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 static void ProcessDay()
{
TickData tickData = new TickData();
tickData.dt = new DateTime(Utility.GetYear(TradingStrategy.RunData.cur_date),
Utility.GetMonth(TradingStrategy.RunData.cur_date),
Utility.GetDay(TradingStrategy.RunData.cur_date));
tickData.price = TradingStrategy.GetCurCapital();
MonthlyData.AddTickData(tickData);
}
public int Calc(Stock stock)
{
double sum = 0;
List <int> ls_key = new List <int>(stock.sdata.Keys);
int index = stock.sdata.IndexOfKey(stock.runData.cur_date);
if (index < CountNum)
{
return(EST.EST_SKIP);
}
high = stock.sdata[ls_key[index - CountNum]].high;
low = stock.sdata[ls_key[index - CountNum]].low;
for (int i = index - CountNum; i < index; i++)
{
if (stock.sdata[ls_key[i]].high > high)
{
high = stock.sdata[ls_key[i]].high;
}
if (stock.sdata[ls_key[i]].low < low)
{
low = stock.sdata[ls_key[i]].low;
}
sum += stock.sdata[ls_key[i]].close;
}
TR = Math.Max(Math.Max(stock.sdata[ls_key[index]].high - stock.sdata[ls_key[index]].low,
stock.sdata[ls_key[index]].high - stock.sdata[ls_key[index - 1]].close),
stock.sdata[ls_key[index - 1]].close - stock.sdata[ls_key[index]].low);
if (PDN == 0)
{
PDN = TR;
}
N = ((CountNum - 1) * PDN + TR) / CountNum;
PDN = N;
if (N == 0)
{
//Debug.Assert(N != 0);
Unit = int.MaxValue;
}
else
{
Unit = Convert.ToInt32(TradingStrategy.GetCurCash() * 0.01 * 0.01 / N) * 100;
}
//DollarPerPoint 100*0.01 = OneHand*BasePoint
return(EST.EST_OK);
}
public static void Start()
{
Init();
TradingStrategy TDStrategy = new TradingStrategy();
if (Config.bTrue)
{
TDStrategy.run_back_test();
}
else
{
TDStrategy.pick_stock();
}
}
