strategy.cpp

股软 通达信行情接收接口, 包括美元汇率

/*
	Cross Platform Core Code.

	Copyright(R) 2001-2002 Balang Software.
	All rights reserved.

	Using:
		class	CRateParam;
		class	COpParam;
		class	CStockOwnContainer;
		class	COpRecordContainer;
		class	CAssetSerialContainer;
		class	CTechStock;
		class	CTechStockContainer;
		class	CStrategy;
*/

#include "stdafx.h"
#include "Strategy.h"

#ifdef _DEBUG
#define new DEBUG_NEW
#undef THIS_FILE
static char THIS_FILE[] = __FILE__;
#endif

/////////////////////////////////////////////////////////////////////////////
// CRateParam

CRateParam::CRateParam( )
{
	SetDefault( );
}

// 交易费用参数是否合法
BOOL CRateParam::IsValid( )
{
	return (m_dShaa >= 0 && m_dShaa < 0.1
		&& m_dShab >= 0 && m_dShab < 0.1
		&& m_dShafund >= 0 && m_dShafund < 0.1
		&& m_dSzna >= 0 && m_dSzna < 0.1
		&& m_dSznb >= 0 && m_dSznb < 0.1
		&& m_dSznfund >= 0 && m_dSznfund < 0.1 );
}

// 缺省交易费用
void CRateParam::SetDefault( )
{
	m_dShaa		=	0.003;
	m_dShab		=	0.003;
	m_dShafund	=	0.001;
	m_dSzna		=	0.003;
	m_dSznb		=	0.003;
	m_dSznfund	=	0.001;
}

// 保存交易费用至文件
void CRateParam::Serialize( CSPArchive &ar )
{
	if( ar.IsStoring( ) )
	{
		ar << m_dShaa;
		ar << m_dShab;
		ar << m_dShafund;
		ar << m_dSzna;
		ar << m_dSznb;
		ar << m_dSznfund;
	}
	else
	{
		ar >> m_dShaa;
		ar >> m_dShab;
		ar >> m_dShafund;
		ar >> m_dSzna;
		ar >> m_dSznb;
		ar >> m_dSznfund;
	}
}

// 根据股票选择交易费率
double CRateParam::GetRate( CStockInfo & info )
{
	LONG	stocktype	=	info.GetType();
	if( CStock::typeshA == stocktype || CStock::typeshIndex == stocktype )
		return m_dShaa;
	else if( CStock::typeshB == stocktype )
		return m_dShab;
	else if( info.IsShangHai() && info.IsFund() )
		return m_dShafund;
	else if( CStock::typeszA == stocktype || CStock::typeszIndex == stocktype )
		return m_dSzna;
	else if( CStock::typeszB == stocktype )
		return m_dSznb;
	else if( info.IsShenZhen() && info.IsFund() )
		return m_dSznfund;

	return 0;
}

/////////////////////////////////////////////////////////////////////////////
// COpParam

// 逻辑字符串，全部指标 任一指标
CSPString AfxGetLogicString( int nLogic )
{
	switch( nLogic )
	{
	case	COpParam::logicAnd:		return	strategy_logicand;
	case	COpParam::logicOr:		return	strategy_logicor;
	default:
		SP_ASSERT( FALSE );
	}
	return "";
}

// 仓位字符串
CSPString AfxGetStoreDivString( int nStoreDiv )
{
	switch( nStoreDiv )
	{
	case	COpParam::storedivOnce:			return strategy_sdonce;
	case	COpParam::storedivTwice:		return strategy_sdtwice;
	case	COpParam::storedivThird:		return strategy_sdthird;
	case	COpParam::storedivForth:		return strategy_sdforth;
	case	COpParam::storedivFifth:		return strategy_sdfifth;
	case	COpParam::storedivSixth:		return strategy_sdsixth;
	case	COpParam::storedivSeventh:		return strategy_sdseventh;
	case	COpParam::storedivEighth:		return strategy_sdeighth;
	case	COpParam::storedivNinth:		return strategy_sdninth;
	case	COpParam::storedivTenth:		return strategy_sdtenth;
	default:
		SP_ASSERT( FALSE );
	}
	return "";
}

COpParam::COpParam( )
{
	SetDefault( );
}

// 操作条件是否合法
BOOL COpParam::IsValid( )
{
	if( CKData::ktypeDay != m_nKType && CKData::ktypeWeek != m_nKType && CKData::ktypeMonth != m_nKType )
		return FALSE;
	if( m_nMaindataType < CKData::mdtypeMin || m_nMaindataType > CKData::mdtypeMax )
		return FALSE;
	if( m_nBuyLogic < logicMin || m_nBuyLogic > logicMax )
		return FALSE;
	if( m_nBuyLimit < ITS_MIN || m_nBuyLimit > ITS_MAX )
		return FALSE;
	if( m_dBuyMulti <= 0.89 || m_dBuyMulti > 1.11 )
		return FALSE;
	if( m_nSellLogic < logicMin || m_nSellLogic > logicMax )
		return FALSE;
	if( m_nSellLimit < ITS_MIN || m_nSellLimit > ITS_MAX )
		return FALSE;
	if( m_dSellMulti <= 0.89 || m_dSellMulti > 1.11 )
		return FALSE;
	if( m_atmBegin.GetSize() <= 0 || m_atmEnd.GetSize() <= 0
		|| m_atmBegin.GetSize() != m_atmEnd.GetSize() )
		return FALSE;
	// TIMEZONES
	if( m_nStartAmount < 1000 || m_nStartAmount > 2000000000 )
		return FALSE;
	if( m_nStoreDiv < storedivMin || m_nStoreDiv > COpParam::storedivMax )
		return FALSE;

	if( m_bStopLosing && ( m_dStopLosing <= 0 || m_dStopLosing >= 100 ) )
		return FALSE;
	if( m_bStopProfit && m_dStopProfit <= 0 )
		return FALSE;
	if( m_bLongTrend && CKData::ktypeDay != m_nKTypeLong && CKData::ktypeWeek != m_nKTypeLong && CKData::ktypeMonth != m_nKTypeLong )
		return FALSE;
	if( m_bIndexTrend && CKData::ktypeDay != m_nKTypeIndex && CKData::ktypeWeek != m_nKTypeIndex && CKData::ktypeMonth != m_nKTypeIndex )
		return FALSE;
	return TRUE;
}

// 缺省操作条件
void COpParam::SetDefault( )
{
	m_nKType		=	CKData::ktypeDay;
	m_nMaindataType	=	CKData::mdtypeClose;
	m_nBuyLogic		=	logicAnd;
	m_nBuyLimit		=	ITS_BUY;
	m_dBuyMulti		=	1.0;
	m_nSellLogic	=	logicOr;
	m_nSellLimit	=	ITS_SELL;
	m_dSellMulti	=	0.98;
	CSPTime	tmCurrent	=	CSPTime::GetCurrentTime();
	m_atmBegin.RemoveAll();
	m_atmEnd.RemoveAll();
	m_atmBegin.Add( tmCurrent - CSPTimeSpan( 365 * 3, 0, 0, 0 ) );
	m_atmEnd.Add( tmCurrent );
	m_nStartAmount	=	1000000;
	m_nStoreDiv		=	storedivThird;

	m_bStopLosing		=	FALSE;
	m_bStopProfit		=	FALSE;
	m_dStopLosing		=	0.1;
	m_dStopProfit		=	0.3;
	m_bLongTrend		=	FALSE;
	m_bIndexTrend		=	FALSE;
	m_nKTypeLong	=	CKData::ktypeWeek;
	m_nKTypeIndex	=	CKData::ktypeWeek;
}

// 设定不合法的操作条件为缺省值
void COpParam::SetDefaultOfInvalidMember( )
{
	if( CKData::ktypeDay != m_nKType && CKData::ktypeWeek != m_nKType && CKData::ktypeMonth != m_nKType )
		m_nKType		=	CKData::ktypeDay;
	if( m_nMaindataType < CKData::mdtypeMin || m_nMaindataType > CKData::mdtypeMax )
		m_nMaindataType	=	CKData::mdtypeClose;
	if( m_nBuyLogic < logicMin || m_nBuyLogic > logicMax )
		m_nBuyLogic	=	logicAnd;
	if( m_nBuyLimit < ITS_MIN || m_nBuyLimit > ITS_MAX )
		m_nBuyLimit		=	ITS_BUY;
	if( m_dBuyMulti <= 0.89 || m_dBuyMulti > 1.11 )
		m_dBuyMulti		=	1.0;
	if( m_nSellLogic < logicMin || m_nSellLogic > logicMax )
		m_nSellLogic	=	logicOr;
	if( m_nSellLimit < ITS_MIN || m_nSellLimit > ITS_MAX )
		m_nSellLimit	=	ITS_SELL;
	if( m_dSellMulti <= 0.89 || m_dSellMulti > 1.11 )
		m_dSellMulti	=	0.98;
	if( m_atmBegin.GetSize() <= 0 || m_atmEnd.GetSize() <= 0
		|| m_atmBegin.GetSize() != m_atmEnd.GetSize() )
	{
		m_atmBegin.RemoveAll();
		m_atmEnd.RemoveAll();
		CSPTime	tmCurrent	=	CSPTime::GetCurrentTime();
		m_atmBegin.Add( tmCurrent - CSPTimeSpan( 365 * 3, 0, 0, 0 ) );
		m_atmEnd.Add( tmCurrent );
	}
	// TIMEZONES
	if( m_nStartAmount < 1000 || m_nStartAmount > 2000000000 )
		m_nStartAmount	=	1000000;
	if( m_nStoreDiv < storedivMin || m_nStoreDiv > storedivMax )
		m_nStoreDiv		=	storedivThird;

	if( m_bStopLosing && ( m_dStopLosing <= 0 || m_dStopLosing >= 100 ) )
		m_dStopLosing	=	0.1;
	if( m_bStopProfit && m_dStopProfit <= 0 )
		m_dStopProfit	=	0.3;
	if( m_bLongTrend && CKData::ktypeDay != m_nKTypeLong && CKData::ktypeWeek != m_nKTypeLong && CKData::ktypeMonth != m_nKTypeLong )
		m_nKTypeLong		=	CKData::ktypeWeek;
	if( m_bIndexTrend && CKData::ktypeDay != m_nKTypeIndex && CKData::ktypeWeek != m_nKTypeIndex && CKData::ktypeMonth != m_nKTypeIndex )
		m_nKTypeIndex		=	CKData::ktypeWeek;
}

// 保存或者读取硬盘文件
void COpParam::Serialize( CSPArchive &ar )
{
	if( ar.IsStoring( ) )
	{
		ar << m_nKType;
		ar << m_nMaindataType;
		ar << m_nBuyLogic;
		ar << m_nBuyLimit;
		ar << m_dBuyMulti;
		ar << m_nSellLogic;
		ar << m_nSellLimit;
		ar << m_dSellMulti;
		m_atmBegin.Serialize( ar );
		m_atmEnd.Serialize( ar );
		ar << m_nStartAmount;
		ar << m_nStoreDiv;

		ar << m_bStopLosing;
		ar << m_bStopProfit;
		ar << m_dStopLosing;
		ar << m_dStopProfit;
		ar << m_bLongTrend;
		ar << m_bIndexTrend;
		ar << m_nKTypeLong;
		ar << m_nKTypeIndex;
	}
	else
	{
		ar >> m_nKType;
		ar >> m_nMaindataType;
		ar >> m_nBuyLogic;
		ar >> m_nBuyLimit;
		ar >> m_dBuyMulti;
		ar >> m_nSellLogic;
		ar >> m_nSellLimit;
		ar >> m_dSellMulti;
		m_atmBegin.Serialize( ar );
		m_atmEnd.Serialize( ar );
		ar >> m_nStartAmount;
		ar >> m_nStoreDiv;

		ar >> m_bStopLosing;
		ar >> m_bStopProfit;
		ar >> m_dStopLosing;
		ar >> m_dStopProfit;
		ar >> m_bLongTrend;
		ar >> m_bIndexTrend;
		ar >> m_nKTypeLong;
		ar >> m_nKTypeIndex;
	}
}

// 给定时间是不是在模拟时间内
BOOL COpParam::IsInTimeZones( CSPTime tm )
{
	for( int i=0; i<m_atmBegin.GetSize() && i<m_atmEnd.GetSize(); i++ )
	{
		if( tm >= m_atmBegin.ElementAt(i) && tm <= m_atmEnd.ElementAt(i) )
			return TRUE;
	}
	return FALSE;
}

// 获取模拟开始时间
CSPTime COpParam::GetBeginTime( )
{
	if( m_atmBegin.GetSize() > 0 )
		return m_atmBegin.ElementAt(0);
	return CSPTime::GetCurrentTime();
}

// 获取模拟结束时间
CSPTime COpParam::GetEndTime( )
{
	if( m_atmEnd.GetSize() > 0 )
		return m_atmEnd.ElementAt(m_atmEnd.GetSize()-1);
	return CSPTime::GetCurrentTime();
}

// 获取下一个交易时间
BOOL COpParam::GetNextTradeTime( CSPTime tmNow, CSPTime &tmNext )
{
	CSPTime	sptime( tmNow.GetTime() );
	DWORD	dwDate		=	sptime.ToStockTime( CKData::IsDayOrMin(m_nKType) );
	DWORD	dwDateNext	=	CSPTime::GetStockTimeNext( dwDate, m_nKType );
	if( sptime.FromStockTime( dwDateNext, CKData::IsDayOrMin(m_nKType) ) )
	{
		tmNext	=	sptime.GetTime();
		return TRUE;
	}
	return FALSE;
}

// 获取当前模拟进度
DWORD COpParam::GetProgress( CSPTime tmNow, DWORD dwProgressMax )
{
	// TIMEZONES
	if( !IsInTimeZones( tmNow ) )
		return 0;
	CSPTime	tmBegin	=	GetBeginTime( );
	CSPTime	tmEnd	=	GetEndTime( );
	double	dBeginNow	=	( tmNow.GetTime() - tmBegin.GetTime() );
	double	dBeginEnd	=	( tmEnd.GetTime() - tmBegin.GetTime() );
	double	dProgress	=	0;
	if( fabs(dBeginEnd) > 1e-4 )
	{
		dProgress	=	( dBeginNow / dBeginEnd ) * dwProgressMax;
	}
	return (DWORD)dProgress;
}

/////////////////////////////////////////////////////////////////////////////
// CStockOwnContainer

// 拥有股票数组，加入股票
BOOL CStockOwnContainer::AddStock( CStockInfo & info, DWORD dwShare, double dBuyPrice )
{
	if( dwShare <= 0 )
		return FALSE;

	// 如果已经有了，改变数量
	for( int i=0; i<GetSize(); i++ )
	{
		STOCKOWN	&	own	=	ElementAt(i);
		if( info.IsEqualTo( own.dwMarket, own.szCode ) )
		{
			if( dBuyPrice > 0.005 && own.dwShare + dwShare > 0 )
			{
				own.dBuyPrice	=	(own.dBuyPrice * own.dwShare + dBuyPrice * dwShare) / (own.dwShare + dwShare);
			}
			own.dwShare	+=	dwShare;
			return TRUE;
		}
	}
	// 加入新的
	STOCKOWN	ownnew;
	memset( &ownnew, 0, sizeof(ownnew) );
	strncpy( ownnew.szCode, info.GetStockCode(), min(sizeof(ownnew.szCode)-1,strlen(info.GetStockCode())) );
	ownnew.dwShare		=	dwShare;
	ownnew.dBuyPrice	=	dBuyPrice;
	ownnew.dwMarket		=	info.GetMarket();
	return ( Add(ownnew) >= 0 );
}

// 拥有股票数组，移除股票
BOOL CStockOwnContainer::RemoveStock( CStockInfo & info, DWORD dwShare )
{
	for( int i=0; i<GetSize(); i++ )
	{
		STOCKOWN	&	own	=	ElementAt(i);
		if( info.IsEqualTo( own.dwMarket, own.szCode ) )
		{
			if( own.dwShare < dwShare )
				return FALSE;
			own.dwShare	-=	dwShare;
			if( 0 == own.dwShare )
				RemoveAt(i);
			return TRUE;
		}
	}
	return FALSE;
}

// 拥有股票数组，是否有这个股票，如果有，返回至lpOwn
BOOL CStockOwnContainer::HasThisStock( CStockInfo & info, LPSTOCKOWN lpOwn )
{
	for( int i=0; i<GetSize(); i++ )
	{
		STOCKOWN	&	own	=	ElementAt(i);
		if( info.IsEqualTo( own.dwMarket, own.szCode ) )
		{
			if( lpOwn )
				memcpy( lpOwn, &own, sizeof(own) );
			return ( own.dwShare > 0 );
		}
	}
	return FALSE;
}

/////////////////////////////////////////////////////////////////////////////
// COpRecordContainer
// 操作描述
CSPString	AfxGetStrategyOpTypeString( long lOpType )
{
	CSPString	strOp;
	if( STRATEGY_OPTYPE_BUY == lOpType )
		return strategy_optype_buy;
	else if( STRATEGY_OPTYPE_SELL == lOpType )
		return strategy_optype_sell;
	else if( STRATEGY_OPTYPE_ADDSTOCK == lOpType )
		return strategy_optype_addstock;
	else if( STRATEGY_OPTYPE_REMOVESTOCK == lOpType )
		return strategy_optype_removestock;
	else if( STRATEGY_OPTYPE_ADDCASH == lOpType )
		return strategy_optype_addcash;
	else if( STRATEGY_OPTYPE_REMOVECASH == lOpType )
		return strategy_optype_removecash;
	return strOp;
}