public void DoTrade(TradeContext tradeContext)
{
foreach (var order in this)
{
tradeContext.DoTrade(order.TradeType, order.Time);
}
}
public bool IsMatch(out Signal signal, TradeContext tradeContext)
{
signal = null;
foreach (var c in TradeConditions)
{
Signal s = null;
bool result = c.IsMatch(out s, tradeContext);
if (s != null)
{
if (signal == null)
{
signal = new AndSignal();
}
((AndSignal)signal).Add(s);
}
if (result == false)
{
return(false);
}
}
return(true);
}
public bool IsMatch(out Candlesticks.Signal signal, TradeContext tradeContext)
{
signal = null;
DateTime date = tradeContext.Date;
if (date.Add(CheckStartTime) > date.Add(CheckEndTime))
{
throw new Exception("checkStartDateTime > checkEndDateTime");
}
if (date.Add(CheckStartTime) >= DateTime.Now)
{
return(false);
}
signal = new Signal()
{
Pattern = this,
};
float startPrice = tradeContext.GetPrice(date.Add(CheckStartTime));
((Signal)signal).CheckStartPrice = startPrice;
if (date.Add(CheckEndTime) >= DateTime.Now)
{
return(false);
}
float endPrice = tradeContext.GetPrice(date.Add(CheckEndTime));
((Signal)signal).CheckEndPrice = endPrice;
if (this.IsCheckUp)
{
return(endPrice > startPrice);
}
else
{
return(endPrice < startPrice);
}
}
public string GetTradeDescription(TradeContext tradeContext)
{
DateTime priceGettableTime = DateTime.Now.AddSeconds(-5);
float tradeStartPrice = float.NaN;
var builder = new StringBuilder();
builder.Append(Time.ToString());
builder.Append(" ");
builder.Append(this.TradeType);
builder.Append(" ");
DateTime tradeStartDateTime = tradeContext.Date.AddTicks(this.Time.Ticks);
if (tradeStartDateTime < priceGettableTime)
{
tradeStartPrice = tradeContext.GetPrice(tradeStartDateTime);
builder.Append(PriceFormatter.Format(tradeStartPrice, Instrument));
}
else
{
builder.Append("???");
}
return(builder.ToString());
}
public string GetTradeDescription(TradeContext tradeContext)
{
return(String.Join(" ", this.Select(order => order.GetTradeDescription(tradeContext))));
}
private void ReportMultiCondition(Report report, TradeOrders tradeOrders, TradeCondition[] conditions, IEnumerable <Candlestick> candles)
{
report.SetHeader("condition", "prifit rate", "profit count", "total match");
var dateTimePrice = new Dictionary <DateTime, float>();
var dateSet = new HashSet <DateTime>();
foreach (var c in candles)
{
if (c.IsNull)
{
continue;
}
dateTimePrice[c.DateTime] = c.Open;
dateSet.Add(c.DateTime.Date);
}
Func <DateTime, float> getPrice = dateTime =>
dateTimePrice.ContainsKey(dateTime) ? dateTimePrice[dateTime] : float.NaN;
int c1, c2, c3, c4, total;
int r1, r2, r3, r4;
r1 = r2 = r3 = r4 = c1 = c2 = c3 = c4 = total = 0;
foreach (var date in dateSet)
{
var m = new List <bool>();
bool isValid = true;
foreach (var condition in conditions)
{
TradeContext c = new TradeContext()
{
Instrument = tradeOrders[0].Instrument,
Date = date,
GetPrice = getPrice,
};
Signal signal;
m.Add(condition.IsMatch(out signal, c));
if (signal == null || signal.IsValid == false)
{
isValid = false;
}
}
if (!isValid)
{
continue;
}
TradeContext context = new TradeContext()
{
Instrument = tradeOrders[0].Instrument,
Date = date,
GetPrice = getPrice,
};
tradeOrders.DoTrade(context);
if (context.IsValid == false)
{
continue;
}
bool isSuccess = context.Profit > 0f;
total++;
if (!m[0] && !m[1])
{
c1++;
r1 += isSuccess ? 1 : 0;
}
if (m[0] && !m[1])
{
c2++;
r2 += isSuccess ? 1 : 0;
}
if (!m[0] && m[1])
{
c3++;
r3 += isSuccess ? 1 : 0;
}
if (m[0] && m[1])
{
c4++;
r4 += isSuccess ? 1 : 0;
}
}
report.WriteLine("!p1 && !p2", (float)r1 / c1, r1, c1);
report.WriteLine("p1 && !p2", (float)r2 / c2, r2, c2);
report.WriteLine("!p1 && p2", (float)r3 / c3, r3, c3);
report.WriteLine("p1 && p2", (float)r4 / c4, r4, c4);
report.WriteLine("total", (float)(r1 + r2 + r3 + r4) / (c1 + c2 + c3 + c4), r1 + r2 + r3 + r4, c1 + c2 + c3 + c4);
}
private void timer1_Tick(object sender, EventArgs e)
{
// this.signalDataGrid.CurrentCell = null;
using (DBUtils.OpenThreadConnection()) {
int index = 0;
this.signalDataGrid.CommitEdit(DataGridViewDataErrorContexts.Commit);
foreach (var pattern in patterns)
{
var cells = this.signalDataGrid.Rows[index].Cells;
cells["pattern"].Value = pattern.TradeCondition.GetCheckDescription();
Signal signal;
bool isMatch = false;
TradeContext tradeContext = new TradeContext()
{
Instrument = pattern.TradeOrders[0].Instrument,
Date = DateTime.Today
};
cells["trade"].Value = pattern.TradeOrders.GetTradeDescription(tradeContext);
if (pattern.TradeCondition.IsMatch(out signal, tradeContext))
{
pattern.TradeOrders.DoTrade(tradeContext);
if (tradeContext.Profit > 0f)
{
cells["trade"].Style.BackColor = Color.LightPink;
}
else
{
cells["trade"].Style.BackColor = pattern.TradeOrders.IsInTradeTime ? Color.Red : Color.Yellow;
}
isMatch = true;
}
else
{
cells["trade"].Style.BackColor = Color.White;
isMatch = false;
}
if (signal != null)
{
if (isMatch)
{
cells["match"].Value = "Matched!" + signal.GetCheckResultDescription();
cells["match"].Style.BackColor = Color.Yellow;
var isAutoTrade = cells["autoTrade"].Value;
if (isAutoTrade != null && (bool)isAutoTrade)
{
DoTrade(pattern.TradeOrders);
}
}
else
{
if (signal.IsCheckFinished)
{
cells["match"].Style.BackColor = Color.LightGray;
}
cells["match"].Value = "Not Match " + signal.GetCheckResultDescription();
}
}
else
{
cells["match"].Value = "Not Match";
}
index++;
}
this.signalDataGrid.AutoResizeColumn(0);
this.signalDataGrid.AutoResizeColumn(1);
this.signalDataGrid.AutoResizeColumn(2);
}
}
