public static void Go_run_sycle(bool With_indicators, bool Only_BUY, bool Only_SELL, bool interval_ECN_since_22_07_14)
{
string datastring = null;
string[] dataArray;
if (With_indicators == false) WorkClasses.base_file_name = "//Ticks_base.txt";
if (With_indicators == true) WorkClasses.base_file_name = "//Ticks_base_indicator.txt";
int BaseCount = 0;
StreamReader baseFile_0 = new StreamReader(WorkClasses.dir_str + WorkClasses.base_file_name);
for (int i = 0; ; i++)
{
datastring = baseFile_0.ReadLine();
if (baseFile_0.EndOfStream == true) break;
BaseCount++;
}
baseFile_0.Close();
int jj;
DateTime start_time1 = DateTime.Now;
StreamReader baseFile_1 = new StreamReader(WorkClasses.dir_str + WorkClasses.base_file_name);
datastring = baseFile_1.ReadLine();
if (interval_ECN_since_22_07_14 == true)
{
int left = 14390211;
BaseCount = BaseCount - left;
for (int j = 0; j < left; j++)
datastring = baseFile_1.ReadLine();
}
else
{
for (jj = 0; jj < BaseCount - 10400000; jj++)
{
datastring = baseFile_1.ReadLine();
}
BaseCount = BaseCount - jj - 10;
}
string[] CurTime = new string[BaseCount], Date_on_time = new string[BaseCount];
double[] timeStep = new double[BaseCount], Ask = new double[BaseCount], Bid = new double[BaseCount], AskIncrement = new double[BaseCount], BidIncrement = new double[BaseCount];
double[] StM5_733_0 = new double[BaseCount];
double[] StM5_733_1 = new double[BaseCount];
double[] StM5_733_2 = new double[BaseCount];
double[] StM5_733_3 = new double[BaseCount];
double[] StM5_733_4 = new double[BaseCount];
for (int i = 0; i < BaseCount; i++)
{
datastring = baseFile_1.ReadLine();
if (baseFile_1.EndOfStream == true) break;
dataArray = datastring.Split(' ');
Date_on_time[i] = dataArray[0];
CurTime[i] = dataArray[1];
timeStep[i] = Convert.ToDouble(dataArray[2]);
Ask[i] = Convert.ToDouble(dataArray[3]);
Bid[i] = Convert.ToDouble(dataArray[5]);
AskIncrement[i] = Convert.ToDouble(dataArray[4]);
BidIncrement[i] = Convert.ToDouble(dataArray[6]);
if (With_indicators)
{
StM5_733_0[i] = Convert.ToDouble(dataArray[7]);
if (i > 0)
{
StM5_733_4[i] = StM5_733_4[i - 1];
StM5_733_3[i] = StM5_733_3[i - 1];
StM5_733_2[i] = StM5_733_2[i - 1];
StM5_733_1[i] = StM5_733_1[i - 1];
if (StM5_733_1[i] != Convert.ToDouble(dataArray[8]))
{
StM5_733_4[i] = StM5_733_3[i - 1];
StM5_733_3[i] = StM5_733_2[i - 1];
StM5_733_2[i] = StM5_733_1[i - 1];
StM5_733_1[i] = Convert.ToDouble(dataArray[8]);
}
}
}
}
baseFile_1.Close();
DateTime start_end1 = DateTime.Now;
Console.WriteLine(" ");
Console.WriteLine((start_end1 - start_time1).ToString());
Console.WriteLine(" ");
double ticks_sum = 0, Last_MaxFALLbyOrder = 0;
StreamWriter ResultFile = new StreamWriter(WorkClasses.dir_str + "//_Agregate_by_Cycle.txt");
ResultFile.WriteLine("cnt_sell cnt_buy _out_sell _out_buy _in_sell _in_buy profit Add_Bal Add_BalDay MAX_FALL MAX_FALL_Day cnt_orders atitude_prcnt max_cnt_sell max_cnt_buy sth_low sth_max a BigMassCnt VolBMSELL_nega VolBMSELL_posi VolBMBUY_posi VolBMBUY_nega MAX_FALL_Round MNK MNM SELL_summ BUY_summ MaxCurProfitToClose_SELL MaxCurProfitToClose_BUY MaxCurStopLossToClose_SELL MaxCurStopLossToClose_BYU");
//Сначала сканируем без BigMass. Затем начинаем варьировать.
//лучше искать 1. по SELL, с найденным лучшим вариантом искать по 2.SELL+BUY. Затем можно воварьировать лучший найденный вариант
int min_count_sell = 10, max_count_sell = 11, incr_count_sell = 1;
int min_count_buy = 10, max_count_buy = 14, incr_count_buy = 1;
int min_slice_sell = 10000, max_slice_sell = 10001, incr_slice_sell = 1;
int min_slice_buy = 21, max_slice_buy = 31, incr_slice_buy = 3;
int min_t_in_sell = 10000, max_t_in_sell = 10001, incr_t_in_sell = 10;
int min_t_in_buy = 450, max_t_in_buy = 1051, incr_t_in_buy = 100;
int min_sth_low = 190, max_sth_low = 191, incr_sth_low = 20;
int min_sth_high = 860, max_sth_high = 861, incr_sth_high = 100;
int min_max_ticks_activ_cnt = 10000, max_max_ticks_activ_cnt = 10001, incr_max_ticks_activ_cnt = 2000;
int min_max_ticks_activ_cnt_buy = 0, max_max_ticks_activ_cnt_buy = 1, incr_max_ticks_activ_cnt_buy = 1000;
int min_BigMassCnt = 0, max_BigMassCnt = 1, incr_BigMassCnt = 2;
int min_VolBigMassSELL_negative = 0, max_VolBigMassSELL_negative = 1, incr_VolBigMassSELL_negative = 50;
int min_VolBigMassSELL_positive = 0, max_VolBigMassSELL_positive = 1, incr_VolBigMassSELL_positive = 50;
int min_VolBigMassBUY_positive = 0, max_VolBigMassBUY_positive = 1, incr_VolBigMassBUY_positive = 50;
int min_VolBigMassBUY_negative = 0, max_VolBigMassBUY_negative = 1, incr_VolBigMassBUY_negative = 50;
int min_MaxCurProfitToClose_BUY = 0, max_MaxCurProfitToClose_BUY = 501, incr_MaxCurProfitToClose_BUY = 100;
int min_MaxCurProfitToClose_SELL = 10000, max_MaxCurProfitToClose_SELL = 10001, incr_MaxCurProfitToClose_SELL = 25;
int min_MaxCurStopLossToClose_BUY = 0, max_MaxCurStopLossToClose_BUY = 501, incr_MaxCurStopLossToClose_BUY = 100;
int min_MaxCurStopLossToClose_SELL = 10000, max_MaxCurStopLossToClose_SELL = 10001, incr_MaxCurStopLossToClose_SELL = 150;
//flg_F_avg_6 = StrtStp.Start_and_Stop_FLG(TicksIn, TicksOut, 35, 0, flg_F_avg_6, 10, 0, 4.20, 0.0, 17E-5, 0E-5, 0, 0, 22, 82, "new", "new", 0, 250, 0, 0, 0, 0, 0); //(!)3334 18833 59525 -166 -96 39
//Ask_F_avg_3
for (int count_sell = min_count_sell; count_sell < max_count_sell; count_sell = count_sell + incr_count_sell)
{
for (int count_buy = min_count_buy; count_buy < max_count_buy; count_buy = count_buy + incr_count_buy)
{
for (int slice_sell = min_slice_sell; slice_sell < max_slice_sell; slice_sell = slice_sell + incr_slice_sell)
{
for (int slice_buy = min_slice_buy; slice_buy < max_slice_buy; slice_buy = slice_buy + incr_slice_buy)
{
for (int t_in_sell = min_t_in_sell; t_in_sell < max_t_in_sell; t_in_sell = t_in_sell + incr_t_in_sell)
{
for (int t_in_buy = min_t_in_buy; t_in_buy < max_t_in_buy; t_in_buy = t_in_buy + incr_t_in_buy)
{
for (int sth_low = min_sth_low; sth_low < max_sth_low; sth_low = sth_low + incr_sth_low)
{
for (int sth_high = min_sth_high; sth_high < max_sth_high; sth_high = sth_high + incr_sth_high)
{
for (int max_ticks_activ_cnt = min_max_ticks_activ_cnt; max_ticks_activ_cnt < max_max_ticks_activ_cnt; max_ticks_activ_cnt = max_ticks_activ_cnt + incr_max_ticks_activ_cnt)
{
//if (max_ticks_activ_cnt == 950)
// max_ticks_activ_cnt = 3350;
for (int max_ticks_activ_cnt_buy = min_max_ticks_activ_cnt_buy; max_ticks_activ_cnt_buy < max_max_ticks_activ_cnt_buy; max_ticks_activ_cnt_buy = max_ticks_activ_cnt_buy + incr_max_ticks_activ_cnt_buy)
{
for (int BigMassCnt = min_BigMassCnt; BigMassCnt < max_BigMassCnt; BigMassCnt = BigMassCnt + incr_BigMassCnt)
{
//---------------------
for (double VolBigMassSELL_negative = min_VolBigMassSELL_negative; VolBigMassSELL_negative < max_VolBigMassSELL_negative; VolBigMassSELL_negative = VolBigMassSELL_negative + incr_VolBigMassSELL_negative)
{
for (double VolBigMassSELL_positive = min_VolBigMassSELL_positive; VolBigMassSELL_positive < max_VolBigMassSELL_positive; VolBigMassSELL_positive = VolBigMassSELL_positive + incr_VolBigMassSELL_positive)//обычно заполняется нулем
{
for (double VolBigMassBUY_positive = min_VolBigMassBUY_positive; VolBigMassBUY_positive < max_VolBigMassBUY_positive; VolBigMassBUY_positive = VolBigMassBUY_positive + incr_VolBigMassBUY_positive)
{
for (double VolBigMassBUY_negative = min_VolBigMassBUY_negative; VolBigMassBUY_negative < max_VolBigMassBUY_negative; VolBigMassBUY_negative = VolBigMassBUY_negative + incr_VolBigMassBUY_negative)//обычно заполняется нулем
{
//---------------------
//double SellCustomSthCorrection = 0.0;
double SellCustomSthCorrection = 5.0;
double SELL_SPREAD = 25;
double BUY_SPREAD = 21;
for (int MaxCurProfitToClose_BUY = min_MaxCurProfitToClose_BUY; MaxCurProfitToClose_BUY < max_MaxCurProfitToClose_BUY; MaxCurProfitToClose_BUY = MaxCurProfitToClose_BUY + incr_MaxCurProfitToClose_BUY)
{
for (int MaxCurProfitToClose_SELL = min_MaxCurProfitToClose_SELL; MaxCurProfitToClose_SELL < max_MaxCurProfitToClose_SELL; MaxCurProfitToClose_SELL = MaxCurProfitToClose_SELL + incr_MaxCurProfitToClose_SELL)
{
for (int MaxCurStopLossToClose_BUY = min_MaxCurStopLossToClose_BUY; MaxCurStopLossToClose_BUY < max_MaxCurStopLossToClose_BUY; MaxCurStopLossToClose_BUY = MaxCurStopLossToClose_BUY + incr_MaxCurStopLossToClose_BUY)
{
for (int MaxCurStopLossToClose_SELL = min_MaxCurStopLossToClose_SELL; MaxCurStopLossToClose_SELL < max_MaxCurStopLossToClose_SELL; MaxCurStopLossToClose_SELL = MaxCurStopLossToClose_SELL + incr_MaxCurStopLossToClose_SELL)
{
DateTime start_time = DateTime.Now;
if (Last_MaxFALLbyOrder < -1500.0 || ticks_sum * 100000.0 < 500.0)
{
Last_MaxFALLbyOrder = 10000.0;
ticks_sum = 10000.0;
DateTime end_time1 = DateTime.Now;
Console.WriteLine("Skip iteration. " + (start_time - end_time1).ToString());
continue;
}
double t_divide_by = 100.0;
WorkClasses.Ticks_In TicksIn = new WorkClasses.Ticks_In();
WorkClasses.Ticks_Out TicksOut = new WorkClasses.Ticks_Out();
WorkClasses.Stat_Info StatInfo = new WorkClasses.Stat_Info();
TicksIn.flag_ByCycle = true;
TicksIn.SellCustomSthCorrection = SellCustomSthCorrection;
if (Only_BUY) TicksIn.Only_BUY_flg = true;
if (Only_SELL) TicksIn.Only_SELL_flg = true;
int dim = TicksIn.dim - 1;
for (int i = 0; i < dim + 1; i++) TicksIn.timeStep[i] = 1;
int flg_F_avg_6 = 0;
ticks_sum = 0;
double summ_dt_3;
double[] Last_N_profit = new double[20];
int count_for_Last_N_profit = 3, cnt_closed_orders = 0, cnt_negative_avg_Last_N_profit = 0;
int[] Counts_On_Close = new int[50000];
for (int i = 0; i < BaseCount; i++)
//for (int i = 4000000; i < BaseCount; i++)
{
TicksIn.Count = TicksIn.Count + 1;
TicksIn.CurTime = CurTime[i];
TicksIn.Date = Date_on_time[i];
for (int j = 0; j < dim; j++)
{
TicksIn.timeStep[j] = TicksIn.timeStep[j + 1];
TicksIn.Ask[j] = TicksIn.Ask[j + 1];
TicksIn.AskIncrement[j] = TicksIn.AskIncrement[j + 1];
TicksIn.Spread[j] = TicksIn.Spread[j + 1];
//TicksOut.AskSpeed[j] = TicksOut.AskSpeed[j + 1];
TicksOut.Ask_F_avg_6[j] = TicksOut.Ask_F_avg_6[j + 1];
}
TicksIn.timeStep[dim] = timeStep[i];
TicksIn.Ask[dim] = Ask[i];
TicksIn.Bid[dim] = Bid[i];
TicksIn.AskIncrement[dim] = AskIncrement[i];
TicksIn.Spread[dim] = Math.Abs(TicksIn.Ask[dim] - TicksIn.Bid[dim]) * 100000.0;
if (With_indicators == true)
{
TicksIn.StM5_733_0 = StM5_733_0[i];
TicksIn.StM5_733_1 = StM5_733_1[i];
TicksIn.StM5_733_2 = StM5_733_2[i];
TicksIn.StM5_733_3 = StM5_733_3[i];
TicksIn.StM5_733_4 = StM5_733_4[i];
TicksIn.Stohastic_Param = TicksIn.StM5_733_3;
}
//Вычисление индикаторов//
summ_dt_3 = TicksIn.timeStep[dim] + TicksIn.timeStep[dim - 1] + TicksIn.timeStep[dim - 2];
TicksOut.AskSpeed[dim] = TicksIn.AskIncrement[dim] / TicksIn.timeStep[dim];
TicksOut.Ask_F_avg_3[dim] = (TicksIn.AskIncrement[dim] + TicksIn.AskIncrement[dim - 1] + TicksIn.AskIncrement[dim - 2]) / Math.Pow(summ_dt_3, 2) * 100000.0;
TicksOut.Ask_F_avg_6[dim] = (TicksIn.AskIncrement[dim] + TicksIn.AskIncrement[dim - 1] + TicksIn.AskIncrement[dim - 2] + TicksIn.AskIncrement[dim - 3] + TicksIn.AskIncrement[dim - 4]
+ TicksIn.AskIncrement[dim - 5]) / Math.Pow(summ_dt_3 + TicksIn.timeStep[dim - 3] + TicksIn.timeStep[dim - 4] + TicksIn.timeStep[dim - 5], 2) * 100000.0;
//Пропускаем мимо ситуации, когда ордер открыт в момент ГЭПа по времени.
if (WorkClasses.gaps_str.Contains(" " + Convert.ToString(TicksIn.Count) + " "))
{
if (Math.Abs(flg_F_avg_6) == 1)
{
flg_F_avg_6 = 0;
TicksOut.ticks_activ_cnt = 0;
for (int j = 0; j < dim + 1; j++)
{
TicksOut.Ask_F_avg_3[j] = 0;
//TicksOut.Ask_F_avg_4[j] = 0;
//TicksOut.Ask_F_avg_5[j] = 0;
TicksOut.Ask_F_avg_6[j] = 0;
//TicksOut.Ask_F_avg_8[j] = 0;
}
}
}
//----------------------
//------------//
//------------//
if (count_sell > TicksIn.dim) break;
if (flg_F_avg_6 == 1)
{
TicksOut.local_Open_vs_Cur = TicksIn.Bid[dim] - TicksOut.OpenASK;
if (StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] < TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
TicksOut.ticks_activ_cnt++;
if (TicksOut.ticks_activ_cnt == 1)
{
StatInfo.AskIncremBigMassSummNegative[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Negative;
StatInfo.AskIncremBigMassSummPositive[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Positive;
}
}
else if (flg_F_avg_6 == -1)
{
TicksOut.local_Open_vs_Cur = TicksOut.OpenBID - TicksIn.Ask[dim];
if (StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] < TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
TicksOut.ticks_activ_cnt++;
if (TicksOut.ticks_activ_cnt == 1)
{
StatInfo.AskIncremBigMassSummNegative[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Negative;
StatInfo.AskIncremBigMassSummPositive[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Positive;
}
}
else if (flg_F_avg_6 == 0)
{
TicksOut.local_Open_vs_Cur = 0;
}
flg_F_avg_6 = StrtStp.Start_and_Stop_FLG(TicksIn, TicksOut, SELL_SPREAD, BUY_SPREAD, flg_F_avg_6, count_sell, count_buy, t_in_sell / t_divide_by, t_in_buy / t_divide_by,
slice_sell / 100000.0, slice_buy / 100000.0, max_ticks_activ_cnt, max_ticks_activ_cnt_buy, sth_low / 10.0, sth_high / 10.0, "new", "new",
MaxCurProfitToClose_BUY, MaxCurProfitToClose_SELL, -MaxCurStopLossToClose_BUY, -MaxCurStopLossToClose_SELL,
VolBigMassSELL_negative, VolBigMassSELL_positive, VolBigMassBUY_positive, VolBigMassBUY_negative, BigMassCnt);
if (Math.Abs(flg_F_avg_6) == 1 && TicksOut.ticks_activ_cnt == 0)
StatInfo.StartSpread[cnt_closed_orders] = TicksIn.Spread[dim];
count_for_Last_N_profit = 3;
if (Math.Abs(flg_F_avg_6) == 2)
{
if (flg_F_avg_6 == 2)
TicksOut.local_Open_vs_Cur = TicksIn.Bid[dim] - TicksOut.OpenASK;
if (flg_F_avg_6 == -2)
TicksOut.local_Open_vs_Cur = TicksOut.OpenBID - TicksIn.Ask[dim];
ticks_sum = ticks_sum + TicksOut.local_Open_vs_Cur;
TicksOut.Ticks_Sum_on_time[cnt_closed_orders] = ticks_sum * 100000; //Присваиваем текущее значение профита для последующего МНК
TicksOut.Date_on_time[cnt_closed_orders] = TicksIn.Date;
TicksOut.Cur_Order_Profit[cnt_closed_orders] = (TicksOut.local_Open_vs_Cur) * 100000;
TicksOut.flg_F_avg_6[cnt_closed_orders] = flg_F_avg_6;
Counts_On_Close[cnt_closed_orders] = TicksIn.Count;
if (StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] < TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
for (int j = 0; j < count_for_Last_N_profit - 1; j++)
Last_N_profit[j] = Last_N_profit[j + 1];
Last_N_profit[count_for_Last_N_profit - 1] = (TicksOut.local_Open_vs_Cur) * 100000;
double avg_Last_N_profit = 0.0;
for (int j = 0; j < count_for_Last_N_profit; j++) avg_Last_N_profit += Last_N_profit[j];
avg_Last_N_profit = avg_Last_N_profit / count_for_Last_N_profit;
if (cnt_closed_orders < count_for_Last_N_profit) avg_Last_N_profit = 0;
if (avg_Last_N_profit < 0.0) cnt_negative_avg_Last_N_profit++;
cnt_closed_orders++;
}
if (flg_F_avg_6 == -2 || flg_F_avg_6 == 2)
{
flg_F_avg_6 = 0;
TicksOut.ticks_activ_cnt = 0;
}
}
DateTime end_time_mid = DateTime.Now;
if (cnt_closed_orders == 0) continue;
double atitude_pecents = Convert.ToDouble(cnt_negative_avg_Last_N_profit) / (cnt_closed_orders + 1) * 100.0;
if (cnt_closed_orders > 1000)
{
Console.WriteLine("cnt_closed_orders > 1000");
continue;
}
int cnt_of_start_last_date = 0;
double[] Cur_Day_Profit = new double[cnt_closed_orders], Ticks_Sum_on_Day = new double[cnt_closed_orders];
for (int i = 0; i < cnt_closed_orders; i++)
{
if (TicksOut.Date_on_time[i] == TicksOut.Date_on_time[cnt_closed_orders - 1])
{
cnt_of_start_last_date = i;
break;
}
}
for (int i = 0; i <= cnt_of_start_last_date; i++)
{
string temp_date = TicksOut.Date_on_time[i];
Cur_Day_Profit[i] = TicksOut.Cur_Order_Profit[i];
if (i == 0) Ticks_Sum_on_Day[i] = TicksOut.Cur_Order_Profit[i];
else Ticks_Sum_on_Day[i] = Ticks_Sum_on_Day[i - 1] + TicksOut.Cur_Order_Profit[i];
for (int j = i + 1; j < cnt_closed_orders; j++)
{
if (TicksOut.Date_on_time[j] != temp_date)
{
for (int t = j - 1; t > i; t--) { Cur_Day_Profit[t] = Cur_Day_Profit[i]; Ticks_Sum_on_Day[t] = Ticks_Sum_on_Day[i]; }
i = j - 1; break;
}
Cur_Day_Profit[i] += TicksOut.Cur_Order_Profit[j];
Ticks_Sum_on_Day[i] += TicksOut.Cur_Order_Profit[j];
}
if (i == cnt_of_start_last_date && cnt_of_start_last_date != (cnt_closed_orders - 1))
{
for (int j = cnt_of_start_last_date + 1; j < cnt_closed_orders; j++)
{
Ticks_Sum_on_Day[j] = Ticks_Sum_on_Day[cnt_of_start_last_date];
}
}
}
//---Аппроксимируем прямой---
double[] residuals = new double[cnt_closed_orders];
double s_xy = 0.0, s_x = 0.0, s_y = 0.0, s_x2 = 0.0;
for (int i = 0; i < cnt_closed_orders; i++)
{
s_x += i + 1;
s_y += TicksOut.Ticks_Sum_on_time[i];
s_xy += TicksOut.Ticks_Sum_on_time[i] * (i + 1);
s_x2 += (i + 1) * (i + 1);
}
double a = (cnt_closed_orders * s_xy - s_x * s_y) / (cnt_closed_orders * s_x2 - s_x * s_x);
double b = (s_y - a * s_x) / (cnt_closed_orders);
double SELL_summ_slice = 0.0, BUY_summ_slice = 0.0;
double[] Max_FALL = new double[cnt_closed_orders * cnt_closed_orders], Max_FALL_byDay = new double[cnt_closed_orders * cnt_closed_orders];
for (int i = 0; i < cnt_closed_orders; i++)
{
StatInfo.residual_avg_MNK += Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)));
StatInfo.residual_avg_MNM += Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)) * Math.Cos(Math.Atan(a)));
if (TicksOut.flg_F_avg_6[i] == -2)
StatInfo.SELL_summ_slice += TicksOut.Cur_Order_Profit[i];
if (TicksOut.flg_F_avg_6[i] == 2)
StatInfo.BUY_summ_slice += TicksOut.Cur_Order_Profit[i];
for (int j = 0; j < i; j++)
{
Max_FALL[i * i + j] = TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - j - 1];
Max_FALL_byDay[i * i + j] = Ticks_Sum_on_Day[i] - Ticks_Sum_on_Day[i - j - 1];
}
}
StatInfo.MaxFALLbyOrder = Max_FALL.Min();
if (StatInfo.MaxFALLbyOrder > -0.1) StatInfo.MaxFALLbyOrder = 1;
StatInfo.MaxFALLbyDay = Max_FALL_byDay.Min();
if (StatInfo.MaxFALLbyDay > -0.1) StatInfo.MaxFALLbyDay = 1;
StatInfo.residual_avg_MNK = StatInfo.residual_avg_MNK / cnt_closed_orders;
StatInfo.residual_avg_MNM = StatInfo.residual_avg_MNM / cnt_closed_orders;
//StreamWriter helpFile = new StreamWriter(WorkClasses.dir_str + "////help_out.txt");
//Смотрим, сколько было бы "+" прибыли, если бы выставили как 10% от баланса по макс.падению
double Balance = 3000.0, Balance_Day = 3000.0;
for (int i = 0; i < cnt_closed_orders; i++)
{
residuals[i] = Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)));
if (i != 0) Balance_Day = Balance_Day + (TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - 1]) * Math.Min((0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay), 100.0);
else Balance_Day = Balance_Day + (TicksOut.Ticks_Sum_on_time[i]) * (0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay);
if (i != 0) Balance = Balance + (TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - 1]) * Math.Min((0.10 * Balance) / Math.Abs(StatInfo.MaxFALLbyOrder), 100.0);
else Balance = Balance + (TicksOut.Ticks_Sum_on_time[i]) * (0.10 * Balance) / Math.Abs(StatInfo.MaxFALLbyOrder);
// helpFile.WriteLine((Counts_On_Close[i]).ToString() + " " + TicksOut.Date_on_time[i] + " " + TicksOut.flg_F_avg_6[i].ToString() + " " + TicksOut.Cur_Order_Profit[i].ToString() + " " + StatInfo.MaxLocalProfitInOrder[i].ToString() + " " + TicksOut.Ticks_Sum_on_time[i].ToString()
//+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(Balance_Day).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0]
//+ " " + cnt_closed_orders.ToString() + " " + (a * (i + 1) + b).ToString() + " " + residuals[i] + " " + a.ToString() + " " + StatInfo.residual_avg_MNK.ToString() + " " + StatInfo.residual_avg_MNM.ToString()
//+ " " + StatInfo.SELL_summ_slice.ToString() + " " + StatInfo.BUY_summ_slice.ToString()
//+ " " + (Math.Round(StatInfo.MaxFALLbyOrder / 1000.0, 1) * 1000.0).ToString());
}
//helpFile.Close();
//-------------------------
DateTime end_time = DateTime.Now;
Console.WriteLine((count_sell).ToString() + " " + (slice_sell / 100000.0).ToString() + " " + (slice_buy / 100000.0).ToString()
+ " " + (t_in_sell / t_divide_by).ToString() + " " + (t_in_buy / t_divide_by).ToString()
+ " " + max_ticks_activ_cnt.ToString() + " " + max_ticks_activ_cnt_buy.ToString()
+ " " + atitude_pecents.ToString()
+ " " + (start_time - end_time).ToString()
+ " " + (start_time - end_time_mid).ToString());
//if (ticks_sum * 100000.0 > 100.0 && a > 5.0 && Max_FALL1 > -500.0 && atitude_pecents < 55.0
if (ticks_sum * 100000.0 > 10.0 && a > 0.0
&& cnt_closed_orders > 10 && StatInfo.MaxFALLbyOrder > -3000.0
// //&& atitude_pecents < 55.0 && StatInfo.residual_avg_MNK < 1000.0
// //&& (Balance - 3000.0) > 1000.0
)
{
ResultFile.WriteLine((count_sell).ToString() + " " + (count_buy).ToString() + " " + slice_sell.ToString() + " " + slice_buy.ToString() + " " + (t_in_sell / t_divide_by).ToString()
+ " " + (t_in_buy / t_divide_by).ToString() + " " + (ticks_sum * 100000.0).ToString()
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(Balance_Day).Split('.')[0]
+ " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0] + " " + cnt_closed_orders.ToString() + " " + (atitude_pecents).ToString()
+ " " + max_ticks_activ_cnt.ToString() + " " + max_ticks_activ_cnt_buy.ToString()
+ " " + (sth_low / 10.0).ToString() + " " + (sth_high / 10.0).ToString() + " " + a.ToString()
+ " " + BigMassCnt + " " + VolBigMassSELL_negative + " " + VolBigMassSELL_positive + " " + VolBigMassBUY_positive + " " + VolBigMassBUY_negative
+ " " + (Math.Round(StatInfo.MaxFALLbyOrder / 1000.0, 1) * 1000.0).ToString()
+ " " + StatInfo.residual_avg_MNK.ToString() + " " + StatInfo.residual_avg_MNM.ToString()
+ " " + StatInfo.SELL_summ_slice.ToString() + " " + StatInfo.BUY_summ_slice.ToString()
+ " " + MaxCurProfitToClose_SELL.ToString() + " " + MaxCurProfitToClose_BUY.ToString()
+ " " + MaxCurStopLossToClose_SELL.ToString() + " " + MaxCurStopLossToClose_BUY.ToString()
);
}
Last_MaxFALLbyOrder = StatInfo.MaxFALLbyOrder;
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
ResultFile.Close();
}
private void StartAnalyse_Click(object sender, EventArgs e)
{
string datastring = null;
if (With_indicators.Checked == false) WorkClasses.base_file_name = "//Ticks_base.txt";
if (With_indicators.Checked == true)
{
WorkClasses.base_file_name = "//Ticks_base_indicator.txt";
if (this.UseShortFile.Checked == true)
WorkClasses.base_file_name = "//Ticks_base_indicator_Short.txt";
//if (Ind_Local_file.Checked == true)
// WorkClasses.base_file_name = "//Ticks_base_ind_local.txt";
}
StreamWriter temp_help = new StreamWriter(WorkClasses.dir_str + "//_temp_help.txt");
StreamReader baseFile = new StreamReader(WorkClasses.dir_str + WorkClasses.base_file_name);
StreamWriter OutFile = new StreamWriter(WorkClasses.dir_str + "//_Ticks_all_processed.txt");
StreamWriter ResultFile = new StreamWriter(WorkClasses.dir_str + "//_Agregate_by_Ind.txt");
StreamWriter DetailResultFile = new StreamWriter(WorkClasses.dir_str + "//_Agregate_Detail_by_Ind.txt");
//StreamReader stream = new StreamReader("D://Ticks//archive//_Bases//2013.11.01_Ticks_base.txt");
//StreamReader stream = new StreamReader("D://Ticks//_Agregate_by_Cycle.txt");
//string allstr = baseFile.ReadToEnd();
//string[] ArrayOfAllString = allstr.Split('\n');
//allstr.Remove(0);
DetailResultFile.WriteLine("count Date CurTime AskIncrement flg_F_avg_6 Bid Ask ticks_activ_cnt ticks_active_time profit_step AskSpeed Ask_V_3 Ask_V_6 Ask_V_avg_3 Ask_V_avg_6 Ask_F_avg_3 Ask_F_avg_6");
StreamWriter helpFile = new StreamWriter(WorkClasses.dir_str + "//_help_out.txt");
StreamWriter helpFile_byDays = new StreamWriter(WorkClasses.dir_str + "//_help_out_by_days.txt");
StreamWriter helpFile_byMonth = new StreamWriter(WorkClasses.dir_str + "//_help_out_by_month.txt");
WorkClasses.Ticks_In TicksIn = new WorkClasses.Ticks_In();
WorkClasses.Ticks_Out TicksOut = new WorkClasses.Ticks_Out();
WorkClasses.Stat_Info StatInfo = new WorkClasses.Stat_Info();
if (this.Only_BUY.Checked) TicksIn.Only_BUY_flg = true;
if (this.Only_SELL.Checked) TicksIn.Only_SELL_flg = true;
if (this.With_indicators.Checked) TicksIn.With_indicators = true;
int dim = TicksIn.dim - 1;
for (int i = 0; i < dim+1; i++) TicksIn.timeStep[i] = 1;
int flg_F_avg_6 = 0;
double ticks_sum = 0;
int cnt_closed_orders = 0, cnt_negative_avg_Last_N_profit = 0;
int[] Counts_On_Close = new int[50000], Counts_On_Open = new int[50000];
double ticks_active_time = 0.0;
string order_open_time = "";
double[] Last_N_profit = new double[20];
datastring = baseFile.ReadLine();
OutFile.WriteLine("Count CurTime TimeInc Ask Bid AskIncrement flg_F ticks_activ_cnt ticks_active_time Bid-OpenASK OpenBID-Bid AskSpeed Ask_F_avg_3 Ask_F_avg_6 StM5_733_0 StM5_733_1 StM5_733_2 StM5_733_3");
helpFile.WriteLine("OpenN CloseN Cur_Date flag_F MinLocal MaxLocal OpenSpread CloseSpread CurPointProfit AbsPointProfit Balance BalanceDay MaxFall MaxFallDay CntClosed BigMassNega BigMassPosi AskSpeed Ask_F_avg_3");
DateTime start_time = DateTime.Now;
double summ_dt_3;
for (int i = 0; ; i++)
{
if (baseFile.EndOfStream == true || i >= BaseCount) break;
if (this.only_full_part.Checked == true && i == 0)
{
for (int j = 0; j < BaseCountToSkip; j++)
{
datastring = baseFile.ReadLine();
TicksIn.Count = TicksIn.Count + 1;
i++;
}
}
//datastring = baseFile.ReadLine();
////TicksIn.dataArray = datastring.Split(new Char[] {' '}, 10);
//TicksIn.dataArray = datastring.Split(' ');
TicksIn.Count = TicksIn.Count + 1;
//TicksIn.Date = TicksIn.dataArray[0];
//TicksIn.CurTime = TicksIn.dataArray[1];
TicksIn.CurTime = CurTime[i];
TicksIn.Date = Date_on_time[i];
for (int j = 0; j < dim; j++)
{
TicksIn.timeStep[j] = TicksIn.timeStep[j + 1];
TicksIn.Ask[j] = TicksIn.Ask[j + 1];
TicksIn.Bid[j] = TicksIn.Bid[j + 1];
TicksIn.AskIncrement[j] = TicksIn.AskIncrement[j + 1];
TicksIn.BidIncrement[j] = TicksIn.BidIncrement[j + 1];
TicksIn.Spread[j] = TicksIn.Spread[j + 1];
TicksOut.AskSpeed[j] = TicksOut.AskSpeed[j + 1];
TicksOut.Ask_F_avg_6[j] = TicksOut.Ask_F_avg_6[j + 1];
}
//TicksIn.timeStep[dim] = Convert.ToDouble(TicksIn.dataArray[2]);
//TicksIn.Ask[dim] = Convert.ToDouble(TicksIn.dataArray[3]);
//TicksIn.Bid[dim] = Convert.ToDouble(TicksIn.dataArray[5]);
//TicksIn.AskIncrement[dim] = Convert.ToDouble(TicksIn.dataArray[4]);
//TicksIn.BidIncrement[dim] = Convert.ToDouble(TicksIn.dataArray[6]);
//TicksIn.Spread[dim] = Math.Abs(TicksIn.Ask[dim] - TicksIn.Bid[dim]) * 100000.0;
TicksIn.timeStep[dim] = timeStep[i];
TicksIn.Ask[dim] = Ask[i];
TicksIn.Bid[dim] = Bid[i];
TicksIn.AskIncrement[dim] = AskIncrement[i];
TicksIn.BidIncrement[dim] = BidIncrement[i];
TicksIn.Spread[dim] = Math.Abs(TicksIn.Ask[dim] - TicksIn.Bid[dim]) * 100000.0;
if (With_indicators.Checked == true)
{
//for (int j = TicksIn.StM1_733_0.Length - 1; j > 0; j--)
//{
// TicksIn.StM1_733_0[j] = TicksIn.StM1_733_0[j - 1];
//}
//TicksIn.StM1_733_0[0] = Convert.ToDouble(TicksIn.dataArray[11]);
//TicksIn.StM5_733_0 = Convert.ToDouble(TicksIn.dataArray[7]);
//TicksIn.StM5_532_0 = Convert.ToDouble(TicksIn.dataArray[9]);
//TicksIn.DifOpenClose_0 = Convert.ToInt32(TicksIn.dataArray[13]);
//TicksIn.StdDevM5_40_0 = Convert.ToDouble(TicksIn.dataArray[15]);
//if (TicksIn.StM1_733_1 != Convert.ToDouble(TicksIn.dataArray[12]))
//{
// TicksIn.StM1_733_4 = TicksIn.StM1_733_3;
// TicksIn.StM1_733_3 = TicksIn.StM1_733_2;
// TicksIn.StM1_733_2 = TicksIn.StM1_733_1;
// TicksIn.StM1_733_1 = Convert.ToDouble(TicksIn.dataArray[12]);
//}
//if (TicksIn.StM5_733_1 != Convert.ToDouble(TicksIn.dataArray[8]))
//{
// TicksIn.StM5_733_4 = TicksIn.StM5_733_3;
// TicksIn.StM5_733_3 = TicksIn.StM5_733_2;
// TicksIn.StM5_733_2 = TicksIn.StM5_733_1;
// TicksIn.StM5_733_1 = Convert.ToDouble(TicksIn.dataArray[8]);
// TicksIn.StM5_532_4 = TicksIn.StM5_532_3;
// TicksIn.StM5_532_3 = TicksIn.StM5_532_2;
// TicksIn.StM5_532_2 = TicksIn.StM5_532_1;
// TicksIn.StM5_532_1 = Convert.ToDouble(TicksIn.dataArray[10]);
// TicksIn.DifOpenClose_4 = TicksIn.DifOpenClose_3;
// TicksIn.DifOpenClose_3 = TicksIn.DifOpenClose_2;
// TicksIn.DifOpenClose_2 = TicksIn.DifOpenClose_1;
// TicksIn.DifOpenClose_1 = Convert.ToInt32(TicksIn.dataArray[14]);
// TicksIn.StdDevM5_40_4 = TicksIn.StdDevM5_40_3;
// TicksIn.StdDevM5_40_3 = TicksIn.StdDevM5_40_2;
// TicksIn.StdDevM5_40_2 = TicksIn.StdDevM5_40_1;
// TicksIn.StdDevM5_40_1 = Convert.ToDouble(TicksIn.dataArray[16]);
// TicksIn.iBullsM5_7_4 = TicksIn.iBullsM5_7_3;
// TicksIn.iBullsM5_7_3 = TicksIn.iBullsM5_7_2;
// TicksIn.iBullsM5_7_2 = TicksIn.iBullsM5_7_1;
// TicksIn.iBullsM5_7_1 = Convert.ToDouble(TicksIn.dataArray[17]);
// TicksIn.iBearM5_7_4 = TicksIn.iBearM5_7_3;
// TicksIn.iBearM5_7_3 = TicksIn.iBearM5_7_2;
// TicksIn.iBearM5_7_2 = TicksIn.iBearM5_7_1;
// TicksIn.iBearM5_7_1 = Convert.ToDouble(TicksIn.dataArray[18]);
//}
TicksIn.StM5_733_0 = StM5_733_0[i];
TicksIn.StM5_733_1 = StM5_733_1[i];
TicksIn.StM5_733_2 = StM5_733_2[i];
TicksIn.StM5_733_3 = StM5_733_3[i];
TicksIn.StM5_733_4 = StM5_733_4[i];
TicksIn.Stohastic_Param = TicksIn.StM5_733_3;
}
//Вычисление индикаторов//
summ_dt_3 = TicksIn.timeStep[dim] + TicksIn.timeStep[dim - 1] + TicksIn.timeStep[dim - 2];
TicksOut.AskSpeed[dim] = TicksIn.AskIncrement[dim] / TicksIn.timeStep[dim];
TicksOut.Ask_F_avg_3[dim] = (TicksIn.AskIncrement[dim] + TicksIn.AskIncrement[dim - 1] + TicksIn.AskIncrement[dim - 2]) / Math.Pow(summ_dt_3, 2) * 100000.0;
TicksOut.Ask_F_avg_6[dim] = (TicksIn.AskIncrement[dim] + TicksIn.AskIncrement[dim - 1] + TicksIn.AskIncrement[dim - 2] + TicksIn.AskIncrement[dim - 3] + TicksIn.AskIncrement[dim - 4]
+ TicksIn.AskIncrement[dim - 5]) / Math.Pow(summ_dt_3 + TicksIn.timeStep[dim - 3] + TicksIn.timeStep[dim - 4] + TicksIn.timeStep[dim - 5], 2) * 100000.0;
//Пропускаем мимо ситуации, когда ордер открыт в момент ГЭПа по времени.
if (WorkClasses.gaps_str.Contains(" " + Convert.ToString(TicksIn.Count) + " "))
{
if (Math.Abs(flg_F_avg_6) == 1)
{
flg_F_avg_6 = 0;
TicksOut.ticks_activ_cnt = 0;
ticks_active_time = 0.0;
for (int j = 0; j < dim+1; j++)
{
TicksOut.Ask_F_avg_3[j] = 0;
TicksOut.Ask_F_avg_4[j] = 0;
TicksOut.Ask_F_avg_5[j] = 0;
TicksOut.Ask_F_avg_6[j] = 0;
TicksOut.Ask_F_avg_7[j] = 0;
TicksOut.Ask_F_avg_8[j] = 0;
}
}
}
//-------------------
if (TicksIn.Count == 8990286)
TicksIn.Count = TicksIn.Count;
if (Math.Abs(flg_F_avg_6) == 1)
{
if (flg_F_avg_6 == 1)
TicksOut.local_Open_vs_Cur = TicksIn.Bid[dim] - TicksOut.OpenASK;
if (flg_F_avg_6 == -1)
TicksOut.local_Open_vs_Cur = TicksOut.OpenBID - TicksIn.Ask[dim];
if (StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] < TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
if (StatInfo.MinLocalProfitInOrder[cnt_closed_orders] > TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MinLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
TicksOut.ticks_activ_cnt++;
ticks_active_time = ticks_active_time + TicksIn.timeStep[dim];
if (TicksOut.ticks_activ_cnt == 1)
{
StatInfo.AskIncremBigMassSummNegative[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Negative;
StatInfo.AskIncremBigMassSummPositive[cnt_closed_orders] = TicksIn.AskIncremBigMassSumm_Positive;
}
}
else if (flg_F_avg_6 == 0)
{
order_open_time = TicksIn.CurTime;
TicksOut.local_Open_vs_Cur = 0;
}
if (Math.Abs(TicksIn.Ask[dim] - TicksIn.Bid[dim]) * 100000.0 < 4.0)
//temp_help.WriteLine(TicksIn.Count + " " + TicksIn.Date + " " + TicksIn.CurTime + " " + (TicksIn.Ask[dim] - TicksIn.Bid[dim]).ToString());
temp_help.WriteLine(datastring);
/*--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------*/
flg_F_avg_6 = ParamVariants.ChouseTheSet(flg_F_avg_6, TicksIn, TicksOut, BaseCountToSkip, this.only_full_part.Checked);
/*--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------*/
if (Math.Abs(flg_F_avg_6) == 1 && TicksOut.ticks_activ_cnt == 0)
{
Counts_On_Open[cnt_closed_orders] = TicksIn.Count;
StatInfo.StartSpread[cnt_closed_orders] = TicksIn.Spread[dim];
if (flg_F_avg_6 < 0) StatInfo.AskSpeedOpen[cnt_closed_orders] = -TicksOut.AskSpeed[TicksIn.dim - 1] * 100000.0;
else StatInfo.AskSpeedOpen[cnt_closed_orders] = TicksOut.AskSpeed[TicksIn.dim - 1] * 100000.0;
if (flg_F_avg_6 < 0) StatInfo.Ask_F_avg_3_Open[cnt_closed_orders] = -TicksOut.Ask_F_avg_3[TicksIn.dim - 1];
else StatInfo.Ask_F_avg_3_Open[cnt_closed_orders] = TicksOut.Ask_F_avg_3[TicksIn.dim - 1];
}
int count_for_Last_N_profit = 3;
if (Math.Abs(flg_F_avg_6) == 2)
{
if (flg_F_avg_6 == 2)
TicksOut.local_Open_vs_Cur = TicksIn.Bid[dim] - TicksOut.OpenASK;
if (flg_F_avg_6 == -2)
TicksOut.local_Open_vs_Cur = TicksOut.OpenBID - TicksIn.Ask[dim];
if (false)
TicksOut.local_Open_vs_Cur = TicksOut.local_Open_vs_Cur - 0.00010;
ticks_sum = ticks_sum + TicksOut.local_Open_vs_Cur;
TicksOut.Ticks_Sum_on_time[cnt_closed_orders] = ticks_sum * 100000; //Присваиваем текущее значение профита для последующего МНК
TicksOut.Date_on_time[cnt_closed_orders] = TicksIn.Date;
TicksOut.Cur_Order_Profit[cnt_closed_orders] = (TicksOut.local_Open_vs_Cur) * 100000;
TicksOut.flg_F_avg_6[cnt_closed_orders] = flg_F_avg_6;
Counts_On_Close[cnt_closed_orders] = TicksIn.Count;
StatInfo.CloseSpread[cnt_closed_orders] = TicksIn.Spread[dim];
if (StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] < TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MaxLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
if (StatInfo.MinLocalProfitInOrder[cnt_closed_orders] > TicksOut.local_Open_vs_Cur * 100000)
StatInfo.MinLocalProfitInOrder[cnt_closed_orders] = TicksOut.local_Open_vs_Cur * 100000;
for (int j = 0; j < count_for_Last_N_profit - 1; j++)
Last_N_profit[j] = Last_N_profit[j + 1];
Last_N_profit[count_for_Last_N_profit - 1] = (TicksOut.local_Open_vs_Cur) * 100000;
double avg_Last_N_profit = 0.0;
for (int j = 0; j < count_for_Last_N_profit; j++) avg_Last_N_profit += Last_N_profit[j];
avg_Last_N_profit = avg_Last_N_profit / count_for_Last_N_profit;
if (cnt_closed_orders < count_for_Last_N_profit) avg_Last_N_profit = 0;
if (avg_Last_N_profit < 0.0) cnt_negative_avg_Last_N_profit++;
cnt_closed_orders++;
if (flg_F_avg_6 == 2)
ResultFile.WriteLine(TicksIn.Count.ToString() + " " + TicksIn.Date + " " + flg_F_avg_6.ToString() + " " + TicksIn.Bid[dim].ToString() + " " + TicksOut.OpenASK.ToString()
+ " " + TicksOut.ticks_activ_cnt.ToString() + " " + ticks_active_time.ToString() + " " + order_open_time + " " + (TicksOut.local_Open_vs_Cur * 100000).ToString()
+ " " + (ticks_sum * 100000).ToString() + " " + avg_Last_N_profit.ToString());
if (flg_F_avg_6 == -2)
ResultFile.WriteLine(TicksIn.Count.ToString() + " " + TicksIn.Date + " " + flg_F_avg_6.ToString() + " " + TicksOut.OpenBID.ToString() + " " + TicksIn.Ask[dim].ToString()
+ " " + TicksOut.ticks_activ_cnt.ToString() + " " + ticks_active_time.ToString() + " " + order_open_time + " " + (TicksOut.local_Open_vs_Cur * 100000).ToString()
+ " " + (ticks_sum * 100000).ToString() + " " + avg_Last_N_profit.ToString());
}
if ((TicksIn.Count > 10373200 && TicksIn.Count <= 10373383))
{
OutFile.WriteLine(TicksIn.Count + " " + TicksIn.CurTime + " " + TicksIn.timeStep[dim] + " " + TicksIn.Ask[dim] + " " + TicksIn.Bid[dim] + " " + (TicksIn.AskIncrement[dim] * 100000)
+ " " + flg_F_avg_6 + " " + TicksOut.ticks_activ_cnt + " " + ticks_active_time
+ " " + ((TicksIn.Bid[dim] - TicksOut.OpenASK) * 100000) + " " + ((TicksOut.OpenBID - TicksIn.Bid[dim]) * 100000)
+ " " + TicksOut.AskSpeed[dim] + " " + TicksOut.Ask_F_avg_3[dim] + " " + TicksOut.Ask_F_avg_6[dim]
+ " " + TicksIn.StM5_733_0 + " " + TicksIn.StM5_733_1 + " " + TicksIn.StM5_733_2 + " " + TicksIn.StM5_733_3);
}
if (flg_F_avg_6 == -2 || flg_F_avg_6 == 2)
{
flg_F_avg_6 = 0;
TicksOut.ticks_activ_cnt = 0;
ticks_active_time = 0.0;
}
}
temp_help.Close();
//-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
//-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
//-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
int cnt_of_start_last_date = 0;
double[] Cur_Day_Profit = new double[cnt_closed_orders], Ticks_Sum_on_Day = new double[cnt_closed_orders];
for (int i = 0; i < cnt_closed_orders; i++)
{
if (TicksOut.Date_on_time[i] == TicksOut.Date_on_time[cnt_closed_orders - 1])
{
cnt_of_start_last_date = i;
break;
}
}
for (int i = 0; i <= cnt_of_start_last_date; i++)
{
string temp_date = TicksOut.Date_on_time[i];
Cur_Day_Profit[i] = TicksOut.Cur_Order_Profit[i];
if (i == 0) Ticks_Sum_on_Day[i] = TicksOut.Cur_Order_Profit[i];
else Ticks_Sum_on_Day[i] = Ticks_Sum_on_Day[i - 1] + TicksOut.Cur_Order_Profit[i];
for (int j = i + 1; j < cnt_closed_orders; j++)
{
if (TicksOut.Date_on_time[j] != temp_date)
{
for (int t = j - 1; t > i; t--) { Cur_Day_Profit[t] = Cur_Day_Profit[i]; Ticks_Sum_on_Day[t] = Ticks_Sum_on_Day[i]; }
i = j - 1; break;
}
Cur_Day_Profit[i] += TicksOut.Cur_Order_Profit[j];
Ticks_Sum_on_Day[i] += TicksOut.Cur_Order_Profit[j];
}
if (i == cnt_of_start_last_date && cnt_of_start_last_date != (cnt_closed_orders - 1))
{
for (int j = cnt_of_start_last_date+1; j < cnt_closed_orders; j++)
{
Ticks_Sum_on_Day[j] = Ticks_Sum_on_Day[cnt_of_start_last_date];
}
}
}
//Аппроксимируем прямой
double[] residuals = new double[cnt_closed_orders];
double s_xy = 0.0, s_x = 0.0, s_y = 0.0, s_x2 = 0.0;
for (int i = 0; i < cnt_closed_orders; i++)
{
s_x += i+1;
s_y += TicksOut.Ticks_Sum_on_time[i];
s_xy += TicksOut.Ticks_Sum_on_time[i] * (i + 1);
s_x2 += (i + 1) * (i + 1);
}
double a = (cnt_closed_orders * s_xy - s_x * s_y) / (cnt_closed_orders * s_x2 - s_x * s_x);
double b = (s_y - a * s_x) / (cnt_closed_orders);
double[] Max_FALL = new double[cnt_closed_orders * cnt_closed_orders], Max_FALL_byDay = new double[cnt_closed_orders * cnt_closed_orders];
for (int i = 0; i < cnt_closed_orders; i++)
{
StatInfo.residual_avg_MNK += Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)));
StatInfo.residual_avg_MNM += Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)) * Math.Cos(Math.Atan(a)));
if (TicksOut.flg_F_avg_6[i] == -2)
StatInfo.SELL_summ_slice += TicksOut.Cur_Order_Profit[i];
if (TicksOut.flg_F_avg_6[i] == 2)
StatInfo.BUY_summ_slice += TicksOut.Cur_Order_Profit[i];
for (int j = 0; j < i; j++)
{
Max_FALL[i * i + j] = TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - j - 1];
Max_FALL_byDay[i * i + j] = Ticks_Sum_on_Day[i] - Ticks_Sum_on_Day[i - j - 1];
}
}
StatInfo.MaxFALLbyOrder = Max_FALL.Min();
if (StatInfo.MaxFALLbyOrder > -0.1) StatInfo.MaxFALLbyOrder = 1;
StatInfo.MaxFALLbyDay = Max_FALL_byDay.Min();
if (StatInfo.MaxFALLbyDay > -0.1) StatInfo.MaxFALLbyDay = 1;
StatInfo.residual_avg_MNK = StatInfo.residual_avg_MNK / cnt_closed_orders;
StatInfo.residual_avg_MNM = StatInfo.residual_avg_MNM / cnt_closed_orders;
double Balance = 3000.0, Balance_Day = 3000.0;
for (int i = 0; i < cnt_closed_orders; i++)
{
residuals[i] = Math.Abs((TicksOut.Ticks_Sum_on_time[i] - (a * (i + 1) + b)));
if (i != 0) Balance_Day = Balance_Day + (TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - 1]) * Math.Min((0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay), 100.0);
else Balance_Day = Balance_Day + (TicksOut.Ticks_Sum_on_time[i]) * (0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay);
if (i != 0) Balance = Balance + (TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - 1]) * Math.Min((0.10 * Balance) / Math.Abs(StatInfo.MaxFALLbyOrder), 100.0);
else Balance = Balance + (TicksOut.Ticks_Sum_on_time[i]) * (0.10 * Balance) / Math.Abs(StatInfo.MaxFALLbyOrder);
helpFile.WriteLine((Counts_On_Open[i]) + " " + (Counts_On_Close[i]) + " " + TicksOut.Date_on_time[i]
+ " " + TicksOut.flg_F_avg_6[i] + " " + StatInfo.MinLocalProfitInOrder[i] + " " + StatInfo.MaxLocalProfitInOrder[i]
+ " " + StatInfo.StartSpread[i] + " " + StatInfo.CloseSpread[i] + " " + TicksOut.Cur_Order_Profit[i] + " " + TicksOut.Ticks_Sum_on_time[i]
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(Balance_Day).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0]
+ " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0] + " " + cnt_closed_orders
//+ " " + (a * (i + 1) + b) + " " + residuals[i] + " " + a + " " + StatInfo.residual_avg_MNK + " " + StatInfo.SELL_summ_slice + " " + StatInfo.BUY_summ_slice
+ " " + StatInfo.AskIncremBigMassSummNegative[i] + " " + StatInfo.AskIncremBigMassSummPositive[i]
+ " " + StatInfo.AskSpeedOpen[i] + " " + StatInfo.Ask_F_avg_3_Open[i]);
}
//---ПО ДНЯМ, МЕСЯЦАМ---//
Balance = 3000.0;
double profit_by_day = 0.0, profit_by_month = 0.0;
for (int i = 0; i < cnt_closed_orders; i++)
{
if (i != 0) Balance = Balance + (TicksOut.Ticks_Sum_on_time[i] - TicksOut.Ticks_Sum_on_time[i - 1]) * Math.Min((0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay), 100.0);
else Balance = Balance + (TicksOut.Ticks_Sum_on_time[i]) * Math.Min((0.10 * Balance_Day) / Math.Abs(StatInfo.MaxFALLbyDay), 100.0);
if (i != 0)
{
if (TicksOut.Date_on_time[i] != TicksOut.Date_on_time[i - 1])
{
//if (i != cnt_closed_orders - 1)
helpFile_byDays.WriteLine((Counts_On_Close[i]).ToString() + " " + TicksOut.Date_on_time[i - 1] + " " + profit_by_day.ToString() + " " + TicksOut.Ticks_Sum_on_time[i - 1].ToString()
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0]);
profit_by_day = 0.0;
}
if (TicksOut.Date_on_time[i].Split('.')[1] != TicksOut.Date_on_time[i - 1].Split('.')[1])
{
if (i != cnt_closed_orders - 1)
helpFile_byMonth.WriteLine((Counts_On_Close[i]).ToString() + " " + TicksOut.Date_on_time[i - 1].Split('.')[0] + "." + TicksOut.Date_on_time[i - 1].Split('.')[1]
+ " " + profit_by_month.ToString() + " " + TicksOut.Ticks_Sum_on_time[i - 1].ToString()
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0]);
profit_by_month = 0.0;
}
}
profit_by_day += TicksOut.Cur_Order_Profit[i];
profit_by_month += TicksOut.Cur_Order_Profit[i];
if (i == cnt_closed_orders - 1)
{
helpFile_byDays.WriteLine((Counts_On_Close[i]).ToString() + " " + TicksOut.Date_on_time[i] + " " + profit_by_day.ToString() + " " + TicksOut.Ticks_Sum_on_time[i].ToString()
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0]);
helpFile_byMonth.WriteLine((Counts_On_Close[i]).ToString() + " " + TicksOut.Date_on_time[i].Split('.')[0] + "." + TicksOut.Date_on_time[i].Split('.')[1]
+ " " + profit_by_month.ToString() + " " + TicksOut.Ticks_Sum_on_time[i].ToString()
+ " " + Convert.ToString(Balance).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyOrder).Split('.')[0] + " " + Convert.ToString(StatInfo.MaxFALLbyDay).Split('.')[0]);
}
}
helpFile_byMonth.Close();
DateTime start_end = DateTime.Now;
Console.WriteLine(" ");
Console.WriteLine("Итог: " + (ticks_sum * 100000).ToString().Split('.')[0] + " time = " + (start_end - start_time).ToString());
Console.WriteLine(" ");
ResultFile.Close(); helpFile.Close(); helpFile_byDays.Close();
OutFile.Close(); DetailResultFile.Close();
//this.Close();
}
