void CASCTrendStrategy::Test( entity::Quote* pQuote, CPortfolio* pPortfolio, boost::chrono::steady_clock::time_point& timestamp )
{
// a mutex to protect from unexpected applying strategy settings concurrently
boost::mutex::scoped_lock l(m_mut);
//pQuote->set_last(2466);
//pQuote->set_update_time("09:15:12");
CTechAnalyStrategy::Test(pQuote, pPortfolio, timestamp);
if(!IsRunning())
return;
if(!m_marketOpen)
{
string symbol = pQuote->symbol();
string quoteUpdateTime = pQuote->update_time();
bool isIF = isSymbolIF(symbol);
string targetBeginTime = isIF ? IF_START_1 : NON_IF_START_1;
if(quoteUpdateTime.compare(targetBeginTime) >= 0)
{
m_marketOpen = true;
}
else
{
return;
}
}
string symbol = pQuote->symbol();
COHLCRecordSet* ohlc = GetRecordSet(symbol, m_period, timestamp);
if(ohlc == NULL)
return;
int forceCloseBar = ohlc->GetSize() - m_forceCloseOffset;
m_willRIndicatorSet->Calculate(ohlc);
m_williamsR = m_willRIndicatorSet->GetRef(IND_WR, 0);
m_watrStopIndSet->Calculate(ohlc);
double trend = m_watrStopIndSet->GetRef(IND_WATR_TREND, 0);
int currentBarIdx = ohlc->GetEndIndex();
if(ohlc->NbElements() > 1)
{
m_donchianHi = ohlc->HighSeries[currentBarIdx - 1];
m_donchianLo = ohlc->LowSeries[currentBarIdx - 1];
}
else
{
m_donchianHi = DOUBLE_MAX_PRICE;
m_donchianLo = DOUBLE_MIN_PRICE;
}
CPortfolioTrendOrderPlacer* pOrderPlacer = dynamic_cast<CPortfolioTrendOrderPlacer*>(pPortfolio->OrderPlacer());
if(pOrderPlacer->IsClosing())
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Check for modifying closing order") % pPortfolio->InvestorId()));
pOrderPlacer->OnQuoteReceived(timestamp, pQuote);
return;
}
if (pOrderPlacer->IsOpened())
{
bool meetCloseCondition = false;
bool forceClosing = IsForceClosing();
if(forceClosing // This close condition check is only effective on the bar after open
|| currentBarIdx >= forceCloseBar)
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Closing position due to Force close")
% pPortfolio->InvestorId() % pPortfolio->ID()));
ClosePosition(pPortfolio, pOrderPlacer, pQuote, "手动平仓");
return;
}
// check if the open bar is fake signal on next bar
if(currentBarIdx == m_lastOpenBarIdx + 1 && !m_isRealSignal)
{
double preWR = m_willRIndicatorSet->GetRef(IND_WR, 1);
m_isRealSignal = IsPreBarOpenCorrect(m_lastPositionOffset, preWR);
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Check if pre bar open at fake signal - preWR: %.2f (%s)")
% pPortfolio->InvestorId() % pPortfolio->ID() % preWR % GetPosiDirectionText(m_lastPositionOffset)));
if(!m_isRealSignal)
ClosePosition(pPortfolio, pOrderPlacer, pQuote, "假信号开仓立即平仓");
}
unsigned int hour = 0, min = 0, sec = -1;
if(ParseTimeString(pQuote->update_time(), &hour, &min, &sec))
//&& currentBarIdx > m_lastOpenBarIdx)
{
m_watr = m_watrStopIndSet->GetRef(IND_WATR_VAL, 0);
m_stopPx = m_watrStopIndSet->GetRef(IND_WATR_STOP, 1);
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Test for closing %s position - StopPx: %.2f, Last: %.2f, Ask: %.2f, Bid: %.2f")
% pPortfolio->InvestorId() % pPortfolio->ID() % GetPosiDirectionText(m_lastPositionOffset)
% m_stopPx % pQuote->last() % pQuote->ask() % pQuote->bid()));
string chnCloseReason = "触发WATR止损(盈)";
bool meetCloseCondition = false;
if(currentBarIdx > m_lastOpenBarIdx)
{
int barsSinceEntry = currentBarIdx - m_lastOpenBarIdx;
if(barsSinceEntry == 1 && sec >= 58) // test when next 2 bars closing
{
m_stopPx = GetNearStopLoss(m_lastPositionOffset, ohlc, currentBarIdx - 1);
meetCloseCondition = TestForClose(m_lastPositionOffset, pQuote, m_stopPx);
if(meetCloseCondition)
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Closing position at next 1st bar. StopPx: %.2f")
% pPortfolio->InvestorId() % pPortfolio->ID() % m_stopPx));
chnCloseReason = "开仓后第1根K线突破失败";
}
}
else if(barsSinceEntry == 2 && sec >= 58)
{
m_stopPx = GetNearStopLoss(m_lastPositionOffset, ohlc, currentBarIdx - 2);
meetCloseCondition = TestForClose(m_lastPositionOffset, pQuote, m_stopPx);
if(meetCloseCondition)
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Closing position at next 2nd bar. StopPx: %.2f")
% pPortfolio->InvestorId() % pPortfolio->ID() % m_stopPx));
chnCloseReason = "开仓后第2根K线突破失败";
}
if(!meetCloseCondition)
{
// if the 2nd bar after entry doesn't ever make new high/low, close it
meetCloseCondition = IfNotBreakoutPreceding(pPortfolio, m_lastPositionOffset, ohlc, currentBarIdx);
chnCloseReason = "开仓后第2根K线未创新高(低)";
}
}
else
{
meetCloseCondition = TestForClose(m_lastPositionOffset, pQuote, m_stopPx);
}
}
else // still the bar opening the position
{
double initStopPx = m_stopPx;
double lastTrend = m_watrStopIndSet->GetRef(IND_WATR_TREND, 1);
// in case opened position is different than trend of last bar use current bar's stopPx
if((m_lastPositionOffset == entity::LONG && lastTrend < 0)
|| (m_lastPositionOffset == entity::SHORT && lastTrend > 0))
{
if(m_initStopPx > 0) // when m_initStopPx was given proper value
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Using init stopPx : %.3f")
% pPortfolio->InvestorId() % pPortfolio->ID() % m_initStopPx));
initStopPx = m_initStopPx;
}
}
meetCloseCondition = TestForClose(m_lastPositionOffset, pQuote, initStopPx);
}
if(meetCloseCondition)
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Closing position due to WATR stop")
% pPortfolio->InvestorId() % pPortfolio->ID()));
ClosePosition(pPortfolio, pOrderPlacer, pQuote, chnCloseReason.c_str());
m_lastCloseBarIdx = currentBarIdx;
return;
}
}
return; // don't need to go to test open trigger any more
}
// Testing for Open position
double last = pQuote->last();
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Testing for OPEN - Last: %.2f, WR: %.2f, Hi: %.2f, Lo: %.2f")
% pPortfolio->InvestorId() % pPortfolio->ID()
% last % m_williamsR % m_donchianHi % m_donchianLo));
entity::PosiDirectionType direction = TestForOpen(pQuote, m_williamsR, m_donchianHi, m_donchianLo, trend);
if(currentBarIdx < forceCloseBar &&
direction > entity::NET &&
(currentBarIdx > m_lastCloseBarIdx)) // In general, don't open position at the bar just closing position
//|| direction != m_lastPositionOffset)) // unless the direction is different
{
if(!pOrderPlacer->IsWorking())
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] ASC Trend - Portfolio(%s) Opening position at bar %d")
% pPortfolio->InvestorId() % pPortfolio->ID() % currentBarIdx ));
OpenPosition(direction, pOrderPlacer, pQuote, timestamp, false,
boost::str(boost::format("WR(%.2f)满足条件") % m_williamsR).c_str());
m_lastOpenBarIdx = currentBarIdx;
// The stopPx at the current bar in this moment will be initial stop price as backup stop price.
// in case the preceding trend is different than this one, this initial stop price will be effective.
m_initStopPx = m_watrStopIndSet->GetRef(IND_WATR_STOP, 0);
return;
}
}
}
BOOL CMorphaResDlg::OnInitDialog()
{
CPropertyPage::OnInitDialog();
CMainFrame* pMainFrm=(CMainFrame*)AfxGetMainWnd();
CMorphaDataRetriveDlg& dlg = *(pMainFrm->m_pWndMorphadlg);
CString strSQLCRMfi("select morpharesult.* into morphafordisplay \
from morpharesult,basicinfo,morphaimage,spermchait,morpharesultratio \
where morpharesult.pdetectno = basicinfo.pdetectno \
and morpharesult.pdetectno = morphaimage.pdetectno \
and morpharesult.pdetectno = spermchait.pdetectno \
and morpharesult.pdetectno = morpharesultratio.pdetectno");
try
{
if(IsTableExist(theConnection, "morphafordisplay") == true)
{
theConnection->Execute((LPCTSTR)"drop table morphafordisplay",NULL,adCmdText);
}
theConnection->Execute((LPCTSTR)strSQLCRMfi,NULL,adCmdText);
CString strGetN("select count(*) from morphafordisplay");
_RecordsetPtr rs=theConnection->Execute((LPCSTR)strGetN,NULL,adCmdText);
dlg.m_dp[0].nCurPage = 1;
dlg.m_dp[0].nTotalRecord=rs->GetCollect((long)0).iVal;
dlg.m_dp[0].nPageRecord = NUMPERPAGE;
dlg.m_dp[0].nTotalPage = dlg.m_dp[0].nTotalRecord / dlg.m_dp[0].nPageRecord +
(dlg.m_dp[0].nTotalRecord % dlg.m_dp[0].nPageRecord!=0);
CString queryinfo;
queryinfo.Format("共查询到%d条记录",dlg.m_dp[0].nTotalRecord);
dlg.SetDlgItemText(IDC_STATIC_QUERY,queryinfo);
if(dlg.m_dp[0].nTotalRecord == 0 )
{
CMainFrame* pMainFrm=(CMainFrame*)AfxGetMainWnd();
pMainFrm->m_pWndMorphadlg->GetDlgItem(IDC_BTN_FIRSTPAGE)->EnableWindow(FALSE);
pMainFrm->m_pWndMorphadlg->GetDlgItem(IDC_BTN_PREPAGE)->EnableWindow(FALSE);
pMainFrm->m_pWndMorphadlg->GetDlgItem(IDC_BTN_NEXTPAGE)->EnableWindow(FALSE);
pMainFrm->m_pWndMorphadlg->GetDlgItem(IDC_BTN_LASTPAGE)->EnableWindow(FALSE);
pMainFrm->m_pWndMorphadlg->GetDlgItem(IDC_PAGENUM)->EnableWindow(FALSE);
return FALSE;
}
int lowRow, upRow;
dlg.GetPageBound(1,lowRow,upRow,dlg.m_dp[0]);
GetRecordSet(rs,lowRow,upRow);
int n=dlg.m_resdlg.m_wndMorphaDataList.SetData(rs);
queryinfo.Format("第 %d / %d 页",dlg.m_dp[0].nCurPage,dlg.m_dp[0].nTotalPage);
dlg.SetDlgItemText(IDC_PAGENUM,queryinfo);
dlg.GetDlgItem(IDC_BTN_FIRSTPAGE)->EnableWindow(dlg.m_dp[dlg.IsInqueryState()].nCurPage != 1);
dlg.GetDlgItem(IDC_BTN_PREPAGE)->EnableWindow(dlg.m_dp[dlg.IsInqueryState()].nCurPage != 1);
dlg.GetDlgItem(IDC_BTN_NEXTPAGE)->EnableWindow(dlg.m_dp[dlg.IsInqueryState()].nCurPage != dlg.m_dp[dlg.IsInqueryState()].nTotalPage);
dlg.GetDlgItem(IDC_BTN_LASTPAGE)->EnableWindow(dlg.m_dp[dlg.IsInqueryState()].nCurPage != dlg.m_dp[dlg.IsInqueryState()].nTotalPage );
}
catch (_com_error& e)
{
MessageBox(e.Description());
return FALSE;
}
return TRUE; // return TRUE unless you set the focus to a control
// EXCEPTION: OCX Property Pages should return FALSE
}
void CRangeTrendStrategy::Test( entity::Quote* pQuote, CPortfolio* pPortfolio, boost::chrono::steady_clock::time_point& timestamp )
{
// a mutex to protect from unexpected applying strategy settings concurrently
boost::mutex::scoped_lock l(m_mut);
//pQuote->set_last(2466);
//pQuote->set_update_time("09:15:12");
CTechAnalyStrategy::Test(pQuote, pPortfolio, timestamp);
if(!IsRunning())
return;
if(!m_marketOpen)
{
string symbol = pQuote->symbol();
string quoteUpdateTime = pQuote->update_time();
bool isIF = isSymbolIF(symbol);
string targetBeginTime = isIF ? IF_START_1 : NON_IF_START_1;
if(quoteUpdateTime.compare(targetBeginTime) >= 0)
{
m_marketOpen = true;
}
else
{
return;
}
}
string symbol = pQuote->symbol();
COHLCRecordSet* ohlc = GetRecordSet(symbol, m_timeFrame, timestamp);
if(ohlc == NULL)
return;
int forceCloseBar = ohlc->GetSize() - m_forceCloseOffset;
int currentBarIdx = ohlc->GetEndIndex();
if(currentBarIdx <= m_openPeriod)
return; // too few bars to test
m_openDonchianDataSet->Calculate(ohlc);
if(m_openDonchianDataSet->AvailableElems() > 1)
{
m_upperBoundOpen = m_openDonchianDataSet->GetRef(IND_DONCHIAN_Hi, 1);
m_lowerBoundOpen = m_openDonchianDataSet->GetRef(IND_DONCHIAN_Lo, 1);
}
m_closeDonchianDataSet->Calculate(ohlc);
if(m_closeDonchianDataSet->AvailableElems() > 1)
{
m_upperBoundClose = m_closeDonchianDataSet->GetRef(IND_DONCHIAN_Hi, 1);
m_lowerBoundClose = m_closeDonchianDataSet->GetRef(IND_DONCHIAN_Lo, 1);
}
m_atrDataSet->Calculate(ohlc);
m_NATR = m_atrDataSet->GetRef(IND_ATR, 1);
if(currentBarIdx > m_lastBarIdx) // Get into next bar
{
m_lastBarIdx = currentBarIdx;
if(m_pendingOrdCmd.get() != NULL)
{
if(m_pendingOrdCmd->IsActive())
{
// Fire command
if(m_pendingOrdCmd->GetOffset() == entity::OPEN) // For Open position command
{
m_lastPosiDirection = m_pendingOrdCmd->GetDirection();
m_lastCostPx = m_pendingOrdCmd->Fire(pQuote, pPortfolio, timestamp);
m_StopLoss = m_stopLossFactor * m_NATR;
LOG_DEBUG(logger, boost::str(boost::format("Fired StrategyOrderCommand(OPEN). LastCost: %.2f, StopLoss: %.2f at %s")
% m_lastCostPx % m_StopLoss % pQuote->update_time()));
}
else // for close position command
{
// reset flags
double closePx = m_pendingOrdCmd->Fire(pQuote, pPortfolio, timestamp);
LOG_DEBUG(logger, boost::str(boost::format("Fired StrategyOrderCommand(CLOSE). ClosePx: %.2f at %s")
% closePx % pQuote->update_time()));
m_lastPosiDirection = entity::NET;
m_lastCostPx = -1.0;
m_StopLoss = 0;
m_trending = false;
}
if(!m_pendingOrdCmd->IsActive()) // command reverted will not be reset
{
LOG_DEBUG(logger, boost::str(boost::format("StrategyOrderCommand gets inactive, and removed.")));
m_pendingOrdCmd.reset();
}
return;
}
else
{
LOG_DEBUG(logger, boost::str(boost::format("StrategyOrderCommand is inactive, and gets removed.")));
m_pendingOrdCmd.reset();
}
}
}
else // Still the current bar
{
if(m_pendingOrdCmd.get() != NULL)
{
if(m_pendingOrdCmd->GetRevertOnClose()
&& m_pendingOrdCmd->GetOffset() == entity::OPEN)
{
// ONLY for revert Open position after close
m_trending = true;
m_lastPosiDirection = m_pendingOrdCmd->GetDirection();
m_lastCostPx = m_pendingOrdCmd->Fire(pQuote, pPortfolio, timestamp);
m_StopLoss = m_stopLossFactor * m_NATR;
LOG_DEBUG(logger, boost::str(boost::format("Fired StrategyOrderCommand(Revert-OPEN). LastCost: %.2f, StopLoss: %.2f at %s")
% m_lastCostPx % m_StopLoss % pQuote->update_time()));
m_pendingOrdCmd.reset();
}
}
}
CPortfolioTrendOrderPlacer* pOrderPlacer = dynamic_cast<CPortfolioTrendOrderPlacer*>(pPortfolio->OrderPlacer());
if(pOrderPlacer->IsClosing())
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] Range Trend - Check for modifying closing order") % pPortfolio->InvestorId()));
pOrderPlacer->OnQuoteReceived(timestamp, pQuote);
return;
}
unsigned int hour = 0, min = 0, sec = -1;
if(!ParseTimeString(pQuote->update_time(), &hour, &min, &sec))
return;
int secInBar = (min * 60 + sec) % m_timeFrame;
bool isTestingBar = secInBar > m_timeFrame - 5;
if(!isTestingBar)
return;
// Testing for Close Position
if (pOrderPlacer->IsOpened())
{
bool meetCloseCondition = false;
bool forceClosing = IsForceClosing();
if(forceClosing // This close condition check is only effective on the bar after open
|| currentBarIdx >= forceCloseBar)
{
LOG_DEBUG(logger, boost::str(boost::format("[%s] Range Trend - Portfolio(%s) Closing position due to Force close")
% pPortfolio->InvestorId() % pPortfolio->ID()));
CStrategyOrderCommand forceCloseCommand(entity::CLOSE, pOrderPlacer, this);
forceCloseCommand.SetNote( forceClosing ? "手动平仓" : "收市前平仓");
double px = forceCloseCommand.Fire(pQuote, pPortfolio, timestamp);
return;
}
// Stop Gain & Stop Loss
string closeComment;
bool revertOffset = false;
bool closePosition = TestForClose(pPortfolio, pQuote, m_upperBoundClose, m_lowerBoundClose, &closeComment, &revertOffset);
if(closePosition)
{
if(m_pendingOrdCmd.get() == NULL)
{
m_pendingOrdCmd = OrderCommandPtr(new CStrategyOrderCommand(entity::CLOSE, pOrderPlacer, this));
m_pendingOrdCmd->SetNote(closeComment);
m_pendingOrdCmd->SetRevertOnClose(revertOffset);
m_pendingOrdCmd->Activate();
}
else
{
if(!m_pendingOrdCmd->IsActive())
{
m_pendingOrdCmd->SetNote(closeComment);
m_pendingOrdCmd->SetRevertOnClose(revertOffset);
m_pendingOrdCmd->Activate();
}
}
}
else
{
if(m_pendingOrdCmd.get() != NULL)
m_pendingOrdCmd->Deactivate();
}
}
// Testing for Open position
else if (currentBarIdx < forceCloseBar)
{
string openComment;
entity::PosiDirectionType direction = TestForOpen(pPortfolio, pQuote, m_upperBoundOpen, m_lowerBoundOpen, &openComment);
if(direction > entity::NET)
{
if(m_pendingOrdCmd.get() == NULL)
{
m_pendingOrdCmd = OrderCommandPtr(new CStrategyOrderCommand(entity::OPEN, pOrderPlacer, this));
m_pendingOrdCmd->SetDirection(direction);
m_pendingOrdCmd->SetNote(openComment);
m_pendingOrdCmd->Activate();
}
else{
m_pendingOrdCmd->SetDirection(direction);
m_pendingOrdCmd->SetNote(openComment);
if(!m_pendingOrdCmd->IsActive())
{
m_pendingOrdCmd->Activate();
}
}
}
else
{
if(m_pendingOrdCmd.get() != NULL)
m_pendingOrdCmd->Deactivate();
}
}
}
