public FileDataSimulator(Framework framework)
: base(framework)
{
if (Environment.Is64BitProcess)
{
SevenZipBase.SetLibraryPath("7z64.dll");
}
else
{
SevenZipBase.SetLibraryPath("7z.dll");
}
RunOnSubscribe = true;
id = 50;
name = "QBDataSimulator";
description = "QuantBox Data Simulator";
url = "www.smartquant.cn";
_barFilter = new BarFilter();
SubscribeAsk = true;
SubscribeBid = true;
SubscribeTrade = true;
Series = new List <IDataSeries>();
Processor = new DataProcessor();
DateTime1 = DateTime.MinValue;
DateTime2 = DateTime.MaxValue;
}
public QBExecutionSimulator(Framework framework)
: base(framework)
{
Id = QuantBoxConst.PIdSimExec;
Name = "QuantBoxExecutionSimulator";
url = "www.quantbox.cn";
this.framework = framework;
BarFilter = new BarFilter();
CheckSubPositions = this.framework.Configuration.UseSubPositions;
SlippageProvider = new TickSizeSlippageProvider();
CommissionProvider = new CommissionProvider();
}
private bool OnAucFill(Order order)
{
if (order.Type == OrderType.Limit)
{
int instrumentId = order.Instrument.Id;
if (FillOnQuote)
{
Ask ask = framework.DataManager.GetAsk(instrumentId);
if (ask != null && OnAsk(order, ask))
{
return(true);
}
Bid bid = framework.DataManager.GetBid(instrumentId);
if (bid != null && OnBid(order, bid))
{
return(true);
}
}
if (FillOnTrade)
{
Trade trade = framework.DataManager.GetTrade(instrumentId);
if (trade != null && OnTrade(order, trade))
{
return(true);
}
}
if (FillOnBar)
{
Bar bar = framework.DataManager.GetBar(instrumentId);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return(false);
}
if (bar != null && OnBar(order, bar))
{
return(true);
}
}
if (FillOnLevel2)
{
Level2Snapshot snapshot = framework.DataManager.GetAggregatedSnapshot(instrumentId);
if (snapshot != null)
{
return(OnLevel2(order, snapshot));
}
}
}
return(false);
}
private void DoSend(ExecutionCommand command)
{
Order order = command.Order;
if (order.Qty == 0.0)
{
Reject(order, "Order amount can not be zero");
return;
}
if (CheckSubPositions)
{
Position position = order.Portfolio.GetPosition(order.Instrument);
if (order.Side == OrderSide.Sell && order.SubSide != SubSide.SellShort && position.LongPositionQty < order.Qty)
{
Reject(order, "Order amount greater than amount of long position");
return;
}
if (order.Side == OrderSide.Buy && order.SubSide == SubSide.BuyCover && position.ShortPositionQty < order.Qty)
{
Reject(order, "Order amount greater than amount of short position");
return;
}
}
SetVWapFromat(order.Instrument);
ExecutionReport report = new ExecutionReport(command);
report.DateTime = framework.Clock.DateTime;
report.ExecType = ExecType.ExecNew;
report.OrdStatus = OrderStatus.New;
report.CumQty = 0.0;
report.LastQty = 0.0;
report.LeavesQty = order.Qty;
report.LastPx = 0.0;
report.AvgPx = 0.0;
_reports[order.Id] = new SimulatorExecutionReport(report);
EmitExecutionReport(report, Queued);
if (order.TimeInForce == TimeInForce.AUC)
{
_auctions.Add(order);
if (_auctions.Count == 1)
{
framework.Clock.AddReminder(OnAuction1Reminder, framework.Clock.DateTime.Date.Add(Auction1));
framework.Clock.AddReminder(OnAuction2Reminder, framework.Clock.DateTime.Date.Add(Auction2));
}
return;
}
int instrumentId = order.Instrument.Id;
if (_orders[instrumentId] == null)
{
_orders[instrumentId] = new List <Order>();
}
_orders[instrumentId].Add(order);
if (((order.Type == OrderType.Market || order.Type == OrderType.Pegged) && FillMarketOnNext) ||
(order.Type == OrderType.Limit && FillLimitOnNext) ||
(order.Type == OrderType.Stop && FillStopOnNext) ||
(order.Type == OrderType.StopLimit && FillStopLimitOnNext))
{
return;
}
if (FillOnQuote)
{
Ask ask = framework.DataManager.GetAsk(instrumentId);
if (ask != null && OnAsk(order, ask))
{
RemoveDoneOrders();
return;
}
Bid bid = framework.DataManager.GetBid(instrumentId);
if (bid != null && OnBid(order, bid))
{
RemoveDoneOrders();
return;
}
}
if (FillOnTrade)
{
Trade trade = framework.DataManager.GetTrade(instrumentId);
if (trade != null && OnTrade(order, trade))
{
RemoveDoneOrders();
return;
}
}
if (FillOnBar)
{
Bar bar = framework.DataManager.GetBar(instrumentId);
if (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size))
{
return;
}
if (bar != null && OnBar(order, bar))
{
RemoveDoneOrders();
return;
}
}
if (FillOnLevel2)
{
var snapshot = framework.DataManager.GetAggregatedSnapshot(instrumentId);
if (snapshot != null && OnLevel2(order, snapshot))
{
RemoveDoneOrders();
}
}
}
public void OnBarOpen(Bar bar)
{
if (_orders[bar.InstrumentId] == null || !FillOnBarOpen || (BarFilter.Count != 0 && !BarFilter.Contains(bar.Type, bar.Size)))
{
return;
}
for (int i = 0; i < _orders[bar.InstrumentId].Count; i++)
{
Order order = _orders[bar.InstrumentId][i];
if (CheckDataProvider && !IsProviderPassed(order, bar.ProviderId))
{
continue;
}
while (true)
{
switch (order.Type)
{
case OrderType.Market:
case OrderType.Pegged:
Fill(order, bar.Open, (int)bar.Volume);
break;
case OrderType.Limit:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open <= order.Price)
{
if (UseProbability && bar.Open == order.Price && _random.NextDouble() < Probability)
{
return;
}
if (FillAtLimitPrice)
{
Fill(order, order.Price, (int)bar.Volume);
}
else
{
Fill(order, bar.Open, (int)bar.Volume);
}
}
break;
case OrderSide.Sell:
if (bar.Open >= order.Price)
{
if (UseProbability && bar.Open == order.Price && _random.NextDouble() < Probability)
{
return;
}
if (FillAtLimitPrice)
{
Fill(order, order.Price, (int)bar.Volume);
}
else
{
Fill(order, bar.Open, (int)bar.Volume);
}
}
break;
}
break;
case OrderType.Stop:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
if (!FillAtStopPrice)
{
order.SetOrderType(OrderType.Market);
continue;
}
Fill(order, order.StopPx, (int)bar.Volume);
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
if (!FillAtStopPrice)
{
order.SetOrderType(OrderType.Market);
continue;
}
Fill(order, order.StopPx, (int)bar.Volume);
}
break;
}
break;
case OrderType.StopLimit:
switch (order.Side)
{
case OrderSide.Buy:
if (bar.Open >= order.StopPx)
{
order.SetOrderType(OrderType.Limit);
continue;
}
break;
case OrderSide.Sell:
if (bar.Open <= order.StopPx)
{
order.SetOrderType(OrderType.Limit);
continue;
}
break;
}
break;
}
break;
}
}
RemoveDoneOrders();
}
public void OnBar(Bar bar)
{
if (_orders[bar.InstrumentId] != null && FillOnBar && (BarFilter.Count == 0 || BarFilter.Contains(bar.Type, bar.Size)))
{
for (int i = 0; i < _orders[bar.InstrumentId].Count; i++)
{
Order order = _orders[bar.InstrumentId][i];
OnBar(order, bar);
}
RemoveDoneOrders();
}
}
public FileDataSimulator(Framework framework)
: base(framework)
{
if (Environment.Is64BitProcess)
{
SevenZipBase.SetLibraryPath("7z64.dll");
}
else
{
SevenZipBase.SetLibraryPath("7z.dll");
}
RunOnSubscribe = true;
id = 50;
name = "QBDataSimulator";
description = "QuantBox Data Simulator";
url = "www.smartquant.cn";
_barFilter = new BarFilter();
SubscribeAsk = true;
SubscribeBid = true;
SubscribeTrade = true;
Series = new List<IDataSeries>();
Processor = new DataProcessor();
DateTime1 = DateTime.MinValue;
DateTime2 = DateTime.MaxValue;
}
