public void UpdateHp(long nowTime)
{
System.Console.WriteLine("Now UpdateHp.");
int n = TestParameters2.nTpsl;
if (m_simuStrategy != null)
{
SimulationData.Instance.OnNewData(nowTime);
}
var dt = Feng.Data.DbHelper.Instance.ExecuteDataTable(
string.Format("SELECT TIME FROM {0}_M1 WHERE TIME NOT IN (SELECT TIME FROM {0}_HP) AND TIME <= {1} AND TIME > {2} AND {3}",
m_symbol, nowTime, nowTime - 60 * 60 * 24 * 7,
string.IsNullOrEmpty(TestParameters.DbSelectWhere) ? "1 = 1" : TestParameters.DbSelectWhere));
var txn = Feng.Data.DbHelper.Instance.BeginTransaction();
foreach (System.Data.DataRow row in dt.Rows)
{
long time = (long)row["Time"];
var newHpSql = new SqlCommand(string.Format("IF NOT EXISTS (SELECT * FROM [{0}_HP] WHERE Time = {1}) INSERT INTO [{0}_HP] ([Time],[hp],[hp_date],[IsComplete]) VALUES ({1}, @hp, @hp_date, 0)", m_symbol, time));
sbyte?[, ,] hps = new sbyte?[Parameters.AllDealTypes.Length, TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
long?[, ,] hpTimes = new long?[Parameters.AllDealTypes.Length, TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
hps[k, i, j] = null;
hpTimes[k, i, j] = null;
}
}
}
newHpSql.Parameters.AddWithValue("@hp", HpData.SerializeHp(hps));
newHpSql.Parameters.AddWithValue("@hp_date", HpData.SerializeHpTimes(hpTimes));
newHpSql.Transaction = txn as SqlTransaction;
Feng.Data.DbHelper.Instance.ExecuteNonQuery(newHpSql);
}
try
{
Feng.Data.DbHelper.Instance.CommitTransaction(txn);
}
catch (Exception)
{
Feng.Data.DbHelper.Instance.RollbackTransaction(txn);
throw;
}
dt = Feng.Data.DbHelper.Instance.ExecuteDataTable(string.Format("SELECT * FROM {0}_HP WHERE TIME <= {1} AND IsComplete = 0",
m_symbol, nowTime));
txn = Feng.Data.DbHelper.Instance.BeginTransaction();
foreach (System.Data.DataRow row in dt.Rows)
{
if (m_simuStrategy == null)
{
InitSimulationStrategys();
}
long time = (long)row["Time"];
DateTime date = WekaUtils.GetDateFromTime(time);
sbyte?[, ,] hps = HpData.DeserializeHp((byte[])row["hp"]);
long?[, ,] hpTimes = HpData.DeserializeHpTimes((byte[])row["hp_date"]);
if (date.Minute == 0 && date.Hour == 12)
{
System.Console.WriteLine(string.Format("Now updatehp of {0}, {1}", date.ToString(Parameters.DateTimeFormat), m_symbol));
}
bool[] isComplete = new bool[Parameters.AllDealTypes.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
isComplete[k] = true;
char dealType = Parameters.AllDealTypes[k];
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
if (!isComplete[k])
{
break;
}
//if (i % n != n - 1)
// continue;
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
if (!isComplete[k])
{
break;
}
//if (j % n != n - 1)
// continue;
if (hps[k, i, j].HasValue && hps[k, i, j].Value != -1)
{
continue;
}
ISimulateStrategy strategy = m_simuStrategy[i, j];
//if (j == 5 && i == 9 && date == new DateTime(2010, 6, 1, 0, 15, 0))
//{
//}
DateTime?closeDate;
bool? hp;
if (dealType == 'B')
{
hp = strategy.DoBuy(date, -1, out closeDate);
}
else if (dealType == 'S')
{
hp = strategy.DoSell(date, -1, out closeDate);
}
else
{
throw new ArgumentException("Invalid dealtype of " + dealType);
}
if (hp.HasValue)
{
//WekaUtils.Instance.WriteLog(string.Format("Get Update Result of {0},{1},{2},{3} = {4},{5}",
// time, dealType,
// TestParameters.DefaultCandidateParameter.BatchTps[i], TestParameters.DefaultCandidateParameter.BatchSls[j],
// hp.Value, closeDate.Value));
if (hp.Value)
{
// tp
for (int jj = j; jj < TestParameters2.CandidateParameter.BatchSls.Length; ++jj)
{
hps[k, i, jj] = 1;
hpTimes[k, i, jj] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
else
{
for (int ii = i; ii < TestParameters2.CandidateParameter.BatchTps.Length; ++ii)
{
hps[k, ii, j] = 0;
hpTimes[k, ii, j] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
}
else
{
isComplete[k] = false;
break;
}
}
}
}
System.Data.SqlClient.SqlCommand updateCmd = new SqlCommand(string.Format("UPDATE [{0}_HP] SET [hp] = @hp,[hp_date] = @hp_date,[IsComplete] = @IsComplete WHERE [Time] = @Time", m_symbol));
updateCmd.Parameters.AddWithValue("@hp", HpData.SerializeHp(hps));
updateCmd.Parameters.AddWithValue("@hp_date", HpData.SerializeHpTimes(hpTimes));
updateCmd.Parameters.AddWithValue("@IsComplete", WekaUtils.AndAll(isComplete));
updateCmd.Parameters.AddWithValue("@Time", time);
updateCmd.Transaction = txn as SqlTransaction;
Feng.Data.DbHelper.Instance.ExecuteNonQuery(updateCmd);
}
try
{
Feng.Data.DbHelper.Instance.CommitTransaction(txn);
}
catch (Exception)
{
Feng.Data.DbHelper.Instance.RollbackTransaction(txn);
throw;
}
}
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)
{
}
}
private static void UpdateHpRow(System.Data.DataRow row, string symbol, ISimulateStrategy[,] strategys, System.Data.DataTable dtDest, bool updateUnComplete)
{
DateTime date = (DateTime)row["Date"];
if (date.DayOfWeek == DayOfWeek.Saturday || date.DayOfWeek == DayOfWeek.Sunday)
return;
long time = WekaUtils.GetTimeFromDate(date);
//if (alreadyHps.ContainsKey(time))
// return;
System.Console.WriteLine(string.Format("Now updatehp of {0}, {1}", date.ToString(Parameters.DateTimeFormat), symbol));
sbyte?[, ,] hps;
long?[, ,] hpTimes;
var hpRow = DbHelper.Instance.ExecuteDataRow(string.Format("SELECT * FROM {0}_HP WHERE TIME = {1}", symbol, time));
if (hpRow != null)
{
hps = HpData.DeserializeHp((byte[])hpRow["hp"]);
hpTimes = HpData.DeserializeHpTimes((byte[])hpRow["hp_date"]);
}
else
{
hps = new sbyte?[Parameters.AllDealTypes.Length, TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
hpTimes = new long?[Parameters.AllDealTypes.Length, TestParameters.CandidateParameter4Db.BatchTps.Length, TestParameters.CandidateParameter4Db.BatchSls.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
hps[k, i, j] = null;
hpTimes[k, i, j] = null;
}
}
}
}
bool[] isComplete = new bool[Parameters.AllDealTypes.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
char dealType = Parameters.AllDealTypes[k];
isComplete[k] = true;
for (int i = 0; i < TestParameters.CandidateParameter4Db.BatchTps.Length; ++i)
{
if (!isComplete[k])
break;
for (int j = 0; j < TestParameters.CandidateParameter4Db.BatchSls.Length; ++j)
{
if (!isComplete[k])
break;
if (hps[k, i, j].HasValue && hps[k, 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[k, i, jj] = 1;
hpTimes[k, i, jj] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
else
{
for (int ii = i; ii < TestParameters.CandidateParameter4Db.BatchTps.Length; ++ii)
{
hps[k, ii, j] = 0;
hpTimes[k, ii, j] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
}
else
{
isComplete[k] = false;
//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);
//if (!updateUnComplete)
//{
// lock (dtDest)
// {
// DbHelper.Instance.BulkCopy(dtDest, string.Format("{0}_HP", symbol));
// dtDest.Rows.Clear();
// throw new AssertException("hp should not be null");
// }
//}
}
}
}
}
if (hpRow != null)
{
System.Data.SqlClient.SqlCommand updateCmd = new SqlCommand(string.Format("UPDATE [{0}_HP] SET [hp] = @hp,[hp_date] = @hp_date,[IsComplete] = @IsComplete WHERE [Time] = @Time", symbol));
updateCmd.Parameters.AddWithValue("@hp", HpData.SerializeHp(hps));
updateCmd.Parameters.AddWithValue("@hp_date", HpData.SerializeHpTimes(hpTimes));
updateCmd.Parameters.AddWithValue("@IsComplete", WekaUtils.AndAll(isComplete));
updateCmd.Parameters.AddWithValue("@Time", time);
Feng.Data.DbHelper.Instance.ExecuteNonQuery(updateCmd);
}
else
{
lock (dtDest)
{
if (!updateUnComplete && (!isComplete[0] || !isComplete[1]))
return;
System.Data.DataRow row2 = dtDest.NewRow();
row2["Time"] = row["Time"];
row2["hp"] = HpData.SerializeHp(hps);
row2["hp_date"] = HpData.SerializeHpTimes(hpTimes);
row2["IsComplete"] = WekaUtils.AndAll(isComplete);
dtDest.Rows.Add(row2);
if (dtDest.Rows.Count >= 100)
{
DbHelper.Instance.BulkCopy(dtDest, string.Format("{0}_HP", symbol));
dtDest.Rows.Clear();
}
}
}
}
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();
}
