double TechUtils::CalulateWMA(const std::vector<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
//datetime to timestamp
size_t n = seconds * 2;
double totalExchangeLastPrice = current.LastPrice() * n;
long long count = n--;
long long leftedge = current.toTimeStamp() - seconds * 2;
for (auto it = data.rbegin(); it != data.rend(); it++)
{
if (it->toTimeStamp() > leftedge){
totalExchangeLastPrice += (it->LastPrice() * n);
--n;
count += n;
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangeLastPrice / count;
}
double TechUtils::CalulateEMA(const std::vector<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
if (data.empty()){
return current.LastPrice();
}
size_t N = seconds * 2;
TickWrapper preNode = data.back();
MACrossTech* preTechVec = dynamic_cast<MACrossTech*>(preNode.m_techvec);
if (preTechVec){
if (seconds == 60 * preTechVec->ShortMA()){
double ret = (2 * current.LastPrice() + (N - 1)* preTechVec->ShortMA()) / (N + 1);
return ret;
}
else if (seconds == 60 * preTechVec->LongMA()){
double ret = (2 * current.LastPrice() + (N - 1)* preTechVec->LongMA()) / (N + 1);
return ret;
}
else{
assert(false);
return -1;
}
}
else{
return current.LastPrice();
}
}
double TechUtils::CalulateAMA(const std::vector<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
double totalExchangePrice = current.TurnOver();
long long totalVolume = current.Volume();
long long leftedge = current.toTimeStamp() - seconds * 2;
for (auto it = data.rbegin(); it != data.rend(); it++)
{
if (it->toTimeStamp() > leftedge){
totalExchangePrice += it->TurnOver();
totalVolume += it->Volume();
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangePrice / totalVolume;
}
double TechUtils::CalulateMA(const std::list<TickWrapper>& data, const TickWrapper& current, size_t seconds)
{
//datetime to timestamp
double totalExchangeLastPrice = current.LastPrice();
long long count = 1;
long long leftedge = current.toTimeStamp() - seconds * 2;
for (auto it = data.begin(); it != data.end(); it++)
{
if (it->toTimeStamp() > leftedge){
totalExchangeLastPrice += it->LastPrice();
++count;
}
else{
break;
}
}
//assert(totalVolume != 0);
//assert(totalExchangePrice >= 0.0);
return totalExchangeLastPrice / count;
}
//main thread
void RealTimeDataProcessor::AppendRealTimeData(TickWrapper& info){
//(in)front-------------back(out)
// if m_strategy == nullptr, that means RealTimeDataProcessor is in data-recording mode
if (m_strategy){
#ifdef UseKDataToInvoke
bool triggered = m_strategy->tryInvoke(m_DataSeq, m_KDataVec, m_TickSet60, info);
#else
bool triggered = m_strategy->tryInvoke(m_DataSeq, info);
#endif
if (triggered){
Order ord;
//for now, only permit order_queue has one item.
if (order_queue.empty() && m_strategy->generateOrder(ord)){
order_queue.push(ord);
}
}
}
m_DataSeq.push_front(info);
//construct 1-minutes k-line intermediate data
if (m_TickSet60.empty()){
m_TickSet60.push_back(info);
}
else{
if (CommonUtils::InSameMinute(info.Time(), m_TickSet60.front().Time())){
m_TickSet60.push_back(info);
}
else{ // the comming tick data is in next minutes
KData k1m(m_TickSet60, 60);
m_KDataVec.push_back(k1m);
m_TickSet60.clear();
}
}
#ifdef SHOW_PROGRESS
spdlog::get("console")->info() << "> Data queue size :" << m_DataSeq.size();
#endif
}
bool MACrossStratgy::tryInvoke(const std::list<TickWrapper>& data, TickWrapper& info)
{
TickType direction = TickType::Commom;
const size_t breakthrough_confirm_duration = 100; //50ms
MACrossTech* curPtr = generateTechVec(info);
bool orderSingal = false;
double short_ma = calculateK(data, info, m_shortMA * 60);
double long_ma = calculateK(data, info, m_longMA * 60);
curPtr->setShortMA(short_ma);
curPtr->setLongMA(long_ma);
if (!data.empty()){
if (curPtr->IsTriggerPoint()){ // up
if (!data.empty() && data.size() > 500){
std::list<TickWrapper>::const_iterator stoper = data.begin();
std::advance(stoper, breakthrough_confirm_duration);
for (auto it = data.begin(); it != stoper; it++){
StrategyTech* prePtr = it->GetTechVec();
// if prePtr == NULL, mean it's recovered from db, so that md is not continuous. so it's should not be singal point.
if (prePtr == NULL || !prePtr->IsTriggerPoint())
{
// not special point
orderSingal = false;
break;
}
orderSingal = true;
}
//special point
if (orderSingal){
//update m_curOrder
m_curOrder->SetInstrumentId(info.InstrumentId());
m_curOrder->SetOrderType(Order::LimitPriceFOKOrder);
m_curOrder->SetRefExchangePrice(info.LastPrice());
m_curOrder->SetExchangeDirection(THOST_FTDC_D_Buy);
curPtr->SetTickType(TickType::BuyPoint);
}
}
}
else{ // down
if (!data.empty() && data.size() > 500){
std::list<TickWrapper>::const_iterator stoper = data.begin();
std::advance(stoper, breakthrough_confirm_duration);
for (auto it = data.begin(); it != stoper; it++){
StrategyTech* prePtr = it->GetTechVec();
if (prePtr == NULL || prePtr->IsTriggerPoint())
{
// not special point
orderSingal = false;
break;
}
orderSingal = true;
}
if (orderSingal){
//special point
m_curOrder->SetInstrumentId(info.InstrumentId());
m_curOrder->SetOrderType(Order::LimitPriceFOKOrder);
m_curOrder->SetRefExchangePrice(info.LastPrice());
m_curOrder->SetExchangeDirection(THOST_FTDC_D_Sell);
curPtr->SetTickType(TickType::SellPoint);
}
}
}
}
//info.SetTechVec((StrategyTech*)curPtr);
info.m_techvec = curPtr;
return orderSingal;
}
