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);
}
}
}
}
}
}
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;
}
}
}
}
}
}
