trade/AutoSeller
1
0
Fork 0
Code Issues Pull Requests Releases Activity

simulation row 찾기 정교하게 수정

Browse Source
This commit is contained in:
mjjo53
2018-01-01 23:01:15 +09:00
parent 74aede9da7
commit ff43fbd1f4
4 changed files with 185 additions and 365 deletions
Download Patch File Download Diff File Expand all files Collapse all files

94
CybosHelper.cs
View File

@@ -10,8 +10,23 @@ namespace AutoSellerNS
{
public class CybosHelper
{
public class PriceNode
{
public int m_iTime;
public int m_iPrice;
public int m_iAskPrice;
public int m_iBidPrice;
public int m_iAccDealCnt;
public int m_iDealCnt;
public double m_dAvg;
public double m_dSD;
public double m_dSellLimit;
public int m_iSellCnt;
}
public class STOCK_CUR_ITEM
{
public AutoSeller m_Listener = null;
public CybosHelper m_CybosHelper = null;
public string m_strCode;
@@ -23,6 +38,7 @@ namespace AutoSellerNS
public int[] m_aiAskPrice = new int[10];
public int[] m_aiAskCount = new int[10];
public int m_iOpenigPrice = 0;
public int m_iCurPrice = 0;
public int m_iMaxPrice = 0;
public int m_iCheckCount = 0;
@@ -30,30 +46,41 @@ namespace AutoSellerNS
public int m_iTrailingCount = 0;
// real time, price time, price
public List<Tuple<int, int, int>> m_PriceList = new List<Tuple<int, int, int>>();
public double m_dCheckCountLimit = 5;
public List<PriceNode> m_PriceList = new List<PriceNode>();
public double m_dCheckCountLimit = Config.GetBidCount();
int m_iPrevTime = 0;
public void OnRecievedPrice()
{
bool bReal = (m_StockCur.GetHeaderValue(19) == '2');
bool bOpeningHour = (m_StockCur.GetHeaderValue(19) == '2');
m_iCurPrice = m_StockCur.GetHeaderValue(13);
if (m_iOpenigPrice == 0)
m_iOpenigPrice = m_iCurPrice;
int iTime = m_StockCur.GetHeaderValue(18);
int iConclusionCnt = m_StockCur.GetHeaderValue(17);
int iAccDealCnt = m_StockCur.GetHeaderValue(9);
int iDealCnt = m_StockCur.GetHeaderValue(17);
int iTimeDiff = 0;
if(m_iPrevTime > 0)
iTimeDiff = ((iTime/10000)*60*60 + ((iTime%10000)/100)*60 + (iTime%100)) - ((m_iPrevTime/10000)*60*60 + ((m_iPrevTime%10000)/100)*60 + (m_iPrevTime%100));
if(bReal == true)
if(bOpeningHour == true)
{
DateTime RealTime = DateTime.Now;
int iRealTime = RealTime.Hour * 10000 + RealTime.Minute * 100 + RealTime.Second;
m_PriceList.Add(new Tuple<int, int, int>(iRealTime, iTime, m_iCurPrice));
double dAverage = (float)m_PriceList.Average(s => s.Item3);
double sumOfSquaresOfDifferences = m_PriceList.Select(val => Math.Pow((val.Item3-dAverage)/m_CybosHelper.GetUnitValue(val.Item3), 2)).Sum();
double dStdDev = Math.Sqrt(sumOfSquaresOfDifferences / m_PriceList.Count);
List<int> lastNPrice = null;
if (Config.GetListSize() == 0)
lastNPrice = m_PriceList.Select(s => s.m_iPrice).ToList();
else
lastNPrice = m_PriceList.Skip(Math.Max(0, m_PriceList.Count - (Config.GetListSize()-1))).Select(s => s.m_iPrice).ToList();
lastNPrice.Add(m_iCurPrice);
double dAverage = lastNPrice.Average();
double sumOfSquaresOfDifferences = lastNPrice.Select(val => Math.Pow((val - dAverage)/m_CybosHelper.GetUnitValue(val), 2)).Sum();
double dStdDev = Math.Sqrt(sumOfSquaresOfDifferences / lastNPrice.Count);
if(dStdDev >= Config.GetFastSD())
{
if(m_iCurPrice >= dAverage)
@@ -120,9 +147,23 @@ namespace AutoSellerNS
m_iCurPrice,
m_iMaxPrice));
}
m_PriceList.Add(new PriceNode {
m_iTime = iTime,
m_iPrice = m_iCurPrice,
m_iAskPrice = iAskPrice,
m_iBidPrice = iBidPrice,
m_iAccDealCnt = iAccDealCnt,
m_iDealCnt = iDealCnt,
m_dAvg = dAverage,
m_dSD = dStdDev,
m_dSellLimit = m_dCheckCountLimit,
m_iSellCnt = m_iCheckCount,
});
}
m_Listener.OnReceivedCurPrice(m_strCode, m_iCurPrice, m_iMaxPrice, m_dCheckCountLimit, m_iCheckCount, bReal);
m_Listener.OnReceivedCurPrice(m_strCode, m_iCurPrice, m_iMaxPrice, m_dCheckCountLimit, m_iCheckCount, bOpeningHour);
m_iPrevTime = iTime;
}
@@ -201,11 +242,16 @@ namespace AutoSellerNS
Directory.CreateDirectory(Util.GetLogPath());
string strToday = DateTime.Now.ToString("yyyy-MM-dd");
string strFilePath = Util.GetLogPath() + "/price-" + strToday + item.m_strCodeName + ".txt";
string strMessage = "";
foreach (var pair in item.m_PriceList)
string strFilePath = Util.GetLogPath() + "/price-" + strToday + item.m_strCodeName + ".csv";
string strMessage = "시간, 동시호가, 현재가, 매도호가, 매수호가, 거래량, 순간체결량, 평균, 표준편차, 매도 제한, 매도 수, 시가 대비";
File.AppendAllText(strFilePath, strMessage + Environment.NewLine, new UTF8Encoding(true));
foreach (var node in item.m_PriceList)
{
strMessage = string.Format("[{0}] {1} ({2})", pair.Item2, pair.Item3, pair.Item1);
strMessage = string.Format("{0}:{1}:{2}, , {3}, {4}, {5}, {6}, {7}, {8}, {9}, {10}, {11}, {12:0.00}",
node.m_iTime/10000, (node.m_iTime/100)%100, node.m_iTime%100,
node.m_iPrice, node.m_iAskPrice, node.m_iBidPrice,
node.m_iAccDealCnt, node.m_iDealCnt,
node.m_dAvg, node.m_dSD, node.m_dSellLimit, node.m_iSellCnt, (node.m_iPrice-item.m_PriceList[0].m_iPrice)*100/(double)item.m_PriceList[0].m_iPrice);
File.AppendAllText(strFilePath, strMessage + Environment.NewLine, new UTF8Encoding(true));
}
}
@@ -325,9 +371,8 @@ namespace AutoSellerNS
Item.m_iOrderPrice = CP5339.GetDataValue(7, i);
Item.m_iRemainCnt = CP5339.GetDataValue(11, i);
Item.m_bAsk = (CP5339.GetDataValue(13, i) == "1");
Item.m_iOrderNo = CP5339.GetDataValue(1, i);
Item.m_iOrgOrderNo = CP5339.GetDataValue(2, i);
if(Item.m_iOrgOrderNo == 0)
Item.m_iOrgOrderNo = CP5339.GetDataValue(1, i);
NCItems.Add(Item);
}
@@ -388,7 +433,18 @@ namespace AutoSellerNS
m_Listener.UpdateNCItem();
Util.Log(bBid ? Util.LOG_TYPE.BUY : Util.LOG_TYPE.SELL, string.Format("{0}:{1} {2} 접수 ({3:n0}원 {4}주) - {5}", strCodeName, strCode, strBidOrAsk, iPrice, iConclusionCnt, strOrderCondition));
if (bBid == true)
SimulationHelper.InsertSimulationLog(strCode, strCodeName, iPrice);
{
if(m_aStockCur.ContainsKey(strCode) == true)
{
var priceList = m_aStockCur[strCode].m_PriceList;
List<Tuple<int, int>> PriceDealCntList = new List<Tuple<int, int>>();
for (int i = 0; i < Math.Min(5, priceList.Count); i++)
PriceDealCntList.Add(new Tuple<int, int>(priceList[i].m_iPrice, priceList[i].m_iDealCnt));
SimulationHelper.InsertSimulationLog(strCode, strCodeName, PriceDealCntList);
}
}
break;
}
}
@@ -527,11 +583,7 @@ namespace AutoSellerNS
int iIdx = iCorrectIdx++;
Util.Log(Util.LOG_TYPE.DEBUG, string.Format("CorrectionItem Start ({0})", iIdx));
int iSellPrice = iAskPrice-GetUnitValue(iAskPrice);
//CancelItem(strCode, iOrgOrderNo);
//Thread.Sleep(1000);
//SellItem(strCode, iCnt, iAskPrice);
int iSellPrice = iAskPrice;
CPTRADELib.CpTd0313 Td0313 = new CPTRADELib.CpTd0313();
Td0313.SetInputValue(1, iOrgOrderNo);