public bool IsFirstWeek(string assetCode)
{
var firstweek = new YearOfWeek(_portfolioDataset[assetCode].FirstOrDefault().Key);
var currentweek = new YearOfWeek(_currentDate);
return(firstweek == currentweek);
}
public override void OnAfterOpen(string assetCode)
{
double prevHigh = 0;
double prevLow = 0;
if (TradeTerm == TradeTerm.Daily)
{
if (_simulator.IsFirstDate(assetCode))
{
return;
}
prevHigh = _simulator.GetPrice(assetCode, PriceType.High, -1);
prevLow = _simulator.GetPrice(assetCode, PriceType.Low, -1);
}
else if (TradeTerm == TradeTerm.Weekly)
{
_high = Math.Max(_high, _simulator.GetPrice(assetCode, PriceType.High, 0));
_low = Math.Min(_low, _simulator.GetPrice(assetCode, PriceType.Low, 0));
if (_simulator.IsFirstWeek(assetCode))
{
return;
}
var currentWeek = _simulator.GetYearOfWeek();
if (currentWeek <= _yearOfWeek)
{
return; // 한 주가 안지남
}
prevHigh = _high;
prevLow = _low;
_high = 0;
_low = double.MaxValue;
}
var curHigh = _simulator.GetPrice(assetCode, PriceType.High, 0);
var curLow = _simulator.GetPrice(assetCode, PriceType.Low, 0);
var openPrice = _simulator.GetPrice(assetCode, PriceType.Open, 0);
var closePrice = _simulator.GetPrice(assetCode, PriceType.Close, 0);
var volPrice = openPrice + (prevHigh - prevLow) * K;
var volume = _simulator.GetVolume(assetCode);
if (0 < volume)
{
_simulator.LimitOrder(assetCode, OrderType.Sell, openPrice, volume); // 보유물량 전량매도
}
// 마지막날은 매수하지 않음
if (!_simulator.IsLastDate(assetCode))
{
if (volPrice > curLow && volPrice < curHigh)
{
// 돌파가격에 매수
switch (_simulator.Property.TradeType)
{
case TradeType.Fixed:
_simulator.LimitOrder(assetCode, OrderType.Buy, volPrice, _simulator.GetSubject(assetCode).Volume);
break;
case TradeType.Ratio:
_simulator.LimitOrderPercent(assetCode, OrderType.Buy, volPrice, _simulator.GetSubject(assetCode).Ratio);
break;
}
// 매수한 week update
_yearOfWeek = _simulator.GetYearOfWeek();
}
}
}
private void _Initialize()
{
_yearOfWeek = new YearOfWeek();
_high = 0;
_low = double.MaxValue;
}