protected override void OnSetPortfolio(PortfolioVM portfVm)
{
ArbitrageStrategySetting strategySettings = (ArbitrageStrategySetting)portfVm.StrategySetting;
_isInitializing = true;
this.PositionDirection = strategySettings.Direction;
this.OpenCondition = strategySettings.OpenCondition;
this.OpenThreshold = strategySettings.OpenThreshold;
this.StopGainCondition = strategySettings.StopGainCondition;
this.StopGainThreshold = strategySettings.StopGainThreshold;
this.StopLossCondition = strategySettings.StopLossCondition;
this.StopLossThreshold = strategySettings.StopLossThreshold;
_isInitializing = false;
}
protected override void OnApplySetting()
{
ArbitrageStrategySetting strategySettings = (ArbitrageStrategySetting)CurrentPortfolio.StrategySetting;
strategySettings.Direction = this.PositionDirection;
strategySettings.OpenCondition = this.OpenCondition;
strategySettings.OpenThreshold = this.OpenThreshold;
strategySettings.StopGainCondition = this.StopGainCondition;
strategySettings.StopGainThreshold = this.StopGainThreshold;
strategySettings.StopLossCondition = this.StopLossCondition;
strategySettings.StopLossThreshold = this.StopLossThreshold;
base.OnApplySetting();
}
public static StrategySetting Create(string name)
{
StrategySetting setting = null;
switch (name)
{
case ArbitrageStrategyName:
setting = new ArbitrageStrategySetting();
break;
case ChangePositionStrategyName:
setting = new ChangePositionSetting();
break;
case ScalperStrategyName:
setting = new ScalperSetting();
break;
case MACDHistSlopeStrategyName:
setting = new MACDHistSlopeStrategySetting();
break;
case WMATrendStrategyName:
setting = new WMATrendStrategySettings();
break;
case LinerRegressionStrategyName:
setting = new LinerRegStrategySettings();
break;
case ASCTrendStrategyName:
setting = new ASCTrendStrategySettings();
break;
case RangeTrendStrategyName:
setting = new RangeTrendStrategySettings();
break;
case ManualStrategyName:
setting = new ManualStrategySetting();
break;
default:
throw new ArgumentException(string.Format("Unexpected strategy setting ({0})", name));
}
return(setting);
}
public override void CopyFrom(StrategySetting settings)
{
ArbitrageStrategySetting strategySettings = (ArbitrageStrategySetting)settings;
this.BollPeriod = strategySettings.BollPeriod;
this.StdDevMultiplier = strategySettings.StdDevMultiplier;
this.FirstLegSymbol = strategySettings.FirstLegSymbol;
this.SecondLegSymbol = strategySettings.SecondLegSymbol;
this.TimeFrame = strategySettings.TimeFrame;
this.Direction = strategySettings.Direction;
this.OpenCondition = strategySettings.OpenCondition;
this.OpenThreshold = strategySettings.OpenThreshold;
this.StopGainCondition = strategySettings.StopGainCondition;
this.StopGainThreshold = strategySettings.StopGainThreshold;
this.StopLossCondition = strategySettings.StopLossCondition;
this.StopLossThreshold = strategySettings.StopLossThreshold;
}
public static StrategySetting Create(string name)
{
if (name == ArbitrageStrategyName)
{
ArbitrageStrategySetting setting = new ArbitrageStrategySetting();
setting.Direction = entity.PosiDirectionType.LONG;
setting.OpenCondition = CompareCondition.LESS_EQUAL_THAN;
setting.OpenThreshold = 0;
setting.StopGainCondition = CompareCondition.GREATER_THAN;
setting.StopGainThreshold = 0;
setting.StopLossCondition = CompareCondition.GREATER_THAN;
setting.StopLossThreshold = 0;
return(setting);
}
else if (name == ChangePositionStrategyName)
{
ChangePositionSetting setting = new ChangePositionSetting();
setting.TriggerCondition = CompareCondition.GREATER_EQUAL_THAN;
setting.Threshold = 100;
return(setting);
}
else if (name == ScalperStrategyName)
{
ScalperSetting setting = new ScalperSetting();
setting.Threshold = 0;
setting.PriceTick = 0.2;
setting.CaseLE2Tick = entity.DirectionDepends.ON_SMALL_SIZE;
setting.CaseLE3Tick = entity.DirectionDepends.ON_BIG_SIZE;
setting.CaseGE4Tick = entity.DirectionDepends.ON_SMALL_CHANGE;
setting.CaseNoChange = entity.DirectionDepends.ON_BIG_SIZE;
setting.StopLossCloseMethod = entity.StopLossCloseMethods.BASED_ON_NEXT_QUOTE;
setting.RetryTimes = 8;
setting.OpenTimeout = 100;
return(setting);
}
else
{
throw new ArgumentException(string.Format("Unexpected strategy type - {0}", name));
}
}
public static StrategySetting Load(string name, string xmlText)
{
if (name == ArbitrageStrategyName)
{
ArbitrageStrategySetting setting = new ArbitrageStrategySetting();
XElement elem = XElement.Parse(xmlText);
XAttribute attr = elem.Attribute("direction");
if (attr != null)
{
setting.Direction = (entity.PosiDirectionType)Enum.Parse(typeof(entity.PosiDirectionType), attr.Value);
}
XElement elemOpen = elem.Element("open");
attr = elemOpen.Attribute("condition");
if (attr != null)
{
setting.OpenCondition = (CompareCondition)Enum.Parse(typeof(CompareCondition), attr.Value);
}
attr = elemOpen.Attribute("threshold");
if (attr != null)
{
setting.OpenThreshold = double.Parse(attr.Value);
}
XElement elemStopGain = elem.Element("stopGain");
attr = elemStopGain.Attribute("condition");
if (attr != null)
{
setting.StopGainCondition = (CompareCondition)Enum.Parse(typeof(CompareCondition), attr.Value);
}
attr = elemStopGain.Attribute("threshold");
if (attr != null)
{
setting.StopGainThreshold = double.Parse(attr.Value);
}
XElement elemStopLoss = elem.Element("stopLoss");
attr = elemStopLoss.Attribute("condition");
if (attr != null)
{
setting.StopLossCondition = (CompareCondition)Enum.Parse(typeof(CompareCondition), attr.Value);
}
attr = elemStopLoss.Attribute("threshold");
if (attr != null)
{
setting.StopLossThreshold = double.Parse(attr.Value);
}
return(setting);
}
else if (name == ChangePositionStrategyName)
{
ChangePositionSetting setting = new ChangePositionSetting();
XElement elem = XElement.Parse(xmlText);
XAttribute attr = elem.Attribute("closeLeg");
if (attr != null)
{
setting.CloseLeg = attr.Value;
}
attr = elem.Attribute("side");
if (attr != null)
{
setting.CloseLegSide = (entity.PosiDirectionType)Enum.Parse(typeof(entity.PosiDirectionType), attr.Value);
}
attr = elem.Attribute("triggerCondition");
if (attr != null)
{
setting.TriggerCondition = (CompareCondition)Enum.Parse(typeof(CompareCondition), attr.Value);
}
attr = elem.Attribute("threshold");
if (attr != null)
{
setting.Threshold = double.Parse(attr.Value);
}
return(setting);
}
else if (name == ScalperStrategyName)
{
ScalperSetting setting = new ScalperSetting();
XElement elem = XElement.Parse(xmlText);
XAttribute attr = elem.Attribute("threshold");
if (attr != null)
{
setting.Threshold = double.Parse(attr.Value);
}
attr = elem.Attribute("prickTick");
if (attr != null)
{
setting.PriceTick = double.Parse(attr.Value);
}
attr = elem.Attribute("caseLE2Tick");
if (attr != null)
{
setting.CaseLE2Tick = (entity.DirectionDepends)Enum.Parse(typeof(entity.DirectionDepends), attr.Value);
}
attr = elem.Attribute("caseLE3Tick");
if (attr != null)
{
setting.CaseLE3Tick = (entity.DirectionDepends)Enum.Parse(typeof(entity.DirectionDepends), attr.Value);
}
attr = elem.Attribute("caseGE4Tick");
if (attr != null)
{
setting.CaseGE4Tick = (entity.DirectionDepends)Enum.Parse(typeof(entity.DirectionDepends), attr.Value);
}
attr = elem.Attribute("caseNoChange");
if (attr != null)
{
setting.CaseNoChange = (entity.DirectionDepends)Enum.Parse(typeof(entity.DirectionDepends), attr.Value);
}
attr = elem.Attribute("stopLossCloseStrategy");
if (attr != null)
{
setting.StopLossCloseMethod = (entity.StopLossCloseMethods)Enum.Parse(typeof(entity.StopLossCloseMethods), attr.Value);
}
attr = elem.Attribute("retryTimes");
if (attr != null)
{
setting.RetryTimes = int.Parse(attr.Value);
}
attr = elem.Attribute("openTimeout");
if (attr != null)
{
setting.OpenTimeout = int.Parse(attr.Value);
}
return(setting);
}
else
{
throw new ArgumentException(string.Format("Unexpected strategy setting ({0})", name));
}
}
protected override StrategySetting CreateSettings()
{
_innerSettings = new ArbitrageStrategySetting();
_innerSettings.PropertyChanged += new System.ComponentModel.PropertyChangedEventHandler(settings_PropertyChanged);
return(_innerSettings);
}
