upload for ali

yupengzhi · Feb 21, 2020 · c623ba8 · c623ba8
1 parent c76842b
commit c623ba8
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Showing 5 changed files with 16 additions and 2 deletions.
diff --git a/config/backtest/backtest.config b/config/backtest/backtest.config
@@ -80,6 +80,20 @@ strategy = (
   max_loss_times = 2;
   },
 
+  {
+    unique_name = "ni";
+    max_position = 3;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  },
+
   {
     unique_name = "sn";
     max_position = 3;

diff --git a/external/common/lib/libcommontools.so b/external/common/lib/libcommontools.so
diff --git a/external/common/libcommontools.so b/external/common/libcommontools.so
diff --git a/src/backtest/main.cpp b/src/backtest/main.cpp
@@ -220,8 +220,8 @@ int main() {
     }
     int period = param_cfg.lookup("period");
     std::vector<std::string> file_v = dt.GetDataFilesNameByDate(start_date, period, true);
+    PrintVector(file_v);
     Contractor ct(dt.GetValidFile(start_date, -40));
-    PrintVector(ct.GetAllTick());
     std::unique_ptr<Sender> sender(new Sender("*:33333", "bind", "tcp", "mid_backtest.dat"));
     std::unique_ptr<Sender> ordersender(new Sender("order_sub", "connect", "ipc", "order.dat"));
     std::vector<BaseStrategy*> sv;

diff --git a/src/simplearb/strategy.cpp b/src/simplearb/strategy.cpp
@@ -466,7 +466,7 @@ void Strategy::ModerateOrders(const std::string & ticker) {
         std::string ticker = o->ticker;
         MarketSnapshot shot = shot_map[ticker];
         double reasonable_price = (o->side == OrderSide::Buy ? shot.asks[0] : shot.bids[0]);
-        bool is_price_move = (fabs(reasonable_price - o->price) >= min_price_move);
+        bool is_price_move = (fabs(reasonable_price - o->price) >= min_price_move/2);
         if (!is_price_move) {
           continue;
         }