public Fixed(int strategy_id, string config, EClientInterface socket)
: base(strategy_id, config, socket)
{
_calibrationFailed = false;
_initialized = false;
fromConfig(config);
}
public void setupSocket(EClientInterface socket)
{
lock (_lock)
{
_socket = socket;
_isBacktest = _socket.GetType() == typeof(BacktestEngine);
}
Thread t = new Thread(new ThreadStart(runOrderAgent));
t.CurrentCulture = CultureInfo.InvariantCulture;
t.CurrentUICulture = CultureInfo.InvariantCulture;
t.Start();
}
public BlockOrder(
int stg_id,
EClientInterface socket,
TimeZoneInfo zone,
ContractDetails details,
XmlNode config,
int ref_con_id = 0
)
{
_stg_id = stg_id;
_socket = socket;
_con = details.Summary;
_ref_con_id = ref_con_id;
_minTick = details.MinTick;
_unitSize = int.Parse(config["UnitSize"].InnerText);
_maxOrderSize = int.Parse(config["MaxBlockSize"].InnerText);
_maxNOrders = int.Parse(config["MaxNumberOfOrders"].InnerText);
_maxBidAskUnit = config["MaxBidAskUnit"] == null ? 3 : int.Parse(config["MaxBidAskUnit"].InnerText);
_zone = zone;
//_mktOrdersOnly = mktOrdersOnly;
_entryTemplate = getOrderTemplate(config, "EntryOrderTemplate");
_profitTemplate = getOrderTemplate(config, "ProfitOrderTemplate");
_stopTemplate = getOrderTemplate(config, "StopOrderTemplate");
_expiryTemplate = getOrderTemplate(config, "ExpiryOrderTemplate");
_ids = new List <int>();
_tickers = new List <int>();
_quotes = new Dictionary <int, double>();
_filledQtys = new Dictionary <int, double>();
_openOrders = new Dictionary <int, Order>();
_quotes.Add(1, 0); //bid
_quotes.Add(2, 0); //ask
_quotes.Add(4, 0); //last
_quotes.Add(6, 0); //high
_quotes.Add(7, 0); //low
_quotes.Add(9, 0); //close
_placeOrderEvent = _tm.createEvent();
_mktDataEvents = new List <AutoResetEvent>();
for (int i = 0; i <= 14; ++i)
{
_mktDataEvents.Add(null);
}
_mktDataEvents[1] = new AutoResetEvent(false);
_mktDataEvents[2] = new AutoResetEvent(false);
_mktDataEvents[4] = new AutoResetEvent(false);
}
public void setupSocket(EClientInterface socket)
{
lock (_lock)
_socket = socket;
}
public EWrapperImpl(
string account_config,
bool require_live_bars = true,
bool record_live_bars = false,
bool overwrite_live_bars = false,
int sleep_time = 5000
)
{
Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture;
Thread.CurrentThread.CurrentUICulture = CultureInfo.InvariantCulture;
requireLiveBars = require_live_bars;
recordLiveBars = record_live_bars;
overwriteLiveBars = overwrite_live_bars;
sleepTime = sleep_time;
gettingOpenOrders = false;
XmlDocument xml = new XmlDocument();
xml.LoadXml(account_config);
XmlNode xn1 = xml.SelectSingleNode("/Config");
engine_type = xn1["EngineType"].InnerText;
verbose = xn1["Verbose"] == null ? true : Boolean.Parse(xn1["Verbose"].InnerText);
msg = Messenger.instance;
XmlNode xnemail = xn1.SelectSingleNode("Email");
if (xnemail != null)
{
string smtp = xnemail["SMTP"].InnerText;
int port = Int32.Parse(xnemail["Port"].InnerText);
string address = xnemail["Address"].InnerText;
string password = xnemail["Password"].InnerText;
bool enableSsl = Boolean.Parse(xnemail["EnableSSL"].InnerText);
msg.setupEmail(smtp, port, address, password, enableSsl);
}
pnlSchedule = new List <TimeSpan>();
XmlElement pnlScheduleNode = xn1["PnLReportSchedule"];
if (pnlScheduleNode != null)
{
XmlNodeList sub_nodes = pnlScheduleNode.GetElementsByTagName("Time");
foreach (XmlNode node in sub_nodes)
{
pnlSchedule.Add(TimeSpan.Parse(node.InnerText));
}
}
contractDetailsMap = new Dictionary <int, ContractDetails>();
currPnlIndices = new Dictionary <int, int>();
strategies = new Dictionary <int, Strategy>();
//dbTickMap = new Dictionary<int, int>();
orders = new HashSet <int>();
orderStatuses = new Dictionary <int, HashSet <string> >();
db = DBAccess.DBAccess.instance;
tg = TickerGenerator.instance;
om = OrderManager.instance;
mm = MarketDataManager.instance;
if (engine_type == "TWS")
{
clientSocket = new EClientSocket(this, Signal);
}
else
{
clientSocket = new BacktestEngine(this, db, xn1["BacktestConfig"]);
}
om.setupSocket(clientSocket);
mm.setupSocket(clientSocket);
}
public ExecutionTest(int strategy_id, string config, EClientInterface socket)
: base(strategy_id, config, socket)
{
_initialized = false;
fromConfig(config);
}
