protected override bool doJob()
{
bool ret = false;
BarFeeder.Init(this.provider, this.dealTime);
BarFeeder.ClearBars();
string dealTimeString = Utils.FormatTime(this.dealTime);
List <TradeStateRecord> tradeStateRecords = new List <TradeStateRecord>();
List <string> positionSymbols = new List <string>();
//处理已有的头寸
Dictionary <string, DQNExit> exitDict = new Dictionary <string, DQNExit>();
foreach (Behavior behavior in this.strategy.Behaviors)
{
DQNExit exit = behavior as DQNExit;
if (exit != null)
{
string symbol = exit.Instrument.Symbol;
exitDict.Add(symbol, exit);
TradeStateRecord aStateRecord = new TradeStateRecord();
aStateRecord.Symbol = symbol;
aStateRecord.HoldingPeriod = exit.HoldingPeriod;
tradeStateRecords.Add(aStateRecord);
positionSymbols.Add(symbol);
}
}
//Dictionary<String,Trade> lastTradeDict=this.provider.GetLastTrades(positionSymbols,true);
Dictionary <String, Trade> lastTradeDict = new Dictionary <String, Trade>();
foreach (string symbol in positionSymbols)
{
List <Trade> trades = this.provider.GetLastNTrades(symbol, dealTimeString, 1);
if (trades.Count > 0 && trades[0].DateTime.Date == this.dealDate)
{
lastTradeDict[symbol] = trades[0];
}
else
{
lastTradeDict[symbol] = null;
}
}
this.GetDataAndPrediction(tradeStateRecords, lastTradeDict);
foreach (BsonDocument record in DQNTradeDBAccess.GetExitingTempRecords())
{
string symbol = record["Symbol"].AsString;
exitDict[symbol].Deal(record["QValueIn"].AsDouble, record["QValueOut"].AsDouble);
}
//处理当天入场
tradeStateRecords.Clear();
List <string> activeSymbols = new List <String>();
activeSymbols.AddRange(this.provider.GetSymbols("SHSE", 1, 1));
activeSymbols.AddRange(this.provider.GetSymbols("SZSE", 1, 1));
//lastTradeDict=this.provider.GetLastTrades(activeSymbols,true);
foreach (string symbol in activeSymbols)
{
List <Trade> trades = this.provider.GetLastNTrades(symbol, dealTimeString, 1);
if (trades.Count > 0 && trades[0].DateTime.Date == this.dealDate)
{
lastTradeDict[symbol] = trades[0];
}
else
{
lastTradeDict[symbol] = null;
}
}
foreach (KeyValuePair <String, Trade> kvp in lastTradeDict)
{
if (kvp.Value == null)
{
continue;
}
GMTrade gmTrade = (GMTrade)kvp.Value;
if (gmTrade.Price <= 0)
{
continue;
}
if (gmTrade.Price == gmTrade.UpperLimit)
{
continue;
}
if (gmTrade.Price / gmTrade.LastClose - 1 <= 0)
{
continue;
}
if (positionSymbols.Contains(kvp.Key))
{
continue;
}
TradeStateRecord aStateRecord = new TradeStateRecord();
aStateRecord.Symbol = kvp.Key;
aStateRecord.HoldingPeriod = 1;
tradeStateRecords.Add(aStateRecord);
}
this.GetDataAndPrediction(tradeStateRecords, lastTradeDict);
List <string> enteringSymbols = new List <string>();
MongoCursor enteringCursor = DQNTradeDBAccess.GetEnteringTempRecords(5);
foreach (BsonDocument record in enteringCursor)
{
string symbol = record["Symbol"].AsString;
enteringSymbols.Add(symbol);
}
Dictionary <string, Trade> newTradeDict = this.provider.GetLastTrades(enteringSymbols, false);
foreach (BsonDocument record in enteringCursor)
{
string symbol = record["Symbol"].AsString;
double dealPrice = lastTradeDict[symbol].Price;
double newPrice = newTradeDict[symbol].Price;
if (Math.Abs(newPrice / dealPrice - 1) < 0.01)
{
Instrument inst = InstrumentManager.Instruments[symbol];
if (inst != null)
{
DQNEntry entry = new DQNEntry(inst, this.strategy);
this.strategy.AddBehavior(inst, entry);
entry.Deal(record["QValueIn"].AsDouble, record["QValueOut"].AsDouble);
}
}
}
ret = true;
return(ret);
}
