public IList<RateRecord> GetRates()
{
List<RateRecord> result = new List<RateRecord>();
NameValueCollection nvc = new NameValueCollection();
nvc.Add("Key", KEY);
PostSubmitter post = new PostSubmitter(CURRENT_RATES_URL, nvc);
post.Type = PostSubmitter.PostTypeEnum.Post;
string resp = post.Post();
MemoryStream ms = new MemoryStream(Encoding.UTF8.GetBytes(resp.ToCharArray()));
DataSet ds = new DataSet();
ds.ReadXml(ms);
for (int i = 0; i < ds.Tables[0].Rows.Count; i++)
{
RateRecord rt = new RateRecord();
rt.Name = ds.Tables[0].Rows[i]["Quote"].ToString();
string strRate = ds.Tables[0].Rows[i]["Display"].ToString().Substring(0, ds.Tables[0].Rows[i]["Display"].ToString().IndexOf('/'));
rt.Value = decimal.Parse(strRate);
object dt = ds.Tables[0].Rows[i]["UpdateTime"];
DateTime updateTime = Convert.ToDateTime(dt).ToUniversalTime();
rt.UpdateTime = updateTime;
result.Add(rt);
}
return result;
}
public void ProcessTick(RateRecord rateRecord)
{
foreach(IStrategyProvider provider in _strategyProviders)
{
//analize
IStrategyDecision decision = provider.GetStrategyDecision(rateRecord);
//make orders
OpenOrCloseOrders(provider.GetName(), decision, rateRecord);
}
}
public void CloseOrder(Order order,RateRecord rec)
{
if (order.RateName != rec.Name)
return;
order.ClosePrice = rec.Value;
order.CloseTime = rec.UpdateTime;
if (order.IsReal)
order.IsReal = _enableRealOrders = StartFx.CloseOrder(order.RateName);
UpdateStrategyResult(order);
if (CloseOrderEvent != null)
CloseOrderEvent(order);
_openedOrders.Remove(order);
}
private void OpenOrCloseOrders(string strategyName, IStrategyDecision decision,RateRecord rec)
{
decimal lastValue = rec.Value;
if (decision.Direction == 0)
return;
Order openedOrder = _orderController.GetOpenedOrder(strategyName,rec.Name);
if (openedOrder!=null)
{
if (openedOrder.Direction * decision.Direction > 0)
openedOrder.TakeProfit = decision.TakeProfit;
else
{
_orderController.CloseOrder(openedOrder,rec);
}
}
else
{
_orderController.OpenOrder(strategyName,lastValue,decision.StopLoss,decision.TakeProfit,rec.Name,rec.UpdateTime,decision.AdditionalInfo);
}
}
public static void CloseCandle(IDictionary<string, IList<Candle>> candles, RateRecord rec, int candlesIintervalMinutes)
{
if (!candles.ContainsKey(rec.Name))
candles.Add(rec.Name, new List<Candle>());
DateTime openCandleDate = new DateTime(rec.UpdateTime.Year, rec.UpdateTime.Month, rec.UpdateTime.Day, rec.UpdateTime.Hour, (rec.UpdateTime.Minute / candlesIintervalMinutes) * candlesIintervalMinutes, 0);
DateTime closeCandleDate = new DateTime(rec.UpdateTime.Year, rec.UpdateTime.Month, rec.UpdateTime.Day, rec.UpdateTime.Hour, (rec.UpdateTime.Minute / candlesIintervalMinutes) * candlesIintervalMinutes, 0).AddMinutes(candlesIintervalMinutes);
Candle currentCandle=candles[rec.Name].Where(item=>item.OpenTime==openCandleDate).FirstOrDefault();
if (currentCandle==null)
{
ClosePreviousCandles(candles[rec.Name].Where(item=>item.CandleData!=null).ToList());
currentCandle = new Candle();
currentCandle.RateName = rec.Name;
currentCandle.OpenTime = openCandleDate;
candles[rec.Name].Add(currentCandle);
}
currentCandle.AddNewData(rec.UpdateTime, rec.Value);
}
public IStrategyDecision GetStrategyDecision(RateRecord rec)
{
DateTime date = rec.UpdateTime;
decimal price = rec.Value;
IDictionary<DateTime, decimal> historyData = _historyData[rec.Name];
if (!historyData.Keys.Contains(date))
historyData.Add(date,price);
//return TestAnalize(historyData);
decimal lastValue = StrategyHelper.GetLastValue(historyData);
decimal decrease = StrategyHelper.GetMaximum(INTERVAL_MINUTES,historyData) - lastValue;
decimal increase = lastValue - StrategyHelper.GetMinimum(INTERVAL_MINUTES,historyData);
decimal largeMedium = (StrategyHelper.GetMaximum(LARGE_MEDIUM_INTERVAL_MINUTES, historyData) + StrategyHelper.GetMinimum(LARGE_MEDIUM_INTERVAL_MINUTES,historyData)) / 2;
int momentDirection = 0;
if (decrease > MAX_DIRECTION)
momentDirection = -1;
if (increase > MAX_DIRECTION)
momentDirection = 1;
int longDirection = 0;
if (lastValue > largeMedium)
longDirection = 1;
if (lastValue < largeMedium)
longDirection = -1;
int result = 0;
if (momentDirection == -1 && longDirection == +1)
result = 1;
if (momentDirection == 1 && longDirection == -1)
result = -1;
BaseStrategyDecision decision = new BaseStrategyDecision();
decision.TakeProfit = lastValue + (TAKE_PROFIT_POINTS*result);
decision.StopLoss = lastValue - (STOP_LOSS_POINTS * result);
StringBuilder additionalInfo = new StringBuilder();
additionalInfo.AppendFormat("Максимальное изменение за две минуты:{0}", (decrease > increase ? decrease : increase)*momentDirection);
additionalInfo.AppendFormat("Текущее отклонение от среднего за 30 минут:{0}", lastValue-largeMedium);
return decision;
}
//send events
private void SendNewRatesEvent(RateRecord rec, Candle candle)
{
if (NewRatesEvent != null)
_asyncOperation.Post(delegate {NewRatesEvent(rec,candle); }, null);
}
private void OnNewRatesEvent(RateRecord rec, Candle candle)
{
SendNewRatesEvent(rec,candle);
_strategyController.ProcessTick(rec);
_orderController.CloseOrdersByLimits(rec);
}
public void CloseOrdersByLimits(RateRecord rec)
{
for (int i = _openedOrders.Count-1; i >= 0;i--)
{
Order order = _openedOrders[i];
if (rec.Name != order.RateName)
continue;
if (order.Direction < 0 && (order.StopLoss < rec.Value || order.TakeProfit > rec.Value))
{
CloseOrder(order, rec);
}
if (order.Direction > 0 && (order.StopLoss > rec.Value || order.TakeProfit < rec.Value))
{
CloseOrder(order, rec);
}
}
}
private void SendNewRatesEvent(RateRecord rec,Candle candle)
{
if (NewRatesEvent != null)
NewRatesEvent(rec,candle);
}
private void MainThread()
{
if (_rates.Count == 0)
{
SendMessageEvent("Невыбрано ни одной валютной пары!");
_shouldStop = true;
}
Dictionary<string, DateTime> lastProcessedDates = new Dictionary<string, DateTime>();
if (!_shouldStop)
{
IDictionary<string, IDictionary<DateTime, decimal>> ratesHistory = GetRatesHistory(_rates, _dtStart.AddHours(-4), _dtStart);
_candles = StrategyHelper.BuildCandles(ratesHistory, RateController.CANDLES_INTERVAL_MINUTES);
if (HistoryEvent != null)
HistoryEvent(ratesHistory, _candles);
foreach (string rateName in _rates)
{
if (ratesHistory[rateName].Count == 0)
lastProcessedDates.Add(rateName, _dtStart);
else
lastProcessedDates.Add(rateName, ratesHistory[rateName].Keys.Max());
}
}
while (!_shouldStop)
{
//читаем котировки из интернета
IDictionary<string, IDictionary<DateTime, decimal>> ratesCache;
IDictionary<string, IList<Candle>> candlesCache;
if (_dtEnd == null)
{
ratesCache = GetCurrentRates(_rates);
candlesCache = GetCurrentCandles(_rates);
}
else
{
ratesCache = GetRatesHistory(_rates, lastProcessedDates.Values.Min().AddSeconds(1), lastProcessedDates.Values.Min().AddHours(2));
candlesCache = StrategyHelper.BuildCandles(ratesCache, CANDLES_INTERVAL_MINUTES);
}
//обрабатываем котировки по каждой валютной паре
foreach (string rateName in _rates)
{
if (_shouldStop)
break;
if (!ratesCache.ContainsKey(rateName))
continue;
IDictionary<DateTime, decimal> rateCache = ratesCache[rateName];
IList<Candle> candleCache = candlesCache[rateName];
while (rateCache.Count > 0 && rateCache.Keys.Min() > lastProcessedDates[rateName] && !_shouldStop)
{
RateRecord rec = new RateRecord();
rec.Name = rateName;
rec.UpdateTime = rateCache.Keys.Min();
rec.Value = rateCache[rec.UpdateTime];
Candle candle = candlesCache[rateName].Where(item => item.OpenTime < rec.UpdateTime && rec.UpdateTime < item.OpenTime.AddMinutes(RateController.CANDLES_INTERVAL_MINUTES)).FirstOrDefault();
SendNewRatesEvent(rec,candle);
rateCache.Remove(rec.UpdateTime);
candlesCache[rateName].Remove(candle);
lastProcessedDates[rateName] = rec.UpdateTime;
}
}
if (_dtEnd != null && lastProcessedDates.Values.Min() > _dtEnd)
break;
Thread.Sleep(5000);
}
if (StopEvent != null)
StopEvent();
SendMessageEvent("Работа остановлена");
}
private void OnNewRates(RateRecord rec,Candle candle)
{
try
{
if (rec != null)
{
if (_currentRates.Keys.Contains(rec.Name))
_currentRates[rec.Name] = rec.Value;
else
_currentRates.Add(rec.Name, rec.Value);
tbCurrentRates.Text = "";
foreach (string key in _currentRates.Keys)
{
tbCurrentRates.Text += string.Format("{0} - {3:dd-MM-yyyy HH-mm-ss} - {1}{2}", key, _currentRates[key], Environment.NewLine, rec.UpdateTime);
}
}
DisplayCandle(candle);
}
catch (Exception ex)
{
OnMessage(ex.Message);
}
}
public virtual IStrategyDecision GetStrategyDecision(RateRecord rec)
{
StrategyHelper.CloseCandle(_candles,rec,CANDLES_INTERVAL_MINUTES);
BaseStrategyDecision decision = new BaseStrategyDecision();
Candle maximum = GetMaximumForInterval(rec.Name,CANDLES_RANGE,_candles[rec.Name].Last());
Candle minimum = GetMinimumForInterval(rec.Name, CANDLES_RANGE, _candles[rec.Name].Last());
if (maximum == null || minimum == null)
return decision;
if (maximum.OpenTime > minimum.OpenTime) //тренд вверх
{
Candle previousMaximum=GetMaximumBetween(rec.Name, minimum, maximum);
if (previousMaximum != null)
{
Candle previousMinimum = GetMinimumBetween(rec.Name, previousMaximum, maximum);
if (previousMinimum != null)
{
//пробойный бар
Candle breakout = GetMaximumBreakout(rec.Name, previousMinimum, previousMaximum.HighPrice);
if (breakout != null)
{
Candle previousMaximum2 = GetMaximumBetween(rec.Name,minimum, previousMaximum);
if (previousMaximum2 != null)
{
//наш takeProfit
Candle previousMinimum2 = GetMinimumBetween(rec.Name, previousMaximum2, previousMaximum);
if (previousMinimum2 != null && rec.Value < breakout.LowPrice)
{
if (rec.Value - previousMinimum2.LowPrice > 0.0010m
&&
breakout.HighPrice-rec.Value>0.0005m
)
{
decision.TakeProfit = previousMinimum2.LowPrice;
decision.StopLoss = breakout.HighPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit,Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный минимум был:{0:yyy-MM-dd HH:mm}{1}", previousMinimum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
if (minimum.OpenTime > maximum.OpenTime) // тренд вниз
{
Candle previousMinimum = GetMinimumBetween(rec.Name,maximum, minimum);
if (previousMinimum != null)
{
Candle previousMaximum = GetMaximumBetween(rec.Name, previousMinimum, minimum);
if (previousMaximum != null)
{
//пробойный бар
Candle breakout = GetMinimumBreakout(rec.Name, previousMaximum, previousMinimum.LowPrice);
if (breakout != null)
{
Candle previousMinimum2 = GetMinimumBetween(rec.Name, maximum, previousMinimum);
if (previousMinimum2 != null)
{
//наш takeProfit
Candle previousMaximum2 = GetMaximumBetween(rec.Name, previousMinimum2, previousMinimum);
if (previousMaximum2 != null && rec.Value > breakout.HighPrice)
{
if (previousMaximum2.HighPrice - rec.Value > 0.0010m
&&
rec.Value - breakout.LowPrice > 0.0005m
)
{
decision.TakeProfit = previousMaximum2.HighPrice;
decision.StopLoss = breakout.LowPrice;
StringBuilder sb = new StringBuilder();
sb.AppendFormat("Takeprofit:{0}{1}", decision.TakeProfit,Environment.NewLine);
sb.AppendFormat("Stoploss:{0}{1}", decision.StopLoss, Environment.NewLine);
sb.AppendFormat("Предпоследний колебательный максимум был:{0:yyy-MM-dd HH:mm}{1}", previousMaximum2.OpenTime, Environment.NewLine);
sb.AppendFormat("Пробойный бар:{0:yyy-MM-dd HH:mm}{1}", breakout.OpenTime, Environment.NewLine);
decision.AdditionalInfo = sb.ToString();
}
}
}
}
}
}
}
return decision;
}
