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WeightedAlgorithm.h
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WeightedAlgorithm.h
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// WeightedAlgorithm.h: interface for the WeightedAlgorithm class.
//
//////////////////////////////////////////////////////////////////////
#if !defined(AFX_WEIGHTEDALGORITHM_H__2EA7E4BA_C2CD_4FDD_978B_C3B4E42FEF93__INCLUDED_)
#define AFX_WEIGHTEDALGORITHM_H__2EA7E4BA_C2CD_4FDD_978B_C3B4E42FEF93__INCLUDED_
#if _MSC_VER > 1000
#pragma once
#endif // _MSC_VER > 1000
#include "Algorithm.h"
class COneMinuteData;
class WeightedAlgorithm : public Algorithm
{
public:
WeightedAlgorithm(string instrument_id);
virtual ~WeightedAlgorithm();
virtual int OnHalfMinuteData(const CHalfMinuteData& data);
virtual int OnTickData(const CThostFtdcDepthMarketDataField&);
virtual void OnTradeData(const CThostFtdcTradeField&);
virtual void OnAccountData(const CThostFtdcTradingAccountField&);
virtual void OnPositionData(const CThostFtdcInvestorPositionField&);
virtual BOOL InitInstance();
virtual int SendStrategy(OrderInfoShort & res);
private:
double totalAmount;
double totalMoney;
double lastVol;
double m_BidPrice;
double m_AskPrice;
vector<CHalfMinuteData> m_historyData;
string m_InstrumentID;
int m_Amount;
ofstream m_log;
ofstream m_state_log;
int isIni;
int ininow;
};
#endif // !defined(AFX_WEIGHTEDALGORITHM_H__2EA7E4BA_C2CD_4FDD_978B_C3B4E42FEF93__INCLUDED_)