private const int MAX_LOAD_OPTIONS_COUNT = 20; //最大讀取選擇權歷史資料個數
#endif
#if __BACKTEST
private static void DumpReport(AbstractOrderService orderService1, AbstractOrderService orderService2, List<double[]> twiCloses) {
StringBuilder cBuilder = new StringBuilder(1024 * 1024);
int iCount = orderService1.Positions.Count;
if (iCount > 0) {
PositionSeries cPositions1 = orderService1.Positions;
PositionSeries cPositions2 = orderService2.Positions;
string sSymbolId1 = orderService1.Bars.Request.Symbol;
string sSymbolId2 = orderService2.Bars.Request.Symbol;
for (int i = 0; i < iCount; i++) {
IMarketPosition cPosition1 = cPositions1[i];
IMarketPosition cPosition2 = cPositions2[i];
List<ITrade> cTrades1 = cPosition1.ClosedTrades;
foreach (ITrade cTrade in cTrades1) {
ITradeOrder cOpenO = cTrade.EntryOrder;
ITradeOrder cCloseO = cTrade.ExitOrder;
cBuilder.Append(cOpenO.Ticket).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][0]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][1]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][2]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][3]).Append(',').Append(sSymbolId1).Append(',').Append(cOpenO.Category).Append(',').Append(cOpenO.Action).Append(',').Append(cOpenO.Contracts).Append(',').Append(cOpenO.Price).Append(',').Append(string.Empty).Append(',').Append(cOpenO.Fee).Append(',').Append(cOpenO.Tax).Append(',').Append(cOpenO.Time.ToString("yyyy/MM/dd HH:mm(ddd)")).Append(',').AppendLine(cOpenO.Name);
cBuilder.Append(cCloseO.Ticket).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][0]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][1]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][2]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][3]).Append(',').Append(sSymbolId1).Append(',').Append(cCloseO.Category).Append(',').Append(cCloseO.Action).Append(',').Append(cCloseO.Contracts).Append(',').Append(cCloseO.Price).Append(',').Append(cTrade.Profit).Append(',').Append(cCloseO.Fee).Append(',').Append(cCloseO.Tax).Append(',').Append(cCloseO.Time.ToString("yyyy/MM/dd HH:mm(ddd)")).Append(',').AppendLine(cCloseO.Name);
}
List<ITrade> cTrades2 = cPosition2.ClosedTrades;
foreach (ITrade cTrade in cTrades2) {
ITradeOrder cOpenO = cTrade.EntryOrder;
ITradeOrder cCloseO = cTrade.ExitOrder;
cBuilder.Append(cOpenO.Ticket).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][0]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][1]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][2]).Append(',').Append(twiCloses[int.Parse(cOpenO.Ticket)][3]).Append(',').Append(sSymbolId2).Append(',').Append(cOpenO.Category).Append(',').Append(cOpenO.Action).Append(',').Append(cOpenO.Contracts).Append(',').Append(cOpenO.Price).Append(',').Append(string.Empty).Append(',').Append(cOpenO.Fee).Append(',').Append(cOpenO.Tax).Append(',').Append(cOpenO.Time.ToString("yyyy/MM/dd HH:mm(ddd)")).Append(',').AppendLine(cOpenO.Name);
cBuilder.Append(cCloseO.Ticket).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][0]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][1]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][2]).Append(',').Append(twiCloses[int.Parse(cCloseO.Ticket)][3]).Append(',').Append(sSymbolId2).Append(',').Append(cCloseO.Category).Append(',').Append(cCloseO.Action).Append(',').Append(cCloseO.Contracts).Append(',').Append(cCloseO.Price).Append(',').Append(cTrade.Profit).Append(',').Append(cCloseO.Fee).Append(',').Append(cCloseO.Tax).Append(',').Append(cCloseO.Time.ToString("yyyy/MM/dd HH:mm(ddd)")).Append(',').AppendLine(cCloseO.Name);
}
}
File.AppendAllText("report.csv", cBuilder.ToString(), Encoding.UTF8);
}
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="service">AbstractOrderService 下單服務抽象類別</param>
/// <param name="args">下單參數</param>
internal OrderPriced(AbstractOrderService service, SOrderParameters args) {
this.ID = service.GetOrderID();
Contracts cContract = args.Lots;
this.Info = new Order(args.Name, args.Action, OrderCategory.Limit, (cContract.IsDefault) ? service.DefaultContracts : args.Lots, false, args.ExitTypeInfo);
__cSender = service as IOrderSender;
__cPositions = service.Positions;
}
/// <summary>
/// 建構子
/// </summary>
/// <param name="service">AbstractOrderService 下單服務抽象類別</param>
/// <param name="args">下單參數</param>
/// <param name="openNextBar">是否開倉於下一根 Bars</param>
internal OrderMarket(AbstractOrderService service, SOrderParameters args, bool openNextBar) {
this.ID = service.GetOrderID();
Contracts cContract = args.Lots;
this.Info = new Order(args.Name, args.Action, OrderCategory.Market, (cContract.IsDefault) ? service.DefaultContracts : args.Lots, openNextBar, args.ExitTypeInfo);
__cSender = service as IOrderSender;
__cPositions = service.Positions;
}
internal override void CStudyInitialize() {
if (__cProperty.OrderSource != null) {
if (__cOrderService != null) { //如果之前已經建立下單服務元件
__cOrderService.Dispose(); //釋放下單服務元件
}
string sOrderSource = __cProperty.OrderSource;
__cOrderService = OrderManager.Manager.CreateOrderService(sOrderSource);
__cOrderService.onResponse += OrderService_onResponse;
__cOrderService.SetInstrument(this.Instruments[0]);
__cOrderService.SetDefaultContracts(__cProperty.DefaultContracts);
this.OrderCreator = __cOrderService as IOrderCreator;
if (log.IsInfoEnabled) log.InfoFormat("[SignalObject.SetOrderSource] Set \"{0}\" and create...", sOrderSource);
}
List<InputAttribute> cParameters = new List<InputAttribute>();
cParameters.AddRange(InputAttribute.GetParameters(this));
if (__cOrderService != null) {
cParameters.AddRange(InputAttribute.GetParameters(__cOrderService));
}
ScriptParametersEvent cScriptParametersEvent = new ScriptParametersEvent();
cScriptParametersEvent.SetOrderService(__cOrderService);
cScriptParametersEvent.SetScriptParameters(cParameters);
OnScriptParameters(cScriptParametersEvent);
if (__cOrderService != null) {
__cOrderService.Initialize(); //參數設定完成之後才初始化下單元件
}
}
protected override void Create() {
// 初始化下單物件，Contracts.UserSpecified 可指定規模，OrderExit.FromAll 可一次全平
多單 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.Buy));
空單 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, EOrderAction.SellShort));
多沖 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.Sell, OrderExit.FromAll));
空沖 = OrderCreator.MarketThisBar(new SOrderParameters(Contracts.Default, EOrderAction.BuyToCover, OrderExit.FromAll));
__cService = OrderCreator as AbstractOrderService;
__cTimer = new Timer(1);
__cTimer.AutoReset = false;
__cTimer.Elapsed += Timer_onElapsed;
//__cTimer.Start();
//bbb = BarsOfData(2);
cBuilder.AppendLine("[F000]");
__cKDSum = new VariableSeries<double>(this);
__cMACD = new MACD(this);
__cMACD.FastPeriod = 5;
__cMACD.SlowPeriod = 10;
__cMACD.MACDPeriod = 10;
__cKD = new KD(this);
__cKD.Length = 5;
}
private void CreateOrderService(Instrument buyBars, Instrument sellBars) {
if(__cOrderService1 != null) {
__cOrderService1.Dispose();
}
#if __SIMULATE
__cOrderService1 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.SimulateOrderService");
#else
__cOrderService1 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.RealOrderService");
SetPipeNumber(InputAttribute.GetParameters(__cOrderService1), 1, 1);
#endif
__cOrderService1.onResponse += OrderService_onResponse;
__cOrderService1.SetInstrument(buyBars);
__cOrderService1.SetDefaultContracts(1);
__cOrderService1.Initialize();
IOrderCreator cOrderCreator1 = __cOrderService1 as IOrderCreator;
__cBOrderO = cOrderCreator1.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "CALL_BUY", EOrderAction.Buy, OrderExit.FromAll));
__cBOrderC = cOrderCreator1.MarketThisBar(new SOrderParameters(Contracts.Default, "CALL_CLOSE", EOrderAction.Sell, OrderExit.FromAll));
if (log.IsInfoEnabled) log.Info("[CreateOrderService] Set BUY \"Netwings.OrderService;Netwings.SimulateOrderService\" and create...");
if(__cOrderService2 != null) {
__cOrderService2.Dispose();
}
#if __SIMULATE
__cOrderService2 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.SimulateOrderService");
#else
__cOrderService2 = OrderManager.Manager.CreateOrderService("Netwings.OrderService;Netwings.RealOrderService");
SetPipeNumber(InputAttribute.GetParameters(__cOrderService2), 1, 2);
#endif
__cOrderService2.onResponse += OrderService_onResponse;
__cOrderService2.SetInstrument(sellBars);
__cOrderService2.SetDefaultContracts(1);
__cOrderService2.Initialize();
IOrderCreator cOrderCreator2 = __cOrderService2 as IOrderCreator;
__cSOrderO = cOrderCreator2.MarketThisBar(new SOrderParameters(Contracts.UserSpecified, "PUT_SELL", EOrderAction.SellShort, OrderExit.FromAll));
__cSOrderC = cOrderCreator2.MarketThisBar(new SOrderParameters(Contracts.Default, "PUT_CLOSE", EOrderAction.BuyToCover, OrderExit.FromAll));
if (log.IsInfoEnabled) log.Info("[CreateOrderService] Set SELL \"Netwings.OrderService;Netwings.SimulateOrderService\" and create...");
}
/// <summary>
/// 設定下單服務元件(需要設定佣金參數, 所以必須傳出)
/// </summary>
/// <param name="service">下單服務元件</param>
internal void SetOrderService(AbstractOrderService service) {
__cOrderService = service;
}