private void loadData()
{
if (m_sName == "NO_NAME")
{
return;
}
if (!CFATManager.isOnlineMode())
{
return;
}
string sFile = getStoreFileName();
if (!File.Exists(sFile))
{
CFATLogger.output_proc("File don't exist: " + sFile);
return;
}
var xs = new XmlSerializer(typeof(CCacheData));
using (var sr = new StreamReader(sFile))
{
var tempObject = (CCacheData)xs.Deserialize(sr);
m_tickData = tempObject.m_tickData;
m_minData = tempObject.m_minData;
m_renkoData = tempObject.m_renkoData;
m_nCurPos_tick = tempObject.m_nCurPos_tick;
m_nCurPos_min = tempObject.m_nCurPos_min;
m_nCurPos_renko = tempObject.m_nCurPos_renko;
}
CFATLogger.output_proc("File loaded : " + sFile);
}
private void publishToMQ()
{
if (!CFATManager.isOnlineMode())
{
return;
}
if ((DateTime.Now - m_dtLastPublish).TotalSeconds < 2) //every 2 seconds publish message
{
return;
}
try
{
//parameters :
publishParams();
//variables : logic_id@name1,val1@name2,val2@name3,val3.....
// string sTxt = string.Format("{0}@isNeedCheckPosition,{1}@sh_ask,{2}@sh_bid,{3}@ld_ask,{4}@ld_bid,{5}@g_dOpen_London,{6}@m_dExpectTp,{7}@posCnt,{8}@real lots,{9}@ex_nIsNewOrder,{10}@lastPosType,{11}@lastPosTime,{12}@m_nOpen_Ticks,{13}",
// m_sLogicID,
// m_bIsNeedCheckPosition,
// m_dAsk_Shanghai, m_dBid_Shanghai,
// m_dAsk_London, m_dBid_London,
// g_dOpen_London, m_dExpectTp,
// m_products[ID_SHANGHAI].getPosCount(), m_products[ID_SHANGHAI].getPosLots_real(),
// ex_nIsNewOrder, lastPosType, lastPosTime, m_nOpen_Ticks);
//
// CMQClient.publish_msg(sTxt, CFATCommon.MQ_TOPIC_VARS);
m_dtLastPublish = DateTime.Now;
}
catch
{
CFATLogger.output_proc("CLogic_gold_latencyV2 : publishToMQ error!");
}
}
public override bool OnInit()
{
CFATLogger.output_proc("Price_record init :");
loadParams();
CFATLogger.output_proc("Price_record param done! :");
return(base.OnInit());
}
private bool isPositionMatch()
{
if (CFATManager.m_nRunMode != ERUN_MODE.REALTIME)
{
return(true);
}
foreach (CProduct product in m_products)
{
if (!product.isPositionMatch())
{
return(false);
}
}
// If there is different virtual lots with first site and second site.
//Here is problem when using multi position with ex_dAddLots !!!!!!!!!!
if (Math.Abs(m_products[_FIRST].getPosLots_Total_vt() + m_products[_SECOND].getPosLots_Total_vt()) > ex_dAddLots + CFATCommon.ESP)
{
return(false);
}
// IF there is different real lots with first site and second site
if (Math.Abs(m_products[_FIRST].getPosLots_Total_real() + m_products[_SECOND].getPosLots_Total_real()) > ex_dAddLots + CFATCommon.ESP)
{
return(false);
}
CFATLogger.output_proc(string.Format("Position matched! sym1={0},real lots = {1}, sym2={2}, real lots = {3}",
m_products[_FIRST].getSymbol(), m_products[_FIRST].getPosLots_Total_real(),
m_products[_SECOND].getSymbol(), m_products[_SECOND].getPosLots_Total_real()));
return(true);
}
private void check3Times_loss()
{
if (!CFATManager.isOnlineMode())
{
return;
}
m_dLastProfit = m_tradeHistory.getProfit(0);
if (ex_nIsNewOrder <= 0)
{
return;
}
if (m_tradeHistory.getTradeCount() < 3)
{
return;
}
double dProfit = 0;
for (int i = 0; i < 3; i++)
{
dProfit = m_tradeHistory.getProfit(i);
if (dProfit > 0)
{
return;
}
}
CFATLogger.output_proc(m_sLogicID + " : 3 times loss, ex_nIsNewOrder will be 0.");
setParam_newOrder(0);// continuously 3 times loss, stop trading.
}
private void saveData()
{
if (m_sName == "NO_NAME")
{
return;
}
if (!CFATManager.isOnlineMode())
{
return;
}
string sFile = getStoreFileName();
if (File.Exists(sFile))
{
File.Delete(sFile);
}
var xs = new XmlSerializer(typeof(CCacheData));
using (TextWriter sw = new StreamWriter(sFile))
{
xs.Serialize(sw, this);
}
CFATLogger.output_proc("File saved : " + sFile);
m_dtLastSavedTime = DateTime.Now;
}
// added by cmh
public void requestFirstSiteOrder()
{
double dReqPrice_first = 0;
double dLots = ex_dLots;
if (ex_nUseRandomLots == 1)
{
dLots = getRandomLots(dLots);
}
dLots += ex_dAddLots;
int nProfit_calc_01 = 0;
EFILLED_STATE nRet;
if ((m_nCmd4Thread == ETRADER_OP.BUY || m_nCmd4Thread == ETRADER_OP.SELL) && m_products[_FIRST].getPosCount_vt() == 0)
{
setParam_newOrder(ex_nIsNewOrder - 1);
}
if (m_nCmd4Thread == ETRADER_OP.BUY_CLOSE || m_nCmd4Thread == ETRADER_OP.SELL_CLOSE)
{
dLots = Math.Abs(m_products[_FIRST].getPosLots_vt(0));
}
if (dLots < CFATCommon.ESP)
{
CFATLogger.output_proc("*** Invalid Lots !!!, pls check virtual position!!!!");
dLots = ex_dLots;
}
if (m_nCmd4Thread == ETRADER_OP.BUY || m_nCmd4Thread == ETRADER_OP.SELL_CLOSE)
{
dReqPrice_first = m_products[_FIRST].m_dAsk;
nProfit_calc_01 = -1;
}
if (m_nCmd4Thread == ETRADER_OP.SELL || m_nCmd4Thread == ETRADER_OP.BUY_CLOSE)
{
dReqPrice_first = m_products[_FIRST].m_dBid;
nProfit_calc_01 = 1;
}
nRet = m_products[_FIRST].reqOrder(m_nCmd4Thread, ref dLots, ref dReqPrice_first, EORDER_TYPE.MARKET);//First Order
if (nRet == EFILLED_STATE.FULL)
{
m_tradeHistory.pushHistory(dReqPrice_first * nProfit_calc_01);
dLots = getSecondLots(dLots);
}
else
{
CFATLogger.output_proc("first order failed!");
}
// setState(ELOGIC_STATE.NEED_CHECK_POSITION_MATCH);
m_dtLastFilledTime = DateTime.Now;
m_bIsFirstThreadLive = false;
m_products[_FIRST].m_site.setStatus(Site.CSite.SITE_STATUS.NONE);
}
public virtual void OnDeInit()
{
CFATLogger.output_proc(string.Format("Site DeInit : {0} <------", m_sSiteName));
foreach (KeyValuePair <string, CCacheData> entry in m_rates_cache)
{
entry.Value.OnDeInit();
}
}
private void matchPosReal2Virtual()
{
m_products[_FIRST].updateRealPositions();
m_products[_SECOND].updateRealPositions();
CFATLogger.output_proc(string.Format("matchPosReal2Virtual : {0}, {1}", m_products[_FIRST].getPosLots_Total_real(), m_products[_SECOND].getPosLots_Total_real()));
if (Math.Abs(m_products[_FIRST].getPosLots_Total_real() + m_products[_SECOND].getPosLots_Total_real()) < CFATCommon.ESP + ex_dAddLots)
{
m_products[_FIRST].matchPosReal2Virtual();
m_products[_SECOND].matchPosReal2Virtual();
}
}
public void setState(ELOGIC_STATE nState)
{
m_stState.m_nState = nState;
m_stState.m_dtUpdatedTime = DateTime.Now;
//HSM???
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc(string.Format("{0},{1} : Change State -> {2}",
CFATCommon.m_dtCurTime, m_sLogicID, m_stState.m_nState));
}
}
private void process_event()
{
//Parameter changed
if (CEvent_ParamChanged.g_bChanged)
{
CFATLogger.output_proc("Request : parameter change");
CEvent_ParamChanged.g_bChanged = false;
changeLogicParams();
}
//----------------
}
private void log_reqOrders()
{
string sLog = "";
foreach (TReqOrder reqOrderItem in m_lstReqOrders)
{
sLog = string.Format("{0},{1},cmd={2},reqLots={3}, excLots = {4}, processed = {5}, orderResult = {6}",
reqOrderItem.m_sLogicID, reqOrderItem.m_product.m_sSymbol, reqOrderItem.m_nCmd,
reqOrderItem.m_dLots_req, reqOrderItem.m_dLots_exc, reqOrderItem.m_bProcessed, reqOrderItem.m_nOrderResult);
CFATLogger.output_proc(sLog);
}
}
public int getSignal_unitTest()
{
for (int i = 0; i < m_lstUnitTest_signal.Count; i++)
{
if (m_lstUnitTest_signal[i].m_dtTime == CFATCommon.m_dtCurTime)
{
CFATLogger.output_proc(string.Format("unitTest signal : {0},{1}", m_sLogicID, m_lstUnitTest_signal[i].m_sCmd));
return((int)TRADER.string2Cmd(m_lstUnitTest_signal[i].m_sCmd));
}
}
return((int)ETRADER_OP.NONE);
}
public void matchPosReal2Virtual(string sSymbol, string sLogicID)
{
CFATLogger.output_proc(string.Format("matchPosReal2Virtual : {0}, real pos cnt = {1}", m_sSiteName, m_lstPos_real.Count));
foreach (TPosItem posItem in m_lstPos_real)
{
if (posItem.m_sSymbol == sSymbol)// && Math.Abs(getSymbolLots_real(sSymbol)) > CFATCommon.ESP)
{
CFATLogger.output_proc(string.Format("Real->Virtual position : posItemSymbol={0}, symbol = {1}, logicID = {2}", posItem.m_sSymbol, sSymbol, sLogicID));
posItem.m_sLogicID = sLogicID;
m_lstPos_vt.Add(posItem);
}
}
}
private void checkForClose()
{
// added by cmh
if (m_bIsFirstThreadLive || m_bIsSecondThreadLive)
{
return;
}
if (m_products[_FIRST].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING || m_products[_SECOND].m_site.getStatus() == Site.CSite.SITE_STATUS.PROCESSING)
{
return;
}
// ---
if (m_products[_FIRST].getPosCount_vt() == 0)
{
return;
}
if ((DateTime.Now - m_dtLastFilledTime).TotalSeconds < ex_nPosHoldTimeSec)
{
return;
}
int nSignal = getSignal();
ETRADER_OP nCmd = m_products[_FIRST].getPosCmd_vt(0);
double dLots = ex_dLots;
if (nCmd == ETRADER_OP.BUY && TRADER.isContain(nSignal, (int)ETRADER_OP.BUY_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close buy !");
}
requestOrder(ETRADER_OP.BUY_CLOSE);
check3Times_loss();
return;
}
if (nCmd == ETRADER_OP.SELL && TRADER.isContain(nSignal, (int)ETRADER_OP.SELL_CLOSE))
{
if (CFATManager.isOnlineMode())
{
CFATLogger.output_proc("close sell !");
}
requestOrder(ETRADER_OP.SELL_CLOSE);
check3Times_loss();
return;
}
}
public override bool OnInit()
{
CFATLogger.output_proc("connecting to pipe : " + m_sPipServerName);
//MT4 init
if (!m_mt4ApiDLL.connectToMT4(m_sPipServerName))
{
CFATLogger.output_proc(string.Format("site = {0} : Cannot connect to PIP, pipe name = {1}, please check MT4 and parameters of EA!",
m_sSiteName, m_sPipServerName));
return(false);
}
CFATLogger.output_proc("Connect to MT4 pipe OK! site = " + m_sSiteName);
//FIX init
string sConfigFile;
sConfigFile = Path.Combine(Application.StartupPath, "Config\\Fix", m_sFixConfig_trade);
CFATLogger.output_proc("loading : " + sConfigFile);
m_fixApi_trade = new CFixAPI(sConfigFile);
if (!m_fixApi_trade.fixLogin())
{
CFATLogger.output_proc(string.Format("Connect to fix trade server is fail! : site name = {0}", m_sSiteName));
return(false);
}
sConfigFile = Path.Combine(Application.StartupPath, "Config\\Fix", m_sFixConfig_data);
CFATLogger.output_proc("loading : " + sConfigFile);
m_fixApi_data = new CFixAPI(sConfigFile);
if (!m_fixApi_data.fixLogin())
{
CFATLogger.output_proc(string.Format("Connect to fix data server is fail! : site name = {0}", m_sSiteName));
return(false);
}
CFATLogger.output_proc("Connect to Fix OK!");
//subscrib rates
TRateRange rateRange;
foreach (KeyValuePair <string, string> entry in m_sSymbols_fix)
{
rateRange = m_rateRange_fix[entry.Key];
m_fixApi_data.startSubscribe(entry.Value, entry.Key, rateRange.dMin, rateRange.dMax);
Thread.Sleep(500);
}
return(base.OnInit());
}
public override void OnDeInit()
{
bool bRet = CSHGoldAPI.sg_logout();
if (bRet)
{
CFATLogger.output_proc("Shanghai gold Logout Success!");
}
else
{
CFATLogger.output_proc("Shanghai gold Logout Fail!");
}
base.OnDeInit();
}
public CFATManager(ERUN_MODE nMode = ERUN_MODE.BACKTEST, string sMode = "")
{
m_configGeneral = new TGeneralInfo();
CConfigMng.load_config_general(ref m_configGeneral);
CMQClient.connectToMQ(m_configGeneral.sHost, m_configGeneral.sUser, m_configGeneral.sPwd);
CFATLogger.output_proc(string.Format("###### Start Mode = {0} #######", sMode));
CFATManager.m_nRunMode = nMode;
m_lstLogics = new List <CLogic>();
m_configLogics = new List <Dictionary <string, string> >();
m_configSites = new List <Dictionary <string, string> >();
m_configWorkTimes = new List <TWorkTimeInterval>();
}
public override bool OnInit()
{
bool bRet = CSHGoldAPI.sg_login(m_sID, m_sPwd);
if (bRet)
{
CFATLogger.output_proc("Shanghai gold Login Success!");
}
else
{
CFATLogger.output_proc("Shanghai gold Login Fail!");
}
return(base.OnInit());
}
public void changeParams()
{
try
{
foreach (KeyValuePair <string, string> entry in CEvent_ParamChanged.g_params)
{
m_params.setVal(entry.Key, entry.Value);
}
}
catch
{
CFATLogger.output_proc("Error : CLogic::changeParams ");
}
CFATLogger.output_proc(string.Format("Logic : {0}, parameter changed!", m_sLogicID));
}
public virtual bool OnInit()
{
CFATLogger.output_proc(string.Format("Logic Init : {0} ------>", m_sLogicName));
string sParams = m_params.getString();
CFATCommon.m_sOpt_param = sParams;
setState(ELOGIC_STATE.NORMAL);
CFATLogger.output_proc("Params : " + sParams);
if (m_sMode == "unit_test")
{
load_unitTest();
}
return(true);
}
public bool OnInit()
{
if (!CSiteMng.OnInit())
{
return(false);
}
CFATLogger.output_proc("Logic init start!");
foreach (CLogic objLogic in m_lstLogics)
{
if (!objLogic.OnInit())
{
return(false);
}
}
CFATLogger.output_proc("Logic init OK!");
return(true);
}
public virtual bool OnInit()
{
CFATLogger.output_proc(string.Format("Site Init : {0} ------>", m_sSiteName));
m_accInfo.init();
m_report.init();
m_lstPos_vt.Clear();
m_lstPos_real.Clear();
m_lstPosHistory_vt.Clear();
m_status = SITE_STATUS.NONE;
foreach (KeyValuePair <string, CCacheData> entry in m_rates_cache)
{
entry.Value.OnInit();
}
CFATLogger.output_proc("updateRealPositions : ");
return(updateRealPositions());
}
public override bool OnInit()
{
CFATLogger.output_proc("connecting to money-partners : " + m_sID);
if (!m_mpApiDLL.connectToMP(m_sID, m_sPwd))
{
CFATLogger.output_proc(string.Format("site = {0} : Cannot connect to money-partners, loginId = {1}, please check connection!",
m_sSiteName, m_sID));
return(false);
}
CFATLogger.output_proc("Connect to MP pipe OK! site = " + m_sSiteName);
for (int i = 0; i < m_sSymbols.Count; i++)
{
m_mpApiDLL.MP_registerSymbol(m_sSymbols[i], m_sID, m_sPwd);
}
m_mpApiDLL.MP_startSubscribe();
return(base.OnInit());
}
/// <summary>
/// load backtest tick rates from file
/// </summary>
public override void loadRates_Tick()
{
string sFile = "";
foreach (string sSym in m_sSymbols)
{
sFile = Path.Combine(Application.StartupPath,
"_log\\backtest_rates\\" + m_sSiteName, sSym + ".csv");
CFATLogger.output_proc("loadRates_Tick : ----->" + sFile);
var objSR = new StreamReader(sFile);
var objCSVR = new CsvReader(objSR);
objCSVR.Configuration.HasHeaderRecord = false;
List <TRatesTick> objRecords = new List <TRatesTick>();
objRecords = objCSVR.GetRecords <TRatesTick>().ToList();
m_ratesTick.Add(sSym, objRecords);
CFATLogger.output_proc("loadRates_Tick : <-----" + sFile);
}
}
public override bool OnInit()
{
CFATLogger.output_proc(string.Format("IB Init {0}, {1}, {2}--->", m_sHost, m_nPort, m_nClientID));
if (!apiIB.connectToIB(m_sHost, m_nPort, m_nClientID))
{
CFATLogger.output_proc(string.Format("site = {0} : Cannot connect to IB= {1}", m_sSiteName));
return(false);
}
Thread.Sleep(1000);
foreach (string sSymbol in m_sSymbols)
{
CFATLogger.output_proc("IB subscribe : " + sSymbol);
apiIB.subScribeMarketData(sSymbol);
}
Thread.Sleep(2000);
return(base.OnInit());
}
public override bool OnInit()
{
CFATLogger.output_proc("connecting to pipe : " + m_sPipServerName);
if (!m_mt4ApiDLL.connectToMT4(m_sPipServerName))
{
CFATLogger.output_proc(string.Format("site = {0} : Cannot connect to PIP, pipe name = {1}, please check MT4 and parameters of EA!",
m_sSiteName, m_sPipServerName));
return(false);
}
CFATLogger.output_proc("Connect to MT4 pipe OK! site = " + m_sSiteName);
for (int i = 0; i < m_sSymbols.Count; i++)
{
m_mt4ApiDLL.mt4_registerSymbol(m_sSymbols[i]);
}
m_mt4ApiDLL.mt4_startSubscribe();
return(base.OnInit());
}
public override bool OnInit()
{
m_sBrokerID = "8000";
m_sMDAddr = "tcp://180.169.30.170:41213";
if (!apiCnFt.createMDSpi(m_sBrokerID, m_sMDAddr))
{
CFATLogger.output_proc(string.Format("site = {0} : Cannot connect to China Future= {1}", m_sSiteName));
return(false);
}
foreach (string sSymbol in m_sSymbols)
{
apiCnFt.addSymbol(sSymbol);
}
return(base.OnInit());
}
private bool closeOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "")
{
CFATLogger.output_proc(string.Format("close order : site = {0}, sym= {1}, cmd = {2}, lots = {3}", m_sSiteName, sSymbol, nCmd, dLots));
double dRemainLots = dLots;
TPosItem posItem;
bool bRet = true;
for (int i = 0; i < m_lstPos_real.Count; i++)
{
posItem = m_lstPos_real[i];
if (posItem.m_sSymbol != sSymbol)
{
continue;
}
//if (posItem.m_nLogicID != nLogicID) continue;
if (!isValidCloseCommand(posItem.m_nCmd, nCmd))
{
continue;
}
if (dRemainLots >= posItem.m_dLots_exc)
{
CFATLogger.output_proc(string.Format("close item : ticket = {0}, lots = {1}", posItem.m_nTicket, posItem.m_dLots_exc));
bRet = m_mt4ApiDLL.mt4_reqCloseOrder(posItem.m_nTicket, ref posItem.m_dLots_exc, ref dPrice);
dRemainLots -= posItem.m_dLots_exc;
}
else
{
CFATLogger.output_proc(string.Format("close item : ticket = {0}, lots = {1}", posItem.m_nTicket, dRemainLots));
bRet = m_mt4ApiDLL.mt4_reqCloseOrder(posItem.m_nTicket, ref dRemainLots, ref dPrice);
dRemainLots = 0;
}
if (Math.Abs(dRemainLots) < CFATCommon.ESP)
{
break;
}
}
return(true);
}
public override EFILLED_STATE reqOrder(string sSymbol, ETRADER_OP nCmd, ref double dLots, ref double dPrice, EORDER_TYPE nOrderType, string sLogicID, string sComment = "",
double dLots_exc = 0, double dPrice_exc = 0, DateTime dtTime_exc = default(DateTime))
{
if (CFATManager.m_nRunMode == ERUN_MODE.SIMULATION)
{
return(base.reqOrder(sSymbol, nCmd, ref dLots, ref dPrice, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
}
//Send Request newOrder or Close or
//MessageBox.Show("CSiteFixMt4::reqOrder !");
string sOrderID = "FAT" + DateTime.Now.ToString("yyyyMMddHHmmssfff");
double dAmount = 0;
string sFixSymbol = sSymbol;
if (sFixSymbol.Contains(".agg"))//HSM_TestCode!!!
{
sFixSymbol = sSymbol.Insert(3, "/");
sFixSymbol = sFixSymbol.Replace(".agg", "");
}
string sCmd = "";
if (nCmd == ETRADER_OP.BUY || nCmd == ETRADER_OP.SELL_CLOSE)
{
sCmd = "BUY";
}
if (nCmd == ETRADER_OP.SELL || nCmd == ETRADER_OP.BUY_CLOSE)
{
sCmd = "SELL";
}
dAmount = dLots * getContractSize(sSymbol);
//MessageBox.Show("Before QueryEnterOrder!");
CFATLogger.output_proc(string.Format("Fix req : sym={0},price={1}, amount={2}, order id= {3}, acc = {4}, cmd = {5}", sFixSymbol, dPrice, dAmount, sOrderID, m_sFixAcc, sCmd));
double dPrice_req = dPrice;
double dLots_req = dLots;
int nRet = m_fixApi_trade.QueryEnterOrder(sFixSymbol, sCmd, ref dPrice, ref dAmount, sOrderID, m_sFixAcc);
dLots = dAmount / getContractSize(sSymbol);
CFATLogger.output_proc(string.Format("Fix response : result = {0}, sym={1},price={2}, amount={3}, ", nRet, sFixSymbol, dPrice, dAmount));
//if ( nRet == TORDER_RESULT.FILLED) //HSM_???
return(base.reqOrder(sSymbol, nCmd, ref dLots_req, ref dPrice_req, nOrderType, sLogicID, sComment, dLots, dPrice, DateTime.Now));
//return false;
}