public void NowDeals(DateTime nowTime, MqlRates nowRate)
{
if (!TestParameters2.RealTimeMode)
{
WekaUtils.Instance.WriteLog("in not realTimeMode, NowDeals should not be called.");
return;
}
m_nowTime = nowTime;
m_nowPrice = nowRate;
foreach (var i in m_deals)
{
if (i.OpenTime >= m_nowTime)
{
continue;
}
if (!i.CloseTime.HasValue)
{
CalculateDealCloseTimeOnly(i);
}
}
}
private void ExecuteCandidateNowDeals(DateTime nowDate, MqlRates nowRate)
{
foreach (var kvp in m_classifierInfos)
{
var clsInfo = kvp.Value;
clsInfo.Deals.NowDeals(nowDate, nowRate);
}
}
//private ParameterdCandidateStrategy _realDealsCandidate;
public void RunOnTick(long nowTime, MqlRates nowRate)
{
// We now updateHpData on every bar
//DateTime nowDate = WekaUtils.GetDateFromTime(nowTime);
//if (!TestParameters2.UseFutureHpData)
//{
// realDealsCandidate.ExecuteCandidateNowDeals(nowDate, nowRate);
//}
}
public void OnTick(MqlRates mqlRate, double zigzag, ReturnActionInfo returnAction)
{
//if (mqlRate.time != (new DateTime(2010, 5, 3, 16, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
//if (mqlRate.time < (new DateTime(2009, 08, 10, 07, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
//if (mqlRate.time > (new DateTime(2010, 08, 10, 07, 25, 0) - this.MtStartTime).TotalSeconds)
// return;
if (zigzag == 0)
{
return;
}
if (m_lastTime == mqlRate.time && m_lastZigzag == zigzag)
{
return;
}
if (m_isCalculating)
{
return;
}
m_isCalculating = true;
m_lastTime = mqlRate.time;
m_lastZigzag = zigzag;
try
{
int nowRatePos = m_simulator.Rates.Count - 1;
int nowZigzagPos = this.ZigzagValues.Count - 1;
// Add Data
if ((m_simulator.Rates[m_simulator.Rates.Count - 1].time - Parameters.MtStartTime).TotalSeconds < mqlRate.time)
{
m_simulator.Rates.Add(new ZigzagRate
{
time = Parameters.MtStartTime.AddSeconds(mqlRate.time),
open = mqlRate.open,
high = mqlRate.high,
low = mqlRate.low,
close = mqlRate.close,
tick_volume = mqlRate.tick_volume,
spread = mqlRate.spread,
real_volume = mqlRate.real_volume,
zigzag = zigzag
});
nowRatePos++;
if (zigzag != 0)
{
this.ZigzagValues.Add(zigzag);
this.ZigzagToRatePos.Add(m_simulator.Rates.Count - 1);
nowZigzagPos++;
}
}
else if ((m_simulator.Rates[m_simulator.Rates.Count - 1].time - Parameters.MtStartTime).TotalSeconds == mqlRate.time)
{
var v = m_simulator.Rates[m_simulator.Rates.Count - 1];
v.open = mqlRate.open;
v.high = mqlRate.high;
v.low = mqlRate.low;
v.close = mqlRate.close;
v.tick_volume = mqlRate.tick_volume;
v.spread = mqlRate.spread;
v.real_volume = mqlRate.real_volume;
v.zigzag = zigzag;
if (zigzag != this.ZigzagValues[this.ZigzagValues.Count - 1])
{
this.ZigzagValues[this.ZigzagValues.Count - 1] = zigzag;
}
}
else
{
for (int i = 0; i < m_simulator.Rates.Count; ++i)
{
if ((m_simulator.Rates[i].time - Parameters.MtStartTime).TotalSeconds == mqlRate.time)
{
nowRatePos = i;
break;
}
}
for (int i = 0; i < this.ZigzagToRatePos.Count; ++i)
{
if (this.ZigzagToRatePos[i] > nowRatePos)
{
nowZigzagPos = i - 1;
break;
}
}
//throw new ArgumentException("Invalid mqlRate's Time in OnTick!");
}
if (nowZigzagPos < m_zigzagPatternLength)
{
return;
}
if (nowZigzagPos == m_lastZigzagPos)
{
return;
}
m_lastZigzagPos = nowZigzagPos;
Dictionary <int, int> priceStatIn = new Dictionary <int, int>();
Dictionary <int, int> priceStatOut = new Dictionary <int, int>();
List <List <ZigzagRate> > likeRatesList = new List <List <ZigzagRate> >();
double[] nowZigzag = new double[m_zigzagPatternLength];
double[] prevZigzag = new double[m_zigzagPatternLength];
for (int i = 0; i < m_zigzagPatternLength; ++i)
{
nowZigzag[i] = this.ZigzagValues[nowZigzagPos + i + 1 - m_zigzagPatternLength]; //
}
Normalize(nowZigzag);
for (int j = m_zigzagPatternLength - 1; j < nowZigzagPos; ++j)
{
// 加 1 - m_zigzagPatternLength为朝后看
for (int i = 0; i < m_zigzagPatternLength; ++i)
{
prevZigzag[i] = this.ZigzagValues[j + i + 1 - m_zigzagPatternLength];
}
Normalize(prevZigzag);
double[] ret;
if (m_simiCache[nowZigzagPos, j, 0] != 0)
{
ret = new double[] { m_simiCache[nowZigzagPos, j, 0], m_simiCache[nowZigzagPos, j, 1] };
}
else
{
//ret = weka.timeseries.SimilarityAnalysis.GetSimilarity(nowZigzag, prevZigzag);
//m_simiCache[nowZigzagPos, j, 0] = ret[0];
//m_simiCache[nowZigzagPos, j, 1] = ret[1];
ret = new double[1] {
0
};
}
if (ret[0] < m_zigzagSimilarityFreqE && ret[1] < m_zigzagSimilarityTimeE)
{
//GetPriceStat(this.ZigzagToRatePos[j], 0, 50, priceStatIn);
//GetPriceStat(this.ZigzagToRatePos[j], 50, 200, priceStatOut);
var l = new List <ZigzagRate>();
likeRatesList.Add(l);
for (int i = 0; i < 120; ++i)
{
l.Add(m_simulator.Rates[this.ZigzagToRatePos[j] + i]);
}
}
}
if (likeRatesList.Count == 0)
{
return;
}
double maxP = double.MinValue;
int maxDealType = 0, maxBl = 0, maxTp = 0, maxSl = 0;
for (int i = 0; i <= 20; i += 5)
{
for (int tp = 20; tp <= 100; tp += 5)
{
for (int sl = 10; sl < 50; sl += 5)
{
double profit = 0;
foreach (List <ZigzagRate> l in likeRatesList)
{
bool hasPosition = false;
double dealPrice = 0;
double nowPrice = l[0].open;
foreach (ZigzagRate r in l)
{
if (!hasPosition)
{
double price = nowPrice - i * 0.0001;
if (price >= r.low && price < r.high)
{
hasPosition = true;
dealPrice = price;
}
}
else
{
if (dealPrice + tp * 0.0001 >= r.low && dealPrice + tp * 0.0001 < r.high)
{
profit += tp;
break;
}
else if (dealPrice - sl * 0.0001 + this.Spread * 0.0001 >= r.low && dealPrice - sl * 0.0001 + this.Spread * 0.0001 < r.high)
{
profit -= sl;
break;
}
}
}
}
if (profit > 0 && profit > maxP)
{
maxDealType = 1;
maxP = profit;
maxBl = i;
maxTp = tp;
maxSl = sl;
}
// sell
profit = 0;
foreach (List <ZigzagRate> l in likeRatesList)
{
bool hasPosition = false;
double dealPrice = 0;
double nowPrice = l[0].open;
foreach (ZigzagRate r in l)
{
if (!hasPosition)
{
double price = nowPrice + i * 0.0001;
if (price + this.Spread * 0.0001 >= r.low && price + this.Spread * 0.0001 < r.high)
{
hasPosition = true;
dealPrice = price;
}
}
else
{
if (dealPrice - tp * 0.0001 - this.Spread * 0.0001 >= r.low && dealPrice - tp * 0.0001 - this.Spread * 0.0001 < r.high)
{
profit += tp;
break;
}
else if (dealPrice + sl * 0.0001 >= r.low && dealPrice + sl * 0.0001 < r.high)
{
profit -= sl;
break;
}
}
}
}
if (profit > 0 && profit > maxP)
{
maxDealType = -1;
maxP = profit;
maxBl = i;
maxTp = tp;
maxSl = sl;
}
}
}
}
using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order_detail.txt", true))
{
sw.WriteLine(string.Format("{0}, {1}, {2}, {3}, {4}, {5}, {6}", nowZigzagPos, maxDealType, maxBl, maxTp, maxSl, maxP, Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm")));
}
using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
{
if (maxDealType == 1)
{
sw.WriteLine(string.Format("Buy, {0}, {1}, {2}, {3}, {4}", Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxBl, maxTp, maxSl, maxP));
}
else if (maxDealType == -1)
{
sw.WriteLine(string.Format("Sell, {0}, {1}, {2}, {3}, {4}", Parameters.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxBl, maxTp, maxSl, maxP));
}
}
//if (priceStatIn.Count == 0 && priceStatOut.Count == 0)
// return;
//double count = 0, count2 = 0;
//foreach (var dealIn in priceStatIn)
// count += dealIn.Value;
//foreach (var dealOut in priceStatOut)
// count2 += dealOut.Value;
//double maxPSell = double.MinValue, minPSell = double.MaxValue, allPSell = 0;
//double maxPBuy = double.MinValue, minPBuy = double.MaxValue, allPBuy = 0;
//int maxDealInBuy = 0, maxDealOutBuy = 0;
//int maxDealInSell = 0, maxDealOutSell = 0;
//foreach (var dealIn in priceStatIn)
//{
// foreach (var dealOut in priceStatOut)
// {
// int profitSell = 0, profitBuy = 0;
// profitBuy = dealOut.Key - dealIn.Key - this.Spread;
// profitSell = dealIn.Key - dealOut.Key - this.Spread;
// double prob = (dealIn.Value / count) * (dealOut.Value / count2);
// double p1 = prob * profitBuy;
// double p2 = prob * profitSell;
// if (p1 > maxPBuy)
// {
// maxPBuy = p1;
// maxDealInBuy = dealIn.Key;
// maxDealOutBuy = dealOut.Key;
// }
// if (p1 < minPBuy)
// {
// minPBuy = p1;
// }
// if (p2 > maxPSell)
// {
// maxPSell = p2;
// maxDealInSell = dealIn.Key;
// maxDealOutSell = dealOut.Key;
// }
// if (p2 < minPSell)
// {
// minPSell = p2;
// }
// allPBuy += p1;
// allPSell += p2;
// }
//}
//if (allPBuy > allPSell && allPBuy > 0)
////if (maxPBuy > maxPSell && maxPBuy > 0)
//{
// returnAction.DealType = 1;
// returnAction.DealIn = maxDealInBuy;
// returnAction.DealOut = maxDealOutBuy;
// returnAction.WinProb = allPBuy;
// returnAction.LoseProb = minPBuy;
// using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
// {
// sw.WriteLine(string.Format("Buy, {0}, {1}, {2}, {3}, {4}", this.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxDealInBuy, maxDealOutBuy, allPBuy.ToString("N2"), minPBuy.ToString("N2")));
// }
//}
//else if (allPSell > allPBuy && allPSell > 0)
////else if (maxPSell > maxPBuy && maxPSell > 0)
//{
// returnAction.DealType = -1;
// returnAction.DealIn = maxDealInSell;
// returnAction.DealOut = maxDealOutSell;
// returnAction.WinProb = allPSell;
// returnAction.LoseProb = minPSell;
// using (StreamWriter sw = new StreamWriter("c:\\forex\\ea_order.txt", true))
// {
// sw.WriteLine(string.Format("Sell, {0}, {1}, {2}, {3}, {4}", this.MtStartTime.AddSeconds(mqlRate.time).ToString("yyyy.MM.dd HH:mm"), maxDealInSell, maxDealOutSell, allPSell.ToString("N2"), minPSell.ToString("N2")));
// }
//}
//else
//{
// returnAction.DealType = 0;
//}
}
catch (Exception ex)
{
Console.WriteLine(ex.Message);
}
finally
{
m_isCalculating = false;
}
}