如何第一次量化交易就賠錢

1. 即時報價
2. 下單買賣
3. 交易策略

• 讀取券商即時報價，群益金融網 - 證券API提供註冊個股報價功能，並透過Notify之類的回呼函式取得即時報價。例如筆者想取得的個股報價為台指期，因此註冊的個股代號為「TX00」，若是小台指則為「MTX00」，其中00表示當月報價，如果有指定特別月份報價，則修改00為該月份數字。由於某些時候瞬間的台指期成交筆數非常多，所以儲存資料時建議採用ConcurrentQueue的方式，否則資料很容易就遺失。
• 指標計算部分，筆者藉由Stock Indicators for .NET函式庫幫忙，以節省自行開發的時間。Skender的指標函式庫涵蓋了許多常見指標，並且持續在github提供更新，對於研究交易指標的原理，不失為良好的研究來源。
• 即時Tick資料轉OHLC的K棒資料格式，筆者參考[利用 LINQ 實現期指Tick檔彙整為K棒]再稍微改寫符合自己的需求如下，這段 LINQ程式寫得非常高明，筆者感悟一陣子才了解。

        private IEnumerable<OHLCBar> generate_OHLCBar(IEnumerable<Tick> ticks, long barSizeInTicks)

        {

            TimeSpan natural_time = new TimeSpan(8, 45, 0);

            var bars = from tick in ticks

                       let barIndexForDay = Math.Floor(tick.Timestamp.TimeOfDay.Subtract(natural_time).TotalSeconds / barSizeInTicks)

                       let barBeginDateTime = tick.Timestamp.Date.Add(natural_time).AddSeconds(barIndexForDay * barSizeInTicks)

                       let barEndDateTime = tick.Timestamp.Date.Add(natural_time).AddSeconds((barIndexForDay + 1) * barSizeInTicks)

                       group tick by new { barBeginDateTime, barEndDateTime, tick.Symbol } into tickGroup

                       orderby tickGroup.Key.barBeginDateTime

                       let orderedPrices = tickGroup.OrderBy(t => t.Timestamp).Select(t => t.Price)

                       select new OHLCBar()

                       {

                           Symbol = tickGroup.Key.Symbol,

                           OPEN = orderedPrices.First(),

                           CLOSE = orderedPrices.Last(),

                           HIGH = orderedPrices.Max(),

                           LOW = orderedPrices.Min(),

                           VOLUME = Convert.ToUInt32(tickGroup.Sum(t => t.Volume)),

                           BeginTime = tickGroup.Key.barBeginDateTime,

                           EndTime = tickGroup.Key.barEndDateTime,

                           Interval = new TimeSpan(0, 0, (int)barSizeInTicks)

                       };

            return bars;

        }

• 台股交易日期則需要至臺灣證券交易所的OpenAPI查詢。筆者拼湊了個簡單的抓取程式如下。但是必須注意的是臺灣證券交易所把春節年假前的交易日期混在停止交易的日期中，所以就算抓下來之後，還要自行修改內容才能直接當作IsHoliday使用。希望有人能反映給臺灣證券交易所，這種資料是給電腦看的，不是給人看的，格式不要亂塞一通。

        private async Task GetHolidayInfo(string path)

        {

            string req = "https://openapi.twse.com.tw/v1/holidaySchedule/holidaySchedule";

            string csv = await GetHttpData(req);

            File.WriteAllText(path, csv);

        }

        private async Task<string> GetHttpData(string weblink)

        {

            HttpClientHandler handler = new HttpClientHandler();

            handler.UseDefaultCredentials = true;

            HttpClient client = new HttpClient(handler);

            try

            {

                HttpResponseMessage response = await client.GetAsync(weblink);

                response.EnsureSuccessStatusCode();

                string responseBody = await response.Content.ReadAsStringAsync();

                string csv = jsonToCSV(responseBody, ",");

                return csv;

            }

            catch (HttpRequestException e)

            {

                Debug.WriteLine("Exception Caught! Message :{0} ", e.Message);

                return null;

            }

        }

        private static DataTable jsonStringToTable(string jsonContent)

        {

            DataTable dt = JsonConvert.DeserializeObject<DataTable>(jsonContent);

            return dt;

        }

        private static string jsonToCSV(string jsonContent, string delimiter)

        {

            StringWriter csvString = new StringWriter();

            var configuration = new CsvConfiguration(CultureInfo.InvariantCulture)

            {

                Delimiter = delimiter,

                MissingFieldFound = null

            };

            using (var csv = new CsvWriter(csvString, configuration))

            {                

                using (var dt = jsonStringToTable(jsonContent))

                {

                    foreach (DataColumn column in dt.Columns)

                    {

                        csv.WriteField(column.ColumnName);

                    }

                    csv.NextRecord();

                    foreach (DataRow row in dt.Rows)

                    {

                        for (var i = 0; i < dt.Columns.Count; i++)

                        {

                            csv.WriteField(row[i]);

                        }

                        csv.NextRecord();

                    }

                }

            }

            return csvString.ToString();

        }

• 月結算的交易時間與平常日不同，月結算當日比較早收盤，同時還有轉倉的問題，所以筆者也拼湊判斷月結算的函式如下:

        public static bool IsMonthExpDate(this DateTime d)

        {            

            if (GetMonthExpDate(d).Date == d.Date)

            {

                return true;

            }

            return false;

        }

        private static DateTime GetMonthExpDate(DateTime date) // 取得月份到期日(當月第3個星期三)

        {

            // 本月第一天

            DateTime firstDay = new DateTime(date.Year, date.Month, 1, 14, 0, 0);

            // 找到第一個星期三

            while (firstDay.DayOfWeek != DayOfWeek.Wednesday)

            {

                firstDay = firstDay.AddDays(1);

            }

            firstDay = firstDay.AddDays(14);

            // 長假順延

            while (IsHoliday(firstDay)) 

            {

                firstDay = firstDay.AddDays(1);

            }

            return firstDay;

        }

        public static string GetFutureYM(DateTime date) // 取得該日應交易的年月份

        {

            int year = Convert.ToInt32(date.Year.ToString());

            int month = date.Month;

            DateTime monthExp = GetMonthExpDate(date);

            if (date > monthExp)

            {

                month += 1;

                if (month == 13)

                {

                    month = 1;

                    year = year + 1;

                }

            }

            string FutureYM = year + month.ToString("00");

            return FutureYM;

        }

• 資料暫存區，因為Tick資料筆數太多，直接存放在SSD硬碟裡會造成讀寫遲緩以及影響SSD硬碟壽命的問題，所以筆者利用AMD Radeon(TM) RAMDisk在DDR記憶體中開了個Z槽當作頻繁資料存取之用。每天早上5點夜盤結束之後，才備份回一般的硬碟裡。當然這期間要祈禱主機沒當機或是斷電關機。

        public int OrderFuture(string strStockNo, string strPrice, int nQty, short nBidAsk, short type, ref string strMessage)

        {            

            FUTUREORDER pOrder = new FUTUREORDER()

            {

                bstrFullAccount = m_UserAccount,

                bstrPrice = "P", // 委託價格，「M」表示市價，「P」表示範圍市價

                bstrStockNo = strStockNo,

                nQty = nQty,

                sTradeType = 1, //0:ROD  1:IOC  2:FOK

                sBuySell = nBidAsk, //0:買進 1:賣出

                sDayTrade = 0, //當沖0:否 1:是，可當沖商品請參考交易所規定。

                sNewClose = type, //新平倉，0:新倉 1:平倉 2:自動{新期貨、選擇權使用}

                sReserved = 0  //{期貨委託SendFutureOrderCLR適用}盤別，0:盤中(T盤及T+1盤)；1:T盤預約

            };

            m_nCode = OnFutureOrderSignal(m_strLoginID, false, pOrder, ref strMessage);

            return m_nCode;

        }