public bool Compare(IndicatorValues p1, IndicatorValues p2)
{
bool r = true;
foreach (string k in p1.parametrs.Keys)
{
if (!p2.parametrs.ContainsKey(k) || p2.parametrs[k] != p1.parametrs[k])
{
r = false;
break;
}
}
return(r);
}
private void OneThreadTester(object p)
{
//DateTime lastDtBadIndicator;
GlassGraph threadGlassVisual = new GlassGraph();
ResultOneThreadSumm resTh = new ResultOneThreadSumm();
List <int> oldGlassValue = new List <int>();
List <int> tempListForIndicator = new List <int>();
List <int> tempListForIndicatorAverage = new List <int>();
SortedDictionary <int, int> glass = new SortedDictionary <int, int>();
ParametrsForTest paramTh = (p as ParametrsForTestObj).paramS;
Dictionary <string, DataTableWithCalcValues> dictionaryDT = (p as ParametrsForTestObj).dictionaryDT;
int priceEnterLong, priceEnterShort;
//IndicatorValuesAggregate aggreValues = new IndicatorValuesAggregate(new TimeSpan(TimeSpan.TicksPerMillisecond * 100)); // 100 мс
//TimeSpan timeLong = new TimeSpan();
//TimeSpan timeShort = new TimeSpan();
IndicatorValues calculatedIndidcator;
bool isCalculatedIndicator;
DateTime startThread = DateTime.Now;
foreach (string k in dictionaryDT.Keys)
{
//aggreValues.Reset();
lock (lockObj)
{
isCalculatedIndicator = true;
IndicatorValues tempIval = new IndicatorValues(paramTh, ModeIndicator.glassInterest);
calculatedIndidcator = (p as ParametrsForTestObj).dictionaryDT[k].indicatorvalues.Find(x => x.Compare(x, tempIval));
if (calculatedIndidcator == null)
{
isCalculatedIndicator = false;
(p as ParametrsForTestObj).dictionaryDT[k].indicatorvalues.Add(tempIval);
calculatedIndidcator = (p as ParametrsForTestObj).dictionaryDT[k].indicatorvalues.Find(x => x.Compare(x, tempIval));
}
}
while (isCalculatedIndicator && !calculatedIndidcator.CalculatedFinish) // ждем, пока другой поток завершит рассчет и затем начинаем использовать прощитанные значения
{
}
glass.Clear();
oldGlassValue.Clear();
tempListForIndicator.Clear();
//lastDtBadIndicator = new DateTime();
priceEnterLong = 0; priceEnterShort = 0;
bool indicatorGoToZero = false;
int lotCount = 1;
int? bid = 0, ask = 0;
ResultOneThread resThTemp = new ResultOneThread();
int lossLongValueTemp = paramTh.lossLongValue, profitLongValueTemp = paramTh.profitLongValue;
int lossShortValueTemp = paramTh.lossShortValue, profitShortValueTemp = paramTh.profitShortValue;
resThTemp.shortName = k;
DealInfo dealTemp = null;
DataTable dt = dictionaryDT[k].datatable;//.Copy();
threadGlassVisual.visualAllElements.levelstartglass = (int)paramTh.averageValue;
threadGlassVisual.visualAllElements.levelheightglass = paramTh.glassHeight;
threadGlassVisual.visualAllElements.levelignoreval = paramTh.indicatorEnterValue;
threadGlassVisual.visualAllElements.levelrefilling = paramTh.indicatorExitValue;
int indicator = 0;
int iterationNum = 0; // счетчик строк в текущей DataTable
int? pricetick = 0;
byte? actiontick = 0;
double? volumetick = 0;
int martinLevelTemp = 1;
DateTime dtCurrentRow = new DateTime();
foreach (DataRow dr in dt.Rows)
{
#region торговля
if (DoVisualisation && iterationNum != 0)
{
if (OnInformation != null)
{
OnInformation(InfoElement.tbInformation, dr.Field <DateTime>("dtserver").ToString(@"hh\:mm\:ss\.fff"));
OnInformation(InfoElement.tbInfo2, "ind " + indicator.ToString());
}
if (speedvisual >= 0)
{
Thread.Sleep(new TimeSpan((int)(dr.Field <DateTime>("dtserver").Subtract(dtCurrentRow).TotalMilliseconds *(speedvisual + 1) * 10000)));
}
else
{
Thread.Sleep(new TimeSpan((int)(dr.Field <DateTime>("dtserver").Subtract(dtCurrentRow).TotalMilliseconds / Math.Abs(speedvisual) * 10000)));
}
}
dtCurrentRow = dr.Field <DateTime>("dtserver");
// совершена сделка
if (!dr.IsNull("priceTick") && (pricetick = (int?)dr.Field <float?>("priceTick")) > 0)// && pricetick != (int?)dr.Field<float?>("priceTick")) // вторая часть условия - если перед этим была таже цена - пропускаем
{
if (indicator == 0)
{
indicatorGoToZero = true;
}
actiontick = dr.Field <byte?>("idaction");
volumetick = dr.Field <float?>("volumetick");
if (DoVisualisation && OnAddTick != null)
{
OnAddTick(dtCurrentRow, (double)pricetick, (double)volumetick, actiontick == 2 ? ActionGlassItem.sell : ActionGlassItem.buy);
}
if (priceEnterShort != 0 && indicator > 0 && actiontick == 1)
{
indicatorGoToZero = false;
if (priceEnterShort - ask >= symbolStep)
{
resThTemp.countPDeal++;
resThTemp.profit += (priceEnterShort - (int)ask) * lotCount;
}
else
{
resThTemp.countLDeal++;
resThTemp.loss += ((int)ask - priceEnterShort) * lotCount;;
}
dealTemp.DoExit(dtCurrentRow, (float)ask);
resThTemp.lstAllDeals.Add(dealTemp);
priceEnterShort = 0;
// профит короткая
//if (priceEnterShort - profitShortValueTemp >= ask)
//{
// resThTemp.countPDeal++;
// resThTemp.profit += (priceEnterShort - (int)ask) * lotCount;
// priceEnterShort = 0;
// dealTemp.DoExit(dtCurrentRow, (float)ask);
// //dealTemp.aggreeIndV = aggreValues.ResultAggregate;
// resThTemp.lstAllDeals.Add(dealTemp);
//}
// лосс короткая
//else if (indicator > 0)
//{
// resThTemp.countLDeal++;
// int g = ((int)ask - priceEnterShort) * lotCount;
// resThTemp.loss += g;
// dealTemp.DoExit(dtCurrentRow, (float)ask);
// resThTemp.lstAllDeals.Add(dealTemp);
// priceEnterShort = 0;
// priceEnterLong = (int)ask;
// lotCount += 1;
// dealTemp = new DealInfo(ActionDeal.buy, dtCurrentRow, lotCount, priceEnterLong, indicator);
//}
//else if (priceEnterShort + lossShortValueTemp <= ask)
//{
//if (paramTh.martingValue >= martinLevelTemp)// && indicator < 0)
//{
//martinLevelTemp++;
//lotCount += 1;
//dealTemp.lotsCount = lotCount;
//int delt = (int)Math.Truncate((double)((int)ask - priceEnterShort) / lotCount / 10) * 10;
//profitShortValueTemp = paramTh.profitShortValue + 2 * delt;
//lossShortValueTemp = paramTh.lossShortValue + delt;
//priceEnterShort = priceEnterShort + (int)((int)ask - priceEnterShort) / lotCount;
//if (dealTemp.lstSubDeal.Count > 0)
// dealTemp.lstSubDeal.Last().dtDealLength = dtCurrentRow.TimeOfDay.Subtract(dealTemp.lstSubDeal.Last().dtEnter);
//dealTemp.lstSubDeal.Add(new SubDealInfo(dtCurrentRow, lotCount, ActionDeal.subsell, (float)priceEnterShort, (float)ask, (float)delt, indicator, (float)lossShortValueTemp, (float)profitShortValueTemp));
//dealTemp.lstSubDeal.Last().aggreeIndV = aggreValues.ResultAggregate;
//}
//else
//{
//resThTemp.countLDeal++;
//int g = ((int)ask - priceEnterShort) * lotCount;
//resThTemp.loss += g;
//dealTemp.DoExit(dtCurrentRow, (float)ask);
//dealTemp.aggreeIndV = aggreValues.ResultAggregate;
//resThTemp.lstAllDeals.Add(dealTemp);
//priceEnterShort = 0;
//lotCount = 1;
//}
//}
// трейлим профит
//else if ((ask - paramTh.profitShortValue - 20 > priceEnterShort - profitShortValueTemp) && profitShortValueTemp > 20)
//{
// profitShortValueTemp = priceEnterShort - (int)ask + paramTh.profitShortValue;
//}
}
else if (priceEnterLong != 0 && indicator < 0 && actiontick == 2)
{
indicatorGoToZero = false;
if (bid - priceEnterLong >= symbolStep)
{
resThTemp.countPDeal++;
resThTemp.profit += ((int)bid - priceEnterLong) * lotCount;
}
else
{
resThTemp.countLDeal++;
resThTemp.loss += (priceEnterLong - (int)bid) * lotCount;
}
dealTemp.DoExit(dtCurrentRow, (float)bid);
resThTemp.lstAllDeals.Add(dealTemp);
priceEnterLong = 0;
// профит длиная
//if (priceEnterLong + profitLongValueTemp <= bid)
//{
// resThTemp.countPDeal++;
// resThTemp.profit += ((int)bid - priceEnterLong) * lotCount;
// priceEnterLong = 0;
// dealTemp.DoExit(dtCurrentRow, (float)bid);
// //dealTemp.aggreeIndV = aggreValues.ResultAggregate;
// resThTemp.lstAllDeals.Add(dealTemp);
//}
// лосс длиная
//else if (indicator < 0)
//{
// resThTemp.countLDeal++;
// int g = (priceEnterLong - (int)bid) * lotCount;
// resThTemp.loss += g;
// dealTemp.DoExit(dtCurrentRow, (float)bid);
// resThTemp.lstAllDeals.Add(dealTemp);
// priceEnterLong = 0;
// priceEnterShort = (int)bid;
// lotCount += 1;
// dealTemp = new DealInfo(ActionDeal.sell, dtCurrentRow, lotCount, priceEnterShort, indicator);
//}
//else if (priceEnterLong - lossLongValueTemp >= bid)
//{
//if (paramTh.martingValue >= martinLevelTemp) //&& indicator > 0)
//{
//martinLevelTemp++;
//lotCount += 1;
//dealTemp.lotsCount = lotCount;
//int delt = (int)Math.Truncate((double)(priceEnterLong - (int)bid) / lotCount / 10) * 10;
//profitLongValueTemp = paramTh.profitLongValue + 2 * delt;
//lossLongValueTemp = paramTh.lossLongValue + delt;
//priceEnterLong = priceEnterLong - (int)(priceEnterLong - (int)bid) / lotCount;
//if (dealTemp.lstSubDeal.Count > 0)
// dealTemp.lstSubDeal.Last().dtDealLength = dtCurrentRow.TimeOfDay.Subtract(dealTemp.lstSubDeal.Last().dtEnter);
//dealTemp.lstSubDeal.Add(new SubDealInfo(dtCurrentRow, lotCount, ActionDeal.subbuy, (float)priceEnterLong, (float)bid, (float)delt, indicator, (float)lossLongValueTemp, (float)profitLongValueTemp));
//dealTemp.lstSubDeal.Last().aggreeIndV = aggreValues.ResultAggregate;
//}
//else
//{
//resThTemp.countLDeal++;
//int g = (priceEnterLong - (int)bid) * lotCount;
//resThTemp.loss += g;
//dealTemp.DoExit(dtCurrentRow, (float)bid);
//dealTemp.aggreeIndV = aggreValues.ResultAggregate;
//resThTemp.lstAllDeals.Add(dealTemp);
//priceEnterLong = 0;
//lotCount = 1;
//}
//}
// трейлим профит
//else if ((bid + paramTh.profitLongValue < priceEnterLong + profitLongValueTemp - 20) && profitLongValueTemp > 20)
//{
// profitLongValueTemp = (int)bid + paramTh.profitLongValue - priceEnterLong;
//}
}
if (indicator > 0 && priceEnterLong == 0 && priceEnterShort == 0 && indicatorGoToZero && actiontick == 1)
{
lossLongValueTemp = paramTh.lossLongValue;
profitLongValueTemp = paramTh.profitLongValue;
priceEnterLong = (int)ask;
lotCount = 1;
martinLevelTemp = 1;
dealTemp = new DealInfo(ActionDeal.buy, dtCurrentRow, 1, priceEnterLong, indicator);
}
// вход шорт
else if (indicator < 0 && priceEnterLong == 0 && priceEnterShort == 0 && indicatorGoToZero && actiontick == 2)
{
lossShortValueTemp = paramTh.lossShortValue;
profitShortValueTemp = paramTh.profitShortValue;
priceEnterShort = (int)bid;
lotCount = 1;
martinLevelTemp = 1;
dealTemp = new DealInfo(ActionDeal.sell, dtCurrentRow, 1, priceEnterShort, indicator);
}
}
// изменение в стакане
else if (!dr.IsNull("price"))
{
int updatepricegl = (int)dr.Field <float?>("price");
int updatevolumegl = (int)dr.Field <float?>("volume");
int rownum = (int)dr.Field <int?>("rownum");
int typeprice = (int)dr.Field <int?>("typeprice");
if (rownum == 0)
{
if (typeprice == 1)
{
ask = updatepricegl;
}
else if (typeprice == 2)
{
bid = updatepricegl;
}
}
if (DoVisualisation && OnChangeGlass != null)
{
OnChangeGlass(dtCurrentRow, updatepricegl, updatevolumegl, rownum, typeprice == 1 ? ActionGlassItem.sell : ActionGlassItem.buy);
}
if (!glass.ContainsKey(updatepricegl))
{
glass.Add(updatepricegl, updatevolumegl);
}
else
{
glass[updatepricegl] = updatevolumegl;
if (glass.Count > 50)
{
DateTime dttemp = dtCurrentRow;
if (!isCalculatedIndicator)
{
int sumGlass = 0;
// среднее значение по стакану
for (int i = 0; i < 50 /*threadGlassVisual.visualAllElements.LevelHeightGlass*/; i++)
{
sumGlass += glass.ContainsKey((int)(ask + i * symbolStep)) ? (int)glass[(int)(ask + i * symbolStep)] : 0;
sumGlass += glass.ContainsKey((int)(bid - i * symbolStep)) ? (int)glass[(int)(bid - i * symbolStep)] : 0;
}
int averageGlass = (int)sumGlass / (50 /*threadGlassVisual.visualAllElements.LevelHeightGlass*/ * 2);
int sumlong = 0, sumshort = 0;
int sumlongAverage = 0, sumshortAverage = 0;
tempListForIndicator.Clear();
tempListForIndicatorAverage.Clear();
// новая версия, более взвешенное значение (как год назад)
for (int i = 0; i < 50 /*paramTh.glassHeight*/; i++)
{
if (glass.ContainsKey((int)(ask + i * symbolStep)))
{
sumlong += (int)glass[(int)(ask + i * symbolStep)];
}
if (glass.ContainsKey((int)(bid - i * symbolStep)))
{
sumshort += (int)glass[(int)(bid - i * symbolStep)];
}
sumlongAverage += glass.ContainsKey((int)(ask + i * symbolStep)) &&
glass[(int)(ask + i * symbolStep)] < averageGlass * 100 //paramTh.averageValue
? (int)glass[(int)(ask + i * symbolStep)] : averageGlass * 100; //(int)paramTh.averageValue;
sumshortAverage += glass.ContainsKey((int)(bid - i * symbolStep)) &&
glass[(int)(bid - i * symbolStep)] < averageGlass * 100 //paramTh.averageValue
? (int)glass[(int)(bid - i * symbolStep)] : averageGlass * 100; // (int)paramTh.averageValue;
if (sumlong + sumshort == 0)
{
continue;
}
tempListForIndicator.Add((int)(sumlong - sumshort) * 100 / (sumlong + sumshort));
int tempsumavr = (sumlongAverage + sumshortAverage) == 0 ? 1 : sumlongAverage + sumshortAverage;
tempListForIndicatorAverage.Add((int)(sumlongAverage - sumshortAverage) * 100 / tempsumavr);
}
lock (lockObj)
{
ResultOneTick r = new ResultOneTick();
threadGlassVisual.visualAllElements.CalcSummIndicatorValue(tempListForIndicatorAverage.ToArray(), r);
if (!calculatedIndidcator.values.ContainsKey(dttemp))
{
calculatedIndidcator.values.Add(dttemp, r.valPresetHeight);
}
}
}
else
{
indicator = (int)calculatedIndidcator.values[dttemp];
}
}
}
}
// Обновление котировок
else if (!dr.IsNull("bid"))
{
bid = (int)dr.Field <float?>("bid");
ask = (int)dr.Field <float?>("ask");
}
iterationNum++;
if (iterationNum == dt.Rows.Count)
{
#region Закрыть последнюю сделку, если данные закончились (эмитируем отключение программы)
if (priceEnterLong != 0)
{
if (bid - priceEnterLong > 0)
{
resThTemp.countPDeal++;
resThTemp.profit += ((int)bid - priceEnterLong) * lotCount;
}
else
{
resThTemp.countLDeal++;
resThTemp.loss += (priceEnterLong - (int)bid) * lotCount;
}
dealTemp.DoExit(dtCurrentRow, (float)bid);
//dealTemp.aggreeIndV = aggreValues.ResultAggregate;
resThTemp.lstAllDeals.Add(dealTemp);
priceEnterLong = 0;
lotCount = 1;
}
if (priceEnterShort != 0)
{
if (priceEnterShort - ask > 0)
{
resThTemp.countPDeal++;
resThTemp.profit += (priceEnterShort - (int)ask) * lotCount;
}
else
{
resThTemp.countLDeal++;
resThTemp.loss += ((int)ask - priceEnterShort) * lotCount;
}
dealTemp.DoExit(dtCurrentRow, (float)ask);
//dealTemp.aggreeIndV = aggreValues.ResultAggregate;
resThTemp.lstAllDeals.Add(dealTemp);
priceEnterShort = 0;
lotCount = 1;
}
continue;
#endregion
}
#endregion торговля
} // конец цикла по строка DataTable
lock (lockObj)
{
if (!calculatedIndidcator.CalculatedFinish)
{
calculatedIndidcator.CalculatedFinish = true;
}
}
resThTemp.margin = resThTemp.profit - resThTemp.loss;
resThTemp.profitFac = (float)resThTemp.profit / (float)resThTemp.loss;
// математическое ожидание
resThTemp.matExp = (1 + ((float)resThTemp.profit / (float)resThTemp.countPDeal) / ((float)resThTemp.loss / (float)resThTemp.countLDeal))
* ((float)resThTemp.countPDeal / ((float)resThTemp.countPDeal + (float)resThTemp.countLDeal)) - 1;
resTh.AddOneDayResult(resThTemp);
}
lock (lockObj)
{
resTh.idCycle = (p as ParametrsForTestObj).numThread;
resTh.mutC = (p as ParametrsForTestObj).mutationCount.ToString() + "|" + DateTime.Now.Subtract(startThread).TotalSeconds.ToString() + "с";
resTh.idParam = paramTh.id;
resTh.paramForTest = paramTh;
resTh.glassH = paramTh.glassHeight;
resTh.indicLongVal = paramTh.indicatorEnterValue;
resTh.indicShortVal = paramTh.indicatorExitValue;
resTh.profLongLevel = paramTh.profitLongValue;
resTh.lossLongLevel = paramTh.lossLongValue;
resTh.profShortLevel = paramTh.profitShortValue;
resTh.lossShortLevel = paramTh.lossShortValue;
resTh.martinLevel = paramTh.martingValue;
resTh.delay = paramTh.delay;
resTh.averageVal = paramTh.averageValue;
resTh.margin = resTh.profit - resTh.loss;
resTh.matExp = (1 + ((float)resTh.profit / (float)resTh.countPDeal) / ((float)resTh.loss / (float)resTh.countLDeal))
* ((float)resTh.countPDeal / ((float)resTh.countPDeal + (float)resTh.countLDeal)) - 1;
if (resTh.loss == 0 && resTh.profit == 0)
{
resTh.profitFac = -1;
}
else if (resTh.loss == 0)
{
resTh.profitFac = 999;
}
else
{
resTh.profitFac = (float)resTh.profit / (float)resTh.loss;
}
ResultBestProfitFactor rp = new ResultBestProfitFactor(resTh.idParam, resTh.profitFac, resTh.margin, resTh.matExp);
if (!dicAllProfitResult.ContainsKey(rp))
{
dicAllProfitResult.Add(rp, resTh);
}
if (OnFinishOneThread != null)
{
OnFinishOneThread(resTh);
}
}
}