private Dictionary <DateTime, float> CalculateAvgGaps(Stock stock1, Stock stock2, int duration,
ref DateTime begin, DateTime end)
{
string interval = "";
int target = CalculateTarget(interval, begin, end);
var progress = new IntProgress(progressBar, target);
var collection1 = StockPriceCollection.Get(stock1.Code, begin, end, interval, progress).Result;
progressBar.Value = 0;
var collection2 = StockPriceCollection.Get(stock2.Code, begin, end, interval, progress).Result;
progressBar.Value = 100;
var avgGaps = new Dictionary <DateTime, float>();
if (collection1.Items.Count <= duration)
{
return(avgGaps);
}
long price1Sum = 0;
long price2Sum = 0;
for (int i = 0; i < duration; ++i)
{
price1Sum += collection1.Items[i].Price;
price2Sum += collection2.Items[i].Price;
}
begin = collection1.Items[duration].Time.Date;
for (int i = duration; i < collection1.Items.Count || i < collection2.Items.Count; ++i)
{
avgGaps[collection1.Items[i].Time.Date] = (float)price2Sum / price1Sum;
price1Sum -= collection1.Items[i - duration].Price;
price2Sum -= collection2.Items[i - duration].Price;
price1Sum += collection1.Items[i].Price;
price2Sum += collection2.Items[i].Price;
}
return(avgGaps);
}
private async void button_Test_Click(object sender, EventArgs e)
{
var stock1 = comboBox_Stock1.SelectedItem as Stock;
var stock2 = comboBox_Stock2.SelectedItem as Stock;
if (stock1 == null || stock2 == null)
{
return;
}
int duration = textBox_Duration.Text.ToInt();
DateTime begin = dateTimePicker_Begin.Value;
DateTime end = dateTimePicker_End.Value;
var avgGaps = CalculateAvgGaps(stock1, stock2, duration, ref begin, end);
string interval = checkBox_UseMinute.Checked ? comboBox_Interval.SelectedItem.ToString() : "";
int gap = interval.ToInt();
int target = CalculateTarget(interval, begin, end);
var progress = new IntProgress(progressBar, target);
var collection1 = await StockPriceCollection.Get(stock1.Code, begin, end, interval, progress);
progressBar.Value = 0;
Debug.Info("{0}", collection1.Items.Count);
var collection2 = await StockPriceCollection.Get(stock2.Code, begin, end, interval, progress);
Debug.Info("{0}", collection2.Items.Count);
progressBar.Value = 100;
float margin = textBox_Margin.Text.ToFloat();
margin /= 100;
var items1 = collection1.Items;
var items2 = collection2.Items;
if (items1.Count <= 0 || items2.Count <= 0)
{
Debug.Warn("No data");
return;
}
int i = 0;
int j = 0;
while (items1[i].Time != items2[j].Time)
{
if (items1[i].Time < items2[j].Time)
{
i++;
}
else
{
j++;
}
}
float baseGap = avgGaps[items1[i].Time.Date];
float currentGap = (float)items2[j].Price / items1[i].Price;
bool isItem1 = baseGap <= currentGap;
int quantity = textBox_Quantity.Text.ToInt();
long cash = 0;
long stock = quantity;
long initialAmount = quantity * (isItem1 ? items1[i].Price : items2[j].Price);
long totalAmount = initialAmount;
long comparison = quantity * (isItem1 ? items1.Last().Price : items2.Last().Price);
i++;
j++;
while (i < items1.Count && j < items2.Count)
{
var item1 = items1[i];
var item2 = items2[j];
if (item1.Time != item2.Time)
{
if (item1.Time < item2.Time)
{
i++;
}
else
{
j++;
}
continue;
}
i++;
j++;
if (item1.Time.Hour == 9 && item1.Time.Minute < 5)
{
continue;
}
if (item1.Time.Hour >= 15 && item1.Time.Minute >= 20)
{
continue;
}
var price1 = item1.Price;
var price2 = item2.Price;
baseGap = avgGaps[item1.Time.Date];
currentGap = (float)price2 / price1;
// 우선주가 더 싸짐
if (isItem1 && currentGap + margin <= baseGap)
{
cash += stock * price1;
stock = cash / price2;
cash -= (long)(stock * price2 * 1.003f);
totalAmount = cash + stock * price2;
isItem1 = false;
Debug.Info("Stock2 / Date: {0} - Item1: {1}, Item2: {2}, Total: {3}", item1.Time, price1, price2, totalAmount);
}
else if (!isItem1 && currentGap >= baseGap + margin)
{
cash += stock * price2;
stock = cash / price1;
cash -= (long)(stock * price1 * 1.003f);
totalAmount = cash + stock * price1;
isItem1 = true;
Debug.Info("Stock1 / Date: {0} - Item1: {1}, Item2: {2}, Total: {3}", item1.Time, price1, price2, totalAmount);
}
}
Debug.Info("Initial Amount: {0}", initialAmount);
Debug.Info("Total Amount: {0}", totalAmount);
Debug.Info("Comparison Amount: {0}", comparison);
}
private async void button_Test_Click(object sender, EventArgs e)
{
var stock1 = comboBox_Stock1.SelectedItem as Stock;
var stock2 = comboBox_Stock2.SelectedItem as Stock;
if (stock1 == null || stock2 == null)
{
return;
}
string interval = checkBox_UseMinute.Checked ? comboBox_Interval.SelectedItem.ToString() : "";
int gap;
int.TryParse(interval, out gap);
var begin = dateTimePicker_Begin.Value;
var end = dateTimePicker_End.Value;
int target = CalculateTarget(interval, begin, end);
var progress = new IntProgress(progressBar, target);
var collection1 = await StockPriceCollection.Get(stock1.Code, begin, end, interval, progress);
progressBar.Value = 0;
Debug.Info("{0}", collection1.Items.Count);
var collection2 = await StockPriceCollection.Get(stock2.Code, begin, end, interval, progress);
Debug.Info("{0}", collection2.Items.Count);
progressBar.Value = 100;
float margin = textBox_Margin.Text.ToFloat();
margin /= 100;
margin += 1.0f;
var items1 = collection1.Items;
var items2 = collection2.Items;
if (items1.Count <= 0 || items2.Count <= 0)
{
Debug.Warn("No data");
return;
}
int i = 0;
int j = 0;
while (items1[i].Time != items2[j].Time)
{
if (items1[i].Time < items2[j].Time)
{
i++;
}
else
{
j++;
}
}
bool isItem1 = items1[i].Price <= items2[j].Price;
long quantity;
long.TryParse(textBox_Quantity.Text, out quantity);
i++;
j++;
long sum = 0;
while (i < items1.Count && j < items2.Count)
{
var item1 = items1[i];
var item2 = items2[j];
if (item1.Time != item2.Time)
{
if (item1.Time < item2.Time)
{
i++;
}
else
{
j++;
}
continue;
}
i++;
j++;
if (item1.Time.Hour == 9 && item1.Time.Minute < 5)
{
continue;
}
if (item1.Time.Hour >= 15 && item1.Time.Minute >= 20)
{
continue;
}
var price1 = item1.Price;
var price2 = item2.Price;
var mine = isItem1 ? price1 : price2;
var other = isItem1 ? price2 : price1;
var mineValue = mine * quantity;
var otherValue = other * quantity;
if (otherValue * margin <= mineValue)
{
long diff = mineValue - otherValue;
long profit = diff;
profit -= (long)Math.Ceiling((mineValue + otherValue) * OpenApi.Fee);
sum += profit;
isItem1 = !isItem1;
Debug.Info("Date: {0} - Item1: {1}, Item2: {2}, Profit: {3}", item1.Time, price1, price2, profit);
}
}
Debug.Info("Total Profit: {0}", sum);
}
