public override void Run()
{
// Get synthetic trading instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 4 hours bars (14400 seconds) for ins1.
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Synthetic instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Synthetic instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List<RollInfo> rollInfo = new List<RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
quantRouter.Connect();
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Get synthetic trading instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List<RollInfo> rollInfo = new List<RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 4 hours bars (14400 seconds) for ins1.
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}