public void Run()
{
if (this.beginTime < Clock.Now)
{
this.beginTime = Clock.Now;
}
Clock.AddReminder(this.runOnce, this.beginTime, null);
}
private void AddReminder(DateTime datetime)
{
if (!this.times.Contains(datetime) && datetime >= Clock.Now)
{
Clock.AddReminder(new ReminderEventHandler(this.OnReminder), datetime, null);
this.times.Add(datetime);
}
}
private void nxZL6NXVXL(DateTime datetime)
{
if (!this.NJNLAPvWPO.Contains(datetime))
{
Clock.AddReminder(new ReminderEventHandler(this.nAMLprxZKC), datetime, null);
this.NJNLAPvWPO.Add(datetime, null);
}
}
public void AddInstrument(Instrument instrument)
{
float price = (float)instrument.Price();
this.items.Add(instrument, new PoolItem(Clock.Now, price));
if (this.autoLeave)
{
Clock.AddReminder(this.InstrumentOutPool, Clock.Now.Add(this.LeaveTime), instrument);
}
}
public void SendOrderCancelRequest(OrderCancelRequest request)
{
if (this.Latency == 0)
{
this.E3jPCDq9jY(request);
}
else
{
Clock.AddReminder(new ReminderEventHandler(this.t99PErAC3Y), DateTime.Now.AddMilliseconds(this.Latency), request);
}
}
public void SendOrderCancelReplaceRequest(OrderCancelReplaceRequest request)
{
if (this.Latency == 0)
{
this.M9IPlabLYo(request);
}
else
{
Clock.AddReminder(new ReminderEventHandler(this.gFqPLKYI6J), DateTime.Now.AddMilliseconds(this.Latency), request);
}
}
public PortfolioStop(StrategyBase strategy, DateTime time, bool stopStrategy)
{
this.strategy = strategy;
this.portfolio = strategy.Portfolio;
this.stopStrategy = stopStrategy;
this.type = StopType.Time;
this.creationTime = Clock.Now;
this.completionTime = time;
this.stopValue = this.portfolio.GetValue();
if (this.completionTime > this.creationTime)
{
Clock.AddReminder(new ReminderEventHandler(this.OnClock), this.completionTime, null);
}
}
public Stop(StrategyBase strategy, Position position, DateTime time)
{
this.fStrategy = strategy;
this.fPosition = position;
this.fInstrument = position.Instrument;
this.fQty = position.Qty;
this.fSide = position.Side;
this.fType = StopType.Time;
this.fCreationTime = Clock.Now;
this.fCompletionTime = time;
this.fStopPrice = this.fInstrument.Price();
if (this.fCompletionTime > this.fCreationTime)
{
Clock.AddReminder(new ReminderEventHandler(this.OnClock), this.fCompletionTime, null);
this.fStrategy.AddStop(this);
}
}
public Stop(StrategyBase strategy, Position position, DateTime time) : base()
{
this.Udd6EeE9v6 = strategy;
this.fPosition = position;
this.fInstrument = position.Instrument;
this.fQty = position.Qty;
this.fSide = position.Side;
this.fType = StopType.Time;
this.fCreationTime = Clock.Now;
this.fCompletionTime = time;
this.fStopPrice = this.fInstrument.Price();
if (!(this.fCompletionTime > this.fCreationTime))
{
return;
}
Clock.AddReminder(new ReminderEventHandler(this.mSa6vRBe3Z), this.fCompletionTime, (object)null);
this.Udd6EeE9v6.AddStop((StopBase)this);
}
public PortfolioStop(StrategyBase strategy, DateTime time, bool stopStrategy)
: base()
{
this.dUqRtBdT71 = StopType.Trailing;
this.Wa9RdDJEOa = StopMode.Percent;
this.rfci6isjj5 = StopFillMode.Stop;
this.sKmRoRmeN5 = strategy;
this.ElNRan0isi = strategy.Portfolio;
this.RUQiAxBBaC = stopStrategy;
this.dUqRtBdT71 = StopType.Time;
this.XoERmcoQ62 = Clock.Now;
this.xTNRf1TvWo = time;
this.FuNRz16ilo = this.ElNRan0isi.GetValue();
if (!(this.xTNRf1TvWo > this.XoERmcoQ62))
{
return;
}
Clock.AddReminder(new ReminderEventHandler(this.AaPRYK2epA), this.xTNRf1TvWo, (object)null);
}
public ATSStop(Position position, DateTime time)
{
this.fPosition = position;
this.fInstrument = position.Instrument;
this.fQty = position.Qty;
this.fSide = position.Side;
this.fType = StopType.Time;
this.fCreationTime = Clock.Now;
this.fCompletionTime = time;
this.fStopPrice = this.fInstrument.Price();
this.series = new DoubleSeries();
if (this.fType == StopType.Trailing)
{
this.series.Add(this.fCreationTime, this.GetStopPrice());
}
if (this.fCompletionTime > this.fCreationTime)
{
Clock.AddReminder(new ReminderEventHandler(this.OnClock), this.fCompletionTime, null);
}
}
public JobSchedule(JobQueue jobs, DateTime startTime, int maxTimes, TimeSpan interval, AutoResetEvent autoEvent)
{
this.jobs = jobs;
this.startTime = startTime;
this.maxTimes = maxTimes;
this.interval = interval;
this.autoEvent = autoEvent;
this.jobEventHandler = new ReminderEventHandler(this.doJobs);
if (this.startTime > Clock.Now)
{
Clock.AddReminder(this.jobEventHandler, startTime, null);
}
else
{
Console.WriteLine("作业开始时间必须大于当前时间！");
if (this.autoEvent != null)
{
this.autoEvent.Set(); //在不能开启作业的情况下，释放一次信号量
}
}
}
public ATSStop(Position position, DateTime time) : base()
{
this.fPosition = position;
this.fInstrument = position.Instrument;
this.fQty = position.Qty;
this.fSide = position.Side;
this.fType = StopType.Time;
this.fCreationTime = Clock.Now;
this.fCompletionTime = time;
this.fStopPrice = this.fInstrument.Price();
this.series = new DoubleSeries();
if (this.fType == StopType.Trailing)
{
this.series.Add(this.fCreationTime, this.lkZijZtYnj());
}
if (!(this.fCompletionTime > this.fCreationTime))
{
return;
}
Clock.AddReminder(new ReminderEventHandler(this.tQYi7Nff5A), this.fCompletionTime, (object)null);
}
public void SendNewOrderSingle(NewOrderSingle order)
{
if (this.IsConnected)
{
if (this.Latency == 0)
{
this.lCXP6mCfhb(order);
}
else
{
Clock.AddReminder(new ReminderEventHandler(this.MxtPRD9hCH), DateTime.Now.AddMilliseconds(this.Latency), order);
}
}
else
{
ExecutionReport report = new ExecutionReport();
report.TransactTime = DateTime.Now;
report.ClOrdID = order.ClOrdID;
report.ExecType = ExecType.Rejected;
report.OrdStatus = OrdStatus.Rejected;
report.Symbol = order.Symbol;
report.SecurityType = order.SecurityType;
report.SecurityExchange = order.SecurityExchange;
report.Currency = order.Currency;
report.Side = order.Side;
report.OrdType = order.OrdType;
report.TimeInForce = order.TimeInForce;
report.OrderQty = order.OrderQty;
report.Price = order.Price;
report.StopPx = order.StopPx;
report.LastPx = 0.0;
report.LastQty = 0.0;
report.AvgPx = 0.0;
report.CumQty = 0.0;
report.LeavesQty = order.OrderQty;
report.Text = "text";
this.JPVPJSWclF(report);
}
}
private void doJobs(ReminderEventArgs args)
{
if (this.jobs != null)
{
this.jobThread = new Thread(new ThreadStart(this.jobs.Run));
this.jobThread.Start();
this.jobThread.Join();
if (this.jobThread.ThreadState == ThreadState.Aborted || this.closed)
{
if (this.autoEvent != null)
{
this.autoEvent.Set();
}
Console.WriteLine("作业被中断执行。");
return;
}
//如果没有完成且小于偿试的次数，N分钟后继续启动
if ((!this.jobs.Finished) && (this.jobs.Times < maxTimes))
{
Clock.AddReminder(this.jobEventHandler, Clock.Now.Add(interval), null);
}
else
{
if (this.autoEvent != null)
{
this.autoEvent.Set();
}
if (this.jobs.Finished)
{
Console.WriteLine("所有作业执行完毕");
}
else if (this.jobs.Times >= maxTimes)
{
Console.WriteLine("偿试多次后仍然无法完成。");
}
}
}
}
private void dGEFgdOydF()
{
if (!(this.PYBF7sahqY is SingleOrder))
{
return;
}
SingleOrder singleOrder = this.PYBF7sahqY as SingleOrder;
if (singleOrder.ContainsField(11201))
{
this.kUyFaL3cQu = (FillOnBarMode)singleOrder.FillOnBarMode;
}
Instrument instrument = singleOrder.Instrument;
bool flag = !singleOrder.IsStopLimitReady && (singleOrder.OrdType == OrdType.TrailingStop || singleOrder.OrdType == OrdType.TrailingStopLimit || singleOrder.OrdType == OrdType.StopLimit);
if (singleOrder.OrdType == OrdType.Market)
{
if ((this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
{
this.Y18FFPmDy5(instrument.Quote, (Trade)null, (Bar)null);
}
if ((this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
{
this.Y18FFPmDy5((Quote)null, instrument.Trade, (Bar)null);
}
if ((this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && ((this.kUyFaL3cQu == FillOnBarMode.LastBarClose || singleOrder.ForceMarketOrder) && this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size)))
{
this.Y18FFPmDy5((Quote)null, (Trade)null, instrument.Bar);
}
}
else
{
if (instrument.Quote != null && (this.A8bFJItyyx.FillOnQuote && !flag || this.A8bFJItyyx.TriggerOnQuote && flag) && this.A8bFJItyyx.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
{
this.Y18FFPmDy5(instrument.Quote, (Trade)null, (Bar)null);
}
if (instrument.Trade != null && (this.A8bFJItyyx.FillOnTrade && !flag || this.A8bFJItyyx.TriggerOnTrade && flag) && this.A8bFJItyyx.FillOnTradeMode == FillOnTradeMode.LastTrade)
{
this.Y18FFPmDy5((Quote)null, instrument.Trade, (Bar)null);
}
if (instrument.Bar != null && (this.A8bFJItyyx.FillOnBar && !flag || this.A8bFJItyyx.TriggerOnBar && flag) && (this.A8bFJItyyx.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size) && this.A8bFJItyyx.FillOnBarMode == FillOnBarMode.LastBarClose))
{
double close = instrument.Bar.Close;
if (close != 0.0)
{
this.wYBFLwFB4S(close, singleOrder.OrderQty);
}
}
}
if (this.aXtFGP76FH)
{
return;
}
if (this.A8bFJItyyx.FillOnQuote || this.A8bFJItyyx.TriggerOnQuote)
{
instrument.NewQuote += new QuoteEventHandler(this.PyJFklA8yp);
}
if (this.A8bFJItyyx.FillOnTrade || this.A8bFJItyyx.TriggerOnTrade)
{
instrument.NewTrade += new TradeEventHandler(this.YGKFrq1UXP);
}
this.smCF4MYTNu = instrument.Quote;
if (this.A8bFJItyyx.FillOnBar || this.A8bFJItyyx.TriggerOnBar)
{
if (singleOrder.ForceMarketOrder)
{
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
}
else if (singleOrder.OrdType == OrdType.Market)
{
switch (this.kUyFaL3cQu)
{
case FillOnBarMode.LastBarClose:
case FillOnBarMode.NextBarClose:
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
break;
case FillOnBarMode.NextBarOpen:
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
break;
}
}
else
{
instrument.NewBar += new BarEventHandler(this.YgkFRBfPV0);
instrument.NewBarOpen += new BarEventHandler(this.OyPFEsHGL2);
}
}
if ((int)this.PYBF7sahqY.TimeInForce != 54)
{
return;
}
Clock.AddReminder(new ReminderEventHandler(this.xT1FyAqCPT), this.PYBF7sahqY.ExpireTime, (object)null);
}
private void Init()
{
if (this.fOrder is SingleOrder)
{
SingleOrder singleOrder = this.fOrder as SingleOrder;
if (singleOrder.ContainsField(11201))
{
this.fFillOnBarMode = (FillOnBarMode)singleOrder.FillOnBarMode;
}
Instrument instrument = singleOrder.Instrument;
if (singleOrder.OrdType == OrdType.Market)
{
if (this.fProvider.FillOnQuote && this.fProvider.FillOnQuoteMode == FillOnQuoteMode.LastQuote)
{
this.Process(instrument.Quote, null, null);
}
if (this.fProvider.FillOnTrade && this.fProvider.FillOnTradeMode == FillOnTradeMode.LastTrade)
{
this.Process(null, instrument.Trade, null);
}
if (this.fProvider.FillOnBar && (this.fFillOnBarMode == FillOnBarMode.LastBarClose || singleOrder.ForceMarketOrder) && this.fProvider.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size))
{
this.Process(null, null, instrument.Bar);
}
}
else
{
if (instrument.Quote != null && this.fProvider.FillOnQuote)
{
this.Process(instrument.Quote, null, null);
}
if (instrument.Trade != null && this.fProvider.FillOnTrade)
{
this.Process(null, instrument.Trade, null);
}
if (instrument.Bar != null && this.fProvider.FillOnBar && this.fProvider.BarFilter.Contains(instrument.Bar.BarType, instrument.Bar.Size))
{
double close = instrument.Bar.Close;
if (close != 0.0)
{
this.StopLimit(close, singleOrder.OrderQty);
}
}
}
if (!this.fExecuted)
{
if (this.fProvider.FillOnQuote)
{
instrument.NewQuote += new QuoteEventHandler(this.OnNewQuote);
}
if (this.fProvider.FillOnTrade)
{
instrument.NewTrade += new TradeEventHandler(this.OnNewTrade);
}
if (this.fProvider.FillOnBar)
{
if (singleOrder.ForceMarketOrder)
{
instrument.NewBar += new BarEventHandler(this.OnNewBar);
instrument.NewBarOpen += new BarEventHandler(this.OnNewBarOpen);
}
else
{
if (singleOrder.OrdType == OrdType.Market)
{
switch (this.fFillOnBarMode)
{
case FillOnBarMode.LastBarClose:
case FillOnBarMode.NextBarClose:
instrument.NewBar += new BarEventHandler(this.OnNewBar);
break;
case FillOnBarMode.NextBarOpen:
instrument.NewBarOpen += new BarEventHandler(this.OnNewBarOpen);
break;
}
}
else
{
instrument.NewBar += new BarEventHandler(this.OnNewBar);
instrument.NewBarOpen += new BarEventHandler(this.OnNewBarOpen);
}
}
}
if (this.fOrder.TimeInForce == '6')
{
Clock.AddReminder(new ReminderEventHandler(this.Clock_Reminder), this.fOrder.ExpireTime, null);
}
}
}
}
/*定时器执行更新报价*/
private void tickTimer_Elapsed(object sender, ElapsedEventArgs e)
{
/*如果只在开市时读数据，在非开市时间直接退出*/
if (onlyReadInMarket && (DateTime.Now < DateTime.Today.Add(beginTime) || DateTime.Now > DateTime.Today.Add(endTime)))
{
return;
}
/*当运行到第二天时，清空报价缓存*/
if (lastDateOfQuote < DateTime.Today)
{
lastDateOfQuote = DateTime.Today;
lastQuotes.Clear();
}
if (quoteReader == null)
{
quoteReader = new DZHQuoteReader(dzhDataPath);
}
try
{
foreach (string symbol in subscribedSymbols.ToArray())
{
if (!subscribedSymbols.Contains(symbol))
{
continue;
}
Instrument curInstrument = InstrumentManager.Instruments[symbol];
if (curInstrument == null)
{
this.EmitError(-1, -1, "Symbol " + symbol + " was not found in list of requested symbols.");
}
else
{
DZHSymbol dzhSymbol = new DZHSymbol(curInstrument.SecurityExchange, curInstrument.SecurityID);
DZHQuote newQuote = quoteReader.RequestQuote(dzhSymbol);
bool flag1 = false;
bool flag2 = false;
bool first = false;//是否是请求的第一笔数据
if (this.lastQuotes.ContainsKey(symbol))
{
DZHQuote oldQuote = this.lastQuotes[symbol];
/*这里注释掉和下面一样，大智慧发送来的数据存在同一时刻多笔交易的现象
* 所以不能用时间来排除
*/
//if (newQuote.Time != oldQuote.Time)
//{
if ((newQuote.Bid1 != oldQuote.Bid1) || (newQuote.Bid1Vol != oldQuote.Bid1Vol) ||
(newQuote.Ask1 != oldQuote.Ask1) || (newQuote.Ask1Vol != oldQuote.Ask1Vol))
{
flag1 = true;
}
if ((newQuote.TotalVolume != oldQuote.TotalVolume) || (newQuote.Price != oldQuote.Price))
{
flag2 = true;
}
// }
this.lastQuotes[symbol] = newQuote;
}
else
{
first = true;
if ((newQuote.Ask1 > 0.0) || (newQuote.Bid1 > 0.0))
{
flag1 = true;
}
if ((newQuote.Price > 0.0) || (newQuote.Volume > 0.0))
{
flag2 = true;
}
this.lastQuotes.Add(symbol, newQuote);
}
/*这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag1) && ((curInstrument.GetQuoteArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag1)
{
this.EmitNewQuote(new Quote(newQuote.Time, newQuote.Bid1, (int)newQuote.Bid1Vol, newQuote.Ask1, (int)newQuote.Ask1Vol), curInstrument);
}
/*大智慧有可能在同一时刻有多笔交易，QD不允许这样，所以有可能丢失某些笔交易
* 如果不作同一时刻的检查，则有可能在数据中保存重复的交易
* 这里注释掉是，不做时间检查，因为不使用市场数据提供者存储数据，市场数据提供者只用于实时交易
*而要获取过去的数据存储起来，使用历史数据提供者
*/
//if ((flag2) && ((curInstrument.GetTradeArray(newQuote.Time, newQuote.Time)).Count == 0))
if (flag2)
{
this.EmitNewTrade(new Trade(newQuote.Time, newQuote.Price, (int)newQuote.Volume), curInstrument);
/*以下代码是为了产生日线*/
if (first && buildDailyBar)
{
lock (this)
{
DateTime barDateTime = newQuote.Time.Date;
if (!dailyBars.ContainsKey(curInstrument))
{
dailyBars.Add(curInstrument, new Dictionary <DateTime, Daily>());
}
Dictionary <DateTime, Daily> dailyBox = dailyBars[curInstrument];
if (!dailyBox.ContainsKey(barDateTime))
{
Daily daily = new Daily(barDateTime, newQuote.Open, newQuote.High, newQuote.Low, newQuote.Price, (long)newQuote.TotalVolume);
dailyBox.Add(barDateTime, daily);
((DZHBarFactory)this.factory).EmitNewBarOpen(daily, curInstrument);
}
DateTime realyEndTime = Clock.Now.Add(this.endTime - newQuote.Time.TimeOfDay);
Clock.AddReminder(new ReminderEventHandler(OnReminder), realyEndTime, null);
}
}
}
}
}
}
catch (Exception exception)
{
this.EmitError(-1, -1, exception.ToString());
}
}
protected virtual void runOnce(ReminderEventArgs args)
{
if (this.inPool != null && this.outPool != null)
{
if (this.ClearOutPoolFrist)
{
this.outPool.Clear();
}
if (this.inPool.Count > 0)
{
Dictionary <Instrument, float> sortDict = new Dictionary <Instrument, float>();
foreach (KeyValuePair <Instrument, PoolItem> item in this.inPool.GetItems())
{
if (this.outPool.ContainsInstrument(item.Key))
{
continue; //输出池中已有
}
float ret = this.ConditionCode(item);
if (this.conditionType == 1)//条件模式
{
if (ret > 0)
{
this.outPool.AddInstrument(item.Key);
if (this.DeleteFromInPool)
{
this.inPool.RemoveInstrument(item.Key);
}
}
}
else if (this.conditionType == 2)//排序模式
{
sortDict.Add(item.Key, ret);
}
}
if (this.conditionType == 2)//排序模式
{
List <Instrument> sortList;
if (this.sortByAsc)
{
sortList = (sortDict.OrderBy(o => o.Value)).Select(o => o.Key).ToList();
}
else
{
sortList = (sortDict.OrderByDescending(o => o.Value)).Select(o => o.Key).ToList();
}
for (int i = 0; i < this.RankLimit && i < sortList.Count; i++)
{
Instrument item = sortList[i];
this.outPool.AddInstrument(item);
if (this.DeleteFromInPool)
{
this.inPool.RemoveInstrument(item);
}
}
}
}
if (!this.justOnce)
{
DateTime nextTime = Clock.Now.Add(this.interval);
if (nextTime <= this.beginTime.Add(this.keepTime))
{
Clock.AddReminder(this.runOnce, nextTime, null);
}
}
}
}