public TN()
{
DBDataContext db = new DBDataContext();
var t = from a in db.tsInstructions
join b in db.tsSimplifiedStrategiesObjects
on a.idForObj equals b.id
where a.state == (short)Reactor.EInstructionState.WATING ||
a.state == (short)Reactor.EInstructionState.SENT
select new { b.code, a.id, a.priceAsc, a.priceDesc, a.priceType, a.price, a.category, a.quantity, a.state, a.generateTime, a.sendTime, a.resultTime, a.desc, b.direction };
foreach (var item in t)
{
Reactor.CInstruction instruction = new Reactor.CInstruction()
{
sso = null,
id = item.id,
priceAsc = item.priceAsc,
priceDesc = item.priceDesc,
priceType = item.priceType,
price = item.price,
category = item.category,
quantity = item.quantity,
state = item.state,
generateTime = item.generateTime,
sendTime = item.sendTime,
resultTime = item.resultTime,
desc = item.desc,
codeReference = item.code,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(item.direction));
if (Reactor.EInstructionState.WATING == (Reactor.EInstructionState)instruction.state)
{
if (!Limit.getInstance().isTodayXDR(item.code))
{
Reactor.getInstance().addInstruction2Wating(item.code, instruction);
}
}
else if (Reactor.EInstructionState.SENT == (Reactor.EInstructionState)instruction.state)
{
Reactor.getInstance().addInstruction2Sent(item.code, instruction);
}
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcTendency.ContainsKey(rd.code))
{
decimal[] dcps = this.dcTendency[rd.code].ToArray();
foreach (var dcp in dcps)
{
if (rd.C >= dcp)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 < 3.0m)
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = dcp + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RT,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
//直接removeObj，以及下面的break (foreach)，而不使用下面的注释部分，原因在于：Reactor.EIFS.RT中，同一对象有多个tendency line时，当日只进入一次
removeObj(rd.code);
/*
* this.dcTendency[rd.code].Remove(dcp);
* if (this.dcTendency[rd.code].Count == 0)
* { removeObj(rd.code); }
*/
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
break;
}
}
}
}
}
}
protected override void recv(RealtimeDataCenter.RealtimeData rd)
{
if (DateTime.Now.Date != rd.dt.Date)
{
return;
} //expired data
if (this.dcWindow.ContainsKey(rd.code))
{
Tuple <decimal, decimal> wind = this.dcWindow[rd.code];
if (rd.L <= wind.Item2) //当日将不再会形成跳空式的关闭窗口（即RI）
{
removeObj(rd.code);
}
else
{
if (rd.C >= wind.Item1)
{
bool bCreate = false;
Reactor.EPriceType pt = Reactor.EPriceType.REALTIME;
if ((rd.C / rd.lastC - 1) * 100 > 9.0m) //推测其将limit-up，先买入（此点需继续验证）
{
bCreate = true;
pt = Reactor.EPriceType.REALTIME;
}
else if (string.Compare(rd.dt.ToString("HHmmss"), "145940") > 0)
{
bCreate = true;
pt = Reactor.EPriceType.CLOSE;
}
if (bCreate)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = wind.Item2 + 0.01m;
instruction.priceDesc = Limit.getInstance().getLimitUp(rd.code, rd.lastC) - 0.01m; //-0.01m, don't buy when limit-up
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)pt;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = rd.code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.RI,
code = rd.code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
removeObj(rd.code);
Reactor.getInstance().addInstruction2Wating(rd.code, instruction);
}
}
}
}
}
}
private void worker()
{
bool bExecuted = false;
while (!bExecuted)
{
DateTime dt = DateTime.Now;
if (string.Compare(dt.ToString("HHmmss"), "144000") > 0 &&
string.Compare(dt.ToString("HHmmss"), "155900") < 0)
{
bExecuted = true;
List <KeyValuePair <string, List <coRDC.Bar1M> > > lt1M = new List <KeyValuePair <string, List <coRDC.Bar1M> > >();
coRDC crdc = new coRDC();
crdc.getAll1MBars(ref lt1M);
foreach (var obj in lt1M)
{
string code = obj.Key;
int count = obj.Value.Count;
if (count < 200)
{
continue;
}
int moreAvgInDayCount = 0;
decimal sumV = 0, sum_vm = 0, maxH = 0;
decimal[] avg = new decimal[count];
int idx = 0;
foreach (var b1m in obj.Value)
{
if (b1m.H > maxH)
{
maxH = b1m.H;
}
sumV += b1m.V;
sum_vm += b1m.vm;
if (sumV > 0)
{
avg[idx] = sum_vm / sumV;
if (b1m.C > avg[idx])
{
moreAvgInDayCount++;
}
}
idx++;
}
decimal percent = (decimal)moreAvgInDayCount / count;
if (percent >= 0.50m)
{
decimal lastC = Limit.getInstance().getLastC(code);
if (lastC > 0 &&
maxH != Limit.getInstance().getLimitUp(code, lastC)) //exclude that limit up to drawdown
{
decimal priceAsc = Math.Max(lastC * 1.085m, maxH * 0.999m);
decimal priceDesc = Limit.getInstance().getLimitUp(code, lastC) - 0.01m;
if (priceDesc >= priceAsc)
{
Reactor.CInstruction instruction = new Reactor.CInstruction();
instruction.id = 0;
instruction.priceAsc = priceAsc;
instruction.priceDesc = priceDesc;
instruction.generateTime = DateTime.Now;
instruction.priceType = (short)Reactor.EPriceType.REALTIME;
instruction.category = (short)Reactor.ECategory.BUY;
instruction.state = (short)Reactor.EInstructionState.WATING;
instruction.desc = "entry";
instruction.quantity = (int)(Math.Round(CASH_SIZE / (decimal)instruction.priceAsc / 100m) * 100m);
instruction.codeReference = code;
if (instruction.quantity > 0)
{
instruction.sso = new Reactor.CSimplifiedStrategiesObject()
{
id = 0,
idForStrategies = (long)Reactor.EIFS.MAID,
code = code,
state = (short)Reactor.ESSOState.WAIT_CREATE,
planQuantity = instruction.quantity,
lastStopPrice = (decimal)instruction.priceAsc,
createTime = instruction.generateTime,
direction = (short)Reactor.EDirection.LONG,
};
instruction.analyseEntryOrExit((Reactor.EDirection)(instruction.sso.direction));
Reactor.getInstance().addInstruction2Wating(code, instruction);
}
}
}
}
}
}
if (!bExecuted)
{
System.Threading.Thread.Sleep(1000);
}
}
}
