trade/AutoSeller
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- 시뮬레이션 수정

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This commit is contained in:
mjjo
2017-02-16 16:35:54 +09:00
parent e417b0dfff
commit fb1195d8f4
2 changed files with 357 additions and 30 deletions
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41
AutoSeller.cs
View File

@@ -367,35 +367,38 @@ namespace AutoSellerNS
private void btLoad_Click(object sender, EventArgs e)
{
SimulationHelper helper = new SimulationHelper(m_CybosHelper, tbSimulationLog);
helper.LoadExcel();
helper.LoadExcel2();
}
private void btSimulate_Click(object sender, EventArgs e)
{
SimulationHelper helper = new SimulationHelper(m_CybosHelper, tbSimulationLog);
helper.StartSimuation2();
return;
int iOrgBidCount = Config.GetBidCount();
float fOrgTrailingRate = Config.GetTrailingRate();
int iOrgTraililngCount = Config.GetTrailingCnt();
for(int iBidCount = 4; iBidCount <= 8; iBidCount++)
{
for(float fTrailingRate=2.5f; fTrailingRate <= 5.0f; fTrailingRate += 0.5f)
{
for(int iTrailingCount = 2; iTrailingCount <= 4; iTrailingCount++)
{
Config.SetBidCount(iBidCount);
Config.SetTrailing(fTrailingRate, iTrailingCount);
//int iOrgBidCount = Config.GetBidCount();
//float fOrgTrailingRate = Config.GetTrailingRate();
//int iOrgTraililngCount = Config.GetTrailingCnt();
helper.StartSimuation();
}
}
}
//for(int iTrailingCount = 2; iTrailingCount <= 4; iTrailingCount++)
//{
// for(float fTrailingRate=2.5f; fTrailingRate <= 5.0f; fTrailingRate += 0.5f)
// {
// for(int iBidCount = 4; iBidCount <= 8; iBidCount++)
// {
// Config.SetBidCount(iBidCount);
// Config.SetTrailing(fTrailingRate, iTrailingCount);
Config.SetBidCount(iOrgBidCount);
Config.SetTrailing(fOrgTrailingRate, iOrgTraililngCount);
// helper.StartSimuation();
// }
// }
//}
Console.WriteLine("end");
//Config.SetBidCount(iOrgBidCount);
//Config.SetTrailing(fOrgTrailingRate, iOrgTraililngCount);
//Console.WriteLine("end");
}
#endregion
}

344
SimulationHelper.cs
View File

@@ -1,10 +1,13 @@
using CPSYSDIBLib;
using DSCBO1Lib;
using OfficeOpenXml;
using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using System.Windows.Forms;
@@ -147,7 +150,7 @@ namespace AutoSellerNS
int iFieldCnt = CPStockChart.GetHeaderValue(1);
string[] astrFieldName = CPStockChart.GetHeaderValue(2);
List<object> aRow = new List<object>();
List<object[]> aRows = new List<object[]>();
List<object[]> aaRows = new List<object[]>();
Excel = new ExcelHandler(strOutFileName, astrFieldName);
@@ -159,7 +162,19 @@ namespace AutoSellerNS
{
for(int j = 0; j<iFieldCnt; j++)
aRow.Add(CPStockChart.GetDataValue(j, i));
aRows.Add(aRow.ToArray());
if(aaRows.Count == 0)
{
aRow.Add(0);
aRow.Add(0);
}
else
{
aRow.Add((uint)aaRows.Last()[5]-(uint)aRow[5]);
aRow.Add((uint)aaRows.Last()[6]-(uint)aRow[6]);
}
aaRows.Add(aRow.ToArray());
aRow.Clear();
}
@@ -170,8 +185,86 @@ namespace AutoSellerNS
m_tbLogView.AppendText(string.Format("RequestRQ({0})\n", m_CybosHelper.GetLimitRemainCountRQ()));
}
aRows.Reverse();
Excel.AddRows(aRows.ToArray());
aaRows.Reverse();
Excel.AddRows(aaRows.ToArray());
m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End\n"));
}
m_tbLogView.AppendText(string.Format("[Load] All End\n\n"));
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}
public void LoadExcel2()
{
List<string> aItems = new List<string>();
StockBid CPStockBid = new StockBid();
ExcelHandler Excel = null;
foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
{
var tokens = strLine.Split('\t');
var strDate = tokens[0];
var strNewTime = tokens[1];
var strSimulationTime = tokens[2];
var strCodeName = tokens[3];
var strCode = tokens[4];
var strStartPrice = tokens[5];
DateTime StartDT;
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
string strOutFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
if(File.Exists(strOutFileName) == true)
{
if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
File.Delete(strOutFileName);
else
continue;
}
CPStockBid.SetInputValue(0, "A"+strCode);
CPStockBid.SetInputValue(2, 20000);
CPStockBid.SetInputValue(3, 'C');
CPStockBid.SetInputValue(4, "2000");
CPStockBid.BlockRequest2(0);
List<object[]> aaRows = new List<object[]>();
bool bContinue = true;
while(bContinue)
{
int iCnt = CPStockBid.GetHeaderValue(2);
for(int i = 0; i<iCnt; i++)
{
var Time = (uint)(int)CPStockBid.GetDataValue(9, i);
var AskPrice = CPStockBid.GetDataValue(2, i);
var BidPrice = CPStockBid.GetDataValue(3, i);
var CurPrice = CPStockBid.GetDataValue(4, i);
var AccDealCount = CPStockBid.GetDataValue(5, i);
var Flag = CPStockBid.GetDataValue(10, i) == '1' ? "*" : "";
var DealCount = CPStockBid.GetDataValue(6, i);
aaRows.Add(new object[]{ Time, Flag, CurPrice, AskPrice, BidPrice, AccDealCount, DealCount, });
}
bContinue = (CPStockBid.Continue == 1);
if(bContinue == true)
{
while(m_CybosHelper.GetLimitRemainCountRQ() < 2)
Thread.Sleep(100);
CPStockBid.BlockRequest2(0);
}
m_tbLogView.AppendText(string.Format("RequestRQ({0})\n", m_CybosHelper.GetLimitRemainCountRQ()));
}
aaRows.Reverse();
Excel = new ExcelHandler(strOutFileName, new string[]{ "시간", "동시호가", "현재가", "매도호가", "매수호가", "거래량", "순간체결량" });
Excel.AddRows(aaRows.ToArray());
m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End\n"));
}
@@ -203,13 +296,12 @@ namespace AutoSellerNS
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
int iStartPrice;
int.TryParse(strStartPrice, out iStartPrice);
int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
string strFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
FileInfo newFile = new FileInfo(strFileName);
newFile.IsReadOnly = true;
ExcelPackage package = new ExcelPackage(newFile);
ExcelWorksheet Sheet = package.Workbook.Worksheets["sheet"];
@@ -226,6 +318,8 @@ namespace AutoSellerNS
int iTrailingCount = 0;
int iMaxPrice = int.MinValue;
int iStockCount = 0;
int iStartRow = 0;
int iPrevPrice = 0;
for(int iRow = 2; iRow<=iMaxRow; iRow++)
{
int iTime = (int)(double)Sheet.Cells[iRow, 2].Value;
@@ -241,7 +335,10 @@ namespace AutoSellerNS
if(bStart == false)
{
if(RowDT >= StartDT && iPrice==iStartPrice)
{
bStart = true;
iStartRow = iRow;
}
}
else
{
@@ -252,13 +349,15 @@ namespace AutoSellerNS
if(iAskCount >= Config.GetBidCount())
{
m_tbLogView.AppendText(string.Format("[{0}] 시뮬레이션 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%)\n",
m_tbLogView.AppendText(string.Format("[{0,-10}] 조건 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, line:{7})\n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:00"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
iStartRow
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
@@ -273,13 +372,15 @@ namespace AutoSellerNS
if(iTrailingCount >= Config.GetTrailingCnt())
{
m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%)\n",
m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, line:{7})\n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:00"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
iStartRow
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
@@ -287,6 +388,7 @@ namespace AutoSellerNS
}
}
iPrevPrice = iPrice;
iPrevAskCount = iTotalAskCount;
iPrevBidCount = iTotalBidCount;
}
@@ -296,5 +398,227 @@ namespace AutoSellerNS
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}
public void StartSimuation2()
{
m_tbLogView.AppendText(string.Format("[시뮬레이션 시작] 조건 : {0}회, 트레일링 : {1}%, {2}회\n", Config.GetBidCount(), Config.GetTrailingRate(), Config.GetTrailingCnt()));
int iTotalProfit = 0;
int iTotalBid = 0;
foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
{
var tokens = strLine.Split('\t');
var strDate = tokens[0];
var strNewTime = tokens[1];
var strSimulationTime = tokens[2];
var strCodeName = tokens[3];
var strCode = tokens[4];
var strStartPrice = tokens[5];
DateTime StartDT;
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
int iStartPrice;
int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
string strFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".xlsx";
FileInfo newFile = new FileInfo(strFileName);
ExcelPackage package = new ExcelPackage(newFile);
ExcelWorksheet Sheet = package.Workbook.Worksheets["sheet"];
int iMaxRow = Sheet.Dimension.Rows;
DateTime RowDT = DateTime.Now;
List<DateTime> aPrevDT = new List<DateTime>();
bool bStart = false;
int iAskCount = 0;
int iAskDownCount = 0;
int iDealCountInSec = 0;
int iTrailingCount = 0;
int iMaxPrice = int.MinValue;
int iStockCount = 0;
int iStartRow = 0;
int iPrevPrice = 0;
bool bPrevAsk = false;
int iMaxAskPrice = 0;
int iPrevAskPrice = 0;
for(int iRow = 2; iRow<=iMaxRow; iRow++)
{
int iTime = (int)(double)Sheet.Cells[iRow, 1].Value;
int iPrice = (int)(double)Sheet.Cells[iRow, 3].Value;
int iAskPrice = (int)(double)Sheet.Cells[iRow, 4].Value;
int iBidPrice = (int)(double)Sheet.Cells[iRow, 5].Value;
DateTime.TryParse(strDate+" "+string.Format("{0}:{1}:{2}", iTime/10000, (iTime/100)%100, iTime%100), out RowDT);
iStockCount = 1000000/iStartPrice;
if(bStart == false)
{
if(RowDT >= StartDT && iPrice==iStartPrice)
{
bStart = true;
iStartRow = iRow;
iMaxAskPrice = iAskPrice;
iPrevAskPrice = iAskPrice;
}
}
else
{
//// 체결가 비교
//if(iPrice > iPrevPrice)
//{
// iAskCount = 0;
// bPrevAsk = false;
//}
//else if(iPrice < iPrevPrice)
//{
// iAskCount++;
// bPrevAsk = true;
//}
//else if(bPrevAsk == true)
//{
// iAskCount++;
//}
//// 호가 비교 - 중간 유지
//if(iPrice >= iAskPrice)
//{
// iAskCount = 0;
// bPrevAsk = false;
//}
//else if(iPrice <= iBidPrice)
//{
// iAskCount++;
// bPrevAsk = true;
//}
//else if(bPrevAsk == true)
//{
// iAskCount++;
//}
// 호가 비교 - 매수호가 기준
if(iPrice <= iBidPrice)
iAskCount++;
else
iAskCount = 0;
//// 호가 비교 - 매도호가 기준
//if(iPrice < iAskPrice)
// iAskCount++;
//else
// iAskCount = 0;
//// 매도호가 최고가 미만 연속
//if(iAskPrice < iMaxAskPrice)
// iAskDownCount++;
//else
// iAskDownCount=0;
//iMaxAskPrice = Math.Max(iMaxAskPrice, iAskPrice);
//// 매도호가 최고가 미만 누적
//if(iAskPrice < iMaxAskPrice)
// iAskDownCount++;
//int iNextMaxAskPrice = Math.Max(iMaxAskPrice, iAskPrice);
//if(iNextMaxAskPrice > iMaxAskPrice)
// iAskDownCount = 0;
//iMaxAskPrice = iNextMaxAskPrice;
//// 매도호가 하락 - 최고 갱신시 리셋
//if(iAskPrice < iPrevAskPrice)
// iAskDownCount++;
//int iNextMaxAskPrice = Math.Max(iMaxAskPrice, iAskPrice);
//if(iNextMaxAskPrice > iMaxAskPrice)
// iAskDownCount = 0;
//iMaxAskPrice = iNextMaxAskPrice;
//if(PrevRowDT.Second == RowDT.Second)
// iDealCountInSec++;
//else
// iDealCountInSec = 1;
if(iAskCount >= Config.GetBidCount())
{
m_tbLogView.AppendText(string.Format("[{0,-10}] 조건1 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7}, line:{8})\n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
iStartRow
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
break;
}
//if(aPrevDT.Count > 3 && aPrevDT.Last() - aPrevDT[aPrevDT.Count-3] > TimeSpan.FromSeconds(1) && iAskDownCount >= Config.GetBidCount())
//if(iAskDownCount >= 5)
//{
// m_tbLogView.AppendText(string.Format("[{0,-10}] 조건2 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7}, line:{8})\n",
// strCodeName,
// RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
// iRow,
// iPrice,
// iPrice-iStartPrice,
// (iPrice-iStartPrice)*100/(float)iStartPrice,
// iStartPrice,
// StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
// iStartRow
// ));
// iTotalProfit += (iPrice-iStartPrice)*iStockCount;
// iTotalBid += iStartPrice*iStockCount;
// break;
//}
if(iPrice > iMaxPrice)
iTrailingCount = 0;
else if(iPrice <= iMaxPrice*(100-Config.GetTrailingRate())/100)
iTrailingCount++;
iMaxPrice = Math.Max(iPrice, iMaxPrice);
if(iTrailingCount >= Config.GetTrailingCnt())
{
m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, {7} line:{8})\n",
strCodeName,
RowDT.ToString("yyyy-MM-dd HH:mm:ss"),
iRow,
iPrice,
iPrice-iStartPrice,
(iPrice-iStartPrice)*100/(float)iStartPrice,
iStartPrice,
StartDT.ToString("yyyy-MM-dd HH:mm:ss"),
iStartRow
));
iTotalProfit += (iPrice-iStartPrice)*iStockCount;
iTotalBid += iStartPrice*iStockCount;
break;
}
}
iPrevPrice = iPrice;
iPrevAskPrice = iAskPrice;
aPrevDT.Add(RowDT);
if(aPrevDT.Count > 15)
aPrevDT.RemoveAt(0);
}
}
m_tbLogView.AppendText(string.Format("[시뮬레이션 종료] 총수익 : {0:n0}원 : {1:n2}%\n\n", iTotalProfit, iTotalProfit*100/(float)iTotalBid));
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}
}
}