public override void OnInit()
{
//读取日线，计算持仓周期
if (HasPosition)
{
DateTime curDate = Clock.Now.Date;
List <Daily> dailyBars = BarUtils.GetLastNDailys(this.instrument, curDate.AddDays(-1), 40);
BarUtils.AdjustDailys(dailyBars); //向前复权
int n = dailyBars.Count;
if (n > 0)
{
int i;
for (i = n - 1; i >= 0; i--)
{
if (dailyBars[i].DateTime <= Position.EntryDate.Date)
{
break;
}
}
if (dailyBars[i].DateTime < Position.EntryDate.Date)
{
i++;
}
if (i < 0)
{
i = 0;
}
this.holdingPeriod = n - i + 1;
}
this.stopLossPrice = Position.EntryPrice * (1 - stopLossRate);
}
Console.WriteLine("投资组合中的证券 {0} 的持仓周期是 {1} ", this.instrument.Symbol, this.holdingPeriod);
}
private void GetDataAndPrediction(List <TradeStateRecord> tradeStateRecords, Dictionary <String, Trade> lastTradeDict)
{
Console.WriteLine("共有记录{0}条", tradeStateRecords.Count);
DQNTradeDBAccess.ClearTempRecords();
Console.WriteLine("开始准备数据 ...");
string dealDateString = Utils.FormatDate(this.dealDate);
foreach (TradeStateRecord aStateRecord in tradeStateRecords)
{
Trade lastTrade = lastTradeDict[aStateRecord.Symbol];
if (lastTrade == null)
{
continue;
}
//读取应指数的日线和5分线，证券的日线和分线
string indexSymbol = "";
if (aStateRecord.Symbol.IndexOf("SHSE.") >= 0)
{
indexSymbol = "SHSE.000001";
}
else if (aStateRecord.Symbol.IndexOf("SZSE.3") >= 0)
{
indexSymbol = "SZSE.399006";
}
else
{
indexSymbol = "SZSE.399001";
}
List <Daily> indexDailys = BarFeeder.GetDailys(indexSymbol, Const.IndexDailyPeriod);
List <Bar> indexMin5s = BarFeeder.GetBar5s(indexSymbol, Const.IndexMin5Period);
//***这里多加了当天日线，便于向前复权,以修正价格
List <Daily> stockDailys = BarFeeder.GetDailys(aStateRecord.Symbol, Const.StockDailyPeriod, true, lastTrade);
//日线不足周期数的忽略
if (stockDailys.Count < Const.StockDailyPeriod)
{
continue;
}
List <Bar> stockMin5s = BarFeeder.GetBar5s(aStateRecord.Symbol, Const.StockMin5Period);
//正规化数据
List <NormalBar> indexNormalDailys = BarUtils.NormalBars(indexDailys);
List <NormalBar> indexNormalMin5s = BarUtils.NormalBars(indexMin5s);
List <NormalBar> stockNormalDailys = BarUtils.NormalBars(stockDailys);
List <NormalBar> stockNormalMin5s = BarUtils.NormalBars(stockMin5s);
DQNTradeDBAccess.SaveTempRecord(dealDateString, aStateRecord.Symbol, aStateRecord.HoldingPeriod,
BarUtils.BarsToBsonArray(indexNormalDailys), BarUtils.BarsToBsonArray(indexNormalMin5s),
BarUtils.BarsToBsonArray(stockNormalDailys), BarUtils.BarsToBsonArray(stockNormalMin5s));
}
Console.WriteLine("预测中 ...");
//调用神经网络进行盈利预测
CMDAgent.RunPythonScript(@"E:\pyfiles\trade_dqn_v2.0\trade_prediction.py", dealDateString);
}
// public static IList<double> Decompress(this ISecurity sec, IReadOnlyList<double> data, IMemoryManagement mm = null,
// IReadOnlyList<double> increment = null)
// {
// return Decompress(sec.P)
// }
public static IList <double> Decompress <T>(IReadOnlyList <T> originalBars, Interval curInterval,
IReadOnlyList <double> data, IReadOnlyList <double> increment,
Interval dataInterval, IReadOnlyList <T> compressedBars = null,
IMemoryManagement mm = null)
where T : class, IBaseBar
{
if (originalBars == null)
{
throw new ArgumentNullException(nameof(originalBars));
}
if (data == null)
{
throw new ArgumentNullException(nameof(data));
}
var count = originalBars.Count;
if (compressedBars == null)
{
compressedBars = BarUtils.CompressTo(originalBars, dataInterval, curInterval);
}
var newBars = mm?.GetArray <double>(count) ?? new double[count];
var dataIntervalShift = dataInterval.Shift;
var shift = (dataIntervalShift - curInterval.Shift).Ticks;
var step = curInterval.Shift.Ticks;
var steps = dataIntervalShift.Ticks / step;
var k = -1;
var ticks = 0L;
for (var i = 0; i < originalBars.Count; i++)
{
var bar = originalBars[i];
var t = bar.Ticks;
while (t >= ticks + shift && k < data.Count - 1)
{
var index = Math.Min(++k + 1, compressedBars.Count - 1);
ticks = compressedBars[index].Ticks;
}
var curStep = (ticks - t - shift) / step + 1;
var ci = Math.Max(k, 0);
newBars[i] = data[ci] - increment[ci] * ((double)curStep / steps + 2);
}
return(newBars);
}
//如果本地有日线，则先读取本地数据
public static List <Daily> GetLastNDailys(string symbol, int n)
{
List <Daily> dailys;
Instrument inst = InstrumentManager.Instruments[symbol];
if (inst != null)
{
dailys = BarUtils.GetLastNDailys(inst, dealDate, n);
}
else
{
dailys = provider.GetLastNDailys(symbol, n, dealDateString);
}
return(dailys);
}
private static void ReviseDailys(List <Daily> dailys, string symbol, Trade lastTrade)
{
GMTrade gmTrade = (GMTrade)lastTrade;
//去掉当天日线后
int m = dailys.Count;
if (dailys[m - 1].DateTime == dealDate)
{
BarUtils.CoverDailyFormTrade(dailys[m - 1], gmTrade);
}
else
{
dailys.RemoveAt(0);
GMDaily newDaily = new GMDaily(dailys[m - 2] as GMDaily);
BarUtils.CoverDailyFormTrade(newDaily, gmTrade);
dailys.Add(newDaily);
}
//向前复权
BarUtils.AdjustDailys(dailys);
}
public override void NewSymbolBar(Symbol symbol, BarData bar)
{
Symbol symbol1 = SystemData.Symbols[0];
Symbol symbol2 = SystemData.Symbols[1];
// Get the current prices for both symbols
double close1 = BarUtils.LastValidBar(SystemData.BarCollections[symbol1]).Close;
double close2 = BarUtils.LastValidBar(SystemData.BarCollections[symbol2]).Close;
// make sure we only process the loop once per bar
if (symbol1 == symbol)
{
// Use the "SpreadThreshold" optimization variable configured in the System Properties window
if ((close1 * 3) - (close2 * 2) <= SystemData.SystemParameters["SpreadThreshold"])
{
OpenPosition(symbol1, PositionType.Long, OrderType.Market, 0, 3);
OpenPosition(symbol2, PositionType.Short, OrderType.Market, 0, 2);
}
}
// Analyze each position for profit
double totalProfit = 0.0;
foreach (Position position in PositionManager.GetOpenPositions())
{
totalProfit += position.CurStats.RealizedProfit;
}
if (totalProfit >= SystemData.SystemParameters["ProfitThreshold"])
{
// Loop through one last time and close all positions
foreach (Position pos in PositionManager.GetOpenPositions())
{
PositionManager.ClosePosition(pos.PosID);
}
}
// This line of code runs the actions you have set up in in the Project Form
Actions.RunActions(symbol);
}
public ISecurity CompressToVolume(Interval interval)
{
var bars = BarUtils.CompressToVolume(Bars, interval);
return(CompressTo(interval, bars));
}
public ISecurity CompressTo(Interval interval, int shift, int adjustment, int adjShift)
{
var bars = BarUtils.CompressTo(Bars, interval, IntervalInstance, 0, shift, adjustment, adjShift);
return(CompressTo(interval, bars));
}
public ISecurity CompressToPriceRange(Interval interval)
{
var bars = BarUtils.CompressToPriceRange(Bars, interval, Tick);
return(CompressTo(interval, bars));
}
protected override bool doJob()
{
bool ret = false;
List <TradeStateRecord> tradeStateRecords = new List <TradeStateRecord>();
List <string> recordedSymbols = new List <string>();
DateTime dealTime = this.dealDate.AddMinutes(Const.DealTimeMins);
DateTime closeTime = this.dealDate.AddMinutes(Const.CloseTimeMins);
string dealTimeString = Utils.FormatTime(dealTime);
string closeTimeString = Utils.FormatTime(closeTime);
string dealDateString = Utils.FormatDate(dealDate);
//处理已记录的随机交易
foreach (BsonDocument record in RandomTradeDBAccess.GetRecordsByNextTradeDate(dealDateString))
{
TradeStateRecord aTradeRecord = new TradeStateRecord();
aTradeRecord._id = record["_id"].ToString();
aTradeRecord.Symbol = record["Symbol"].ToString();
aTradeRecord.HoldingPeriod = (int)record["HoldingPeriod"] + 1;
tradeStateRecords.Add(aTradeRecord);
recordedSymbols.Add(aTradeRecord.Symbol);
}
//获取指定时间的最新价格，然后随机选择入场
List <string> activeSymbols = new List <String>();
activeSymbols.AddRange(this.provider.GetSymbols("SHSE", 1, 1));
activeSymbols.AddRange(this.provider.GetSymbols("SZSE", 1, 1));
Dictionary <String, Trade> lastTradeDict = new Dictionary <String, Trade>();
foreach (string symbol in activeSymbols)
{
List <Trade> trades = this.provider.GetLastNTrades(symbol, dealTimeString, 1);
if (trades.Count > 0 && trades[0].DateTime.Date == this.dealDate)
{
lastTradeDict[symbol] = trades[0];
}
else
{
lastTradeDict[symbol] = null;
}
}
Console.WriteLine("今日共有 {0} 只活跃证券", lastTradeDict.Count);
List <string> symbols = new List <string>();
foreach (KeyValuePair <String, Trade> kvp in lastTradeDict)
{
if (kvp.Value == null)
{
continue;
}
GMTrade gmTrade = (GMTrade)kvp.Value;
if (gmTrade.Price <= 0)
{
continue;
}
if (gmTrade.Price == gmTrade.UpperLimit)
{
continue;
}
if (gmTrade.Price / gmTrade.LastClose - 1 <= 0)
{
continue;
}
if (recordedSymbols.Contains(kvp.Key))
{
continue;
}
if (!symbols.Contains(kvp.Key))
{
symbols.Add(kvp.Key);
}
}
int total = symbols.Count;
Random randomer = new Random((int)DateTime.Now.Ticks);
int[] randomNumbers = new int[100];
for (int k = 0; k < 100; k++)
{
randomNumbers[k] = randomer.Next(total);
}
foreach (int r in randomNumbers)
{
string symbol = symbols[r];
TradeStateRecord aTradeRecord = new TradeStateRecord();
aTradeRecord.Symbol = symbol;
aTradeRecord.HoldingPeriod = 1;
tradeStateRecords.Add(aTradeRecord);
}
Console.WriteLine("今日共需保存 {0} 条交易记录", tradeStateRecords.Count);
//如果当天已写入记录，先删除
RandomTradeDBAccess.RemoveRecordsByDate(dealDateString);
BarFeeder.Init(this.provider, dealTime);
//开始记录每一条交易
string nextTradeDateString = (string)this.strategy.Global["NextTradeDate"];
foreach (TradeStateRecord aTradeRecord in tradeStateRecords)
{
//读取当天日线
List <Daily> dailys = BarFeeder.GetLastNDailys(aTradeRecord.Symbol, 1);
Daily curDaily = null;
if (dailys.Count > 0)
{
curDaily = dailys[0];
}
//没有当天日线则认为是停盘，有则确定收盘价格
if (curDaily == null || curDaily.DateTime < this.dealDate)
{
aTradeRecord.PriceWhenClose = 0.0;
Console.WriteLine("证券{0}:今日没有交易", aTradeRecord.Symbol);
if (aTradeRecord.HoldingPeriod > 1)
{
RandomTradeDBAccess.UpdateNextTradeDate(aTradeRecord._id, nextTradeDateString);
}
continue;
}
else
{
aTradeRecord.PriceWhenClose = curDaily.Close;
aTradeRecord.LowerPriceWhenClose = curDaily.Low;
}
//读取决断时的价格
Trade lastTrade = lastTradeDict[aTradeRecord.Symbol];
if (lastTrade == null || lastTrade.Price <= 0)
{
Console.WriteLine(" {0} 在决断时未能获取价格", aTradeRecord.Symbol);
continue;
}
//读取交易价格,这里使用了下1分钟内的第一笔交易，如果没有则继续找下一分钟
List <Trade> trades;
Trade nextTrade = null;
DateTime curTime = dealTime;
DateTime nextTime;
do
{
nextTime = curTime.AddMinutes(1);
string curTimeString = Utils.FormatTime(curTime);
string nextTimeString = Utils.FormatTime(nextTime);
trades = this.provider.GetTrades(aTradeRecord.Symbol, curTimeString, nextTimeString);
int i = 0;
int m = trades.Count;
if (m > 0)
{
while (i < m && (trades[i].DateTime <= lastTrade.DateTime || trades[i].Price >= curDaily.High)) //防止以涨停价成交，因为这是买不到的
{
i++;
}
if (i < m)
{
nextTrade = trades[i];
}
}
curTime = nextTime;
}while((nextTrade == null || nextTrade.Price <= 0) && curTime < closeTime);
//如果没有可交易的价格
if (nextTrade == null)
{
Console.WriteLine("Symbol {0} 在 {1} 时无法在今天内成交", aTradeRecord.Symbol, dealTime);
aTradeRecord.PriceWhenDeal = 0.0;
if (aTradeRecord.HoldingPeriod > 1)
{
RandomTradeDBAccess.UpdateNextTradeDate(aTradeRecord._id, nextTradeDateString);
}
continue;
}
else
{
aTradeRecord.PriceWhenDeal = nextTrade.Price;
aTradeRecord.LowerPriceWhenDeal = ((GMTrade)nextTrade).Low;
//修正周期为1时，成交后经历的最低价
if (aTradeRecord.HoldingPeriod <= 1)
{
trades = this.provider.GetTrades(aTradeRecord.Symbol, Utils.FormatTime(nextTrade.DateTime), Utils.FormatTime(closeTime));
aTradeRecord.LowerPriceWhenClose = nextTrade.Price;
foreach (Trade trade in trades)
{
if (trade.Price < aTradeRecord.LowerPriceWhenClose)
{
aTradeRecord.LowerPriceWhenClose = trade.Price;
}
}
}
}
//读取应指数的日线和5分线，证券的日线和分线
string indexSymbol = "";
if (aTradeRecord.Symbol.IndexOf("SHSE.") >= 0)
{
indexSymbol = "SHSE.000001";
}
else if (aTradeRecord.Symbol.IndexOf("SZSE.3") >= 0)
{
indexSymbol = "SZSE.399006";
}
else
{
indexSymbol = "SZSE.399001";
}
List <Daily> indexDailys = BarFeeder.GetDailys(indexSymbol, Const.IndexDailyPeriod);
List <Bar> indexMin5s = BarFeeder.GetBar5s(indexSymbol, Const.IndexMin5Period);
//***这里多加了当天日线，便于向前复权,以修正价格
List <Daily> stockDailys = BarFeeder.GetDailys(aTradeRecord.Symbol, Const.StockDailyPeriod, true, lastTrade);
//日线不足周期数的忽略
if (stockDailys.Count < Const.StockDailyPeriod)
{
continue;
}
List <Bar> stockMin5s = BarFeeder.GetBar5s(aTradeRecord.Symbol, Const.StockMin5Period);
//昨天的收盘价
double lastClose = stockDailys[stockDailys.Count - 2].Close;
//计算当天的奖赏
double rewardForInside = 0.0; //在场内的奖赏
double rewardForOutside = 0.0; //在场外的奖赏
double riskForInside = 0.0;
double riskForOutside = 0.0;
if (aTradeRecord.HoldingPeriod == 1)
{
rewardForInside = Math.Log(aTradeRecord.PriceWhenClose / aTradeRecord.PriceWhenDeal);
riskForInside = Math.Log(aTradeRecord.LowerPriceWhenClose / aTradeRecord.PriceWhenDeal);
}
else if (aTradeRecord.HoldingPeriod > 1)
{
rewardForInside = Math.Log(aTradeRecord.PriceWhenClose / lastClose);
rewardForOutside = Math.Log(aTradeRecord.PriceWhenDeal / lastClose);
riskForInside = Math.Log(aTradeRecord.LowerPriceWhenClose / lastClose);
riskForOutside = Math.Log(aTradeRecord.LowerPriceWhenDeal / lastClose);
}
//正规化数据
List <NormalBar> indexNormalDailys = BarUtils.NormalBars(indexDailys);
List <NormalBar> indexNormalMin5s = BarUtils.NormalBars(indexMin5s);
List <NormalBar> stockNormalDailys = BarUtils.NormalBars(stockDailys);
List <NormalBar> stockNormalMin5s = BarUtils.NormalBars(stockMin5s);
//封装reward
BsonArray rewards = new BsonArray(2);
rewards.Add(rewardForInside);
rewards.Add(rewardForOutside);
//封装risk
BsonArray risks = new BsonArray(2);
risks.Add(riskForInside);
risks.Add(riskForOutside);
//确定nextTradeDate
string dateString = nextTradeDateString;
if (aTradeRecord.HoldingPeriod >= Const.HoldingPeriodLimit)
{
dateString = "";
}
//写入数据库
RandomTradeDBAccess.SaveRocord(dealDateString, aTradeRecord.Symbol, aTradeRecord.HoldingPeriod,
BarUtils.BarsToBsonArray(indexNormalDailys), BarUtils.BarsToBsonArray(indexNormalMin5s),
BarUtils.BarsToBsonArray(stockNormalDailys), BarUtils.BarsToBsonArray(stockNormalMin5s),
rewards, risks, dateString);
}
Console.WriteLine("统计完毕。");
ret = true;
return(ret);
}
