private Limit()
{
//:lastC
DBDataContext db = new DBDataContext();
var t0 = from a in db.tbDateLineExts
group a by a.code into g
select new { code = g.Key, date = g.Max(a => a.date) };
var t1 = from a in db.tbDateLineExts
join b in t0
on new { a.code, a.date } equals new { b.code, b.date }
select new { a.code, a.date, a.C };
foreach (var item in t1)
{
this.mpCodeLastC.Add(item.code, item.C);
}
coRDC crdc = new coRDC();
//update
Console.WriteLine("Limit-getAllQuotes");
List <RealtimeDataCenter.RealtimeData> ltRd = new List <RealtimeDataCenter.RealtimeData>();
if (!crdc.getAllQuotes(ref ltRd))
{
throw new Exception("getAllQuotes");
}
foreach (var rd in ltRd)
{
if (this.mpCodeLastC.ContainsKey(rd.code))
{
if (this.mpCodeLastC[rd.code] != rd.lastC && rd.lastC != 0)
{
Console.WriteLine("ModifiedLastC:" + rd.code + "," + this.mpCodeLastC[rd.code].ToString() + "," + rd.lastC.ToString());
dcModifiedLastC.Add(rd.code, new Tuple <decimal, decimal>(this.mpCodeLastC[rd.code], rd.lastC));
this.mpCodeLastC[rd.code] = rd.lastC;
}
}
else
{
this.mpCodeLastC.Add(rd.code, rd.lastC);
}
}
Console.WriteLine("Limit-getAllQuotes OK");
///:~
//:TodayXDR
Console.WriteLine("Limit-getAllTodayXDR");
List <KeyValuePair <string, coRDC.TodayXDR> > ltData = new List <KeyValuePair <string, coRDC.TodayXDR> >();
crdc.getAllTodayXDR(ref ltData);
foreach (var item in ltData)
{
if (!this.dcXDR.ContainsKey(item.Key))
{
this.dcXDR.Add(item.Key, item.Value);
}
}
Console.WriteLine("Limit-getAllTodayXDR OK");
///:~
//:name
Console.WriteLine("Limit-getAllSecuritys");
if (!crdc.getAllSecuritys(ref dcCodeNameShenzhen, ref dcCodeNameShanghai))
{
throw new Exception("getAllSecuritys");
}
Console.WriteLine("Limit-getAllSecuritys OK");
///:~
}
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);
}
}
}