public override void Notify(Guid tradeGuid, OpenStatus status, double dealQty = 0, double dealPrice = 0, string weituobianhao = "", string pendWeituobianhao = "")
{
lock (lock_tps)
{
for (int i = 0; i < tps.ToArray().Count(); i++)
{
var t = tps[i];
if (t.TradeGuid == tradeGuid)
{
if (status == OpenStatus.Opened)
{
t.EnterPoint.OpenPrice = dealPrice;
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
holdHands += realDealQty;
t.Status = OpenStatus.Opened;
frozenBuyHands -= realDealQty;
t.EnterPoint.DealQty = (double)((decimal)dealQty + (decimal)t.EnterPoint.PartDealQty);
RaiseMessage(new PolicyMessageEventArgs("策略已接受开仓通知"));
if (t.EnterPoint.SecInfo.Key == eosbtcsi.Key)
{
double huanbiqty = Math.Floor(dealPrice * (double)realDealQty * SecInfo.JingDu) / SecInfo.JingDu;
double eosqty = Math.Floor((double)realDealQty * eosusdtsi.JingDu) / eosusdtsi.JingDu;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
if ((double)realDealQty > eosusdtsi.MinQty)
{
OpenArgs oa = new OpenArgs(
eosusdt.Bid,
eosqty,
OpenType.Sell,
eosusdtsi,
eosusdt,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
EosUsdtStatus = false;
}
if (huanbiqty >= SecInfo.MinQty)
{
OpenArgs oa2 = new OpenArgs(
currentTick.Ask,
huanbiqty,
OpenType.Buy,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
BtcUsdtStatus = false;
}
}
else
{
if ((double)realDealQty > eosusdtsi.MinQty)
{
OpenArgs oa = new OpenArgs(
eosusdt.Ask,
eosqty,
OpenType.Buy,
eosusdtsi,
eosusdt,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
EosUsdtStatus = false;
}
if (huanbiqty >= SecInfo.MinQty)
{
OpenArgs oa2 = new OpenArgs(
currentTick.Bid,
huanbiqty,
OpenType.Sell,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
BtcUsdtStatus = false;
}
}
EosBtcStatus = true;
}
else if (t.EnterPoint.SecInfo.Key == eosusdtsi.Key)
{
EosUsdtStatus = true;
}
else if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
BtcUsdtStatus = true;
}
}
else if (status == OpenStatus.Open)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓下单通知", this.policyName)));
}
else if (status == OpenStatus.Close)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受平仓下单通知", this.policyName)));
}
else if (status == OpenStatus.Closed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受平仓通知", this.policyName)));
}
else if (status == OpenStatus.OpenPending)
{
t.EnterPoint.PartDealQty = t.EnterPoint.DealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略HoldHands:{1}", this.policyName, holdHands)));
}
else if (status == OpenStatus.ClosePending)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略HoldHands:{1}", this.policyName, holdHands)));
}
else if (status == OpenStatus.Failed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受失败通知", this.policyName)));
}
else if (status == OpenStatus.PartOpend)
{
if (dealQty > (t.EnterPoint.DealQty - t.EnterPoint.PartDealQty))
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
holdHands += realDealQty;
frozenBuyHands -= realDealQty;
t.EnterPoint.DealQty = dealQty + t.EnterPoint.PartDealQty;
if (t.EnterPoint.SecInfo.Key == eosbtcsi.Key)
{
double huanbiqty = Math.Floor(dealPrice * (double)realDealQty * SecInfo.JingDu) / SecInfo.JingDu;
double eosqty = Math.Floor((double)realDealQty * eosusdtsi.JingDu) / eosusdtsi.JingDu;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
if ((double)realDealQty > eosusdtsi.MinQty)
{
OpenArgs oa = new OpenArgs(
eosusdt.Bid,
eosqty,
OpenType.Sell,
eosusdtsi,
eosusdt,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
EosUsdtStatus = false;
}
if (huanbiqty >= SecInfo.MinQty)
{
OpenArgs oa2 = new OpenArgs(
currentTick.Ask,
huanbiqty,
OpenType.Buy,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
BtcUsdtStatus = false;
}
}
else
{
if ((double)realDealQty > eosusdtsi.MinQty)
{
OpenArgs oa = new OpenArgs(
eosusdt.Ask,
eosqty,
OpenType.Buy,
eosusdtsi,
eosusdt,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
EosUsdtStatus = false;
}
if (huanbiqty >= SecInfo.MinQty)
{
OpenArgs oa2 = new OpenArgs(
currentTick.Bid,
huanbiqty,
OpenType.Sell,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
BtcUsdtStatus = false;
}
}
EosBtcStatus = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分入场成交通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.PartClosed)
{
if (dealQty > (t.OutPoint.DealQty - t.OutPoint.PartDealQty))
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分出场成交通知，成交数量:{1}", this.policyName, dealQty)));
decimal realDealQty = (decimal)dealQty + (decimal)t.OutPoint.PartDealQty - (decimal)t.OutPoint.DealQty;
holdHands -= realDealQty;
frozenSellHands -= realDealQty;
t.OutPoint.DealQty = dealQty + t.OutPoint.PartDealQty;
}
}
else if (status == OpenStatus.OpenCanceled)
{
if (t.EnterPoint.SecInfo.Key == eosbtcsi.Key)
{
EosBtcStatus = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.CloseCanceled)
{
frozenSellHands -= (decimal)dealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受出场撤单通知", this.policyName)));
}
else if (status == OpenStatus.OpenRest)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收开仓剩余通知,数量：{1}", this.policyName, dealQty)));
}
else if (status == OpenStatus.CloseRest)
{
holdHands -= (decimal)dealQty;
frozenSellHands -= (decimal)dealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收平仓剩余通知,数量：{1}", this.policyName, dealQty)));
}
}
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
loseArr.Add(loseCount);
currentDay = tickdata.Time.Date;
this.Reset();
}
currentTick = tickdata;
SecondTick = CurrentStockData.GetTick(SecondSi);
liveDataProcessor.ReceiveTick(tickdata);
if (this.SecInfo.isLive(tickdata.Time.TimeOfDay))
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (CanOpen())
{
if (Math.Abs((tickdata.Time - SecondTick.Time).Seconds) <= 1)
{
double a = tickdata.Bid - SecondTick.Ask;
double b = (tickdata.Bid * parameter.Fee + SecondTick.Ask * parameter.SecondFee + tickdata.Last * parameter.Lirun);
double c = SecondTick.Bid - tickdata.Ask;
double d = (tickdata.Ask * parameter.Fee + SecondTick.Bid * parameter.SecondFee + tickdata.Last * parameter.Lirun);
List <CurrentBanalce> ACBS = CurrentBalances.getCurrentBalance(SecInfo.Market);
List <CurrentBanalce> BCBS = CurrentBalances.getCurrentBalance(parameter.SecondMarket);
foreach (CurrentBanalce aCBS in ACBS)
{
if (aCBS.Code.ToUpper() == parameter.Code.ToUpper() || aCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * 2)
{
Code1AtoB = true;
}
else
{
Code1AtoB = false;
}
}
if (aCBS.Code.ToUpper() == parameter.Code2.ToUpper() || aCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (aCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2BtoA = true;
}
else
{
Code2BtoA = false;
}
}
}
foreach (CurrentBanalce bCBS in BCBS)
{
if (bCBS.Code.ToUpper() == parameter.Code.ToUpper() || bCBS.Code.ToUpper() == parameter.Code.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * 2)
{
Code1BtoA = true;
}
else
{
Code1BtoA = false;
}
}
if (bCBS.Code.ToUpper() == parameter.Code2.ToUpper() || bCBS.Code.ToUpper() == parameter.Code2.ToUpper() + "-SPOT")
{
if (bCBS.Ava > parameter.Qty * tickdata.Last * 2)
{
Code2AtoB = true;
}
else
{
Code2AtoB = false;
}
}
}
if (a > b)
{
if (Code1AtoB && Code2AtoB)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
if (c > d)
{
if (Code1BtoA && Code2BtoA)
{
firstDeal = false;
secondDeal = false;
string tr = DateTime.Now.ToString("yyyyMMddHHmmss") + Rand6Int().ToString();
OpenArgs oa = new OpenArgs(
tickdata.Ask + parameter.HuaDian,
parameter.qty,
OpenType.Buy,
SecInfo,
tickdata,
tr);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
OpenArgs oa2 = new OpenArgs(
SecondTick.Bid - parameter.HuaDian,
parameter.qty,
OpenType.Sell,
SecondSi,
SecondTick,
tr);
OpenDelete od2 = new OpenDelete(OpenThread);
od2.BeginInvoke(oa2, null, null);
}
else
{
loseCount += 1;
}
}
}
}
}
}
LiveDataUpdate(tickdata);
}
}
public override void Notify(Guid tradeGuid, OpenStatus status, double dealQty = 0, double dealPrice = 0, string weituobianhao = "", string pendWeituobianhao = "")
{
if (tps.ContainsKey(tradeGuid))
{
TradePoints t = tps[tradeGuid];
if (t.TradeGuid == tradeGuid)
{
if (status == OpenStatus.Opened)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
t.Status = OpenStatus.Opened;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓通知，成交数量:{1}", this.policyName, dealQty)));
}
else if (status == OpenStatus.Open)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受开仓下单通知", this.policyName)));
}
else if (status == OpenStatus.OpenPending)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接收入场追单通知", this.policyName)));
}
else if (status == OpenStatus.Failed)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受失败通知", this.policyName)));
}
else if (status == OpenStatus.PartOpend)
{
if (dealQty > (t.EnterPoint.DealQty - t.EnterPoint.PartDealQty))
{
decimal realDealQty = (decimal)dealQty + (decimal)t.EnterPoint.PartDealQty - (decimal)t.EnterPoint.DealQty;
t.EnterPoint.DealQty = dealQty + t.EnterPoint.PartDealQty;
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受部分入场成交通知，成交数量:{1}", this.policyName, dealQty)));
}
}
else if (status == OpenStatus.OpenRest)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
firstDeal = true;
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
secondDeal = true;
}
if (t.EnterPoint.DealQty == 0)
{
t.Finished = true;
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.OpenCanceled)
{
if (t.EnterPoint.SecInfo.Key == SecInfo.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = currentTick.Ask;
}
else
{
openPrice = currentTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecInfo,
currentTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
if (t.EnterPoint.SecInfo.Key == SecondSi.Key)
{
double openPrice = 0;
if (t.EnterPoint.OpenType == OpenType.Buy)
{
openPrice = SecondTick.Ask;
}
else
{
openPrice = SecondTick.Bid;
}
OpenArgs oa = new OpenArgs(
openPrice,
parameter.qty,
t.EnterPoint.OpenType,
SecondSi,
SecondTick,
t.TpRemark);
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受入场撤单通知", this.policyName)));
}
else if (status == OpenStatus.CloseCanceled)
{
RaiseMessage(new PolicyMessageEventArgs(string.Format("{0}-策略已接受出场撤单通知", this.policyName)));
}
}
}
}
protected override void dataReceiver_Data_Arrival(object sender, StockData.TickData tickdata)
{
//Console.WriteLine("openSide:{0},signInHighPrice:{1},signInLowPrice:{2},tickdata.Last:{3},dealState:{4},openComplete:{5},closeComplete:{6}", openSide, signInHighPrice, signInLowPrice, tickdata.Last, dealState, openComplete, closeComplete);
//Console.WriteLine("Ratio:{0}", Ratio);
if (tickdata.Code == string.Empty)
{
IsSimulateFinished = true;
HistoryFinished();
LiveDataUpdate(tickdata);
}
else
{
if (currentDay != tickdata.Time.Date)
{
currentDay = tickdata.Time.Date;
this.Reset();
}
if (tickdata.Last == 0)
{
return;
}
liveDataProcessor.ReceiveTick(tickdata);
currentTick = tickdata;
if (parameter.StartTime <= tickdata.Time.TimeOfDay && parameter.EndTime >= tickdata.Time.TimeOfDay && init)
{
if (IsSimulateFinished || (!IsSimulateFinished && !tickdata.IsReal))
{
if (dealState == true && openComplete && closeComplete)
{
dealState = false;
}
if (dealState == false)
{
if (openHands > 0)
{
}
if (tickdata.Last > signInHighPrice && openSide != 1)
{
if (openSide == 2)
{
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
if (!tickdata.IsReal)
{
tp.Finished = true;
Leave(tp.EnterPoint.OpenQty, tickdata.Last, tp.TradeGuid);
}
else
{
//平空
closeComplete = false;
dealState = true;
CloseDelete od = new CloseDelete(CloseThread);
od.BeginInvoke(parameter.qty, tickdata.Last, tp.TradeGuid, null, null);
}
}
}
}
if (Ratio <= parameter.Ratio)
{
if (!tickdata.IsReal)
{
openSide = 1;
openComplete = false;
dealState = true;
openHands = parameter.qty;
OpenArgs oa = new OpenArgs(
tickdata.Last,
parameter.qty,
OpenType.KaiDuo,
SecInfo,
tickdata,
-1,
"");
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
else
{
openSide = 1;
holdHands += (decimal)parameter.Qty;
Open(tickdata.Last, parameter.qty, OpenType.KaiDuo, SecInfo, tickdata, -1, "");
}
}
}
else if (tickdata.Last < signInLowPrice && openSide != 2)
{
if (openSide == 1)
{
foreach (TradePoints tp in tps)
{
if (!tp.Finished)
{
if (!tickdata.IsReal)
{
tp.Finished = true;
Leave(tp.EnterPoint.OpenQty, tickdata.Last, tp.TradeGuid);
}
else
{
//平多
closeComplete = false;
dealState = true;
CloseDelete od = new CloseDelete(CloseThread);
od.BeginInvoke(parameter.qty, tickdata.Last, tp.TradeGuid, null, null);
}
}
}
}
if (Ratio <= parameter.Ratio)
{
if (!tickdata.IsReal)
{
openSide = 2;
openComplete = false;
dealState = true;
openHands = parameter.qty;
OpenArgs oa = new OpenArgs(
tickdata.Last,
parameter.qty,
OpenType.KaiKong,
SecInfo,
tickdata,
-1,
"");
OpenDelete od = new OpenDelete(OpenThread);
od.BeginInvoke(oa, null, null);
}
else
{
openSide = 2;
Open(tickdata.Last, parameter.qty, OpenType.KaiKong, SecInfo, tickdata, -1, "");
}
}
}
}
}
}
LiveDataUpdate(tickdata);
if (parameter.IsReal)
{
try
{
UpdateChart();
}
catch { }
}
}
}
