public override void OnStrategyStart()
{
base.OnStrategyStart();
// 测试用，自定义交易时间，仿真或实盘时可删除
base.TimeHelper = new TimeHelper(new int[] { 0, 2400 },2100, 1458);
base.TargetPosition = 0;
//base.DualPosition.Long.Qty = 0;
//base.DualPosition.Long.QtyToday = 0;
//base.DualPosition.Short.Qty = 0;
//base.DualPosition.Short.QtyToday = 0;
if(BrokerInfo == null)
{
// 使用静态的主要原因是每个实例都来取一次没有必要
BrokerInfo = DataManager.GetBrokerInfo();
}
if (BrokerInfo.Accounts.Count > 0)
{
BrokerAccount brokerAccount = BrokerInfo.Accounts[0];
GetBrokerInfoHelper.Transform(brokerAccount, base.DualPosition);
}
LoadHistoricalBars(Clock.Now);
BarSeries bars1min = GetBars(BarType.Time, BarSize);
fastSMA = new SMA(bars1min, fastLength, Color.Red);
slowSMA = new SMA(bars1min, slowLength, Color.Green);
Draw(fastSMA, 0);
Draw(slowSMA, 0);
}
protected override BrokerInfo GetBrokerInfo()
{
BrokerInfo brokerInfo = new BrokerInfo();
if (!this.isConnected)
return brokerInfo;
try
{
this.rwClientById.EnterReadLock();
foreach (string index in this.clientById.Keys)
this.SendCommandLine("<command id=\"get_client_limits\" client=\"" + this.clientById[index].Id + "\"/>");
foreach (string index in this.clientById.Keys)
{
TransaqClient transaqClient = this.clientById[index];
BrokerAccount brokerAccount = brokerInfo.AddAccount(transaqClient.Id);
brokerAccount.AddField("Client: Client Id", transaqClient.Id);
brokerAccount.AddField("Client: Type", transaqClient.Type);
brokerAccount.AddField("Client: Currency", transaqClient.Currency);
brokerAccount.AddField("Client: Ml_intraday", transaqClient.Ml_intraday);
brokerAccount.AddField("Client: Ml_overnight", transaqClient.Ml_overnight);
brokerAccount.AddField("Client: Ml_restrict", transaqClient.Ml_restrict);
brokerAccount.AddField("Client: Ml_call", transaqClient.Ml_call);
brokerAccount.AddField("Client: Ml_close", transaqClient.Ml_close);
Dictionary<string, TransaqMoneyPosition> dictionary1 = (Dictionary<string, TransaqMoneyPosition>) null;
lock (this.positions.lockerMoneyPosition)
{
if (this.positions.MoneyPosition.TryGetValue(transaqClient.Id, out dictionary1))
{
foreach (string item_1 in dictionary1.Keys)
{
TransaqMoneyPosition local_9 = dictionary1[item_1];
brokerAccount.AddField(string.Format("MoneyPos Register={0}: Asset", (object) local_9.Register), local_9.Asset);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: ShortName", (object) local_9.Register), local_9.ShortName);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: SaldoIn", (object) local_9.Register), local_9.SaldoIn);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: Saldo", (object) local_9.Register), local_9.Saldo);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: Bought", (object) local_9.Register), local_9.Bought);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: Sold", (object) local_9.Register), local_9.Sold);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: OrdBuy", (object) local_9.Register), local_9.OrdBuy);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: OrdBuyCond", (object) local_9.Register), local_9.OrdBuyCond);
brokerAccount.AddField(string.Format("MoneyPos Register={0}: Comission", (object) local_9.Register), local_9.Comission);
}
}
}
TransaqFortsMoney transaqFortsMoney = (TransaqFortsMoney) null;
lock (this.positions.lockerFortsMoney)
{
if (this.positions.FortsMoney.TryGetValue(transaqClient.Id, out transaqFortsMoney))
{
brokerAccount.AddField("FortsMoney: Current", transaqFortsMoney.Current);
brokerAccount.AddField("FortsMoney: Blocked", transaqFortsMoney.Blocked);
brokerAccount.AddField("FortsMoney: Free", transaqFortsMoney.Free);
brokerAccount.AddField("FortsMoney: VarMargin", transaqFortsMoney.VarMargin);
}
}
TransaqFortsCollaterals fortsCollaterals = (TransaqFortsCollaterals) null;
lock (this.positions.lockerFortsCollaterals)
{
if (this.positions.FortsCollaterals.TryGetValue(transaqClient.Id, out fortsCollaterals))
{
brokerAccount.AddField("FortsCollaterals: Client", fortsCollaterals.Client);
brokerAccount.AddField("FortsCollaterals: Current", fortsCollaterals.Current);
brokerAccount.AddField("FortsCollaterals: Blocked", fortsCollaterals.Blocked);
brokerAccount.AddField("FortsCollaterals: Free", fortsCollaterals.Free);
}
}
TransaqSpotLimit transaqSpotLimit = (TransaqSpotLimit) null;
lock (this.positions.lockerSpotLimit)
{
if (this.positions.SpotLimit.TryGetValue(transaqClient.Id, out transaqSpotLimit))
{
brokerAccount.AddField("SpotLimit: Client", transaqSpotLimit.Client);
brokerAccount.AddField("SpotLimit: BuyLimit", transaqSpotLimit.BuyLimit);
brokerAccount.AddField("SpotLimit: BuyLimitUsed", transaqSpotLimit.BuyLimitUsed);
}
}
TransaqClientLimit transaqClientLimit = (TransaqClientLimit) null;
try
{
this.rwClientLimits.EnterReadLock();
if (this.clientLimits.TryGetValue(transaqClient.Id, out transaqClientLimit))
{
brokerAccount.AddField("ClientLimit: Client", transaqClientLimit.Client);
brokerAccount.AddField("ClientLimit: CbplLimit", transaqClientLimit.CbplLimit);
brokerAccount.AddField("ClientLimit: CbplUsed", transaqClientLimit.CbplUsed);
brokerAccount.AddField("ClientLimit: CbplPlanned", transaqClientLimit.CbplPlanned);
brokerAccount.AddField("ClientLimit: Fob_VarMargin", transaqClientLimit.Fob_VarMargin);
brokerAccount.AddField("ClientLimit: Coverage", transaqClientLimit.Coverage);
brokerAccount.AddField("ClientLimit: Liquidity_C", transaqClientLimit.Liquidity_C);
brokerAccount.AddField("ClientLimit: Profit", transaqClientLimit.Profit);
brokerAccount.AddField("ClientLimit: Money_Current", transaqClientLimit.Money_Current);
brokerAccount.AddField("ClientLimit: Money_Blocked", transaqClientLimit.Money_Blocked);
brokerAccount.AddField("ClientLimit: Money_Free", transaqClientLimit.Money_Free);
brokerAccount.AddField("ClientLimit: Options_Premium", transaqClientLimit.Options_Premium);
brokerAccount.AddField("ClientLimit: Exchange_Fee", transaqClientLimit.Exchange_Fee);
brokerAccount.AddField("ClientLimit: Forts_VarMargin", transaqClientLimit.Forts_VarMargin);
brokerAccount.AddField("ClientLimit: PclMargin", transaqClientLimit.PclMargin);
brokerAccount.AddField("ClientLimit: Options_VM", transaqClientLimit.Options_VM);
brokerAccount.AddField("ClientLimit: Spot_Buy_Limit", transaqClientLimit.Spot_Buy_Limit);
brokerAccount.AddField("ClientLimit: Used_Spot_Buy_Limit", transaqClientLimit.Used_Spot_Buy_Limit);
brokerAccount.AddField("ClientLimit: Collat_Current", transaqClientLimit.Collat_Current);
brokerAccount.AddField("ClientLimit: Collat_Blocked", transaqClientLimit.Collat_Blocked);
brokerAccount.AddField("ClientLimit: Collat_Free", transaqClientLimit.Collat_Free);
}
}
finally
{
this.rwClientLimits.ExitReadLock();
}
if (!this.brokerAccountByClientId.ContainsKey(transaqClient.Id))
this.brokerAccountByClientId.Add(transaqClient.Id, brokerAccount);
Dictionary<string, TransaqSecPosition> dictionary2 = (Dictionary<string, TransaqSecPosition>) null;
lock (this.positions.lockerSecPosition)
{
if (this.positions.SecPosition.TryGetValue(transaqClient.Id, out dictionary2))
{
foreach (string item_2 in dictionary2.Keys)
{
TransaqSecPosition local_16 = dictionary2[item_2];
BrokerPosition local_17 = brokerAccount.AddPosition();
local_17.Symbol = local_16.SecCode;
if (local_16.Saldo > 0.0)
local_17.LongQty = local_16.Saldo;
else
local_17.ShortQty = -local_16.Saldo;
local_17.Qty = local_16.Saldo;
local_17.AddCustomField("SecId", local_16.SecId.ToString());
local_17.AddCustomField("Market", local_16.Market.ToString());
local_17.AddCustomField("SecCode", local_16.SecCode);
local_17.AddCustomField("Register", local_16.Register);
local_17.AddCustomField("Client", local_16.Client);
local_17.AddCustomField("ShortName", local_16.ShortName);
local_17.AddCustomField("SaldoIn", local_16.SaldoIn);
local_17.AddCustomField("SaldoMin", local_16.SaldoMin);
local_17.AddCustomField("Bought", local_16.Bought.ToString());
local_17.AddCustomField("Sold", local_16.Sold.ToString());
local_17.AddCustomField("Saldo", local_16.Saldo.ToString());
local_17.AddCustomField("OrderBuy", local_16.OrderBuy);
local_17.AddCustomField("OrderSell", local_16.OrderSell);
}
}
}
Dictionary<string, TransaqFortsPosition> dictionary3 = (Dictionary<string, TransaqFortsPosition>) null;
lock (this.positions.lockerFortsPosition)
{
if (this.positions.FortsPosition.TryGetValue(transaqClient.Id, out dictionary3))
{
foreach (string item_4 in dictionary3.Keys)
{
TransaqFortsPosition local_20 = dictionary3[item_4];
BrokerPosition local_21 = brokerAccount.AddPosition();
local_21.Symbol = local_20.SecCode;
if (local_20.TotalNet > 0.0)
local_21.LongQty = local_20.TotalNet;
else
local_21.ShortQty = -local_20.TotalNet;
local_21.Qty = local_20.TotalNet;
local_21.AddCustomField("SecId", local_20.SecId.ToString());
local_21.AddCustomField("SecCode", local_20.SecCode);
local_21.AddCustomField("Client", local_20.Client);
local_21.AddCustomField("StartNet", local_20.StartNet);
local_21.AddCustomField("OpenBuys", local_20.OpenBuys);
local_21.AddCustomField("OpenSells", local_20.OpenSells);
local_21.AddCustomField("TotalNet", local_20.TotalNet.ToString());
local_21.AddCustomField("TodayBuy", local_20.TodayBuy);
local_21.AddCustomField("TodaySell", local_20.TodaySell);
local_21.AddCustomField("OptMargin", local_20.OptMargin);
local_21.AddCustomField("VarMargin", local_20.VarMargin);
local_21.AddCustomField("ExpirationPos", local_20.ExpirationPos);
local_21.AddCustomField("UsedSellSpotLimit", local_20.UsedSellSpotLimit);
local_21.AddCustomField("SellSpotLimit", local_20.SellSpotLimit);
local_21.AddCustomField("Netto", local_20.Netto);
local_21.AddCustomField("Kgo", local_20.Kgo);
}
}
}
}
}
finally
{
this.rwClientById.ExitReadLock();
}
return brokerInfo;
}
/// <summary>
/// called by OpenQuant if
/// * User clicks "Refresh" icon in "Broker Info" tab
/// * Project code calls various broker related functions
///
/// the information returned is shown in the "Broker Info" Tab
/// </summary>
/// <returns></returns>
protected override BrokerInfo GetBrokerInfo()
{
// info("GetBrokerInfo called");
int numAccounts = 0;
int numOpenPositions = 0;
int numPendingOrders = 0;
BrokerInfo brokerInfo = new BrokerInfo();
if (!IsConnected) return brokerInfo;
lock (private_lock)
{
foreach (string acctName in activeAccounts.Keys)
{
if (!Accounts.IsActive(acctName)) continue; // skip inactive accounts
brokerInfo.AddAccount(acctName);
numAccounts++;
BrokerAccount oqAccount = brokerInfo.Accounts[acctName];
// Account Details
foreach (DataRow row in accountDetails.Rows)
{
if ((string)row["Account"] != acctName) continue;
string key = (string) row["Key"];
string value = (string) row["Value"];
oqAccount.AddField(key, (string) row["Currency"], value);
if (key == "BuyingPower")
{
double buyingPower;
if (!double.TryParse(value, NumberStyles.Any, CultureInfo.InvariantCulture,
out buyingPower))
{
error("can't parse buying Power: " + value);
}
else
{
//logger.AddLog(LoggerLevel.Detail, "*** received Buying Power: " + buyingPower.ToString());
// activeAccounts[e.AccountName] = buyingPower;
oqAccount.BuyingPower = buyingPower;
}
}
}
// Positions
foreach(SrBrokerPosition brpos in openPositions.Values)
{
if (brpos.Fields["Account"] != acctName) continue;
if ((int)Math.Round(brpos.Qty) == 0) continue; // no longer exists
BrokerPosition pos = oqAccount.AddPosition();
numOpenPositions++;
pos.Currency = brpos.Currency;
pos.Exchange = brpos.Exchange;
pos.InstrumentType = brpos.InstrumentType;
pos.LongQty = brpos.LongQty;
pos.Maturity = brpos.Maturity;
pos.PutCall = brpos.PutCall;
pos.Qty = brpos.Qty;
pos.ShortQty = brpos.ShortQty;
pos.Strike = brpos.Strike;
pos.Symbol = brpos.Symbol;
// Fields
foreach(KeyValuePair<string,string> kvp in brpos.Fields)
{
pos.AddCustomField(kvp.Key, kvp.Value);
}
}
// Orders
foreach (SrBrokerOrder srorder in pendingOrders.Values)
{
if (srorder.Fields["Account"] != acctName) continue;
BrokerOrder ord = oqAccount.AddOrder();
numPendingOrders++;
ord.Currency = srorder.Currency;
ord.Exchange = srorder.Exchange;
ord.InstrumentType = srorder.InstrumentType;
ord.OrderID = srorder.OrderId;
ord.Price = srorder.Price;
ord.Qty = srorder.Qty;
ord.Side = srorder.Side;
ord.Status = srorder.Status;
ord.StopPrice = srorder.StopPrice;
ord.Symbol = srorder.Symbol;
ord.Type = srorder.Type;
// Fields
foreach (KeyValuePair<string, string> kvp in srorder.Fields)
{
ord.AddCustomField(kvp.Key, kvp.Value);
}
}
}
}
info("BrokerInfo: "
+ numAccounts + " active accounts, "
+ numOpenPositions + " Positions, "
+ numPendingOrders + " Orders");
return brokerInfo;
}