コード例 #1
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        int getMaxPeriod(CBreakStrategy bs)
        {
            List <int> ps = new List <int>();

            ps.Add(bs.mAtrPeriod);
            ps.Add(bs.mBreakPeriod);
            ps.Add(bs.mAveFilterSmall);
            ps.Add(bs.mAveFilterBig);
            return(ps.Max());
        }
コード例 #2
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
 public bool collectPrice(CBreakStrategy bs, OHLC prePrice)
 {
     if (mPriceList.Count < bs.mBreakPeriod - 1 ||
         mPriceList.Count < bs.mAtrPeriod - 1 ||
         mPriceList.Count < bs.mAveFilterSmall - 1 ||
         mPriceList.Count < bs.mAveFilterBig - 1)
     {
         mPriceList.Add(prePrice);
         return(true);
     }
     return(false);
 }
コード例 #3
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        double calAtr(CBreakStrategy bs)
        {
            double re = 0;

            List <OHLC>   atrList = mPriceList.Skip(Math.Max(0, mPriceList.Count() - bs.mAtrPeriod)).ToList();
            List <double> mtr     = new List <double>();

            for (int i = atrList.Count - 1; i > 0; i--)
            {
                OHLC pre = atrList[i - 1];
                OHLC cur = atrList[i];

                double[] m = { Math.Abs(cur.h - cur.l), Math.Abs(cur.h - pre.c), Math.Abs(cur.l - pre.c) };
                mtr.Add(m.Max());
            }
            re = mtr.Average();

            return(re);
        }
コード例 #4
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        //0:no break 1:buy -1:sell
        int checkBreak(CBreakStrategy bs)
        {
            int re = 0;

            List <OHLC> breakList = mPriceList.Skip(Math.Max(0, mPriceList.Count() - bs.mBreakPeriod)).ToList();
            double      highPrice = breakList.Take(bs.mBreakPeriod - 1).Select(i => i.c).Max();

            if (breakList.Last().c > highPrice)
            {
                re = 1;
            }

            double lowPrice = breakList.Take(bs.mBreakPeriod - 1).Select(i => i.c).Min();

            if (breakList.Last().c < lowPrice)
            {
                re = -1;
            }
            return(re);
        }
コード例 #5
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        bool checkAveFilter(CBreakStrategy bs, int buyOrSell)
        {
            if (!bs.mUseAveFilter)
            {
                return(true);
            }

            bool re = false;

            double min = ave(bs.mAveFilterSmall);
            double max = ave(bs.mAveFilterBig);

            if (buyOrSell == 1 && min >= max)
            {
                re = true;
            }
            if (buyOrSell == -1 && min <= max)
            {
                re = true;
            }
            return(re);
        }
コード例 #6
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        /*
         * public double calMargin(double vol,double price,double leverage)
         * {
         *  double re = 0;
         *  re = vol * mPro.mContractSize * price * mPro.mMarginRadio / leverage;
         *  return re;
         * }
         */
        public double getVol(CBreakStrategy bs, double point, DateTime d)
        {
            double loss = bs.mMoney * bs.mRisk / 100;

            loss = toCuy(loss, d);
            double v = loss / mPro.mTickVal / (point / mPro.mTickSize);

            int howV = (int)(v / mPro.mStepVol);

            v = howV * mPro.mStepVol;

            if (v < mPro.mMinVol)
            {
                v = mPro.mMinVol;
            }
            if (v > mPro.mMaxVol)
            {
                v = mPro.mMaxVol;
            }

            return(v);
        }
コード例 #7
0
ファイル: Common.cs プロジェクト: zhuyeaini9/YeTrade
        public void step(DateTime curTime, CBreakStrategy bs)
        {
            if (!mCandleData.Keys.Contains(curTime.Date))
            {
                return;
            }

            OHLC prePrice = mCandleData[curTime].mPrice;

            if (!collectPrice(bs, prePrice))
            {
                mPriceList.Add(prePrice);

                int bigPeriod = getMaxPeriod(bs);
                while (mPriceList.Count > bigPeriod)
                {
                    mPriceList.RemoveAt(0);
                }

                double atr = calAtr(bs);

                if (!mHasVol)
                {
                    int breakRe = checkBreak(bs);
                    if (breakRe == 1 && checkAveFilter(bs, breakRe))
                    {
                        //break open vol buy
                        mBuyOrSell  = 1;
                        mTradePrice = prePrice.c;

                        mCloseStopPrice = prePrice.c - atr * bs.mCloseStopAtr;
                        mImeStopPrice   = prePrice.c - atr * bs.mImeStopAtr;

                        mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);

                        mHasVol = true;

                        Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
                    }
                    if (breakRe == -1 && checkAveFilter(bs, breakRe))
                    {
                        //break open vol sell
                        mBuyOrSell  = -1;
                        mTradePrice = prePrice.c;

                        mCloseStopPrice = prePrice.c + atr * bs.mCloseStopAtr;
                        mImeStopPrice   = prePrice.c + atr * bs.mImeStopAtr;

                        mVol = getVol(bs, atr * (bs.mCloseStopAtr > bs.mImeStopAtr ? bs.mCloseStopAtr : bs.mImeStopAtr), curTime);

                        mHasVol = true;

                        Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell:" + mVol.ToString("F2") + " price:" + mTradePrice.ToString("F2") + " time:" + curTime.ToShortDateString());
                    }
                }
                else
                {
                    bool stop = false;
                    //check stop
                    if (mBuyOrSell == 1)
                    {
                        if (!stop && prePrice.l < mImeStopPrice)
                        {
                            stop = true;
                            double profit = calLoss(mVol, mImeStopPrice - mTradePrice, curTime);
                            bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);

                            Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
                                                  + " all_money:" + bs.mMoney.ToString("F2")
                                                  + " time:" + curTime.ToShortDateString());
                        }
                        if (!stop && prePrice.c < mCloseStopPrice)
                        {
                            stop = true;
                            double profit = calLoss(mVol, prePrice.c - mTradePrice, curTime);
                            bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);

                            Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " buy stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
                                                  + " all_money:" + bs.mMoney.ToString("F2")
                                                  + " time:" + curTime.ToShortDateString());
                        }
                        if (!stop)
                        {
                            double newCloseStopPrice = prePrice.c - bs.mCloseStopAtr * atr;
                            double newImeStopPrice   = prePrice.c - bs.mImeStopAtr * atr;
                            if (newCloseStopPrice > mCloseStopPrice)
                            {
                                mCloseStopPrice = newCloseStopPrice;
                            }
                            if (newImeStopPrice > mImeStopPrice)
                            {
                                mImeStopPrice = newImeStopPrice;
                            }

                            //Log4netHelper.LogInfo(string.Format("buy update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
                        }
                    }
                    if (mBuyOrSell == -1)
                    {
                        if (!stop && prePrice.h > mImeStopPrice)
                        {
                            stop = true;
                            double profit = calLoss(mVol, mTradePrice - mImeStopPrice, curTime);
                            bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);

                            Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at ime price:" + mImeStopPrice.ToString("F2") + " profit:" + profit.ToString("F2")
                                                  + " all_money:" + bs.mMoney.ToString("F2")
                                                  + " time:" + curTime.ToShortDateString());
                        }
                        if (!stop && prePrice.c > mCloseStopPrice)
                        {
                            stop = true;
                            double profit = calLoss(mVol, mTradePrice - prePrice.c, curTime);
                            bs.changeMoney(curTime, mPro.mSymbolTypeName, mPro.mSymbolName, profit);

                            Log4netHelper.LogInfo("symbol:" + mPro.mSymbolName + " sell stop at close price:" + prePrice.c.ToString("F2") + " profit:" + profit.ToString("F2")
                                                  + " all_money:" + bs.mMoney.ToString("F2")
                                                  + " time:" + curTime.ToShortDateString());
                        }
                        if (!stop)
                        {
                            double newCloseStopPrice = prePrice.c + bs.mCloseStopAtr * atr;
                            double newImeStopPrice   = prePrice.c + bs.mImeStopAtr * atr;
                            if (newCloseStopPrice < mCloseStopPrice)
                            {
                                mCloseStopPrice = newCloseStopPrice;
                            }
                            if (newImeStopPrice < mImeStopPrice)
                            {
                                mImeStopPrice = newImeStopPrice;
                            }

                            //Log4netHelper.LogInfo(string.Format("sell update price:close price-{0} ime price-{1}", mCloseStopPrice.ToString("F2"), mImeStopPrice.ToString("F2")));
                        }
                    }
                    if (stop)
                    {
                        mHasVol = false;
                    }
                }
            }
        }
コード例 #8
0
ファイル: Form1.cs プロジェクト: zhuyeaini9/YeTrade
        private void button1_test_Click(object sender, EventArgs e)
        {
            button1_test.Enabled = false;

            CBreakStrategy BS = new CBreakStrategy();

            BS.mAtrPeriod      = int.Parse(textBox8_atrPeriod.Text.Trim());
            BS.mBreakPeriod    = int.Parse(textBox1_breakPeriod.Text.Trim());
            BS.mCloseStopAtr   = double.Parse(textBox2_closeStopAtr.Text.Trim());
            BS.mImeStopAtr     = double.Parse(textBox3_imeStopAtr.Text.Trim());
            BS.mLeverage       = double.Parse(textBox1_leverage.Text.Trim());
            BS.mMoney          = double.Parse(textBox7_money.Text.Trim());
            BS.mInitMoney      = BS.mMoney;
            BS.mRisk           = double.Parse(textBox6_risk.Text.Trim());
            BS.mAveFilterSmall = int.Parse(textBox4_aveSmall.Text.Trim());
            BS.mAveFilterBig   = int.Parse(textBox5_aveBig.Text.Trim());
            BS.mUseAveFilter   = checkBox1_averageFilter.Checked;

            DateTime startTime = dateTimePicker1_start.Value.Date;
            DateTime endTime   = dateTimePicker2_end.Value.Date;

            BS.mStartTime = startTime;
            BS.mEndTime   = endTime;

            Dictionary <string, CSymbol> symbols = new Dictionary <string, CSymbol>();
            List <CSymbolPro>            selSym  = getSelSymbol();

            foreach (var v in selSym)
            {
                CSymbol s = new CSymbol();
                s.mPro        = v;
                s.mCandleData = getCandleDataFromSqlite(s.mPro.mSymbolName, comboBox1_PricePeriod.SelectedItem.ToString());

                symbols[s.mPro.mSymbolName] = s;
            }

            BS.mSymbolCount = symbols.Count;

            if (int.Parse(label21_taskCount.Text.Trim()) == 0)
            {
                progressBar1_test.Value   = 0;
                progressBar1_test.Maximum = (endTime - startTime).Days;
            }
            else
            {
                progressBar1_test.Maximum += (endTime - startTime).Days;
            }

            BS.initHuiChe(startTime);

            Thread thread = new Thread(new ThreadStart(() =>
            {
                Invoke(new Action(() =>
                {
                    int taskCount = int.Parse(label21_taskCount.Text.Trim());
                    taskCount++;
                    label21_taskCount.Text = taskCount.ToString();
                }));

                do
                {
                    Invoke(new Action(() =>
                    {
                        progressBar1_test.Value++;
                    }));
                    foreach (var v in symbols)
                    {
                        v.Value.step(startTime, BS);
                    }
                    BS.addMoneyLine(startTime);

                    startTime = startTime.AddDays(1);
                }while (startTime.Date != endTime.Date);

                Invoke(new Action(() =>
                {
                    ChartForm cf = new ChartForm(BS);
                    cf.Show();

                    int taskCount = int.Parse(label21_taskCount.Text.Trim());
                    taskCount--;
                    label21_taskCount.Text = taskCount.ToString();
                }));

                Log4netHelper.LogInfo("money:" + BS.mMoney.ToString("F2"));
            }));

            thread.IsBackground = true;
            thread.Start();

            Invoke(new Action(() =>
            {
                button1_test.Enabled = true;
            }));
        }
コード例 #9
0
 public ChartForm(CBreakStrategy bs)
 {
     mBs = bs;
     InitializeComponent();
 }