public StrategyHelper(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
this.DualPositionContainer = new DualPositionContainer(framework);
this.OpenCloseHelper = new OpenCloseHelper(framework, strategy);
this.PositionHelper = new PositionHelper(framework);
this.Strategies = new Dictionary <int, InstrumentStrategyHelper>();
{
// 创建多空两套持仓,只是显示用，实际上不以此为依据
Long = new Portfolio(framework, strategy.Name + "_Long");
framework.PortfolioManager.Add(Long);
Long.Parent = strategy.Portfolio;
Short = new Portfolio(framework, strategy.Name + "_Short");
framework.PortfolioManager.Add(Short);
Short.Parent = strategy.Portfolio;
}
{
// 在实际下单时需要使用指定所操作的Portfolio
OpenCloseHelper.Long = Long;
OpenCloseHelper.Short = Short;
}
}
public void DualPositionToPortfolio(DualPositionContainer dualPosition, Portfolio Net)
{
foreach (var kv in dualPosition.Positions)
{
Instrument instrument = framework.InstrumentManager.GetById(kv.Key);
if (instrument == null)
{
continue;
}
kv.Value.Instrument = instrument;
QtyToNet(instrument,
kv.Value.Long.Qty - kv.Value.Short.Qty,
Net);
}
}
public void DualPositionToPortfolio(DualPositionContainer dualPosition, Portfolio Long, Portfolio Short)
{
foreach (var kv in dualPosition.Positions)
{
Instrument instrument = framework.InstrumentManager.GetById(kv.Key);
if (instrument == null)
{
continue;
}
// 从文件中还原出来，可能insrument丢失
kv.Value.Instrument = instrument;
QtyToLongShort(instrument,
kv.Value.Long.Qty, kv.Value.Short.Qty,
Long, Short);
}
}
public void ReadCsv(string path, DualPositionContainer container)
{
using (TextReader file = new StreamReader(File.Open(path, FileMode.Open, FileAccess.Read), Encoding.GetEncoding("GBK")))
{
int i = 0;
// 第一行丢弃
string str = file.ReadLine();
do
{
++i;
str = file.ReadLine();
if (str == null)
{
break;
}
string[] arr = str.Split(',');
Instrument instrument = framework.InstrumentManager.Get(arr[0]);
if (instrument == null)
{
continue;
}
var record = container.GetPositionRecord(instrument);
MonoPositionRecord mpr = null;
if (arr[1].StartsWith("买"))
{
mpr = record.Long;
}
else
{
mpr = record.Short;
}
mpr.Qty = double.Parse(arr[2]);
mpr.QtyToday = double.Parse(arr[3]);
} while (str != null);
file.Close();
}
}
public void SyncPosition(byte providerId, byte route, Portfolio Long, Portfolio Short, DualPositionContainer container)
{
var accountDataEntry = framework.AccountDataManager.GetSnapshot(providerId, route).Entries[0];
AccountPositionToPortfolio(accountDataEntry.Positions, true, Long, Short);
AccountPositionToDualPosition(accountDataEntry.Positions, true, container);
}
public void AccountPositionToDualPosition(AccountData[] Positions, bool bOnlyToday, DualPositionContainer container)
{
foreach (var pos in Positions)
{
string symbol = (string)pos.Fields[AccountDataField.SYMBOL];
Instrument instrument = framework.InstrumentManager.Get(symbol);
if (instrument == null)
{
continue;
}
int date = (int)pos.Fields[AccountDataFieldEx.DATE];
if (bOnlyToday)
{
if (date != TimeHelper.GetDate(DateTime.Today))
{
continue;
}
}
PositionFieldEx pfe = (PositionFieldEx)pos.Fields[AccountDataFieldEx.USER_DATA];
var record = container.GetPositionRecord(instrument);
record.Long.Qty = pfe.Long.Position;
record.Long.QtyToday = pfe.Long.TodayPosition;
record.Short.Qty = pfe.Short.Position;
record.Short.QtyToday = pfe.Short.TodayPosition;
}
}
