コード例 #1
0
ファイル: DoBuyerAlpha1.cs プロジェクト: haibo-chen/Security
        public override List <TradeInfo> DoBuy(Properties strategyParam, DateTime d, StrategyContext context)
        {
            //取得行情库
            IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");

            if (repository == null)
            {
                return(null);
            }

            //读取代码
            List <String> codes = LoadCodes(strategyParam, context);

            if (codes == null || codes.Count <= 0)
            {
                return(null);
            }

            //取得策略参数
            double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
            int    p_monthbutpt   = strategyParam.Get <int>("monthbutpt", 0);
            //double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
            double         p_mainforceslope = strategyParam.Get <double>("mainforceslope");
            int            p_mainforcerough = strategyParam.Get <int>("mainforcerough");
            int            p_buypointdays   = strategyParam.Get <int>("buypointdays");
            int            p_maxbuynum      = strategyParam.Get <int>("maxbuynum");
            GetInMode      p_fundpergetin   = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
            GrailParameter p_grail          = GrailParameter.Parse(strategyParam.Get <String>("grail"));
            double         stampduty        = context.Get <double>("stampduty");
            double         volumecommission = context.Get <double>("volumecommission");

            List <TradeInfo> results = new List <TradeInfo>();

            //遍历
            foreach (String code in codes)
            {
                TimeSerialsDataSet ds = repository[code];
                if (ds == null)
                {
                    continue;
                }
                KLine klineDay = ds.DayKLine;
                if (klineDay == null)
                {
                    continue;
                }
                KLineItem klineItemDay = klineDay[d];
                if (klineItemDay == null)
                {
                    continue;
                }

                TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
                if (fundDay == null)
                {
                    continue;
                }
                ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
                if (fundItemDay == null)
                {
                    continue;
                }
                int index = fundDay.IndexOf(fundItemDay);
                if (index <= 0)
                {
                    continue;
                }
                ITimeSeriesItem <List <double> > prevfundItemDay = fundDay[index - 1];

                if (!p_grail.CanBuy(d, code)) //大盘禁止买入的跳过
                {
                    continue;
                }

                if (p_mainforcelow > 0)//判断主力线上穿p_mainforcelow
                {
                    if (fundItemDay.Value[0] < p_mainforcelow)
                    {
                        continue;
                    }
                    if (prevfundItemDay.Value[0] > p_mainforcelow)
                    {
                        continue;
                    }
                }

                if (p_mainforceslope > 0) //判断主力线上升速度超过p_mainforceslope
                {
                    if (fundItemDay.Value[0] - prevfundItemDay.Value[0] < p_mainforceslope)
                    {
                        continue;
                    }
                }

                TradeInfo tradeInfo = new TradeInfo()
                {
                    Direction    = TradeDirection.Buy,
                    Code         = code,
                    Amount       = (int)(p_fundpergetin.Value / klineItemDay.CLOSE),
                    EntrustPrice = klineItemDay.CLOSE,
                    EntrustDate  = d,
                    TradeDate    = d,
                    TradePrice   = klineItemDay.CLOSE,
                    Stamps       = stampduty,
                    Fee          = volumecommission,
                    TradeMethod  = TradeInfo.TM_AUTO,
                    Reason       = (p_mainforcelow <= 0 ? "" : "[主力线低位" + p_mainforcelow.ToString("F2") + "]") + (p_mainforceslope <= 0 ? "" : "[主力线上升速度超过" + p_mainforceslope.ToString("F2") + "]")
                };
                results.Add(tradeInfo);
            }

            return(results);
        }
コード例 #2
0
        public override TradeInfo DoSell(HoldRecord holdRecord, DateTime d, Properties strategyParam, StrategyContext context)
        {
            if (holdRecord == null)
            {
                return(null);
            }

            //取得行情库
            IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");

            if (repository == null)
            {
                return(null);
            }
            TimeSerialsDataSet ds = repository[holdRecord.code];

            if (ds == null)
            {
                return(null);
            }
            KLine     klineDay     = ds.DayKLine;
            KLineItem klineItemDay = klineDay[d];

            if (klineItemDay == null)
            {
                return(null);
            }

            //取得策略参数
            double         p_maxprofilt     = strategyParam.Get <double>("maxprofilt");
            int            p_maxholddays    = strategyParam.Get <int>("maxholddays");
            double         p_stoploss       = strategyParam.Get <double>("stoploss");
            int            p_choosedays     = strategyParam.Get <int>("choosedays");
            double         p_chooseprofilt  = strategyParam.Get <double>("chooseprofilt");
            GrailParameter p_grail          = GrailParameter.Parse(strategyParam.Get <String>("grail"));
            double         stampduty        = context.Get <double>("stampduty");
            double         volumecommission = context.Get <double>("volumecommission");

            //大盘要求必须卖
            if (p_grail.MustSell(d, holdRecord.code))
            {
                TradeInfo tradeInfo = new TradeInfo()
                {
                    Direction    = TradeDirection.Sell,
                    Code         = holdRecord.code,
                    Amount       = holdRecord.amount,
                    EntrustPrice = klineItemDay.CLOSE,
                    EntrustDate  = d,
                    TradeDate    = d,
                    TradePrice   = klineItemDay.CLOSE,
                    Stamps       = stampduty,
                    Fee          = volumecommission,
                    TradeMethod  = TradeInfo.TM_AUTO,
                    Reason       = "大盘指数要求卖出"
                };
                return(tradeInfo);
            }

            double profilt = (klineItemDay.CLOSE - holdRecord.buyPrice) / holdRecord.buyPrice;

            //判断是否到达最大收益
            if (p_maxprofilt > 0)
            {
                if (profilt >= p_maxprofilt)
                {
                    TradeInfo tradeInfo = new TradeInfo()
                    {
                        Direction    = TradeDirection.Sell,
                        Code         = holdRecord.code,
                        Amount       = holdRecord.amount,
                        EntrustPrice = klineItemDay.CLOSE,
                        EntrustDate  = d,
                        TradeDate    = d,
                        TradePrice   = klineItemDay.CLOSE,
                        Stamps       = stampduty,
                        Fee          = volumecommission,
                        TradeMethod  = TradeInfo.TM_AUTO,
                        Reason       = "盈利达到" + p_maxprofilt.ToString("F2")
                    };
                    return(tradeInfo);
                }
            }

            //盈利超过个股预期
            if (holdRecord.expect > 0)
            {
                if (profilt >= p_maxprofilt)
                {
                    TradeInfo tradeInfo = new TradeInfo()
                    {
                        Direction    = TradeDirection.Sell,
                        Code         = holdRecord.code,
                        Amount       = holdRecord.amount,
                        EntrustPrice = klineItemDay.CLOSE,
                        EntrustDate  = d,
                        TradeDate    = d,
                        TradePrice   = klineItemDay.CLOSE,
                        Stamps       = stampduty,
                        Fee          = volumecommission,
                        TradeMethod  = TradeInfo.TM_AUTO,
                        Reason       = "盈利达到个股预期" + holdRecord.expect.ToString("F2")
                    };
                    return(tradeInfo);
                }
            }

            //预期要求立即卖出
            if (holdRecord.expect == -1)
            {
                TradeInfo tradeInfo = new TradeInfo()
                {
                    Direction    = TradeDirection.Sell,
                    Code         = holdRecord.code,
                    Amount       = holdRecord.amount,
                    EntrustPrice = klineItemDay.CLOSE,
                    EntrustDate  = d,
                    TradeDate    = d,
                    TradePrice   = klineItemDay.CLOSE,
                    Stamps       = stampduty,
                    Fee          = volumecommission,
                    TradeMethod  = TradeInfo.TM_AUTO,
                    Reason       = "个股预期极低"
                };
                return(tradeInfo);
            }

            //个股观望天数超过预期
            int holdDays = CalendarUtils.WorkDayCount(holdRecord.buyDate, d);

            if (holdRecord.expect < 0)
            {
                if (holdDays >= holdRecord.expect * -1)
                {
                    TradeInfo tradeInfo = new TradeInfo()
                    {
                        Direction    = TradeDirection.Sell,
                        Code         = holdRecord.code,
                        Amount       = holdRecord.amount,
                        EntrustPrice = klineItemDay.CLOSE,
                        EntrustDate  = d,
                        TradeDate    = d,
                        TradePrice   = klineItemDay.CLOSE,
                        Stamps       = stampduty,
                        Fee          = volumecommission,
                        TradeMethod  = TradeInfo.TM_AUTO,
                        Reason       = "个股预期观望超过" + (-1 * holdRecord.expect).ToString() + "天"
                    };
                    return(tradeInfo);
                }
            }

            //达到止损线
            if (p_stoploss > 0)
            {
                if (-1 * profilt > p_stoploss)
                {
                    TradeInfo tradeInfo = new TradeInfo()
                    {
                        Direction    = TradeDirection.Sell,
                        Code         = holdRecord.code,
                        Amount       = holdRecord.amount,
                        EntrustPrice = klineItemDay.CLOSE,
                        EntrustDate  = d,
                        TradeDate    = d,
                        TradePrice   = klineItemDay.CLOSE,
                        Stamps       = stampduty,
                        Fee          = volumecommission,
                        TradeMethod  = TradeInfo.TM_AUTO,
                        Reason       = "到达止损线" + p_stoploss.ToString("F2")
                    };
                    return(tradeInfo);
                }
            }

            //达到最大持仓天数
            if (p_maxholddays > 0)
            {
                if (holdDays > p_maxholddays)
                {
                    TradeInfo tradeInfo = new TradeInfo()
                    {
                        Direction    = TradeDirection.Sell,
                        Code         = holdRecord.code,
                        Amount       = holdRecord.amount,
                        EntrustPrice = klineItemDay.CLOSE,
                        EntrustDate  = d,
                        TradeDate    = d,
                        TradePrice   = klineItemDay.CLOSE,
                        Stamps       = stampduty,
                        Fee          = volumecommission,
                        TradeMethod  = TradeInfo.TM_AUTO,
                        Reason       = "到达最大持仓天数" + p_maxholddays.ToString()
                    };
                    return(tradeInfo);
                }
            }
            return(null);
        }