public bool addInstruction2Wating(string code, CInstruction instruction)
{
decimal range = Limit.getInstance().getLimitRange(code);
if (range != 0.10m)
{
string info = "";
if (range == 0.05m)
{
info = "ST stock";
}
else if (range == 0m)
{
info = "unkown object";
}
Console.Write("Error-addInstruction2Wating: " + info + " (" + code + ")");
return(false);
}
lock (lockInstructions)
{
registry2RDC(code);
if (instruction.id == 0)
{
instruction.id = --idNoneDB;
}
if (!this.dcInstrunctionWaiting.ContainsKey(code))
{
this.dcInstrunctionWaiting.Add(code, new Dictionary <long, CInstruction>());
}
this.dcInstrunctionWaiting[code].Add(instruction.id, instruction);
}
return(true);
}
static void Main(string[] args)
{
/*
* string szTime = DateTime.Now.ToString("HHmmss");
* while (string.Compare(szTime, "091500") < 0
|| string.Compare(szTime, "150000") > 0)
||{
|| Console.WriteLine(szTime);
|| System.Threading.Thread.Sleep(1000);
|| szTime = DateTime.Now.ToString("HHmmss");
||}
*/
StringBuilder sErrInfo = new StringBuilder(256);
int ret = TradeXB.OpenTdx(sErrInfo);
if (ret < 0)
{
Console.WriteLine("TradeXB.OpenTdx error: " + sErrInfo);
Console.ReadLine();
return;
}
RealtimeDataCenter.getInstance(5, "999999,399001,399006", RealtimeDataCenter.EDataSource.tradeX);
Limit.getInstance();
Reactor.getInstance();
TN tn = new TN();
MAID maid = new MAID();
RI ri = new RI();
RT rt = new RT();
while (true)
{
Console.ReadLine();
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
//Console.Write(1);
CInstruction[] inss = getInstructionFromWaitingByCode(rd.code);
if (inss != null)
{
foreach (var instruction in inss)
{
//:open or close instruction preprocess
string szTime = DateTime.Now.ToString("HHmmss");
if (string.Compare(szTime, CInstruction.szExecOpenTimeBegin) < 0 &&
instruction.priceType == (short)EPriceType.OPEN)
{
if (!this.dcCodeLastRdForOpen.ContainsKey(rd.code))
{
this.dcCodeLastRdForOpen.Add(rd.code, rd);
}
else
{
this.dcCodeLastRdForOpen[rd.code] = rd;
}
setTimer(10);
continue;
}
if (string.Compare(szTime, CInstruction.szExecCloseTimeBegin) < 0 &&
instruction.priceType == (short)EPriceType.CLOSE)
{
if (!this.dcCodeLastRdForClose.ContainsKey(rd.code))
{
this.dcCodeLastRdForClose.Add(rd.code, rd);
}
else
{
this.dcCodeLastRdForClose[rd.code] = rd;
}
setTimer(10);
continue;
}
///:~
/*
* if (rd.C == 0) //call auction in open
* {
* }
*/
if (instruction.bingo(rd))
{
decimal range = 0.01m;
EEntryOrExit ee = (EEntryOrExit)instruction.entryOrExit;
if (ee == EEntryOrExit.entry)
{
range = 0.01m;
} //谨慎entry
else if (ee == EEntryOrExit.exit)
{
range = 0.03m;
} //确保exit
//:send
ECategory category = (ECategory)instruction.category;
switch (category)
{
case ECategory.BUY:
case ECategory.RZ_BUY:
case ECategory.RQ_RETURN:
if (instruction.price == null)
{
instruction.price = rd.sell5c[0];
}
if (instruction.price == 0) //limit-up, sell none
{
instruction.price = rd.buy5c[0];
}
instruction.price *= (1m + range);
decimal limitUp = Limit.getInstance().getLimitUp(rd.code, rd.lastC);
if (instruction.price > limitUp)
{
instruction.price = limitUp;
}
if (instruction.priceDesc != null && instruction.priceDesc != 0)
{
if (instruction.price > instruction.priceDesc)
{
instruction.price = instruction.priceDesc;
}
}
break;
case ECategory.SELL:
case ECategory.RQ_SELL:
case ECategory.RZ_RETURN:
if (instruction.price == null)
{
instruction.price = rd.buy5c[0];
}
if (instruction.price == 0) //limit-down, buy none
{
instruction.price = rd.sell5c[0];
}
instruction.price *= (1m - range);
decimal limitDown = Limit.getInstance().getLimitDown(rd.code, rd.lastC);
if (instruction.price < limitDown)
{
instruction.price = limitDown;
}
if (instruction.priceAsc != null && instruction.priceAsc != 0)
{
if (instruction.price < instruction.priceAsc)
{
instruction.price = instruction.priceAsc;
}
}
break;
case ECategory.RQ_Q2Q:
break;
default:
break;
}
instruction.state = (short)EInstructionState.SENT;
instruction.sendTime = DateTime.Now;
instruction.price = Math.Floor((decimal)instruction.price * 100m) / 100m;
//exec
//...SendOrder
//update DB
long maybeOldId = instruction.id;
if (instruction.id > 0)
{
var vs = (from n in db.tsInstructions
where n.id == instruction.id
select n).Single();
instruction.modifyDBObj(ref vs);
db.SubmitChanges();
}
else
{
if (instruction.sso != null)
{
string sqlSSO = instruction.sso.getInsertSql();
string sqlInstruction = instruction.getInsertSql();
long? idSSO = instruction.sso.id;
long? idInstruction = instruction.id;
try
{
db.spAddSSOAndInstruction(sqlSSO, sqlInstruction, ref idSSO, ref idInstruction);
instruction.id = (long)idInstruction;
instruction.sso.id = (long)idSSO;
}
catch (Exception e)
{
Console.WriteLine(e);
Console.WriteLine(sqlSSO);
Console.WriteLine(sqlInstruction);
WriteLog.getInstance().pushData("error2DB: " + sqlSSO + "; " + sqlInstruction);
}
}
}
Console.Write(2);
string ifs = "";
if (instruction.sso != null)
{
ifs = instruction.sso.idForStrategies.ToString();
}
Console.WriteLine("(" + rd.code + "," + ifs + "," + instruction.desc + "," + instruction.sendTime + "," + instruction.price + ")");
//write log
WriteLog.getInstance().pushData(instruction.getLog());
addInstruction2Sent(rd.code, instruction);
removeInstructionFromWating(rd.code, maybeOldId);
///:~
}
}
}
inss = getInstructionFromSentByCode(rd.code);
if (inss != null)
{
foreach (var instruction in inss)
{
//...QueryDatas(Category=2)
bool bSuccesful = false;
ECategory category = (ECategory)instruction.category;
if (category == ECategory.BUY)
{
if (instruction.price > rd.C ||
(instruction.price == rd.C && DateTime.Now.Subtract((DateTime)instruction.sendTime).TotalSeconds > 5))
{
bSuccesful = true;
}
}
else if (category == ECategory.SELL)
{
if (instruction.price < rd.C ||
(instruction.price == rd.C && DateTime.Now.Subtract((DateTime)instruction.sendTime).TotalSeconds > 5))
{
bSuccesful = true;
}
}
if (bSuccesful)
{
instruction.price = rd.C; //...QueryDatas(Category=2)' price
instruction.state = (short)EInstructionState.SUCCESSFUL;
instruction.resultTime = DateTime.Now;
//exec
//update DB
if (instruction.id > 0)
{
var vs = (from n in db.tsInstructions
where n.id == instruction.id
select n).Single();
instruction.modifyDBObj(ref vs);
db.SubmitChanges();
}
Console.Write(3);
Console.WriteLine("(" + rd.code + "," + instruction.resultTime + "," + instruction.price + ")");
//write log
WriteLog.getInstance().pushData(instruction.getLog());
removeInstructionFromSent(rd.code, instruction.id);
}
}
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcWindow.ContainsKey(rd.code))
{
Tuple <decimal, decimal> wind = this.dcWindow[rd.code];
if (rd.L <= wind.Item2) //当日将不再会形成跳空式的关闭窗口（即RI）
{
removeObj(rd.code);
}
else
{
if (rd.C >= wind.Item1)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 > 9.0m) //推测其将limit-up，先买入（此点需继续验证）
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
else if (string.Compare(rd.dt.ToString("HHmmss"), "145940") > 0)
{
bCreate = true;
pt = Reactor.EPriceType.CLOSE;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = wind.Item2 + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RI,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
removeObj(rd.code);
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
}
}
}
}
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcTendency.ContainsKey(rd.code))
{
decimal[] dcps = this.dcTendency[rd.code].ToArray();
foreach (var dcp in dcps)
{
if (rd.C >= dcp)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 < 3.0m)
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = dcp + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RT,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
//直接removeObj，以及下面的break (foreach)，而不使用下面的注释部分，原因在于：Reactor.EIFS.RT中，同一对象有多个tendency line时，当日只进入一次
removeObj(rd.code);
/*
* this.dcTendency[rd.code].Remove(dcp);
* if (this.dcTendency[rd.code].Count == 0)
* { removeObj(rd.code); }
*/
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
break;
}
}
}
}
}
}
private void worker()
{
bool bExecuted = false;
while (!bExecuted)
{
DateTime dt = DateTime.Now;
if (string.Compare(dt.ToString("HHmmss"), "144000") > 0 &&
string.Compare(dt.ToString("HHmmss"), "155900") < 0)
{
bExecuted = true;
List <KeyValuePair <string, List <coRDC.Bar1M> > > lt1M = new List <KeyValuePair <string, List <coRDC.Bar1M> > >();
coRDC crdc = new coRDC();
crdc.getAll1MBars(ref lt1M);
foreach (var obj in lt1M)
{
string code = obj.Key;
int count = obj.Value.Count;
if (count < 200)
{
continue;
}
int moreAvgInDayCount = 0;
decimal sumV = 0, sum_vm = 0, maxH = 0;
decimal[] avg = new decimal[count];
int idx = 0;
foreach (var b1m in obj.Value)
{
if (b1m.H > maxH)
{
maxH = b1m.H;
}
sumV += b1m.V;
sum_vm += b1m.vm;
if (sumV > 0)
{
avg[idx] = sum_vm / sumV;
if (b1m.C > avg[idx])
{
moreAvgInDayCount++;
}
}
idx++;
}
decimal percent = (decimal)moreAvgInDayCount / count;
if (percent >= 0.50m)
{
decimal lastC = Limit.getInstance().getLastC(code);
if (lastC > 0 &&
maxH != Limit.getInstance().getLimitUp(code, lastC)) //exclude that limit up to drawdown
{
decimal priceAsc = Math.Max(lastC * 1.085m, maxH * 0.999m);
decimal priceDesc = Limit.getInstance().getLimitUp(code, lastC) - 0.01m;
if (priceDesc >= priceAsc)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = priceAsc;
instruction.priceDesc = priceDesc;
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)Reactor.EPriceType.REALTIME;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.MAID,
code = code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
Reactor.getInstance().addInstruction2Wating(code, instruction);
}
}
}
}
}
}
if (!bExecuted)
{
System.Threading.Thread.Sleep(1000);
}
}
}