/*
按照股指的时间要求，时间划分是这样的
9:15
9:45
10:15
10:45
11:15-11:30 13:00-13:15 两个15分钟被午休隔开了
13:45
14:15
14:45
15:15 交割日时只到15:00,已经到最后一天了，少15分钟也没什么
*/
public override void OnBar(Bar bar)
{
//只处理15分钟的
if (900 == bar.Size)
{
if (bars == null)
bars = new BarSeries();
bars.Add(bar);
//在处理11:15-11:30 13:00-13:15这两个15分钟时会合并成一个
if (bars.Count == 2) // 2 * 15min = 30 min
{
// get OHLC values for 30min bar
double open = bars[0].Open;
double high = bars.HighestHigh();
double low = bars.LowestLow();
double close = bars[1].Close;
long volume = bars[0].Volume + bars[1].Volume;
// todo something
Bar b = new Bar(bars[0].DateTime, open, high, low, close, volume, 900 * 2);
bars30min.Add(b);
Console.WriteLine(b);
// reset 15min bar series
bars = null;
}
}
}
public SpiderVwapBand(BarSeries input, double factor, InstrumentType instrumentType)
: base(input)
{
_factor = factor;
_instrumentType = instrumentType;
this.Name = string.Format("SpiderVwapBand ({0:N4})", factor);
}
protected BIAS(BarSeries series, SMA sma, int length, BarData barData)
: base(series)
{
this.length = length;
this.sma = sma;
this.barData = barData;
this.Name = "BIAS";
}
public DynamicBBU(ISeries series, BarSeries bars, double k, BarData barData)
: base(series)
{
this.k = k;
this.bars = bars;
this.barData = barData;
this.Name = "DynamicBBU";
}
protected KDJ(BarSeries series, K_Fast rsv, int length)
: base(series)
{
this.length = length;
this.rsv = rsv;
this.K = new TimeSeries("K");
this.D = new TimeSeries("D");
this.Name = "KDJ(" + length + ")";
}
public SpiderVwapBandOld(ISeries input, double factor, BarSeries priceBarSeries, int barSize, InstrumentType instrumentType)
: base(input)
{
_factor = factor;
_priceBarSeries = priceBarSeries;
_barSize = barSize;
_instrumentType = instrumentType;
this.Name = string.Format("SpiderVwapBand ({0:N4})", factor);
}
public BarSeries Compress(DataEntryEnumerator enumerator)
{
BarSeries series = new BarSeries();
this.NewCompressedBar += (sender, args) => series.Add(args.Bar);
while (enumerator.MoveNext())
this.Add(enumerator.Current);
this.Flush();
return series;
}
public static BarSeries GetHistoricalBars(string provider, Instrument instrument, DateTime begin, DateTime end, int size)
{
BarSeries barSeries = new BarSeries();
if (FreeQuant.Providers.ProviderManager.HistoricalDataProviders.Contains(provider))
{
IHistoricalDataProvider provider1 = FreeQuant.Providers.ProviderManager.HistoricalDataProviders[provider];
foreach (FreeQuant.Data.Bar bar in size != 86400 ? (FreeQuant.Series.TimeSeries) FreeQuant.Instruments.DataManager.GetHistoricalBars(provider1, instrument.instrument, begin, end, (long) size) : (FreeQuant.Series.TimeSeries) FreeQuant.Instruments.DataManager.GetHistoricalDailies(provider1, instrument.instrument, begin, end))
barSeries.series.Add(bar);
}
return barSeries;
}
public override void OnStrategyStart()
{
if (Instrument1 == Instrument)
{
//Strategy1 = this;
BarSeries1 = GetBars(BarType.Time, barSize);
}
else if (Instrument2 == Instrument)
{
//Strategy2 = this;
BarSeries2 = GetBars(BarType.Time, barSize);
}
else
{
Console.WriteLine("合约错误！" + Instrument);
}
sma = new SMA(spreadSeries, Length);
Draw(spreadSeries, 2);
Draw(sma, 2);
}
public static BarSeries GetHistoricalBars(string provider, Instrument instrument, DateTime begin, DateTime end, int size)
{
BarSeries barSeries = new BarSeries();
if (SmartQuant.Providers.ProviderManager.HistoricalDataProviders.Contains(provider))
{
IHistoricalDataProvider provider2 = SmartQuant.Providers.ProviderManager.HistoricalDataProviders[provider];
SmartQuant.Series.BarSeries barSeries2;
if (size == 86400)
{
barSeries2 = SmartQuant.Instruments.DataManager.GetHistoricalDailies(provider2, instrument.instrument, begin, end);
}
else
{
barSeries2 = SmartQuant.Instruments.DataManager.GetHistoricalBars(provider2, instrument.instrument, begin, end, (long)size);
}
foreach (SmartQuant.Data.Bar bar in barSeries2)
{
barSeries.series.Add(bar);
}
}
return barSeries;
}
private void PreLoadHistoricalData(DateTime startDate, int barSize, BarSeries barsToAppendTo)
{
Stopwatch watch = new Stopwatch();
watch.Start();
string barName = BarNameManager.GetBarName(barSize);
LoggingUtility.WriteInfo(this, string.Format("Trying to retrieve {0} data starting from {1} from IB", barName, startDate.ToShortDateString()));
BarSeries historicalData = GetHistoricalBars("IB", Instrument,
startDate,
Clock.Now,
barSize);
watch.Stop();
int retrievedBarCount = historicalData.Count;
LoggingUtility.WriteInfo(this,
string.Format("Took {0}ms to retrieve data from IB for {1} period data. Total bars retrieved: {2}",
watch.ElapsedMilliseconds, barName, retrievedBarCount));
watch.Reset();
watch.Start();
foreach (Bar currentBar in historicalData)
{
barsToAppendTo.Add(currentBar);
SaveData(currentBar);
OnBar(currentBar);
}
watch.Stop();
LoggingUtility.WriteInfo(this,
string.Format("Took {0}ms to load data into memory for {1} data", watch.ElapsedMilliseconds, barName));
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 }, 2100, 1458);
base.TargetPosition = 0;
base.DualPosition.Long.Qty = 0;
base.DualPosition.Short.Qty = 0;
bars86400 = GetBars(BarType.Time, 86400);
smd30 = new SMD(bars86400, 30);
lbd = new LookBackDays(smd30, lookBackDays, floorAmt, ceilingAmt);
dbbu = new DynamicBBU(lbd, bars86400, bolBandTrig, BarData.Close);
Draw(smd30, 2);
Draw(lbd, 3);
Draw(dbbu.SMA, 0);
Draw(dbbu.BBL, 0);
Draw(dbbu, 0);
upBandSeries = new TimeSeries("upBandSeries");
dnBandSeries = new TimeSeries("dnBandSeries");
buyPointSeries = new TimeSeries("buyPointSeries");
sellPointSeries = new TimeSeries("sellPointSeries");
upBandSeries.Color = Color.Red;
dnBandSeries.Color = Color.Red;
Draw(upBandSeries, 0);
Draw(dnBandSeries, 0);
Draw(buyPointSeries, 0);
Draw(sellPointSeries, 0);
base.OnStrategyStart();
}
public override void OnStrategyStart()
{
bars86400 = GetBars(BarType.Time, 86400);
smd30 = new SMD(bars86400, 30);
lbd = new LookBackDays(smd30, lookBackDays, floorAmt, ceilingAmt);
dbbu = new DynamicBBU(lbd, bars86400, bolBandTrig, BarData.Close);
Draw(smd30, 2);
Draw(lbd, 3);
Draw(dbbu.SMA, 0);
Draw(dbbu.BBL, 0);
Draw(dbbu, 0);
upBandSeries = new TimeSeries("upBandSeries");
dnBandSeries = new TimeSeries("dnBandSeries");
buyPointSeries = new TimeSeries("buyPointSeries");
sellPointSeries = new TimeSeries("sellPointSeries");
upBandSeries.Color = Color.Red;
dnBandSeries.Color = Color.Red;
Draw(upBandSeries, 0);
Draw(dnBandSeries, 0);
Draw(buyPointSeries, 0);
Draw(sellPointSeries, 0);
}
public static BarSeries CompressBars(BarSeries bars, long barSize)
{
if (bars.Count == 0)
{
return new BarSeries();
}
Bar bar = bars[0];
if (bar.Type == BarType.Range)
{
throw new ArgumentException("Cannot compress bars with type Range");
}
return DataManager.CompressBars(new BarDataEnumerator(bars), bar.Type, bar.Size, barSize);
}
public bool CrossesAbove(BarSeries series, Bar bar)
{
return(this.series.CrossesAbove(series.series, bar.bar));
}
public bool CrossesBelow(BarSeries series, Bar bar)
{
return(this.series.CrossesBelow(series.series, bar.bar));
}
public MACD(BarSeries series, int length1, int length2, Color color)
{
this.indicator = new FreeQuant.Indicators.MACD(series.series, length1, length2, color);
}
public VHF(BarSeries series, int length, BarData option, Color color)
{
this.indicator = new FreeQuant.Indicators.VHF(series.series, length, EnumConverter.Convert(option), color);
}
public MOM(BarSeries series, int length, BarData option)
{
this.indicator = new FreeQuant.Indicators.MOM(series.series, length, EnumConverter.Convert(option));
}
public MDM(BarSeries series, Color color)
{
this.indicator = new FreeQuant.Indicators.MDM(series.series, color);
}
public virtual bool CrossesBelow(BarSeries series, Bar bar, BarData barData)
{
return(((FreeQuant.Series.TimeSeries) this.indicator).CrossesBelow((FreeQuant.Series.TimeSeries)series.series, bar.bar, (int)barData));
}
public override void OnStrategyStart()
{
UpSeries = new TimeSeries("Up");
DownSeries = new TimeSeries("Down");
RangeSeries = new TimeSeries("Range");
int n = N;
if (StrategyType.OpenRangeBreak == strategyType)
{
n = 1;
}
bars86400 = GetBars(BarType.Time, 86400);
HH = new PC(bars86400, n, BarData.High, PC.CalcType.Max, PC.UseLast.Yes);
HC = new PC(bars86400, n, BarData.Close, PC.CalcType.Max, PC.UseLast.Yes);
LC = new PC(bars86400, n, BarData.Close, PC.CalcType.Min, PC.UseLast.Yes);
LL = new PC(bars86400, n, BarData.Low, PC.CalcType.Min, PC.UseLast.Yes);
Draw(UpSeries, 0);
Draw(DownSeries, 0);
Draw(RangeSeries, 2);
}
public void Add(BarSeries series)
{
series.series.Draw();
}
public virtual Cross Crosses(BarSeries series, Bar bar, BarData barData)
{
return(EnumConverter.Convert(((FreeQuant.Series.TimeSeries) this.indicator).Crosses((FreeQuant.Series.TimeSeries)series.series, bar.bar, (int)barData)));
}
public virtual Cross Crosses(BarSeries series, Bar bar)
{
return(EnumConverter.Convert(this.series.Crosses((FreeQuant.Series.TimeSeries)series.series, bar.bar)));
}
public MDM(BarSeries series)
{
this.indicator = new FreeQuant.Indicators.MDM(series.series);
}
public virtual bool CrossesAbove(BarSeries series, Bar bar)
{
return(((FreeQuant.Series.TimeSeries) this.indicator).CrossesAbove((FreeQuant.Series.TimeSeries)series.series, bar.bar));
}
public void Add(BarSeries series)
{
series.series.Draw();
}
public K_Slow(BarSeries series, int length, int order, Color color)
{
this.indicator = new FreeQuant.Indicators.K_Slow(series.series, length, order, color);
}
public MACD(BarSeries series, int length1, int length2, BarData option, Color color)
{
this.indicator = new FreeQuant.Indicators.MACD(series.series, length1, length2, EnumConverter.Convert(option), color);
}
public VROC(BarSeries series, int length, Color color)
{
this.indicator = new FreeQuant.Indicators.VROC(series.series, length, color);
}
public virtual bool CrossesAbove(BarSeries series, Bar bar, BarData barData)
{
return(this.series.CrossesAbove(series.series, bar.bar, (int)barData));
}
public virtual bool CrossesAbove(BarSeries series, Bar bar, BarData barData)
{
return(this.series.CrossesAbove((FreeQuant.Series.TimeSeries)series.series, bar.bar, (int)barData));
}
public virtual Cross Crosses(BarSeries series, Bar bar)
{
return(EnumConverter.Convert(this.series.Crosses(series.series, bar.bar)));
}
public bool CrossesBelow(BarSeries series, Bar bar)
{
return this.series.CrossesBelow(series.series, bar.bar);
}
public virtual Cross Crosses(BarSeries series, Bar bar, BarData barData)
{
return(EnumConverter.Convert(this.series.Crosses(series.series, bar.bar, (int)barData)));
}
public bool CrossesAbove(BarSeries series, Bar bar)
{
return this.series.CrossesAbove(series.series, bar.bar);
}
public DX(BarSeries series, int length)
{
this.indicator = new FreeQuant.Indicators.DX(series.series, length);
}
public Cross Crosses(BarSeries series, Bar bar)
{
return EnumConverter.Convert(this.series.Crosses(series.series, bar.bar));
}
public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 },2100, 1458);
base.TargetPosition = 0;
base.DualPosition.Long.Qty = 0;
base.DualPosition.Short.Qty = 0;
UpSeries = new TimeSeries("Up");
DownSeries = new TimeSeries("Down");
RangeSeries = new TimeSeries("Range");
int n = N;
if (StrategyType.OpenRangeBreak == strategyType)
{
n = 1;
}
bars86400 = GetBars(BarType.Time, 86400);
HH = new PC(bars86400, n, BarData.High, PC.CalcType.Max, PC.UseLast.Yes);
HC = new PC(bars86400, n, BarData.Close, PC.CalcType.Max, PC.UseLast.Yes);
LC = new PC(bars86400, n, BarData.Close, PC.CalcType.Min, PC.UseLast.Yes);
LL = new PC(bars86400, n, BarData.Low, PC.CalcType.Min, PC.UseLast.Yes);
Draw(UpSeries, 0);
Draw(DownSeries, 0);
Draw(RangeSeries, 2);
}
public BarSeries GetRange(DateTime dateTime1, DateTime dateTime2)
{
BarSeries barSeries = new BarSeries();
int index = this.series.GetIndex(dateTime1, EIndexOption.Next);
int index2 = this.series.GetIndex(dateTime2, EIndexOption.Prev);
if (index != -1 && index2 != -1)
{
for (int i = index; i <= index2; i++)
{
barSeries.Add(new Bar(this.series[i]));
}
}
return barSeries;
}
