private void InitSimulationStrategys()
{
var simulationData = SimulationData.Instance.Init(m_symbol);
m_simuStrategy = new ISimulateStrategy[TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
int tp = TestParameters2.CandidateParameter.BatchTps[i];
int sl = TestParameters2.CandidateParameter.BatchSls[j];
m_simuStrategy[i, j] = new TpSlM1SimulateStrategy(m_symbol, tp * 10, sl * 10, simulationData);
}
}
}
public static void UpdateHp(string symbol, char dealType, int tp, int sl, string where, System.Data.DataTable dt = null, bool deleteFirst = false)
{
if (dt == null)
{
dt = GetUpdateHpMainTable(symbol, where);
}
System.Console.WriteLine(string.Format("UpdateHp of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));
if (deleteFirst)
{
string sql = string.Format("DELETE FROM {0}_HP WHERE DealType = '{1}' AND Tp = {2} AND Sl = {3} AND {4}",
symbol, dealType, tp, sl,
string.IsNullOrEmpty(where) ? "1=1" : where);
DbHelper.Instance.ExecuteNonQuery(sql);
}
ISimulateStrategy strategy;// = new TpSlSimulateStrategy(0.0070, 0.0035);
var simulationData = SimulationData.Instance.Init(symbol);
strategy = new TpSlM1SimulateStrategy(symbol, tp * 0.0001, sl * 0.0001, simulationData);
//strategy = new BreakEvenM1SimulateStrategy(0.0080, 0.0030, 0.0030);
//strategy = new PriceProbSimulationStrategy(60, 0.0600);
System.Data.DataTable dt2 = new System.Data.DataTable();
dt2.Columns.Add(new System.Data.DataColumn("Time", typeof(long)));
dt2.Columns.Add(new System.Data.DataColumn("DealType", typeof(string)));
dt2.Columns.Add(new System.Data.DataColumn("Tp", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("Sl", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("hp", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("hp_date", typeof(DateTime)));
foreach (System.Data.DataRow row in dt.Rows)
{
DateTime date = (DateTime)row["Date"];
DateTime? closeDate;
bool? hp;
if (dealType == 'B')
hp = strategy.DoBuy(date, (double)row["Close"], out closeDate);
else if (dealType == 'S')
hp = strategy.DoSell(date, (double)row["Close"], out closeDate);
else
throw new ArgumentException("Invalid dealtype of " + dealType);
System.Data.DataRow row2 = dt2.NewRow();
row2["Time"] = row["Time"];
row2["DealType"] = dealType;
row2["Tp"] = tp;
row2["Sl"] = sl;
row2["hp"] = hp == null ? (object)System.DBNull.Value : hp;
row2["hp_date"] = closeDate == null ? (object)System.DBNull.Value : closeDate;
dt2.Rows.Add(row2);
}
DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
//System.Threading.ThreadPool.QueueUserWorkItem(new System.Threading.WaitCallback((o) =>
// {
// System.Console.WriteLine(string.Format("UpdateWriteHp Start of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));
// DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
// System.Console.WriteLine(string.Format("UpdateWriteHp End of {0}_{1}_{2}_{3}", symbol, dealType, tp, sl));
// }));
}
public static void UpdateAllHp3(string symbol, string where = null, bool updateUnComplete = false)
{
//where = " TIME % 1800 = 0 AND Time >= " + WekaUtils.GetTimeFromDate(new DateTime(2001, 4, 10, 0, 0, 0)) +
// " AND TIME < " + WekaUtils.GetTimeFromDate(new DateTime(2001, 4, 11));
try
{
DbHelper.Instance.ExecuteNonQuery(string.Format("SELECT * FROM {0}_HP WHERE TIME = -1", symbol));
}
catch (Exception)
{
string sql = @"CREATE TABLE [dbo].[{0}_HP](
[Time] [bigint] NOT NULL,
[hp] [varbinary](max) NOT NULL,
[hp_date] [varbinary](max) NOT NULL,
[IsComplete] [bit] NOT NULL,
CONSTRAINT [PK_{0}_HP] PRIMARY KEY CLUSTERED
(
[Time] ASC
)WITH (PAD_INDEX = OFF, STATISTICS_NORECOMPUTE = OFF, IGNORE_DUP_KEY = OFF, ALLOW_ROW_LOCKS = ON, ALLOW_PAGE_LOCKS = ON)
)";
DbHelper.Instance.ExecuteNonQuery(string.Format(sql, symbol));
}
bool deleteFirst = false;
if (deleteFirst)
{
string sql = string.Format("DELETE FROM {0}_HP WHERE {1}",
symbol,
string.IsNullOrEmpty(where) ? "1=1" : where);
WekaUtils.Instance.WriteLog(sql);
DbHelper.Instance.ExecuteNonQuery(sql);
}
System.Data.DataTable dt2 = new System.Data.DataTable();
dt2.Columns.Add(new System.Data.DataColumn("Time", typeof(long)));
dt2.Columns.Add(new System.Data.DataColumn("hp", typeof(byte[])));
dt2.Columns.Add(new System.Data.DataColumn("hp_date", typeof(byte[])));
dt2.Columns.Add(new System.Data.DataColumn("IsComplete", typeof(bool)));
bool useAlreadHps = true;
System.Data.DataTable dt = GetUpdateHpMainTable(symbol, where, TestParameters2.CandidateParameter.MainPeriod, useAlreadHps);
//Dictionary<long, int> alreadyHps = new Dictionary<long, int>();
//
//if (useAlreadHps)
//{
// System.Data.DataTable dtHp = DbHelper.Instance.ExecuteDataTable(string.Format("SELECT Time FROM {0}_HP WHERE IsComplete = 1", symbol));
// foreach (System.Data.DataRow row in dtHp.Rows)
// {
// long time = (long)row[0];
// alreadyHps[time] = 1;
// }
//}
var simulationData = SimulationData.Instance.Init(symbol);
ISimulateStrategy[,] strategys = new ISimulateStrategy[TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
int tp = TestParameters.CandidateParameter4Db.BatchTps[i];
int sl = TestParameters.CandidateParameter4Db.BatchSls[j];
strategys[i, j] = new TpSlM1SimulateStrategy(symbol, tp * 10, sl * 10, simulationData);
}
}
try
{
if (TestParameters.EnableMultiThread)
{
Parallel.ForEach<System.Data.DataRow>(dt.Rows.Cast<System.Data.DataRow>(), row =>
{
UpdateHpRow(row, symbol, strategys, dt2, updateUnComplete);
}
);
}
else
{
foreach (System.Data.DataRow row in dt.Rows)
{
UpdateHpRow(row, symbol, strategys, dt2, updateUnComplete);
}
}
DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
dt2.Rows.Clear();
}
catch (ArgumentOutOfRangeException)
{
}
}
public static void UpdateAllHp2(string symbol, string where = null)
{
bool deleteFirst = true;
if (deleteFirst)
{
foreach (char dealType in Parameters.AllDealTypes)
{
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
string sql = string.Format("DELETE FROM {0}_HP WHERE {1} AND DealType = '{2}' AND Tp = '{3}' AND Sl = '{4}'",
symbol,
string.IsNullOrEmpty(where) ? "1=1" : where,
dealType, TestParameters.CandidateParameter4Db.BatchTps[i], TestParameters.CandidateParameter4Db.BatchSls[j]);
WekaUtils.Instance.WriteLog(sql);
DbHelper.Instance.ExecuteNonQuery(sql);
}
}
}
}
System.Data.DataTable dt2 = new System.Data.DataTable();
dt2.Columns.Add(new System.Data.DataColumn("Time", typeof(long)));
dt2.Columns.Add(new System.Data.DataColumn("DealType", typeof(string)));
dt2.Columns.Add(new System.Data.DataColumn("Tp", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("Sl", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("hp", typeof(int)));
dt2.Columns.Add(new System.Data.DataColumn("hp_date", typeof(DateTime)));
System.Data.DataTable dt = GetUpdateHpMainTable(symbol, where);
var simulationData = SimulationData.Instance.Init(symbol);
ISimulateStrategy[,] strategys = new ISimulateStrategy[TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
int tp = TestParameters.CandidateParameter4Db.BatchTps[i];
int sl = TestParameters.CandidateParameter4Db.BatchSls[j];
strategys[i, j] = new TpSlM1SimulateStrategy(symbol, tp * 0.0001, sl * 0.0001, simulationData);
}
}
foreach (System.Data.DataRow row in dt.Rows)
{
DateTime date = (DateTime)row["Date"];
System.Console.WriteLine(string.Format("Now updatehp of {0}", date.ToString(Parameters.DateTimeFormat)));
foreach (char dealType in Parameters.AllDealTypes)
{
int?[,] hps = new int?[TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
DateTime?[,] hpDates = new DateTime?[TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
hps[i, j] = -1;
}
}
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
if (hps[i, j] != -1)
continue;
ISimulateStrategy strategy = strategys[i, j];
DateTime? closeDate;
bool? hp;
if (dealType == 'B')
hp = strategy.DoBuy(date, (double)row["Close"], out closeDate);
else if (dealType == 'S')
hp = strategy.DoSell(date, (double)row["Close"], out closeDate);
else
throw new ArgumentException("Invalid dealtype of " + dealType);
if (hp.HasValue)
{
if (hp.Value)
{
// tp
for (int jj = j; jj < TestParameters.CandidateParameter4Db.BatchSls.Length; ++jj)
{
hps[i, jj] = 1;
hpDates[i, jj] = closeDate.Value;
}
}
else
{
for (int ii = i; ii < TestParameters.CandidateParameter4Db.BatchTps.Length; ++ii)
{
hps[ii, j] = 0;
hpDates[ii, j] = closeDate.Value;
}
}
}
else
{
for (int ii = i; ii < TestParameters.CandidateParameter4Db.BatchTps.Length; ++ii)
for (int jj = j; jj < TestParameters.CandidateParameter4Db.BatchSls.Length; ++jj)
{
hps[ii, jj] = null;
hpDates[ii, jj] = null;
}
}
}
}
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
System.Data.DataRow row2 = dt2.NewRow();
row2["Time"] = row["Time"];
row2["DealType"] = dealType;
row2["Tp"] = TestParameters.CandidateParameter4Db.BatchTps[i];
row2["Sl"] = TestParameters.CandidateParameter4Db.BatchSls[j];
row2["hp"] = hps[i, j] == null ? (object)System.DBNull.Value : hps[i, j].Value;
row2["hp_date"] = hpDates[i, j] == null ? (object)System.DBNull.Value : hpDates[i, j].Value;
dt2.Rows.Add(row2);
}
}
}
if (dt2.Rows.Count > 50000)
{
DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
dt2.Rows.Clear();
}
}
DbHelper.Instance.BulkCopy(dt2, string.Format("{0}_HP", symbol));
dt2.Rows.Clear();
}
private void InitSimulationStrategys()
{
var simulationData = SimulationData.Instance.Init(m_symbol);
m_simuStrategy = new ISimulateStrategy[TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
int tp = TestParameters2.CandidateParameter.BatchTps[i];
int sl = TestParameters2.CandidateParameter.BatchSls[j];
m_simuStrategy[i, j] = new TpSlM1SimulateStrategy(m_symbol, tp * 10, sl * 10, simulationData);
}
}
}
public static void CheckHpData2()
{
string symbol = "EURUSD";
var simulationData = SimulationData.Instance.Init(symbol);
int tp = 20;
int sl = 20;
var x = new TpSlM1SimulateStrategy(symbol, tp * 10, sl * 10, simulationData);
var y = new DbSimulationStrategy(symbol, tp * 10, sl * 10);
DateTime openDate = WekaUtils.GetDateFromTime(946859400);
int ntp = 0, nfp = 0;
for (int i = 0; i < 48; ++i)
{
var d = openDate.AddMinutes(30 * i);
DateTime? closeDate;
var hp = x.DoBuy(d, -1, out closeDate);
if (hp.Value)
ntp++;
else
nfp++;
DateTime? closeDate2;
var hp2 = y.DoBuy(d, -1, out closeDate2);
WekaUtils.DebugAssert(hp == hp2, "hp == hp2");
WekaUtils.DebugAssert(closeDate == closeDate2, "closeDate == closeDate2");
}
ntp = 0; nfp = 0;
for (int i = 0; i < 48; ++i)
{
var d = new DateTime(2006, 6, 19).AddMinutes(30 * i);
DateTime? closeDate;
var hp = x.DoSell(d, -1, out closeDate);
if (hp.Value)
ntp++;
else
nfp++;
DateTime? closeDate2;
var hp2 = y.DoSell(d, -1, out closeDate2);
WekaUtils.DebugAssert(hp == hp2, "hp == hp2");
WekaUtils.DebugAssert(closeDate == closeDate2, "closeDate == closeDate2");
}
}
