private void productFakeQuote()
{
int len = maxQuoteLen;
if (realQuoteBuy != null && realQuoteBuy.Length > 0 && (realQuoteSell == null || realQuoteSell.Length == 0))
{
double b = realQuoteBuy[0].price;
double s = b + 1;
double min = minPrice;
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else if (realQuoteSell != null && realQuoteSell.Length > 0 && (realQuoteBuy == null || realQuoteBuy.Length == 0))
{
double b = realQuoteSell[0].price - 1;
double s = b + 1;
double min = minPrice;
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else if ((realQuoteSell == null || realQuoteSell.Length == 0) && (realQuoteBuy == null || realQuoteBuy.Length == 0))
{
double s = openPrice + 1;
double b = openPrice;
double min = minPrice;
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else
{
double s = realQuoteBuy[0].price;
double b = realQuoteSell[0].price;
double min = minPrice;
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
}
private void productFakeQuote()
{
int len = maxQuoteLen;
double min = minPrice;
if (realQuoteBuy != null && realQuoteBuy.Length > 0 && (realQuoteSell == null || realQuoteSell.Length == 0))
{
double b = realQuoteBuy[0].price;
if (b > upLimitPrice || b < openPrice)
{
b = openPrice;
}
double s = b + min;
if (floatLen > 0)
{
b = Math.Round(b, floatLen);
s = Math.Round(s, floatLen);
}
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else if (realQuoteSell != null && realQuoteSell.Length > 0 && (realQuoteBuy == null || realQuoteBuy.Length == 0))
{
double s = realQuoteSell[0].price;
if (s > upLimitPrice || s < openPrice)
{
s = openPrice;
}
double b = s - min;
if (floatLen > 0)
{
b = Math.Round(b, floatLen);
s = Math.Round(s, floatLen);
}
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else if ((realQuoteSell == null || realQuoteSell.Length == 0) && (realQuoteBuy == null || realQuoteBuy.Length == 0))
{
double s = openPrice + min;
double b = openPrice;
if (floatLen > 0)
{
b = Math.Round(b, floatLen);
s = Math.Round(s, floatLen);
}
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
else
{
double s = realQuoteSell[0].price;
double b = realQuoteBuy[0].price;
if (floatLen > 0)
{
b = Math.Round(b, floatLen);
s = Math.Round(s, floatLen);
}
if ((s > upLimitPrice || s < openPrice) && (b > upLimitPrice || b < openPrice))
{
s = openPrice + min;
b = openPrice;
}
else if (s > upLimitPrice || s < openPrice)
{
s = b + min;
}
else if (b > upLimitPrice || b < openPrice)
{
b = s - min;
}
else
{
if (s - b > 2 * min)
{
b = s - min;
}
}
for (int i = 0; i < len; i++)
{
QuoteItem tmps = quoteSell[i];
tmps.price = s;
tmps.amount = 0;
QuoteItem tmpb = quoteBuy[i];
tmpb.price = b;
tmpb.amount = 0;
s += min;
b -= min;
}
}
}
/// <summary>
/// 加载交易信息
/// </summary>
public sealed override bool Load()
{
try
{
#region 成员属性赋值
//用户ID
userId = 100;
//用户名
userName = "";
//密码
password = "";
//设置 开仓倍数 （必成交）
mustMore = 1;
//设置 开仓倍数 （非成交）
OtherMore = 1;
//真实盘口深度
maxRealQuoteLen = 10;
//伪盘口深度
maxQuoteLen = maxRealQuoteLen + 1;
//产品编号
coinSymbol = "XDFYX";
//交易对
symbol = coinSymbol + "/CNY";
//最小变动单位
minPrice = 0.01;
//线程休眠等级
timerGrade = 1;
//
mustToBuy = 30;
//
mustToSell = 30;
//
otherToBuy = 80;
//
otherToSell = 80;
maxOrderCount = 60;
//设置线程的休眠等级
SetTimer(timerGrade);
#endregion
#region 交易价格信息处理
//查询当日交易的价格区间
coinSymbolMarket = SYRequest.QureyCoinSymbolMarket(coinSymbol);
if (coinSymbolMarket == null)
{
Print("获取当日涨跌停信息失败,策略启动失败！");
return(false);
}
if (coinSymbolMarket.beginPrice == null || coinSymbolMarket.maxPrice == null || coinSymbolMarket.minPrice == null)
{
Print("获取当日涨跌停信息有误,策略启动失败！");
return(false);
}
// 开盘价
openPrice = (double)decimal.Round((decimal)coinSymbolMarket.beginPrice, 2);
// 最高限价
upLimitPrice = (double)decimal.Round((decimal)coinSymbolMarket.maxPrice, 2);
// 最低限价
lowLimitPrice = (double)decimal.Round((decimal)coinSymbolMarket.minPrice, 2);
Print("获取当日涨跌停信息成功！");
#endregion
#region 更新用户持仓信息
//查询所有持仓
position = SYRequest.QureyPosition(userId, coinSymbol);
if (position == null || position.balance == 0)
{
Print("该账户不存在仓位信息！");
}
else
{
Print("获取到所有仓位信息信息！");
}
#endregion
#region 盘口信息更新
//查询盘口信息
Quote q = SYRequest.QureyQuote(symbol);
realQuoteBuy = q.bid.items.ToArray();
realQuoteSell = q.ask.items.ToArray();
int len = maxQuoteLen;
quoteBuy = new QuoteItem[len];
quoteSell = new QuoteItem[len];
for (int i = 0; i < len; i++)
{
quoteBuy[i] = new QuoteItem();
quoteSell[i] = new QuoteItem();
}
productFakeQuote();
#endregion
#region 建立行情连接
socketWorker = new SocketWorker();
if (!socketWorker.Connect())
{
Print("建立行情 socket 连接失败,策略启动失败！");
return(false);
}
socketWorker.Init(this, symbol);
Print("建立行情 socket 连接成功！");
#endregion
return(true);
} catch (Exception ex)
{
OnError(EnumExceptionCode.其他异常, ex.ToString());
return(false);
}
}
/// <summary>
/// 加载交易信息
/// </summary>
public sealed override bool Load()
{
try
{
// 加载配置信息
LoadConfig();
#region 成员属性赋值
//真实盘口深度
maxRealQuoteLen = 10;
//伪盘口深度
maxQuoteLen = maxRealQuoteLen + 1;
//交易对
symbol = coinSymbol + "/CNY";
//设置线程的休眠等级
SetTimer(timerGrade);
string mi = minPrice.ToString();
int index = mi.IndexOf('.');
if (index < mi.Length - 1)
{
string flen = mi.Substring(index + 1);
floatLen = flen.Length;
}
#endregion
// 获取当日涨跌停信息
if (getPriceLimitToday() == false)
{
return(false);
}
#region 更新用户持仓信息
//查询所有持仓
position = SYRequest.QureyPosition(userId, coinSymbol);
if (position == null || position.balance == 0)
{
Print("该账户不存在仓位信息！");
}
else
{
Print("获取到所有仓位信息信息！");
}
#endregion
#region 盘口信息更新
//查询盘口信息
Quote q = SYRequest.QureyQuote(symbol);
realQuoteBuy = q.bid.items.ToArray();
realQuoteSell = q.ask.items.ToArray();
int len = maxQuoteLen;
quoteBuy = new QuoteItem[len];
quoteSell = new QuoteItem[len];
for (int i = 0; i < len; i++)
{
quoteBuy[i] = new QuoteItem();
quoteSell[i] = new QuoteItem();
}
productFakeQuote();
#endregion
return(true);
} catch (Exception ex)
{
OnError(EnumExceptionCode.交易异常, "加载配置信息异常即将交易停止！\r\n" + ex.ToString());
return(false);
}
}
