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8f03c5137fa5f645187e610693a9f7d5ad09ae6d
AutoSeller/SimulationHelper.cs
mjjo 8f03c5137f 뻗는 부분 수정
2017-03-27 10:46:57 +09:00

1006 lines
30 KiB
C#
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using CPSYSDIBLib;
using DSCBO1Lib;
using OfficeOpenXml;
using System;
using System.Collections.Generic;
using System.Drawing;
using System.Globalization;
using System.IO;
using System.Linq;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
using System.Windows.Forms;
namespace AutoSellerNS
{
class SimulationHelper
{
AutoSeller m_AutoSeller = null;
CybosHelper m_CybosHelper = null;
RichTextBox m_tbLogView = null;
public SimulationHelper(AutoSeller autoSeller, CybosHelper CybosHelper, RichTextBox tbLog)
{
m_AutoSeller = autoSeller;
m_CybosHelper = CybosHelper;
m_tbLogView = tbLog;
}
//public void LoadTxt()
//{
// List<string> aItems = new List<string>();
// StockChart CPStockChart = new StockChart();
// 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);
// uint uiStartDate;
// uint.TryParse(StartDT.ToString("yyyyMMdd"), out uiStartDate);
// string strOutFileName = Util.GetSimulationPath() + "/" + strCodeName + "-" + StartDT.ToString("yyyy-MM-dd") + ".txt";
// if(File.Exists(strOutFileName) == true)
// continue;
// CPStockChart.SetInputValue(0, "A"+strCode);
// CPStockChart.SetInputValue(1, '1');
// CPStockChart.SetInputValue(2, uiStartDate);
// CPStockChart.SetInputValue(3, uiStartDate);
// CPStockChart.SetInputValue(4, 100000);
// CPStockChart.SetInputValue(5, new int[] { 0, 1, 5, 8, 9, 10, 11 });
// CPStockChart.SetInputValue(6, 'T');
// CPStockChart.BlockRequest2(1);
// int iFieldCnt = CPStockChart.GetHeaderValue(1);
// string[] astrFieldName = CPStockChart.GetHeaderValue(2);
// string strOutLine = "";
// for(int j = 0; j<iFieldCnt; j++)
// {
// strOutLine += astrFieldName[j];
// strOutLine += '\t';
// }
// File.AppendAllText(strOutFileName, strOutLine+Environment.NewLine, new UTF8Encoding(true));
// strOutLine = "";
// bool bContinue = true;
// while(bContinue == true)
// {
// int iCnt = CPStockChart.GetHeaderValue(3);
// for(int i = 0; i<iCnt; i++)
// {
// for(int j = 0; j<iFieldCnt; j++)
// {
// strOutLine += CPStockChart.GetDataValue(j, i);
// strOutLine += '\t';
// }
// strOutLine += Environment.NewLine;
// if(i % 1000 == 999)
// {
// File.AppendAllText(strOutFileName, strOutLine, new UTF8Encoding(true));
// strOutLine = "";
// }
// }
// bContinue = (CPStockChart.Continue==1);
// if(bContinue == true)
// CPStockChart.BlockRequest2(1);
// m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", m_CybosHelper.GetLimitRemainCountRQ()));
// }
// if(strOutLine.Length > 0)
// {
// File.AppendAllText(strOutFileName, strOutLine, new UTF8Encoding(true));
// strOutLine = "";
// }
// m_tbLogView.AppendText(string.Format("[Load] " + strOutFileName + " End"));
// }
// m_tbLogView.AppendText(string.Format("[Load] All End"));
//}
//public void LoadExcel()
//{
// List<string> aItems = new List<string>();
// StockChart CPStockChart = new StockChart();
// 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];
// strCodeName = strCodeName.Trim();
// var strCode = tokens[4];
// var strStartPrice = tokens[5];
// DateTime StartDT;
// DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
// string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-StockChart-" + strCodeName + ".xlsx";
// if(File.Exists(strOutFileName) == true)
// {
// if(StartDT.DayOfYear == DateTime.Now.DayOfYear)
// File.Delete(strOutFileName);
// else
// continue;
// }
// CPStockChart.SetInputValue(0, "A"+strCode);
// CPStockChart.SetInputValue(1, '1');
// CPStockChart.SetInputValue(2, StartDT.ToString("yyyyMMdd"));
// CPStockChart.SetInputValue(3, StartDT.ToString("yyyyMMdd"));
// CPStockChart.SetInputValue(5, new int[] { 0, 1, 5, 8, 9, 10, 11 });
// CPStockChart.SetInputValue(6, 'T');
// CPStockChart.BlockRequest2(1);
// int iFieldCnt = CPStockChart.GetHeaderValue(1);
// string[] astrFieldName = CPStockChart.GetHeaderValue(2);
// List<object> aRow = new List<object>();
// List<object[]> aaRows = new List<object[]>();
// Excel = new ExcelHandler(strOutFileName, astrFieldName);
// bool bContinue = true;
// while(bContinue == true)
// {
// int iCnt = CPStockChart.GetHeaderValue(3);
// for(int i = 0; i<iCnt; i++)
// {
// for(int j = 0; j<iFieldCnt; j++)
// aRow.Add(CPStockChart.GetDataValue(j, i));
// 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();
// }
// bContinue = (CPStockChart.Continue==1);
// if(bContinue == true)
// CPStockChart.BlockRequest2(1);
// m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", m_CybosHelper.GetLimitRemainCountRQ()));
// }
// 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];
strCodeName = strCodeName.Trim();
var strCode = tokens[4];
var strStartPrice = tokens[5];
DateTime StartDT;
DateTime.TryParse(strDate+" "+strSimulationTime, out StartDT);
string strOutFileName = Util.GetSimulationPath() + "/" + StartDT.ToString("yyyy-MM-dd") + "-JpBid-" + strCodeName + ".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(1);
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(1);
}
m_tbLogView.AppendText(string.Format("RequestRQ({0}) ", 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"));
}
m_tbLogView.AppendText(string.Format("[Load] All End\n\n"));
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}
//public void StartSimuation()
//{
// 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];
// strCodeName = strCodeName.Trim();
// 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() + "/" + StartDT.ToString("yyyy-MM-dd") + "-StockChart-" + strCodeName + ".xlsx";
// FileInfo newFile = new FileInfo(strFileName);
// ExcelPackage package = new ExcelPackage(newFile);
// ExcelWorksheet Sheet = package.Workbook.Worksheets["sheet"];
// int iMaxRow = Sheet.Dimension.Rows;
// DateTime RowDT;
// bool bStart = false;
// int iTotalAskCount = 0;
// int iTotalBidCount = 0;
// int iPrevAskCount = 0;
// int iPrevBidCount = 0;
// bool bBid = false;
// int iAskCount = 0;
// 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;
// int iPrice = (int)(double)Sheet.Cells[iRow, 3].Value;
// iTotalAskCount = (int)(double)Sheet.Cells[iRow, 6].Value;
// iTotalBidCount = (int)(double)Sheet.Cells[iRow, 7].Value;
// bBid = (iTotalAskCount == iPrevAskCount);
// DateTime.TryParse(strDate+" "+string.Format("{0}:{1}:{2}", iTime/100, iTime%100, 59), out RowDT);
// iStockCount = 1000000/iStartPrice;
// if(bStart == false)
// {
// if(RowDT >= StartDT && iPrice==iStartPrice)
// {
// bStart = true;
// iStartRow = iRow;
// }
// else if((RowDT-StartDT).Minutes > 10)
// {
// InsertLog(string.Format("[{0,-10}] 매수 가격 찾기 실패", strCodeName));
// break;
// }
// }
// else
// {
// if(bBid == false)
// iAskCount++;
// else
// iAskCount = 0;
// if(iAskCount >= Config.GetBidCount())
// {
// 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,
// iStartPrice,
// 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, line:{7})\n",
// strCodeName,
// RowDT.ToString("yyyy-MM-dd HH:mm:00"),
// iRow,
// iPrice,
// iPrice-iStartPrice,
// (iPrice-iStartPrice)*100/(float)iStartPrice,
// iStartPrice,
// iStartRow
// ));
// iTotalProfit += (iPrice-iStartPrice)*iStockCount;
// iTotalBid += iStartPrice*iStockCount;
// break;
// }
// }
// iPrevPrice = iPrice;
// iPrevAskCount = iTotalAskCount;
// iPrevBidCount = iTotalBidCount;
// }
// }
// 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();
//}
void InsertLog(string strMsg)
{
m_tbLogView.Invoke(new Action(() => {
int iPrevSelectionStart = m_tbLogView.SelectionStart;
int iPrevSelectionLength = m_tbLogView.SelectionLength;
bool bScroll = m_tbLogView.SelectionStart == m_tbLogView.TextLength;
m_tbLogView.AppendText(strMsg);
if(bScroll == true)
{
m_tbLogView.SelectionStart = m_tbLogView.TextLength;
m_tbLogView.ScrollToCaret();
}
else
{
m_tbLogView.SelectionStart = iPrevSelectionStart;
m_tbLogView.SelectionLength = iPrevSelectionLength;
}
}));
}
object SimulationWork(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];
string strLine = (string)aParams[9];
double dTimeSub = (double)aParams[10];
int iTimeDiffLimit = (int)aParams[11];
int iIgnorePrice = (int)aParams[12];
bool bHalfTrailing = (bool)aParams[13];
var tokens = strLine.Split('\t');
var strDate = tokens[0];
var strNewTime = tokens[1];
var strSimulationTime = tokens[2];
var strCodeName = tokens[3];
strCodeName = strCodeName.Trim();
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);
int iSellPrice = iStartPrice;
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 iMaxPriceRow = 0;
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.Cells[1, 12].Value = "시가 대비";
int iFillColumns = 12;
Sheet.View.FreezePanes(2, 1);
Color BidFontColor = Color.FromArgb(235, 0, 0);
Color BidBackColor = Color.FromArgb(249, 150, 150);
Color AskFontColor = Color.FromArgb(0, 91, 240);
Color AskBackColor = Color.FromArgb(127, 179, 243);
Color MaxBackColor = Color.FromArgb(91, 205, 102);
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 iConclusionCnt = (int)(double)Sheet.Cells[iRow, 7].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;
iMaxPriceRow = iRow;
iMaxPrice = iStartPrice;
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iRow, i].Style.Fill.BackgroundColor.SetColor(BidBackColor);
}
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;
float fProfitRate = (iPrice/(float)iStartPrice - 1.0f)*100;
Sheet.Cells[iRow, 12].Value = fProfitRate;
Sheet.Cells[iRow, 12].Style.Numberformat.Format = "0.00";
Sheet.Cells[iRow, 12].Style.Font.Color.SetColor(fProfitRate > 0 ? BidFontColor : fProfitRate < 0 ? AskFontColor : Color.Black);
// 호가 비교 - 매수호가 기준
if(iPrice*iConclusionCnt > iIgnorePrice)
{
if(iPrice <= iBidPrice)
{
iAskCount++;
Sheet.Cells[iRow, 7].Style.Font.Color.SetColor(AskFontColor);
}
else
{
iAskCount = 0;
Sheet.Cells[iRow, 7].Style.Font.Color.SetColor(BidFontColor);
}
}
Sheet.Cells[iRow, 11].Value = iAskCount;
if(iAskCount >= Math.Round(dCheckCount))
{
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
strReturnMsg = string.Format("[{0}] [{1}] 조건 매도\n\t\t매수: {2:n0}원, {3}, line:{4}\n\t\t매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8} (최고가: {9:n0})\n\t\t손익: {10}, {11:n0} : {12:n2}% ({13:n2}) \n",
StartDT.ToString("yyyy-MM-dd"),
strCodeName,
iStartPrice,
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iMaxPrice,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
dCheckCount
);
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iRow, i].Style.Fill.BackgroundColor.SetColor(AskBackColor);
}
break;
}
if(iPrice > iMaxPrice)
iTrailingCount = 0;
else if(iPrice <= iMaxPrice*(100-Config.GetTrailingRate())/100)
iTrailingCount++;
if(iPrice > iMaxPrice)
{
iMaxPrice = iPrice;
iMaxPriceRow = iRow;
}
if(iTrailingCount >= Config.GetTrailingCnt())
{
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
strReturnMsg = string.Format("[{0}] [{1}] 트레일링 매도 \n\t\t매수: {2:n0}원, {3}, line:{4}\n\t\t매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8} (최고가: {9:n0})\n\t\t손익: {10}, {11:n0} : {12:n2}% ({13:n2}) \n",
StartDT.ToString("yyyy-MM-dd"),
strCodeName,
iStartPrice,
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iMaxPrice,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
dCheckCount
);
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iRow, i].Style.Fill.BackgroundColor.SetColor(AskBackColor);
}
break;
}
if(bHalfTrailing == true && iMaxPrice/(float)iStartPrice >= 1.02 && iPrice < (iStartPrice+iMaxPrice)/2)
{
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
strReturnMsg = string.Format("[{0}] [{1}] 트레일링2 매도\n\t\t매수: {2:n0}원, {3}, line:{4}\n\t\t매도: {5:n0}원(매도가:{6:n0}원 {7} line:{8} (최고가: {9:n0})\n\t\t손익: {10}, {11:n0} : {12:n2}%) ({13:n2}) \n",
StartDT.ToString("yyyy-MM-dd"),
strCodeName,
iStartPrice,
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iMaxPrice,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
dCheckCount
);
break;
}
double dSlope = 0;
if(m_PriceList.Count >= 5)
{
List<Point> LastSample = new List<Point>();
for(int i = 0; i<5; i++)
{
Point Pos = new Point();
Pos.X = m_PriceList[m_PriceList.Count-i-1];
Pos.X = Pos.X/m_CybosHelper.GetUnitValue(Pos.X);
Pos.Y = 5-i;
LastSample.Add(Pos);
}
double xBar = LastSample.Average(p => p.X);
double yBar = LastSample.Average(p => p.Y);
double dividend = LastSample.Sum(p => (p.X - xBar) * (p.Y - yBar));
double divisor = (double)LastSample.Sum(p => Math.Pow(p.X - xBar, 2));
dSlope = dividend / divisor;
Sheet.Cells[iRow, 13].Value = dSlope;
}
if(iTimeDiff >= iTimeDiffLimit)
{
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
strReturnMsg = string.Format("[{0}] [{1}] 제한시간 매도\n\t\t매수: {2:n0}원, {3}, line:{4}\n\t\t매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8} (최고가: {9:n0})\n\t\t손익: {10}, {11:n0} : {12:n2}%) ({13:n2}) \n",
StartDT.ToString("yyyy-MM-dd"),
strCodeName,
iStartPrice,
StartDT.ToString("HH:mm:ss"),
iStartRow,
iPrice,
iSellPrice,
RowDT.ToString("HH:mm:ss"),
iRow,
iMaxPrice,
iSellPrice-iStartPrice,
(iSellPrice-iStartPrice)*iStockCount,
(iSellPrice-iStartPrice)*100/(float)iStartPrice,
dCheckCount
);
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iRow, i].Style.Fill.BackgroundColor.SetColor(AskBackColor);
}
break;
}
dPrevStdDev = dStdDev;
}
if(iRow == iMaxRow)
{
iSellPrice = iPrice - m_CybosHelper.GetUnitValue(iPrice);
strReturnMsg = string.Format("[{0}] [{1}] 종료 매도\n\t\t매수: {2:n0}원, {3}, line:{4}\n\t\t매도: {5:n0}원(매도가:{6:n0}원) {7} line:{8} (최고가: {9:n0})\n\t\t손익: {10}, {11:n0} : {12:n2}%) ({13:n2}) \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
);
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iRow, i].Style.Fill.BackgroundColor.SetColor(AskBackColor);
}
break;
}
iPrevPrice = iPrice;
iPrevTime = iTime;
}
if(iStartRow > 0)
{
for(int i = 1; i<=iFillColumns; i++)
{
Sheet.Cells[iMaxPriceRow, i].Style.Fill.PatternType = OfficeOpenXml.Style.ExcelFillStyle.Solid;
Sheet.Cells[iMaxPriceRow, i].Style.Fill.BackgroundColor.SetColor(MaxBackColor);
}
}
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];
int iIgnorePrice = (int)aParams[11];
bool bHalfTrailing = (bool)aParams[12];
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}, {12}원 이하 무시, \n\t\t트레일링2 : {13}, 비교 방식 : {14}\n",
Config.GetBidCount(), Config.GetTrailingRate(), Config.GetTrailingCnt(),
iListCnt, dFastSD, dFastUpCnt, dFastDownCnt, dSlowSD, dSlowUpCnt, dSlowDownCnt,
dTimeSub, iTimeDiffLimit, iIgnorePrice, bHalfTrailing,
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,
iIgnorePrice, bHalfTrailing }));
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 iIgnorePrice;
bool bHalfTrailing;
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);
int.TryParse(m_AutoSeller.tbSMIgnorePrice.Text, out iIgnorePrice);
bHalfTrailing = m_AutoSeller.chSMHalfTrailing.Checked;
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,
iIgnorePrice, bHalfTrailing
});
// }
// }
// }
// }
});
}
}
}
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