private void button9_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
tsd.CubeCreate(Utility.Collections.Time.TimeUnit.month);
tsd.FundTrendCreate(Utility.Collections.Time.TimeUnit.month);
num += 1;
}
showText("");
MessageBox.Show("生成完成,共有" + num.ToString() + "个股票生成数据");
}
/// <summary>
/// 月k
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button13_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
KLine monthKline = (KLine)tsd.Create("kline", TimeUnit.month, checkBox2.Checked);
}
}
/// <summary>
/// 导入
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button2_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
List <SecurityProperties> sps = null;
if (radioButton1.Checked)
{
sps = new SHTrader().LoadStockAInfo(this.textBox1.Text);
}
else if (radioButton2.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "主板");
}
else if (radioButton3.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "创业板");
}
else if (radioButton4.Checked)
{
sps = new SZTrader().LoadStockInfo(this.textBox1.Text, "中小板");
}
else
{
MessageBox.Show("需选择导入类型");
return;
}
if (sps == null)
{
MessageBox.Show("没有需要导入的数据");
return;
}
SecurityPropertiesSet securities = repository.Securities;
securities.Merge(sps);
repository.SaveSecuritiesInfo();
MessageBox.Show("导入完成");
}
/// <summary>
/// 生成指标数据
/// </summary>
/// <returns></returns>
public bool doGenerateIndicator()
{
showBeginMessage("开始生成指标...");
if (repository == null)
{
repository = new IndicatorRepository(FileUtils.GetDirectory(props.Get <String>("repository")));
repository.Initilization();
}
try
{
List <String> codes = repository.Securities.Codes;
foreach (String code in codes)
{
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
continue;
}
showProgressMessage(code);
KLine kline = ds.DayKLine;
TradingLine tradeLine = ds.DayTradeLine;
ds.Create("kline", TimeUnit.week);
ds.Create("kline", TimeUnit.month);
ds.CubeCreate();
ds.CubeCreate(TimeUnit.week);
ds.CubeCreate(TimeUnit.month);
ds.FundTrendCreate(TimeUnit.day);
ds.FundTrendCreate(TimeUnit.week);
ds.FundTrendCreate(TimeUnit.month);
ds.FundTrendCrossCreate(TimeUnit.day);
ds.FundTrendCrossCreate(TimeUnit.week);
ds.FundTrendCrossCreate(TimeUnit.month);
}
showResultMessage("");
return(true);
}
catch (Exception e)
{
showResultMessage("生成指标失败", -1, e.Message);
return(false);
}
}
/// <summary>
/// 生成MACD
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void button10_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null)
{
continue;
}
KLine dayLine = tsd.DayKLine;
if (dayLine != null)
{
tsd.Create("macd", TimeUnit.day, checkBox1.Checked);
}
KLine weekLine = tsd.WeekKLine;
if (weekLine != null)
{
tsd.Create("macd", TimeUnit.week, checkBox1.Checked);
}
if (tsd == null || tsd.DayKLine == null || tsd.DayKLine.Count <= 0)
{
continue;
}
showText(code + "...");
}
}
private void button11_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
SecurityPropertiesSet securities = repository.Securities;
List <String> codes = securities.Codes;
int num = 0;
foreach (String code in codes)
{
if (code == null || code == "")
{
continue;
}
TimeSerialsDataSet tsd = repository[code];
if (tsd == null)
{
continue;
}
KLine dayLine = tsd.DayKLine;
if (dayLine == null)
{
continue;
}
MACD macd = (MACD)tsd.Create("macd", TimeUnit.day, false);
if (macd == null)
{
continue;
}
}
}
public void Execute()
{
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + "test.csv")
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
IndicatorRepository repository = new IndicatorRepository("d:\\repository\\");
repository.Initilization();
foreach (String code in codes)
{
//生成数据
TimeSerialsDataSet ds = repository[code];
KLine dayLine = ds.DayKLine;
KLine weekLine = dayLine.CreateWeek();
ds.WeekKLine = weekLine;
TimeSeries <ITimeSeriesItem <double> > dayClose = dayLine.Select <double>("close", 0, 0);
TimeSeries <ITimeSeriesItem <double> > weekClose = weekLine.Select <double>("close", 0, 0);
TradingLine dayTradeLine = ds.CubeCreateOrLoad(TimeUnit.day);
TradingLine weekTradeLine = ds.CubeCreateOrLoad(TimeUnit.week);
TimeSeries <ITimeSeriesItem <List <double> > > dayFunds = ds.FundTrendCreate(TimeUnit.day);
TimeSeries <ITimeSeriesItem <List <double> > > weekFunds = ds.FundTrendCreate(TimeUnit.week);
TimeSeries <ITimeSeriesItem <double> > dayCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.day);
TimeSeries <ITimeSeriesItem <double> > weedCross = ds.FundTrendCrossCreateOrLoad(TimeUnit.week);
//测试买入
List <TradeBout> bouts = new List <TradeBout>();
TimeSeries <ITimeSeriesItem <char> > dayTradePt = dayTradeLine.buysellPoints;
for (int i = 0; i < dayTradePt.Count; i++)
{
ITimeSeriesItem <char> item = dayTradePt[i];
if (item.Value == 'S')
{
continue;
}
if (item.Date < begin || item.Date > end)
{
continue;
}
DateTime buyPtDate = item.Date;
int index = dayFunds.IndexOf(buyPtDate);
while (index <= dayFunds.Count)
{
ITimeSeriesItem <List <double> > fundItem = dayFunds[index];
if (fundItem == null)
{
index += 1;
continue;
}
if (fundItem.Value[0] <= fundItem.Value[1])
{
index += 1;
continue;
}
TradeBout bout = new TradeBout(code);
KLineItem klineItem = dayLine.GetNearest(fundItem.Date, false);
if (klineItem == null)
{
index += 1;
continue;
}
bout.RecordTrade(1, klineItem.Date, TradeDirection.Buy, klineItem.CLOSE, (int)(funds / klineItem.CLOSE), 0, 0, "发出B点且主力=" + fundItem.Value[0].ToString("F3") + "大于散户" + fundItem.Value[1].ToString("F3") + ",日期=" + fundItem.Date.ToString("yyyyMMdd"));
bouts.Add(bout);
break;
}
}
//测试卖出
for (int i = 0; i < bouts.Count; i++)
{
DateTime buyDate = bouts[i].BuyInfo.TradeDate;
int buyIndex = dayLine.IndexOf(buyDate);
int index = buyIndex + 1;
while (index <= dayLine.Count - 1)
{
KLineItem item = dayLine[index];
if (index - buyIndex >= maxdays)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, item.CLOSE, bouts[i].BuyInfo.Amount, 0, 0, "大于" + maxdays.ToString() + "天卖出");
break;
}
else
{
double profile = (item.HIGH - bouts[i].BuyInfo.TradePrice) / bouts[i].BuyInfo.TradePrice;
if (profile >= maxProfilt)
{
bouts[i].RecordTrade(2, item.Date, TradeDirection.Sell, (bouts[i].BuyInfo.TradePrice * (1 + maxProfilt)), bouts[i].BuyInfo.Amount, 0, 0, "利润大于" + maxdays.ToString() + "天卖出");
break;
}
}
index += 1;
}
}
//去掉未完成的
for (int i = 0; i < bouts.Count; i++)
{
if (!bouts[i].Completed)
{
bouts.RemoveAt(i--);
}
}
TradeRecords tradeRecords = new TradeRecords();
tradeRecords.Bouts.AddRange(bouts);
//打印结果
for (int i = 0; i < bouts.Count; i++)
{
Console.WriteLine(bouts[i].ToString());
}
Console.WriteLine(tradeRecords.ToString());
}
}
public void DoTest(String strategyName = "")
{
IndicatorRepository repository = new IndicatorRepository(backtestParam.Datapath);
repository.Initilization();
backtestParam.Put("repository", repository);
if (strategyName == null || strategyName == "")
{
strategyName = backtestParam.Get <String>("strategy");
}
KeyValuePair <IStrategyMeta, Properties> kv = this.GetStrateMetaAndParam(strategyName);
if (kv.Key == null)
{
return;
}
IStrategyMeta meta = kv.Key;
Properties props = kv.Value;
String version = props.Get <String>("version", "");
IStrategyInstance instance = meta.CreateInstance("1", props, version);
if (instance == null)
{
return;
}
if (backtestParam.Optimization != null && backtestParam.Optimization.ToLower().Contains("ga"))
{
new EvolutionComputer(backtestParam.Optimization).Start(this);
return;
}
List <Properties> instanceParamSet = spiltStrategyParams(props);
int taskCount = this.backtestParam.TaskCount;
List <Task> tasks = new List <Task>();
List <Executor> executors = new List <Executor>();
int instanceCountPerTask = instanceParamSet.Count / taskCount;
List <ExecuteParam> execParams = new List <ExecuteParam>();
int batchno = backtestParam.BatchNo;
String resultPath = backtestParam.Resultpath;
for (int i = 0; i < instanceParamSet.Count; i++)
{
int backtestxh = batchno + i + 1; //回测序号
//结果文件已经有了，跳过
/*String resultfilename = resultPath + backtestxh + ".result";
* if (System.IO.File.Exists(resultfilename))
* continue;
*/
Properties instanceProp = instanceParamSet[i];
Properties backtestProp = backtestParam.Clone();
backtestProp["serialno"] = backtestxh.ToString();
backtestProp["batchno"] = batchno.ToString();
execParams.Add(new ExecuteParam(backtestxh.ToString(), instanceProp, backtestProp));
if (execParams.Count >= instanceCountPerTask)
{
Executor executor = new Executor(this, meta, "", execParams);
executors.Add(executor);
execParams.Clear();
}
}
if (execParams.Count > 0)
{
Executor executor = new Executor(this, meta, "", execParams);
executors.Add(executor);
execParams.Clear();
}
System.IO.File.WriteAllText(resultPath + batchno + ".result", meta.GetBatchResultTitle() + System.Environment.NewLine);
logger.Info("准备执行任务．．．，(任务数=" + executors.Count.ToString() + ")");
executors.ForEach(x => tasks.Add(x.Go()));
Task.WaitAll(tasks.ToArray());
}
/// <summary>
/// 导入数据
/// </summary>
public bool doMergeToRepository()
{
showBeginMessage("开始合并数据...");
if (repository == null)
{
repository = new IndicatorRepository(FileUtils.GetDirectory(props.Get <String>("repository")));
repository.Initilization();
}
String datapath = FileUtils.GetDirectory(props.Get <String>("datapath"));
DirectoryInfo dInfo = new DirectoryInfo(datapath);
FileInfo[] fInfos = dInfo.GetFiles("*.scv");
if (fInfos == null || fInfos.Length <= 0)
{
showResultMessage("没有需要导入的新文件", 1);
return(false);
}
try
{
foreach (FileInfo fInfo in fInfos)
{
String code = fInfo.Name.Substring(3, 6);
TimeSerialsDataSet ds = repository[code];
KLine kline = ds.DayKLine;
if (ds == null)
{
continue;
}
showProgressMessage(code);
CSVFile csvFile = new CSVFile();
csvFile.Load(fInfo.FullName, Encoding.UTF8, false, ",");
List <String> lines = csvFile.Lines;
for (int i = lines.Count - 1; i >= 0; i--)
{
if (lines[i] == null || lines[i].Trim() == "")
{
continue;
}
String[] ss = lines[i].Split(',');
if (ss == null || ss.Length < 7)
{
continue;
}
DateTime d = DateUtils.Parse(ss[0]);
KLineItem item = kline[d];
if (item != null)
{
break;
}
double[] v = new double[6];
for (int j = 0; j < v.Length; j++)
{
v[j] = double.Parse(ss[j + 1]);
}
item = new KLineItem();
item.Date = d;
item.SetValue <double>("OPEN", v[0]);
item.SetValue <double>("HIGH", v[1]);
item.SetValue <double>("LOW", v[2]);
item.SetValue <double>("CLOSE", v[3]);
item.SetValue <double>("VOLUME", v[4]);
item.SetValue <double>("TURNOVER", v[5]);
kline.Add(item);
}
ds.Save("kline", TimeUnit.day);
}
showResultMessage("");
return(true);
}
catch (Exception e)
{
showResultMessage("导入失败", -1, e.Message);
return(false);
}
}
private void createTrainTestData()
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
String filename = textBox7.Text;
FileInfo fInfo = new FileInfo(filename);
String[] lines = File.ReadAllLines(filename);
for (int i = 0; i < lines.Length; i++)
{
if (lines[i] == null || lines[i].Trim() == "")
{
continue;
}
int index = lines[i].IndexOf("\"");
if (index < 0)
{
continue;
}
index = lines[i].IndexOf("\"", index + 1);
if (index < 0)
{
continue;
}
index = lines[i].IndexOf("\"", index + 1);
if (index < 0)
{
continue;
}
String label = lines[i].substring(index - 1, "\"", "\"");
//"[-6.4500000000000002, '2007-05-17', 6]"
String[] ss = label.Split(',');
if (ss == null || ss.Length < 3)
{
continue;
}
String sDate = ss[1].Trim().Substring(1, 10);
String code = ss[2].Substring(0, ss[2].Length - 2).Trim();
int len = code.Length;
for (int j = 0; j < 6 - len; j++)
{
code = "0" + code;
}
DateTime d = DateTime.ParseExact(sDate, "yyyy-MM-dd", null);
TimeSerialsDataSet ds = repository[code];
if (ds == null)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
KLine kline = ds.DayKLine;
KLineItem item = kline[d];
if (item == null)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
double maxprofilt = -100;
int itemIndex = kline.IndexOf(item);
for (int k = itemIndex + 1; k < itemIndex + 5; k++)
{
if (k >= kline.Count)
{
break;
}
double p = (kline[k].CLOSE - item.CLOSE) / item.CLOSE;
if (maxprofilt < p)
{
maxprofilt = p;
}
}
if (maxprofilt == -100)
{
lines[i] = lines[i].Substring(0, index) + "\"[0.0,'" + sDate + "'," + code + "]\"";
continue;
}
lines[i] = lines[i].Substring(0, index) + "\"[" + maxprofilt.ToString("F3") + ",'" + sDate + "'," + code + "]\"";
}
File.WriteAllLines(filename + "2", lines);
}
private void button12_Click(object sender, EventArgs e)
{
String code = textBox4.Text;
DateTime begin = dateTimePicker3.Value;
DateTime end = dateTimePicker4.Value;
int days = int.Parse(textBox5.Text);
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
TimeSerialsDataSet ds = repository[code];
if (ds == null || ds.DayKLine == null)
{
MessageBox.Show("代码" + code + "缺少K线数据");
}
KLine klineDay = ds.DayKLine;
KLineItem item = null;
List <double[]> datas = new List <double[]>();
for (int i = 0; i < klineDay.Count; i++)
{
item = klineDay[i];
if (item.Date < begin)
{
continue;
}
if (item.Date > end)
{
break;
}
double maxprofilt = -100;
for (int j = i + 1; j <= i + 1 + days; j++)
{
if (j >= klineDay.Count)
{
break;
}
double p = (klineDay[j].CLOSE - item.CLOSE) / item.CLOSE;
if (maxprofilt < p)
{
maxprofilt = p;
}
}
if (maxprofilt == -100)
{
continue;
}
double[] values = new double[2];
values[0] = item.CLOSE;
values[1] = maxprofilt;
datas.Add(values);
}
if (datas.Count <= 0)
{
MessageBox.Show("没有有效数据");
return;
}
String[] lines = datas.ConvertAll(x => x[0].ToString("F2") + "," + x[1].ToString("F3")).ToArray();
File.WriteAllLines("d:\\" + code + ".csv", lines);
}
private void button4_Click_1(object sender, EventArgs e)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
private void button5_Click(object sender, EventArgs e)
{
if (repository == null)
{
repository = new IndicatorRepository(textBox2.Text);
repository.Initilization();
}
if (radioButton5.Checked)//飞狐交易师CSV格式
{
DirectoryInfo dInfo = new DirectoryInfo(textBox3.Text);
FileInfo[] fInfos = dInfo.GetFiles("*.csv");
int num = 0;
for (int i = 0; i < fInfos.Length; i++)
{
FileInfo x = fInfos[i];
KLine kline = new KLine(x.Name.Substring(2, 6), Utility.Collections.Time.TimeUnit.day);
kline.Load(x.FullName, false, ",", new String[] { "时间", "开盘", "最高", "最低", "收盘", "成交量", "成交额" });
toolStripStatusLabel1.Text = "导入" + kline.Code + "...";
Application.DoEvents();
TimeSerialsDataSet ds = repository[kline.Code];
if (ds == null)
{
continue;
}
ds.DayKLine = kline;
num += 1;
}
MessageBox.Show("导入完成,共有" + num + "个日线完成导入");
}
else if (radioButton6.Checked)//通达信金融终端TXT格式
{
String[] columns = { "时间", "开盘", "最高", "最低", "收盘", "成交量", "成交额" };
DirectoryInfo dInfo = new DirectoryInfo(textBox3.Text);
FileInfo[] fInfos = dInfo.GetFiles("*.txt");
int num = 0;
for (int i = 0; i < fInfos.Length; i++)
{
FileInfo x = fInfos[i];
String code = x.Name.Substring(3, 6);
KLine kline = new KLine(code, Utility.Collections.Time.TimeUnit.day);
String[] lines = File.ReadAllLines(x.FullName);
if (lines == null || lines.Length <= 0)
{
continue;
}
List <String> strs = lines.ToList();
strs.RemoveAt(0);
strs.RemoveAt(0);
strs.RemoveAt(strs.Count - 1);
kline.Load(strs.ToArray(), columns);
kline.ForEach(y => y["code"] = code);
toolStripStatusLabel1.Text = "导入" + kline.Code + "...";
Application.DoEvents();
TimeSerialsDataSet ds = repository[kline.Code];
if (ds == null)
{
continue;
}
ds.DayKLine = kline;
num += 1;
}
MessageBox.Show("导入完成,共有" + num + "个日线完成导入");
}
}
