public override void OnReceiveDrawChart(object sender, SendConsecutive e)
{
if (GetCheckOnDate(e.Date))
{
Short.Pop();
Long.Pop();
Trend.Pop();
}
Trend.Push(Trend.Count > 0 ? EMA.Make(Line.Item3, Trend.Count, e.Price, Trend.Peek()) : EMA.Make(e.Price));
Short.Push(Short.Count > 0 ? EMA.Make(Line.Item1, Short.Count, e.Price, Short.Peek()) : EMA.Make(e.Price));
Long.Push(Long.Count > 0 ? EMA.Make(Line.Item2, Long.Count, e.Price, Long.Peek()) : EMA.Make(e.Price));
if (e.Volume != 0 && e.Date.Length > 8 && Short.Count > 1 && Long.Count > 1)
{
double popShort = Short.Pop(), popLong = Long.Pop(), gap = popShort - popLong - (Short.Peek() - Long.Peek());
Short.Push(popShort);
Long.Push(popLong);
var date = e.Date.Substring(6, 4);
if (date.CompareTo(Base.Start) > 0 && date.CompareTo(Base.Transmit) < 0 && Strategics is Catalog.TrendsToCashflow tc &&
DateTime.TryParseExact(e.Date.Substring(0, 12), Base.FullDateFormat, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime cInterval))
{
if (Balance.Quantity > tc.ReservationQuantity - 1 && (Offer ?? int.MaxValue) < e.Price &&
OrderNumber.Any(o => o.Key[0] == '8' && o.Value == e.Price - GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * tc.ReservationQuantity * (Commission + Base.Tax));
Balance.Revenue += (long)((e.Price - (Balance.Purchase ?? 0D)) * tc.ReservationQuantity);
Balance.Quantity -= tc.ReservationQuantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("8") && o.Value == e.Price - GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key))
{
Capital -= profit.Value * tc.ReservationQuantity;
Offer = profit.Value;
}
}
else if ((Bid ?? int.MinValue) > e.Price && OrderNumber.Any(o => o.Key[0] == '7' && o.Value == e.Price + GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * Commission * tc.ReservationQuantity);
Balance.Purchase
= (double)((e.Price * tc.ReservationQuantity + (Balance.Purchase ?? 0D) * Balance.Quantity) / (Balance.Quantity + tc.ReservationQuantity));
Balance.Quantity += tc.ReservationQuantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("7") && o.Value == e.Price + GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key))
{
Capital += profit.Value * tc.ReservationQuantity;
Bid = profit.Value;
}
}
else if (Balance.Quantity > tc.TradingQuantity - 1 && OrderNumber.Any(o => o.Key[0] == '2' && o.Value == e.Price - GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * tc.TradingQuantity * (Commission + Base.Tax));
Balance.Revenue += (long)((e.Price - (Balance.Purchase ?? 0D)) * tc.TradingQuantity);
Balance.Quantity -= tc.TradingQuantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("2") && o.Value == e.Price - GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key))
{
Capital -= profit.Value * tc.TradingQuantity;
}
}
else if (OrderNumber.Any(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * Commission * tc.TradingQuantity);
Balance.Purchase = (double)((e.Price * tc.TradingQuantity + (Balance.Purchase ?? 0D) * Balance.Quantity) / (Balance.Quantity + tc.TradingQuantity));
Balance.Quantity += tc.TradingQuantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key))
{
Capital += profit.Value * tc.TradingQuantity;
}
}
else if (Balance.Quantity > tc.TradingQuantity - 1 && OrderNumber.ContainsValue(e.Price) == false &&
e.Price > Trend.Peek() * (1 + tc.PositionRevenue) && e.Price > (Balance.Purchase ?? 0D) &&
gap < 0 && (tc.Interval == 0 || tc.Interval > 0 && cInterval.CompareTo(NextOrderTime) > 0))
{
var unit = GetQuoteUnit(e.Price, Market);
if (OrderNumber.ContainsValue(e.Price + unit) == false)
{
OrderNumber[Base.GetOrderNumber((int)OrderType.신규매도)] = e.Price + unit;
}
if (tc.Interval > 0)
{
NextOrderTime = Base.MeasureTheDelayTime(tc.Interval, cInterval);
}
}
else if (tc.TradingQuantity > 0 && OrderNumber.ContainsValue(e.Price) == false && e.Price < Trend.Peek() * (1 - tc.PositionAddition) &&
gap > 0 && (tc.Interval == 0 || tc.Interval > 0 && cInterval.CompareTo(NextOrderTime) > 0))
{
var unit = GetQuoteUnit(e.Price, Market);
if (OrderNumber.ContainsValue(e.Price - unit) == false)
{
OrderNumber[Base.GetOrderNumber((int)OrderType.신규매수)] = e.Price - unit;
}
if (tc.Interval > 0)
{
NextOrderTime = Base.MeasureTheDelayTime(tc.Interval, cInterval);
}
}
}
else if (date.CompareTo(Base.Transmit) > 0 && Strategics is Catalog.TrendsToCashflow cf)
{
OrderNumber.Clear();
long revenue = Balance.Revenue - CumulativeFee, unrealize = (long)((e.Price - (Balance.Purchase ?? 0D)) * Balance.Quantity);
var avg = EMA.Make(++Accumulative, revenue - TodayRevenue + unrealize - TodayUnrealize, Before);
if (cf.ReservationQuantity > 0 && Balance.Quantity > cf.ReservationQuantity - 1)
{
var stock = Market;
int quantity = Balance.Quantity / cf.ReservationQuantity, price = e.Price, sell = (int)((Balance.Purchase ?? 0D) * (1 + cf.ReservationRevenue)),
buy = (int)((Balance.Purchase ?? 0D) * (1 - cf.Addition)), upper = (int)(price * 1.3), lower = (int)(price * 0.7),
bPrice = Base.GetStartingPrice(lower, stock), sPrice = Base.GetStartingPrice(sell, stock);
sPrice = sPrice < lower ? lower + GetQuoteUnit(sPrice, stock) : sPrice;
while (sPrice < upper && quantity-- > 0)
{
OrderNumber[Base.GetOrderNumber((int)OrderType.예약매도)] = sPrice;
for (int i = 0; i < cf.Unit; i++)
{
sPrice += GetQuoteUnit(sPrice, stock);
}
}
while (bPrice < upper && bPrice < buy)
{
OrderNumber[Base.GetOrderNumber((int)OrderType.예약매수)] = bPrice;
for (int i = 0; i < cf.Unit; i++)
{
bPrice += GetQuoteUnit(bPrice, stock);
}
}
Bid = OrderNumber.Count > 0 && OrderNumber.Any(o => o.Key.StartsWith("7")) ? OrderNumber.Where(o => o.Key.StartsWith("7")).Max(o => o.Value) : 0;
Offer = OrderNumber.Count > 0 && OrderNumber.Any(o => o.Key.StartsWith("8")) ? OrderNumber.Where(o => o.Key.StartsWith("8")).Min(o => o.Value) : 0;
}
SendMessage = new Catalog.Strategics.Statistics
{
Key = string.Concat("TC.", cf.AnalysisType),
Date = e.Date.Substring(0, 6),
Cumulative = revenue + unrealize,
Base = SendMessage.Base > Capital ? SendMessage.Base : Capital,
Statistic = (int)avg,
Price = (int)Trend.Peek()
};
Before = avg;
TodayRevenue = revenue;
TodayUnrealize = unrealize;
}
}
internal void OnReceiveTrendsInPrices(SendConsecutive e, double gap, double sShort, double sLong, double trend)
{
var date = e.Date.Substring(6, 4);
switch (strategics)
{
case ScenarioAccordingToTrend st:
if (e.Date.Length > 8 && date.CompareTo(start) > 0 && date.CompareTo(transmit) < 0 && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime interval))
{
if (NextOrderTime == null)
{
NextOrderTime = interval;
}
else if (Quantity > st.Quantity - 1 && OrderNumber.Any(o => o.Key.StartsWith("2") && o.Value == e.Price - GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * st.Quantity * (Commission + tax));
Revenue += (long)((e.Price - (Purchase ?? 0D)) * st.Quantity);
Quantity -= st.Quantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("2") && o.Value == e.Price - GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key) && Verify)
{
OnReceiveBalance(new string[]
{
string.Concat(interval.ToShortDateString(), " ", interval.ToLongTimeString()),
profit.Key,
profit.Value.ToString("N0")
});
}
Base -= profit.Value * st.Quantity;
}
else if (OrderNumber.Any(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * Commission * st.Quantity);
Purchase = (double)((e.Price * st.Quantity + (Purchase ?? 0D) * Quantity) / (Quantity + st.Quantity));
Quantity += st.Quantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key) && Verify)
{
OnReceiveBalance(new string[]
{
string.Concat(interval.ToShortDateString(), " ", interval.ToLongTimeString()),
profit.Key,
profit.Value.ToString("N0")
});
}
Base += profit.Value * st.Quantity;
}
else if (Quantity > st.Quantity - 1 && OrderNumber.ContainsValue(e.Price) == false && e.Price > trend * (1 + st.ErrorRange) && e.Price > (Purchase ?? 0D) && gap < 0 && (st.IntervalInSeconds == 0 || st.IntervalInSeconds > 0 && interval.CompareTo(NextOrderTime) > 0))
{
var unit = GetQuoteUnit(e.Price, Market);
if (Verify && VerifyAmount > Quantity && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveConclusion(new string[]
{
string.Concat(OpenOrderType.신규매도, " ", dt.ToShortDateString(), " ", dt.ToLongTimeString(), " ", NextOrderTime),
Quantity.ToString("N0"),
(Purchase ?? 0D).ToString("N2"),
(e.Price + unit).ToString("N0"),
(Revenue - CumulativeFee).ToString("C0"),
OrderNumber.Max(o => o.Key)
});
VerifyAmount = Quantity;
}
if (OrderNumber.ContainsValue(e.Price + unit) == false)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매도)] = e.Price + unit;
}
if (st.IntervalInSeconds > 0)
{
NextOrderTime = MeasureTheDelayTime(st.IntervalInSeconds, interval);
}
}
else if (OrderNumber.ContainsValue(e.Price) == false && e.Price < trend * (1 - st.ErrorRange) && gap > 0 && (st.IntervalInSeconds == 0 || st.IntervalInSeconds > 0 && interval.CompareTo(NextOrderTime) > 0))
{
var unit = GetQuoteUnit(e.Price, Market);
if (Verify && VerifyAmount < Quantity && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveConclusion(new string[]
{
string.Concat(OpenOrderType.신규매수, " ", dt.ToShortDateString(), " ", dt.ToLongTimeString(), " ", NextOrderTime),
Quantity.ToString("N0"),
(Purchase ?? 0D).ToString("N2"),
(e.Price - unit).ToString("N0"),
(Revenue - CumulativeFee).ToString("C0"),
OrderNumber.Where(o => o.Key.StartsWith("1")).Max(o => o.Key)
});
VerifyAmount = Quantity;
}
if (OrderNumber.ContainsValue(e.Price - unit) == false)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매수)] = e.Price - unit;
}
if (st.IntervalInSeconds > 0)
{
NextOrderTime = MeasureTheDelayTime(st.IntervalInSeconds, interval);
}
}
}
else if (date.CompareTo(transmit) > 0)
{
OrderNumber.Clear();
Count = 0;
long revenue = Revenue - CumulativeFee, unrealize = (long)((e.Price - (Purchase ?? 0D)) * Quantity);
var avg = EMA.Make(++Accumulative, revenue - TodayRevenue + unrealize - TodayUnrealize, Before);
SendMessage = new Statistics
{
Date = e.Date.Substring(0, 6),
Cumulative = (revenue + unrealize) / st.Quantity,
Base = SendMessage.Base > Base / st.Quantity ? SendMessage.Base : Base / st.Quantity,
Statistic = (int)(avg / st.Quantity),
Price = e.Price
};
SendStocks?.Invoke(this, new SendHoldingStocks(e.Date, e.Price, sShort, sLong, trend, revenue + unrealize, (long)(Base > 0 ? Base : 0)));
Before = avg;
TodayRevenue = revenue;
TodayUnrealize = unrealize;
}
break;
case TrendsInStockPrices ts:
if (e.Date.Length > 8 && date.CompareTo(start) > 0 && date.CompareTo(transmit) < 0)
{
if (Quantity > ts.Quantity - 1 && OrderNumber.Any(o => o.Key.StartsWith("2") && o.Value == e.Price - GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * ts.Quantity * (Commission + tax));
Revenue += (long)((e.Price - (Purchase ?? 0D)) * ts.Quantity);
Quantity -= ts.Quantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("2") && o.Value == e.Price - GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key) && Verify && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveBalance(new string[]
{
string.Concat(dt.ToShortDateString(), " ", dt.ToLongTimeString()),
profit.Key,
profit.Value.ToString("N0")
});
}
Base -= profit.Value * ts.Quantity;
}
else if (OrderNumber.Any(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market)))
{
CumulativeFee += (uint)(e.Price * Commission * ts.Quantity);
Purchase = (double)((e.Price * ts.Quantity + (Purchase ?? 0D) * Quantity) / (Quantity + ts.Quantity));
Quantity += ts.Quantity;
var profit = OrderNumber.First(o => o.Key.StartsWith("1") && o.Value == e.Price + GetQuoteUnit(e.Price, Market));
if (OrderNumber.Remove(profit.Key) && Verify && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveBalance(new string[]
{
string.Concat(dt.ToShortDateString(), " ", dt.ToLongTimeString()),
profit.Key,
profit.Value.ToString("N0")
});
}
Base += profit.Value * ts.Quantity;
}
else if (Quantity > ts.Quantity - 1 && OrderNumber.ContainsValue(e.Price) == false && e.Price > trend * (1 + ts.RealizeProfit) && e.Price > (Purchase ?? 0D) && gap < 0)
{
var quote = 0;
for (int i = 0; i < ts.QuoteUnit; i++)
{
quote += GetQuoteUnit(e.Price, Market);
}
if (Verify && VerifyAmount > Quantity && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveConclusion(new string[]
{
string.Concat(OpenOrderType.신규매도, " ", dt.ToShortDateString(), " ", dt.ToLongTimeString()),
Quantity.ToString("N0"),
(Purchase ?? 0D).ToString("N2"),
(e.Price + quote).ToString("N0"),
(Revenue - CumulativeFee).ToString("C0"),
OrderNumber.Max(o => o.Key)
});
VerifyAmount = Quantity;
}
if (OrderNumber.ContainsValue(e.Price + quote) == false)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매도)] = e.Price + quote;
}
}
else if (OrderNumber.ContainsValue(e.Price) == false && e.Price < trend * (1 - ts.AdditionalPurchase) && gap > 0)
{
var quote = 0;
for (int i = 0; i < ts.QuoteUnit; i++)
{
quote += GetQuoteUnit(e.Price, Market);
}
if (Verify && VerifyAmount < Quantity && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveConclusion(new string[]
{
string.Concat(OpenOrderType.신규매수, " ", dt.ToShortDateString(), " ", dt.ToLongTimeString()),
Quantity.ToString("N0"),
(Purchase ?? 0D).ToString("N2"),
(e.Price - quote).ToString("N0"),
(Revenue - CumulativeFee).ToString("C0"),
OrderNumber.Where(o => o.Key.StartsWith("1")).Max(o => o.Key)
});
VerifyAmount = Quantity;
}
if (OrderNumber.ContainsValue(e.Price - quote) == false)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매수)] = e.Price - quote;
}
}
}
else if (date.CompareTo(transmit) > 0)
{
OrderNumber.Clear();
Count = 0;
long revenue = Revenue - CumulativeFee, unrealize = (long)((e.Price - (Purchase ?? 0D)) * Quantity);
var avg = EMA.Make(++Accumulative, revenue - TodayRevenue + unrealize - TodayUnrealize, Before);
if (ts.Setting.Equals(Setting.Reservation) && Quantity > ts.Quantity - 1)
{
var stock = Market;
int quantity = Quantity / ts.Quantity, price = e.Price, sell = (int)((Purchase ?? 0D) * (1 + ts.RealizeProfit)), buy = (int)((Purchase ?? 0D) * (1 - ts.AdditionalPurchase)), upper = (int)(price * 1.3), lower = (int)(price * 0.7), bPrice = GetStartingPrice(lower, stock), sPrice = GetStartingPrice(sell, stock);
sPrice = sPrice < lower ? lower + GetQuoteUnit(sPrice, stock) : sPrice;
while (sPrice < upper && quantity-- > 0)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매도)] = sPrice;
for (int i = 0; i < ts.QuoteUnit; i++)
{
sPrice += GetQuoteUnit(sPrice, stock);
}
}
while (bPrice < upper && bPrice < buy)
{
OrderNumber[GetOrderNumber((int)OpenOrderType.신규매수)] = bPrice;
for (int i = 0; i < ts.QuoteUnit; i++)
{
bPrice += GetQuoteUnit(bPrice, stock);
}
}
if (Verify && DateTime.TryParseExact(e.Date.Substring(0, 12), format, CultureInfo.CurrentCulture, DateTimeStyles.None, out DateTime dt))
{
OnReceiveEvent(new string[]
{
string.Concat(dt.ToShortDateString(), " ", dt.ToLongTimeString()),
OrderNumber.Where(o => o.Key.StartsWith("1")).Max(o => o.Key),
OrderNumber.Where(o => o.Key.StartsWith("2")).Max(o => o.Key)
});
}
}
SendMessage = new Statistics
{
Date = e.Date.Substring(0, 6),
Cumulative = (revenue + unrealize) / ts.Quantity,
Base = SendMessage.Base > Base / ts.Quantity ? SendMessage.Base : Base / ts.Quantity,
Statistic = (int)(avg / ts.Quantity)
};
SendStocks?.Invoke(this, new SendHoldingStocks(e.Date, e.Price, sShort, sLong, trend, revenue + unrealize, (long)(Base > 0 ? Base : 0)));
Before = avg;
TodayRevenue = revenue;
TodayUnrealize = unrealize;
}
break;
case TrendFollowingBasicFutures tf:
break;
}
}
