public void StoreData_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
securityCache.StoreData(new[] { quote }, typeof(Tick));
var trade = new Tick(time.AddMilliseconds(1), Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
securityCache.StoreData(new[] { trade }, typeof(Tick));
// Adding OpenInterest as Tick or OpenInterest should not matter
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
securityCache.StoreData(new[] { openInterest }, typeof(Tick)); // Add as Tick
securityCache.StoreData(new[] { openInterest }, typeof(OpenInterest)); // Add as OI
// Assert
Assert.IsTrue(securityCache.HasData(typeof(Tick)));
Assert.True(securityCache.GetData <Tick>().Equals(trade));
Assert.True(securityCache.GetData <OpenInterest>().Equals(openInterest));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
public void AccessesByDataType()
{
var now = DateTime.UtcNow;
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = now
};
var quandl = new Quandl {
Symbol = Symbols.SPY, Time = now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = now
};
var tick = new Tick(now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var openInterest = new OpenInterest(now, Symbols.SPY, 1);
var split = new Split(Symbols.SPY, now, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, now, 1, DelistingType.Delisted);
var slice = new Slice(now, new BaseData[] { quoteBar, tradeBar, quandl, tick, split, delisting, openInterest });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(Quandl))[Symbols.SPY], quandl);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
Assert.AreEqual(slice.Get(typeof(OpenInterest))[Symbols.SPY], openInterest);
}
public void AddData_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
securityCache.AddData(quote);
var trade = new Tick(time, Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
securityCache.AddData(trade);
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
securityCache.AddData(openInterest);
// Assert
Assert.True(securityCache.GetData().Equals(trade));
Assert.True(securityCache.GetData <Tick>().Equals(trade));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
private void EscapeUsingUserControl(object e)
{
Globals.IsOiWindowOPen = false;
OpenInterest oOpenInterest = e as OpenInterest;
oOpenInterest.Hide();
}
public void PythonGetBySymbolOpenInterest()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
from QuantConnect.Tests import *
def Test(slice):
data = slice.Get(OpenInterest)
value = data[Symbols.AAPL].Value
if value != 33:
raise Exception('Unexpected value')").GetAttr("Test");
var now = DateTime.UtcNow;
var TradeBarSpy = new TradeBar {
Symbol = Symbols.SPY, Time = now, Value = 8
};
var TradeBarAapl = new TradeBar {
Symbol = Symbols.AAPL, Time = now, Value = 9
};
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = now, Value = 10
};
var unlinkedDataAapl = new UnlinkedData {
Symbol = Symbols.AAPL, Time = now, Value = 11
};
var openInterest = new OpenInterest(now, Symbols.AAPL, 33);
var slice = new Slice(now, new BaseData[] { unlinkedDataSpy, TradeBarAapl, unlinkedDataAapl, TradeBarSpy, openInterest });
Assert.DoesNotThrow(() => test(new PythonSlice(slice)));
}
}
public override int GetHashCode()
{
unchecked
{
int hashCode = (SecurityCode != null
? SecurityCode.GetHashCode()
: 0);
hashCode = (hashCode * 397) ^ (OptionNumber != null
? OptionNumber.GetHashCode()
: 0);
hashCode = (hashCode * 397) ^ (OptionCode != null
? OptionCode.GetHashCode()
: 0);
hashCode = (hashCode * 397) ^ Bid.GetHashCode();
hashCode = (hashCode * 397) ^ BidVolume.GetHashCode();
hashCode = (hashCode * 397) ^ Ask.GetHashCode();
hashCode = (hashCode * 397) ^ AskVolume.GetHashCode();
hashCode = (hashCode * 397) ^ Volume.GetHashCode();
hashCode = (hashCode * 397) ^ Bid2.GetHashCode();
hashCode = (hashCode * 397) ^ BidVolume2.GetHashCode();
hashCode = (hashCode * 397) ^ Ask2.GetHashCode();
hashCode = (hashCode * 397) ^ AskVolume2.GetHashCode();
hashCode = (hashCode * 397) ^ Bid3.GetHashCode();
hashCode = (hashCode * 397) ^ BidVolume3.GetHashCode();
hashCode = (hashCode * 397) ^ Ask3.GetHashCode();
hashCode = (hashCode * 397) ^ AskVolume3.GetHashCode();
hashCode = (hashCode * 397) ^ Bid4.GetHashCode();
hashCode = (hashCode * 397) ^ BidVolume4.GetHashCode();
hashCode = (hashCode * 397) ^ Ask4.GetHashCode();
hashCode = (hashCode * 397) ^ AskVolume4.GetHashCode();
hashCode = (hashCode * 397) ^ Bid5.GetHashCode();
hashCode = (hashCode * 397) ^ BidVolume5.GetHashCode();
hashCode = (hashCode * 397) ^ Ask5.GetHashCode();
hashCode = (hashCode * 397) ^ AskVolume5.GetHashCode();
hashCode = (hashCode * 397) ^ (Greeks != null
? Greeks.GetHashCode()
: 0);
hashCode = (hashCode * 397) ^ OpenInterest.GetHashCode();
hashCode = (hashCode * 397) ^ Turnover.GetHashCode();
hashCode = (hashCode * 397) ^ UncoveredPositionQuantity.GetHashCode();
hashCode = (hashCode * 397) ^ PreviousSettlementPrice.GetHashCode();
hashCode = (hashCode * 397) ^ OpeningPrice.GetHashCode();
hashCode = (hashCode * 397) ^ AuctionReferencePrice.GetHashCode();
hashCode = (hashCode * 397) ^ AuctionReferenceQuantity.GetHashCode();
hashCode = (hashCode * 397) ^ HighestPrice.GetHashCode();
hashCode = (hashCode * 397) ^ LowestPrice.GetHashCode();
hashCode = (hashCode * 397) ^ LatestTradedPrice.GetHashCode();
hashCode = (hashCode * 397) ^ Change.GetHashCode();
hashCode = (hashCode * 397) ^ ChangePercentage.GetHashCode();
hashCode = (hashCode * 397) ^ PreviousClose.GetHashCode();
hashCode = (hashCode * 397) ^ (Name != null
? Name.GetHashCode()
: 0);
return(hashCode);
}
}
public override int GetHashCode()
{
unchecked
{
var hash = 17;
hash = hash * 29 + RequestId != null?RequestId.GetHashCode() : 0;
hash = hash * 29 + Timestamp.GetHashCode();
hash = hash * 29 + High.GetHashCode();
hash = hash * 29 + Low.GetHashCode();
hash = hash * 29 + Open.GetHashCode();
hash = hash * 29 + Close.GetHashCode();
hash = hash * 29 + PeriodVolume.GetHashCode();
hash = hash * 29 + OpenInterest.GetHashCode();
return(hash);
}
}
public void OpenInterestSerializationRoundTrip()
{
var openInterest = new OpenInterest(DateTime.UtcNow, Symbols.AAPL, 10);
var serializedTick = openInterest.ProtobufSerialize();
// verify its correct
using (var stream = new MemoryStream(serializedTick))
{
var result = (Tick)Serializer.Deserialize <IEnumerable <BaseData> >(stream).First();
Assert.IsNull(result.Symbol);
Assert.AreEqual(openInterest.Time, result.Time);
Assert.AreEqual(openInterest.EndTime, result.EndTime);
Assert.AreEqual(openInterest.Value, result.Value);
}
}
public override int GetHashCode()
{
unchecked
{
var hash = 17;
hash = hash * 29 + RequestId != null?RequestId.GetHashCode() : 0;
hash = hash * 29 + Symbol.GetHashCode();
hash = hash * 29 + ExchangeId.GetHashCode();
hash = hash * 29 + SecurityType.GetHashCode();
hash = hash * 29 + (Last.HasValue ? Last.GetHashCode() : 0);
hash = hash * 29 + (TradeSize.HasValue ? TradeSize.GetHashCode() : 0);
hash = hash * 29 + (TradedMarket.HasValue ? TradedMarket.GetHashCode() : 0);
hash = hash * 29 + (TradeDate.HasValue ? TradeDate.GetHashCode() : 0);
hash = hash * 29 + (TradeTime.HasValue ? TradeTime.GetHashCode() : 0);
hash = hash * 29 + (Open.HasValue ? Open.GetHashCode() : 0);
hash = hash * 29 + (High.HasValue ? High.GetHashCode() : 0);
hash = hash * 29 + (Low.HasValue ? Low.GetHashCode() : 0);
hash = hash * 29 + (Close.HasValue ? Close.GetHashCode() : 0);
hash = hash * 29 + (Bid.HasValue ? Bid.GetHashCode() : 0);
hash = hash * 29 + (BidMarket.HasValue ? BidMarket.GetHashCode() : 0);
hash = hash * 29 + (BidSize.HasValue ? BidSize.GetHashCode() : 0);
hash = hash * 29 + (Ask.HasValue ? Ask.GetHashCode() : 0);
hash = hash * 29 + (AskMarket.HasValue ? AskMarket.GetHashCode() : 0);
hash = hash * 29 + (AskSize.HasValue ? AskSize.GetHashCode() : 0);
hash = hash * 29 + (Volume.HasValue ? Volume.GetHashCode() : 0);
hash = hash * 29 + (PDayVolume.HasValue ? PDayVolume.GetHashCode() : 0);
hash = hash * 29 + (UpVolume.HasValue ? UpVolume.GetHashCode() : 0);
hash = hash * 29 + (DownVolume.HasValue ? DownVolume.GetHashCode() : 0);
hash = hash * 29 + (NeutralVolume.HasValue ? NeutralVolume.GetHashCode() : 0);
hash = hash * 29 + (TradeCount.HasValue ? TradeCount.GetHashCode() : 0);
hash = hash * 29 + (UpTrades.HasValue ? UpTrades.GetHashCode() : 0);
hash = hash * 29 + (DownTrades.HasValue ? DownTrades.GetHashCode() : 0);
hash = hash * 29 + (NeutralTrades.HasValue ? NeutralTrades.GetHashCode() : 0);
hash = hash * 29 + (VWAP.HasValue ? VWAP.GetHashCode() : 0);
hash = hash * 29 + (MutualDiv.HasValue ? MutualDiv.GetHashCode() : 0);
hash = hash * 29 + (SevenDayYield.HasValue ? SevenDayYield.GetHashCode() : 0);
hash = hash * 29 + (OpenInterest.HasValue ? OpenInterest.GetHashCode() : 0);
hash = hash * 29 + (Settlement.HasValue ? Settlement.GetHashCode() : 0);
hash = hash * 29 + (SettlementDate.HasValue ? SettlementDate.GetHashCode() : 0);
hash = hash * 29 + (ExpirationDate.HasValue ? ExpirationDate.GetHashCode() : 0);
hash = hash * 29 + (Strike.HasValue ? Strike.GetHashCode() : 0);
return(hash);
}
}
/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a OI bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(Tick data)
{
OpenInterest working;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var currentLocalTime = _timeProvider.GetUtcNow().ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new OpenInterest(barStartTime, data.Symbol, data.Value);
working.EndTime = barStartTime + _barSize;
_queue.Enqueue(working);
}
else
{
working.Value = data.Value;
}
}
public void HandlesOpenInterestTicks([ValueSource(nameof(ResolutionCases))] Resolution resolution, [ValueSource(nameof(SymbolCases))] Symbol symbol)
{
// Arrange
var converter = new PandasConverter();
var tickType = TickType.OpenInterest;
var dataType = LeanData.GetDataType(resolution, tickType);
var subcriptionDataConfig = new SubscriptionDataConfig(dataType, symbol, resolution,
TimeZones.Chicago, TimeZones.Chicago,
tickType: tickType, fillForward: false,
extendedHours: true, isInternalFeed: true);
var openinterest = new List <OpenInterest>();
for (int i = 0; i < 10; i++)
{
var line = $"{1000 * i},{11 * i}";
var openInterestTicks = new OpenInterest(subcriptionDataConfig, symbol, line, new DateTime(2017, 10, 10));
openinterest.Add(openInterestTicks);
}
// Act
dynamic dataFrame = converter.GetDataFrame(openinterest);
//Assert
using (Py.GIL())
{
Assert.IsFalse(dataFrame.empty.AsManagedObject(typeof(bool)));
var subDataFrame = dataFrame.loc[symbol.Value];
Assert.IsFalse(subDataFrame.empty.AsManagedObject(typeof(bool)));
Assert.IsTrue(subDataFrame.get("openinterest") != null);
var count = subDataFrame.shape[0].AsManagedObject(typeof(int));
Assert.AreEqual(count, 10);
for (var i = 0; i < count; i++)
{
var index = subDataFrame.index[i];
var value = subDataFrame.loc[index].openinterest.AsManagedObject(typeof(decimal));
Assert.AreEqual(openinterest[i].Value, value);
}
}
}
public void StoreData_TargetToModify_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var sourceToShare = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
sourceToShare.StoreData(new[] { quote }, typeof(Tick));
var trade = new Tick(time, Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
sourceToShare.StoreData(new[] { trade }, typeof(Tick));
// Adding OpenInterest as Tick or OpenInterest should not matter
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
sourceToShare.StoreData(new[] { openInterest }, typeof(Tick)); // Add as Tick
sourceToShare.StoreData(new[] { openInterest }, typeof(OpenInterest)); // Add as OI
var targetToModify = new SecurityCache();
SecurityCache.ShareTypeCacheInstance(sourceToShare, targetToModify);
// Assert
Assert.IsTrue(targetToModify.HasData(typeof(Tick)));
Assert.True(targetToModify.GetData <Tick>().Equals(trade));
Assert.True(targetToModify.GetData <OpenInterest>().Equals(openInterest));
Assert.True(targetToModify.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(targetToModify.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a OI bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(Tick data)
{
OpenInterest working;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new OpenInterest(barStartTime, data.Symbol, data.Value);
working.EndTime = barStartTime + _barSize;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
working.Value = data.Value;
}
}
/// <summary>
/// Handle a new price update packet:
/// </summary>
private void OnLevel1SummaryUpdateEvent(object sender, Level1SummaryUpdateEventArgs e)
{
// if ticker is not found, unsubscribe
if (e.NotFound)
{
Unsubscribe(e.Symbol);
}
// only update if we have a value
if (e.Last == 0)
{
return;
}
// only accept trade and B/A updates
if (e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Trade &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Bid &&
e.TypeOfUpdate != Level1SummaryUpdateEventArgs.UpdateType.Ask)
{
return;
}
count++;
var time = FeedTime;
var last = (decimal)(e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.ExtendedTrade ? e.ExtendedTradingLast : e.Last);
var symbol = GetLeanSymbol(e.Symbol);
TickType tradeType;
switch (symbol.ID.SecurityType)
{
// the feed time is in NYC/EDT, convert it into EST
case SecurityType.Forex:
time = FeedTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
// TypeOfUpdate always equal to UpdateType.Trade for FXCM, but the message contains B/A and last data
tradeType = TickType.Quote;
break;
// for all other asset classes we leave it as is (NYC/EDT)
default:
time = FeedTime;
tradeType = e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.Bid ||
e.TypeOfUpdate == Level1SummaryUpdateEventArgs.UpdateType.Ask ?
TickType.Quote :
TickType.Trade;
break;
}
var tick = new Tick(time, symbol, last, (decimal)e.Bid, (decimal)e.Ask)
{
AskSize = e.AskSize,
BidSize = e.BidSize,
Quantity = e.IncrementalVolume,
TickType = tradeType,
DataType = MarketDataType.Tick
};
Emit(tick);
_prices[e.Symbol] = e.Last;
if (symbol.ID.SecurityType == SecurityType.Option || symbol.ID.SecurityType == SecurityType.Future)
{
if (!_openInterests.ContainsKey(e.Symbol) || _openInterests[e.Symbol] != e.OpenInterest)
{
var oi = new OpenInterest(time, symbol, e.OpenInterest);
Emit(oi);
_openInterests[e.Symbol] = e.OpenInterest;
}
}
}
public override int GetHashCode()
{
var hashCode = -1519320215;
hashCode = hashCode * -1521134295 + IsStarted.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(TickerID);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(Ticker);
hashCode = hashCode * -1521134295 + Type.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(FullName);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(Prefix);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(Currency);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(ISIN);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(Name);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(ShortName);
hashCode = hashCode * -1521134295 + EqualityComparer <string> .Default.GetHashCode(ChartName);
hashCode = hashCode * -1521134295 + Decimals.GetHashCode();
hashCode = hashCode * -1521134295 + ForgDecimals.GetHashCode();
hashCode = hashCode * -1521134295 + Open.GetHashCode();
hashCode = hashCode * -1521134295 + Close.GetHashCode();
hashCode = hashCode * -1521134295 + Last.GetHashCode();
hashCode = hashCode * -1521134295 + LastHTML.GetHashCode();
hashCode = hashCode * -1521134295 + LastSize.GetHashCode();
hashCode = hashCode * -1521134295 + LastTime.GetHashCode();
hashCode = hashCode * -1521134295 + LastHtmlTime.GetHashCode();
hashCode = hashCode * -1521134295 + Change.GetHashCode();
hashCode = hashCode * -1521134295 + ChangePercentage.GetHashCode();
hashCode = hashCode * -1521134295 + Min.GetHashCode();
hashCode = hashCode * -1521134295 + Max.GetHashCode();
hashCode = hashCode * -1521134295 + DealsCount.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <List <StockDeal> > .Default.GetHashCode(Deals);
hashCode = hashCode * -1521134295 + Traffic.GetHashCode();
hashCode = hashCode * -1521134295 + TrafficCount.GetHashCode();
hashCode = hashCode * -1521134295 + OpenInterest.GetHashCode();
hashCode = hashCode * -1521134295 + Status.GetHashCode();
hashCode = hashCode * -1521134295 + PanelJS.GetHashCode();
hashCode = hashCode * -1521134295 + ID.GetHashCode();
hashCode = hashCode * -1521134295 + RealTime.GetHashCode();
hashCode = hashCode * -1521134295 + Pe2000.GetHashCode();
hashCode = hashCode * -1521134295 + Pe2001.GetHashCode();
hashCode = hashCode * -1521134295 + CloseOneMonth.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <TimeSpan> .Default.GetHashCode(CloseOneMonthInterval);
hashCode = hashCode * -1521134295 + CloseThreeMonth.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <TimeSpan> .Default.GetHashCode(CloseThreeMonthInterval);
hashCode = hashCode * -1521134295 + CloseOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <TimeSpan> .Default.GetHashCode(CloseOneYearInterval);
hashCode = hashCode * -1521134295 + OneMonthVolatility.GetHashCode();
hashCode = hashCode * -1521134295 + ThreeMonthVolatility.GetHashCode();
hashCode = hashCode * -1521134295 + OneYearVolatility.GetHashCode();
hashCode = hashCode * -1521134295 + Eps2000.GetHashCode();
hashCode = hashCode * -1521134295 + Eps2001.GetHashCode();
hashCode = hashCode * -1521134295 + MinOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + MinOneYearAt.GetHashCode();
hashCode = hashCode * -1521134295 + MaxOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + MaxOneYearAt.GetHashCode();
hashCode = hashCode * -1521134295 + MinOfAllTime.GetHashCode();
hashCode = hashCode * -1521134295 + MinOfAllTimeAt.GetHashCode();
hashCode = hashCode * -1521134295 + MaxOfAllTime.GetHashCode();
hashCode = hashCode * -1521134295 + MaxOfAllTimeAt.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMinOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMinOneYearAt.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMaxOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMaxOneYearAt.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMinAllTime.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMinAllTimeAt.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMaxOfAllTime.GetHashCode();
hashCode = hashCode * -1521134295 + CloseMaxAllTimeAt.GetHashCode();
hashCode = hashCode * -1521134295 + TrafficAvgInSixMonth.GetHashCode();
hashCode = hashCode * -1521134295 + TrafficAvgInOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + StartCount.GetHashCode();
hashCode = hashCode * -1521134295 + Kapit.GetHashCode();
hashCode = hashCode * -1521134295 + BuxKapit.GetHashCode();
hashCode = hashCode * -1521134295 + ChangeInOneMonth.GetHashCode();
hashCode = hashCode * -1521134295 + ChangeInThreeMonth.GetHashCode();
hashCode = hashCode * -1521134295 + ChangeInOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + StartPrice.GetHashCode();
hashCode = hashCode * -1521134295 + MinInOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + MaxInOneYear.GetHashCode();
hashCode = hashCode * -1521134295 + EqualityComparer <ChartData> .Default.GetHashCode(ImageData);
return(hashCode);
}
protected override void Create() {
#if __BACKTEST
__cCloses = new List<double[]>(1024);
__cCloses.Add(new double[] {0, 0, 0, 0});
#endif
__cTWIBars = BarsOfData(3) as Instrument;
__cSymbolIds = new Dictionary<string, int>(32);
//讀取未平倉量
__cOpenInterest = new OpenInterest(this, 2);
__cOpenInterest.Initialize();
//讀取三大法人多空與未平倉量
__cForeignInvestment = new ForeignInvestment(this, 2);
__cForeignInvestment.Initialize();
//建立歷史波動率指標
__cHistoryV = new HistoryVolatility(this, 2);
//設定計時器(定期抓未平倉量)
__cTimer = new Timer(1000);
__cTimer.AutoReset = false;
__cTimer.Elapsed += Timer_onElapsed;
__cTimer.Start();
}
/// <summary>
/// Returns true if BookSummary instances are equal
/// </summary>
/// <param name="other">Instance of BookSummary to be compared</param>
/// <returns>Boolean</returns>
public bool Equals(BookSummary other)
{
if (other is null)
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return
((
UnderlyingIndex == other.UnderlyingIndex ||
UnderlyingIndex != null &&
UnderlyingIndex.Equals(other.UnderlyingIndex)
) &&
(
Volume == other.Volume ||
Volume != null &&
Volume.Equals(other.Volume)
) &&
(
VolumeUsd == other.VolumeUsd ||
VolumeUsd != null &&
VolumeUsd.Equals(other.VolumeUsd)
) &&
(
UnderlyingPrice == other.UnderlyingPrice ||
UnderlyingPrice != null &&
UnderlyingPrice.Equals(other.UnderlyingPrice)
) &&
(
BidPrice == other.BidPrice ||
BidPrice != null &&
BidPrice.Equals(other.BidPrice)
) &&
(
OpenInterest == other.OpenInterest ||
OpenInterest != null &&
OpenInterest.Equals(other.OpenInterest)
) &&
(
QuoteCurrency == other.QuoteCurrency ||
QuoteCurrency != null &&
QuoteCurrency.Equals(other.QuoteCurrency)
) &&
(
High == other.High ||
High != null &&
High.Equals(other.High)
) &&
(
EstimatedDeliveryPrice == other.EstimatedDeliveryPrice ||
EstimatedDeliveryPrice != null &&
EstimatedDeliveryPrice.Equals(other.EstimatedDeliveryPrice)
) &&
(
Last == other.Last ||
Last != null &&
Last.Equals(other.Last)
) &&
(
MidPrice == other.MidPrice ||
MidPrice != null &&
MidPrice.Equals(other.MidPrice)
) &&
(
InterestRate == other.InterestRate ||
InterestRate != null &&
InterestRate.Equals(other.InterestRate)
) &&
(
Funding8h == other.Funding8h ||
Funding8h != null &&
Funding8h.Equals(other.Funding8h)
) &&
(
MarkPrice == other.MarkPrice ||
MarkPrice != null &&
MarkPrice.Equals(other.MarkPrice)
) &&
(
AskPrice == other.AskPrice ||
AskPrice != null &&
AskPrice.Equals(other.AskPrice)
) &&
(
InstrumentName == other.InstrumentName ||
InstrumentName != null &&
InstrumentName.Equals(other.InstrumentName)
) &&
(
Low == other.Low ||
Low != null &&
Low.Equals(other.Low)
) &&
(
BaseCurrency == other.BaseCurrency ||
BaseCurrency != null &&
BaseCurrency.Equals(other.BaseCurrency)
) &&
(
CreationTimestamp == other.CreationTimestamp ||
CreationTimestamp != null &&
CreationTimestamp.Equals(other.CreationTimestamp)
) &&
(
CurrentFunding == other.CurrentFunding ||
CurrentFunding != null &&
CurrentFunding.Equals(other.CurrentFunding)
));
}
/// <summary>
/// Gets the hash code
/// </summary>
/// <returns>Hash code</returns>
public override int GetHashCode()
{
unchecked // Overflow is fine, just wrap
{
var hashCode = 41;
// Suitable nullity checks etc, of course :)
if (UnderlyingIndex != null)
{
hashCode = hashCode * 59 + UnderlyingIndex.GetHashCode();
}
if (Volume != null)
{
hashCode = hashCode * 59 + Volume.GetHashCode();
}
if (VolumeUsd != null)
{
hashCode = hashCode * 59 + VolumeUsd.GetHashCode();
}
if (UnderlyingPrice != null)
{
hashCode = hashCode * 59 + UnderlyingPrice.GetHashCode();
}
if (BidPrice != null)
{
hashCode = hashCode * 59 + BidPrice.GetHashCode();
}
if (OpenInterest != null)
{
hashCode = hashCode * 59 + OpenInterest.GetHashCode();
}
if (QuoteCurrency != null)
{
hashCode = hashCode * 59 + QuoteCurrency.GetHashCode();
}
if (High != null)
{
hashCode = hashCode * 59 + High.GetHashCode();
}
if (EstimatedDeliveryPrice != null)
{
hashCode = hashCode * 59 + EstimatedDeliveryPrice.GetHashCode();
}
if (Last != null)
{
hashCode = hashCode * 59 + Last.GetHashCode();
}
if (MidPrice != null)
{
hashCode = hashCode * 59 + MidPrice.GetHashCode();
}
if (InterestRate != null)
{
hashCode = hashCode * 59 + InterestRate.GetHashCode();
}
if (Funding8h != null)
{
hashCode = hashCode * 59 + Funding8h.GetHashCode();
}
if (MarkPrice != null)
{
hashCode = hashCode * 59 + MarkPrice.GetHashCode();
}
if (AskPrice != null)
{
hashCode = hashCode * 59 + AskPrice.GetHashCode();
}
if (InstrumentName != null)
{
hashCode = hashCode * 59 + InstrumentName.GetHashCode();
}
if (Low != null)
{
hashCode = hashCode * 59 + Low.GetHashCode();
}
if (BaseCurrency != null)
{
hashCode = hashCode * 59 + BaseCurrency.GetHashCode();
}
if (CreationTimestamp != null)
{
hashCode = hashCode * 59 + CreationTimestamp.GetHashCode();
}
if (CurrentFunding != null)
{
hashCode = hashCode * 59 + CurrentFunding.GetHashCode();
}
return(hashCode);
}
}
protected override void OnBarUpdate()
{
DateTime dtBegin = DateTime.MaxValue;
switch (IntervalType)
{
case EnumIntervalType.Sec:
dtBegin = MinBar.D.Date.AddHours(MinBar.D.Hour).AddMinutes(MinBar.D.Minute).AddSeconds(MinBar.D.Second / Interval * Interval);
break;
case EnumIntervalType.Min:
dtBegin = MinBar.D.Date.AddHours(MinBar.D.Hour).AddMinutes(MinBar.D.Minute / Interval * Interval);
break;
case EnumIntervalType.Hour:
dtBegin = MinBar.D.Date.AddHours(MinBar.D.Hour / Interval * Interval);
break;
case EnumIntervalType.Day:
dtBegin = DateTime.ParseExact(MinBar.TradingDay.ToString(), "yyyyMMdd", null);
break;
case EnumIntervalType.Week:
dtBegin = DateTime.ParseExact(MinBar.TradingDay.ToString(), "yyyyMMdd", null);
dtBegin = dtBegin.Date.AddDays(1 - (byte)dtBegin.DayOfWeek);
break;
case EnumIntervalType.Month:
dtBegin = DateTime.ParseExact(MinBar.TradingDay.ToString(), "yyyyMMdd", null);
dtBegin = new DateTime(dtBegin.Year, dtBegin.Month, 1);
break;
case EnumIntervalType.Year:
dtBegin = DateTime.ParseExact(MinBar.TradingDay.ToString(), "yyyyMMdd", null);
dtBegin = new DateTime(dtBegin.Year, 1, 1);
break;
default:
throw new Exception("参数错误");
}
if (bar == null) //首次调用
{
bar = new Bar
{
D = dtBegin,
I = MinBar.I,
V = MinBar.V, // kOld.preVol == 0 ? 0 : _tick.Volume - kOld.preVol;
};
bar.H = MinBar.H;
bar.L = MinBar.L;
bar.O = MinBar.O;
bar.C = MinBar.C;
newbar = true;
}
else
{
if (bar.D == dtBegin) //在当前K线范围内
{
newbar = false;
bar.H = Math.Max(bar.H, MinBar.H);
bar.L = Math.Min(bar.L, MinBar.L);
bar.C = MinBar.C;
bar.V = bar.V + MinBar.V;
bar.I = MinBar.I;
}
else if (dtBegin > bar.D)
{
newbar = true;
bar.D = dtBegin;
bar.V = MinBar.V;
bar.I = MinBar.I;
bar.O = MinBar.O;
bar.H = MinBar.H;
bar.L = MinBar.L;
bar.C = MinBar.C;
}
}
if (newbar)
{
Date.Add(double.Parse(bar.D.ToString("yyyyMMdd")));
Time.Add(double.Parse(bar.D.ToString("0.HHmmss")));
Open.Add(bar.O);
High.Add(bar.H);
Low.Add(bar.L);
Close.Add(bar.C);
Volume.Add(bar.V);
OpenInterest.Add(bar.I);
}
else
{
High[0] = bar.H;
Low[0] = bar.L;
Close[0] = bar.C;
Volume[0] = bar.V;
OpenInterest[0] = bar.I;
}
}
protected override void Create() {
__cOpenInterest = new OpenInterest(this);
__cOpenInterest.Initialize();
}
public override int GetHashCode()
{
int hash = 1;
if (TradingDay.Length != 0)
{
hash ^= TradingDay.GetHashCode();
}
if (InstrumentId.Length != 0)
{
hash ^= InstrumentId.GetHashCode();
}
if (ExchangeId.Length != 0)
{
hash ^= ExchangeId.GetHashCode();
}
if (LastPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(LastPrice);
}
if (PreSettlementPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(PreSettlementPrice);
}
if (PreClosePrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(PreClosePrice);
}
if (PreOpenInterest != 0)
{
hash ^= PreOpenInterest.GetHashCode();
}
if (OpenPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(OpenPrice);
}
if (HighestPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(HighestPrice);
}
if (LowestPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(LowestPrice);
}
if (Volume != 0)
{
hash ^= Volume.GetHashCode();
}
if (TurnOver != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(TurnOver);
}
if (OpenInterest != 0)
{
hash ^= OpenInterest.GetHashCode();
}
if (ClosePrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(ClosePrice);
}
if (SettlementPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(SettlementPrice);
}
if (UpperLimitPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(UpperLimitPrice);
}
if (LowerLimitPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(LowerLimitPrice);
}
if (UpdateTime.Length != 0)
{
hash ^= UpdateTime.GetHashCode();
}
if (UpdateMillisec != 0)
{
hash ^= UpdateMillisec.GetHashCode();
}
if (AveragePrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(AveragePrice);
}
if (ActionDay.Length != 0)
{
hash ^= ActionDay.GetHashCode();
}
if (BidPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(BidPrice);
}
if (BidVolume != 0)
{
hash ^= BidVolume.GetHashCode();
}
if (AskPrice != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(AskPrice);
}
if (AskVolume != 0)
{
hash ^= AskVolume.GetHashCode();
}
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}