/// <summary>
/// 根据priceType（高开低收、成交量、持仓量），对input[0]进行升周期更新
/// </summary>
void updatePeriodUpper(PriceType priceType, NumericSeries input)
{
switch (priceType)
{
case PriceType.H:
input[0] = Math.Max(input[0], this.Highs[0]);
break;
case PriceType.L:
input[0] = Math.Min(input[0], this.Lows[0]);
break;
case PriceType.O:
//tmp = this.O;
break;
case PriceType.C:
input[0] = this.Closes[0];
break;
case PriceType.V:
input[0] += this.Volumes[0];
break;
case PriceType.I:
input[0] = this.OpenInts[0];
break;
}
}
/// <summary>
/// 指标构造器
/// </summary>
/// <param name="input">输入参数序列，如对于SUM指标，输入参数序列Input就是计算对象</param>
/// <param name="periods">周期参数，由于可能不止一个，所以设置为参数数组 params；对于SMA，由于周期参数只有一个，所以就只输入一个周期值</param>
protected Indicator(NumericSeries input, params Numeric[] periods)
{
//输入序列（Input）和周期参数（Periods）
this.Input = input;
this.Periods = periods;
//获得父类、子类（Indicator）中所有字段（field）,选出DataSeries类型的实例。
var fields_In_CurrentType = GetType().GetFields(this.Bf);
foreach (FieldInfo fi in fields_In_CurrentType)
{
bool isCustomSeries = !(NonCustomSeriesNames.IndexOf(fi.Name) >= 0);
if (isCustomSeries && fi.FieldType == typeof(NumericSeries))
{
NumericSeries customSeries = (NumericSeries)fi.GetValue(this);
//若用户自定义序列为null则初始化
if (customSeries == null)
{
fi.SetValue(this, new NumericSeries());
customSeries = (NumericSeries)fi.GetValue(this);
}
//Value等其他用户在子类中定义的DataSeries添加到CustomSeries
this.DictCustomSeries[fi.Name] = customSeries;
//Value、自定义序列Input（TRs）
//customSeries.Idc = this;
}
}
}
/// <summary>
/// 跨周期引用
/// </summary>
/// <param name="priceType"></param>
/// <param name="interval">周期数</param>
/// <param name="type">周期类型:周/月/年时interval无效</param>
/// <returns></returns>
public NumericSeries PeriodUpper(PriceType priceType, int interval = 1, PeriodType type = PeriodType.Day)
{
NumericSeries rtn = new NumericSeries();
DictPeriodValue.TryAdd(new Tuple <PriceType, int, PeriodType>(priceType, interval, type), rtn);
DictPeriodTime.TryAdd(new Tuple <PriceType, int, PeriodType>(priceType, interval, type), new DateTimeSeries());
return(rtn);
}
/// <summary>
/// 求和，包含当前元素值(Price[0])
/// </summary>
/// <param name="Price"></param>
/// <param name="Lenth"></param>
/// <returns></returns>
static public Numeric Summation(NumericSeries Price, int Lenth)
{
Numeric sumValue = 0;
for (int i = 0; i < Lenth; i++)
{
sumValue += Price[i];
}
return(sumValue);
}
/// <summary>
/// 最近pPeriod期pSeries的最小值
/// </summary>
/// <param name="pSeries"></param>
/// <param name="pPeriod"></param>
/// <returns></returns>
public Numeric Lowest(NumericSeries pSeries, Numeric pPeriod)
{
Numeric rtn = Numeric.MaxValue;
for (int i = 0; i < pPeriod; ++i)
{
if (pSeries[i] < rtn)
{
rtn = pSeries[i];
}
}
return(rtn);
}
/// <summary>
/// 最近pPeriod期pSeries的最大值
/// </summary>
/// <param name="pSeries"></param>
/// <param name="pPeriod"></param>
/// <returns></returns>
public Numeric Highest(NumericSeries pSeries, Numeric pPeriod)
{
//_inds.GetOrAdd(string.Format("Highest_{0}_{1}", pSeries.SeriesName, pPeriod), new Highest(pSeries, (int) pPeriod));
Numeric rtn = Numeric.MinValue;
for (int i = 0; i < pPeriod; ++i)
{
if (pSeries[i] > rtn)
{
rtn = pSeries[i];
}
}
return(rtn);
}
/// <summary>
/// 计算指定周期内的数值型序列值的平均值，如果Price序列的数量小于Length，则返回Price[0]。
/// </summary>
/// <param name="Price"></param>
/// <param name="Length"></param>
/// <returns></returns>
static public Numeric Average(NumericSeries Price, int Length)
{
if (Price.Count < Length)
{
return(Price[0]);
}
else
{
Numeric tmp = 0;
for (int i = 0; i < Length; i++)
{
tmp += Price[i];
}
return(tmp / Length);
}
}
/// <summary>
/// 计算指定周期内的数值序列值的指数平均值，如果Price序列的数量小于Length，则返回Price[0]
/// </summary>
/// <returns>经过指数平均的序列</returns>
static public NumericSeries XAverage(NumericSeries Price, int Length)
{
Numeric sFactor = 2.0 / (Length + 1);
NumericSeries XAvgValues = new NumericSeries();
for (int i = 0; i < Price.Count; i++)
{
int j = Price.Count - i;
if (i == 0)
{
XAvgValues.Add(Price[j - 1]);
}
else
{
XAvgValues.Add(XAvgValues[j] + sFactor * (Price[j - 1] - XAvgValues[j]));
}
}
return(XAvgValues);
}
//TB引用转换:初始化 OpenD、HighD、LowD、CloseD、MinMove、PriceScale
void TBInit()
{
FormulaName = this.Name;
//新建一天级别的 OpenD、HighD、LowD、CloseD，并且添加到字典：DicPeriodValue、DicPeriodTime
_OpenD = PeriodUpper(PriceType.O, 1, PeriodType.Day);
_HighD = PeriodUpper(PriceType.H, 1, PeriodType.Day);
_LowD = PeriodUpper(PriceType.L, 1, PeriodType.Day);
_CloseD = PeriodUpper(PriceType.C, 1, PeriodType.Day);
//最小价格变动单位 MinMove、PriceScale
if (InstrumentInfo.PriceTick >= 1)
{
MinMove = (int)InstrumentInfo.PriceTick;
}
else
{
PriceScale = (Numeric)Math.Pow(10, -Math.Round(InstrumentInfo.PriceTick, 6).ToString().TrimEnd('0').Split('.')[1].Length);
MinMove = (int)(InstrumentInfo.PriceTick / PriceScale);
}
}
/// <summary>
/// Strategy装载BarSerieses，将历史BarSeries加入到StrategyData中
/// </summary>
public void LoadBarSerieses(params BarSeries[] barSeries)
{
//清理StrategyData和BarSerieses
this.StrategyDatas.Clear();
this.BarSerieses.Clear();
bool _real = false;
foreach (BarSeries bars in barSeries)
{
//装载策略中使用到的BarSeries至StrategyData
this.BarSerieses.Add(bars);
StrategyData sd = new StrategyData(bars);
//每当上个Bar完成更新，则调用策略更新
bars.OnLastBarComplete += this.UpdateStrategy;
//sd.OnRtnOrder += (o, d) =>
//{
// if (_rtnOrder != null && _real)
// _rtnOrder(o, d, this);
//};
this.StrategyDatas.Add(sd);
}
//初始化TB相关数据，初始化 OpenD、HighD、LowD、CloseD、MinMove、PriceScale
TBInit();
//调用客户初始化函数
this.Initialize();
#region ==========初始化所有指标和用户自定义序列==========
//所有指标赋值
this._indicators.Clear();
foreach (var idx in GetType().GetFields(this.Bf)
.Where(n => n.FieldType.BaseType == typeof(Indicator)))
{
Indicator i = (Indicator)idx.GetValue(this);
if (i == null)
{
throw new Exception("指标未初始化!");
}
this._indicators.Add(i);
}
//【添加】重置所有指标的输入,指向新的new 的 strategyData
foreach (var i in this._indicators)
{
ResetInput(i, true);
}
//所有用户自定义序列
this._costomSeries.Clear();
var fields_In_CurrentType = GetType().GetFields(this.Bf).Where(n => n.FieldType == typeof(NumericSeries)).ToArray();
foreach (var fi in fields_In_CurrentType)
{
//非K线数据:存入
if (this.NonCustomSeriesNames.IndexOf((string)fi.GetType().GetProperty("Name").GetValue(fi, null)) >= 0)
{
continue;
}
NumericSeries customSeries = (NumericSeries)fi.GetValue(this);
if (customSeries == null)
{
fi.SetValue(this, new NumericSeries());
}
this._costomSeries.Add((NumericSeries)fi.GetValue(this)); //setvalue后要重新getvalue
}
#endregion ==========初始化所有指标和用户自定义序列==========
//this.Test();
_real = true; //控制实盘发单
//this.Initialize(); //再次调用客户初始化函数: 首次调用时,数据源不正确
}
/// <summary>
/// Strategy在调用其Update时，执行该函数。根据周期类型，更新DicPeriodTime、DicPeriodValue
/// </summary>
void periodUpper()
{
foreach (var item in this.DictPeriodValue)
{
NumericSeries tmp = null;
switch (item.Key.Item1)
{
case PriceType.H:
tmp = this.Highs;
break;
case PriceType.L:
tmp = this.Lows;
break;
case PriceType.O:
tmp = this.Opens;
break;
case PriceType.C:
tmp = this.Closes;
break;
case PriceType.V:
tmp = this.Volumes;
break;
case PriceType.I:
tmp = this.OpenInts;
break;
}
DateTime dt0 = DateTime.ParseExact(this.NumDateTimes[0].ToString("00000000.000000"), "yyyyMMdd.HHmmss", null);
DateTime dtID;
switch (item.Key.Item3)
{
case PeriodType.Minute:
dtID = new DateTime(dt0.Year, dt0.Month, dt0.Day, dt0.Hour, dt0.Minute, 0);
if (this.DictPeriodTime[item.Key].Count == 0 || (dt0.Minute % item.Key.Item2 == 0 && this.DictPeriodTime[item.Key][0] != dtID))
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
case PeriodType.Hour:
dtID = new DateTime(dt0.Year, dt0.Month, dt0.Day, dt0.Hour, 0, 0);
if (this.DictPeriodTime[item.Key].Count == 0 || this.DictPeriodTime[item.Key][0] != dtID)
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
case PeriodType.Day:
dtID = new DateTime(dt0.Year, dt0.Month, dt0.Day);
if (this.DictPeriodTime[item.Key].Count == 0 || this.DictPeriodTime[item.Key][0] != dtID)
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
case PeriodType.Week:
dtID = dt0.AddDays(1 - (int)dt0.DayOfWeek);
dtID = new DateTime(dtID.Year, dtID.Month, dtID.Day);
if (this.DictPeriodTime[item.Key].Count == 0 || this.DictPeriodTime[item.Key][0] != dtID)
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
case PeriodType.Month:
dtID = new DateTime(dt0.Year, dt0.Month, 1);
if (this.DictPeriodTime[item.Key].Count == 0 || this.DictPeriodTime[item.Key][0] != dtID)
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
case PeriodType.Year:
dtID = new DateTime(dt0.Year, 1, 1);
if (this.DictPeriodTime[item.Key].Count == 0 || this.DictPeriodTime[item.Key][0] != dtID)
{
this.DictPeriodTime[item.Key].Add(dtID);
item.Value.Add(tmp[0]);
break; //不执行update
}
else
{
updatePeriodUpper(item.Key.Item1, item.Value);
}
break;
}
}
}