/// <summary>
/// Converts instance execution status to SolidColorBrush for indication of status
/// </summary>
/// <param name="value">StrategyStatus</param>
/// <param name="targetType">not used</param>
/// <param name="parameter">not used</param>
/// <param name="culture">not used</param>
/// <returns>System.Windows.Media.SolidColorBrush</returns>
public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture)
{
if (value != null && value != DependencyProperty.UnsetValue)
{
StrategyStatus status = (StrategyStatus)value;
// Return certain brush depending on StrategyStatus
if (status.Equals(StrategyStatus.Executed))
{
return(Application.Current.Resources["BlueBrush"]);
}
else if (status.Equals(StrategyStatus.Executing))
{
return(Application.Current.Resources["GreenBrush"]);
}
else if (status.Equals(StrategyStatus.Stopped))
{
return(Application.Current.Resources["RedBrush"]);
}
else if (status.Equals(StrategyStatus.Initializing))
{
return(Application.Current.Resources["OrangeBrush"]);
}
else if (status.Equals(StrategyStatus.None))
{
return(Application.Current.Resources["GrayBrush"]);
}
}
// Initial state is None, so the color is Gray
return(Application.Current.Resources["GrayBrush"]);
}
public IStrategy[] Tick()
{
var tickerResult = ticker.Tick();
Status = tickerResult.Status;
return(tickerResult.Strategies);
}
private void StopStrategy()
{
Console.WriteLine(DateTime.Now + " StrategyManager::StopStrategy " + this.strategy.Name);
if (!this.framework.IsExternalDataQueue)
{
foreach (KeyValuePair <IDataProvider, InstrumentList> current in new Dictionary <IDataProvider, InstrumentList>(this.requests))
{
if (this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Unsubscribe(current.Key, current.Value);
}
}
}
if (this.strategy.status == StrategyStatus.Stopped)
{
Console.WriteLine("StrategyManager::Stop Error: Can not stop stopped strategy ( " + this.strategy.Name + ")");
return;
}
this.strategy.OnStrategyStop_();
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.providerManager.dataSimulator.Disconnect();
this.framework.providerManager.executionSimulator.Disconnect();
}
if (this.strategy.DataProvider != null)
{
this.strategy.DataProvider.Disconnect();
}
if (this.strategy.ExecutionProvider != null)
{
this.strategy.ExecutionProvider.Disconnect();
}
this.status = StrategyStatus.Stopped;
}
/// <summary>
/// Converts instance execution status to bool. Used for enabling/disabling of 'Edit' and 'Delete' instance buttons from DataGrid.
/// </summary>
/// <param name="value">StrategyStatus</param>
/// <param name="targetType">not used</param>
/// <param name="parameter">not used</param>
/// <param name="culture">not used</param>
/// <returns>bool</returns>
public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture)
{
if (value != null)
{
// If parameter is Invert, then use inverted logic for button visibility
if (parameter != null && ((string)parameter).Equals("Invert"))
{
StrategyStatus status = (StrategyStatus)value;
// Return 'False' only if status is 'None' or 'Initializing' indicating it's not yet executed.
if (status.Equals(StrategyStatus.None) || status.Equals(StrategyStatus.Initializing))
{
return(false);
}
else
{
return(true);
}
}
else if (value != DependencyProperty.UnsetValue)
{
StrategyStatus status = (StrategyStatus)value;
// Return true only if status is Stopped or None
if (status.Equals(StrategyStatus.Stopped) || status.Equals(StrategyStatus.None))
{
return(true);
}
}
}
return(false);
}
public void Stop()
{
if (this.status != StrategyStatus.Stopped)
{
this.status = StrategyStatus.Stopped;
this.StopStrategy();
}
this.Clear();
}
internal virtual void OnStrategyStop_()
{
this.status = StrategyStatus.Stopped;
if (this.raiseEvents)
{
this.OnStrategyStop();
}
for (LinkedListNode <Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnStrategyStop_();
}
}
/// <summary>
/// On strategy status changed
/// </summary>
/// <param name="instanceKey"></param>
/// <param name="strategyStatus"></param>
private void OnStrategyStatusChanged(string instanceKey, StrategyStatus strategyStatus)
{
// Create object to indicate status change to be used for Publishing
StrategyInstanceStatus strategyInstanceStatus = new StrategyInstanceStatus();
strategyInstanceStatus.StrategyKey = instanceKey.Split('-')[0];
strategyInstanceStatus.InstanceKey = instanceKey;
strategyInstanceStatus.StrategyStatus = strategyStatus;
// Publish event to notify listeners
EventSystem.Publish <StrategyInstanceStatus>(strategyInstanceStatus);
}
/// <summary>
/// Called when there is a change in strategy status
/// </summary>
/// <param name="key">Unique Key to identify the Strategy</param>
/// <param name="status">indicates whether the strategy is running or stopped</param>
private void OnStrategyExecutorStatusChanged(string key, StrategyStatus status)
{
try
{
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Strategy: " + key + " is running: " + status, _type.FullName, "OnStrategyExecutorStatusChanged");
}
// Get Statistics if the strategy is completed
if (status == StrategyStatus.Executed)
{
StrategyExecutor strategyExecutor;
if (_strategiesCollection.TryRemove(key, out strategyExecutor))
{
StringBuilder parametersInfo = new StringBuilder();
foreach (object ctorArgument in strategyExecutor.CtorArguments)
{
parametersInfo.Append(ctorArgument.ToString());
parametersInfo.Append(" | ");
}
// Unhook Event
strategyExecutor.StatusChanged -= OnStrategyExecutorStatusChanged;
// Stop Strategy
strategyExecutor.StopStrategy();
//// Close all connections
//strategyExecutor.Close();
// Dispose
strategyExecutor.Dispose();
// Update Iterations information
_optimizationParameters.CompletedIterations += 1;
_optimizationParameters.RemainingIterations = _optimizationParameters.TotalIterations -
_optimizationParameters.CompletedIterations;
// Execute next iteration
StartStrategyExecution();
}
}
}
catch (Exception exception)
{
_asyncClassLogger.Error(exception, _type.FullName, "OnStrategyExecutorStatusChanged");
}
}
internal virtual void OnStrategyStart_()
{
this.status = StrategyStatus.Running;
foreach (Instrument current in this.instruments)
{
this.RegisterInstrument(current);
}
if (this.raiseEvents)
{
this.OnStrategyStart();
}
for (LinkedListNode <Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
this.RegisterStrategy(linkedListNode.Data, linkedListNode.Data.instruments, (int)linkedListNode.Data.id);
linkedListNode.Data.OnStrategyStart_();
}
}
public bool bAskPriceChanged;//用于通知ShortSell重新挂单
//public long TotalVolume;
//public long Volume;
//public long BuyVolume; //主动买量
//public long SellVolume; //主动卖量
//为未来加入lvl2数据留空间
public SingleStockData(string _ticker)
{
BidPrices = new double[10];
AskPrices = new double[10];
BidVol = new uint[10];
AskVol = new uint[10];
StatusCBFishing = StrategyStatus.None;
StatusStockFishing = StrategyStatus.None;
StatusTrending = StrategyStatus.None;
bAskPriceChanged = false;
zbDataList = new List <ZBTickData>();
ZBFirstIndex = -1;
ZBLastIndex = -1;
}
/// <summary>
/// Converts instance execution status to visibility of buttons Start and Stop
/// </summary>
/// <param name="value">StrategyStatus</param>
/// <param name="targetType">not used</param>
/// <param name="parameter">String as inversion indicator</param>
/// <param name="culture">not used</param>
/// <returns>System.Windows.Visibility</returns>
public object Convert(object value, Type targetType, object parameter, System.Globalization.CultureInfo culture)
{
if (value != null)
{
StrategyStatus status = (StrategyStatus)value;
// If parameter is Invert, then use inverted logic for button visibility
if (parameter != null && ((string)parameter).Equals("Invert"))
{
// If inverted logic and if strategy status is Executing or Executed, Start button is visible, Stop button is collapsed
if (status.Equals(StrategyStatus.Executing) || status.Equals(StrategyStatus.Executed))
{
return(System.Windows.Visibility.Visible);
}
else if (status.Equals(StrategyStatus.None) || status.Equals(StrategyStatus.Stopped))
{
return(System.Windows.Visibility.Collapsed);
}
else if (status.Equals(StrategyStatus.Initializing))
{
return(System.Windows.Visibility.Visible);
}
}
else
{
// If not inverted logic and if strategy status is Executing or Executed, Start button is collapsed, Stop button is visible
if (status.Equals(StrategyStatus.Executing) || status.Equals(StrategyStatus.Executed))
{
return(System.Windows.Visibility.Collapsed);
}
else if (status.Equals(StrategyStatus.None) || status.Equals(StrategyStatus.Stopped))
{
return(System.Windows.Visibility.Visible);
}
}
}
// Default visibility for Start button is visible
return(System.Windows.Visibility.Visible);
}
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 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);
}
internal virtual void OnStrategyStop_()
{
this.status = StrategyStatus.Stopped;
if (this.raiseEvents)
{
this.OnStrategyStop();
}
for (LinkedListNode<Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnStrategyStop_();
}
}
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);
}
}
}
}
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);
}
}
}
}
public void Stop()
{
if (this.status != StrategyStatus.Stopped)
{
this.status = StrategyStatus.Stopped;
this.StopStrategy();
}
this.Clear();
}
public StrategyResult(StrategyStatus status, IStrategy[] strategies)
{
Status = status;
Strategies = strategies;
}
/// <summary>
/// Argument Constructor
/// </summary>
/// <param name="instanceKey"></param>
/// <param name="strategyStatus"></param>
public StrategyStatusRepresentation(string instanceKey, StrategyStatus strategyStatus)
{
InstanceKey = instanceKey;
StrategyStatus = strategyStatus;
}
private void StopStrategy()
{
Console.WriteLine(DateTime.Now + " StrategyManager::StopStrategy " + this.strategy.Name);
if (!this.framework.IsExternalDataQueue)
{
foreach (KeyValuePair<IDataProvider, InstrumentList> current in new Dictionary<IDataProvider, InstrumentList>(this.requests))
{
if (this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Unsubscribe(current.Key, current.Value);
}
}
}
if (this.strategy.status == StrategyStatus.Stopped)
{
Console.WriteLine("StrategyManager::Stop Error: Can not stop stopped strategy ( " + this.strategy.Name + ")");
return;
}
this.strategy.OnStrategyStop_();
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.providerManager.dataSimulator.Disconnect();
this.framework.providerManager.executionSimulator.Disconnect();
}
if (this.strategy.DataProvider != null)
{
this.strategy.DataProvider.Disconnect();
}
if (this.strategy.ExecutionProvider != null)
{
this.strategy.ExecutionProvider.Disconnect();
}
this.status = StrategyStatus.Stopped;
}
internal virtual void OnStrategyStart_()
{
this.status = StrategyStatus.Running;
foreach (Instrument current in this.instruments)
{
this.RegisterInstrument(current);
}
if (this.raiseEvents)
{
this.OnStrategyStart();
}
for (LinkedListNode<Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
this.RegisterStrategy(linkedListNode.Data, linkedListNode.Data.instruments, (int)linkedListNode.Data.id);
linkedListNode.Data.OnStrategyStart_();
}
}