protected void Start(StrategyMode mode)
{
if (this.StartRequested != null)
{
this.StartRequested(mode, EventArgs.Empty);
}
}
protected void Start(StrategyMode mode)
{
if (this.StartRequested != null)
{
this.StartRequested(mode, EventArgs.Empty);
}
}
protected void AddOrUpdateValueRules(IEnumerable <CorrectValueRule> rules, StrategyMode mode)
{
lock (_valueRuleLockObj)
{
if (mode == StrategyMode.OverallOverwrite)
{
_correctValueRules.Clear();
}
foreach (var rule in rules)
{
var target = _correctValueRules.FirstOrDefault(r => r.Name == rule.Name);
if (target is null)
{
// If the value of StrategyMode is OverallOverwrite,
// this branch must be entered.
_correctValueRules.Add(rule);
}
else if (mode == StrategyMode.ItemOverwrite)
{
_correctValueRules.Remove(target);
_correctValueRules.Add(rule);
}
else if (mode == StrategyMode.Append)
{
target.Merge(rule);
}
}
}
}
public LoggerFactory(StrategyMode strategyMode, string logConfigFileName, RollingInterval rollingInterval)
{
var config = ReadConfig(GetConfigPath(), logConfigFileName);
this._logConfig = JsonConvert.DeserializeObject <LogConfiguration>(config);
this._logPath = GetLogPath(strategyMode, this._logConfig);
this._rollingInterval = rollingInterval;
}
public ILeoValidationContext SetStrategy <TStrategy>(StrategyMode mode = StrategyMode.OverallOverwrite)
where TStrategy : class, ILeoValidationStrategy, new()
{
var rel = (ICorrectStrategy) new TStrategy();
AddOrUpdateValueRules(rel.GetValueRuleBuilders().Select(builder => builder.Build()), mode);
return(this);
}
/// <summary>
/// Starts the solution associated with the scenario in the specific mode
/// </summary>
/// <param name="mode">Mode.</param>
protected void Start(StrategyMode mode)
{
if (this.StartRequested == null)
{
return;
}
this.StartRequested((object)mode, EventArgs.Empty);
}
public IFluentValidationRegistrar AndForStrategy <TStrategy, T>(string name, StrategyMode mode = StrategyMode.OverallOverwrite)
where TStrategy : class, IValidationStrategy <T>, new()
{
//step 1: build this register
BuildMySelf();
//step 2: create a new register
return(_parentRegistrar.AndForStrategy <TStrategy, T>(name, mode));
}
public IValidationEntry SetStrategy <TStrategy>(TStrategy strategy, StrategyMode mode = StrategyMode.OverallOverwrite) where TStrategy : class, IValidationStrategy, new()
{
if (strategy is null)
{
throw new ArgumentNullException(nameof(strategy));
}
CorrectRuleChain.RegisterStrategy(strategy, mode);
_needToBuild = true;
return(this);
}
public void StartStrategy(StrategyMode mode)
{
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy " + mode);
this.framework.strategyManager.StartStrategy(this.strategy, mode);
while (this.strategy.Status != StrategyStatus.Stopped)
{
Thread.Sleep(10);
}
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy Done");
}
public void Start(Strategy strategy, StrategyMode mode)
{
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy {strategy.Name} in {mode}");
this.framework.ExperimentalStrategyManager.Start(strategy, mode);
while (this.framework.ExperimentalStrategyManager.Status != StrategyStatus.Stopped)
{
Thread.Sleep(10);
}
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy Done");
}
public LoggerFactory(StrategyMode strategyMode, LogConfiguration logConfig, RollingInterval rollingInterval, string identifierPlaceHolder, string searchStringTemplate, List <string> indentifierValues)
{
this._logConfig = logConfig;
this._logPath = GetLogPath(strategyMode, logConfig);
this._rollingInterval = rollingInterval;
this._identifierPlaceHolder = identifierPlaceHolder;
this._searchStringTemplate = searchStringTemplate;
this._indentifierValues = indentifierValues;
}
public IFluentValidationRegistrar AndForStrategy <TStrategy>(StrategyMode mode = StrategyMode.OverallOverwrite)
where TStrategy : class, IValidationStrategy, new()
{
//step 1: build this register
BuildMySelf();
//step 2: create a new register
_parentRegistrar.ForStrategy <TStrategy>(mode);
return(this);
}
public LoggerFactory(StrategyMode strategyMode, string logConfigFileName, RollingInterval rollingInterval, string identifierPlaceHolder, string searchStringTemplate, List <string> indentifierValues)
{
var config = ReadConfig(GetConfigPath(), logConfigFileName);
this._logConfig = JsonConvert.DeserializeObject <LogConfiguration>(config);
this._logPath = GetLogPath(strategyMode, this._logConfig);
this._rollingInterval = rollingInterval;
this._identifierPlaceHolder = identifierPlaceHolder;
this._searchStringTemplate = searchStringTemplate;
this._indentifierValues = indentifierValues;
}
public ILeoValidationContext SetStrategy <TStrategy>(TStrategy strategy, StrategyMode mode = StrategyMode.OverallOverwrite)
where TStrategy : class, ILeoValidationStrategy, new()
{
if (strategy is null)
{
throw new ArgumentNullException(nameof(strategy));
}
var rel = (ICorrectStrategy)strategy;
AddOrUpdateValueRules(rel.GetValueRuleBuilders().Select(builder => builder.Build()), mode);
return(this);
}
private void StartStrategy(Strategy strategy, StrategyMode mode)
{
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy {mode}");
this.framework.StrategyManager.StartStrategy(strategy, mode);
// Wait for completion
while (strategy.Status != StrategyStatus.Stopped)
{
Thread.Sleep(10);
}
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy Done");
}
private void OnStrategyModeChanged(object sender, EventArgs e)
{
var combo = sender as ComboBox;
TreeIter iter;
if (!combo.GetActiveIter(out iter))
{
return;
}
string val = (string)combo.Model.GetValue(iter, 0);
StrategyMode mode = StrategyMode.Backtest;
if (val == "Paper")
{
mode = StrategyMode.Paper;
}
else if (val == "Live")
{
mode = StrategyMode.Live;
}
var f = Framework.Current;
if (f.StrategyManager.Mode == mode)
{
return;
}
if (f.Mode == FrameworkMode.Simulation)
{
if (mode != StrategyMode.Backtest)
{
Console.WriteLine(string.Format("{0} Framework::Clear Mode changed", DateTime.Now));
f.Clear();
}
}
else if (mode == StrategyMode.Backtest)
{
Console.WriteLine(string.Format("{0} Framework::Clear Mode changed", DateTime.Now));
f.Clear();
}
f.StrategyManager.Mode = mode;
}
public void Start(Strategy strategy, StrategyMode mode)
{
if (this.Status != StrategyStatus.Running)
{
this.strategy__0 = strategy;
this.Mode = mode;
this.method_39(StrategyStatusType.Started);
this.method_40();
if (this.Persistence != StrategyPersistence.Full)
{
if (this.Persistence != StrategyPersistence.Save)
{
this.framework.orderManager_0.bool_0 = false;
goto IL_74;
}
}
this.framework.orderServer_0.SeriesName = strategy.Name;
this.framework.orderManager_0.bool_0 = true;
IL_74:
if (this.Persistence == StrategyPersistence.Full || this.Persistence == StrategyPersistence.Load)
{
this.framework.portfolioManager_0.Load(strategy.Name);
this.framework.orderManager_0.Load(strategy.Name, -1);
}
this.Status = StrategyStatus.Running;
if (mode == StrategyMode.Backtest && !this.framework.bool_6)
{
this.framework.providerManager_0.idataSimulator_0.RunOnSubscribe = false;
}
strategy.icojrGfcqNm();
if ((this.Persistence == StrategyPersistence.Full || this.Persistence == StrategyPersistence.Save) && !strategy.Portfolio.iEcAijqtwI)
{
this.framework.portfolioManager_0.Save(strategy.Portfolio);
}
strategy.vmethod_0(mode);
if (mode == StrategyMode.Backtest && !this.framework.bool_6)
{
this.framework.providerManager_0.idataSimulator_0.Run();
this.framework.providerManager_0.idataSimulator_0.RunOnSubscribe = true;
}
}
}
public override void Run()
{
StrategyMode sm = StrategyMode.Backtest;
bool isTest = false;
if (isTest)
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new Strategy_BB(framework, "BollingerBands");
sm = StrategyMode.Backtest;
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
}
else
{
IDataProvider dataProvider = null;
IExecutionProvider executionProvider = null;
OQFunc.UserInputProviderId(out dataProvider, out executionProvider, this.ProviderManager);
Instrument instrument3 = OQFunc.UserInputInstrument(this.InstrumentManager);
strategy = new Strategy_BB(framework, "BollingerBands");
sm = StrategyMode.Live;
strategy.DataProvider = dataProvider;
strategy.ExecutionProvider = executionProvider;
strategy.AddInstrument(instrument3);
}
StartStrategy(sm);
}
/// <summary>
/// Use a strategy <br />
/// 使用一条策略
/// </summary>
/// <param name="strategy"></param>
/// <param name="name"></param>
/// <param name="mode"></param>
public void ForStrategy(IValidationStrategy strategy, string name, StrategyMode mode = StrategyMode.OverallOverwrite)
{
Registrar.ForStrategy(strategy, name, mode).TakeEffect();
}
public IFluentValidationRegistrar AndForStrategy(IValidationStrategy strategy, string name, StrategyMode mode = StrategyMode.OverallOverwrite)
{
//step 1: build this register
BuildMySelf();
//step 2: create a new register
return(_parentRegistrar.AndForStrategy(strategy, name, mode));
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
lock (this)
{
this.subscriptions.Clear();
Strategy = strategy;
Mode = mode;
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.Clock.DateTime = this.framework.ProviderManager.DataSimulator.DateTime1;
this.framework.ExchangeClock.DateTime = DateTime.MinValue;
}
if (this.framework.EventManager.Status != EventManagerStatus.Running)
this.framework.EventManager.Start();
SetStatusType(StrategyStatusType.Started);
if (Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Load)
{
this.framework.PortfolioManager.Load(strategy.Name);
this.framework.OrderManager.Load(strategy.Name, -1);
this.framework.OrderServer.SeriesName = strategy.Name;
this.framework.OrderManager.IsPersistent = true;
}
else
{
this.framework.OrderManager.IsPersistent = false;
}
strategy.Init();
if ((Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Save) && !strategy.Portfolio.IsLoaded)
this.framework.PortfolioManager.Save(strategy.Portfolio);
strategy.EmitStrategyStart();
if (!this.framework.IsExternalDataQueue)
{
var dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.subscriptions.Count != 0)
{
var dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.subscriptions);
this.subscriptions.Clear();
foreach (var current in dictionary2)
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy)
{
this.framework.SubscriptionManager?.Subscribe(current.Key, instrumentList2);
}
}
}
SetParametersGroup();
Status = StrategyStatus.Running;
this.subscriptions = dictionary;
if (this.subscriptions.Count == 0 && mode == StrategyMode.Backtest)
{
Console.WriteLine($"{DateTime.Now } StrategyManager::StartStrategy {strategy.Name} has no data requests in backtest mode, stopping...");
StopStrategy();
}
else
{
foreach (var current3 in this.subscriptions)
{
if (!(current3.Key is SellSideStrategy))
this.framework.SubscriptionManager?.Subscribe(current3.Key, current3.Value);
}
if (mode != StrategyMode.Backtest)
strategy.FundamentalProvider?.Connect();
}
}
else
{
SetParametersGroup();
Status = StrategyStatus.Running;
}
}
}
public void Start(Strategy strategy, StrategyMode mode)
{
if (this.Status != StrategyStatus.Running)
{
this.strategy__0 = strategy;
this.Mode = mode;
this.method_39(StrategyStatusType.Started);
this.method_40();
if (this.Persistence != StrategyPersistence.Full)
{
if (this.Persistence != StrategyPersistence.Save)
{
this.framework.orderManager_0.bool_0 = false;
goto IL_74;
}
}
this.framework.orderServer_0.SeriesName = strategy.Name;
this.framework.orderManager_0.bool_0 = true;
IL_74:
if (this.Persistence == StrategyPersistence.Full || this.Persistence == StrategyPersistence.Load)
{
this.framework.portfolioManager_0.Load(strategy.Name);
this.framework.orderManager_0.Load(strategy.Name, -1);
}
this.Status = StrategyStatus.Running;
if (mode == StrategyMode.Backtest && !this.framework.bool_6)
{
this.framework.providerManager_0.idataSimulator_0.RunOnSubscribe = false;
}
strategy.icojrGfcqNm();
if ((this.Persistence == StrategyPersistence.Full || this.Persistence == StrategyPersistence.Save) && !strategy.Portfolio.iEcAijqtwI)
{
this.framework.portfolioManager_0.Save(strategy.Portfolio);
}
strategy.vmethod_0(mode);
if (mode == StrategyMode.Backtest && !this.framework.bool_6)
{
this.framework.providerManager_0.idataSimulator_0.Run();
this.framework.providerManager_0.idataSimulator_0.RunOnSubscribe = true;
}
}
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
lock (this)
{
this.subscriptions.Clear();
Strategy = strategy;
Mode = mode;
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.Clock.DateTime = this.framework.ProviderManager.DataSimulator.DateTime1;
this.framework.ExchangeClock.DateTime = DateTime.MinValue;
}
if (this.framework.EventManager.Status != EventManagerStatus.Running)
{
this.framework.EventManager.Start();
}
SetStatusType(StrategyStatusType.Started);
if (Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Load)
{
this.framework.PortfolioManager.Load(strategy.Name);
this.framework.OrderManager.Load(strategy.Name, -1);
this.framework.OrderServer.SeriesName = strategy.Name;
this.framework.OrderManager.IsPersistent = true;
}
else
{
this.framework.OrderManager.IsPersistent = false;
}
strategy.Init();
if ((Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Save) && !strategy.Portfolio.IsLoaded)
{
this.framework.PortfolioManager.Save(strategy.Portfolio);
}
strategy.EmitStrategyStart();
if (!this.framework.IsExternalDataQueue)
{
var dictionary = new Dictionary <IDataProvider, InstrumentList>();
while (this.subscriptions.Count != 0)
{
var dictionary2 = new Dictionary <IDataProvider, InstrumentList>(this.subscriptions);
this.subscriptions.Clear();
foreach (var current in dictionary2)
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy)
{
this.framework.SubscriptionManager?.Subscribe(current.Key, instrumentList2);
}
}
}
SetParametersGroup();
Status = StrategyStatus.Running;
this.subscriptions = dictionary;
if (this.subscriptions.Count == 0 && mode == StrategyMode.Backtest)
{
Console.WriteLine($"{DateTime.Now } StrategyManager::StartStrategy {strategy.Name} has no data requests in backtest mode, stopping...");
StopStrategy();
}
else
{
foreach (var current3 in this.subscriptions)
{
if (!(current3.Key is SellSideStrategy))
{
this.framework.SubscriptionManager?.Subscribe(current3.Key, current3.Value);
}
}
if (mode != StrategyMode.Backtest)
{
strategy.FundamentalProvider?.Connect();
}
}
}
else
{
SetParametersGroup();
Status = StrategyStatus.Running;
}
}
}
private string GetLogPath(StrategyMode strategyMode, LogConfiguration logConfig)
{
var logFile = strategyMode == StrategyMode.Live ? logConfig.LiveTradingLogFile :logConfig.BacktestLogFile;
return(Path.Combine(logConfig.Path, logFile));
}
/// <summary>
/// Use a strategy <br />
/// 使用一条策略
/// </summary>
/// <param name="name"></param>
/// <param name="mode"></param>
/// <typeparam name="TStrategy"></typeparam>
/// <typeparam name="T"></typeparam>
public void ForStrategy <TStrategy, T>(string name, StrategyMode mode = StrategyMode.OverallOverwrite) where TStrategy : class, IValidationStrategy <T>, new()
{
Registrar.ForStrategy <TStrategy, T>(name, mode).TakeEffect();
}
/// <summary>
/// Use a strategy <br />
/// 使用一条策略
/// </summary>
/// <param name="strategy"></param>
/// <param name="mode"></param>
/// <typeparam name="T"></typeparam>
public void ForStrategy <T>(IValidationStrategy <T> strategy, StrategyMode mode = StrategyMode.OverallOverwrite)
{
Registrar.ForStrategy(strategy, mode).TakeEffect();
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
this.strategy = strategy;
if (mode == StrategyMode.Backtest)
{
this.framework.Mode = FrameworkMode.Simulation;
}
else
{
this.framework.Mode = FrameworkMode.Realtime;
}
if (this.framework.eventManager.status != EventManagerStatus.Running)
{
this.framework.eventManager.Start();
}
StrategyStatusInfo strategyStatusInfo = new StrategyStatusInfo(this.framework.clock.DateTime, StrategyStatusType.Started);
strategyStatusInfo.Solution = ((strategy.Name == null) ? "Solution" : strategy.Name);
strategyStatusInfo.Mode = mode.ToString();
this.framework.eventServer.OnLog(new GroupEvent(strategyStatusInfo, null));
strategy.OnStrategyStart_();
if (!this.framework.IsExternalDataQueue)
{
Dictionary <IDataProvider, InstrumentList> dictionary = new Dictionary <IDataProvider, InstrumentList>();
while (this.requests.Count != 0)
{
Dictionary <IDataProvider, InstrumentList> dictionary2 = new Dictionary <IDataProvider, InstrumentList>(this.requests);
this.requests.Clear();
foreach (KeyValuePair <IDataProvider, InstrumentList> current in new Dictionary <IDataProvider, InstrumentList>(dictionary2))
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current.Key, instrumentList2);
}
}
}
this.status = StrategyStatus.Running;
this.requests = dictionary;
if (this.requests.Count == 0)
{
Console.WriteLine(string.Concat(new object[]
{
DateTime.Now,
" StrategyManager::StartStrategy ",
strategy.Name,
" has no data requests, stopping..."
}));
this.StopStrategy();
return;
}
foreach (KeyValuePair <IDataProvider, InstrumentList> current3 in this.requests)
{
if (!(current3.Key is SellSideStrategy) && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current3.Key, current3.Value);
}
}
}
}
/// <summary>
/// Starts the solution associated with the scenario in the specific mode
/// </summary>
/// <param name="mode">Mode.</param>
protected void Start(StrategyMode mode)
{
if (this.StartRequested == null)
return;
this.StartRequested((object)mode, EventArgs.Empty);
}
internal virtual void vmethod_0(StrategyMode mode)
{
this.Status = StrategyStatus.Running;
this.Mode = mode;
this.method_9();
if (this.IsInstance)
{
this.OnStrategyStart();
}
for (int i = 0; i < this.Strategies.Count; i++)
{
this.Strategies[i].vmethod_0(mode);
}
}
public IFluentValidationRegistrar AndForStrategy <TType>(IValidationStrategy <TType> strategy, string name, StrategyMode mode = StrategyMode.OverallOverwrite)
{
return(WithMessage(string.Empty).AndForStrategy(strategy, name, mode));
}
public void StartStrategy(StrategyMode mode) => StartStrategy(Strategy, mode);
public void StartStrategy(StrategyMode mode)
{
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy " + mode);
this.framework.strategyManager.StartStrategy(this.strategy, mode);
while (this.strategy.Status != StrategyStatus.Stopped)
{
Thread.Sleep(10);
}
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy Done");
}
/// <summary>
/// Use a strategy <br />
/// 使用一条策略
/// </summary>
/// <param name="mode"></param>
/// <typeparam name="TStrategy"></typeparam>
public void ForStrategy <TStrategy>(StrategyMode mode = StrategyMode.OverallOverwrite) where TStrategy : class, IValidationStrategy, new()
{
Registrar.ForStrategy <TStrategy>(mode).TakeEffect();
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
this.strategy = strategy;
if (mode == StrategyMode.Backtest)
{
this.framework.Mode = FrameworkMode.Simulation;
}
else
{
this.framework.Mode = FrameworkMode.Realtime;
}
if (this.framework.eventManager.status != EventManagerStatus.Running)
{
this.framework.eventManager.Start();
}
StrategyStatusInfo strategyStatusInfo = new StrategyStatusInfo(this.framework.clock.DateTime, StrategyStatusType.Started);
strategyStatusInfo.Solution = ((strategy.Name == null) ? "Solution" : strategy.Name);
strategyStatusInfo.Mode = mode.ToString();
this.framework.eventServer.OnLog(new GroupEvent(strategyStatusInfo, null));
strategy.OnStrategyStart_();
if (!this.framework.IsExternalDataQueue)
{
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.requests.Count != 0)
{
Dictionary<IDataProvider, InstrumentList> dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.requests);
this.requests.Clear();
foreach (KeyValuePair<IDataProvider, InstrumentList> current in new Dictionary<IDataProvider, InstrumentList>(dictionary2))
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current.Key, instrumentList2);
}
}
}
this.status = StrategyStatus.Running;
this.requests = dictionary;
if (this.requests.Count == 0)
{
Console.WriteLine(string.Concat(new object[]
{
DateTime.Now,
" StrategyManager::StartStrategy ",
strategy.Name,
" has no data requests, stopping..."
}));
this.StopStrategy();
return;
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in this.requests)
{
if (!(current3.Key is SellSideStrategy) && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current3.Key, current3.Value);
}
}
}
}
private void StartStrategy(Strategy strategy, StrategyMode mode)
{
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy {mode}");
this.framework.StrategyManager.StartStrategy(strategy, mode);
// Wait for completion
while (strategy.Status != StrategyStatus.Stopped)
Thread.Sleep(10);
Console.WriteLine($"{DateTime.Now} Scenario::StartStrategy Done");
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["IF1612"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
DoubleMA_Crossover smaCrossoverLOS = new DoubleMA_Crossover(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// 开始时间是前一个交易日，这个地方要按自己策略的实际情况进行调整
DateTime startDate = DateTime.Now.DayOfWeek == DayOfWeek.Monday ? DateTime.Now.AddDays(-3).Date : DateTime.Now.AddDays(-1).Date;
DateTime historicalData1EndTime = startDate;
// 取本地的数据的最后时间
DataSeries ins1DataSeries = framework.DataManager.GetDataSeries(ins1, DataObjectType.Trade);
if (ins1DataSeries != null && ins1DataSeries.Count > 0)
{
historicalData1EndTime = ins1DataSeries.DateTime2;
}
// 以两个时间的最大值为起点
historicalData1EndTime = new DateTime(Math.Max(historicalData1EndTime.Ticks, startDate.Ticks));
// Load and save historical trades from QuantBase provider.
IHistoricalDataProvider quantBase = framework.ProviderManager.GetHistoricalDataProvider(94);
if (quantBase.Status == ProviderStatus.Disconnected)
{
quantBase.Connect();
}
// 等待连接成功，订阅太快了不行
while (!quantBase.IsConnected)
{
Thread.Sleep(1000);
}
// Load historical trades.
Console.WriteLine("Load historical data.");
TickSeries ins1TickSeries = framework.DataManager.GetHistoricalTrades(quantBase, ins1, historicalData1EndTime, DateTime.Now);
Console.WriteLine("Save historical data.");
// Save historical trades.
foreach (Trade trade in ins1TickSeries)
{
framework.DataManager.Save(ins1, trade);
}
// Set DataSimulator's dates.
DataSimulator.DateTime1 = startDate;
DataSimulator.DateTime2 = DateTime.Now;
// Set null for event filter.
framework.EventManager.Filter = null;
// Set property for suspend trading during simulation.
DoubleMA_Crossover.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
// Run in simulation.
Console.WriteLine("Run in Backtest mode.");
// Save current strategy mode.
StrategyMode mode = framework.StrategyManager.Mode;
// Set backtest mode.
framework.StrategyManager.Mode = StrategyMode.Backtest;
StartStrategy(StrategyMode.Backtest);
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
// Restore strategy mode.
framework.StrategyManager.Mode = mode;
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
// Set property for trading.
DoubleMA_Crossover.SuspendTrading = false;
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
StartStrategy(framework.StrategyManager.Mode);
}
public LoggerFactory(StrategyMode strategyMode, LogConfiguration logConfig, RollingInterval rollingInterval)
{
this._logConfig = logConfig;
this._logPath = GetLogPath(strategyMode, logConfig);
this._rollingInterval = rollingInterval;
}
public IFluentValidationRegistrar AndForStrategy <TStrategy, TType>(string name, StrategyMode mode = StrategyMode.OverallOverwrite)
where TStrategy : class, IValidationStrategy <TType>, new()
{
return(WithMessage(string.Empty).AndForStrategy <TStrategy, TType>(name, mode));
}
public void StartStrategy(StrategyMode mode) => StartStrategy(Strategy, mode);
