString, "yyyyMMddHHmmss", CultureInfo.InvariantCulture);
var endDate = DateTime.ParseExact(endDateString, "yyyyMMddHHmmss", CultureInfo.InvariantCulture);
if ((endDate - startDate).TotalMinutes <= TimeframeHelper.GetMinutesFromForTimeframe(timeframe))
{
return(new List <FXModes.MqlRates>());
}
if ((mtApi5Client.TimeCurrent() - startDate).TotalMinutes <= TimeframeHelper.GetMinutesFromForTimeframe(timeframe))
{
return(new List <FXModes.MqlRates>());
}
ENUM_TIMEFRAMES enumTimeframe = (ENUM_TIMEFRAMES)Enum.Parse(typeof(ENUM_TIMEFRAMES), timeframe);
int size = (int)((endDate - startDate).TotalMinutes / (TimeframeHelper.GetMinutesFromForTimeframe(timeframe)));
var candles = new MqlRates[size];
mtApi5Client.CopyRates(symbol, enumTimeframe, startDate, endDate, out candles);
//This is done so that time is not ignored from xml
var newCandles = new List <FXModes.MqlRates>();
foreach (var m in candles)
{
newCandles.Add(new FXModes.MqlRates
{
time = m.time,
close = m.close,
high = m.high,
low = m.low,
mt_time = m.mt_time,
open = m.open,
real_volume = m.real_volume,
spread = m.spread,
tick_volume = m.tick_volume
});
}
return(newCandles);
}
public FXModes.MqlRates CurrentIncompleteCandle(string symbol, string timeframe)
{
RetryConnecting();
ENUM_TIMEFRAMES enumTimeframe = (ENUM_TIMEFRAMES)Enum.Parse(typeof(ENUM_TIMEFRAMES), timeframe);
var candles = new MqlRates[1];
mtApi5Client.CopyRates(symbol, enumTimeframe, 0, 1, out candles);
var m = candles[0];
//This is done so that time is not ignored from xml
return(new FXModes.MqlRates
{
time = m.time,
close = m.close,
high = m.high,
low = m.low,
mt_time = m.mt_time,
open = m.open,
real_volume = m.real_volume,
spread = m.spread,
tick_volume = m.tick_volume
});
}
// 注意修改rate.time（例如M15，需要加60*15）
public static void ImportToDb(string symbol, string period, int periodTime_cnt, MqlRates[] rate, Dictionary<string, Dictionary<long, double>> inds)
{
string symbolPeriod = symbol + "_" + period;
string symbolPeriodTime = symbol + "_" + period +
(periodTime_cnt == 1 ? (period == "M5" ? "_3" : "_4") : string.Empty) +
(periodTime_cnt == 2 ? (period == "M5" ? "_12" : "_16") : string.Empty) +
(periodTime_cnt == 3 ? (period == "M5" ? "_48" : "_64") : string.Empty);
//DateTime maxDate = (DateTime)DbHelper.Instance.ExecuteScalar(string.Format("SELECT ISNULL(MAX(Date), '2001.01.01') FROM {0}", m_symbolPeriod));
//DateTime minDate = (DateTime)DbHelper.Instance.ExecuteScalar(string.Format("SELECT ISNULL(MIN(Date), '2012.01.01') FROM {0}", m_symbolPeriod));
bool deleteFirst = false;
if (deleteFirst)
{
DbHelper.Instance.ExecuteNonQuery(string.Format("TRUNCATE TABLE {0}", symbolPeriodTime));
}
System.Data.DataTable dt;
try
{
dt = DbHelper.Instance.ExecuteDataTable(string.Format("SELECT Time FROM {0} WHERE Spread > 0 ORDER BY Time", symbolPeriodTime));
}
catch (Exception)
{
string sql = @"CREATE TABLE [dbo].[{0}](
[Time] [bigint] NOT NULL,
[Date] [datetime] NOT NULL,
[hour] [int] NOT NULL,
[dayofweek] [int] NOT NULL,
[open] [float] NOT NULL,
[close] [float] NOT NULL,
[high] [float] NOT NULL,
[low] [float] NOT NULL,
[spread] [int] NULL,
[AskVolume] [float] NULL,
[BidVolume] [float] NULL,
[AMA_9_2_30] [float] NULL,
[ADX_14] [float] NULL,
[ADX_14_P] [float] NULL,
[ADX_14_M] [float] NULL,
[ADXWilder_14] [float] NULL,
[ADXWilder_14_P] [float] NULL,
[ADXWilder_14_M] [float] NULL,
[Bands_20_2] [float] NULL,
[DEMA_14] [float] NULL,
[FrAMA_14] [float] NULL,
[MA_10] [float] NULL,
[TEMA_14] [float] NULL,
[VIDyA_9_12] [float] NULL,
[ATR_14] [float] NULL,
[BearsPower_13] [float] NULL,
[BullsPower_13] [float] NULL,
[CCI_14] [float] NULL,
[DeMarker_14] [float] NULL,
[MACD_12_26_9_M] [float] NULL,
[MACD_12_26_9_S] [float] NULL,
[RSI_14] [float] NULL,
[RVI_10_M] [float] NULL,
[RVI_10_S] [float] NULL,
[Stochastic_5_3_3_M] [float] NULL,
[Stochastic_5_3_3_S] [float] NULL,
[TriX_14] [float] NULL,
[WPR_14] [float] NULL,
CONSTRAINT [PK_{0}] PRIMARY KEY CLUSTERED
(
[Time] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]";
string sql_m1 = @"CREATE TABLE [dbo].[{0}](
[Time] [bigint] NOT NULL,
[Date] [datetime] NOT NULL,
[hour] [int] NOT NULL,
[dayofweek] [int] NOT NULL,
[open] [float] NOT NULL,
[close] [float] NOT NULL,
[high] [float] NOT NULL,
[low] [float] NOT NULL,
[spread] [int] NOT NULL,
CONSTRAINT [PK_{0}] PRIMARY KEY CLUSTERED
(
[Time] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON) ON [PRIMARY]
) ON [PRIMARY]";
if (period == "M1")
{
DbHelper.Instance.ExecuteNonQuery(string.Format(sql_m1, symbolPeriod));
}
else
{
DbHelper.Instance.ExecuteNonQuery(string.Format(sql, symbolPeriod));
}
dt = DbHelper.Instance.ExecuteDataTable(string.Format("SELECT Time FROM {0} WHERE Spread > 0 ORDER BY Time", symbolPeriodTime));
}
Dictionary<long, long> existRows = new Dictionary<long, long>();
foreach (System.Data.DataRow row in dt.Rows)
{
long time = (long)row["Time"];
existRows[time] = time;
}
dt = DbHelper.Instance.ExecuteDataTable(string.Format("SELECT * FROM {0} WHERE Time = -1", symbolPeriodTime));
Dictionary<long, int> rateExist = new Dictionary<long, int>();
for (int n = 0; n < rate.Length; ++n)
{
long newtime = rate[n].time;// 放在前面了 +60 * WekaUtils.GetMinuteofPeriod(period);
DateTime newDate = WekaUtils.GetDateFromTime(newtime);
if (rateExist.ContainsKey(newtime))
{
continue;
}
rateExist[newtime] = 1;
if (newDate.DayOfWeek == DayOfWeek.Saturday)
{
//WekaUtils.DebugAssert(newDate.Hour == 0 && newDate.Minute == 0 && newDate.Second == 0, "newDate.Hour == 0 && newDate.Minute == 0 && newDate.Second == 0");
if (newDate.Hour == 0 && newDate.Minute == 0 && newDate.Second == 0)
{
newDate = newDate.AddDays(2);
newtime = newtime + (long)(new TimeSpan(2, 0, 0, 0).TotalSeconds);
}
else
{
continue;
}
}
else if (newDate.DayOfWeek == DayOfWeek.Sunday)
{
Console.WriteLine(string.Format("{0} is Sunday", newDate.ToString(Parameters.DateTimeFormat)));
continue;
}
if (existRows.ContainsKey(newtime))// newDate >= minDate && newDate <= maxDate)
{
continue;
}
if (rate[n].open == rate[n].close && rate[n].open == rate[n].low && rate[n].open == rate[n].high)
{
Console.WriteLine(string.Format("{0} is all same price", newDate.ToString(Parameters.DateTimeFormat)));
//continue;
}
{
System.Data.DataRow row = dt.NewRow();
row["Time"] = newtime;
row["Date"] = newDate;
row["hour"] = newDate.Hour;
row["dayofweek"] = newDate.DayOfWeek;
row["open"] = rate[n].open;
row["close"] = rate[n].close;
row["high"] = rate[n].high;
row["low"] = rate[n].low;
row["spread"] = rate[n].spread;
if (period != "M1" && inds != null)
{
foreach (var kvp in inds)
{
if (kvp.Value.ContainsKey(rate[n].time))
{
row[kvp.Key] = kvp.Value[rate[n].time];
}
else
{
row[kvp.Key] = 0;
}
}
}
dt.Rows.Add(row);
}
}
System.Console.WriteLine(string.Format("{0} has {1}, write {2}", symbolPeriodTime, existRows.Count, dt.Rows.Count));
Feng.Data.DbHelper.Instance.BulkCopy(dt, symbolPeriodTime);
//int n = 0;
//Func<bool> f2 = () => n >= rate.Length;
//Func<SqlCommand[]> f1 = () =>
//{
// SqlCommand cmd = null;
// long newtime = rate[n].time + 60 * WekaUtils.GetMinuteofPeriod(period);
// DateTime newDate = WekaUtils.GetDateFromTime(newtime);
// if (existRows.ContainsKey(newtime))// newDate >= minDate && newDate <= maxDate)
// {
// }
// else
// {
// //if (!ind2.ContainsKey(rate[i].time / 3600 * 3600))
// //{
// // WriteLog("No indicator of " + rate[i].time);
// // continue;
// //}
// string sql = string.Format("INSERT INTO [{0}] ([time],[date],[hour],[dayofweek],[open],[close],[high],[low],[spread]", symbolPeriodTime);
// foreach (var kvp in inds)
// {
// sql += ",[" + kvp.Key + "]";
// }
// sql += ") VALUES (@time, @date, @hour,@dayofweek,@open, @close,@high,@low,@spread";
// foreach (var kvp in inds)
// {
// sql += ",@" + kvp.Key;
// }
// sql += ")";
// cmd = new SqlCommand(sql);
// cmd.Parameters.AddWithValue("@time", newtime);
// cmd.Parameters.AddWithValue("@date", newDate);
// cmd.Parameters.AddWithValue("@hour", newDate.Hour);
// cmd.Parameters.AddWithValue("@dayofweek", newDate.DayOfWeek);
// cmd.Parameters.AddWithValue("@open", rate[n].open);
// cmd.Parameters.AddWithValue("@close", rate[n].close);
// cmd.Parameters.AddWithValue("@high", rate[n].high);
// cmd.Parameters.AddWithValue("@low", rate[n].low);
// //cmd.Parameters.AddWithValue("@tick_volume", rate[i].tick_volume);
// cmd.Parameters.AddWithValue("@spread", rate[n].spread);
// //cmd.Parameters.AddWithValue("@real_volume", rate[i].real_volume);
// foreach (var kvp in inds)
// {
// if (kvp.Value.ContainsKey(rate[n].time))
// {
// cmd.Parameters.AddWithValue("@" + kvp.Key, kvp.Value[rate[n].time]);
// }
// else
// {
// cmd.Parameters.AddWithValue("@" + kvp.Key, 0);
// }
// }
// }
// n++;
// if (cmd != null)
// {
// return new SqlCommand[] { cmd };
// }
// else
// {
// return null;
// }
//};
//DbUtils.BatchDb(f1, f2);
}
public static void GeneratePeriodData(string symbol, string period, int aheadHour)
{
//var rateM1 = MT5Data.ReadRates(symbol + "_M1");
var rateM1 = DbData.Instance.ReadRates(symbol + "_M1");
List<MqlRates> ratesNew = new List<MqlRates>();
for(int i=0; i<rateM1.Length; ++i)
{
rateM1[i].time += aheadHour * 3600;
}
int newPeriodSecond = 60 * WekaUtils.GetMinuteofPeriod(period);
MqlRates newRate = new MqlRates();
newRate.low = double.MaxValue;
newRate.open = rateM1[0].open;
newRate.time = rateM1[0].time / newPeriodSecond * newPeriodSecond;
int cnt = 0;
for(int i=1; i<rateM1.Length; ++i)
{
if (rateM1[i].time - newRate.time >= newPeriodSecond)
{
if (newRate.low != double.MaxValue && newRate.high != 0)
{
if (cnt > newPeriodSecond / 60 / 8)
{
ratesNew.Add(newRate);
}
}
else
{
}
newRate = new MqlRates();
newRate.low = double.MaxValue;
newRate.open = rateM1[i].open;
newRate.time = rateM1[i].time / newPeriodSecond * newPeriodSecond;
cnt = 0;
}
else
{
newRate.high = Math.Max(newRate.high, rateM1[i].high);
newRate.low = Math.Min(newRate.low, rateM1[i].low);
newRate.real_volume += rateM1[i].real_volume;
newRate.spread = Math.Max(newRate.spread, rateM1[i].spread);
newRate.tick_volume += rateM1[i].tick_volume;
newRate.close = rateM1[i].close;
cnt++;
}
}
var rate = ratesNew.ToArray();
for (int n = 0; n < rate.Length; ++n)
{
long newtime = rate[n].time + 60 * WekaUtils.GetMinuteofPeriod(period);
rate[n].time = newtime;
}
ImportToDb(symbol, period, 0, rate, null);
}
private static bool CheckTimeIdx(long time, MqlRates[] rates, ref int idx)
{
if (idx >= 0)
return true;
idx = ~idx;
if (idx >= 0 && idx < rates.Length && (rates[idx].time - time) / 60 <= 60 * 24)
return true;
return false;
}
//private ParameterdCandidateStrategy _realDealsCandidate;
public void RunOnTick(long nowTime, MqlRates nowRate)
{
// We now updateHpData on every bar
//DateTime nowDate = WekaUtils.GetDateFromTime(nowTime);
//if (!TestParameters2.UseFutureHpData)
//{
// realDealsCandidate.ExecuteCandidateNowDeals(nowDate, nowRate);
//}
}
private void ExecuteCandidateNowDeals(DateTime nowDate, MqlRates nowRate)
{
foreach (var kvp in m_classifierInfos)
{
var clsInfo = kvp.Value;
clsInfo.Deals.NowDeals(nowDate, nowRate);
}
}
public void NowDeals(DateTime nowTime, MqlRates nowRate)
{
if (!TestParameters2.RealTimeMode)
{
WekaUtils.Instance.WriteLog("in not realTimeMode, NowDeals should not be called.");
return;
}
m_nowTime = nowTime;
m_nowPrice = nowRate;
foreach (var i in m_deals)
{
if (i.OpenTime >= m_nowTime)
continue;
if (!i.CloseTime.HasValue)
{
CalculateDealCloseTimeOnly(i);
}
}
}
public void OnTick(MqlRates mqlRate, double zigzag, ReturnActionInfo returnAction)
{
//if (mqlRate.time != (new DateTime(2010, 5, 3, 16, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
//if (mqlRate.time < (new DateTime(2009, 08, 10, 07, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
//if (mqlRate.time > (new DateTime(2010, 08, 10, 07, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
if (zigzag == 0)
return;
if (m_lastTime == mqlRate.time && m_lastZigzag == zigzag)
return;
if (m_isCalculating)
return;
m_isCalculating = true;
m_lastTime = mqlRate.time;
m_lastZigzag = zigzag;
try
{
int nowRatePos = m_simulator.Rates.Count - 1;
int nowZigzagPos = this.ZigzagValues.Count - 1;
// Add Data
if ((m_simulator.Rates[m_simulator.Rates.Count - 1].time - Parameters.MtStartTime).TotalSeconds < mqlRate.time)
{
m_simulator.Rates.Add(new ZigzagRate
{
time = Parameters.MtStartTime.AddSeconds(mqlRate.time),
open = mqlRate.open,
high = mqlRate.high,
low = mqlRate.low,
close = mqlRate.close,
tick_volume = mqlRate.tick_volume,
spread = mqlRate.spread,
real_volume = mqlRate.real_volume,
zigzag = zigzag
});
nowRatePos++;
if (zigzag != 0)
{
this.ZigzagValues.Add(zigzag);
this.ZigzagToRatePos.Add(m_simulator.Rates.Count - 1);
nowZigzagPos++;
}
}
else if ((m_simulator.Rates[m_simulator.Rates.Count - 1].time - Parameters.MtStartTime).TotalSeconds == mqlRate.time)
{
var v = m_simulator.Rates[m_simulator.Rates.Count - 1];
v.open = mqlRate.open;
v.high = mqlRate.high;
v.low = mqlRate.low;
v.close = mqlRate.close;
v.tick_volume = mqlRate.tick_volume;
v.spread = mqlRate.spread;
v.real_volume = mqlRate.real_volume;
v.zigzag = zigzag;
if (zigzag != this.ZigzagValues[this.ZigzagValues.Count - 1])
{
this.ZigzagValues[this.ZigzagValues.Count - 1] = zigzag;
}
}
else
{
for (int i = 0; i < m_simulator.Rates.Count; ++i)
{
if ((m_simulator.Rates[i].time - Parameters.MtStartTime).TotalSeconds == mqlRate.time)
{
nowRatePos = i;
break;
}
}
for (int i = 0; i < this.ZigzagToRatePos.Count; ++i)
{
if (this.ZigzagToRatePos[i] > nowRatePos)
{
nowZigzagPos = i - 1;
break;
}
}
//throw new ArgumentException("Invalid mqlRate's Time in OnTick!");
}
if (nowZigzagPos < m_zigzagPatternLength)
{
return;
}
if (nowZigzagPos == m_lastZigzagPos)
{
return;
}
m_lastZigzagPos = nowZigzagPos;
Dictionary<int, int> priceStatIn = new Dictionary<int, int>();
Dictionary<int, int> priceStatOut = new Dictionary<int, int>();
List<List<ZigzagRate>> likeRatesList = new List<List<ZigzagRate>>();
double[] nowZigzag = new double[m_zigzagPatternLength];
double[] prevZigzag = new double[m_zigzagPatternLength];
for (int i = 0; i < m_zigzagPatternLength; ++i)
{
nowZigzag[i] = this.ZigzagValues[nowZigzagPos + i + 1 - m_zigzagPatternLength]; //
}
Normalize(nowZigzag);
for (int j = m_zigzagPatternLength - 1; j < nowZigzagPos; ++j)
{
// 加 1 - m_zigzagPatternLength为朝后看
for (int i = 0; i < m_zigzagPatternLength; ++i)
{
prevZigzag[i] = this.ZigzagValues[j + i + 1 - m_zigzagPatternLength];
}
Normalize(prevZigzag);
double[] ret;
if (m_simiCache[nowZigzagPos, j, 0] != 0)
{
ret = new double[] { m_simiCache[nowZigzagPos, j, 0], m_simiCache[nowZigzagPos, j, 1] };
}
else
{
//ret = weka.timeseries.SimilarityAnalysis.GetSimilarity(nowZigzag, prevZigzag);
//m_simiCache[nowZigzagPos, j, 0] = ret[0];
//m_simiCache[nowZigzagPos, j, 1] = ret[1];
ret = new double[1] { 0 };
}
if (ret[0] < m_zigzagSimilarityFreqE && ret[1] < m_zigzagSimilarityTimeE)
{
//GetPriceStat(this.ZigzagToRatePos[j], 0, 50, priceStatIn);
//GetPriceStat(this.ZigzagToRatePos[j], 50, 200, priceStatOut);
var l = new List<ZigzagRate>();
likeRatesList.Add(l);
for (int i = 0; i < 120; ++i)
{
l.Add(m_simulator.Rates[this.ZigzagToRatePos[j] + i]);
}
}
}
if (likeRatesList.Count == 0)
return;
double maxP = double.MinValue;
int maxDealType = 0, maxBl = 0, maxTp = 0, maxSl = 0;
for (int i = 0; i <= 20; i += 5)
{
for (int tp = 20; tp <= 100; tp += 5)
{
for (int sl = 10; sl < 50; sl += 5)
{
double profit = 0;
foreach (List<ZigzagRate> l in likeRatesList)
{
bool hasPosition = false;
double dealPrice = 0;
double nowPrice = l[0].open;
foreach (ZigzagRate r in l)
{
if (!hasPosition)
{
double price = nowPrice - i * 0.0001;
if (price >= r.low && price < r.high)
{
hasPosition = true;
dealPrice = price;
}
}
else
{
if (dealPrice + tp * 0.0001 >= r.low && dealPrice + tp * 0.0001 < r.high)
{
profit += tp;
break;
}
else if (dealPrice - sl * 0.0001 + this.Spread * 0.0001 >= r.low && dealPrice - sl * 0.0001 + this.Spread * 0.0001 < r.high)
{
profit -= sl;
break;
}
}
}
}
if (profit > 0 && profit > maxP)
{
maxDealType = 1;
maxP = profit;
maxBl = i;
maxTp = tp;
maxSl = sl;
}
// sell
profit = 0;
foreach (List<ZigzagRate> l in likeRatesList)
{
bool hasPosition = false;
double dealPrice = 0;
double nowPrice = l[0].open;
foreach (ZigzagRate r in l)
{
if (!hasPosition)
{
double price = nowPrice + i * 0.0001;
if (price + this.Spread * 0.0001 >= r.low && price + this.Spread * 0.0001 < r.high)
{
hasPosition = true;
dealPrice = price;
}
}
else
{
if (dealPrice - tp * 0.0001 - this.Spread * 0.0001 >= r.low && dealPrice - tp * 0.0001 - this.Spread * 0.0001 < r.high)
{
profit += tp;
break;
}
else if (dealPrice + sl * 0.0001 >= r.low && dealPrice + sl * 0.0001 < r.high)
{
profit -= sl;
break;
}
}
}
}
if (profit > 0 && profit > maxP)
{
maxDealType = -1;
maxP = profit;
maxBl = i;
maxTp = tp;
maxSl = sl;
}
}
}
}
using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order_detail.txt", true))
{
sw.WriteLine(string.Format("{0}, {1}, {2}, {3}, {4}, {5}, {6}", nowZigzagPos, maxDealType, maxBl, maxTp, maxSl, maxP, Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm")));
}
using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
{
if (maxDealType == 1)
{
sw.WriteLine(string.Format("Buy, {0}, {1}, {2}, {3}, {4}", Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxBl, maxTp, maxSl, maxP));
}
else if (maxDealType == -1)
{
sw.WriteLine(string.Format("Sell, {0}, {1}, {2}, {3}, {4}", Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxBl, maxTp, maxSl, maxP));
}
}
//if (priceStatIn.Count == 0 && priceStatOut.Count == 0)
// return;
//double count = 0, count2 = 0;
//foreach (var dealIn in priceStatIn)
// count += dealIn.Value;
//foreach (var dealOut in priceStatOut)
// count2 += dealOut.Value;
//double maxPSell = double.MinValue, minPSell = double.MaxValue, allPSell = 0;
//double maxPBuy = double.MinValue, minPBuy = double.MaxValue, allPBuy = 0;
//int maxDealInBuy = 0, maxDealOutBuy = 0;
//int maxDealInSell = 0, maxDealOutSell = 0;
//foreach (var dealIn in priceStatIn)
//{
// foreach (var dealOut in priceStatOut)
// {
// int profitSell = 0, profitBuy = 0;
// profitBuy = dealOut.Key - dealIn.Key - this.Spread;
// profitSell = dealIn.Key - dealOut.Key - this.Spread;
// double prob = (dealIn.Value / count) * (dealOut.Value / count2);
// double p1 = prob * profitBuy;
// double p2 = prob * profitSell;
// if (p1 > maxPBuy)
// {
// maxPBuy = p1;
// maxDealInBuy = dealIn.Key;
// maxDealOutBuy = dealOut.Key;
// }
// if (p1 < minPBuy)
// {
// minPBuy = p1;
// }
// if (p2 > maxPSell)
// {
// maxPSell = p2;
// maxDealInSell = dealIn.Key;
// maxDealOutSell = dealOut.Key;
// }
// if (p2 < minPSell)
// {
// minPSell = p2;
// }
// allPBuy += p1;
// allPSell += p2;
// }
//}
//if (allPBuy > allPSell && allPBuy > 0)
////if (maxPBuy > maxPSell && maxPBuy > 0)
//{
// returnAction.DealType = 1;
// returnAction.DealIn = maxDealInBuy;
// returnAction.DealOut = maxDealOutBuy;
// returnAction.WinProb = allPBuy;
// returnAction.LoseProb = minPBuy;
// using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
// {
// sw.WriteLine(string.Format("Buy, {0}, {1}, {2}, {3}, {4}", this.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxDealInBuy, maxDealOutBuy, allPBuy.ToString("N2"), minPBuy.ToString("N2")));
// }
//}
//else if (allPSell > allPBuy && allPSell > 0)
////else if (maxPSell > maxPBuy && maxPSell > 0)
//{
// returnAction.DealType = -1;
// returnAction.DealIn = maxDealInSell;
// returnAction.DealOut = maxDealOutSell;
// returnAction.WinProb = allPSell;
// returnAction.LoseProb = minPSell;
// using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
// {
// sw.WriteLine(string.Format("Sell, {0}, {1}, {2}, {3}, {4}", this.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxDealInSell, maxDealOutSell, allPSell.ToString("N2"), minPSell.ToString("N2")));
// }
//}
//else
//{
// returnAction.DealType = 0;
//}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
finally
{
m_isCalculating = false;
}
}
