protected override void OnOrderPartiallyFilled(SingleOrder order)
{
Instrument instrument = order.Instrument;
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnOrderPartiallyFilled(order);
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnOrderPartiallyFilled(order);
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnOrderPartiallyFilled(order);
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnOrderPartiallyFilled(order);
}
/*---------------------------------------*/
/*this.runtimeCrossEntry.OnOrderPartiallyFilled(order);
* this.runtimeCrossExit.OnOrderPartiallyFilled(order);
* this.entries[instrument].OnOrderPartiallyFilled(order);
* this.exits[instrument].OnOrderPartiallyFilled(order);*/
}
internal SingleOrder EmitSignal(Signal signal)
{
signal.Strategy = this;
MoneyManager moneyManager = this.moneyManagers[signal.Instrument];
double positionSize = moneyManager.GetPositionSize(signal);
if (positionSize > 0.0)
{
signal.Qty = positionSize;
RiskManager riskManager = this.riskManagers[signal.Instrument];
if (!riskManager.Validate(signal))
{
signal.Status = SignalStatus.Rejected;
signal.Rejecter = ComponentType.RiskManager;
}
if (!this.exposureManager.Validate(signal))
{
signal.Status = SignalStatus.Rejected;
signal.Rejecter = ComponentType.ExposureManager;
}
}
else
{
signal.Status = SignalStatus.Rejected;
signal.Rejecter = ComponentType.MoneyManager;
}
return(this.MetaStrategy.EmitSignal(signal));
}
protected override void OnExecutionReport(SingleOrder order, ExecutionReport report)
{
Instrument instrument = order.Instrument;
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnExecutionReport(order, report);
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnExecutionReport(order, report);
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnExecutionReport(order, report);
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnExecutionReport(order, report);
}
/*---------------------------------------*/
/*this.runtimeCrossEntry.OnExecutionReport(order, report);
* this.runtimeCrossExit.OnExecutionReport(order, report);
* this.entries[instrument].OnExecutionReport(order, report);
* this.exits[instrument].OnExecutionReport(order, report);*/
}
protected override void OnPositionClosed(Position position)
{
foreach (Stop stop in new ArrayList(this.activeStops[position.Instrument]))
{
if ((stop.Type == StopType.Time && stop.Status == StopStatus.Active) || stop.Connected)
{
stop.OnPositionClosed(position);
}
}
this.runtimeCrossExit.OnPositionClosed(position);
this.runtimeCrossEntry.OnPositionClosed(position);
this.exposureManager.OnPositionClosed(position);
Instrument instrument = position.Instrument;
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnPositionClosed();
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnPositionClosed();
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnPositionClosed();
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnPositionClosed();
}
/*---------------------------------------*/
/*this.exits[instrument].OnPositionClosed();
* this.entries[instrument].OnPositionClosed();
* this.moneyManagers[instrument].OnPositionClosed();
* this.riskManagers[instrument].OnPositionClosed();*/
}
protected override void OnNewBar(Instrument instrument, Bar bar)
{
foreach (Stop stop in new ArrayList(this.activeStops[instrument]))
{
if (stop.Connected)
{
stop.OnNewBar(bar);
}
}
this.runtimeCrossExit.OnBar(instrument, bar);
this.runtimeCrossEntry.OnBar(instrument, bar);
this.marketManager.OnBar(instrument, bar);
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnBar(bar);
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnBar(bar);
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnBar(bar);
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnBar(bar);
}
/*---------------------------------------*/
/*this.exits[instrument].OnBar(bar);
* this.entries[instrument].OnBar(bar);
* this.moneyManagers[instrument].OnBar(bar);
* this.riskManagers[instrument].OnBar(bar);*/
}
protected override void OnPortfolioValueChanged(Position position)
{
this.MetaStrategy.MetaRiskManager.OnStrategyPortfolioValueChanged(this);
if (!this.isActive)
{
return;
}
this.runtimeCrossExit.OnPortfolioValueChanged(position);
this.runtimeCrossEntry.OnPortfolioValueChanged(position);
this.exposureManager.OnPortfolioValueChanged(position);
Instrument instrument = position.Instrument;
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnPositionValueChanged();
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnPositionValueChanged();
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnPositionValueChanged();
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnPositionValueChanged();
}
/*---------------------------------------*/
/*this.exits[instrument].OnPositionValueChanged();
* this.entries[instrument].OnPositionValueChanged();
* this.moneyManagers[instrument].OnPositionValueChanged();
* this.riskManagers[instrument].OnPositionValueChanged();*/
}
protected override void OnBehaviorInit()
{
this.entries.Clear();
this.exits.Clear();
this.moneyManagers.Clear();
this.riskManagers.Clear();
//把持仓中的证券添加到市场中来
foreach (Position position in this.portfolio.Positions)
{
Instrument instrument = position.Instrument;
this.marketManager.AddInstrument(instrument);
}
foreach (Instrument instrument in this.marketManager.Instruments)
{
this.activeInstruments.Add(instrument);
Entry entry = Activator.CreateInstance(this.entry.GetType()) as Entry;
Exit exit = Activator.CreateInstance(this.exit.GetType()) as Exit;
MoneyManager moneyManager = Activator.CreateInstance(this.moneyManager.GetType()) as MoneyManager;
RiskManager riskManager = Activator.CreateInstance(this.riskManager.GetType()) as RiskManager;
entry.StrategyBase = this;
exit.StrategyBase = this;
moneyManager.StrategyBase = this;
riskManager.StrategyBase = this;
entry.Instrument = instrument;
exit.Instrument = instrument;
moneyManager.Instrument = instrument;
riskManager.Instrument = instrument;
base.SetProxyProperties(entry, this.entry);
base.SetProxyProperties(exit, this.exit);
base.SetProxyProperties(moneyManager, this.moneyManager);
base.SetProxyProperties(riskManager, this.riskManager);
entry.Init();
exit.Init();
moneyManager.Init();
riskManager.Init();
this.entries.Add(instrument, entry);
this.exits.Add(instrument, exit);
this.moneyManagers.Add(instrument, moneyManager);
this.riskManagers.Add(instrument, riskManager);
}
}
protected override void OnPositionChanged(Position position)
{
this.runtimeCrossExit.OnPositionChanged(position);
this.runtimeCrossEntry.OnPositionChanged(position);
this.exposureManager.OnPositionChanged(position);
Instrument instrument = position.Instrument;
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnPositionChanged();
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnPositionChanged();
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnPositionChanged();
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnPositionChanged();
}
/*---------------------------------------*/
/*this.exits[instrument].OnPositionChanged();
* this.entries[instrument].OnPositionChanged();
* this.moneyManagers[instrument].OnPositionChanged();
* this.riskManagers[instrument].OnPositionChanged();*/
}
protected override void OnNewCorporateAction(Instrument instrument, CorporateAction corporateAction)
{
this.runtimeCrossExit.OnCorporateAction(instrument, corporateAction);
this.runtimeCrossEntry.OnCorporateAction(instrument, corporateAction);
this.marketManager.OnCorporateAction(instrument, corporateAction);
this.exposureManager.OnCorporateAction(instrument, corporateAction);
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnCorporateAction(corporateAction);
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnCorporateAction(corporateAction);
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnCorporateAction(corporateAction);
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnCorporateAction(corporateAction);
}
/*---------------------------------------*/
/*this.exits[instrument].OnCorporateAction(corporateAction);
* this.entries[instrument].OnCorporateAction(corporateAction);
* this.moneyManagers[instrument].OnCorporateAction(corporateAction);
* this.riskManagers[instrument].OnCorporateAction(corporateAction);*/
}
protected override void OnNewMarketDepth(Instrument instrument, MarketDepth marketDepth)
{
this.runtimeCrossExit.OnMarketDepth(instrument, marketDepth);
this.runtimeCrossEntry.OnMarketDepth(instrument, marketDepth);
this.marketManager.OnMarketDepth(instrument, marketDepth);
/*---------------------------------------*/
Exit exit = this.exits[instrument];
if (exit != null)
{
exit.OnMarketDepth(marketDepth);
}
Entry entry = this.entries[instrument];
if (entry != null)
{
entry.OnMarketDepth(marketDepth);
}
MoneyManager moneyManager = this.moneyManagers[instrument];
if (moneyManager != null)
{
moneyManager.OnMarketDepth(marketDepth);
}
RiskManager riskManager = this.riskManagers[instrument];
if (riskManager != null)
{
riskManager.OnMarketDepth(marketDepth);
}
/*---------------------------------------*/
/*this.exits[instrument].OnMarketDepth(marketDepth);
* this.entries[instrument].OnMarketDepth(marketDepth);
* this.moneyManagers[instrument].OnMarketDepth(marketDepth);
* this.riskManagers[instrument].OnMarketDepth(marketDepth);*/
}
