trade/upper-limit-crawler
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- 5MA 계산 버그 수정

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- 매수, 매도 조건 수정 : 5MA slope 조건 추가
- 기본 파라미터 수정
This commit is contained in:
mjjo
2016-08-01 01:29:48 +09:00
parent b831b56934
commit 62315062bf
8 changed files with 307 additions and 209 deletions
Download Patch File Download Diff File Expand all files Collapse all files

5
MainForm.Designer.cs generated
View File

@@ -187,7 +187,7 @@
this.tbLossCut.Name = "tbLossCut";
this.tbLossCut.Size = new System.Drawing.Size(100, 21);
this.tbLossCut.TabIndex = 10;
this.tbLossCut.Text = "2.0%";
this.tbLossCut.Text = "3.0%";
this.tbLossCut.TextAlign = System.Windows.Forms.HorizontalAlignment.Center;
//
// label6
@@ -266,6 +266,9 @@
//
// splitContainer1
//
this.splitContainer1.Anchor = ((System.Windows.Forms.AnchorStyles)((((System.Windows.Forms.AnchorStyles.Top | System.Windows.Forms.AnchorStyles.Bottom)
| System.Windows.Forms.AnchorStyles.Left)
| System.Windows.Forms.AnchorStyles.Right)));
this.splitContainer1.Location = new System.Drawing.Point(0, 0);
this.splitContainer1.Name = "splitContainer1";
this.splitContainer1.Orientation = System.Windows.Forms.Orientation.Horizontal;

324
MainForm.cs
View File

@@ -277,175 +277,215 @@ namespace upper_limit_crawler
{
Console.WriteLine("시뮬레이션 시작");
string strCode = "A096040";
string strCodeName = "이트론";
string strPrevDate = "20160725";
string strDate = "20160726";
List<chart_data> DataList = new List<chart_data>();
List<string> aCodeList = new List<string> { "039230", "054620", "077970", "079950", "085370", "090470", "123010", "123860", "191420", "208860" };
//List<string> aCodeList = new List<string> { "077970" };
string strPrevDate = "20160728";
string strDate = "20160729";
int iTotalProfit = 0;
CPSYSDIBLib.StockChart stockChart = new CPSYSDIBLib.StockChart();
stockChart.SetInputValue(0, strCode);
stockChart.SetInputValue(1, '1');
stockChart.SetInputValue(2, strPrevDate);
stockChart.SetInputValue(3, strPrevDate);
stockChart.SetInputValue(4, 1);
stockChart.SetInputValue(5, new int[] { 0, 1, 2, 3, 4, 5, 6, 10, 37 });
stockChart.SetInputValue(6, 'T');
stockChart.BlockRequest2(1);
int iTimeTest = (int)stockChart.GetDataValue(1, 0);
int iPrevClosing = stockChart.GetDataValue(5, 0);
stockChart.SetInputValue(0, strCode);
stockChart.SetInputValue(1, '1');
stockChart.SetInputValue(2, strDate);
stockChart.SetInputValue(3, strDate);
stockChart.SetInputValue(4, 0);
stockChart.SetInputValue(5, new int[] { 0, 1, 2, 3, 4, 5, 6, 10, 37 });
stockChart.SetInputValue(6, 'T');
stockChart.BlockRequest2(1);
int iFieldCnt = stockChart.GetHeaderValue(1);
string[] astrFieldName = stockChart.GetHeaderValue(2);
while (true)
foreach (string code in aCodeList)
{
int iCnt = (int)stockChart.GetHeaderValue(3);
for (int i = 0; i < iCnt; i++)
string strCode = "A" + code;
string strCodeName = ULUtil.GetCodeName(strCode);
Console.WriteLine("{0}({1})", strCodeName, strCode);
List<chart_data> DataList = new List<chart_data>();
CPSYSDIBLib.StockChart stockChart = new CPSYSDIBLib.StockChart();
stockChart.SetInputValue(0, strCode);
stockChart.SetInputValue(1, '1');
stockChart.SetInputValue(2, strPrevDate);
stockChart.SetInputValue(3, strPrevDate);
stockChart.SetInputValue(4, 1);
stockChart.SetInputValue(5, new int[] { 0, 1, 2, 3, 4, 5, 6, 10, 37 });
stockChart.SetInputValue(6, 'T');
stockChart.BlockRequest2(1);
int iTimeTest = (int)stockChart.GetDataValue(1, 0);
int iPrevClosing = stockChart.GetDataValue(5, 0);
stockChart.SetInputValue(0, strCode);
stockChart.SetInputValue(1, '1');
stockChart.SetInputValue(2, strDate);
stockChart.SetInputValue(3, strDate);
stockChart.SetInputValue(4, 0);
stockChart.SetInputValue(5, new int[] { 0, 1, 2, 3, 4, 5, 6, 10, 37 });
stockChart.SetInputValue(6, 'T');
stockChart.BlockRequest2(1);
int iFieldCnt = stockChart.GetHeaderValue(1);
string[] astrFieldName = stockChart.GetHeaderValue(2);
while (true)
{
int iTime = (int)stockChart.GetDataValue(1, i);
iTime *= 100;
int iCurPrice = (int)stockChart.GetDataValue(5, i);
int iVolume = (int)stockChart.GetDataValue(5, i);
DataList.Add(new chart_data(iTime, iCurPrice));
}
if (stockChart.Continue == 1)
stockChart.BlockRequest2(1);
else
break;
}
ULWatchItem WatchItem = new ULWatchItem();
WatchItem.m_strCode = strCode;
WatchItem.m_strCodeName = strCodeName;
WatchItem.m_iCurPrice = 0;
WatchItem.m_iPrevClosing = 0;
ULBalanceDlg.OWN_ITEM OwnItem = new ULBalanceDlg.OWN_ITEM();
DataList.Reverse();
foreach (chart_data data in DataList)
{
int iTime = data.iTime;
int iCurPrice = data.iPrice;
if (WatchItem.m_iPrevClosing == 0)
WatchItem.m_iPrevClosing = iPrevClosing;
WatchItem.m_iCurPrice = iCurPrice;
WatchItem.InsertPriceNode(iTime, iCurPrice);
if(OwnItem.m_iUnitBEP != 0)
OwnItem.m_iMaxPrice = Math.Max(OwnItem.m_iMaxPrice, iCurPrice);
float fCompRate = WatchItem.m_iCurPrice / (float)WatchItem.m_iPrevClosing - 1.0f;
if (fCompRate >= m_DataMgr.m_Setting.m_fBidMin && fCompRate <= m_DataMgr.m_Setting.m_fBidMax)
{
if (m_DataMgr.IsInBlackList(iTime, strCode) == true)
int iCnt = (int)stockChart.GetHeaderValue(3);
for (int i = 0; i < iCnt; i++)
{
//Console.WriteLine("[{0}] 조건 매수 실패. black list {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
int iTime = (int)stockChart.GetDataValue(1, i);
iTime *= 100;
int iCurPrice = (int)stockChart.GetDataValue(5, i);
int iVolume = (int)stockChart.GetDataValue(5, i);
DataList.Add(new chart_data(iTime, iCurPrice));
}
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope <= 0)
{
//Console.WriteLine("[{0}] 조건 매수 실패. 5ma 상승하지 않음 {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
}
// bid and add to black list
Console.WriteLine("[{0}] [{1}] 조건 매수 {2}원 ({3}) (5MA slop:{4:0.00})", iTime, WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
ULUtil.TraceCSV("조건 매수", WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
OwnItem.m_iUnitBEP = (OwnItem.m_iUnitBEP*OwnItem.m_iConclusionBalanceCnt + iCurPrice)/ (OwnItem.m_iConclusionBalanceCnt+1);
OwnItem.m_iConclusionBalanceCnt++;
OwnItem.m_strCodeName = WatchItem.m_strCodeName;
//m_DataMgr.GetTrader().Buy(strCode, item.m_iCurPrice, (int)m_DataMgr.m_Setting.m_fBidAmount);
m_DataMgr.AddBlackList(iTime, strCode);
if (stockChart.Continue == 1)
stockChart.BlockRequest2(1);
else
break;
}
if(OwnItem.m_iUnitBEP > 0)
int iTotalBidPrice = 0;
int iTotalAskPrice = 0;
ULWatchItem WatchItem = new ULWatchItem();
WatchItem.m_strCode = strCode;
WatchItem.m_strCodeName = strCodeName;
WatchItem.m_iCurPrice = 0;
WatchItem.m_iPrevClosing = 0;
ULBalanceDlg.OWN_ITEM OwnItem = new ULBalanceDlg.OWN_ITEM();
DataList.Reverse();
foreach (chart_data data in DataList)
{
// loss cut
if (iCurPrice <= OwnItem.m_iUnitBEP * (1.0f - m_DataMgr.m_Setting.m_fLossCut))
int iTime = data.iTime;
int iCurPrice = data.iPrice;
if (WatchItem.m_iPrevClosing == 0)
WatchItem.m_iPrevClosing = iPrevClosing;
WatchItem.m_iCurPrice = iCurPrice;
WatchItem.InsertPriceNode(iTime, iCurPrice);
if (OwnItem.m_iUnitBEP != 0)
OwnItem.m_iMaxPrice = Math.Max(OwnItem.m_iMaxPrice, iCurPrice);
float fCompRate = WatchItem.m_iCurPrice / (float)WatchItem.m_iPrevClosing - 1.0f;
if (fCompRate >= m_DataMgr.m_Setting.m_fBidMin && fCompRate <= m_DataMgr.m_Setting.m_fBidMax)
{
Console.WriteLine("[{0}] [{1}] 손절 {2}원 ({3}:{4})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
ULUtil.TraceCSV("손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
// own에서 삭제하고 미체결 리스트에 넣고, watch에서도 뺀다
// 미체결 잔량 취소
}
// trailing
else if (iCurPrice <= OwnItem.m_iMaxPrice - OwnItem.m_iUnitBEP * m_DataMgr.m_Setting.m_fTrailing)
{
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope > 0)
if (m_DataMgr.IsInPostponeList(iTime, strCode) == true)
{
//Console.WriteLine("[{0}] 조건 매수 실패. black list {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
}
else if(m_DataMgr.IsInBlackList(strCode) == true)
{
//Console.WriteLine("[{0}] [{1}] 트레일링 매도 대기. 5ma 상승 중 {2}원 ({3})", iTime, OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
continue;
}
Console.WriteLine("[{0}] [{1}] 트레일링 매도 {2}원 ({3}:{4}) (5MA slop:{5:0.00})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice- OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope);
ULUtil.TraceCSV("트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope);
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (float.IsNaN(f5MASlope) || f5MASlope < 0.002f)
{
//Console.WriteLine("[{0}] 조건 매수 실패. 5ma 상승하지 않음 {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
}
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
// bid and add to black list
Console.WriteLine("[{0}] [{1}] 조건 매수 {2}원 ({3}) (5MA slop:{4})", iTime, WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope.ToString("0.00%"));
ULUtil.TraceCSV(iTime, "[시뮬레이션] 조건 매수", WatchItem.m_strCodeName, WatchItem.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope.ToString("0.00%"));
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
int iBidCnt = (int)m_DataMgr.m_Setting.m_fBidAmount / iCurPrice;
iTotalBidPrice += iCurPrice* iBidCnt;
OwnItem.m_iUnitBEP = (OwnItem.m_iUnitBEP * OwnItem.m_iConclusionBalanceCnt + iCurPrice * iBidCnt) / (OwnItem.m_iConclusionBalanceCnt + iBidCnt);
OwnItem.m_iConclusionBalanceCnt += iBidCnt;
OwnItem.m_strCodeName = WatchItem.m_strCodeName;
//m_DataMgr.GetTrader().Buy(strCode, item.m_iCurPrice, (int)m_DataMgr.m_Setting.m_fBidAmount);
m_DataMgr.AddPostphoneItem(iTime, strCode);
}
// steadiness
else if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
if (OwnItem.m_iUnitBEP > 0)
{
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
// loss cut
if (iCurPrice <= OwnItem.m_iUnitBEP * (1.0f - m_DataMgr.m_Setting.m_fLossCut))
{
m_DataMgr.AddLosscutItem(strCode);
Console.WriteLine("[{0}] [{1}] 보합 처리 {2}원 ({3}:{4}) {5}",
iTime,
OwnItem.m_strCodeName,
WatchItem.m_iCurPrice,
WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
(WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
Console.WriteLine("[{0}] [{1}] 손절 {2}원 ({3}:{4})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
ULUtil.TraceCSV(iTime, "[시뮬레이션] 손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
OwnItem.m_iUnitBEP = 0;
iTotalAskPrice += iCurPrice * OwnItem.m_iConclusionBalanceCnt;
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
// own에서 삭제하고 미체결 리스트에 넣고, watch에서도 뺀다
// 미체결 잔량 취소
}
// trailing
else if (iCurPrice <= OwnItem.m_iMaxPrice - OwnItem.m_iUnitBEP * m_DataMgr.m_Setting.m_fTrailing)
{
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (float.IsNaN(f5MASlope) || f5MASlope > -0.0100f)
{
//Console.WriteLine("[{0}] [{1}] 트레일링 매도 대기. 5ma 상승 중 {2}원 ({3})", iTime, OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"));
continue;
}
Console.WriteLine("[{0}] [{1}] 트레일링 매도 {2}원 ({3}:{4}) (5MA slop:{5})", iTime, OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope.ToString("0.00%"));
ULUtil.TraceCSV(iTime, "[시뮬레이션] 트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope.ToString("0.00%"));
iTotalAskPrice += iCurPrice * OwnItem.m_iConclusionBalanceCnt;
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
//m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
//m_OwnList.Remove(OwnItem);
//m_DataMgr.RemoveWatch(strCode);
}
//// steadiness
//else if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
//{
// //m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
// //m_OwnList.Remove(OwnItem);
// //m_DataMgr.RemoveWatch(strCode);
// Console.WriteLine("[{0}] [{1}] 보합 처리 {2}원 ({3}:{4}) {5}",
// iTime,
// OwnItem.m_strCodeName,
// WatchItem.m_iCurPrice,
// WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
// (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
// WatchItem.m_iHighestPrice);
// ULUtil.TraceCSV("[시뮬레이션]", "보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
// OwnItem.m_iUnitBEP = 0;
//}
}
}
if (OwnItem.m_iConclusionBalanceCnt > 0)
{
iTotalAskPrice += WatchItem.FinalPrice() * OwnItem.m_iConclusionBalanceCnt;
OwnItem.m_iUnitBEP = 0;
OwnItem.m_iConclusionBalanceCnt = 0;
}
Console.WriteLine("Profit : {0}/{1} ({2}:{3:0.00%})", iTotalBidPrice, iTotalAskPrice, iTotalAskPrice - iTotalBidPrice, iTotalAskPrice / (float)iTotalBidPrice - 1.0f);
Console.WriteLine("\n");
iTotalProfit += (iTotalAskPrice - iTotalBidPrice);
//WatchItem.PrintChart();
}
Console.WriteLine("total : {0}", iTotalProfit);
Console.WriteLine("시뮬레이션 끝");
}
}
}

35
ULBalanceDlg.cs
View File

@@ -206,6 +206,7 @@ namespace upper_limit_crawler
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
m_DataMgr.AddLosscutItem(strCode);
ULUtil.Trace("[{0}] 손절 {1}원 ({2}) {3}", OwnItem.m_strCodeName, iCurPrice, (iCurPrice/(float)OwnItem.m_iUnitBEP-1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("손절", OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
@@ -219,7 +220,7 @@ namespace upper_limit_crawler
else if (iCurPrice <= OwnItem.m_iMaxPrice - OwnItem.m_iUnitBEP * m_DataMgr.m_Setting.m_fTrailing)
{
float f5MASlope = WatchItem.GetPrev5MASlope(iTime);
if (f5MASlope > 0)
if (float.IsNaN(f5MASlope) || f5MASlope > -0.0100f)
{
//Console.WriteLine(string.Format("[{0}] [{1}] 트레일링 매도 대기. 5ma 상승 중 {2}원 ({3})", iTime, OwnItem.m_strCodeName, iCurPrice, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%")));
continue;
@@ -229,32 +230,32 @@ namespace upper_limit_crawler
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
ULUtil.Trace("[{0}] 트레일링 매도 {1}원 ({2}:{3}) (5MA slop:{4:0.00}) {5}",
ULUtil.Trace("[{0}] 트레일링 매도 {1}원 ({2}:{3}) (5MA slop:{4}) {5}",
OwnItem.m_strCodeName,
iCurPrice,
iCurPrice - OwnItem.m_iUnitBEP,
(iCurPrice/(float)OwnItem.m_iUnitBEP-1.0f).ToString("0.00%"),
f5MASlope,
f5MASlope.ToString("0.00%"),
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope, WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("트레일링 매도", OwnItem.m_strCodeName, iCurPrice, iCurPrice - OwnItem.m_iUnitBEP, (iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), f5MASlope.ToString("0.00%"), WatchItem.m_iHighestPrice);
}
}
// steadiness
if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
{
m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
m_OwnList.Remove(OwnItem);
m_DataMgr.RemoveWatch(strCode);
//if (WatchItem.GetAvgDiff(iTime) < WatchItem.m_iPrevClosing*0.01)
//{
// m_DataMgr.GetTrader().SellCurPrice(OwnItem.m_strCode, OwnItem.m_iPayBalance);
// m_OwnList.Remove(OwnItem);
// m_DataMgr.RemoveWatch(strCode);
ULUtil.Trace("[{0}] 보합 처리 {1}원 ({2}:{3}) {4}",
OwnItem.m_strCodeName,
WatchItem.m_iCurPrice,
WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
(WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
WatchItem.m_iHighestPrice);
ULUtil.TraceCSV("보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
}
// ULUtil.Trace("[{0}] 보합 처리 {1}원 ({2}:{3}) {4}",
// OwnItem.m_strCodeName,
// WatchItem.m_iCurPrice,
// WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP,
// (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"),
// WatchItem.m_iHighestPrice);
// ULUtil.TraceCSV("보합 처리", OwnItem.m_strCodeName, WatchItem.m_iCurPrice, WatchItem.m_iCurPrice - OwnItem.m_iUnitBEP, (WatchItem.m_iCurPrice / (float)OwnItem.m_iUnitBEP - 1.0f).ToString("0.00%"), WatchItem.m_iHighestPrice);
//}
}
}
}

40
ULDataMgr.cs
View File

@@ -1,5 +1,4 @@
using MySql.Data.MySqlClient;
using System;
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
@@ -20,9 +19,9 @@ namespace upper_limit_crawler
public float m_fLossCut;
}
public struct BLACKLIST
public struct POSTPONE_ITEM
{
public BLACKLIST(string strCode, int iTime)
public POSTPONE_ITEM(string strCode, int iTime)
{
m_strCode = strCode;
m_iTime = iTime;
@@ -39,7 +38,9 @@ namespace upper_limit_crawler
ULTrader m_Trader = new ULTrader();
Dictionary<string, ULWatchItem> m_WatchList = new Dictionary<string, ULWatchItem>();
List<BLACKLIST> m_BlackList = new List<BLACKLIST>();
List<POSTPONE_ITEM> m_PostponeList = new List<POSTPONE_ITEM>();
Dictionary<string, int> m_LossCutList = new Dictionary<string, int>();
List<string> m_BlackList = new List<string>();
public ULDataMgr()
{
@@ -109,15 +110,34 @@ namespace upper_limit_crawler
}
}
public void AddBlackList(int iTime, string strCode)
public void AddPostphoneItem(int iTime, string strCode)
{
BLACKLIST black = new BLACKLIST(strCode, iTime);
m_BlackList.Add(black);
POSTPONE_ITEM postpone = new POSTPONE_ITEM(strCode, iTime);
m_PostponeList.Add(postpone);
}
public bool IsInBlackList(int iTime, string strCode)
public bool IsInPostponeList(int iTime, string strCode)
{
return m_BlackList.Any(r => r.m_strCode == strCode && ULUtil.IsInTime(r.m_iTime, iTime, 5));
return m_PostponeList.Any(r => r.m_strCode == strCode && ULUtil.IsInTime(r.m_iTime, iTime, 4));
}
public void AddLosscutItem(string strCode)
{
if(m_LossCutList.ContainsKey(strCode) == false)
{
m_LossCutList.Add(strCode, 1);
}
else
{
m_LossCutList[strCode] += 1;
if(m_LossCutList[strCode] >= 2)
m_BlackList.Add(strCode);
}
}
public bool IsInBlackList(string strCode)
{
return m_BlackList.Any(r => r == strCode);
}
public Dictionary<string, ULWatchItem> GetWatchList()

16
ULMonitorDlg.cs
View File

@@ -160,14 +160,18 @@ namespace upper_limit_crawler
if (fCompRate >= m_DataMgr.m_Setting.m_fBidMin && fCompRate <= m_DataMgr.m_Setting.m_fBidMax)
{
int iTime = ULUtil.GetCurTimeInt();
if (m_DataMgr.IsInBlackList(iTime, strCode) == true)
if (m_DataMgr.IsInPostponeList(iTime, strCode) == true)
{
//ULUtil.Trace("[{0}] 조건 매수 실패. black list {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
}
else if(m_DataMgr.IsInBlackList(strCode) == true)
{
continue;
}
float f5MASlope = item.GetPrev5MASlope(iTime);
if (f5MASlope <= 0)
if(float.IsNaN(f5MASlope) || f5MASlope < 0.002f)
{
//ULUtil.Trace("[{0}] 조건 매수 실패. 5ma 상승하지 않음 {1}원 ({2})", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"));
continue;
@@ -175,16 +179,16 @@ namespace upper_limit_crawler
// bid and add to black list
m_DataMgr.GetTrader().Buy(strCode, item.m_iCurPrice, (int)m_DataMgr.m_Setting.m_fBidAmount);
m_DataMgr.AddBlackList(iTime, strCode);
m_DataMgr.AddPostphoneItem(iTime, strCode);
ULUtil.Trace("[{0}] 조건 매수 {1}원 ({2}) (5MA slop:{3:0.00})",
ULUtil.Trace("[{0}] 조건 매수 {1}원 ({2}) (5MA slop:{3})",
item.m_strCodeName,
item.m_iCurPrice,
fCompRate.ToString("0.00%"),
f5MASlope);
f5MASlope.ToString("0.00%"));
ULUtil.TraceCSV("조건 매수", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope);
ULUtil.TraceCSV("조건 매수", item.m_strCodeName, item.m_iCurPrice, fCompRate.ToString("0.00%"), f5MASlope.ToString("0.00%"));
}
}
}

89
ULWatchItem.cs
View File

@@ -48,6 +48,8 @@ namespace upper_limit_crawler
public int m_iTime;
public float m_fMA;
override public string ToString() { return string.Format("Time : {0}, m_fMA : {1}", m_iTime, m_fMA); }
}
@@ -76,10 +78,14 @@ namespace upper_limit_crawler
m_PriceList.Add(node);
bool bMakeNew = Insert1MinChart(iTime, iPrice);
if(bMakeNew == true && m_1MinChart.Keys.Count >= 2)
if(bMakeNew == true)
{
int iTimeKey = m_1MinChart.Keys[m_1MinChart.Keys.Count-2];
Insert5MAChart(iTimeKey);
int i5MAIdx = m_1MinChart.IndexOfKey(iTime) - 1;
if (i5MAIdx >= 0)
{
int i5MATime = m_1MinChart.Keys[i5MAIdx];
Insert5MAChart(i5MATime);
}
}
}
@@ -126,24 +132,24 @@ namespace upper_limit_crawler
}
}
public int GetHour(int iTime)
int GetHour(int iTime)
{
return iTime / 10000;
}
public int GetMinute(int iTime)
int GetMinute(int iTime)
{
return (iTime / 100) % 100;
}
public int GetSecond(int iTime)
int GetSecond(int iTime)
{
return iTime % 100;
}
public int GetTimeKey1Min(int iHour, int iMin, int iSecond)
int GetTimeKey1Min(int iHour, int iMin, int iSecond)
{
return iHour*10000 + iMin*100 + iSecond;
return iHour*10000 + iMin*100;
}
bool Insert1MinChart(int iTime, int iPrice)
@@ -152,6 +158,7 @@ namespace upper_limit_crawler
int iMin = GetMinute(iTime);
int iSec = GetSecond(iTime);
int iKey = GetTimeKey1Min(iHour, iMin, iSec);
bool bMadeNew = false;
if (m_1MinChart.ContainsKey(iKey) == false)
@@ -202,6 +209,19 @@ namespace upper_limit_crawler
}
}
public int FinalPrice()
{
return m_PriceList.Last().m_iPrice;
}
bool IsInTimeIdx(int iTime1, int iTime2, int iCnt)
{
int iIdx1 = m_1MinChart.IndexOfKey(iTime1);
int iIdx2 = m_1MinChart.IndexOfKey(iTime2);
return (iIdx1 < iIdx2 && iIdx1 > iIdx2 - iCnt);
}
void Insert5MAChart(int iTime)
{
int iHour = GetHour(iTime);
@@ -210,26 +230,30 @@ namespace upper_limit_crawler
int iInsertKey = GetTimeKey1Min(iHour, iMin, iSec);
if(iMin == 0)
{
iHour--;
iMin = 59;
}
else
{
iMin--;
}
int iSearchtKey = GetTimeKey1Min(iHour, iMin, iSec);
MATick tick = null;
if (m_5MAChart.ContainsKey(iInsertKey) == false)
tick = new MATick(iTime, 0);
else
tick = m_5MAChart[iInsertKey];
float fMA = 0;
int iIdx = m_1MinChart.IndexOfKey(iInsertKey);
IEnumerable<KeyValuePair<int, CandleTick>> Search = m_1MinChart.Where(r => ULUtil.IsInTime(r.Key, iSearchtKey, 4));
float fMA = Search.Count() == 5 ? (float)Search.Average(r => r.Value.m_iEnd) : 0;
if (iIdx >= 4)
{
int iCnt = 0;
for (int i = 0; i < 5 && iIdx >= 0; i++)
{
fMA += (float)m_1MinChart.Values[iIdx-i].m_iEnd;
iCnt++;
}
fMA /= iCnt;
}
else
{
fMA = float.NaN;
}
tick.m_fMA = fMA;
if(m_5MAChart.ContainsKey(iInsertKey) == true)
@@ -284,14 +308,13 @@ namespace upper_limit_crawler
public float GetPrev5MASlope(int iTime)
{
int iKey = (iTime / 100) * 100 - 100;
int iPrevKey = iKey - 100;
if (m_5MAChart.ContainsKey(iKey) == false || m_5MAChart.ContainsKey(iPrevKey) == false)
return 0;
int iLastIdx = m_1MinChart.IndexOfKey(iTime)-1;
if(iLastIdx <= 1)
return float.NaN;
MATick lastMA = m_5MAChart[iKey];
MATick prevMA = m_5MAChart[iPrevKey];
return lastMA.m_fMA - prevMA.m_fMA;
MATick LastMA = m_5MAChart.Values[iLastIdx];
MATick PrevMA = m_5MAChart.Values[iLastIdx-1];
return (LastMA.m_fMA - PrevMA.m_fMA) / m_iPrevClosing;
}
public bool Is5MAGoingUp()
@@ -327,11 +350,13 @@ namespace upper_limit_crawler
public float GetAvgDiff(int iTime)
{
IEnumerable<KeyValuePair<int, CandleTick>> itor = m_1MinChart.Where(r => ULUtil.IsInTime(r.Key, iTime, 5));
IEnumerable<KeyValuePair<int, CandleTick>> itor = m_1MinChart.Where(r => ULUtil.IsInTime(r.Key, iTime, 30));
float fSum = itor.Sum(r => r.Value.m_iEnd);
fSum += itor.Sum(r => r.Value.m_iStart);
return fSum / (itor.Count()*2);
if (itor.Count() < 30)
return 100000;
float fSum = itor.Sum(r => r.Value.m_iHighest-r.Value.m_iLowest);
return fSum / (itor.Count());
}
}
}

6
UlUtil.cs
View File

@@ -15,6 +15,7 @@ namespace upper_limit_crawler
//static string m_strLogServer = "http://mjjo53.us.to:8000";
static CPUTILLib.CpCybos m_CPUtil = new CPUTILLib.CpCybos();
static CPUTILLib.CpCodeMgr m_CPCodeMgr = new CPUTILLib.CpCodeMgr();
static TextBox m_tbLog = null;
static string m_strLogFileName;
static string m_strCSVFileName;
@@ -248,6 +249,11 @@ namespace upper_limit_crawler
return (m_CPUtil.IsConnect==1);
}
public static string GetCodeName(string strCode)
{
return m_CPCodeMgr.CodeToName(strCode);
}
public static void Reset()
{
m_CPUtil = null;

1
upper-limit-crawler.csproj
View File

@@ -44,7 +44,6 @@
<ApplicationManifest>Properties\app.manifest</ApplicationManifest>
</PropertyGroup>
<ItemGroup>
<Reference Include="MySql.Data, Version=6.9.6.0, Culture=neutral, PublicKeyToken=c5687fc88969c44d, processorArchitecture=MSIL" />
<Reference Include="System" />
<Reference Include="System.Core" />
<Reference Include="System.Xml.Linq" />