public override void OnOrderDone(SingleOrder order)
{
if (order.OrdStatus == OrdStatus.Filled || order.OrdStatus == OrdStatus.PartiallyFilled)
{
string entryDateString = Utils.FormatDate(Position.EntryDate);
string symbol = this.instrument.Symbol;
DQNTradeDBAccess.SaveNewTradeRecord(entryDateString, symbol, 1, this.qValueIn, this.qValueOut, 0);
}
}
//此处不能用OnOrderFilled事件，因为在这个事件中,Position已经销毁了
public override void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
if (report.OrdStatus == OrdStatus.Filled)
{
string symbol = this.instrument.Symbol;
float profit = (float)(Position.GetPnLPercent());
string entryDateString = Utils.FormatDate(Position.EntryDate);
DQNTradeDBAccess.UpdateClosedRecord(entryDateString, symbol, this.holdingPeriod, profit);
}
}
private void GetDataAndPrediction(List <TradeStateRecord> tradeStateRecords, Dictionary <String, Trade> lastTradeDict)
{
Console.WriteLine("共有记录{0}条", tradeStateRecords.Count);
DQNTradeDBAccess.ClearTempRecords();
Console.WriteLine("开始准备数据 ...");
string dealDateString = Utils.FormatDate(this.dealDate);
foreach (TradeStateRecord aStateRecord in tradeStateRecords)
{
Trade lastTrade = lastTradeDict[aStateRecord.Symbol];
if (lastTrade == null)
{
continue;
}
//读取应指数的日线和5分线，证券的日线和分线
string indexSymbol = "";
if (aStateRecord.Symbol.IndexOf("SHSE.") >= 0)
{
indexSymbol = "SHSE.000001";
}
else if (aStateRecord.Symbol.IndexOf("SZSE.3") >= 0)
{
indexSymbol = "SZSE.399006";
}
else
{
indexSymbol = "SZSE.399001";
}
List <Daily> indexDailys = BarFeeder.GetDailys(indexSymbol, Const.IndexDailyPeriod);
List <Bar> indexMin5s = BarFeeder.GetBar5s(indexSymbol, Const.IndexMin5Period);
//***这里多加了当天日线，便于向前复权,以修正价格
List <Daily> stockDailys = BarFeeder.GetDailys(aStateRecord.Symbol, Const.StockDailyPeriod, true, lastTrade);
//日线不足周期数的忽略
if (stockDailys.Count < Const.StockDailyPeriod)
{
continue;
}
List <Bar> stockMin5s = BarFeeder.GetBar5s(aStateRecord.Symbol, Const.StockMin5Period);
//正规化数据
List <NormalBar> indexNormalDailys = BarUtils.NormalBars(indexDailys);
List <NormalBar> indexNormalMin5s = BarUtils.NormalBars(indexMin5s);
List <NormalBar> stockNormalDailys = BarUtils.NormalBars(stockDailys);
List <NormalBar> stockNormalMin5s = BarUtils.NormalBars(stockMin5s);
DQNTradeDBAccess.SaveTempRecord(dealDateString, aStateRecord.Symbol, aStateRecord.HoldingPeriod,
BarUtils.BarsToBsonArray(indexNormalDailys), BarUtils.BarsToBsonArray(indexNormalMin5s),
BarUtils.BarsToBsonArray(stockNormalDailys), BarUtils.BarsToBsonArray(stockNormalMin5s));
}
Console.WriteLine("预测中 ...");
//调用神经网络进行盈利预测
CMDAgent.RunPythonScript(@"E:\pyfiles\trade_dqn_v2.0\trade_prediction.py", dealDateString);
}
protected override bool doJob()
{
bool ret = false;
BarFeeder.Init(this.provider, this.dealTime);
BarFeeder.ClearBars();
string dealTimeString = Utils.FormatTime(this.dealTime);
List <TradeStateRecord> tradeStateRecords = new List <TradeStateRecord>();
List <string> positionSymbols = new List <string>();
//处理已有的头寸
Dictionary <string, DQNExit> exitDict = new Dictionary <string, DQNExit>();
foreach (Behavior behavior in this.strategy.Behaviors)
{
DQNExit exit = behavior as DQNExit;
if (exit != null)
{
string symbol = exit.Instrument.Symbol;
exitDict.Add(symbol, exit);
TradeStateRecord aStateRecord = new TradeStateRecord();
aStateRecord.Symbol = symbol;
aStateRecord.HoldingPeriod = exit.HoldingPeriod;
tradeStateRecords.Add(aStateRecord);
positionSymbols.Add(symbol);
}
}
//Dictionary<String,Trade> lastTradeDict=this.provider.GetLastTrades(positionSymbols,true);
Dictionary <String, Trade> lastTradeDict = new Dictionary <String, Trade>();
foreach (string symbol in positionSymbols)
{
List <Trade> trades = this.provider.GetLastNTrades(symbol, dealTimeString, 1);
if (trades.Count > 0 && trades[0].DateTime.Date == this.dealDate)
{
lastTradeDict[symbol] = trades[0];
}
else
{
lastTradeDict[symbol] = null;
}
}
this.GetDataAndPrediction(tradeStateRecords, lastTradeDict);
foreach (BsonDocument record in DQNTradeDBAccess.GetExitingTempRecords())
{
string symbol = record["Symbol"].AsString;
exitDict[symbol].Deal(record["QValueIn"].AsDouble, record["QValueOut"].AsDouble);
}
//处理当天入场
tradeStateRecords.Clear();
List <string> activeSymbols = new List <String>();
activeSymbols.AddRange(this.provider.GetSymbols("SHSE", 1, 1));
activeSymbols.AddRange(this.provider.GetSymbols("SZSE", 1, 1));
//lastTradeDict=this.provider.GetLastTrades(activeSymbols,true);
foreach (string symbol in activeSymbols)
{
List <Trade> trades = this.provider.GetLastNTrades(symbol, dealTimeString, 1);
if (trades.Count > 0 && trades[0].DateTime.Date == this.dealDate)
{
lastTradeDict[symbol] = trades[0];
}
else
{
lastTradeDict[symbol] = null;
}
}
foreach (KeyValuePair <String, Trade> kvp in lastTradeDict)
{
if (kvp.Value == null)
{
continue;
}
GMTrade gmTrade = (GMTrade)kvp.Value;
if (gmTrade.Price <= 0)
{
continue;
}
if (gmTrade.Price == gmTrade.UpperLimit)
{
continue;
}
if (gmTrade.Price / gmTrade.LastClose - 1 <= 0)
{
continue;
}
if (positionSymbols.Contains(kvp.Key))
{
continue;
}
TradeStateRecord aStateRecord = new TradeStateRecord();
aStateRecord.Symbol = kvp.Key;
aStateRecord.HoldingPeriod = 1;
tradeStateRecords.Add(aStateRecord);
}
this.GetDataAndPrediction(tradeStateRecords, lastTradeDict);
List <string> enteringSymbols = new List <string>();
MongoCursor enteringCursor = DQNTradeDBAccess.GetEnteringTempRecords(5);
foreach (BsonDocument record in enteringCursor)
{
string symbol = record["Symbol"].AsString;
enteringSymbols.Add(symbol);
}
Dictionary <string, Trade> newTradeDict = this.provider.GetLastTrades(enteringSymbols, false);
foreach (BsonDocument record in enteringCursor)
{
string symbol = record["Symbol"].AsString;
double dealPrice = lastTradeDict[symbol].Price;
double newPrice = newTradeDict[symbol].Price;
if (Math.Abs(newPrice / dealPrice - 1) < 0.01)
{
Instrument inst = InstrumentManager.Instruments[symbol];
if (inst != null)
{
DQNEntry entry = new DQNEntry(inst, this.strategy);
this.strategy.AddBehavior(inst, entry);
entry.Deal(record["QValueIn"].AsDouble, record["QValueOut"].AsDouble);
}
}
}
ret = true;
return(ret);
}