private void btn_Train_Click(object sender, EventArgs e)
{
//return;//暂时不支持训练集回测
long len = long.Parse(this.txt_DataLength.Text);
int deep = int.Parse(this.txt_LearnDeep.Text);
ExpectList <TimeSerialData> el = new ExpectReader().ReadHistory <TimeSerialData>(long.Parse(this.txt_BegExpect.Text), len + deep + 1);
//MLDataFactory mldf = new MLDataFactory(ExpectList.getExpectList(el));
DataCategroyType = (Type)this.ddl_categryFunc.SelectedValue;
MLType = (Type)this.ddl_MLFunc.SelectedValue;
MLDataCategoryFactoryClass mldf = (MLDataCategoryFactoryClass)ClassOperateTool.getInstanceByType(DataCategroyType);
mldf.Init(ExpectList.getExpectList(el));
for (int i = 0; i < 10; i++)
{
//MLInstances<int, int> TrainSet = mldf.getAllSpecColRoundLabelAndFeatures(i,deep, chkb_AllUseShift.Checked ? 1 : 0);
MLInstances <int, int> TrainSet = mldf.getCategoryData(i, deep, chkb_AllUseShift.Checked ? 1 : 0);
MachineLearnClass <int, int> SelectFunc = (MachineLearnClass <int, int>)ClassOperateTool.getInstanceByType(MLType);//获取机器学习类型
SelectFunc.OnTrainFinished += OnTrainFinished;
SelectFunc.OnPeriodEvent += OnPeriodEvent;
SelectFunc.OnSaveEvent += SaveData;
SelectFunc.GroupId = i;
SelectFunc.FillTrainData(TrainSet);
SelectFunc.InitTrain();
SelectFunc.TrainIterorCnt = int.Parse(txt_IteratCnt.Text);
SelectFuncs.Add(SelectFunc);
this.txt_begT.Text = DateTime.Now.ToLongTimeString();
this.Cursor = Cursors.WaitCursor;
RunningThread = new Thread(SelectFunc.Train);
RunningThread.Start();
ThreadCnt++;
}
}
private void btn_CheckResult_Click(object sender, EventArgs e)
{
long len = long.Parse(this.txt_DataLength.Text);
int deep = int.Parse(this.txt_LearnDeep.Text);
ExpectList <T> el = new ExpectReader().ReadHistory <T>(long.Parse(this.txt_BegExpect.Text), len + deep + 1);
for (int i = 0; i < 10; i++)
{
MachineLearnClass <int, int> SelectFunc = null;
MLType = (Type)this.ddl_MLFunc.SelectedValue;
SelectFunc = (MachineLearnClass <int, int>)ClassOperateTool.getInstanceByType(MLType);
//暂时屏蔽机器学习功能
//TestSet = new MLDataFactory(el).getAllSpecColRoundLabelAndFeatures(i,deep, chkb_AllUseShift.Checked ? 1 : 0);
SelectFunc.OnLoadLocalFile = GetLocalFile;
SelectFunc.LoadSummary();
SelectFunc.FillStructBySummary(i);
SelectFunc.SetTestInstances(TestSet);
this.Cursor = Cursors.WaitCursor;
ExecClass ec = new ExecClass();
ec.GroupId = (i + 1) % 10;
ec.MaxEnt = SelectFunc;
ec.TestData = TestSet;
new Thread(new ThreadStart(ec.Exec)).Start();
}
}
public Dictionary <string, MissDataItem> getMissData(ExpectList data, DataTypePoint dtp, string currExpect, int peroid, string pos, string target, object[] others)
{
Dictionary <string, MissDataItem> ret = new Dictionary <string, MissDataItem>();
string key = string.Format("{0}_{1}_{2}_{3}", dtp.DataType, peroid, pos, target);
if (AllBuffs == null)
{
AllBuffs = new Dictionary <string, MissDataBuff>();
}
MissDataBuff mdb = null;
if (!AllBuffs.ContainsKey(key))
{
DataTable dt = bc.getTableFromSpecCondition(dtp, currExpect, peroid, pos, target, others);
if (dt == null)
{
return(ret);
}
mdb = new MissDataBuff();
mdb.LastExpect = currExpect;
mdb.InitList(dt, "id", peroid);
AllBuffs.Add(key, mdb);
}
else
{
mdb = AllBuffs[key];
string strNext = ExpectReader.getNextExpectNo(mdb.LastExpect, dtp);
string lastExpect = data.LastData.Expect.Trim();
string openCode = data.LastData.OpenCode;
if (mdb.LastExpect.Trim().Equals(lastExpect))
{
}
else if (strNext.Trim().Equals(lastExpect))
{
for (int i = 0; i < mdb.SerialDiffs.Count; i++)
{
string strKey = mdb.SerialDiffs[i].ItemName;
int val = bc.isMatch(strKey, openCode) ? 1 : 0;
mdb.SerialDiffs[i] = mdb.SerialDiffs[i].getAdd(strKey, val);
}
}
else //防止跳，或者中断后一次多条记录
{
DataTable dt = bc.getTableFromSpecCondition(dtp, currExpect, peroid, pos, target, others);
if (dt == null)
{
return(ret);
}
mdb.LastExpect = currExpect;
mdb.InitList(dt, "id", peroid);
}
mdb.LastExpect = lastExpect;
}
ret = mdb.getMissDataitem();
return(ret);
}
public DataReader getReader()
{
DataReader ret = null;
if (dtp.IsSecurityData == 1)
{
ret = new SecurityReader(dtp.DataType, dtp.NewestTable, codes);
}
else
{
//ret = new ExpectReader();
switch (dtp.DataType)
{
case "PK10":
{
ret = new ExpectReader();
break;
}
case "SCKL12":
{
ret = new SCKL12_ExpectReader();
break;
}
case "NLKL12":
{
ret = new NLKL12_ExpectReader();
break;
}
case "GDKL11":
{
ret = new GDKL11_ExpectReader();
break;
}
case "XYFT":
{
ret = new XYFT_ExpectReader();
break;
}
default:
{
break;
}
}
}
return(ret);
}
public RoundBackTestReturnClass <T> RunRound(BaseStragClass <T> teststrag, long TestLong, long StepLong)//滚动获取
{
long begNo = BegExpect;
ExpectReader er = new ExpectReader();
ExpectList <T> el = null;
long cnt = 0;
RoundBackTestReturnClass <T> ret = new RoundBackTestReturnClass <T>();
ExpectList <T> AllData = new ExpectList <T>();
long testIndex = teststrag.ReviewExpectCnt - 1;
ExpectList <T> testData = null;
Dictionary <string, ChanceClass <T> > NoCloseChances = new Dictionary <string, ChanceClass <T> >();
Dictionary <string, ChanceClass <T> > tmpChances = new Dictionary <string, ChanceClass <T> >();
long roundId = 0;
int currRid = 0;
List <Dictionary <string, ChanceClass <T> > > roundNoMatchedChances = new List <Dictionary <string, ChanceClass <T> > >();
List <long> roundBegIds = new List <long>();
while (el == null || el.Count > 0) //如果取到的数据长度大于0
{
el = er.ReadHistory <T>(begNo, LoopCnt);
if (el == null)
{
ret.LoopCnt = cnt * LoopCnt;
ret.succ = false;
ret.Msg = "读取历史数据错误！";
break;
}
if (el.Count == 0)
{
ret.LoopCnt = testIndex;
ret.succ = true;
ret.Msg = string.Format("成功遍历{0}条记录！", testIndex);
break;
}
AllData = ExpectList <T> .Concat(AllData, el);
begNo = el.LastData.LExpectNo + 1;
cnt++;
//Todo:
while (testIndex < AllData.Count)
{
if (testData == null)
{
testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt);
}
else
{
if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1)
{
throw new Exception(string.Format("{1}第{0}期后出现数据遗漏，请补充数据后继续测试！", testData.LastData.Expect, testData.LastData.OpenTime));
}
testData.RemoveAt(0);
testData.Add(AllData[(int)testIndex]);
}
if (roundBegIds.Count > 0 && testIndex == roundBegIds[currRid] + TestLong)//切换当前滚动id
{
//取出当前未完成队列，
Dictionary <string, ChanceClass <T> > NoMatchDic = roundNoMatchedChances[currRid];
BackTestReturnClass <T> brc = ret.RoundData[currRid];
foreach (string key in NoMatchDic.Keys)//结束所有未玩成的结果
{
ChanceClass <T> cc = NoMatchDic[key];
int matchcnt = 0;
if (cc.Matched(testData.LastData, out matchcnt, teststrag.GetRev))
{
cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex);
}
else
{
cc.HoldTimeCnt = 99;//还未开出但是已经结束了的
}
cc.MatchChips = matchcnt;
cc.Closed = true;
cc.EndExpectNo = testData.LastData.Expect;
cc.Closed = true;
cc.EndExpectNo = testData.LastData.Expect;
cc.UpdateTime = testData.LastData.OpenTime;
brc.ChanceList.Add(cc);
if (brc.HoldCntDic.ContainsKey(cc.HoldTimeCnt))
{
brc.HoldCntDic[cc.HoldTimeCnt] = brc.HoldCntDic[cc.HoldTimeCnt] + 1;
}
else
{
brc.HoldCntDic.Add(cc.HoldTimeCnt, 1);
}
}
currRid++;
}
if ((testIndex + 1 - teststrag.ReviewExpectCnt) % (StepLong) == 0) //每到周期整数倍，滚动开始id队列增加当前id
{
roundBegIds.Add(testIndex); //加入队列
roundNoMatchedChances.Add(new Dictionary <string, ChanceClass <T> >()); //加入未完成的机会表到指定队列中
BackTestReturnClass <T> brc = new BackTestReturnClass <T>();
ret.RoundData.Add(brc);
roundId++;
}
for (int i = currRid; i < roundBegIds.Count; i++)//处理每个滚动周期的
{
ExchanceClass <T> cc = new ExchanceClass <T>();
Dictionary <string, ChanceClass <T> > NoMatchDic = roundNoMatchedChances[i];
BackTestReturnClass <T> brc = ret.RoundData[i];
cc.Run(dtp, testData, teststrag, ref brc.ChanceList, ref NoMatchDic, ref brc.HoldCntDic);
roundNoMatchedChances[i] = NoMatchDic;
brc.LoopCnt = testIndex - roundBegIds[i] + 1;
ret.RoundData[i] = brc;
}
testIndex++;
}
}
return(ret);
}
public BackTestReturnClass <T> VirExchange_oldLogic(ExchangeService es, StragRunPlanClass <T>[] teststragplans)
{
long begNo = BegExpect;
ExpectReader er = new ExpectReader();
ExpectList <T> el = null;
long cnt = 0;
BackTestReturnClass <T> ret = new BackTestReturnClass <T>();
ret.HoldCntDic = new Dictionary <int, int>();
ret.HoldWinCntDic = new Dictionary <int, int>();
ret.InChipsDic = new Dictionary <int, int>();
ret.WinChipsDic = new Dictionary <int, int>();
ExpectList <T> AllData = new ExpectList <T>();
//long testIndex = teststrag.ReviewExpectCnt - 1;
BaseStragClass <T>[] teststrags = teststragplans.Select(p => p.PlanStrag).ToArray <BaseStragClass <T> >();
long testIndex = teststrags.Max <BaseStragClass <T> >(s => s.ReviewExpectCnt);//取所有策略中回览期最大的开始，之前的数据不看
long InitIndex = testIndex;
ExpectList <T> testData = null;
Dictionary <string, StragChance <T> > NoCloseChances = new Dictionary <string, StragChance <T> >();
Dictionary <string, StragChance <T> > tmpChances = new Dictionary <string, StragChance <T> >();
Dictionary <Int64, ExchangeChance <T> > NewExchangeRecord = new Dictionary <Int64, ExchangeChance <T> >();
int AllCnt = 0;
while (el == null || el.Count > 0) //如果取到的数据长度大于0
{
el = er.ReadHistory <T>(begNo, LoopCnt);
if (el == null)
{
ret.LoopCnt = cnt * LoopCnt;
ret.succ = false;
ret.Msg = "读取历史数据错误！";
break;
}
if (el.Count == 0)
{
ret.LoopCnt = testIndex;
ret.succ = true;
ret.Msg = string.Format("成功遍历{0}条记录！共发现机会{1}次！其中,{2}.", testIndex, ret.ChanceList.Count, ret.HoldInfo);
break;
}
AllData = ExpectList <T> .Concat(AllData, el);
begNo = el.LastData.LExpectNo + 1;
cnt++;
//Todo:
while (testIndex < AllData.Count)
{
int CurrExpectClose = 0;
AllCnt++;
es.UpdateExpectCnt(AllCnt);
if (testData == null)
{
//testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt);
testData = AllData.getSubArray(0, (int)InitIndex + 1);
}
else
{
if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1)
{
throw new Exception(string.Format("{1}第{0}期后出现数据遗漏，请补充数据后继续测试！", testData.LastData.Expect, testData.LastData.OpenTime));
}
testData.RemoveAt(0);
testData.Add(AllData[(int)testIndex]);
}
for (int i = 0; i < teststrags.Length; i++)//专门针对需要程序话关闭机会，且关闭时需要知道当前数据策略使用
{
teststrags[i].SetLastUserData(testData);
}
tmpChances = new Dictionary <string, StragChance <T> >();
//关闭所有交易
foreach (int id in NewExchangeRecord.Keys)
{
ExchangeChance <T> ec = NewExchangeRecord[id];
int matchcnt = 0;
ec.OwnerChance.Matched(testData.LastData, out matchcnt, false);
ec.MatchChips = matchcnt;
es.Update(ec);
ec = null;
}
NewExchangeRecord = new Dictionary <Int64, ExchangeChance <T> >();
foreach (string key in NoCloseChances.Keys)
{
StragChance <T> scc = NoCloseChances[key];
ChanceClass <T> cc = scc.Chance;
if (cc.Closed == false)
{
int matchcnt = 0;
//////if (teststrag.GetRev)//如果求相反组合
//////{
////// if (cc.Matched(testData.LastData, out matchcnt, true))//不关闭
////// {
////// if (cc.HoldTimeCnt < 0)
////// {
////// cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex);
////// }
////// }
//////}
bool Matched = cc.Matched(testData.LastData, out matchcnt, false);
if (cc.NeedConditionEnd) //需要策略自定义条件结束
{
cc.MatchChips += matchcnt;
if (Matched) //匹配到了
{
int LastMatchId = cc.LastMatchTimesId; //最后一次匹配次序号
int maxHoldCnt = cc.AllowMaxHoldTimeCnt;
if (cc.HoldTimeCnt - cc.LastMatchTimesId > maxHoldCnt)
{
cc.AllowMaxHoldTimeCnt = cc.HoldTimeCnt - cc.LastMatchTimesId;
}
cc.LastMatchTimesId = cc.HoldTimeCnt;
}
if (CurrExpectClose == 1)//如果当期已关闭，后面所有机会均关闭
{
cc.Closed = true;
}
else if (CurrExpectClose == -1)
{
cc.Closed = Matched;
}
else
{
cc.Closed = cc.OnCheckTheChance(cc, Matched);
if (teststrags[0].StagSetting.IsLongTermCalc) //如果是长期计算，设置当期是否关闭
{
if (!Matched && cc.Closed) //匹配和状态相背，一定是状态已关闭
{
CurrExpectClose = 1;
}
if (!Matched && !cc.Closed)//第一次非匹配状态能判断出当期是否关闭
{
CurrExpectClose = -1;
}
}
}
if (cc.Closed)
{
cc.EndExpectNo = testData.LastData.Expect;
cc.UpdateTime = testData.LastData.OpenTime;
}
else
{
cc.HoldTimeCnt++;
tmpChances.Add(key, scc);
}
}
else
{
if (Matched || cc.HoldTimeCnt == cc.AllowMaxHoldTimeCnt)//关闭
{
cc.Closed = true;
cc.EndExpectNo = testData.LastData.Expect;
cc.MatchChips = matchcnt;
//////if (!teststrag.GetRev)//只有不求相反值的情况下，才赋持有是次数
//////{
cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex);
//////}
//////else
//////{
////// if (cc.HoldTimeCnt < 0)
////// {
////// cc.HoldTimeCnt = 999;
////// }
//////}
cc.UpdateTime = testData.LastData.OpenTime;
ret.ChanceList.Add(cc);
}
else
{
cc.HoldTimeCnt++;
tmpChances.Add(key, scc);
}
}
#region
//////////if (cc.Closed)
//////////{
////////// int HCnt = 1;
////////// if (cc.NeedConditionEnd)
////////// {
////////// if (ret.HoldCntDic.ContainsKey(cc.MaxHoldTimeCnt))
////////// {
////////// HCnt = ret.HoldCntDic[cc.MaxHoldTimeCnt];
////////// HCnt++;
////////// ret.HoldCntDic[cc.MaxHoldTimeCnt] = HCnt;
////////// ret.HoldWinCntDic[cc.MaxHoldTimeCnt] = ret.HoldWinCntDic[cc.MaxHoldTimeCnt] + matchcnt;
////////// ret.InChipsDic[cc.MaxHoldTimeCnt] = ret.InChipsDic[cc.MaxHoldTimeCnt] + cc.ChipCount * cc.HoldTimeCnt;
////////// ret.WinChipsDic[cc.MaxHoldTimeCnt] = ret.WinChipsDic[cc.MaxHoldTimeCnt] + cc.MatchChips;
////////// }
////////// else
////////// {
////////// ret.HoldCntDic.Add(cc.MaxHoldTimeCnt, 1);
////////// ret.HoldWinCntDic.Add(cc.MaxHoldTimeCnt, matchcnt);
////////// ret.InChipsDic.Add(cc.MaxHoldTimeCnt, cc.ChipCount * cc.HoldTimeCnt);
////////// ret.WinChipsDic.Add(cc.MaxHoldTimeCnt, cc.MatchChips);
////////// }
////////// }
////////// else
////////// {
////////// if (ret.HoldCntDic.ContainsKey(cc.HoldTimeCnt))
////////// {
////////// HCnt = ret.HoldCntDic[cc.HoldTimeCnt];
////////// HCnt++;
////////// ret.HoldCntDic[cc.HoldTimeCnt] = HCnt;
////////// ret.HoldWinCntDic[cc.HoldTimeCnt] = ret.HoldWinCntDic[cc.HoldTimeCnt] + matchcnt;
////////// ret.InChipsDic[cc.HoldTimeCnt] = ret.InChipsDic[cc.HoldTimeCnt] + cc.ChipCount;
////////// ret.WinChipsDic[cc.HoldTimeCnt] = ret.WinChipsDic[cc.HoldTimeCnt] + cc.MatchChips;
////////// }
////////// else
////////// {
////////// ret.HoldCntDic.Add(cc.HoldTimeCnt, 1);
////////// ret.HoldWinCntDic.Add(cc.HoldTimeCnt, matchcnt);
////////// ret.InChipsDic.Add(cc.HoldTimeCnt, cc.ChipCount);
////////// ret.WinChipsDic.Add(cc.HoldTimeCnt, cc.MatchChips);
////////// }
////////// }
//////////}
#endregion
}
}
List <StragChance <T> > cs = new List <StragChance <T> >();
for (int i = 0; i < teststrags.Length; i++)
{
BaseCollection <T> sc = new ExpectListProcessBuilder <T>(dtp, testData).getProcess().getSerialData(teststrags[i].ReviewExpectCnt, teststrags[i].BySer);
if (testData.Count == 0)
{
break;
}
List <ChanceClass <T> > scs = teststrags[i].getChances(sc, testData.LastData);//获取所有机会
for (int j = 0; j < scs.Count; j++)
{
ChanceClass <T> CurrCc = scs[j];
////scs[j].IncrementType = teststragplans[i].IncreamType;
////scs[j].FixAmt = teststragplans[i].FixAmt;
////scs[j].FixRate = teststragplans[i].FixRate;
StragRunPlanClass <T> currPlan = teststragplans[i];
BaseStragClass <T> currStrag = currPlan.PlanStrag;
CurrCc.HoldTimeCnt = 1;
CurrCc.Cost = CurrCc.ChipCount * CurrCc.UnitCost;
CurrCc.Gained = 0;
CurrCc.Profit = 0;
CurrCc.ExecDate = DateTime.Today;
CurrCc.CreateTime = el.LastData.OpenTime;
CurrCc.UpdateTime = CurrCc.CreateTime;
CurrCc.StragId = currStrag.GUID;
CurrCc.ExpectCode = el.LastData.Expect;
CurrCc.AllowMaxHoldTimeCnt = currPlan.AllowMaxHoldTimeCnt;
CurrCc.FixAmt = currPlan.FixAmt;
CurrCc.FixRate = currPlan.FixRate;
CurrCc.IncrementType = currPlan.IncreamType;
cs.Add(new StragChance <T>(teststrags[i], CurrCc));
}
}
if (ret.ChanceList == null)
{
ret.ChanceList = new List <ChanceClass <T> >();
}
//ret.ChanceList.AddRange(cs);
NoCloseChances = new Dictionary <string, StragChance <T> >();
foreach (string key in tmpChances.Keys)
{
StragChance <T> scc = tmpChances[key];
ChanceClass <T> cc = scc.Chance;
NoCloseChances.Add(key, scc);
//////ProbWaveSelectStragClass组合改为统一交易
////if ((scc.Strag is ProbWaveSelectStragClass) == false)
////{
//// ExchangeChance<T> ec = new ExchangeChance(scc.Strag, testData.LastData.Expect, cc);
//// bool Suc = es.Push(ref ec);
//// if (Suc)
//// NewExchangeRecord.Add(ec.Id, ec);
////}
}
tmpChances = null;
//如果设置了最大持仓，必须按照最大持仓限制下注。
for (int i = 0; i < Math.Min(cs.Count, teststrags[0].CommSetting.MaxHoldingCnt - NoCloseChances.Count); i++)
{
//string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode);
string key = string.Format("{0}", cs[i].Chance.ChanceCode);
if (NoCloseChances.ContainsKey(key))
{
//////if (teststrag.AllowRepeat)
//////{
////// string test = key;
////// //NoCloseChances.Add(key, cs[i]);
//////}
}
else
{
cs[i].Chance.BaseAmount = es.summary < es.InitCash?1:es.summary / es.InitCash;
NoCloseChances.Add(key, cs[i]);
////////ProbWaveSelectStragClass组合改为统一交易
//////if ((cs[i].Strag is ProbWaveSelectStragClass)==false)
//////{
////// ExchangeChance<T> ec = new ExchangeChance(cs[i].Strag, testData.LastData.Expect, cs[i].Chance);//交易
////// bool Suc = es.Push(ref ec);
////// if (Suc)
////// NewExchangeRecord.Add(ec.Id, ec);
//////}
}
}
//if ((cs[0].Strag is ProbWaveSelectStragClass) == false)
//{
foreach (string key in NoCloseChances.Keys)
{
ExchangeChance <T> ec = new ExchangeChance <T>(es, NoCloseChances[key].Strag, NoCloseChances[key].Chance.ExpectCode, testData.LastData.Expect, NoCloseChances[key].Chance); //交易
if (ec.OccurStrag is ProbWaveSelectStragClass) //对于ProbWaveSelectStragClass，一开始就计算好了Amount
{
ProbWaveSelectStragClass strag = ec.OccurStrag as ProbWaveSelectStragClass;
if (!strag.UseAmountList().ContainsKey(testData.LastData.Expect))
{
Int64 AllAmt = (ec.OccurStrag as BaseObjectsLib.ISpecAmount).getChipAmount(es.summary, ec.OwnerChance, ec.OccurStrag.CommSetting.GetGlobalSetting().DefaultHoldAmtSerials);
Int64 ChipAmt = (Int64)Math.Floor((double)AllAmt / NoCloseChances.Count);
ec.ExchangeAmount = ChipAmt;
ec.ExchangeRate = ChipAmt / es.summary;
if (!strag.UseAmountList().ContainsKey(testData.LastData.Expect))
{
strag.UseAmountList().Add(testData.LastData.Expect, ChipAmt);
}
}
else
{
ec.ExchangeAmount = strag.UseAmountList()[testData.LastData.Expect];
}
}
bool Suc = es.Push(ref ec);
if (Suc)
{
NewExchangeRecord.Add(ec.Id, ec);
}
}
//}
testIndex++;
}
}
return(ret);
}
public void Run()
{
LoopCnt = 0;
testIndex = 0;
ret = new BackTestReturnClass();
long begNo = BegExpect;
ExpectReader er = new ExpectReader();
ExpectList el = null;
long cnt = 0;
ret.HoldCntDic = new Dictionary <int, int>();
ret.HoldWinCntDic = new Dictionary <int, int>();
ret.InChipsDic = new Dictionary <int, int>();
ret.WinChipsDic = new Dictionary <int, int>();
ExpectList AllData = new ExpectList();
testIndex = teststrag.ReviewExpectCnt - 1;
ExpectList testData = null;
Dictionary <string, ChanceClass> NoCloseChances = new Dictionary <string, ChanceClass>();
Dictionary <string, ChanceClass> tmpChances = new Dictionary <string, ChanceClass>();
while (el == null || el.Count > 0) //如果取到的数据长度大于0
{
el = er.ReadHistory(begNo, LoopCnt);
if (el == null)
{
ret.LoopCnt = cnt * LoopCnt;
ret.succ = false;
ret.Msg = "读取历史数据错误！";
break;
}
if (el.Count == 0)
{
ret.LoopCnt = testIndex;
ret.succ = true;
ret.Msg = string.Format("成功遍历{0}条记录！共发现机会{1}次！其中,{2}.", testIndex, ret.ChanceList.Count, ret.HoldInfo);
break;
}
AllData = ExpectList.Concat(AllData, el);
begNo = el.LastData.LExpectNo + 1;
cnt++;
//Todo:
while (testIndex < AllData.Count)
{
if (testData == null)
{
testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt);
}
else
{
if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1)
{
throw new Exception(string.Format("{1}第{0}期后出现数据遗漏，请补充数据后继续测试！", testData.LastData.Expect, testData.LastData.OpenTime));
}
testData.RemoveAt(0);
testData.Add(AllData[(int)testIndex]);
}
tmpChances = new Dictionary <string, ChanceClass>();
foreach (string key in NoCloseChances.Keys)
{
ChanceClass cc = NoCloseChances[key];
if (cc.Closed == false)
{
int matchcnt = 0;
if (teststrag.GetRev) //如果求相反组合
{
if (cc.Matched(testData.LastData, out matchcnt, true)) //不关闭
{
if (cc.HoldTimeCnt < 0)
{
cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex);
}
}
}
bool Matched = cc.Matched(testData.LastData, out matchcnt, false);
if (cc.NeedConditionEnd)
{
cc.MatchChips += matchcnt;
if (Matched)
{
int LastMatchId = cc.LastMatchTimesId;//最后一次匹配次序号
int maxHoldCnt = cc.MaxHoldTimeCnt;
if (cc.HoldTimeCnt - cc.LastMatchTimesId > maxHoldCnt)
{
cc.MaxHoldTimeCnt = cc.HoldTimeCnt - cc.LastMatchTimesId;
}
cc.LastMatchTimesId = cc.HoldTimeCnt;
}
if (teststrag is ITraceChance)
{
ITraceChance its = teststrag as ITraceChance;
if (its == null)
{
cc.Closed = cc.OnCheckTheChance(cc, Matched);
}
else
{
cc.Closed = its.CheckNeedEndTheChance(cc, Matched);
}
}
else
{
cc.Closed = cc.OnCheckTheChance(cc, Matched);
}
if (cc.Closed)
{
cc.EndExpectNo = testData.LastData.Expect;
cc.UpdateTime = testData.LastData.OpenTime;
}
else
{
cc.HoldTimeCnt++;
tmpChances.Add(key, cc);
}
}
else
{
if (Matched || (cc.HoldTimeCnt > 0 && cc.HoldTimeCnt == cc.AllowMaxHoldTimeCnt))//关闭
{
cc.Closed = true;
cc.EndExpectNo = testData.LastData.Expect;
cc.MatchChips = matchcnt;
if (!teststrag.GetRev)//只有不求相反值的情况下，才赋持有是次数
{
cc.HoldTimeCnt = (int)(testData.LastData.ExpectIndex - cc.InputExpect.ExpectIndex);
}
else
{
if (cc.HoldTimeCnt < 0)
{
cc.HoldTimeCnt = 999;
}
}
cc.UpdateTime = testData.LastData.OpenTime;
ret.ChanceList.Add(cc);
}
else
{
cc.HoldTimeCnt++;
tmpChances.Add(key, cc);
}
}
if (cc.Closed)
{
int HCnt = 1;
if (ret.HoldCntDic.ContainsKey(cc.HoldTimeCnt))
{
HCnt = ret.HoldCntDic[cc.HoldTimeCnt];
HCnt++;
ret.HoldCntDic[cc.HoldTimeCnt] = HCnt;
ret.HoldWinCntDic[cc.HoldTimeCnt] = ret.HoldWinCntDic[cc.HoldTimeCnt] + matchcnt;
ret.InChipsDic[cc.HoldTimeCnt] = ret.InChipsDic[cc.HoldTimeCnt] + cc.ChipCount;
ret.WinChipsDic[cc.HoldTimeCnt] = ret.WinChipsDic[cc.HoldTimeCnt] + cc.MatchChips;
}
else
{
ret.HoldCntDic.Add(cc.HoldTimeCnt, 1);
ret.HoldWinCntDic.Add(cc.HoldTimeCnt, matchcnt);
ret.InChipsDic.Add(cc.HoldTimeCnt, cc.ChipCount);
ret.WinChipsDic.Add(cc.HoldTimeCnt, cc.MatchChips);
}
}
}
}
CommCollection sc = new ExpectListProcess(testData).getSerialData(teststrag.ReviewExpectCnt, teststrag.BySer);
if (testData.Count == 0)
{
break;
}
teststrag.SetLastUserData(testData);
List <ChanceClass> cs = teststrag.getChances(sc, testData.LastData);//获取所有机会
if (ret.ChanceList == null)
{
ret.ChanceList = new List <ChanceClass>();
}
//ret.ChanceList.AddRange(cs);
NoCloseChances = new Dictionary <string, ChanceClass>();
foreach (string key in tmpChances.Keys)
{
ChanceClass cc = tmpChances[key];
NoCloseChances.Add(key, cc);
}
for (int i = 0; i < cs.Count; i++)
{
//string key = string.Format("{0}_{1}", cs[i].SignExpectNo, cs[i].ChanceCode);
string key = string.Format("{0}", cs[i].ChanceCode);
if (NoCloseChances.ContainsKey(key))
{
if (teststrag.AllowRepeat)
{
string test = key;
//NoCloseChances.Add(key, cs[i]);
}
}
else
{
NoCloseChances.Add(key, cs[i]);
}
}
testIndex++;
}
}
FinishedProcess();
//return ret;
}
/// <summary>
/// 新逻辑调用服务的计算类，注入策略运行计划清单和数据
/// </summary>
/// <param name="es"></param>
/// <param name="teststragplans"></param>
/// <returns></returns>
public BackTestReturnClass VirExchange(ServiceSetting sc, ref ExchangeService es, StragRunPlanClass[] teststragplans)
{
LoopCnt = 0;
testIndex = 0;
//调用计算服务进行计算
if (!teststragplans[0].AssetUnitInfo.Running) //如果资产单元没有启动，启动资产单元
{
teststragplans[0].AssetUnitInfo.Run();
}
es = teststragplans[0].AssetUnitInfo.ExchangeServer; //设置资产单元的模拟交易器
CalcService cs = new CalcService(true, sc, teststragplans.ToDictionary(t => t.GUID, t => t));
cs.IsTestBack = true;
long begNo = BegExpect;
ExpectReader er = new ExpectReader();
ExpectList el = null;
long cnt = 0;
BackTestReturnClass ret = new BackTestReturnClass();
ret.HoldCntDic = new Dictionary <int, int>();
ret.HoldWinCntDic = new Dictionary <int, int>();
ret.InChipsDic = new Dictionary <int, int>();
ret.WinChipsDic = new Dictionary <int, int>();
ExpectList AllData = new ExpectList();
//long testIndex = teststrag.ReviewExpectCnt - 1;
StragClass[] teststrags = teststragplans.Select(p => p.PlanStrag).ToArray <StragClass>();
testIndex = teststrags.Max <StragClass>(s => s.ReviewExpectCnt);//取所有策略中回览期最大的开始，之前的数据不看
long InitIndex = testIndex;
ExpectList testData = null;
////Dictionary<string, StragChance> NoCloseChances = new Dictionary<string, StragChance>();
////Dictionary<string, StragChance> tmpChances = new Dictionary<string, StragChance>();
////Dictionary<Int64, ExchangeChance> NewExchangeRecord = new Dictionary<Int64, ExchangeChance>();
int AllCnt = 0;
while (el == null || el.Count > 0) //如果取到的数据长度大于0
{
el = er.ReadHistory(begNo, LoopCnt);
if (el == null)
{
ret.LoopCnt = cnt * LoopCnt;
ret.succ = false;
ret.Msg = "读取历史数据错误！";
break;
}
if (el.Count == 0)
{
ret.LoopCnt = testIndex;
ret.succ = true;
//ret.Msg = string.Format("成功遍历{0}条记录！共发现机会{1}次！其中,{2}.", testIndex, ret.ChanceList.Count, ret.HoldInfo);
break;
}
AllData = ExpectList.Concat(AllData, el);
begNo = el.LastData.LExpectNo + 1;
cnt++;
//Todo:
while (testIndex < AllData.Count)
{
int CurrExpectClose = 0;
AllCnt++;
es.UpdateExpectCnt(AllCnt);
if (testData == null)
{
//testData = AllData.getSubArray(0, teststrag.ReviewExpectCnt);
testData = AllData.getSubArray(0, (int)InitIndex + 1);
}
else
{
if (AllData[(int)testIndex].ExpectIndex != testData.LastData.ExpectIndex + 1)
{
throw new Exception(string.Format("{1}第{0}期后出现数据遗漏，请补充数据后继续测试！", testData.LastData.Expect, testData.LastData.OpenTime));
}
testData.RemoveAt(0);
testData.Add(AllData[(int)testIndex]);
}
//只是取数据的逻辑一样，以后均调用CalcService
//ToAdd:以下是内容
cs.CurrData = testData;
cs.Calc();
while (!cs.CalcFinished)
{
Thread.Sleep(100);
}
this.SystemStdDevs = cs.getSystemStdDevList();
testIndex++;
}
}
FinishedProcess();
return(ret);
}