decimal accumulatedIncome = 0; // накопленный доход
public PositionRepository()
{
StaticService.DeleteFile(out_data_log);
StaticService.DeleteFile(data_price_log);
StaticService.DeleteFile(data_position_log);
StaticService.LogFileWriteNotDateTime("Time\tTimeMSK\tOperation\tQantity\tPrice\t*\tAccum. icome\tVar. Margin\tOpen pos.\t*\tvarMarLots\taccumIncomeLots", out_data_log, true);
}
private void Logs(DateTime _dt, decimal _eqSum, decimal _eq)
{
StaticService.LogFileWriteNotDateTime(_dt + "\t" + _eqSum + "\t" + _eq, FILE_NAME1, true);
resultOnePositions.Enqueue(new ResultOnePosition {
Date_Time = _dt, EquityOne = _eq
});
//SuccessTradesFiltr(_dt, _eq);
}
// GroupBy
private ResultExtremDistance MyGroupBy(List <ResultExtremDistance> _inputList)
{
if (_inputList.Count == 0 || _inputList == null)
{
return(new ResultExtremDistance(0, 0, 0, 0, 0));
}
StaticService.LogFileWriteNotDateTime("otkat\tdistance\tprofit\tdrawdown\teqcurrent", "group_log.txt", true);
var otkatGroup = from result in _inputList
group result by new { _otkat = result.otkat, _distance = result.distance } into resGroup
orderby resGroup.Key._otkat
select resGroup;
//foreach (var item in otkatGroup)
//{
// StaticService.LogFileWriteNotDateTime(item.Key._otkat + " " + item.Key._distance, "group_log.txt", true);
// //StaticService.LogFileWriteNotDateTime("\t" + ((int)item.Average(x => x.profit) / 10) * 10 + " " + item.Count(), "group_log.txt", true);
// StaticService.LogFileWriteNotDateTime("\t" + item.Min(x=>x.profit) + " " + item.Count(), "group_log.txt", true);
//}
//foreach (var item in otkatGroup)
//{
// StaticService.LogFileWriteNotDateTime(item.Key._otkat + " " + item.Key._distance, "group_log.txt", true);
// foreach (var item1 in item)
// {
// StaticService.LogFileWriteNotDateTime("\t" + item1.otkat + " " + item1.distance + " " + item1.profit + " ** " + item1.drawdown, "group_log.txt", true);
// }
//}
foreach (var item in otkatGroup)
{
StaticService.LogFileWriteNotDateTime("\n", "group_log.txt", true);
foreach (var item1 in item)
{
StaticService.LogFileWriteNotDateTime(item1.otkat + "\t" + item1.distance + "\t" + item1.profit + "\t" + item1.drawdown + "\t" + item1.eqcurrent, "group_log.txt", true);
}
}
//return new ResultExtremDistance(0, 0, otkatGroup.ElementAt(0).Key._otkat, otkatGroup.ElementAt(0).Key._distance, ((int)otkatGroup.ElementAt(0).Average(x => x.profit) / 10) * 10);
return(new ResultExtremDistance(0, 0, otkatGroup.ElementAt(0).Key._otkat, otkatGroup.ElementAt(0).Key._distance, otkatGroup.ElementAt(0).Min(x => x.profit)));
}
public async Task AdaptationAsync()
{
string _result_test = String.Empty;
TimeSpan _runTime;
DateTime _startRun = DateTime.Now;
TimeSpan steptime = new TimeSpan(2, 0, 0);
TimeSpan steptime1 = new TimeSpan(2, 0, 0);
TimeSpan starttime = new TimeSpan(10, 1, 0).Subtract(steptime1);
TimeSpan finishtime = starttime.Add(steptime);
TimeSpan stoptime = new TimeSpan(19, 0, 0);
decimal otkat = 30;
decimal distance = 30;
decimal profit = 30;
MarketTradesRepository mTR = new MarketTradesRepository();
mTR = (MarketTradesRepository)StaticService.Deserializes(mTR.GetType().ToString(), mTR);
ExtremumPrice _extPrice = new ExtremumPrice(); // !!!
StaticService.DeleteFile("trade_log.txt");
StaticService.DeleteFile("equ.txt");
StaticService.DeleteFile("trade_log.txt");
StaticService.DeleteFile("group_log.txt");
StaticService.LogFileWriteNotDateTime("EqCurrent\tCountTrades\tCountProfit\tCountLoss\tDrawdown\t_otkat\t_distance\t_profit", "equ.txt", true);
//StaticService.LogFileWriteNotDateTime("EqCurrent\tDrawdown\t_otkat\t_distance\t_profit", "trade_log.txt", true);
do
{
//-------------------------------------
finishtime = finishtime.Add(steptime1);
starttime = finishtime.Subtract(steptime);
if (finishtime > stoptime)
{
finishtime = stoptime;
}
//--------------------------------------
// I поиск оптимальных параметров
List <Task <ResultExtremDistance> > tasksResult = new List <Task <ResultExtremDistance> >();
List <Task <string> > tasksString = new List <Task <string> >();
List <ResultExtremDistance> resultsExDist = new List <ResultExtremDistance>();
MarketTradesRepository _mtr_range = ResWhereTime(mTR, starttime, finishtime);
for (int i = (int)otkat; i <= 200; i += 10)
{
for (int ii = i; ii <= 200; ii += 10)
{
for (int iii = i; iii <= 200; iii += 10)
{
Task <ResultExtremDistance> theTask = TaskCalculation(_mtr_range, i, ii, iii);
tasksResult.Add(theTask);
}
}
}
await Task <ResultExtremDistance> .WhenAll(tasksResult);
foreach (Task <ResultExtremDistance> item in tasksResult)
{
if (item.Result.otkat > 0)
{
resultsExDist.Add(item.Result);
}
}
// II выборка лучших параметров
ResultExtremDistance _bestResExDist = MyGroupBy(resultsExDist);
/*
* // III следующий интервал торгуем с выбранными параметрами
* MarketTradesRepository _mtr = ResWhereTime(mTR, finishtime, finishtime.Add(steptime1));
*
* StaticService.LogFileWriteNotDateTime("\nParametr\t" + _bestResExDist.eqcurrent + "\t" + _bestResExDist.drawdown + "\t" + _bestResExDist.otkat + "\t" + _bestResExDist.distance + "\t" + _bestResExDist.profit, "trade_log.txt", true);
*
* Task<string> theTaskMarket = TaskCalculationString(_mtr, _extPrice, _bestResExDist.otkat, _bestResExDist.distance, _bestResExDist.profit);
* tasksString.Add(theTaskMarket);
*
* await Task<string>.WhenAll(tasksString);
*
* foreach (Task<string> item in tasksString)
* {
* _result_test += item.Result;
* }*/
}while (finishtime < stoptime);
_runTime = DateTime.Now - _startRun;
StaticService.LogFileWriteNotDateTime(String.Format("{0:00}:{1:00}:{2:00}.{3:000}", _runTime.Hours, _runTime.Minutes, _runTime.Seconds, _runTime.Milliseconds), "runtime.txt", true);
StaticService.LogFileWriteNotDateTime(_result_test, "equ.txt", true);
}
public void TradesFilled(ParametrMarketTrades _paramMarketTrades)
{
decimal variation_margin = 0; // вариационная маржа после каждой сделки
decimal varMarLots = 0; // вариационка на один лот при каждой сделке
decimal accumIncomeLots = 0; // накопленный доход на лот при каждой сделке
decimal countOpenPosition = 0; // количество открытых позиций после каждой сделки
decimal qty_trad = _paramMarketTrades.Quantity;
if (_paramMarketTrades.Operation == Constants.OperationSell)
{
qty_trad *= -1;
}
if (this.Count == 0)
{
// добавляем новую позу
this.Add(new ParametrPosition(_paramMarketTrades.PriceTrades, qty_trad));
}
else
{
// провeрка корректности элементов
int sign_position = Math.Sign(this[0].Quantity);
bool correct_element = this.All(x => Math.Sign(x.Quantity) == sign_position);
if (!correct_element)
{
System.Windows.MessageBox.Show("Есть лонги и шорты!");
return;
}
// сортировка
this.Sort((a, b) => a.Price.CompareTo(b.Price));
// если позиции длинные
if (sign_position > 0)
{
// если оперция покупка - добаление позиции
if (_paramMarketTrades.Operation == Constants.OperationBuy)
{
AddPosition(_paramMarketTrades.PriceTrades, qty_trad);
}
else // в протвном случае - закрытие позиции
{
decimal balance = qty_trad;
for (int i = 0; i < Math.Abs(qty_trad); i++)
{
if (balance != 0)
{
if (this.Count > 0) // если еще есть, что закрывать
{
decimal income = 0;
balance = this[0].CountCloseLong(balance, _paramMarketTrades.PriceTrades, out income);
accumulatedIncome += income;
this.RemoveAll(x => x.Quantity == 0); // удаляем позы с нулевыми остатками
}
else // в протвном случае добляем позу
{
this.Add(new ParametrPosition(_paramMarketTrades.PriceTrades, balance));
break;
}
}
else
{
break;
}
}
}
}
// если позиции короткие
if (sign_position < 0)
{
// если оперция продажа - добаление позиции
if (_paramMarketTrades.Operation == Constants.OperationSell)
{
AddPosition(_paramMarketTrades.PriceTrades, qty_trad);
}
else // в протвном случае - закрытие позиции
{
decimal balance = qty_trad;
for (int i = 0; i < Math.Abs(qty_trad); i++)
{
if (balance != 0)
{
if (this.Count > 0) // если еще есть, что закрывать
{
decimal income = 0;
balance = this[this.Count - 1].CountCloseShort(balance, _paramMarketTrades.PriceTrades, out income);
accumulatedIncome += income;
this.RemoveAll(x => x.Quantity == 0); // удаляем позы с нулевыми остатками
}
else // в протвном случае добляем позу
{
this.Add(new ParametrPosition(_paramMarketTrades.PriceTrades, balance));
break;
}
}
else
{
break;
}
}
}
}
}
// установить вариационную маржу + общая вариационка + общее кол. откр. поз
foreach (ParametrPosition item in this)
{
variation_margin += item.VariationMarginChange(_paramMarketTrades.PriceTrades);
countOpenPosition += item.Quantity;
}
if (countOpenPosition != 0)
{
varMarLots = variation_margin / Math.Abs(countOpenPosition);
accumIncomeLots = accumulatedIncome / Math.Abs(countOpenPosition);
}
StaticService.LogFileWriteNotDateTime(_paramMarketTrades.DateTimeTrades + "\t" + _paramMarketTrades.TimeMsk + "\t" + _paramMarketTrades.Operation + "\t" + _paramMarketTrades.Quantity + "\t" + _paramMarketTrades.PriceTrades + "\t*\t" + accumulatedIncome + "\t" + variation_margin + "\t" + countOpenPosition + "\t*\t" + Math.Abs(varMarLots).ToString("#") + "\t" + accumIncomeLots.ToString("#"), out_data_log, true);
StaticService.LogFileWriteNotDateTime(_paramMarketTrades.PriceTrades.ToString(), data_price_log, true);
StaticService.LogFileWriteNotDateTime(countOpenPosition.ToString(), data_position_log, true);
}
/// <summary>
/// Поиск экстремумов с дистанцией между ними
/// Торговля с профитом.
/// </summary>
private void ExtremumSearchDistance(decimal _price, DateTime _datetime, decimal _otkat, decimal _distance, decimal _profit, bool _write_trades)
{
if (_otkat <= 0 | _distance <= 0 | _profit <= 0)
{
return;
}
if (high1 == 0 && low1 == 0)
{
high1 = _price;
low1 = _price;
}
if (high1 > 0 && _price > high1)
{
high1 = _price;
datetime = _datetime;
}
if (low1 > 0 && _price < low1)
{
low1 = _price;
datetime = _datetime;
}
if (high1 > 0 && high1 - _price > _otkat) // нашли локальный максимум
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("High " + high1 + " Time " + _datetime, "trade_log.txt", true);
}
if (high_dist_last == null)
{
high_dist_last = high1;
low_dist_last = -1;
}
if (high_dist_last < 0) // если макс_дист. еще не найден
{
if (high1 - low_dist_last >= _distance) // если нашли макс_дист.
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("HighD " + high1 + " Time " + _datetime, "trade_log.txt", true);
}
extremums_distance.Enqueue(new ExtremumPriceParametr(high1, 0, datetime));
high_dist_last = high1;
low_dist_last = -1;
if (type_current_extremum != 1) // если до этого был не максимум
{
int _qty = 0;
if (base.TP == 0)
{
_qty = -1;
base.CalcEquity(_datetime, high1 - _otkat, _qty);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Short " + (high1 - _otkat) + " Qty " + _qty + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
high_position = high1;
low_position = 0;
}
}
type_current_extremum = 1;
}
}
else
{
if (high1 > high_dist_last)
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("HighD " + high1 + " Time " + _datetime, "trade_log.txt", true);
}
extremums_distance.Enqueue(new ExtremumPriceParametr(high1, 0, datetime));
high_dist_last = high1;
}
}
low1 = _price;
highlast = high1;
high1 = -1;
}
//*******************************************************
if (low1 > 0 && _price - low1 > _otkat) // нашли локальный минимум
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Low " + low1 + " Time " + _datetime, "trade_log.txt", true);
}
if (low_dist_last == null)
{
low_dist_last = low1;
high_dist_last = -1;
}
if (low_dist_last < 0) // если min_дист. еще не найден
{
if (high_dist_last - low1 >= _distance) // если нашли min_дист.
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("LowD " + low1 + " Time " + _datetime, "trade_log.txt", true);
}
extremums_distance.Enqueue(new ExtremumPriceParametr(0, low1, datetime));
low_dist_last = low1;
high_dist_last = -1;
if (type_current_extremum != -1) // если до этого был не минимум
{
int _qty = 0;
if (base.TP == 0)
{
_qty = 1;
base.CalcEquity(_datetime, low1 + _otkat, _qty);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Long " + (low1 + _otkat) + " Qty " + _qty + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
high_position = 0;
low_position = low1;
}
}
type_current_extremum = -1;
}
}
else
{
if (low1 < low_dist_last)
{
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("LowD " + low1 + " Time " + _datetime, "trade_log.txt", true);
}
extremums_distance.Enqueue(new ExtremumPriceParametr(0, low1, datetime));
low_dist_last = low1;
}
}
high1 = _price;
lowlast = low1;
low1 = -1;
}
if (base.TP < 0 && _price < base.PricePosition - _profit) // close short profit
{
base.CalcEquity(_datetime, _price, base.TP * -1);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Short profit " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
high_position = 0;
}
if (high_position > 0 && _price > high_position) // close short loss
{
base.CalcEquity(_datetime, _price, base.TP * -1);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Short loss " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
high_position = 0;
}
if (base.TP > 0 && _price > base.PricePosition + _profit) // close long profit
{
base.CalcEquity(_datetime, _price, base.TP * -1);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Long profit " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
low_position = 0;
}
if (low_position > 0 && _price < low_position) // close long loss
{
base.CalcEquity(_datetime, _price, base.TP * -1);
if (_write_trades)
{
StaticService.LogFileWriteNotDateTime("Long loss " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
}
low_position = 0;
}
}
/// <summary>
/// Устарело. Поиск экстремумов с дистанцией между ними.
/// </summary>
private void ExtremumSearchDistance1(decimal _price, DateTime _datetime, decimal _otkat, decimal _distance)
{
if (high1 == 0 && low1 == 0)
{
high1 = _price;
low1 = _price;
high_dist_last = high1;
low_dist_last = low1;
}
if (high1 > 0 && _price > high1)
{
high1 = _price;
datetime = _datetime;
}
if (low1 > 0 && _price < low1)
{
low1 = _price;
datetime = _datetime;
}
if (high1 > 0 && high1 - _price > _otkat) // нашли локальный максимум
{
StaticService.LogFileWriteNotDateTime("High " + high1 + " Time " + _datetime, "trade_log.txt", true);
if (high1 - low_dist_last >= _distance && high1 > high_dist_last)
{
StaticService.LogFileWriteNotDateTime("HighD " + high1 + " Time " + _datetime, "trade_log.txt", true);
extremums_distance.Enqueue(new ExtremumPriceParametr(high1, 0, datetime));
high_dist_last = high1;
low_dist_last = Decimal.MaxValue;
if (type_current_extremum != 1) // если до этого был не максимум
{
int _qty = 0;
if (base.TP == 0)
{
_qty = -1;
}
else if (base.TP > 0)
{
_qty = -2;
}
StaticService.LogFileWriteNotDateTime("Short " + (high1 - _otkat) + " Qty " + _qty + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
base.CalcEquity(_datetime, high1 - _otkat, _qty);
high_position = high1;
low_position = 0;
}
type_current_extremum = 1;
}
low1 = _price;
highlast = high1;
high1 = -1;
}
if (low1 > 0 && _price - low1 > _otkat) // нашли локальный минимум
{
StaticService.LogFileWriteNotDateTime("Low " + low1 + " Time " + _datetime, "trade_log.txt", true);
if (high_dist_last - low1 >= _distance && low1 < low_dist_last)
{
StaticService.LogFileWriteNotDateTime("LowD " + low1 + " Time " + _datetime, "trade_log.txt", true);
extremums_distance.Enqueue(new ExtremumPriceParametr(0, low1, datetime));
low_dist_last = low1;
high_dist_last = 0;
if (type_current_extremum != -1) // если до этого был не минимум
{
int _qty = 0;
if (base.TP == 0)
{
_qty = 1;
}
else if (base.TP < 0)
{
_qty = 2;
}
StaticService.LogFileWriteNotDateTime("Long " + (low1 + _otkat) + " Qty " + _qty + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
base.CalcEquity(_datetime, low1 + _otkat, _qty);
high_position = 0;
low_position = low1;
}
type_current_extremum = -1;
}
high1 = _price;
lowlast = low1;
low1 = -1;
}
if (high_position > 0 && _price > high_position) // close short
{
StaticService.LogFileWriteNotDateTime("Short close " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
base.CalcEquity(_datetime, _price, base.TP * -1);
high_position = 0;
}
if (low_position > 0 && _price < low_position) // close long
{
StaticService.LogFileWriteNotDateTime("Long close " + _price + " Qty " + base.TP * -1 + " Time " + _datetime + " Equity " + base.EqCurrent, "trade_log.txt", true);
base.CalcEquity(_datetime, _price, base.TP * -1);
low_position = 0;
}
}
//-------------
// -фильтрация-
protected void SuccessTradesPro()
{
Queue <ResultOnePosition> _queueResInput = resultOnePositions;
decimal _trans_cost = 0;
int _stopI = 2;
//-исходные-
//StaticService.LogFileWriteNotDateTime("\t* -1 *", FILE_NAME3, true);
foreach (var item in resultOnePositions)
{
StaticService.LogFileWriteNotDateTime(item.EquityOne.ToString(), FILE_NAME3, true);
}
return;
//---------
for (int i = 1; i <= _stopI; i++)
{
Queue <ResultOnePosition> _queueResOut = new Queue <ResultOnePosition>();
decimal _eqSum_filtr = 0;
bool? _success = null;
if (i == _stopI)
{
_trans_cost = transaction_costs1 * 2;
} // !!! * 2 !!!!
foreach (var item in _queueResInput)
{
decimal _eq = item.EquityOne;
DateTime _dt = item.Date_Time;
if (_success == true)
{
if (_eq < 0 && i == _stopI)
{
_eq -= 2.5m; // увеличиваем лоcс на спред при убыточных сделках, т.к. закрытие будет происходить по рынку
}
_eqSum_filtr += _eq - _trans_cost;
_queueResOut.Enqueue(new ResultOnePosition {
Date_Time = _dt, EquityOne = _eq
});
}
// это должно быть в последнюю очередь
if (_eq > 0)
{
_success = true;
}
else
{
_success = false;
}
}
_queueResInput.Clear();
//StaticService.LogFileWriteNotDateTime("\t*" + i + " " + _eqSum_filtr + "*", FILE_NAME3, true);
StaticService.LogFileWriteNotDateTime(_eqSum_filtr.ToString(), FILE_NAME3, true);
foreach (var item in _queueResOut)
{
_queueResInput.Enqueue(item);
//StaticService.LogFileWriteNotDateTime(item.Date_Time + "\t" + item.EquityOne, FILE_NAME3, true);
}
}
}
// --logs--
private void Logs(DateTime _dt, decimal _price, int _tp, decimal _equitySum, decimal _equity)
{
StaticService.LogFileWriteNotDateTime(_dt + "\tprice " + _price + "\tTP " + _tp + "\tsum " + _equitySum + "\tequity " + _equity, FILE_NAME, true);
}
