void OnReceiveQuotes(object sender, EventHandler.BackTesting.Quotes e)
{
if (int.TryParse(e.Time, out int time) && (time > 153459 && time < 180000) == false && string.IsNullOrEmpty(bt.Classification) == false)
{
string classification = bt.Classification;
var check = classification.Equals(buy);
var max = Max(specify.Assets / ((check ? e.BuyPrice : e.SellPrice) * Const.TransactionMultiplier * Const.MarginRate200402), classification);
int i, being = (int)max;
double[] sp = new double[5], bp = new double[5];
bt.MaxAmount = max * (classification.Equals(buy) ? 1 : -1);
for (i = 4; i > -1; i--)
{
sp[i] = e.SellPrice + Const.ErrorRate * (4 - i);
bp[i] = e.BuyPrice - Const.ErrorRate * (4 - i);
}
switch (classification)
{
case sell:
if (bt.Quantity < 0 && string.IsNullOrEmpty(bt.AvgPurchase) == false)
{
var price = GetExactPrice(bt.AvgPurchase);
switch (bt.BuyOrder.Count)
{
case 0:
if (price.Equals(Price) == false)
{
bt.SendNewOrder(price, buy);
Price = price;
return;
}
else if (max < Math.Abs(API.Quantity))
{
bt.SendNewOrder(e.BuyPrice, max, buy);
return;
}
break;
case 1:
var number = bt.BuyOrder.First().Key;
if (bt.BuyOrder.TryGetValue(number, out double cbp))
{
if (cbp.ToString("F2").Equals(price) == false)
{
bt.SendCorrectionOrder(price, number);
return;
}
else if (Array.Exists(bp, o => o == cbp) == false)
{
bt.SendClearingOrder(number);
return;
}
}
break;
default:
var order = bt.BuyOrder.First(f => f.Value == bt.BuyOrder.Max(o => o.Value)).Key;
if (bt.BuyOrder.ContainsKey(order))
{
bt.SendClearingOrder(order);
return;
}
break;
}
}
for (i = 4; i > -1; i--)
{
if (being + bt.Quantity <= i && bt.SellOrder.ContainsValue(sp[i]))
{
var number = bt.SellOrder.First(o => o.Value == bt.SellOrder.Min(m => m.Value)).Key;
var price = bt.SellOrder.Max(o => o.Value) + Const.ErrorRate;
if (bt.SellOrder.ContainsKey(number))
{
bt.SendCorrectionOrder(price.ToString("F2"), number);
return;
}
}
}
break;
case buy:
if (bt.Quantity > 0 && string.IsNullOrEmpty(bt.AvgPurchase) == false)
{
var price = GetExactPrice(bt.AvgPurchase);
switch (bt.SellOrder.Count)
{
case 0:
if (price.Equals(Price) == false)
{
bt.SendNewOrder(price, sell);
Price = price;
return;
}
else if (max < API.Quantity)
{
bt.SendNewOrder(e.SellPrice, max, sell);
return;
}
break;
case 1:
var number = bt.SellOrder.First().Key;
if (bt.SellOrder.TryGetValue(number, out double csp))
{
if (csp.ToString("F2").Equals(price) == false)
{
bt.SendCorrectionOrder(price, number);
return;
}
else if (Array.Exists(sp, o => o == csp) == false)
{
bt.SendClearingOrder(number);
return;
}
}
break;
default:
var order = bt.SellOrder.First(f => f.Value == bt.SellOrder.Min(o => o.Value)).Key;
if (bt.SellOrder.ContainsKey(order))
{
bt.SendClearingOrder(order);
return;
}
break;
}
}
for (i = 4; i > -1; i--)
{
if (being - bt.Quantity <= i && bt.BuyOrder.ContainsValue(bp[i]))
{
var number = bt.BuyOrder.First(o => o.Value == bt.BuyOrder.Max(m => m.Value)).Key;
var price = bt.BuyOrder.Min(o => o.Value) - Const.ErrorRate;
if (bt.BuyOrder.ContainsKey(number))
{
bt.SendCorrectionOrder(price.ToString("F2"), number);
return;
}
}
}
break;
}
foreach (var kv in check ? bt.BuyOrder : bt.SellOrder)
{
if (Array.Exists(check ? bp : sp, o => o == kv.Value) == false && (check ? bt.BuyOrder.ContainsKey(kv.Key) : bt.SellOrder.ContainsKey(kv.Key)))
{
bt.SendClearingOrder(kv.Key);
return;
}
}
bt.SendNewOrder(check ? e.BuyPrice : e.SellPrice, max, classification);
}
}
void OnReceiveQuotes(object sender, EventHandler.BackTesting.Quotes e)
{
if (int.TryParse(e.Time.Substring(6, 6), out int time) && (time < 090007 && time > 045959) == false && (time > 153459 && time < 180000) == false && string.IsNullOrEmpty(bt.Classification) == false)
{
string classification = bt.Classification, price;
var check = classification.Equals(buy);
var max = Max(specify.Assets / ((check ? e.BuyPrice : e.SellPrice) * Const.TransactionMultiplier * specify.MarginRate), classification);
double[] sp = new double[10], bp = new double[10];
bt.MaxAmount = max * (classification.Equals(buy) ? 1 : -1);
for (int i = 0; i < 10; i++)
{
if (double.TryParse((e.BuyPrice - Const.ErrorRate * (9 - i)).ToString("F2"), out double bt) && double.TryParse((e.SellPrice + Const.ErrorRate * (9 - i)).ToString("F2"), out double st))
{
sp[i] = st;
bp[i] = bt;
}
}
if (bt.PurchasePrice > 0)
{
price = GetExactPrice(bt.PurchasePrice.ToString());
switch (classification)
{
case sell:
if (bt.Quantity < 0)
{
if (bt.BuyOrder.Count == 0 && max < 1 - bt.Quantity && ForTheLiquidationOfSellOrder(e.Time, price, bp, e.BuyQuantity))
{
return;
}
if (bt.BuyOrder.Count > 0 && ForTheLiquidationOfSellOrder(e.Time, bp))
{
return;
}
if (bt.SellOrder.Count > 0 && SetCorrectionSellOrder(e.Time, price, sp[sp.Length - 1], e.SellQuantity))
{
return;
}
}
else if (bt.BuyOrder.Count > 1 && SetBuyDecentralize(e.Time, bp[bp.Length - 1], e.BuyQuantity))
{
return;
}
break;
case buy:
if (bt.Quantity > 0)
{
if (bt.SellOrder.Count == 0 && max < bt.Quantity - 1 && ForTheLiquidationOfBuyOrder(e.Time, price, sp, e.SellQuantity))
{
return;
}
if (bt.SellOrder.Count > 0 && ForTheLiquidationOfBuyOrder(e.Time, sp))
{
return;
}
if (bt.BuyOrder.Count > 0 && SetCorrectionBuyOrder(e.Time, price, bp[bp.Length - 1], e.BuyQuantity))
{
return;
}
}
else if (bt.SellOrder.Count > 1 && SetSellDecentralize(e.Time, sp[sp.Length - 1], e.SellQuantity))
{
return;
}
break;
}
}
foreach (var kv in check ? bt.BuyOrder : bt.SellOrder)
{
if (double.TryParse(kv.Key, out double key) && Array.Exists(check ? bp : sp, o => o == key) == false && (check ? bt.BuyOrder.ContainsKey(kv.Key) : bt.SellOrder.ContainsKey(kv.Key)))
{
bt.SendClearingOrder(e.Time, kv.Value);
return;
}
}
SendNewOrder(e.Time, check ? bp : sp, classification, check ? e.BuyQuantity : e.SellQuantity);
}
}
