/// <summary>
/// Через какое количество последовательных прибылей/убытков происходит смена
/// </summary>
private void VariablityCalc(decimal _brutto, string _filename, ref int _variability)
{
if (Math.Sign(_brutto) != Math.Sign(_variability) & _variability != 0)
{
StaticService.LogFileWriteNotDateTime(_variability.ToString(), _filename, true);
if (_brutto > 0)
{
_variability = 1;
return;
}
else
{
_variability = -1;
return;
}
}
if ((_brutto > 0 && _variability > 0) | (_brutto > 0 && _variability == 0))
{
_variability++;
return;
}
if ((_brutto < 0 && _variability < 0) | (_brutto < 0 && _variability == 0))
{
_variability--;
return;
}
}
public void TestTradesToday()
{
//string filename = "today_trades.txt";
string fileSummary = "summary.xls";
string fileVariability = "variability.txt";
string fileBrutto = "brutto.txt";
string fileBruttoFiltr = "brutto_filtr.txt";
string fileBruttoFiltrPro = "brutto_filtr_pro.txt";
string fileTrades = "trades.txt";
MarketTradesRepository mTR = new MarketTradesRepository();
TradesBolingerRepository tBR = new TradesBolingerRepository();
mTR = (MarketTradesRepository)StaticService.Deserializes(mTR.GetType().ToString(), mTR);
tBR = (TradesBolingerRepository)StaticService.Deserializes("09.11.2016_070008", tBR);
//for (int i = 3; i <= 3; i++)
//{
// CalculationExtremumPrice(mTR, i, filename);
//}
StaticService.DeleteFile(fileSummary);
StaticService.DeleteFile(fileVariability);
StaticService.DeleteFile(fileTrades);
StaticService.DeleteFile(fileBruttoFiltr);
StaticService.DeleteFile(fileBruttoFiltrPro);
StaticService.LogFileWriteNotDateTime("Profit sett\tProfit\tCount profit\tCount loss\tCount all", fileSummary, true);
// оптимизация по профиту
for (int i = 5; i <= 5; i++)
{
CalculationExtremumProfit(mTR, tBR, 5, i, fileSummary, fileTrades, fileVariability, fileBrutto, fileBruttoFiltr, fileBruttoFiltrPro);
}
}
public async Task TestTradesTodayAsync()
{
string _result_test = String.Empty;
TimeSpan _runTime;
DateTime _startRun = DateTime.Now;
decimal otkat = 30;
decimal distance = 30;
decimal profit = 30;
List <Task <string> > tasks = new List <Task <string> >();
MarketTradesRepository mTR = new MarketTradesRepository();
mTR = (MarketTradesRepository)StaticService.Deserializes(mTR.GetType().ToString(), mTR);
StaticService.DeleteFile("trade_log.txt");
StaticService.DeleteFile("equ.txt");
StaticService.LogFileWriteNotDateTime("EqCurrent\tCountTrades\tCountProfit\tCountLoss\tDrawdown\t_otkat\t_distance\t_profit", "equ.txt", true);
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)
{
//ExtremumPrice _extPrice2 = new ExtremumPrice();
//CalculationExtremumPrice1(mTR, _extPrice2, i, ii, iii, false);
Task <string> theTask = TaskCalculation(mTR, i, ii, iii);
tasks.Add(theTask);
}
}
}
await Task <string> .WhenAll(tasks);
foreach (Task <string> item in tasks)
{
_result_test += item.Result;
}
_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);
}
// Просто по экстремумам
private void CalculationExtremumPrice(MarketTradesRepository _mTR, decimal _otkat, string _filename)
{
ExtremumPrice extPrice = new ExtremumPrice();
decimal exchange_fee = 0.47m; // биржевой сбор SBRF 0.47
decimal brokerage_commission = 0.59m; // комиссия брокера 0.59
decimal spred = 3m;
// находим екстремумы
extPrice.CreateExtrem(_mTR, _otkat);
//StaticService.LogFileWrite("----------------Extremums--------------------", _filename, true);
//foreach (var item in extPrice.Extremums)
//{
// StaticService.LogFileWriteNotDateTime(item.Date_Time + "\t" + item.PriceHigh + "\t" + item.PriceLow, _filename, true);
//}
// считаем между ними дельту
//StaticService.LogFileWrite("\n", filename, true);
//StaticService.LogFileWriteNotDateTime("----------------считаем между ними дельту--------------------", _filename, true);
extPrice.DeltaExtr();
foreach (var item in extPrice.DeltaExtremums)
{
StaticService.LogFileWriteNotDateTime(Math.Abs(item).ToString(), "delta_log.txt", true);
}
StaticService.LogFileWriteNotDateTime("****************ОТКАТ <" + _otkat + ">****************", _filename, true);
//&??????????????????
for (decimal i = _otkat * 2; i <= _otkat * 8; i++)
{
decimal criticalSum = 0;
// фильтруeм дельты
StaticService.LogFileWriteNotDateTime("----------------фильтруeм дельты <" + i + ">--------------------", _filename, true);
extPrice.FiltrDelta(i);
foreach (var item in extPrice.FiltrDeltas)
{
StaticService.LogFileWriteNotDateTime(Math.Abs(item).ToString(), _filename, true);
criticalSum += Math.Abs(item) - (_otkat * 2 + TransactionCosts(exchange_fee, brokerage_commission, spred) * 2);
}
StaticService.LogFileWriteNotDateTime(criticalSum.ToString(), _filename, true);
}
}
//-------------------------------------------
//
private void CalculationExtremumProfit(MarketTradesRepository _mTR, TradesBolingerRepository _tBR, decimal _otkat, decimal _profit, string _fileSummary, string _fileTrades, string _filevariability, string _fileBrutto, string _fileBruttoFiltr, string _fileBruttoFiltrPro)
{
ExtremumProfit extPrice = new ExtremumProfit();
Queue <decimal> BruttoQue = new Queue <decimal>();
decimal exchange_fee = 0.47m; // биржевой сбор SBRF 0.47
decimal brokerage_commission = 0.59m; // комиссия брокера 0.59
decimal spred = 3m;
// --одновременно можно только один
//extPrice.CreateExtrem(_mTR, _otkat, _profit);
extPrice.CreateExtrem(_tBR, _otkat, _profit);
//-------
//----
decimal _buyMany = 0;
decimal _selMany = 0;
decimal _bruttoGlobal = 0;
int _countProfit = 0;
int _countLoss = 0;
int _countAll = 0;
int _variability = 0;
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileTrades, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _filevariability, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBrutto, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBruttoFiltr, true);
StaticService.LogFileWriteNotDateTime("Profit setting <" + _profit + ">", _fileBruttoFiltrPro, true);
foreach (var item in extPrice.TradesQueue)
{
StaticService.LogFileWriteNotDateTime(item.ToString(), _fileTrades, true);
double _num = item.NumberTrades;
Operation _oper = item.Operation;
decimal _price = item.PriceTrades;
decimal _brutto = 0;
if (_oper == Operation.Buuy)
{
_buyMany = _price;
}
else
{
_selMany = _price;
}
if (_buyMany != 0 && _selMany != 0)
{
_brutto = _selMany - _buyMany;
_bruttoGlobal += _brutto;
_buyMany = 0;
_selMany = 0;
if (_brutto > 0)
{
_countProfit++;
}
else
{
_countLoss++;
}
_countAll++;
BruttoQue.Enqueue(_brutto);
StaticService.LogFileWriteNotDateTime(_brutto.ToString(), _fileBrutto, true);
//
VariablityCalc(_brutto, _filevariability, ref _variability);
//-----
}
}
// фильтрация pro
for (int i = 1; i <= 10; i++)
{
Queue <decimal> resultPositive = extPrice.FiltrBruttoPro(BruttoQue, i, 0);
Queue <decimal> resultNegative = extPrice.FiltrBruttoPro(BruttoQue, 0, i);
decimal _sum = 0;
foreach (decimal item in resultPositive)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("FILTR_PRO + <" + i + "> = " + _sum.ToString(), _fileBruttoFiltrPro, true);
_sum = 0;
foreach (decimal item in resultNegative)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("FILTR_PRO - <" + i + "> = " + _sum.ToString(), _fileBruttoFiltrPro, true);
}
// циклическая фильтрация
StaticService.LogFileWriteNotDateTime("SUMMARY_INP = " + _bruttoGlobal.ToString(), _fileBruttoFiltr, true);
Queue <decimal> _filtr_result = extPrice.FiltrBrutto(BruttoQue);
for (int i = 0; i < 5; i++)
{
decimal _sum = 0;
foreach (decimal item in _filtr_result)
{
_sum += item;
}
StaticService.LogFileWriteNotDateTime("SUMMARY_" + i + " = " + _sum.ToString(), _fileBruttoFiltr, true);
_filtr_result = extPrice.FiltrBrutto(_filtr_result);
}
/*
* // фильтруем brutto и выводим в файл
* Queue<decimal> _filtrBrut_I = extPrice.FiltrBrutto(BruttoQue);
* foreach (decimal item in _filtrBrut_I)
* {
* StaticService.LogFileWriteNotDateTime(item.ToString(), _fileBruttoFiltr, true);
* }
*
* // фильтруем _filtrBrut и выводим в файл
* StaticService.LogFileWriteNotDateTime("--------LEVEL II", _fileBruttoFiltr, true);
* Queue<decimal> _filtrBrut_II = extPrice.FiltrBrutto(_filtrBrut_I);
* foreach (decimal item in _filtrBrut_II)
* {
* StaticService.LogFileWriteNotDateTime(item.ToString(), _fileBruttoFiltr, true);
* }
*
* // summary brutto_filtr
* decimal _sum_brut_filtr = 0;
* foreach (decimal item in _filtrBrut_I)
* {
* _sum_brut_filtr += item;
* }
* StaticService.LogFileWriteNotDateTime("SUMMARY_I = " + _sum_brut_filtr.ToString(), _fileBruttoFiltr, true);
*
* _sum_brut_filtr = 0;
* foreach (decimal item in _filtrBrut_II)
* {
* _sum_brut_filtr += item;
* }
* StaticService.LogFileWriteNotDateTime("SUMMARY_II = " + _sum_brut_filtr.ToString(), _fileBruttoFiltr, true);
* //---------------------------
*/
//StaticService.LogFileWriteNotDateTime(_bruttoGlobal + " <" + _profit + ">", _filename, true);
StaticService.LogFileWriteNotDateTime(_profit + "\t" + _bruttoGlobal + "\t" + _countProfit + "\t" + _countLoss + "\t" + _countAll, _fileSummary, true);
}