public override List <TradeInfo> DoBuy(Properties strategyParam, DateTime d, StrategyContext context)
{
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
//读取代码
List <String> codes = LoadCodes(strategyParam, context);
if (codes == null || codes.Count <= 0)
{
return(null);
}
//取得策略参数
double p_mainforcelow = strategyParam.Get <double>("mainforcelow");
int p_monthbutpt = strategyParam.Get <int>("monthbutpt", 0);
//double p_mainforceclimb = strategyParam.Get<double>("mainforceclimb");
double p_mainforceslope = strategyParam.Get <double>("mainforceslope");
int p_mainforcerough = strategyParam.Get <int>("mainforcerough");
int p_buypointdays = strategyParam.Get <int>("buypointdays");
int p_maxbuynum = strategyParam.Get <int>("maxbuynum");
GetInMode p_fundpergetin = GetInMode.Parse(strategyParam.Get <String>("getinMode"));
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
List <TradeInfo> results = new List <TradeInfo>();
//遍历
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
KLine klineDay = ds.DayKLine;
if (klineDay == null)
{
continue;
}
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
continue;
}
TimeSeries <ITimeSeriesItem <List <double> > > fundDay = ds.DayFundTrend;
if (fundDay == null)
{
continue;
}
ITimeSeriesItem <List <double> > fundItemDay = fundDay[d];
if (fundItemDay == null)
{
continue;
}
int index = fundDay.IndexOf(fundItemDay);
if (index <= 0)
{
continue;
}
ITimeSeriesItem <List <double> > prevfundItemDay = fundDay[index - 1];
if (!p_grail.CanBuy(d, code)) //大盘禁止买入的跳过
{
continue;
}
if (p_mainforcelow > 0)//判断主力线上穿p_mainforcelow
{
if (fundItemDay.Value[0] < p_mainforcelow)
{
continue;
}
if (prevfundItemDay.Value[0] > p_mainforcelow)
{
continue;
}
}
if (p_mainforceslope > 0) //判断主力线上升速度超过p_mainforceslope
{
if (fundItemDay.Value[0] - prevfundItemDay.Value[0] < p_mainforceslope)
{
continue;
}
}
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Buy,
Code = code,
Amount = (int)(p_fundpergetin.Value / klineItemDay.CLOSE),
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = (p_mainforcelow <= 0 ? "" : "[主力线低位" + p_mainforcelow.ToString("F2") + "]") + (p_mainforceslope <= 0 ? "" : "[主力线上升速度超过" + p_mainforceslope.ToString("F2") + "]")
};
results.Add(tradeInfo);
}
return(results);
}
public override TradeInfo DoSell(HoldRecord holdRecord, DateTime d, Properties strategyParam, StrategyContext context)
{
if (holdRecord == null)
{
return(null);
}
//取得行情库
IndicatorRepository repository = (IndicatorRepository)context.Get <Object>("repository");
if (repository == null)
{
return(null);
}
TimeSerialsDataSet ds = repository[holdRecord.code];
if (ds == null)
{
return(null);
}
KLine klineDay = ds.DayKLine;
KLineItem klineItemDay = klineDay[d];
if (klineItemDay == null)
{
return(null);
}
//取得策略参数
double p_maxprofilt = strategyParam.Get <double>("maxprofilt");
int p_maxholddays = strategyParam.Get <int>("maxholddays");
double p_stoploss = strategyParam.Get <double>("stoploss");
int p_choosedays = strategyParam.Get <int>("choosedays");
double p_chooseprofilt = strategyParam.Get <double>("chooseprofilt");
GrailParameter p_grail = GrailParameter.Parse(strategyParam.Get <String>("grail"));
double stampduty = context.Get <double>("stampduty");
double volumecommission = context.Get <double>("volumecommission");
//大盘要求必须卖
if (p_grail.MustSell(d, holdRecord.code))
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "大盘指数要求卖出"
};
return(tradeInfo);
}
double profilt = (klineItemDay.CLOSE - holdRecord.buyPrice) / holdRecord.buyPrice;
//判断是否到达最大收益
if (p_maxprofilt > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到" + p_maxprofilt.ToString("F2")
};
return(tradeInfo);
}
}
//盈利超过个股预期
if (holdRecord.expect > 0)
{
if (profilt >= p_maxprofilt)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "盈利达到个股预期" + holdRecord.expect.ToString("F2")
};
return(tradeInfo);
}
}
//预期要求立即卖出
if (holdRecord.expect == -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期极低"
};
return(tradeInfo);
}
//个股观望天数超过预期
int holdDays = CalendarUtils.WorkDayCount(holdRecord.buyDate, d);
if (holdRecord.expect < 0)
{
if (holdDays >= holdRecord.expect * -1)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "个股预期观望超过" + (-1 * holdRecord.expect).ToString() + "天"
};
return(tradeInfo);
}
}
//达到止损线
if (p_stoploss > 0)
{
if (-1 * profilt > p_stoploss)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达止损线" + p_stoploss.ToString("F2")
};
return(tradeInfo);
}
}
//达到最大持仓天数
if (p_maxholddays > 0)
{
if (holdDays > p_maxholddays)
{
TradeInfo tradeInfo = new TradeInfo()
{
Direction = TradeDirection.Sell,
Code = holdRecord.code,
Amount = holdRecord.amount,
EntrustPrice = klineItemDay.CLOSE,
EntrustDate = d,
TradeDate = d,
TradePrice = klineItemDay.CLOSE,
Stamps = stampduty,
Fee = volumecommission,
TradeMethod = TradeInfo.TM_AUTO,
Reason = "到达最大持仓天数" + p_maxholddays.ToString()
};
return(tradeInfo);
}
}
return(null);
}