public void Run() { LoopCnt = 0; testIndex = 0; ret = new BackTestReturnClass(); long begNo = BegExpect; ExpectReader er = new ExpectReader(); ExpectList el = null; long cnt = 0; ret.HoldCntDic = new Dictionary <int, int>(); ret.HoldWinCntDic = new Dictionary <int, int>(); ret.InChipsDic = new Dictionary <int, int>(); ret.WinChipsDic = new Dictionary <int, int>(); ExpectList AllData = new ExpectList(); testIndex = teststrag.ReviewExpectCnt - 1; ExpectList testData = null; Dictionary <string, ChanceClass> NoCloseChances = new Dictionary <string, ChanceClass>(); Dictionary <string, ChanceClass> tmpChances = new Dictionary <string, ChanceClass>(); while (el == null || el.Count > 0) //如果取到的数据长度大于0 { el = er.ReadHistory(begNo, LoopCnt); if (el == null) { ret.LoopCnt = cnt * LoopCnt; ret.succ = false; ret.Msg = "读取历史数据错误!"; break; } if (el.Count == 0) { ret.LoopCnt = testIndex; ret.succ = true; ret.Msg = string.Format("成功遍历{0}条记录!共发现机会{1}次!其中,{2}.", testIndex, ret.ChanceList.Count, ret.HoldInfo); break; } AllData = ExpectList.Concat(AllData, el); begNo = el.LastData.LExpectNo + 1; cnt++; //Todo: while (testIndex < AllData.Count) { if (testData == null) { testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt); } else { if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1) { throw new Exception(string.Format("{1}第{0}期后出现数据遗漏,请补充数据后继续测试!", testData.LastData.Expect, testData.LastData.OpenTime)); } testData.RemoveAt(0); testData.Add(AllData[(int)testIndex]); } tmpChances = new Dictionary <string, ChanceClass>(); foreach (string key in NoCloseChances.Keys) { ChanceClass cc = NoCloseChances[key]; if (cc.Closed == false) { int matchcnt = 0; if (teststrag.GetRev) //如果求相反组合 { if (cc.Matched(testData.LastData, out matchcnt, true)) //不关闭 { if (cc.HoldTimeCnt < 0) { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } } } bool Matched = cc.Matched(testData.LastData, out matchcnt, false); if (cc.NeedConditionEnd) { cc.MatchChips += matchcnt; if (Matched) { int LastMatchId = cc.LastMatchTimesId;//最后一次匹配次序号 int maxHoldCnt = cc.MaxHoldTimeCnt; if (cc.HoldTimeCnt - cc.LastMatchTimesId > maxHoldCnt) { cc.MaxHoldTimeCnt = cc.HoldTimeCnt - cc.LastMatchTimesId; } cc.LastMatchTimesId = cc.HoldTimeCnt; } if (teststrag is ITraceChance) { ITraceChance its = teststrag as ITraceChance; if (its == null) { cc.Closed = cc.OnCheckTheChance(cc, Matched); } else { cc.Closed = its.CheckNeedEndTheChance(cc, Matched); } } else { cc.Closed = cc.OnCheckTheChance(cc, Matched); } if (cc.Closed) { cc.EndExpectNo = testData.LastData.Expect; cc.UpdateTime = testData.LastData.OpenTime; } else { cc.HoldTimeCnt++; tmpChances.Add(key, cc); } } else { if (Matched || (cc.HoldTimeCnt > 0 && cc.HoldTimeCnt == cc.AllowMaxHoldTimeCnt))//关闭 { cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; cc.MatchChips = matchcnt; if (!teststrag.GetRev)//只有不求相反值的情况下,才赋持有是次数 { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } else { if (cc.HoldTimeCnt < 0) { cc.HoldTimeCnt = 999; } } cc.UpdateTime = testData.LastData.OpenTime; ret.ChanceList.Add(cc); } else { cc.HoldTimeCnt++; tmpChances.Add(key, cc); } } if (cc.Closed) { int HCnt = 1; if (ret.HoldCntDic.ContainsKey(cc.HoldTimeCnt)) { HCnt = ret.HoldCntDic[cc.HoldTimeCnt]; HCnt++; ret.HoldCntDic[cc.HoldTimeCnt] = HCnt; ret.HoldWinCntDic[cc.HoldTimeCnt] = ret.HoldWinCntDic[cc.HoldTimeCnt] + matchcnt; ret.InChipsDic[cc.HoldTimeCnt] = ret.InChipsDic[cc.HoldTimeCnt] + cc.ChipCount; ret.WinChipsDic[cc.HoldTimeCnt] = ret.WinChipsDic[cc.HoldTimeCnt] + cc.MatchChips; } else { ret.HoldCntDic.Add(cc.HoldTimeCnt, 1); ret.HoldWinCntDic.Add(cc.HoldTimeCnt, matchcnt); ret.InChipsDic.Add(cc.HoldTimeCnt, cc.ChipCount); ret.WinChipsDic.Add(cc.HoldTimeCnt, cc.MatchChips); } } } } CommCollection sc = new ExpectListProcess(testData).getSerialData(teststrag.ReviewExpectCnt, teststrag.BySer); if (testData.Count == 0) { break; } teststrag.SetLastUserData(testData); List <ChanceClass> cs = teststrag.getChances(sc, testData.LastData);//获取所有机会 if (ret.ChanceList == null) { ret.ChanceList = new List <ChanceClass>(); } //ret.ChanceList.AddRange(cs); NoCloseChances = new Dictionary <string, ChanceClass>(); foreach (string key in tmpChances.Keys) { ChanceClass cc = tmpChances[key]; NoCloseChances.Add(key, cc); } for (int i = 0; i < cs.Count; i++) { //string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode); string key = string.Format("{0}", cs[i].ChanceCode); if (NoCloseChances.ContainsKey(key)) { if (teststrag.AllowRepeat) { string test = key; //NoCloseChances.Add(key, cs[i]); } } else { NoCloseChances.Add(key, cs[i]); } } testIndex++; } } FinishedProcess(); //return ret; }
public void Run(ExpectList testData, StragClass teststrag, ref List <ChanceClass> ChanceList, ref Dictionary <string, ChanceClass> NoCloseChances, ref Dictionary <int, int> HoldCntDic) { tmpChances = new Dictionary <string, ChanceClass>(); if (ChanceList == null) { ChanceList = new List <ChanceClass>(); } CommCollection sc = new ExpectListProcess(testData).getSerialData(teststrag.ReviewExpectCnt, teststrag.BySer); foreach (string key in NoCloseChances.Keys) { ChanceClass cc = NoCloseChances[key]; if (cc.Closed == false) { int matchcnt = 0; if (teststrag.GetRev) //如果求相反组合 { if (cc.Matched(testData.LastData, out matchcnt, true)) //不关闭 { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } } if (cc.Matched(testData.LastData, out matchcnt, false))//如果用相反组合,不改变真正关闭 { cc.Closed = true; cc.EndExpectNo = testData.LastData.Expect; if (!teststrag.GetRev)//只有不求相反值的情况下,才赋持有是次数 { cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex); } cc.MatchChips = matchcnt; cc.UpdateTime = testData.LastData.OpenTime; ChanceList.Add(cc); int HCnt = 1; if (HoldCntDic == null) { HoldCntDic = new Dictionary <int, int>(); } if (HoldCntDic.ContainsKey(cc.HoldTimeCnt)) { HCnt = HoldCntDic[cc.HoldTimeCnt]; HCnt++; HoldCntDic[cc.HoldTimeCnt] = HCnt; } else { HoldCntDic.Add(cc.HoldTimeCnt, 1); } } else { tmpChances.Add(key, cc); } } } //List<ChanceClass> cs = teststrag.getChances(testData); List <ChanceClass> cs = teststrag.getChances(sc, testData.LastData); if (ChanceList == null) { ChanceList = new List <ChanceClass>(); } //ret.ChanceList.AddRange(cs); NoCloseChances = new Dictionary <string, ChanceClass>(); foreach (string key in tmpChances.Keys) { ChanceClass cc = tmpChances[key]; NoCloseChances.Add(key, cc); } for (int i = 0; i < cs.Count; i++) { //string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode); string key = string.Format("{0}", cs[i].ChanceCode); if (NoCloseChances.ContainsKey(key)) { if (teststrag.AllowRepeat) { string test = key; //NoCloseChances.Add(key, cs[i]); } } else { NoCloseChances.Add(key, cs[i]); } } }
public void ExecRun(object data) { ExpectList el = data as ExpectList; //Log("计算服务","准备数据", "为每个策略分配数据"); foreach (string key in UseStrags.Keys) { UseStrags[key].SetLastUserData(el); } //准备数据 CommCollection cc = null; int maxViewCnt = (int)this.UseStrags.Max(t => t.Value.ReviewExpectCnt); //Log("计算服务", "最大回览期数", maxViewCnt.ToString()); cc = new ExpectListProcess(el).getSerialData(maxViewCnt, this.UseSerial); // cc.orgData = el;//必须指定原始数据? //Log("计算服务", "中间数据长度",cc.Data.Count.ToString()); Dictionary <StragClass, List <ChanceClass> > css = new Dictionary <StragClass, List <ChanceClass> >(); //Log("计算服务", "计算数据", "为每个策略计算最大回顾周期数据"); //遍历每个策略获得机会 DbChanceList OldDbList = new DbChanceList(); Dictionary <string, ChanceClass> OldList = new Dictionary <string, ChanceClass>(); List <ChanceClass> NewList = new List <ChanceClass>(); //Log("计算服务", "遍历所有策略", string.Format("策略数量:{0}",this.UseStrags.Count)); CloseAllExchance(el);//清空所有可视化机会 #region 获取交易机会 for (int i = 0; i < this.UseSPlans.Count; i++) { StragRunPlanClass currPlan = UseSPlans[i]; if (currPlan.PlanStrag == null)//如果计划所执行的策略为空,只在chance上执行tracer { List <ChanceClass> emptycs = CurrExistChanceList.Values.Where(p => p.StragId == null).ToList <ChanceClass>(); for (int c = 0; c < emptycs.Count; c++) { ChanceClass CurrCc = emptycs[c]; TraceChance tcc = CurrCc as TraceChance; CurrCc.UnitCost = tcc.getChipAmount(GlobalClass.DefaultMaxLost, CurrCc, GlobalClass._DefaultHoldAmtSerials.Value); CurrCc.HoldTimeCnt = CurrCc.HoldTimeCnt + 1; CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = CurrCc.CreateTime; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest)//非回测需要额外保存数据 { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } } continue; } StragClass currStrag = UseStrags[currPlan.PlanStrag.GUID]; currStrag.SetLastUserData(el); //必须给策略填充数据 List <ChanceClass> cs = currStrag.getChances(cc, el.LastData); //获取该策略的机会 if (currStrag is TotalStdDevTraceStragClass) //如果是整体标准差类,记录所有的标准差数据 { grpTotolStdDic = (currStrag as TotalStdDevTraceStragClass).getAllStdDev(); } if (cs.Count > 0) { Log("计算服务", string.Format("策略[{0}/{1}]", currStrag.GUID, currStrag.StragScript), string.Format("取得机会数量为:{0}", cs.Count)); } Dictionary <string, ChanceClass> StragChances = CurrExistChanceList.Where(p => p.Value.StragId == currStrag.GUID).ToDictionary(p => p.Value.ChanceCode, p => p.Value); AmoutSerials amts = GlobalClass.getOptSerials(CurrSetting.Odds, currPlan.InitCash, 1); Int64 restAmt = currStrag.CommSetting.GetGlobalSetting().DefMaxLost; //初始资金 #region 遍历各机会 for (int j = 0; j < cs.Count; j++) //对每个机会,检查上期遗留的机会是否包括 { bool NeedUseOldData = false; ChanceClass CurrCc = cs[j]; CurrCc.HoldTimeCnt = 1; CurrCc.AllowMaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt; CurrCc.IncrementType = currPlan.IncreamType; if (currPlan.IncreamType == InterestType.CompoundInterest) { CurrCc.FixRate = currPlan.FixRate; } else { CurrCc.FixAmt = currPlan.FixAmt; } //该语句存在机会重复的风险 if (StragChances.ContainsKey(CurrCc.ChanceCode))//未关闭的及机会列表中存在该机会 { ChanceClass OldCc = StragChances[CurrCc.ChanceCode]; //Log("计算服务", "老机会信息", string.Format("idx:{0};holdcnt:{1}", OldCc.ChanceIndex, OldCc.HoldTimeCnt)); //Log("计算服务", "老记录", string.Format("上期相同的机会{0}", CurrCc.ChanceCode)); //Log("计算服务", "判断是否允许重复", currStrag.AllowRepeat.ToString()); if (!currStrag.AllowRepeat)//如果不允许重复 { CurrCc = OldCc; CurrCc.HoldTimeCnt = CurrCc.HoldTimeCnt + 1; NeedUseOldData = true; Log("计算服务", "相同处理", string.Format("出现相同的机会{0},持有次数增1->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); } } else { //Log("计算服务", string.Format("上期相同未关闭的机会数{0},{1}", CurrExistChanceList.Count, CurrCc.ChanceCode), "本期未出现"); } if (currPlan.AssetUnitInfo != null) { if (this.UseAssetUnits.ContainsKey(currPlan.AssetUnitInfo.UnitId)) { AssetUnitClass useUnit = UseAssetUnits[currPlan.AssetUnitInfo.UnitId]; if (!useUnit.Running) { useUnit.Run(); } restAmt = (long)useUnit.ExchangeServer.summary; } else { continue; } } //Log("计算服务", "再次检查数据", string.Format("出现相同的机会{0},持有次数增1->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); CurrCc.UnitCost = -1; //先默认为-1 if (currStrag is ISpecAmount) //先从策略级别判断 { ISpecAmount testStrag = (currStrag as ISpecAmount); if (testStrag == null) { //等待下一步按机会级别判断 } else { CurrCc.UnitCost = testStrag.getChipAmount(restAmt, CurrCc, amts); } } if (CurrCc.UnitCost < 0) //如果策略级别未改变值 { if (CurrCc.IsTracer == 1) //如果是自我追踪机会 { Log("计算服务", "自我跟踪机会,当前持有次数", string.Format("HoldTimes:{0}", CurrCc.HoldTimeCnt)); TraceChance useCc = Convert.ChangeType(CurrCc, currStrag.getTheChanceType()) as TraceChance; //Log("计算服务", "使用的机会持有次数", string.Format("HoldTimes:{0}", useCc.HoldTimeCnt)); if (useCc == null) //获得的类型并非跟踪类型 { CurrCc.UnitCost = (currStrag as ChanceTraceStragClass).getChipAmount(restAmt, CurrCc, amts); } else { CurrCc.UnitCost = useCc.getChipAmount(restAmt, CurrCc, amts); } } else//默认为ChanceTraceStragClass,其实是不可能触发的,而且会出错,因为ChanceTraceStragClass本身就是ispaceamount { Log("计算服务", "非跟踪机会,持有次数", string.Format("HoldTimes:{0}", CurrCc.HoldTimeCnt)); CurrCc.UnitCost = (currStrag as ChanceTraceStragClass).getChipAmount(restAmt, CurrCc, amts); } } //Log("计算服务", "再二次检查数据", string.Format("出现相同的机会{0},持有次数增1->{1}", CurrCc.ChanceCode, CurrCc.HoldTimeCnt)); if (NeedUseOldData)//未关闭的及机会列表中存在该机会 { Log("计算服务", "策略不可以出现重复", string.Format("策略编号:{0}", CurrCc.UnitCost)); CurrCc.Cost += CurrCc.UnitCost * CurrCc.ChipCount; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } CurrCc.HoldTimeCnt = 1; CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.Gained = 0; CurrCc.Profit = 0; CurrCc.ExecDate = DateTime.Today; CurrCc.CreateTime = DateTime.Now; CurrCc.UpdateTime = CurrCc.CreateTime; CurrCc.StragId = currStrag.GUID; CurrCc.ExpectCode = el.LastData.Expect; CurrCc.MaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt; CurrCc.ChanceType = currPlan.OutPutType; NewList.Add(CurrCc); } #endregion #region 未关闭的机会需要自我跟踪 foreach (string code in StragChances.Keys) { ChanceClass CurrCc = StragChances[code]; //if (!CurrCc.Tracerable) continue; int cnt = OldList.Values.Where(p => p.ChanceCode.Equals(code)).Count(); if (cnt > 0) { continue; } if (currStrag is ISpecAmount)//先从策略级检查 { ISpecAmount specStrag = currStrag as ISpecAmount; if (specStrag != null)//如果没有方法,再从机会级检查 { CurrCc.HoldTimeCnt++; CurrCc.UnitCost = specStrag.getChipAmount(restAmt, CurrCc, amts); CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } } if (CurrCc.Tracerable)//再检查机会级 { CurrCc.HoldTimeCnt++; TraceChance testCc = (TraceChance)CurrCc; if (testCc == null) { continue; } CurrCc.UnitCost = testCc.getChipAmount(restAmt, CurrCc, amts); CurrCc.Cost += CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } continue; } else { CurrCc.HoldTimeCnt++; ISpecAmount Strag = (ISpecAmount)currStrag; if (Strag == null) { continue; } CurrCc.UnitCost = Strag.getChipAmount(restAmt, CurrCc, amts); CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost; CurrCc.UpdateTime = DateTime.Now; OldList.Add(CurrCc.GUID, CurrCc); if (!IsBackTest) { OldDbList.Add(CurrCc.ChanceIndex, CurrCc); } } } #endregion } #endregion if (!IsBackTest)//额外保存 { int savecnt = OldDbList.Save(null); if (OldList.Count > 0) { Log("计算服务", "保存已有机会", string.Format("条数:{0};实际条数:{1}", OldList.Count, savecnt)); } savecnt = new PK10ExpectReader().SaveChances(NewList, null); if (NewList.Count > 0) { Log("计算服务", "保存新增机会", string.Format("条数:{0};实际条数:{1}", NewList.Count, savecnt)); } } //合并到未关闭机会列表中 NewList.ForEach(p => AllNoClosedChances.Add(p.GUID, p)); OldList.Values.ToList <ChanceClass>().ForEach(p => AllNoClosedChances.Add(p.GUID, p)); //就算是老记录未有guid,当ToTable时已经生成了guid ExChange(AllNoClosedChances.Values.ToList <ChanceClass>()); //执行交易提供可视化 }