protected override void CalcBar() {
if (!__bStart) {
double dOpen = Bars.Open[0];
int iBaseTarget = CalculateBaseTarget(dOpen);
__cSCBars = GetBars("TXO0", 'C', iBaseTarget);
__cBCBars = GetBars("TXO0", 'C', iBaseTarget + 100);
__cSPBars = GetBars("TXO0", 'P', iBaseTarget);
__cBPBars = GetBars("TXO0", 'P', iBaseTarget - 100);
}
if (__cSCBars != null && __cSPBars != null && __cBCBars != null && __cBPBars != null) {
__bStart = true;
DateTime cDate = Bars.Time[0].AddSeconds(900);
__cSCBars.MoveBars(cDate);
__cBCBars.MoveBars(cDate);
__cSPBars.MoveBars(cDate);
__cBPBars.MoveBars(cDate);
System.Console.Write("回測時間... {0}", cDate.ToString("yyyy-MM-dd"));
System.Console.CursorLeft = 0;
DateTime cTWIDate = cDate.Date;
if (cTWIDate == __cSCBars.Time[0].Date && cTWIDate == __cSPBars.Time[0].Date && cTWIDate == __cBCBars.Time[0].Date && cTWIDate == __cBPBars.Time[0].Date) {
double dCDiff = __cSCBars.Open[0] - __cBCBars.Open[0];
double dPDiff = __cSPBars.Open[0] - __cBPBars.Open[0];
if (dCDiff < this.GapPoint && dPDiff < this.GapPoint) {
__bStart = false;
return;
}
bool bCALL = false;//dCDiff >= dPDiff;
if (__cReport == null) {
__cReport = new Report();
__cReport.TWIOpen = Bars.Open[0];
__cReport.TWIClose = Bars.Close[0];
__cReport.OPriceB = (bCALL) ? __cBCBars.Close[0] : __cBPBars.Close[0];
__cReport.OPriceS = (bCALL) ? __cSCBars.Close[0] : __cSPBars.Close[0];
__cReport.SymbolB = (bCALL) ? __cBCBars.Request.Symbol : __cBPBars.Request.Symbol;
__cReport.SymbolS = (bCALL) ? __cSCBars.Request.Symbol : __cSPBars.Request.Symbol;
__cReport.TWITime = Bars.Time[0];
}
if (cDate > GetExpiration((bCALL) ? __cSCBars.Request.Symbol : __cSPBars.Request.Symbol, cDate)) { //周選擇權到期日
__cReport.CPriceB = (bCALL) ? __cBCBars.Close[0] : __cBPBars.Close[0];
__cReport.CPriceS = (bCALL) ? __cSCBars.Close[0] : __cSPBars.Close[0];
__cList.Add(__cReport);
__cReport = null;
__bStart = false;
}
}
}
}
private void CreateOrderService(Instrument buyBars, Instrument sellBars) {
if(__cOrderService1 != null) {
__cOrderService1.Dispose();
}
#if __SIMULATE
__cOrderService1 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.SimulateOrderService");
#else
__cOrderService1 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.RealOrderService");
SetPipeNumber(InputAttribute.GetParameters(__cOrderService1), 1, 1);
#endif
__cOrderService1.onResponse += OrderService_onResponse;
__cOrderService1.SetInstrument(buyBars);
__cOrderService1.SetDefaultContracts(1);
__cOrderService1.Initialize();
IOrderCreator cOrderCreator1 = __cOrderService1 as IOrderCreator;
__cBOrderO = cOrderCreator1.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "CALL_BUY", EOrderAction.Buy, OrderExit.FromAll));
__cBOrderC = cOrderCreator1.MarketThisBar(new SOrderParameters(Contracts.Default, "CALL_CLOSE", EOrderAction.Sell, OrderExit.FromAll));
if (log.IsInfoEnabled) log.Info("[CreateOrderService] Set BUY \"Netwings.OrderService;Netwings.SimulateOrderService\" and create...");
if(__cOrderService2 != null) {
__cOrderService2.Dispose();
}
#if __SIMULATE
__cOrderService2 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.SimulateOrderService");
#else
__cOrderService2 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.RealOrderService");
SetPipeNumber(InputAttribute.GetParameters(__cOrderService2), 1, 2);
#endif
__cOrderService2.onResponse += OrderService_onResponse;
__cOrderService2.SetInstrument(sellBars);
__cOrderService2.SetDefaultContracts(1);
__cOrderService2.Initialize();
IOrderCreator cOrderCreator2 = __cOrderService2 as IOrderCreator;
__cSOrderO = cOrderCreator2.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "PUT_SELL", EOrderAction.SellShort, OrderExit.FromAll));
__cSOrderC = cOrderCreator2.MarketThisBar(new SOrderParameters(Contracts.Default, "PUT_CLOSE", EOrderAction.BuyToCover, OrderExit.FromAll));
if (log.IsInfoEnabled) log.Info("[CreateOrderService] Set SELL \"Netwings.OrderService;Netwings.SimulateOrderService\" and create...");
}
protected override void Create() {
#if __BACKTEST
__cCloses = new List<double[]>(1024);
__cCloses.Add(new double[] {0, 0, 0, 0});
#endif
__cTWIBars = BarsOfData(3) as Instrument;
__cSymbolIds = new Dictionary<string, int>(32);
//讀取未平倉量
__cOpenInterest = new OpenInterest(this, 2);
__cOpenInterest.Initialize();
//讀取三大法人多空與未平倉量
__cForeignInvestment = new ForeignInvestment(this, 2);
__cForeignInvestment.Initialize();
//建立歷史波動率指標
__cHistoryV = new HistoryVolatility(this, 2);
//設定計時器(定期抓未平倉量)
__cTimer = new Timer(1000);
__cTimer.AutoReset = false;
__cTimer.Elapsed += Timer_onElapsed;
__cTimer.Start();
}
private void CreateInstrument(DataStream dataStream) {
SeriesSymbolData cSeries = SeriesManager.Manager.GetSeries(dataStream.data);
if (cSeries != null) {
lock (__oLockBars) {
int iIndex = dataStream.index;
Instrument cInstrument = new Instrument(cSeries, (iIndex == 0) ? __iMaxBarsReference : 0);
__cInstruments[iIndex] = cInstrument;
++__iMaxDataStream;
}
if (logger.IsInfoEnabled) logger.InfoFormat("[CStudyControl.CreateInstrument] {0}:{1}{2} Instrument create completed...", dataStream.data.Symbol, dataStream.data.Resolution.Size, dataStream.data.Resolution.Type);
}
}
private static DateTime GetExpiration(Instrument bars) {
InstrumentSettings cSettings = bars.Info as InstrumentSettings;
cSettings.SetExpirationFromTime(bars.BarUpdateTime);
return cSettings.Expiration;
}
/// <summary>
/// 設定 Instrument 資訊
/// </summary>
/// <param name="bars">Instrument 類別</param>
public override void SetInstrument(Instrument bars) {
base.SetInstrument(bars);
__cCurrentPosition.SetBigPointValue(Bars.Info.BigPointValue); //設定每一大點的交易金額
}
/// <summary>
/// 設定 Instrument 資訊
/// </summary>
/// <param name="bars">Instrument 類別</param>
public override void SetInstrument(Instrument bars) {
base.SetInstrument(bars);
__cProperty = (Bars.Info as InstrumentSettings).Property; //取得商品屬性
__cCurrentPosition.SetBigPointValue(__cProperty.BigPointValue); //設定每一大點的交易金額
}
/// <summary>
/// 設定 Instrument 資訊
/// </summary>
/// <param name="bars">Instrument 類別</param>
public virtual void SetInstrument(Instrument bars) {
this.Bars = bars;
}
