private StockTickTransaction onTick(int seconds, List <StockTickTransaction> data)
{
StockTickTransaction tick = new StockTickTransaction();
int secondsIndex = DataTimeStampExtension.GetStockSecondsIndex(data[0].TransactionDateTime);
for (int i = 0; i < data.Count(); i++)
{
secondsIndex = DataTimeStampExtension.GetStockSecondsIndex(data[i].TransactionDateTime);
if (secondsIndex <= seconds)
{
tick = data[i];
}
else
{
break;
}
}
return(tick);
}
public void computeTWAP(DateTime startDate, DateTime endDate, int totalVolume = 10000000, int newOrderTimeInterval = 15, int oldOrderTimeInterval = 15, int oldOrderFrequency = 10, int newOrderPriceMode = -1, int oldOrderPriceMode = -1, int cancelTimeInterval = 120)
{
var tradedays = dateRepo.GetStockTransactionDate(startDate, endDate);
foreach (var date in tradedays)
{
List <StockTickTransaction> data = new List <StockTickTransaction>();
try
{
data = stockRepo.GetStockTransaction(code, date, date);
}
catch (Exception)
{
Console.WriteLine("code:{0},date:{1} No Data!!", code, date);
}
if (data.Count() == 0)
{
Console.WriteLine("code:{0},date:{1} No Data!!", code, date);
continue;
}
double vol = getVolatilityMinutly(code, date, 10);
double mean = 0;
double marketMean = 0;
int seconds = 0;
int dataIndex = 0;
int dataSeconds;
int untradeVolume = totalVolume;
List <OrderBook> orderBook = new List <OrderBook>();
List <TradeBook> tradeBook = new List <TradeBook>();
//初始化每个周期的挂单量和补单量
int period = totalTime / newOrderTimeInterval;
int orderVolumePerTimeInterval = getVolumeOfTimeInterval(untradeVolume, period);
int stockNeedToTradePerTimeInterval = untradeVolume / period;
int oldOrderVolumePerTimeInterval = 0;
int orderNeedToTrade = 0;
int orderAlreadyTrade = 0;
int counting = 0;
double lastNewOrderPrice = 0;
//逐秒进行判断成交以及策略挂单
for (seconds = 0; seconds <= 14221; seconds++)
{
DateTime time = date.Date + DataTimeStampExtension.GetStockSecondsTimeByIndex(seconds);
//获取市场数据部分
var lastTick = onTick(seconds, data);
if (lastTick.Bid1 == 0)
{
continue;
}
counting += 1;
marketMean = (marketMean * (counting - 1) + lastTick.LastPrice) / counting;//计算市场的平均价格
//根据最新盘口数据调整orderbook中waitingValume字段
modifyOrderBookByTickData(ref orderBook, lastTick);
//策略挂单撤单部分
double newOrderPrice = getOrderPrice(newOrderPriceMode, lastTick);
double oldOrderPrice = getOrderPrice(oldOrderPriceMode, lastTick);
if (counting % newOrderTimeInterval == 1)//每个新挂单周期的第1秒进行挂单
{
orderNeedToTrade = orderNeedToTrade + stockNeedToTradePerTimeInterval;
if (orderVolumePerTimeInterval > 0)
{
orderId += 1;
double price = getOrderPrice(newOrderPriceMode, lastTick);
placeAnOrder(ref orderBook, lastTick, price, time, orderVolumePerTimeInterval, orderId);
lastNewOrderPrice = price;
}
//如果价格跳涨，单位时间内多挂1倍的单
if (lastNewOrderPrice > 0 && (lastTick.Ask1 / lastNewOrderPrice - 1) > 1 * vol * Math.Sqrt(newOrderTimeInterval / 60.0))
{
orderId += 1;
placeAnOrder(ref orderBook, lastTick, lastTick.Ask1, time, orderVolumePerTimeInterval, orderId);
lastNewOrderPrice = lastTick.Ask1;
}
}
if (counting % oldOrderTimeInterval == 5)//每个补单周期的第5秒进行补单
{
int activeOrderNumbers = getActivieOrderNumbers(orderBook);
int volumeNow = (int)(Math.Round((orderNeedToTrade - orderAlreadyTrade - activeOrderNumbers) / 100.0) * 100);
volumeNow = Math.Min(oldOrderVolumePerTimeInterval, volumeNow);
if (volumeNow > 0)
{
orderId += 1;
double price = getOrderPrice(oldOrderPriceMode, lastTick);
placeAnOrder(ref orderBook, lastTick, price, time, volumeNow, orderId);
}
}
if (counting % cancelTimeInterval == 0) //每个撤单周期进行撤单，并计算需要补挂的单子
{
int activeOrderNumbers = getActivieOrderNumbers(orderBook);
cancelDeviateOrders(ref orderBook, lastTick);
if (orderAlreadyTrade / Convert.ToDouble(orderNeedToTrade) < tradingRate)
{
cancelPartialDeviateOrders(ref orderBook, lastTick);
activeOrderNumbers = getActivieOrderNumbers(orderBook);
}
//计算后续补单每次挂单量
int oldOrderUntrade = orderNeedToTrade - orderAlreadyTrade - activeOrderNumbers;
oldOrderVolumePerTimeInterval = getVolumeOfTimeInterval(oldOrderUntrade, oldOrderFrequency);
}
//判断成交部分
dataSeconds = DataTimeStampExtension.GetStockSecondsIndex(data[dataIndex].TransactionDateTime);
if (dataSeconds == seconds)
{
//根据该tick的盘口数据，进行成交判断
transactionSimulation(ref orderBook, ref tradeBook, data[dataIndex]);
//根据成交信息更新数据
orderAlreadyTrade = getTradedNumbers(tradeBook);
untradeVolume = totalVolume - orderAlreadyTrade;
//移到下一个tick的数据
if (dataIndex + 1 < data.Count())
{
dataIndex = dataIndex + 1;
}
}
//输出最后的交易情况
if (seconds == 14220)
{
mean = getTradeAveragePrice(tradeBook);
int orderVolume = getOrderBookVolume(orderBook);
Console.WriteLine("{0}: 市场均价 {1} 成交均价 {2} 成交量 {3} 需成交 {4} 挂单 {5}", time, marketMean, mean, orderAlreadyTrade, orderNeedToTrade, orderVolume);
}
}
}
}
