public void ApplyStrategySettings()
{
_accountVm.Host.PortfApplyStrategySettings(this.Id,
StrategySetting.Name, StrategySetting.Serialize());
_accountVm.PublishChanged();
}
public XElement Persist()
{
XElement elem = new XElement("portfolio");
elem.Add(new XAttribute("id", _id));
elem.Add(new XAttribute("quantity", _qty));
elem.Add(new XAttribute("currentPosition", _position));
elem.Add(new XAttribute("avgCost", _avgCost.ToString("F2")));
elem.Add(new XAttribute("maxPosition", _maxPosition));
elem.Add(new XAttribute("autoOpen", _autoOpen.ToString()));
elem.Add(new XAttribute("autoStopGain", _autoStopGain.ToString()));
elem.Add(new XAttribute("autoStopLoss", _autoStopLoss.ToString()));
elem.Add(new XAttribute("autoTracking", _autoTracking.ToString()));
elem.Add(new XAttribute("enablePrefer", _enablePrefer.ToString()));
XElement elemLegs = new XElement("legs");
foreach (var l in _legs)
{
elemLegs.Add(l.Persist());
}
elem.Add(elemLegs);
XElement settingElem = new XElement("setting", new XAttribute("name", StrategySetting.Name));
settingElem.Add(new XCData(StrategySetting.Persist()));
elem.Add(settingElem);
return(elem);
}
public entity.PortfolioItem GetEntity()
{
entity.PortfolioItem portfolioItem = new entity.PortfolioItem();
portfolioItem.ID = Id;
portfolioItem.AutoOpen = AutoOpen;
portfolioItem.AutoStopGain = AutoStopGain;
portfolioItem.AutoStopLoss = AutoStopLoss;
portfolioItem.AutoTrack = AutoTracking;
portfolioItem.EnablePrefer = EnablePrefer;
portfolioItem.Quantity = Quantity;
portfolioItem.MaxPosition = MaxPosition;
portfolioItem.OpenTimes = OpenTimes;
portfolioItem.CloseTimes = 0;
portfolioItem.CurrentPosition = Position;
portfolioItem.AvgCost = AvgCost;
foreach (var legVm in _legs)
{
entity.LegItem leg = new entity.LegItem();
leg.Symbol = legVm.Symbol;
leg.Side = legVm.Side;
leg.Ratio = legVm.Ratio;
leg.IsPreferred = legVm.IsPreferred;
portfolioItem.Legs.Add(leg);
}
portfolioItem.StrategyName = StrategySetting.Name;
portfolioItem.StrategyData = StrategySetting.Serialize();
return(portfolioItem);
}
public void ApplyStrategySettings(StrategySetting settings)
{
this.StrategySetting.CopyFrom(settings);
_accountVm.Host.PortfApplyStrategySettings(this.Id, StrategySetting.GetEntity());
_accountVm.PublishChanged();
}
private int SetOptimize(IAsset asset, int repeat)
{
try
{
set = new StrategySetting
{
ShortTick = SetValue(ran.Next(asset.ShortTickPeriod / 3, asset.ShortTickPeriod), ran.Next(15, 50), ran.Next(asset.ShortTickPeriod, asset.ShortTickPeriod * 5)),
LongTick = SetValue(ran.Next(asset.LongTickPeriod / 3, asset.LongTickPeriod), ran.Next(30, 150), ran.Next(asset.LongTickPeriod, asset.LongTickPeriod * 5)),
ShortDay = SetValue(2, ran.Next(1, 3), ran.Next(asset.ShortDayPeriod, asset.ShortDayPeriod * 3)),
LongDay = SetValue(ran.Next(asset.LongDayPeriod / 3, asset.LongDayPeriod), ran.Next(1, 10), ran.Next(asset.LongDayPeriod, asset.LongDayPeriod * 3)),
Reaction = SetValue(ran.Next(asset.Reaction / 3, asset.Reaction), ran.Next(1, 5), ran.Next(asset.Reaction, asset.Reaction * 2)),
Hedge = SetValue(0, 1, ran.Next(0, 5)),
Capital = asset.Assets
};
return(set.EstimatedTime());
}
catch (Exception ex)
{
new LogMessage().Record("Exception", ex.ToString());
if (TimerBox.Show("Run the Program Again and Set it Manually.", "Warning", MessageBoxButtons.OKCancel, MessageBoxIcon.Warning, MessageBoxDefaultButton.Button2, 3157).Equals(DialogResult.OK))
{
Application.Restart();
}
}
finally
{
if (repeat % 5000 == 0 && TimerBox.Show("Run the Program Again and Set it Manually.", "Warning", MessageBoxButtons.OKCancel, MessageBoxIcon.Warning, MessageBoxDefaultButton.Button2, 3157).Equals(DialogResult.OK))
{
Application.Restart();
}
}
return(0);
}
private void OnShortOpen()
{
if (StrategySetting is ManualStrategySetting)
{
((ManualStrategySetting)StrategySetting).Direction = PTEntity.PosiDirectionType.SHORT;
_accountVm.Host.PortfApplyStrategySettings(this.Id, StrategySetting.GetEntity());
OnOpenPosition();
NotifyManualOpenDirectionChange();
}
}
private int SetOptimize(IAsset asset, AutomaticallySetting auto, int repeat)
{
try
{
set = new StrategySetting
{
ShortTick = auto.SetVariableAutomatic(IAsset.Variable.ShortTick, asset.ShortTickPeriod, ran.Next(1, 21)),
LongTick = auto.SetVariableAutomatic(IAsset.Variable.LongTick, asset.LongTickPeriod, ran.Next(1, 16)),
ShortDay = auto.SetVariableAutomatic(IAsset.Variable.ShortDay, asset.ShortDayPeriod, ran.Next(1, 11)),
LongDay = auto.SetVariableAutomatic(IAsset.Variable.LongDay, asset.LongDayPeriod, ran.Next(1, 11)),
Reaction = auto.SetVariableAutomatic(IAsset.Variable.Reaction, asset.Reaction, ran.Next(1, 51)),
Hedge = auto.SetVariableAutomatic(IAsset.Variable.Hedge, asset.Hedge, ran.Next(0, 6)),
Base = auto.SetVariableAutomatic(IAsset.Variable.Base, asset.Base, ran.Next(0, 3)),
Sigma = auto.SetVariableAutomatic(IAsset.Variable.Sigma, asset.Sigma, ran.Next(0, 2)),
Percent = auto.SetVariableAutomatic(IAsset.Variable.Percent, asset.Percent, ran.Next(0, 2)),
Max = auto.SetVariableAutomatic(IAsset.Variable.Max, asset.Max, ran.Next(0, 2)),
Quantity = auto.SetVariableAutomatic(IAsset.Variable.Quantity, asset.Quantity, ran.Next(0, 2)),
Time = auto.SetVariableAutomatic(IAsset.Variable.Time, asset.Time, ran.Next(0, 6)),
Capital = asset.Assets
};
Estimate = set.EstimatedTime(new List <string>(64), CalculateTheRemainingTime() * count, true);
if (repeat % 2500 == 0 && TimerBox.Show("Run the Program Again and Set it Manually.", "Warning", MessageBoxButtons.OKCancel, MessageBoxIcon.Warning, MessageBoxDefaultButton.Button2, 5157).Equals(DialogResult.OK))
{
Application.ExitThread();
Application.Exit();
}
else if (repeat % 500 == 0 && TimerBox.Show("Do You Want to Use the Existing Settings?", "Question", MessageBoxButtons.OKCancel, MessageBoxIcon.Question, MessageBoxDefaultButton.Button1, 7519).Equals(DialogResult.OK))
{
checkBox.Checked = true;
button.ForeColor = Color.Gold;
button.PerformClick();
return(int.MinValue);
}
}
catch (Exception ex)
{
new LogMessage().Record("Exception", ex.ToString());
if (TimerBox.Show("Run the Program Again and Set it Manually.", "Warning", MessageBoxButtons.OKCancel, MessageBoxIcon.Warning, MessageBoxDefaultButton.Button2, 5157).Equals(DialogResult.OK))
{
Application.ExitThread();
Application.Exit();
}
}
return(Estimate.Count);
}
private void CheckBoxCheckedChanged(object sender, EventArgs e)
{
if (!button.ForeColor.Equals(Color.Maroon))
{
if (button.ForeColor.Equals(Color.Ivory) && CheckCurrent)
{
set = new StrategySetting
{
ShortTick = SetValue((int)numericPST.Value, (int)numericIST.Value, (int)numericDST.Value),
ShortDay = SetValue((int)numericPSD.Value, (int)numericISD.Value, (int)numericDSD.Value),
LongTick = SetValue((int)numericPLT.Value, (int)numericILT.Value, (int)numericDLT.Value),
LongDay = SetValue((int)numericPLD.Value, (int)numericILD.Value, (int)numericDLD.Value),
Reaction = SetValue((int)numericPR.Value, (int)numericIR.Value, (int)numericDR.Value),
Hedge = SetValue((int)numericPH.Value, (int)numericIH.Value, (int)numericDH.Value),
Capital = (long)numericCapital.Value
};
button.Text = string.Concat("Estimated Back Testing Time is ", pro.Rate(set.EstimatedTime(), count).ToString("N0"), " Minutes.");
checkBox.Text = "Reset";
checkBox.ForeColor = Color.Yellow;
button.ForeColor = Color.Gold;
return;
}
button.Text = string.Concat("Click to Recommend ", DateTime.Now.DayOfWeek.Equals(DayOfWeek.Friday) ? 2880 + 870 : 870, " Minutes and Save Existing Data.");
button.ForeColor = Color.Ivory;
checkBox.ForeColor = Color.Ivory;
checkBox.Text = "Process";
}
else if (CheckCurrent == false)
{
checkBox.Text = string.Concat(pro.ProgressBarValue.ToString("N0"), " / ", Max.ToString("N0"));
checkBox.Font = new Font(checkBox.Font.Name, 10.25F, FontStyle.Regular);
if (TimerBox.Show(string.Concat("Currently\n", GC.GetTotalMemory(false).ToString("N0"), "bytes of Memory\nare in Use.\n\nDo You want to Clean Up the Accumulated Memory?"), "Notice", MessageBoxButtons.YesNo, MessageBoxIcon.Question, MessageBoxDefaultButton.Button2, 1325).Equals(DialogResult.OK))
{
GC.Collect();
}
}
else if (CheckCurrent)
{
checkBox.Text = string.Concat("Parallel ", Process.GetCurrentProcess().Threads.Count - Count > 0 ? (Process.GetCurrentProcess().Threads.Count - Count).ToString("N0") : "End");
checkBox.Font = new Font(checkBox.Font.Name, 15.75F, FontStyle.Regular);
}
}
public PTEntity.PortfolioItem GetEntity()
{
PTEntity.PortfolioItem portfolioItem = new PTEntity.PortfolioItem();
portfolioItem.ID = Id;
portfolioItem.Quantity = Quantity;
portfolioItem.MaxOpenPerStart = MaxOpenPerStart;
portfolioItem.MaxCancel = MaxCancel;
portfolioItem.TotalOpenLimit = TotalOpenLimit;
portfolioItem.HedgeFlag = HedgeFlag;
foreach (var legVm in _legs)
{
PTEntity.LegItem leg = new PTEntity.LegItem();
leg.Symbol = legVm.Symbol;
leg.Side = (PTEntity.PosiDirectionType)legVm.Side;
leg.Ratio = legVm.Ratio;
leg.IsPreferred = legVm.IsPreferred;
leg.MinPriceChange = legVm.MinPriceChange;
portfolioItem.Legs.Add(leg);
}
if (!string.IsNullOrEmpty(_endTimePointsExpr))
{
string[] tps = _endTimePointsExpr.Split(',');
foreach (string s in tps)
{
if (!string.IsNullOrWhiteSpace(s))
{
portfolioItem.EndTimePoints.Add(s.Trim());
}
}
}
portfolioItem.Strategy = StrategySetting.GetEntity();
return(portfolioItem);
}
public void To(PortfolioVM portf)
{
portf.Quantity = this.Quantity;
portf.MaxPosition = this.MaxQuantity;
if (Leg1)
{
LegVM leg;
if (portf.LegCount < 1)
{
leg = new LegVM();
portf.AddLeg(leg);
}
else
{
leg = portf.GetLeg(0);
}
leg.Symbol = Symbol1;
leg.Side = Side1;
leg.Ratio = Ratio1;
leg.SetIsPreferred(PreferLeg1);
}
if (Leg2 || StrategyName == StrategySetting.ChangePositionStrategyName)
{
LegVM leg;
if (portf.LegCount < 2)
{
leg = new LegVM();
portf.AddLeg(leg);
}
else
{
leg = portf.GetLeg(1);
}
leg.Symbol = Symbol2;
leg.Side = Side2;
leg.Ratio = Ratio2;
leg.IsPreferred = PreferLeg2;
}
portf.StrategySetting = StrategySetting.Create(StrategyName);
if (StrategyName == StrategySetting.ChangePositionStrategyName)
{
portf.AutoOpen = true;
portf.AutoStopGain = false;
portf.AutoStopLoss = false;
portf.EnablePrefer = true;
portf.AutoTracking = true;
ChangePositionSetting setting = (ChangePositionSetting)portf.StrategySetting;
setting.CloseLeg = Symbol1;
setting.CloseLegSide = Side1;
}
else if (StrategyName == StrategySetting.ScalperStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
ScalperSetting setting = (ScalperSetting)portf.StrategySetting;
setting.PriceTick = this.PriceTick;
setting.Threshold = this.Threshold;
}
}
}
public static PortfolioVM Load(AccountVM acct, XElement xmlElement)
{
PortfolioVM portf = new PortfolioVM(acct);
portf.IsLoading = true;
XAttribute attr = xmlElement.Attribute("id");
if (attr != null)
{
portf.Id = attr.Value;
}
attr = xmlElement.Attribute("quantity");
if (attr != null)
{
portf.Quantity = int.Parse(attr.Value);
}
attr = xmlElement.Attribute("currentPosition");
if (attr != null)
{
int currPos = int.Parse(attr.Value);
portf.Position = currPos;
portf.OpenTimes = currPos;
}
attr = xmlElement.Attribute("avgCost");
if (attr != null)
{
double avgCost = double.Parse(attr.Value);
portf.AvgCost = avgCost;
}
attr = xmlElement.Attribute("maxPosition");
if (attr != null)
{
portf.MaxPosition = int.Parse(attr.Value);
}
attr = xmlElement.Attribute("autoOpen");
if (attr != null)
{
portf.AutoOpen = attr.Value == bool.TrueString;
}
attr = xmlElement.Attribute("autoStopGain");
if (attr != null)
{
portf.AutoStopGain = attr.Value == bool.TrueString;
}
attr = xmlElement.Attribute("autoStopLoss");
if (attr != null)
{
portf.AutoStopLoss = attr.Value == bool.TrueString;
}
attr = xmlElement.Attribute("autoTracking");
if (attr != null)
{
portf.AutoTracking = attr.Value == bool.TrueString;
}
attr = xmlElement.Attribute("enablePrefer");
if (attr != null)
{
portf.EnablePrefer = attr.Value == bool.TrueString;
}
foreach (var legElem in xmlElement.Element("legs").Elements("leg"))
{
LegVM legVm = LegVM.Load(legElem);
portf.AddLeg(legVm);
}
XElement xmlSetting = xmlElement.Element("setting");
string strategyName = xmlSetting.Attribute("name").Value;
string strategyXmlText = xmlSetting.Value;
portf.StrategySetting = StrategySetting.Load(strategyName, strategyXmlText);
portf.IsLoading = false;
return(portf);
}
public void To(PortfolioVM portf)
{
portf.Quantity = this.Quantity;
portf.TotalOpenLimit = this.TotalOpenLimit;
portf.MaxCancel = this.MaxCancelVol;
portf.MaxOpenPerStart = this.MaxOpenPerStart;
portf.EndTimePointsExpr = this.EndTimePointsExpr;
if (Leg1)
{
LegVM leg;
if (portf.LegCount < 1)
{
leg = new LegVM();
portf.AddLeg(leg);
}
else
{
leg = portf.GetLeg(0);
}
leg.Symbol = Symbol1;
leg.Side = Side1;
leg.Ratio = Ratio1;
leg.SetIsPreferred(PreferLeg1);
}
if (Leg2 || StrategyName == StrategySetting.ChangePositionStrategyName)
{
LegVM leg;
if (portf.LegCount < 2)
{
leg = new LegVM();
portf.AddLeg(leg);
}
else
{
leg = portf.GetLeg(1);
}
leg.Symbol = Symbol2;
leg.Side = Side2;
leg.Ratio = Ratio2;
leg.IsPreferred = PreferLeg2;
}
portf.StrategySetting = StrategySetting.Create(StrategyName);
if (StrategyName == StrategySetting.ArbitrageStrategyName)
{
ArbitrageStrategySetting setting = (ArbitrageStrategySetting)portf.StrategySetting;
setting.BollPeriod = AR_BollPeriod;
setting.StdDevMultiplier = AR_StdDevMultiplier;
setting.TimeFrame = 60;
setting.FirstLegSymbol = Symbol1;
setting.SecondLegSymbol = Symbol2;
foreach (var l in portf.Legs)
{
l.MinPriceChange = PriceTick;
}
}
else if (StrategyName == StrategySetting.ChangePositionStrategyName)
{
portf.AutoOpen = true;
portf.AutoStopGain = false;
portf.AutoStopLoss = false;
portf.EnablePrefer = true;
portf.AutoTracking = true;
ChangePositionSetting setting = (ChangePositionSetting)portf.StrategySetting;
setting.CloseLeg = Symbol1;
setting.CloseLegSide = Side1;
}
else if (StrategyName == StrategySetting.ScalperStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
ScalperSetting setting = (ScalperSetting)portf.StrategySetting;
setting.PriceTick = this.PriceTick;
setting.Threshold = this.Threshold;
}
}
else if (StrategyName == StrategySetting.MACDHistSlopeStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
MACDHistSlopeStrategySetting setting = (MACDHistSlopeStrategySetting)portf.StrategySetting;
setting.Symbol = Symbol1;
setting.MACD_Short = 12;
setting.MACD_Long = 26;
setting.MACD_M = 9;
setting.FastPeriod = this.FastPeriod;
setting.SlowPeriod = this.SlowPeriod;
setting.FastStdDiff = this.FastStdDiff;
setting.SlowStdDiff = this.SlowStdDiff;
setting.FastAngleThreshold = 45;
setting.SlowAngleThreshold = 30;
setting.TrailingStopValue = this.TrailingStop;
}
}
else if (StrategyName == StrategySetting.WMATrendStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
WMATrendStrategySettings setting = (WMATrendStrategySettings)portf.StrategySetting;
setting.Symbol = Symbol1;
setting.Period = WT_Period;
setting.WMA_Param = WMA_Param;
setting.MA_N = MA_N;
//setting.TrailingStopValue = this.TrailingStop;
}
}
else if (StrategyName == StrategySetting.LinerRegressionStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
LinerRegStrategySettings setting = (LinerRegStrategySettings)portf.StrategySetting;
setting.Symbol = Symbol1;
setting.Period = LR_Period;
setting.Number = LR_Number;
setting.OpenThreshold = LR_OpenThreshold;
setting.CloseThreshold = LR_CloseThreshold;
}
}
else if (StrategyName == StrategySetting.ASCTrendStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
ASCTrendStrategySettings setting = (ASCTrendStrategySettings)portf.StrategySetting;
setting.Symbol = Symbol1;
setting.Period = AS_Period;
setting.Risk = AS_Risk;
setting.AvergatePeriod = AS_AveragePeriod;
setting.BreakoutLength = AS_BreakoutLength;
}
}
else if (StrategyName == StrategySetting.RangeTrendStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
RangeTrendStrategySettings setting = (RangeTrendStrategySettings)portf.StrategySetting;
setting.Symbol = Symbol1;
setting.Period = RT_TimeFrame;
setting.OpenPeriod = RT_OpenPeriod;
setting.ClosePeriod = RT_ClosePeriod;
setting.StopLossFactor = RT_StopLossFactor;
setting.TrendFactor = RT_TrendFactor;
}
}
else if (StrategyName == StrategySetting.ManualStrategyName)
{
if (!string.IsNullOrEmpty(Symbol1))
{
ManualStrategySetting setting = (ManualStrategySetting)portf.StrategySetting;
setting.RetryTimes = RetryTimes;
}
}
}
