strategy.cpp

股软 通达信行情接收接口, 包括美元汇率

	AfxGetDB().GetTimeLocalRange( &tmLatest, NULL, NULL );
	m_RealBeginTime		=	tmLatest;
	m_RealCurrentTime	=	tmLatest;
	m_RealCurrentCash	=	m_opparam.m_nStartAmount;
	m_RealOpRecord.RemoveAll();
	m_RealNextOp.RemoveAll();
	m_RealStockOwn.RemoveAll();
	m_RealAssetSerial.RemoveAll();

	SP_ASSERT( m_opparam.IsValid() );
}
// 策略实战：下一个交易时间
BOOL CStrategy::RealGotoNextTime( )
{
	CSPTime	tmNext;
	if( m_techstocks.GetNextExistTradeTime( RealGetCurrentTime(), tmNext ) )
	{
		m_RealCurrentTime	=	tmNext;
		return TRUE;
	}
	return FALSE;
}
// 策略实战：开始时间
CSPTime CStrategy::RealGetBeginTime( )
{
	return m_RealBeginTime;
}
// 策略实战：当前时间
CSPTime CStrategy::RealGetCurrentTime( )
{
	return m_RealCurrentTime;
}
// 策略实战：当前资金
double CStrategy::RealGetCurrentCash( )
{
	return m_RealCurrentCash;
}
// 策略实战：执行一个操作
BOOL CStrategy::RealOperate( OPRECORD record, BOOL bTimeStrict )
{
	if( bTimeStrict && m_RealOpRecord.GetSize() > 0 && record.time < m_RealOpRecord.ElementAt(m_RealOpRecord.GetSize()-1).time )
		return FALSE;
	CStockInfo	info;
	if( strlen(record.szCode)>0
		&& ( !AfxGetStockContainer().GetStockInfo( record.szCode, &info )
		|| !info.IsValidStock() ) )
		return FALSE;

	double	dAmount		=	record.dwShare * record.dSharePrice;
	double	dRateCost	=	record.dRateCost;
	if( STRATEGY_OPTYPE_BUY == record.lOpType )	// 买入
	{
		if( m_RealCurrentCash < dAmount+dRateCost )
			return FALSE;
		if( !m_RealStockOwn.AddStock( info, record.dwShare, record.dSharePrice ) )
			return FALSE;
		m_RealCurrentCash	-=	(dAmount+dRateCost);
	}
	else if( STRATEGY_OPTYPE_SELL == record.lOpType )	// 卖出
	{
		if( !m_RealStockOwn.RemoveStock( info, record.dwShare ) )
			return FALSE;
		m_RealCurrentCash	+=	(dAmount-dRateCost);
	}
	else if( STRATEGY_OPTYPE_ADDSTOCK == record.lOpType )	// 添加股票
	{
		if( !m_RealStockOwn.AddStock( info, record.dwShare, record.dSharePrice ) )
			return FALSE;
	}
	else if( STRATEGY_OPTYPE_REMOVESTOCK == record.lOpType )	// 移除股票
	{
		if( !m_RealStockOwn.RemoveStock( info, record.dwShare ) )
			return FALSE;
	}
	else if( STRATEGY_OPTYPE_ADDCASH == record.lOpType )		// 加入资金
	{
		m_RealCurrentCash	+=	record.dSharePrice;
	}
	else if( STRATEGY_OPTYPE_REMOVECASH == record.lOpType )	// 移除资金
	{
		if( m_RealCurrentCash < record.dSharePrice )
			return FALSE;
		m_RealCurrentCash	-=	record.dSharePrice;
	}
	else
		return FALSE;

	// Record
	m_RealOpRecord.Add( record );
	return TRUE;
}
// 策略实战：操作记录
COpRecordContainer & CStrategy::RealGetOpRecord( )
{
	return m_RealOpRecord;
}
// 策略实战：下一步操作计划
COpRecordContainer & CStrategy::RealGetNextOp( )
{
	return m_RealNextOp;
}
// 策略实战：当前拥有股票
CStockOwnContainer & CStrategy::RealGetStockOwn( )
{
	return m_RealStockOwn;
}
// 策略实战：总资产序列
CAssetSerialContainer & CStrategy::RealGetAssetSerial( )
{
	return m_RealAssetSerial;
}
// 策略实战：得到指定日期的总资产
double CStrategy::RealGetAsset( CSPTime tmCur )
{
	double	dAsset	=	0;

	if( m_techstocks.GetSumAsset( tmCur, m_RealStockOwn, &dAsset ) )
	{
		dAsset	+=	m_RealCurrentCash;

		ASSETSERIAL	serial;
		memset( &serial, 0, sizeof(serial) );
		serial.time		=	tmCur.GetTime();
		serial.dAsset	=	dAsset;
		serial.dCash	=	m_RealCurrentCash;
		m_RealAssetSerial.SortInsert( serial );
		return dAsset;
	}
	else
	{
		for( int i=m_RealAssetSerial.GetSize()-1; i>=0; i-- )
		{
			ASSETSERIAL & serial	=	m_RealAssetSerial.ElementAt(i);
			if( serial.time <= tmCur.GetTime() )
				return serial.dAsset;
		}
	}
	return m_opparam.m_nStartAmount;
}
// 策略实战：当前收益
double CStrategy::RealGetCurrentYield( )
{
	if( m_opparam.m_nStartAmount > 0 )
		return STRATEGY_BASEF_YIELD * RealGetAsset(RealGetCurrentTime()) / m_opparam.m_nStartAmount;
	return STRATEGY_BASEF_YIELD;
}
// 策略实战：当前指数上涨百分比
double CStrategy::RealGetCurrentYieldIndexPercent( )
{
	CSPTime	sptmBegin( RealGetBeginTime().GetTime() );
	CSPTime	sptmNow( RealGetCurrentTime().GetTime() );
	DWORD	dateBegin	=	sptmBegin.ToStockTimeDay();
	DWORD	dateNow		=	sptmNow.ToStockTimeDay();
	
	CKData & kdata	=	AfxGetStockMain().GetKData(m_opparam.m_nKType);
	int	nIndexBegin	=	kdata.GetAboutIndexByDate( dateBegin );
	int	nIndexNow	=	kdata.GetAboutIndexByDate( dateNow );
	if( -1 == nIndexBegin || -1 == nIndexNow )
		return 0;

	if( kdata.ElementAt(nIndexBegin).m_fClose < 1e-4 )
		return 0;

	double	dYield	=	((double)kdata.ElementAt(nIndexNow).m_fClose) - kdata.ElementAt(nIndexBegin).m_fClose;
	dYield	=	dYield / kdata.ElementAt(nIndexBegin).m_fClose;

	return dYield;
}
// 策略实战：当前收益百分比
double CStrategy::RealGetCurrentYieldPercent( )
{
	return ( RealGetCurrentYield() - STRATEGY_BASEF_YIELD ) / STRATEGY_BASEF_YIELD;
}
// 策略实战：执行操作计划
BOOL CStrategy::RealOperateNextop( CSPTime tmCur, COpRecordContainer & nextop, CTechStock & techstock )
{
	for( int j=0; j<nextop.GetSize(); j++ )	// 依次执行每一个计划
	{
		OPRECORD &	record	=	nextop.ElementAt(j);
		if( STRATEGY_OPTYPE_BUY != record.lOpType && STRATEGY_OPTYPE_SELL != record.lOpType )
			continue;

		if( tmCur.GetTime() >= record.time
			&& techstock.m_info.IsEqualTo( CStock::marketUnknown, record.szCode ) )
		{
			if( !record.bViewed )	//	Not Viewed
			{
				nextop.RemoveAt(j);
				j --;
				continue;
			}

			if( techstock.IsStopTrading(tmCur) )	// 停牌，转入下一个交易日的计划中
			{
				CSPTime	tmNext;
				if( m_opparam.GetNextTradeTime(tmCur, tmNext) )
					record.time	=	tmNext.GetTime();
				continue;
			}

			double	dPriceOK	=	record.dSharePrice;
			if( techstock.GetPriceOK( record.lOpType, tmCur, record.dwShare, record.dSharePrice, &dPriceOK ) )	// 成交价格
			{
				record.time			=	tmCur.GetTime();
				record.dSharePrice	=	dPriceOK;
				record.dRateCost	=	record.dwShare * record.dSharePrice * m_rate.GetRate(techstock.m_info);
				RealOperate( record );
			}
			else if( STRATEGY_OPTYPE_SELL == record.lOpType )	// 如果是卖出不成功，转入下一个交易日，直至卖出成功
			{
				CSPTime	tmNext;
				if( m_opparam.GetNextTradeTime(tmCur, tmNext) )
					record.time	=	tmNext.GetTime();
				if( techstock.GetClosePrice(tmCur,&dPriceOK) )
					record.dSharePrice	=	dPriceOK * m_opparam.m_dSellMulti;
				continue;
			}
			nextop.RemoveAt(j);
			j --;
		}
	}
	return TRUE;
}
// 策略实战：执行
BOOL CStrategy::RealRun( SIMULATION_CALLBACK fnCallback, void * cookie )
{
	// TIMEZONES
	// 准备数据
	if( !PrepareData( fnCallback, cookie ) )
		return FALSE;

	ClearLastIntensity( );

	DWORD	dwShare = 0;		// Temp Data
	double	dSharePrice = 0;	// Temp Data
	CSPTime	tmOp;				// Temp Data

	do	{
		CSPTime	tmCur	=	RealGetCurrentTime();	// 当前日期

		// Process
		for( int i=0; i<m_techstocks.GetSize(); i++ )	// 每只股票依次判断
		{
			CTechStock & techstock	=	m_techstocks.ElementAt(i);

			// Operate
			RealOperateNextop( tmCur, m_RealNextOp, techstock );	// 执行今日操作计划

			// Judge Whether to operate, if yes, save to nextop
			STOCKOWN	own;
			memset( &own, 0, sizeof(own) );
			if( m_RealStockOwn.HasThisStock( techstock.m_info, &own ) )	// 如果有这支股票，判断是否卖出
			{
				if( m_techstocks.GetShouldSellShare( techstock, tmCur, own, m_opparam, &tmOp, &dwShare, &dSharePrice ) )
				{	// 如果卖出，加入操作计划中
					m_RealNextOp.AddRecordUniqueStock( STRATEGY_OPTYPE_SELL, tmOp, techstock.m_info.GetStockCode(), dwShare, dSharePrice, dwShare*dSharePrice*m_rate.GetRate(techstock.m_info) );
				}
			}
			else	// 判断是否买入
			{
				if( m_techstocks.GetShouldBuyShare( techstock, tmCur, m_RealCurrentCash, m_rate , m_opparam, m_RealStockOwn.GetSize(), &tmOp, &dwShare, &dSharePrice )
					&& ( m_RealStockOwn.GetSize() + m_RealNextOp.GetBuyRecordCount() < m_opparam.m_nStoreDiv || m_RealNextOp.HasBuyStock(techstock.m_info.GetStockCode()) ) )
				{	// 如果买入，加入操作计划中
					m_RealNextOp.AddRecordUniqueStock( STRATEGY_OPTYPE_BUY, tmOp, techstock.m_info.GetStockCode(), dwShare, dSharePrice, dwShare*dSharePrice*m_rate.GetRate(techstock.m_info) );
				}
			}

			// 进度显示
			DWORD	dwProgress	=	(DWORD)((i+1)*STRATEGY_MAX_PROGRESS/m_techstocks.GetSize());
			if( fnCallback && !fnCallback( SIMULATION_PROGRESS, dwProgress, NULL, cookie ) )
				return FALSE;
		}

		RealGetAsset( RealGetCurrentTime() );

	} while( RealGotoNextTime() );	// 下一个交易日

	if( fnCallback )
		fnCallback( SIMULATION_PROGRESS, STRATEGY_MAX_PROGRESS, NULL, cookie );
	return TRUE;
}
// 策略实战：加入操作记录，如果成功，同时要删除加入日后的所有操作
BOOL CStrategy::RealAddOpRecordStrict( OPRECORD record )
{
	COpRecordContainer recordbk;
	recordbk.Copy( m_RealOpRecord );

	// 重新执行操作记录，到加入新操作日为止
	BOOL	bOK	=	TRUE;
	m_RealCurrentCash	=	m_opparam.m_nStartAmount;
	m_RealOpRecord.RemoveAll();
	m_RealNextOp.RemoveAll();
	m_RealStockOwn.RemoveAll();
	for( int i=0; i<recordbk.GetSize(); i++ )
	{
		OPRECORD	rec	=	recordbk.ElementAt(i);
		if( bOK && rec.time < record.time )
			bOK	&=	RealOperate( rec );
	}
	
	if( bOK && RealOperate( record ) )
	{	// 加入成功，重新计算总资产序列
		for( int i=m_RealAssetSerial.GetSize()-1; i>=0; i-- )
		{
			ASSETSERIAL	serial	=	m_RealAssetSerial.ElementAt(i);
			if( serial.time >= record.time )
				m_RealAssetSerial.RemoveAt(i);
		}
		RealGetAsset( record.time );
		return TRUE;
	}
	else
	{
		// 加入失败，全部重来，恢复原样
		m_RealCurrentCash	=	m_opparam.m_nStartAmount;
		m_RealOpRecord.RemoveAll();
		m_RealNextOp.RemoveAll();
		m_RealStockOwn.RemoveAll();
		for( int i=0; i<recordbk.GetSize(); i++ )
		{
			OPRECORD	rec	=	recordbk.ElementAt(i);
			RealOperate( rec );
		}
		return FALSE;
	}
}
// 策略实战：删除操作记录，如果成功，同时要删除日后的所有操作
BOOL CStrategy::RealDeleteOpRecordStrict( int nRecord )
{
	if( nRecord < 0 || nRecord >= m_RealOpRecord.GetSize() )
	{
		SP_ASSERT( FALSE );
		return FALSE;
	}
	OPRECORD	record	=	m_RealOpRecord.ElementAt(nRecord);

	COpRecordContainer recordbk;
	recordbk.Copy( m_RealOpRecord );

	// 重新执行操作记录，到删除日为止
	BOOL	bOK	=	TRUE;
	m_RealCurrentCash	=	m_opparam.m_nStartAmount;
	m_RealOpRecord.RemoveAll();
	m_RealNextOp.RemoveAll();
	m_RealStockOwn.RemoveAll();
	for( int i=0; i<recordbk.GetSize(); i++ )
	{
		OPRECORD	rec	=	recordbk.ElementAt(i);
		if( bOK && rec.time < record.time )
			bOK	&=	RealOperate( rec );
	}
	
	if( bOK )
	{	// 成功删除，重新计算总资产序列
		for( int i=m_RealAssetSerial.GetSize()-1; i>=0; i-- )
		{
			ASSETSERIAL	serial	=	m_RealAssetSerial.ElementAt(i);
			if( serial.time >= record.time )
				m_RealAssetSerial.RemoveAt(i);
		}
		RealGetAsset( record.time );
		return TRUE;
	}
	else
	{
		// 删除失败，恢复原样
		m_RealCurrentCash	=	m_opparam.m_nStartAmount;
		m_RealOpRecord.RemoveAll();
		m_RealNextOp.RemoveAll();
		m_RealStockOwn.RemoveAll();
		for( int i=0; i<recordbk.GetSize(); i++ )
		{
			OPRECORD	rec	=	recordbk.ElementAt(i);
			RealOperate( rec );
		}
		return FALSE;
	}
}

/*
BOOL CStrategy::RealUnOperate( OPRECORD record )
{
	CStockInfo	info;
	if( strlen(record.szCode)>0
		&& ( !AfxGetStockContainer().GetStockInfo( record.szCode, &info )
		|| !info.IsValidStock() ) )
		return FALSE;

	double	dAmount		=	record.dwShare * record.dSharePrice;
	double	dRateCost	=	record.dRateCost;
	if( STRATEGY_OPTYPE_BUY == record.lOpType )
	{
		if( !m_RealStockOwn.RemoveStock( info, record.dwShare ) )
			return FALSE;
		m_RealCurrentCash	+=	(dAmount+dRateCost);
	}
	else if( STRATEGY_OPTYPE_SELL == record.lOpType )
	{
		if( m_RealCurrentCash < dAmount-dRateCost )
			return FALSE;
		if( !m_RealStockOwn.AddStock( info, record.dwShare ) )
			return FALSE;
		m_RealCurrentCash	-=	(dAmount-dRateCost);
	}
	else if( STRATEGY_OPTYPE_ADDSTOCK == record.lOpType )
	{
		if( !m_RealStockOwn.RemoveStock( info, record.dwShare ) )
			return FALSE;
	}
	else if( STRATEGY_OPTYPE_REMOVESTOCK == record.lOpType )
	{
		if( !m_RealStockOwn.AddStock( info, record.dwShare ) )
			return FALSE;
	}
	else if( STRATEGY_OPTYPE_ADDCASH == record.lOpType )
	{
		if( m_RealCurrentCash < record.dSharePrice )
			return FALSE;
		m_RealCurrentCash	-=	record.dSharePrice;
	}
	else if( STRATEGY_OPTYPE_REMOVECASH == record.lOpType )
	{
		m_RealCurrentCash	+=	record.dSharePrice;
	}
	else
		return FALSE;

	return TRUE;
}

BOOL CStrategy::RealAddOpRecordStrict( OPRECORD record )
{
	COpRecordContainer recordbk;
	recordbk.Copy( m_RealOpRecord );

	BOOL	bOK	=	TRUE;
	for( int i=m_RealOpRecord.GetSize()-1; i>=0; i-- )
	{
		OPRECORD	rec	=	m_RealOpRecord.ElementAt(i);
		if( bOK && rec.time > record.time )
		{
			bOK	&=	RealUnOperate( rec );
			if( bOK )
				m_RealOpRecord.RemoveAt(i);
		}
	}

	if( bOK && RealOperate( record ) )
	{
		for( i=m_RealAssetSerial.GetSize()-1; i>=0; i-- )
		{
			ASSETSERI