872 lines
26 KiB
C#
872 lines
26 KiB
C#
using CPSYSDIBLib;
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using DSCBO1Lib;
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using OfficeOpenXml;
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using System;
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using System.Collections.Generic;
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using System.Drawing;
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using System.Globalization;
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using System.IO;
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using System.Linq;
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using System.Text;
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using System.Threading;
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using System.Threading.Tasks;
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using System.Windows.Forms;
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namespace AutoSellerNS
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{
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class SimulationHelper
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{
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AutoSeller m_AutoSeller = null;
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CybosHelper m_CybosHelper = null;
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RichTextBox m_tbLogView = null;
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public SimulationHelper(AutoSeller autoSeller, CybosHelper CybosHelper, RichTextBox tbLog)
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{
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m_AutoSeller = autoSeller;
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m_CybosHelper = CybosHelper;
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m_tbLogView = tbLog;
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}
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//public void LoadTxt()
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//{
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// List<string> aItems = new List<string>();
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// StockChart CPStockChart = new StockChart();
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// foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
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// {
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// var tokens = strLine.Split('\t');
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// var strDate = tokens[0];
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// var strNewTime = tokens[1];
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// var strSimulationTime = tokens[2];
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// var strCodeName = tokens[3];
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// var strCode = tokens[4];
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// var strStartPrice = tokens[5];
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// DateTime StartDT;
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// DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
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// uint uiStartDate;
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// uint.TryParse(StartDT.ToString("yyyyMMdd"), out uiStartDate);
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// string strOutFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".txt";
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// if(File.Exists(strOutFileName) == true)
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// continue;
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// CPStockChart.SetInputValue(0, "A"+strCode);
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// CPStockChart.SetInputValue(1, '1');
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// CPStockChart.SetInputValue(2, uiStartDate);
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// CPStockChart.SetInputValue(3, uiStartDate);
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// CPStockChart.SetInputValue(4, 100000);
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// CPStockChart.SetInputValue(5, new int[] { 0, 1, 5, 8, 9, 10, 11 });
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// CPStockChart.SetInputValue(6, 'T');
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// CPStockChart.BlockRequest2(0);
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// int iFieldCnt = CPStockChart.GetHeaderValue(1);
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// string[] astrFieldName = CPStockChart.GetHeaderValue(2);
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// string strOutLine = "";
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// for(int j = 0; j<iFieldCnt; j++)
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// {
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// strOutLine += astrFieldName[j];
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// strOutLine += '\t';
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// }
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// File.AppendAllText(strOutFileName, strOutLine+Environment.NewLine, new UTF8Encoding(true));
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// strOutLine = "";
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// bool bContinue = true;
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// while(bContinue == true)
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// {
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// int iCnt = CPStockChart.GetHeaderValue(3);
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// for(int i = 0; i<iCnt; i++)
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// {
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// for(int j = 0; j<iFieldCnt; j++)
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// {
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// strOutLine += CPStockChart.GetDataValue(j, i);
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// strOutLine += '\t';
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// }
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// strOutLine += Environment.NewLine;
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// if(i % 1000 == 999)
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// {
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// File.AppendAllText(strOutFileName, strOutLine, new UTF8Encoding(true));
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// strOutLine = "";
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// }
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// }
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// bContinue = (CPStockChart.Continue==1);
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// if(bContinue == true)
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// CPStockChart.BlockRequest2(0);
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// m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", m_CybosHelper.GetLimitRemainCountRQ()));
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// }
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// if(strOutLine.Length > 0)
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// {
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// File.AppendAllText(strOutFileName, strOutLine, new UTF8Encoding(true));
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// strOutLine = "";
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// }
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// m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End"));
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// }
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// m_tbLogView.AppendText(string.Format("[Load] All End"));
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//}
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//public void LoadExcel()
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//{
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// List<string> aItems = new List<string>();
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// StockChart CPStockChart = new StockChart();
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// ExcelHandler Excel = null;
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// foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
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// {
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// var tokens = strLine.Split('\t');
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// var strDate = tokens[0];
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// var strNewTime = tokens[1];
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// var strSimulationTime = tokens[2];
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// var strCodeName = tokens[3];
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// strCodeName = strCodeName.Trim();
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// var strCode = tokens[4];
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// var strStartPrice = tokens[5];
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// DateTime StartDT;
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// DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
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// string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-StockChart-" + strCodeName + ".xlsx";
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// if(File.Exists(strOutFileName) == true)
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// {
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// if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
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// File.Delete(strOutFileName);
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// else
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// continue;
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// }
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// CPStockChart.SetInputValue(0, "A"+strCode);
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// CPStockChart.SetInputValue(1, '1');
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// CPStockChart.SetInputValue(2, StartDT.ToString("yyyyMMdd"));
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// CPStockChart.SetInputValue(3, StartDT.ToString("yyyyMMdd"));
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// CPStockChart.SetInputValue(5, new int[] { 0, 1, 5, 8, 9, 10, 11 });
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// CPStockChart.SetInputValue(6, 'T');
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// CPStockChart.BlockRequest2(0);
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// int iFieldCnt = CPStockChart.GetHeaderValue(1);
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// string[] astrFieldName = CPStockChart.GetHeaderValue(2);
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// List<object> aRow = new List<object>();
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// List<object[]> aaRows = new List<object[]>();
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// Excel = new ExcelHandler(strOutFileName, astrFieldName);
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// bool bContinue = true;
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// while(bContinue == true)
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// {
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// int iCnt = CPStockChart.GetHeaderValue(3);
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// for(int i = 0; i<iCnt; i++)
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// {
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// for(int j = 0; j<iFieldCnt; j++)
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// aRow.Add(CPStockChart.GetDataValue(j, i));
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// if(aaRows.Count == 0)
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// {
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// aRow.Add(0);
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// aRow.Add(0);
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// }
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// else
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// {
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// aRow.Add((uint)aaRows.Last()[5]-(uint)aRow[5]);
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// aRow.Add((uint)aaRows.Last()[6]-(uint)aRow[6]);
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// }
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// aaRows.Add(aRow.ToArray());
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// aRow.Clear();
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// }
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// bContinue = (CPStockChart.Continue==1);
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// if(bContinue == true)
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// CPStockChart.BlockRequest2(0);
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// m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", m_CybosHelper.GetLimitRemainCountRQ()));
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// }
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// aaRows.Reverse();
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// Excel.AddRows(aaRows.ToArray());
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// m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End\n"));
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// }
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// m_tbLogView.AppendText(string.Format("[Load] All End\n\n"));
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// m_tbLogView.SelectionStart = m_tbLogView.TextLength;
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// m_tbLogView.ScrollToCaret();
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//}
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public void LoadExcel2()
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{
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List<string> aItems = new List<string>();
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StockBid CPStockBid = new StockBid();
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ExcelHandler Excel = null;
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foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
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{
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var tokens = strLine.Split('\t');
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var strDate = tokens[0];
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var strNewTime = tokens[1];
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var strSimulationTime = tokens[2];
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var strCodeName = tokens[3];
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strCodeName = strCodeName.Trim();
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var strCode = tokens[4];
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var strStartPrice = tokens[5];
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DateTime StartDT;
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DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
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string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-JpBid-" + strCodeName + ".xlsx";
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if(File.Exists(strOutFileName) == true)
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{
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if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
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File.Delete(strOutFileName);
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else
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continue;
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}
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CPStockBid.SetInputValue(0, "A"+strCode);
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CPStockBid.SetInputValue(2, 20000);
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CPStockBid.SetInputValue(3, 'C');
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CPStockBid.SetInputValue(4, "2000");
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CPStockBid.BlockRequest2(0);
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List<object[]> aaRows = new List<object[]>();
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bool bContinue = true;
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while(bContinue)
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{
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int iCnt = CPStockBid.GetHeaderValue(2);
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for(int i = 0; i<iCnt; i++)
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{
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var Time = (uint)(int)CPStockBid.GetDataValue(9, i);
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var AskPrice = CPStockBid.GetDataValue(2, i);
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var BidPrice = CPStockBid.GetDataValue(3, i);
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var CurPrice = CPStockBid.GetDataValue(4, i);
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var AccDealCount = CPStockBid.GetDataValue(5, i);
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var Flag = CPStockBid.GetDataValue(10, i) == '1' ? "*" : "";
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var DealCount = CPStockBid.GetDataValue(6, i);
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aaRows.Add(new object[]{ Time, Flag, CurPrice, AskPrice, BidPrice, AccDealCount, DealCount, });
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}
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bContinue = (CPStockBid.Continue == 1);
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if(bContinue == true)
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{
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while(m_CybosHelper.GetLimitRemainCountRQ() < 2)
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Thread.Sleep(100);
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CPStockBid.BlockRequest2(0);
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}
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m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", m_CybosHelper.GetLimitRemainCountRQ()));
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}
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aaRows.Reverse();
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Excel = new ExcelHandler(strOutFileName, new string[]{ "시간", "동시호가", "현재가", "매도호가", "매수호가", "거래량", "순간체결량" });
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Excel.AddRows(aaRows.ToArray());
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m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End\n"));
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}
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m_tbLogView.AppendText(string.Format("[Load] All End\n\n"));
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m_tbLogView.SelectionStart = m_tbLogView.TextLength;
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m_tbLogView.ScrollToCaret();
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}
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//public void StartSimuation()
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//{
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// m_tbLogView.AppendText(string.Format("[시뮬레이션 시작] 조건 : {0}회, 트레일링 : {1}%, {2}회\n", Config.GetBidCount(), Config.GetTrailingRate(), Config.GetTrailingCnt()));
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// int iTotalProfit = 0;
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// int iTotalBid = 0;
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// foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
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// {
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// var tokens = strLine.Split('\t');
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// var strDate = tokens[0];
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// var strNewTime = tokens[1];
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// var strSimulationTime = tokens[2];
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// var strCodeName = tokens[3];
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// strCodeName = strCodeName.Trim();
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// var strCode = tokens[4];
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// var strStartPrice = tokens[5];
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// DateTime StartDT;
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// DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
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// int iStartPrice;
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// int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
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// string strFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-StockChart-" + strCodeName + ".xlsx";
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// FileInfo newFile = new FileInfo(strFileName);
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// ExcelPackage package = new ExcelPackage(newFile);
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// ExcelWorksheet Sheet = package.Workbook.Worksheets["sheet"];
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// int iMaxRow = Sheet.Dimension.Rows;
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// DateTime RowDT;
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// bool bStart = false;
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// int iTotalAskCount = 0;
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// int iTotalBidCount = 0;
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// int iPrevAskCount = 0;
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// int iPrevBidCount = 0;
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// bool bBid = false;
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// int iAskCount = 0;
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// int iTrailingCount = 0;
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// int iMaxPrice = int.MinValue;
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// int iStockCount = 0;
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// int iStartRow = 0;
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// int iPrevPrice = 0;
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// for(int iRow = 2; iRow<=iMaxRow; iRow++)
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// {
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// int iTime = (int)(double)Sheet.Cells[iRow, 2].Value;
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// int iPrice = (int)(double)Sheet.Cells[iRow, 3].Value;
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// iTotalAskCount = (int)(double)Sheet.Cells[iRow, 6].Value;
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// iTotalBidCount = (int)(double)Sheet.Cells[iRow, 7].Value;
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// bBid = (iTotalAskCount == iPrevAskCount);
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// DateTime.TryParse(strDate+" "+string.Format("{0}:{1}:{2}", iTime/100, iTime%100, 59), out RowDT);
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// iStockCount = 1000000/iStartPrice;
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// if(bStart == false)
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// {
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// if(RowDT >= StartDT && iPrice==iStartPrice)
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// {
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// bStart = true;
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// iStartRow = iRow;
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// }
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// else if((RowDT-StartDT).Minutes > 10)
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// {
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// InsertLog(string.Format("[{0,-10}] 매수 가격 찾기 실패", strCodeName));
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// break;
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// }
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// }
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// else
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// {
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// if(bBid == false)
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// iAskCount++;
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// else
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// iAskCount = 0;
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// if(iAskCount >= Config.GetBidCount())
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// {
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// 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",
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// strCodeName,
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// RowDT.ToString("yyyy-MM-dd HH:mm:00"),
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// iRow,
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// iPrice,
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// iPrice-iStartPrice,
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// (iPrice-iStartPrice)*100/(float)iStartPrice,
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// iStartPrice,
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// iStartRow
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// ));
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// iTotalProfit += (iPrice-iStartPrice)*iStockCount;
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// iTotalBid += iStartPrice*iStockCount;
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// break;
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// }
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// if(iPrice > iMaxPrice)
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// iTrailingCount = 0;
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// else if(iPrice <= iMaxPrice*(100-Config.GetTrailingRate())/100)
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// iTrailingCount++;
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// iMaxPrice = Math.Max(iPrice, iMaxPrice);
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// if(iTrailingCount >= Config.GetTrailingCnt())
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// {
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// m_tbLogView.AppendText(string.Format("[{0}] 트레일링 매도 {1} line:{2} {3:n0}원 ({4} : {5:n2}%) (매수 : {6:n0}원, line:{7})\n",
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// strCodeName,
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// RowDT.ToString("yyyy-MM-dd HH:mm:00"),
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// iRow,
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// iPrice,
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// iPrice-iStartPrice,
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// (iPrice-iStartPrice)*100/(float)iStartPrice,
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// iStartPrice,
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// iStartRow
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// ));
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// iTotalProfit += (iPrice-iStartPrice)*iStockCount;
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// iTotalBid += iStartPrice*iStockCount;
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// break;
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// }
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// }
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// iPrevPrice = iPrice;
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// iPrevAskCount = iTotalAskCount;
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// iPrevBidCount = iTotalBidCount;
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// }
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// }
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// m_tbLogView.AppendText(string.Format("[시뮬레이션 종료] 총수익 : {0:n0}원 : {1:n2}%\n\n", iTotalProfit, iTotalProfit*100/(float)iTotalBid));
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// m_tbLogView.SelectionStart = m_tbLogView.TextLength;
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// m_tbLogView.ScrollToCaret();
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//}
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void InsertLog(string strMsg)
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{
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m_tbLogView.Invoke(new Action(() => {
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int iPrevSelectionStart = m_tbLogView.SelectionStart;
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int iPrevSelectionLength = m_tbLogView.SelectionLength;
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bool bScroll = m_tbLogView.SelectionStart == m_tbLogView.TextLength;
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m_tbLogView.AppendText(strMsg);
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if(bScroll == true)
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{
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m_tbLogView.SelectionStart = m_tbLogView.TextLength;
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m_tbLogView.ScrollToCaret();
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}
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else
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{
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m_tbLogView.SelectionStart = iPrevSelectionStart;
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m_tbLogView.SelectionLength = iPrevSelectionLength;
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}
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}));
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}
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object SimulationWork(object param)
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{
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object[] aParams = (object[])param;
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int iListCnt = (int)aParams[0];
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double dFastSD = (double)aParams[1];
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double dFastUpCnt = (double)aParams[2];
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double dFastDownCnt = (double)aParams[3];
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double dSlowSD = (double)aParams[4];
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double dSlowUpCnt = (double)aParams[5];
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double dSlowDownCnt = (double)aParams[6];
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int iCompareType = (int)aParams[7];
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string strMethod = (string)aParams[8];
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string strLine = (string)aParams[9];
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double dTimeSub = (double)aParams[10];
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int iTimeDiffLimit = (int)aParams[11];
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var tokens = strLine.Split('\t');
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var strDate = tokens[0];
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var strNewTime = tokens[1];
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var strSimulationTime = tokens[2];
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var strCodeName = tokens[3];
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strCodeName = strCodeName.Trim();
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var strCode = tokens[4];
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var strStartPrice = tokens[5];
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DateTime StartDT;
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DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
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int iStartPrice;
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int.TryParse(strStartPrice, NumberStyles.AllowThousands, CultureInfo.CurrentCulture, out iStartPrice);
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int iSellPrice = iStartPrice;
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string strFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-JpBid-" + strCodeName + ".xlsx";
|
|
if(File.Exists(strFileName) == false)
|
|
return new object[] { string.Format("[{0}] [{1}] 파일이 없음\n", StartDT.ToString("yyyy-MM-dd"), strCodeName) , 0 };
|
|
|
|
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;
|
|
|
|
bool bStart = false;
|
|
int iAskCount = 0;
|
|
|
|
int iTrailingCount = 0;
|
|
int iMaxPrice = int.MinValue;
|
|
int iStockCount = 0;
|
|
int iStartRow = 0;
|
|
int iPrevPrice = 0;
|
|
|
|
double dCheckCount = 5.0;
|
|
List<int> m_PriceList = new List<int>();
|
|
|
|
Sheet.Column(7).Style.Font.Color.SetColor(Color.Black);
|
|
Sheet.DeleteColumn(8, 11);
|
|
|
|
Sheet.Cells[1, 8].Value = "평균";
|
|
Sheet.Cells[1, 9].Value = "표준편차";
|
|
Sheet.Cells[1, 10].Value = "매도 제한";
|
|
Sheet.Cells[1, 11].Value = "매도 수";
|
|
Sheet.View.FreezePanes(2, 1);
|
|
|
|
double dPrevStdDev = 0;
|
|
string strReturnMsg = "";
|
|
int iPrevTime = 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;
|
|
|
|
int iTimeDiff = 0;
|
|
if(iPrevTime > 0)
|
|
iTimeDiff = ((iTime/10000)*60*60 + ((iTime%10000)/100)*60 + (iTime%100)) - ((iPrevTime/10000)*60*60 + ((iPrevTime%10000)/100)*60 + (iPrevTime%100));
|
|
|
|
if((string)Sheet.Cells[iRow, 2].Value == "*")
|
|
{
|
|
iPrevTime = iTime;
|
|
continue;
|
|
}
|
|
|
|
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;
|
|
|
|
m_PriceList.Clear();
|
|
m_PriceList.Add(iPrice);
|
|
}
|
|
else if((RowDT-StartDT).Minutes > 10)
|
|
{
|
|
InsertLog(string.Format("[{0}] [{1}] 매수 가격 찾기 실패\n",
|
|
StartDT.ToString("yyyy-MM-dd"),
|
|
strCodeName));
|
|
break;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
m_PriceList.Add(iPrice);
|
|
if(m_PriceList.Count > iListCnt)
|
|
m_PriceList.RemoveAt(0);
|
|
|
|
double dAverage = (float)m_PriceList.Average();
|
|
double sumOfSquaresOfDifferences = m_PriceList.Select(val => Math.Pow((val-dAverage)/m_CybosHelper.GetUnitValue(val), 2)).Sum();
|
|
double dStdDev = Math.Sqrt(sumOfSquaresOfDifferences / m_PriceList.Count);
|
|
if(dStdDev >= dFastSD)
|
|
{
|
|
switch(iCompareType)
|
|
{
|
|
case 1:
|
|
if(iPrice >= dAverage)
|
|
dCheckCount += dFastUpCnt;
|
|
else
|
|
dCheckCount -= dFastDownCnt;
|
|
break;
|
|
|
|
case 2:
|
|
if(iPrice >= m_PriceList[m_PriceList.Count-2])
|
|
dCheckCount += dFastUpCnt;
|
|
else
|
|
dCheckCount -= dFastDownCnt;
|
|
break;
|
|
|
|
case 3:
|
|
if(iPrice <= iBidPrice)
|
|
dCheckCount -= dFastDownCnt;
|
|
else
|
|
dCheckCount += dFastUpCnt;
|
|
break;
|
|
}
|
|
}
|
|
else if(dStdDev <= dSlowSD)
|
|
{
|
|
switch(iCompareType)
|
|
{
|
|
case 1:
|
|
if(iPrice >= dAverage)
|
|
dCheckCount += dSlowUpCnt;
|
|
else
|
|
dCheckCount -= dSlowDownCnt;
|
|
break;
|
|
|
|
case 2:
|
|
if(iPrice >= m_PriceList[m_PriceList.Count-2])
|
|
dCheckCount += dSlowUpCnt;
|
|
else
|
|
dCheckCount -= dSlowDownCnt;
|
|
break;
|
|
|
|
case 3:
|
|
if(iPrice <= iBidPrice)
|
|
dCheckCount -= dSlowDownCnt;
|
|
else
|
|
dCheckCount += dSlowUpCnt;
|
|
break;
|
|
}
|
|
}
|
|
|
|
|
|
dCheckCount -= iTimeDiff*dTimeSub;
|
|
|
|
//dCheckCount = Math.Min(Math.Max(dCheckCount, 0), 15);
|
|
|
|
Sheet.Cells[iRow, 8].Value = dAverage;
|
|
Sheet.Cells[iRow, 9].Value = dStdDev;
|
|
Sheet.Cells[iRow, 9].Style.Numberformat.Format = "0.00";
|
|
Sheet.Cells[iRow, 10].Value = dCheckCount;
|
|
|
|
// 호가 비교 - 매수호가 기준
|
|
if(iPrice <= iBidPrice)
|
|
{
|
|
iAskCount++;
|
|
Sheet.Cells[iRow, 7].Style.Font.Color.SetColor(Color.Blue);
|
|
}
|
|
else
|
|
{
|
|
iAskCount = 0;
|
|
Sheet.Cells[iRow, 7].Style.Font.Color.SetColor(Color.Red);
|
|
}
|
|
|
|
Sheet.Cells[iRow, 11].Value = iAskCount;
|
|
|
|
if(iAskCount >= Math.Round(dCheckCount))
|
|
{
|
|
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
|
|
strReturnMsg = string.Format("[{0}] [{1}] 조건1 매도 (매수: {2:n0}원, {3}, line:{4}) (매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8}) (손익: {9}, {10:n0} : {11:n2}%) {12} \n",
|
|
StartDT.ToString("yyyy-MM-dd"),
|
|
strCodeName,
|
|
|
|
iStartPrice,
|
|
StartDT.ToString("HH:mm:ss"),
|
|
iStartRow,
|
|
|
|
iPrice,
|
|
iSellPrice,
|
|
RowDT.ToString("HH:mm:ss"),
|
|
iRow,
|
|
|
|
iSellPrice-iStartPrice,
|
|
(iSellPrice-iStartPrice)*iStockCount,
|
|
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
|
|
|
|
dCheckCount
|
|
);
|
|
break;
|
|
}
|
|
|
|
if(iPrice > iMaxPrice)
|
|
iTrailingCount = 0;
|
|
else if(iPrice <= iMaxPrice*(100-Config.GetTrailingRate())/100)
|
|
iTrailingCount++;
|
|
iMaxPrice = Math.Max(iPrice, iMaxPrice);
|
|
|
|
if(iTrailingCount >= Config.GetTrailingCnt())
|
|
{
|
|
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
|
|
strReturnMsg = string.Format("[{0}] [{1}] 트레일링 매도 (매수: {2:n0}원, {3}, line:{4}) (매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8}) (손익: {9}, {10:n0} : {11:n2}%) {12} \n",
|
|
StartDT.ToString("yyyy-MM-dd"),
|
|
strCodeName,
|
|
|
|
iStartPrice,
|
|
StartDT.ToString("HH:mm:ss"),
|
|
iStartRow,
|
|
|
|
iPrice,
|
|
iSellPrice,
|
|
RowDT.ToString("HH:mm:ss"),
|
|
iRow,
|
|
|
|
iSellPrice-iStartPrice,
|
|
(iSellPrice-iStartPrice)*iStockCount,
|
|
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
|
|
|
|
dCheckCount
|
|
|
|
);
|
|
|
|
break;
|
|
}
|
|
|
|
if(iTimeDiff >= iTimeDiffLimit)
|
|
{
|
|
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
|
|
strReturnMsg = string.Format("[{0}] [{1}] 제한시간 매도 (매수: {2:n0}원, {3}, line:{4}) (매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8}) (손익: {9}, {10:n0} : {11:n2}%) {12} \n",
|
|
StartDT.ToString("yyyy-MM-dd"),
|
|
strCodeName,
|
|
|
|
iStartPrice,
|
|
StartDT.ToString("HH:mm:ss"),
|
|
iStartRow,
|
|
|
|
iPrice,
|
|
iSellPrice,
|
|
RowDT.ToString("HH:mm:ss"),
|
|
iRow,
|
|
|
|
iSellPrice-iStartPrice,
|
|
(iSellPrice-iStartPrice)*iStockCount,
|
|
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
|
|
|
|
dCheckCount
|
|
|
|
);
|
|
|
|
break;
|
|
}
|
|
|
|
dPrevStdDev = dStdDev;
|
|
}
|
|
|
|
if(iRow == iMaxRow)
|
|
{
|
|
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
|
|
strReturnMsg = string.Format("[{0}] [{1}] 종료 매도 (매수: {2:n0}원, {3}, line:{4}) (매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8}) (손익: {9}, {10:n0} : {11:n2}%) {12} \n",
|
|
StartDT.ToString("yyyy-MM-dd"),
|
|
strCodeName,
|
|
|
|
iStartPrice,
|
|
StartDT.ToString("HH:mm:ss"),
|
|
iStartRow,
|
|
|
|
iPrice,
|
|
iSellPrice,
|
|
RowDT.ToString("HH:mm:ss"),
|
|
iRow,
|
|
|
|
iSellPrice-iStartPrice,
|
|
(iSellPrice-iStartPrice)*iStockCount,
|
|
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
|
|
|
|
dCheckCount
|
|
|
|
);
|
|
|
|
break;
|
|
}
|
|
|
|
iPrevPrice = iPrice;
|
|
iPrevTime = iTime;
|
|
}
|
|
|
|
Sheet.Cells.AutoFitColumns(0);
|
|
Sheet.Select(ExcelAddress.GetAddress(Math.Max(iStartRow, 1), 1), true);
|
|
|
|
package.Save();
|
|
|
|
return new object[] { strReturnMsg, (iSellPrice-iStartPrice)*iStockCount };
|
|
}
|
|
|
|
int Simulation(object param)
|
|
{
|
|
object[] aParams = (object[])param;
|
|
|
|
int iListCnt = (int)aParams[0];
|
|
double dFastSD = (double)aParams[1];
|
|
double dFastUpCnt = (double)aParams[2];
|
|
double dFastDownCnt = (double)aParams[3];
|
|
double dSlowSD = (double)aParams[4];
|
|
double dSlowUpCnt = (double)aParams[5];
|
|
double dSlowDownCnt = (double)aParams[6];
|
|
int iCompareType = (int)aParams[7];
|
|
string strMethod = (string)aParams[8];
|
|
double dTimeSub = (double)aParams[9];
|
|
int iTimeDiffLimit = (int)aParams[10];
|
|
|
|
InsertLog(string.Format("[시뮬레이션 시작] 조건 : {0}회, 트레일링 : {1}%, {2}회\n \t\t리스트 크기:{3}, Fast : {4}, {5}, {6}, Slow : {7}, {8}, {9}, 초당 {10} 감소, 제한 시간: {11} 비교 방식 : {12}\n",
|
|
Config.GetBidCount(), Config.GetTrailingRate(), Config.GetTrailingCnt(),
|
|
iListCnt, dFastSD, dFastUpCnt, dFastDownCnt, dSlowSD, dSlowUpCnt, dSlowDownCnt,
|
|
dTimeSub, iTimeDiffLimit,
|
|
strMethod
|
|
));
|
|
|
|
|
|
|
|
List<string> aLines = new List<string>();
|
|
List<Task<object>> aTasks = new List<Task<object>>();
|
|
foreach(string strLine in File.ReadLines(Util.GetSimulationPath()+"/0-input.txt", Encoding.UTF8))
|
|
{
|
|
var task = Task.Factory.StartNew<object>(() => SimulationWork(new object[] {
|
|
iListCnt,
|
|
dFastSD, dFastUpCnt, dFastDownCnt,
|
|
dSlowSD, dSlowUpCnt, dSlowDownCnt,
|
|
iCompareType, strMethod,
|
|
strLine, dTimeSub, iTimeDiffLimit }));
|
|
|
|
aTasks.Add(task);
|
|
}
|
|
|
|
int iTotalProfit = 0;
|
|
foreach(var task in aTasks)
|
|
{
|
|
object[] aResult = (object[])task.Result;
|
|
InsertLog((string)aResult[0]);
|
|
iTotalProfit += (int)aResult[1];
|
|
}
|
|
|
|
InsertLog(string.Format("[시뮬레이션 종료] 총수익 : {0:n0}원 : {1:n2}%\n\n", iTotalProfit, iTotalProfit*100/(float)1000000));
|
|
InsertLog("======================================================================\n");
|
|
return 0;
|
|
}
|
|
|
|
public void StartSimuation2()
|
|
{
|
|
int iListCnt;
|
|
double dFastSD;
|
|
double dFastUpCnt;
|
|
double dFastDownCnt;
|
|
double dSlowSD;
|
|
double dSlowUpCnt;
|
|
double dSlowDownCnt;
|
|
double dTimeSub;
|
|
int iTimeDiffLimit;
|
|
|
|
int.TryParse(m_AutoSeller.tbSMListSize.Text, out iListCnt);
|
|
double.TryParse(m_AutoSeller.tbSMFastSD.Text, out dFastSD);
|
|
double.TryParse(m_AutoSeller.tbSMFastUpCnt.Text, out dFastUpCnt);
|
|
double.TryParse(m_AutoSeller.tbSMFastDownCnt.Text, out dFastDownCnt);
|
|
double.TryParse(m_AutoSeller.tbSMSlowSD.Text, out dSlowSD);
|
|
double.TryParse(m_AutoSeller.tbSMSlowUpCnt.Text, out dSlowUpCnt);
|
|
double.TryParse(m_AutoSeller.tbSMSlowDownCnt.Text, out dSlowDownCnt);
|
|
double.TryParse(m_AutoSeller.tbSMTimeSub.Text, out dTimeSub);
|
|
int.TryParse(m_AutoSeller.tbSMTimeDiffLimit.Text, out iTimeDiffLimit);
|
|
|
|
string strMethod = "";
|
|
m_AutoSeller.cbSMMethod.Invoke(new Action(() => {
|
|
strMethod = (string)m_AutoSeller.cbSMMethod.SelectedItem;
|
|
}));
|
|
|
|
int iCompareType;
|
|
if(strMethod == "평균 비교")
|
|
iCompareType = 1;
|
|
else if(strMethod == "마지막 비교")
|
|
iCompareType = 2;
|
|
else
|
|
iCompareType = 3;
|
|
|
|
|
|
Task.Factory.StartNew(() => {
|
|
// for(double dFastSD = 0.75; dFastSD<=0.75; dFastSD+=0.05)
|
|
// {
|
|
// for(double dFastUpCnt = 0; dFastUpCnt<=0; dFastUpCnt+=0.05)
|
|
// {
|
|
// for(double dSlowSD = 0.2; dSlowSD<=0.2; dSlowSD+=0.05)
|
|
// {
|
|
// for(double dSlowUpCnt = 0; dSlowUpCnt<=0; dSlowUpCnt+=0.05)
|
|
// {
|
|
Simulation(new object[] {
|
|
iListCnt,
|
|
dFastSD, dFastUpCnt, dFastDownCnt,
|
|
dSlowSD, dSlowUpCnt, dSlowDownCnt,
|
|
iCompareType, strMethod, dTimeSub, iTimeDiffLimit
|
|
});
|
|
// }
|
|
// }
|
|
// }
|
|
// }
|
|
});
|
|
}
|
|
}
|
|
}
|
|
|