public void CalcDeal_MACD(Stock stock, TickData tickData, Deal deal)
{
TrendData trend = stock.trend_day;
StrategyData strategyData = trend.mStrategyData;
if (times == 0)
{
if (strategyData.ma10.ma == 0)
{
return;
}
if (trend.mPartData.close < strategyData.ma10.ma &&
tickData.price > strategyData.ma10.ma)
{
deal.buy_price = tickData.price;
deal.buy_shares = deal.getBuyShares(StartMoney);
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
else if (times > 0)
{
double sPrice = stock.position.getCostPrice() * SellPriceRate;
double bPrice = stock.position.getCostPrice() * BuyPriceRate;
if (tickData.price > stock.position.getCostPrice() * SellPriceRate)
{
if (stock.position.shares_available != stock.position.shares)
{
return;
}
if (tickData.price > strategyData.ma10.ma)
{
return;
}
deal.sell_shares = stock.position.shares;
deal.sell_price = tickData.price;
//if (deal.sell_shares > stock.position.shares_available) return;
deal.eType = Deal.ESell;
}
else if (tickData.price < stock.position.getCostPrice() * BuyPriceRate)
{
//if (times == 10) { return; }
deal.buy_price = tickData.price;
deal.buy_shares = deal.getBuyShares(StartMoney);
if (deal.buy_shares == 0)
{
return;
}
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
}
public void run_tick(Stock stock, TickData tickData)
{
stock.trend_30m.PreProcessData(tickData);
Deal deal = stock.mStrategy.CalcDeal(stock, tickData);
//sell
while (deal.eType == Deal.ESell)
{
if (!isTradeTime(tickData.dt))
{
break;
}
deal.sell_dt = new DateTime(tickData.dt.Ticks);
deal.backtest_sell(deal.sell_price, deal.sell_shares, ESR.EPR_Normal);
stock.position.AddDeal(deal);
stock.mStrategy.ProcessDeal(stock, deal);
deal.copy_position = Utility.Clone(stock.position);
stock.position.Clear();
DataMining.DealList.Add(deal);
TradingStrategy.AddCash(deal.sell_total_money);
break;
}
FinalDateCloseTrading(stock, tickData);
//buy
while (deal.eType == Deal.EBuy)
{
if (!isTradeTime(tickData.dt))
{
break;
}
if (isEndDate())
{
break;
}
deal.buy_dt = new DateTime(tickData.dt.Ticks);
if (!deal.canAfford())
{
return;
}
deal.backtest_buy(deal.buy_price, deal.buy_shares);
stock.position.AddDeal(deal);
stock.mStrategy.ProcessDeal(stock, deal);
deal.copy_position = Utility.Clone(stock.position);
DataMining.DealList.Add(deal);
TradingStrategy.AddCash(deal.buy_total_money * -1);
break;
}
stock.trend_day.AddTickData(tickData);
stock.trend_day.mStrategyData.ProcessData(stock.trend_day);
stock.trend_30m.AddTickData(tickData);
stock.trend_30m.mStrategyData.ProcessData(stock.trend_30m);
}
public void CalcDeal(Stock stock, TickData tickData, Deal deal)
{
TrendData trend = stock.trend_30m;
StrategyData stData = trend.mStrategyData;
if (stock.position.shares == 0)
{
//buy
if (stData.ma30.ma == 0)
{
return;
}
if (tickData.dt.Hour < 13)
{
return;
}
if (trend.mPartData.close < stData.ma30.ma &&
tickData.price >= stData.ma30.ma)
{
deal.buy_shares = StartShares;
deal.buy_price = tickData.price;
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
else
{
if (stock.position.shares_available != stock.position.shares)
{
return;
}
//sell
if (tickData.price < stData.ma30.ma)
{
deal.sell_shares = stock.position.shares;
deal.sell_price = tickData.price;
deal.eType = Deal.ESell;
}
}
}
public void CalcDeal_HighFrequency(Stock stock, TickData tickData, Deal deal)
{
TrendData trend = stock.trend_day;
StrategyData strategyData = trend.mStrategyData;
//sell
if (stock.position.shares_available > 0)
{
if (openPrice == 0)
{
openPrice = tickData.price;
}
if (tickData.price > highPrice)
{
highPrice = tickData.price;
}
double costPrice = stock.position.getCostPrice();
double diff = highPrice - costPrice;
if (diff >= 0.03)
{
double sPrice = openPrice + Math.Floor(diff / 1.6 * 100) / 100;
if (tickData.price < sPrice)
{
deal.sell_shares = stock.position.shares_available;
deal.sell_price = tickData.price;
deal.eType = Deal.ESell;
}
}
//final wall
/*
* DateTime endDt = new DateTime(tickData.dt.Year, tickData.dt.Month, tickData.dt.Day, 14, 50, 0);
* if (tickData.dt.Ticks > endDt.Ticks)
* {
* deal.sell_shares = stock.position.shares_available;
* deal.sell_price = tickData.price;
* deal.eType = Deal.ESell;
* }
*/
}
//buy
if (stock.position.shares == 0)
{
if (tickData.price <= strategyData.ma5.low)
{
deal.buy_price = tickData.price;
deal.buy_shares = deal.getBuyShares(StartMoney * 10);
if (deal.buy_shares == 0)
{
return;
}
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
}
public void CalcDeal_Add(Stock stock, TickData tickData, Deal deal)
{
TrendData trend = stock.trend_30m;
StrategyData strategyData = trend.mStrategyData;
if (times == 0)
{
if (strategyData.ma10.ma == 0)
{
return;
}
if (trend.mPartData.close > strategyData.ma10.ma &&
tickData.price < strategyData.ma10.ma)
{
deal.buy_shares = StartShares;
deal.buy_price = tickData.price;
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
else if (times > 0)
{
if (tickData.price > stock.position.getCostPrice() * SellPriceRate)
{
if (stock.position.shares_available != stock.position.shares)
{
return;
}
deal.sell_shares = stock.position.shares;
deal.sell_price = tickData.price;
//if (deal.sell_shares > stock.position.shares_available) return;
deal.eType = Deal.ESell;
}
else if (tickData.price < stock.position.getCostPrice() * BuyPriceRate)
{
//EarnMoney = sMoney1 - bMoney1 = sMoney2 - bMoney1 - bMoney2;
//sMoney1 = sMoney2 - bMoney2;
//sPrice1*bShares1 = sPrice2*(bShares1+bShares2) - bPrice2*bShares2;
//sPrice1 = bPrice1*SellPriceRate;
//bPrice2 = bPrice1*BuyPriceRate;
//(sPrice2-bPrice2)*bShares2 = (sPrice1-sPrice2)*bShares1
//bShares2 = bShares1 * (sPrice1-sPrice2) / (sPrice2-bPrice2)
//if (times == 10) { return; }
deal.buy_price = tickData.price;
double bPrice1 = stock.position.getCostPrice();
double bPrice2 = deal.buy_price;
double sPrice1 = sellPrice1;
double sPrice2 = bPrice2 * SellPriceRate;
double bShares1 = stock.position.shares;
double denominator = sPrice1 - sPrice2;
double numerator = sPrice2 - bPrice2;
double x = denominator / numerator * bShares1;
x = Math.Ceiling(x / 100) * 100;
deal.buy_shares = Convert.ToInt32(x);
if (deal.buy_shares == 0)
{
return;
}
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
}
public void CalcDeal_Multi(Stock stock, TickData tickData, Deal deal)
{
TrendData trend = stock.trend_30m;
StrategyData strategyData = trend.mStrategyData;
if (times == 0)
{
if (strategyData.ma10.ma == 0)
{
return;
}
if (trend.mPartData.close < strategyData.ma10.ma &&
tickData.price > strategyData.ma10.ma)
{
deal.buy_shares = StartShares;
deal.buy_price = tickData.price;
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
else if (times > 0)
{
if (tickData.price > stock.position.getCostPrice() * SellPriceRate)
{
if (stock.position.shares_available != stock.position.shares)
{
return;
}
deal.sell_shares = stock.position.shares;
deal.sell_price = tickData.price;
//if (deal.sell_shares > stock.position.shares_available) return;
deal.eType = Deal.ESell;
}
else if (tickData.price < stock.position.getCostPrice() * BuyPriceRate)
{
//EarnRate = 1.01;
//PriceRate = 0.02;
//SellPriceRate = 1 + PriceRate;
//bPrice2 = tickData.price;
//SellPrice = bPrice2 * SellPriceRate;
//CostMoney * EarnRate = SellMoney;
//(bPrice1*bShares1 + bPrice2*bShares2)*EarnRate = SellPrice*TotalShares;
//Mid = SellPrice / EarnRate;
//bPrice1*bShares1 + bPrice2*bShares2 = Mid*bShares1 + Mid*bShares2;
//bShares2*(bPrice2 - Mid) = bShares1*(Mid - bPrice1);
//bShares2 = bShares1*(Mid - bPrice1) / (bPrice2 - Mid);
if (times == TopTimes)
{
return;
}
deal.buy_price = tickData.price;
double bPrice1 = stock.position.getCostPrice();
double bPrice2 = deal.buy_price;
double sellPrice = bPrice2 * SellPriceRate;
double mid = sellPrice / (1 + EarnRate);
double denominator = mid - stock.position.getCostPrice();
double numerator = deal.buy_price - mid;
double x = denominator / numerator * stock.position.shares;
x = Math.Ceiling(x / 100) * 100;
deal.buy_shares = Convert.ToInt32(x);
if (!deal.canAfford())
{
return;
}
deal.eType = Deal.EBuy;
}
}
}
