private static void SimulateMt(WekaEA2 ea, DateTime startDate, DateTime endDate, Feng.Data.DbHelper dbHelper)
{
long minTime = WekaUtils.GetTimeFromDate(startDate);
long maxTime = WekaUtils.GetTimeFromDate(endDate);
var dtD1 = dbHelper.ExecuteDataTable(string.Format("SELECT * FROM {0}_{3} WHERE TIME >= {1} AND TIME < {2} ORDER BY TIME", ea.m_symbol, minTime, maxTime, TestParameters2.CandidateParameter.MainPeriod));
var dtM1 = dbHelper.ExecuteDataTable(string.Format("SELECT * FROM {0}_M1 WHERE TIME >= {1} AND TIME < {2} ORDER BY TIME", ea.m_symbol, minTime, maxTime));
int idxD1 = 0;
double[] pp = new double[TestParameters.CandidateParameter4Db.AllIndNames.Count + 6 + 5];
for (int i = 0; i < dtM1.Rows.Count; ++i)
{
long nowTime = (long)dtM1.Rows[i]["Time"];
FillPp(pp, dtM1.Rows[i]);
ea.OnNewBar(nowTime, 60, pp);
if (idxD1 >= dtD1.Rows.Count)
{
break;
}
long nowD1Time = (long)dtD1.Rows[idxD1]["Time"];
if (nowTime >= nowD1Time)
{
FillPp(pp, dtD1.Rows[idxD1]);
ea.OnNewBar(nowD1Time, (int)(TestParameters2.MainPeriodOfHour * 60 * 60), pp);
idxD1++;
}
}
}
private static void FillPp(double[] pp, System.Data.DataRow row)
{
long nowTime = (long)row["Time"];
DateTime nowDate = WekaUtils.GetDateFromTime(nowTime);
pp[0] = nowTime;
pp[1] = 0;
pp[2] = nowDate.Hour / 24.0;
pp[3] = (int)nowDate.DayOfWeek / 5.0;
pp[4] = 0;
pp[5] = 0;
pp[6] = (double)row["close"];
pp[7] = (double)row["open"];
pp[8] = (double)row["high"];
pp[9] = (double)row["low"];
pp[10] = (int)row["spread"];
if (row.Table.Columns["AMA_9_2_30"] == null)
{
for (int i = 11; i < pp.Length; ++i)
{
pp[i] = 0;
}
return;
}
int n = 11;
foreach (var kvp in TestParameters.CandidateParameter4Db.AllIndNames)
{
pp[n] = (double)row[kvp.Key];
n++;
}
}
public void RunTool(string toolName)
{
if (string.IsNullOrEmpty(m_symbol))
{
throw new ArgumentException("Symbol should be init first.");
}
switch (toolName)
{
case "ImportDB":
{
WekaUtils.Instance.WriteLog("RunTool of ImportDB");
DbUtils.ImportToDbAll(m_symbol, "M1");
DbUtils.ImportToDbAll(m_symbol, "M15");
Feng.Data.DbHelper.Instance.ExecuteNonQuery(string.Format("DELETE FROM {0}_M1 WHERE TIME > {1} OR TIME < {2}",
m_symbol, WekaUtils.GetTimeFromDate(TestParameters2.TrainStartTime),
WekaUtils.GetTimeFromDate(new DateTime(2008, 1, 1))));
Feng.Data.DbHelper.Instance.ExecuteNonQuery(string.Format("DELETE FROM {0}_M15 WHERE TIME > {1} OR TIME < {2}",
m_symbol, WekaUtils.GetTimeFromDate(TestParameters2.TrainStartTime),
WekaUtils.GetTimeFromDate(new DateTime(2008, 1, 1))));
string s = string.Format("TIME >= {0} AND TIME < {1} AND {2}",
WekaUtils.GetTimeFromDate(new DateTime(2008, 1, 1)), WekaUtils.GetTimeFromDate(new DateTime(2020, 1, 1)),
TestParameters.DbSelectWhere);
DbUtils.UpdateAllHp3(m_symbol, s, true);
}
break;
case "SimulateBefore":
{
break;
WekaUtils.Instance.WriteLog("RunTool of SimulateBefore");
if (m_nowTime == 0)
{
throw new AssertException("when run simulatebefore, nowTime = 0");
}
DateTime endDate = WekaUtils.GetDateFromTime(m_nowTime);
int aheadHour = (int)((TestParameters2.MinTrainPeriod * 1.5) * TestParameters2.MainPeriodOfHour);
aheadHour += Convert.ToInt32(TestParameters2.lastWeek) * 7 * 24;
DateTime startDate = endDate.AddHours(-aheadHour);
WekaUtils.Instance.WriteLog(string.Format("Simulate from {0} to {1}", startDate, endDate));
TestParameters2.DBDataConsistent = true;
TestParameters2.InPreparing = true;
SimulateMt(this, startDate, endDate, Feng.Data.DbHelper.Instance);
TestParameters2.DBDataConsistent = false;
TestParameters2.InPreparing = false;
}
break;
}
}
public void OnNewBar(long nowTime, int barLength, double[] pp)
{
//System.Windows.Forms.MessageBox.Show(barLength.ToString() + "," + pp.Length.ToString());
try
{
if (barLength == 24 * 60 * 60) // Day
{
WekaUtils.Instance.WriteLog(string.Format("Now is {0}", WekaUtils.GetDateFromTime(nowTime).ToString(Parameters.DateTimeFormat)));
string symbolPeriodTime = m_symbol + "_D1";
WekaUtils.Instance.WriteLog(string.Format("Insert Record to {0} at time {1}", symbolPeriodTime, nowTime));
ImportToDb(nowTime, pp, symbolPeriodTime);
UpdateHp(nowTime);
m_mleaRealTime.RunOnBar(nowTime);
WekaUtils.Instance.FlushLog();
//CalculateNewSignal();
}
else if (barLength == 60)
{
string symbolPeriodTime = m_symbol + "_M1";
ImportToDb(nowTime, pp, symbolPeriodTime, false);
//MqlRates nowRate = new MqlRates();
//nowRate.close = pp[6];
//nowRate.open = pp[7];
//nowRate.high = pp[8];
//nowRate.low = pp[9];
//nowRate.spread = (int)pp[10];
//nowRate.time = (long)pp[0];
//m_mleaRealTime.RunOnTick(nowTime, nowRate);
}
}
catch (Exception ex)
{
WekaUtils.Instance.WriteLog(ex.Message);
WekaUtils.Instance.WriteLog(ex.StackTrace);
}
}
public void OnNewBar(long nowTime, int barLength, double[] pp)
{
//System.Windows.Forms.MessageBox.Show(barLength.ToString() + "," + pp.Length.ToString());
m_nowTime = nowTime;
try
{
if (barLength == TestParameters2.MainPeriodOfHour * 60 * 60)
{
WekaUtils.Instance.WriteLog(string.Format("Now is {0}, Memory = {1}M", WekaUtils.GetDateFromTime(nowTime).ToString(Parameters.DateTimeFormat), (int)(GC.GetTotalMemory(true) / 1e6)));
if (!TestParameters2.DBDataConsistent)
{
string symbolPeriodTime = m_symbol + "_" + TestParameters2.CandidateParameter.MainPeriod;
WekaUtils.Instance.WriteLog(string.Format("Insert Record to {0} at date {1}", symbolPeriodTime, WekaUtils.GetDateFromTime(nowTime)));
ImportToDb(nowTime, pp, symbolPeriodTime);
UpdateHp(nowTime);
}
m_mleaRealTime.RunOnBar(nowTime);
//if (!TestParameters2.InPreparing)
//{
// SaveIntermediateFiles(nowTime);
//}
WekaUtils.Instance.FlushLog();
}
else if (barLength == 60)
{
if (nowTime % 1800 == 0)
{
WekaUtils.Instance.WriteLog(string.Format("M1: Now is {0}", WekaUtils.GetDateFromTime(nowTime).ToString(Parameters.DateTimeFormat)));
}
if (!TestParameters2.DBDataConsistent)
{
string symbolPeriodTime = m_symbol + "_M1";
ImportToDb(nowTime, pp, symbolPeriodTime, false);
}
//MqlRates nowRate = new MqlRates();
//nowRate.close = pp[6];
//nowRate.open = pp[7];
//nowRate.high = pp[8];
//nowRate.low = pp[9];
//nowRate.spread = (int)pp[10];
//nowRate.time = (long)pp[0];
//m_mleaRealTime.RunOnTick(nowTime, nowRate);
}
else
{
WekaUtils.Instance.WriteLog(string.Format("Unprocessed bar length {1}: Now is {0}",
WekaUtils.GetDateFromTime(nowTime).ToString(Parameters.DateTimeFormat), barLength));
}
}
catch (Exception ex)
{
WekaUtils.Instance.WriteLog(ex.Message);
WekaUtils.Instance.WriteLog(ex.StackTrace);
}
}
public void UpdateHp(long nowTime)
{
System.Console.WriteLine("Now UpdateHp.");
int n = TestParameters2.nTpsl;
if (m_simuStrategy != null)
{
SimulationData.Instance.OnNewData(nowTime);
}
var dt = Feng.Data.DbHelper.Instance.ExecuteDataTable(
string.Format("SELECT TIME FROM {0}_M1 WHERE TIME NOT IN (SELECT TIME FROM {0}_HP) AND TIME <= {1} AND TIME > {2} AND {3}",
m_symbol, nowTime, nowTime - 60 * 60 * 24 * 7,
string.IsNullOrEmpty(TestParameters.DbSelectWhere) ? "1 = 1" : TestParameters.DbSelectWhere));
var txn = Feng.Data.DbHelper.Instance.BeginTransaction();
foreach (System.Data.DataRow row in dt.Rows)
{
long time = (long)row["Time"];
var newHpSql = new SqlCommand(string.Format("IF NOT EXISTS (SELECT * FROM [{0}_HP] WHERE Time = {1}) INSERT INTO [{0}_HP] ([Time],[hp],[hp_date],[IsComplete]) VALUES ({1}, @hp, @hp_date, 0)", m_symbol, time));
sbyte?[, ,] hps = new sbyte?[Parameters.AllDealTypes.Length, TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
long?[, ,] hpTimes = new long?[Parameters.AllDealTypes.Length, TestParameters2.CandidateParameter.BatchTps.Length, TestParameters2.CandidateParameter.BatchSls.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
hps[k, i, j] = null;
hpTimes[k, i, j] = null;
}
}
}
newHpSql.Parameters.AddWithValue("@hp", HpData.SerializeHp(hps));
newHpSql.Parameters.AddWithValue("@hp_date", HpData.SerializeHpTimes(hpTimes));
newHpSql.Transaction = txn as SqlTransaction;
Feng.Data.DbHelper.Instance.ExecuteNonQuery(newHpSql);
}
try
{
Feng.Data.DbHelper.Instance.CommitTransaction(txn);
}
catch (Exception)
{
Feng.Data.DbHelper.Instance.RollbackTransaction(txn);
throw;
}
dt = Feng.Data.DbHelper.Instance.ExecuteDataTable(string.Format("SELECT * FROM {0}_HP WHERE TIME <= {1} AND IsComplete = 0",
m_symbol, nowTime));
txn = Feng.Data.DbHelper.Instance.BeginTransaction();
foreach (System.Data.DataRow row in dt.Rows)
{
if (m_simuStrategy == null)
{
InitSimulationStrategys();
}
long time = (long)row["Time"];
DateTime date = WekaUtils.GetDateFromTime(time);
sbyte?[, ,] hps = HpData.DeserializeHp((byte[])row["hp"]);
long?[, ,] hpTimes = HpData.DeserializeHpTimes((byte[])row["hp_date"]);
if (date.Minute == 0 && date.Hour == 12)
{
System.Console.WriteLine(string.Format("Now updatehp of {0}, {1}", date.ToString(Parameters.DateTimeFormat), m_symbol));
}
bool[] isComplete = new bool[Parameters.AllDealTypes.Length];
for (int k = 0; k < Parameters.AllDealTypes.Length; ++k)
{
isComplete[k] = true;
char dealType = Parameters.AllDealTypes[k];
for (int i = 0; i < TestParameters2.CandidateParameter.BatchTps.Length; ++i)
{
if (!isComplete[k])
{
break;
}
//if (i % n != n - 1)
// continue;
for (int j = 0; j < TestParameters2.CandidateParameter.BatchSls.Length; ++j)
{
if (!isComplete[k])
{
break;
}
//if (j % n != n - 1)
// continue;
if (hps[k, i, j].HasValue && hps[k, i, j].Value != -1)
{
continue;
}
ISimulateStrategy strategy = m_simuStrategy[i, j];
//if (j == 5 && i == 9 && date == new DateTime(2010, 6, 1, 0, 15, 0))
//{
//}
DateTime?closeDate;
bool? hp;
if (dealType == 'B')
{
hp = strategy.DoBuy(date, -1, out closeDate);
}
else if (dealType == 'S')
{
hp = strategy.DoSell(date, -1, out closeDate);
}
else
{
throw new ArgumentException("Invalid dealtype of " + dealType);
}
if (hp.HasValue)
{
//WekaUtils.Instance.WriteLog(string.Format("Get Update Result of {0},{1},{2},{3} = {4},{5}",
// time, dealType,
// TestParameters.DefaultCandidateParameter.BatchTps[i], TestParameters.DefaultCandidateParameter.BatchSls[j],
// hp.Value, closeDate.Value));
if (hp.Value)
{
// tp
for (int jj = j; jj < TestParameters2.CandidateParameter.BatchSls.Length; ++jj)
{
hps[k, i, jj] = 1;
hpTimes[k, i, jj] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
else
{
for (int ii = i; ii < TestParameters2.CandidateParameter.BatchTps.Length; ++ii)
{
hps[k, ii, j] = 0;
hpTimes[k, ii, j] = WekaUtils.GetTimeFromDate(closeDate.Value);
}
}
}
else
{
isComplete[k] = false;
break;
}
}
}
}
System.Data.SqlClient.SqlCommand updateCmd = new SqlCommand(string.Format("UPDATE [{0}_HP] SET [hp] = @hp,[hp_date] = @hp_date,[IsComplete] = @IsComplete WHERE [Time] = @Time", m_symbol));
updateCmd.Parameters.AddWithValue("@hp", HpData.SerializeHp(hps));
updateCmd.Parameters.AddWithValue("@hp_date", HpData.SerializeHpTimes(hpTimes));
updateCmd.Parameters.AddWithValue("@IsComplete", WekaUtils.AndAll(isComplete));
updateCmd.Parameters.AddWithValue("@Time", time);
updateCmd.Transaction = txn as SqlTransaction;
Feng.Data.DbHelper.Instance.ExecuteNonQuery(updateCmd);
}
try
{
Feng.Data.DbHelper.Instance.CommitTransaction(txn);
}
catch (Exception)
{
Feng.Data.DbHelper.Instance.RollbackTransaction(txn);
throw;
}
}
private void ImportToDb(long nowTime1, double[] pp, string tableName, bool addIndicators = true)
{
Dictionary <string, int> inds = TestParameters.CandidateParameter4Db.AllIndNames;
WekaUtils.DebugAssert(pp.Length == inds.Count + 6 + 5, string.Format("pp.Length == inds.Count + 6 + 5, {0}, {1}", pp.Length, inds.Count + 6 + 5));
string sql = string.Format("IF NOT EXISTS (SELECT * FROM [{0}] WHERE TIME = @Time) INSERT INTO [{0}] ([Time],[date],[hour],[dayofweek],[open],[close],[high],[low],[spread]", tableName);
if (addIndicators)
{
foreach (var kvp in inds)
{
sql += ",[" + kvp.Key + "]";
}
}
sql += ") VALUES (@Time, @date, @hour,@dayofweek,@open, @close,@high,@low,@spread";
if (addIndicators)
{
foreach (var kvp in inds)
{
sql += ",@" + kvp.Key;
}
}
sql += ")";
var cmd = new SqlCommand(sql);
long newtime = (long)pp[0];
DateTime newDate = WekaUtils.GetDateFromTime(newtime);
if (newDate.DayOfWeek == DayOfWeek.Saturday)
{
WekaUtils.DebugAssert(newDate.Hour == 0, "Saturday hour should be 0.");
WekaUtils.DebugAssert(newDate.Minute == 0, "Saturday Minute should be 0.");
WekaUtils.DebugAssert(newDate.Second == 0, "Saturday Second should be 0.");
newDate = newDate.AddDays(2);
newtime = newtime + (long)(new TimeSpan(2, 0, 0, 0).TotalSeconds);
}
cmd.Parameters.AddWithValue("@time", newtime);
cmd.Parameters.AddWithValue("@date", newDate);
cmd.Parameters.AddWithValue("@hour", newDate.Hour);
cmd.Parameters.AddWithValue("@dayofweek", newDate.DayOfWeek);
cmd.Parameters.AddWithValue("@open", pp[7]);
cmd.Parameters.AddWithValue("@close", pp[6]);
cmd.Parameters.AddWithValue("@high", pp[8]);
cmd.Parameters.AddWithValue("@low", pp[9]);
cmd.Parameters.AddWithValue("@spread", pp[10]);
if (addIndicators)
{
int start = 11;
foreach (var kvp in inds)
{
cmd.Parameters.AddWithValue("@" + kvp.Key, pp[start]);
start++;
}
}
try
{
Feng.Data.DbHelper.Instance.ExecuteNonQuery(cmd);
}
catch (Exception ex)
{
WekaUtils.Instance.WriteLog(ex.Message);
}
}