public Strategy(Framework framework, string name)
{
this.framework = framework;
this.Name = name;
this.strategiesByInstrument = new IdArray <LinkedList <Strategy> >(1000);
this.strategyByOrderId = new IdArray <Strategy>(1000);
this.strategies = new LinkedList <Strategy>();
this.status = StrategyStatus.Stopped;
this.instruments = new InstrumentList();
this.instrumentCountTable = new IdArray <int>(1000);
if (framework != null)
{
this.portfolio = new Portfolio(framework, this.Name);
framework.PortfolioManager.Add(this.portfolio);
}
this.bars = new BarSeries("", "");
this.equity = new TimeSeries();
this.bids = new TickSeries("");
this.asks = new TickSeries("");
this.stops = new List <Stop>();
this.stopsByInstrument = new IdArray <List <Stop> >(1000);
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
HistoricalDataRequest request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, 4);
provider.Send(request);
this.handle = new ManualResetEventSlim(false);
this.handle.Wait();
TickSeries tickSeries = new TickSeries("");
if (this.historicalData != null)
{
foreach (HistoricalData current in this.historicalData)
{
DataObject[] objects = current.Objects;
for (int i = 0; i < objects.Length; i++)
{
DataObject dataObject = objects[i];
tickSeries.Add((Trade)dataObject);
}
}
}
this.historicalData = null;
return(tickSeries);
}