public BacktestInstrumentServer(Framework framework, string path, bool save, bool useFileName)
: base(framework)
{
Path = path;
Save = save;
UseFileName = useFileName;
}
public OrderManager(Framework framework)
{
this.framework = framework;
this.orders = new List<Order>();
this.oCAGroups = new Dictionary<string, List<Order>>();
this.next_id = 0;
}
public ProviderManager(Framework framework, IDataSimulator dataSimulator = null, IExecutionSimulator executionSimulator = null)
{
this.framework = framework;
this.providers = new ProviderList();
this.settings = new ProviderManagerSettings();
this.LoadSettings();
if (dataSimulator == null)
{
this.dataSimulator = new DataSimulator(framework);
}
else
{
this.dataSimulator = dataSimulator;
}
this.AddProvider(this.dataSimulator);
if (executionSimulator == null)
{
this.executionSimulator = new ExecutionSimulator(framework);
}
else
{
this.executionSimulator = executionSimulator;
}
this.AddProvider(this.executionSimulator);
}
public MetaStrategy(Framework framework, string name) : base(framework, name)
{
this.strategiesByInstrument = new IdArray<List<Strategy>>(1000);
this.strategyById = new IdArray<Strategy>(1000);
this.strategyByPortfolioId = new IdArray<Strategy>(1000);
this.strategies = new List<Strategy>();
}
public void Init(Framework framework, ControlSettings settings, object[] args)
{
this.framework = framework;
this.settings = settings;
this.args = args;
OnInit();
}
public MainForm()
{
InitComponent();
var f = new Framework("Demo", true);
f.IsDisposable = false;
f.GroupDispatcher = new GroupDispatcher(f);
this.barChart.Init(f, null, null);
this.barChart2.Init(f, null, null);
this.barChart.ResumeUpdates();
this.barChart2.ResumeUpdates();
this.timer = new System.Windows.Forms.Timer();
this.timer.Interval = 500;
this.timer.Tick += new EventHandler((sender, e) =>
{
try
{
this.timer.Stop();
barChart.UpdateGUI();
barChart2.UpdateGUI();
this.timer.Interval = 500;
this.timer.Enabled = true;
}
catch (Exception)
{
}
});
this.timer.Start();
}
public TTFIX(Framework framework)
: base(framework, (QuickFIXApplication)new TTFIXApplication ())
{
this.id = 10;
this.name = "TT FIX";
this.description = "Trading Technologies FIX Adapter";
this.url = "www.tradingtechnologies.com";
}
public EventBus(Framework framework, EventBusMode mode = EventBusMode.Realtime)
{
this.framework = framework;
this.mode = mode;
this.dataPipe = new EventPipe(framework, true);
this.executionPipe = new EventPipe(framework, false);
this.servicePipe = new EventPipe(framework, false);
}
public FileInstrumentServer(Framework framework, string fileName, string host = null) : base(framework)
{
if (host == null)
{
this.file = new DataFile(fileName, framework.streamerManager);
return;
}
this.file = new NetDataFile(fileName, host, framework.streamerManager);
}
public SellSideInstrumentStrategy(Framework framework, string name)
: base(framework, name)
{
this.raiseEvents = false;
this.strategyByInstrument = new IdArray<List<SellSideInstrumentStrategy>>(1000);
this.strategyByPortfolio = new IdArray<SellSideInstrumentStrategy>(1000);
this.strategyBySynthInstrument = new IdArray<SellSideInstrumentStrategy>(1000);
this.strategies = new List<Strategy>();
}
public DataSimulator(Framework framework) : base(framework)
{
this.id = 1;
this.name = "DataSimulator";
this.description = "Default data simulator";
this.url = "www.smartquant.com";
this.dateTime1 = DateTime.MinValue;
this.dateTime2 = DateTime.MaxValue;
}
public OrderMap(Framework framework, SingleProvider provider)
: base(framework, provider)
{
externalOrders = new ConcurrentDictionary<string, ExternalOrderRecord>();
pendingOrders = new ConcurrentDictionary<string, OrderRecord>();
workingOrders = new Dictionary<string, OrderRecord>();
orderIDs = new Dictionary<int, string>();
pendingCancels = new ConcurrentDictionary<string, OrderRecord>();
}
public DataManager(Framework framework, DataServer server)
{
this.framework = framework;
this.server = server;
if (server != null)
{
server.Open();
}
}
public GroupDispatcher(Framework framework)
{
this.framework = framework;
this.listeners = new List<IGroupListener>();
this.listenerTable = new IdArray<List<IGroupListener>>(1000);
this.groupByListenerTable = new Dictionary<IGroupListener, List<int>>();
framework.eventManager.Dispatcher.NewGroup += new GroupEventHandler(this.Dispatcher_NewGroup);
framework.eventManager.Dispatcher.NewGroupEvent += new GroupEventEventHandler(this.Dispatcher_NewGroupEvent);
framework.eventManager.Dispatcher.NewGroupUpdate += new GroupUpdateEventHandler(this.Dispatcher_NewGroupUpdate);
framework.EventManager.Dispatcher.FrameworkCleared += new FrameworkEventHandler(this.Dispatcher_FrameworkCleared);
}
public EventDispatcher(Framework framework)
{
this.framework = framework;
if (this.queue != null)
{
this.thread = new Thread(new ThreadStart(this.ThreadRun));
this.thread.IsBackground = true;
this.thread.Name = "Event Dispatcher Thread";
this.thread.Start();
}
}
public MainForm()
{
InitComponent();
SuspendLayout();
this.orderManager = new SmartQuant.Controls.Orders.OrderManagerWindow();
this.orderManager.Dock = DockStyle.Fill;
this.orderManager.Name = "OrderManager";
TabPage tpage = null;
tpage = new TabPage();
tpage.Controls.Add(this.orderManager);
tpage.Name = this.orderManager.Name;
tpage.Text = this.orderManager.Name;
this.tabControl1.Controls.Add(tpage);
ResumeLayout();
var f = new Framework("Demo");
f.IsDisposable = false;
f.GroupDispatcher = new GroupDispatcher(f);
this.dataLoader = new DataLoader(f);
this.barChart.Init(f, null, null);
this.barChart.ResumeUpdates();
this.barChart2.Init(f, null, null);
this.barChart2.ResumeUpdates();
this.orderManager.Init(this.dataLoader.OrderManagerQueue, true);
this.timer = new System.Windows.Forms.Timer();
this.timer.Interval = 500;
this.timer.Tick += (sender, e) =>
{
try
{
this.timer.Stop();
this.barChart.UpdateGUI();
this.barChart2.UpdateGUI();
this.orderManager.UpdateGUI();
this.timer.Interval = 500;
this.timer.Enabled = true;
}
catch (Exception)
{
}
};
this.timer.Start();
}
public Portfolio(Framework framework, string name = "")
{
this.framework = framework;
this.name = name;
this.account = new Account(framework);
this.fills = new FillSeries(name);
this.positions = new List<Position>();
this.positionByInstrument = new IdArray<Position>(1000);
this.pricer = framework.portfolioManager.pricer;
this.performance = new PortfolioPerformance(this);
this.statistics = new PortfolioStatistics(this);
}
public MLProvider(Framework framework)
: base(framework)
{
// 不能与已有的重复
base.id = 55;
base.name = "MenuLoader";
base.description = "QuantBox Menu Loader";
base.url = "www.quantbox.cn";
_menuPath = Path.Combine(Installation.ConfigDir.FullName, "menu.json");
menuLoader.LoadConfig(_menuPath);
menuLoader.LoadOnce();
}
public ProviderHost(Framework framework)
: base(framework)
{
Init(100, "API Host");
ConfigPath = Path.Combine(Installation.ConfigDir.FullName, "API_Host.json");
ProviderList = new BindingList<ProviderItem>();
Load(ConfigPath);
if (ProviderList == null)
ProviderList = new BindingList<ProviderItem>();
string applicationDir = Path.GetDirectoryName(Assembly.GetExecutingAssembly().Location);
Create(ProviderList);
ProviderList.ListChanged += ProviderList_ListChanged;
}
public InstrumentManager(Framework framework, InstrumentServer server)
{
this.framework = framework;
this.server = server;
this.server.Open();
this.next_id = -1;
this.instruments = server.Load();
for (int i = 0; i < this.instruments.Count; i++)
{
this.instruments.GetByIndex(i).isPersistent = true;
int id = this.instruments.GetByIndex(i).Id;
if (id > this.next_id)
{
this.next_id = id;
}
}
this.next_id++;
}
public MainWindow()
: base(WindowType.Toplevel)
{
this.barChart = new SmartQuant.Controls.BarChart.BarChart();
this.barChart2 = new SmartQuant.Controls.BarChart.BarChart2();
this.chart3 = new SmartQuant.FinChart.Chart();
this.chart3.ActionType = ChartActionType.Cross;
var nb = new Notebook();
nb.Add(barChart);
nb.SetTabLabelText(barChart, "Chart");
nb.Add(barChart2);
nb.SetTabLabelText(barChart2, "Chart(Gapless)");
nb.Add(chart3);
nb.SetTabLabelText(chart3, "Performance");
Add(nb);
SetDefaultSize(624, 362);
DeleteEvent += (sender, e) =>
{
Application.Quit();
e.RetVal = true;
};
var f = new Framework("Demo", true);
f.IsDisposable = false;
f.GroupDispatcher = new GroupDispatcher(f);
this.barChart.Init(f, null, null);
this.barChart2.Init(f, null, null);
this.barChart.ResumeUpdates();
this.barChart2.ResumeUpdates();
GLib.Timeout.Add(500, new TimeoutHandler(delegate
{
barChart.UpdateGUI();
barChart2.UpdateGUI();
return true;
}));
// Until the framework is created, We cannot show them
ShowAll();
}
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 Pricer(Framework framework)
{
this.framework = framework;
}
public CurrencyConverter(Framework framework)
{
this.framework = framework;
}
public Pricer(Framework framework)
{
this.framework = framework;
}
public Provider(Framework framework)
{
this.framework = framework;
}
public FrameworkEventArgs(Framework framework)
{
this.Framework = framework;
}
public DataImport(Framework framework)
{
this.framework = framework;
}
public SellSideStrategy(Framework framework, string name) : base(framework, name)
{
}
public Scenario(Framework framework)
{
this.framework = framework;
}
public ExecutionSimulator(Framework framework) : base(framework)
{
this.id = 2;
this.name = "ExecutionSimulator";
this.description = "Default execution simulator";
this.url = "www.smartquant.com";
this.fillOnQuote = true;
this.fillOnTrade = true;
this.fillOnBar = false;
this.fillMarketOnNext = false;
this.fillLimitOnNext = false;
this.fillStopOnNext = false;
this.fillStopLimitOnNext = false;
this.fillAtLimitPrice = true;
this.orders = new IdArray<List<Order>>(1000);
}
public DataFilter(Framework framework)
{
this.framework = framework;
}
public PerformanceStrategy(Framework framework) : base(framework, "PerformanceStrategy")
{
}
public DataServer(Framework framework)
{
this.framework = framework;
this.tapeMode = false;
}
public PortfolioManager(Framework framework)
{
this.framework = framework;
this.pricer = new Pricer(framework);
}
public Clock(Framework framework, ClockMode mode = ClockMode.Simulation, bool isStandalone = false)
{
this.Mode = mode;
throw new System.NotImplementedException();
}
public Framework(string name = "", bool createServers = true)
{
this.name = name;
this.LoadConfiguration();
this.eventBus = new EventBus(this, EventBusMode.Realtime);
this.clock = new Clock(this, ClockMode.Realtime, false);
this.eventBus.reminderQueue = this.clock.reminderQueue;
this.eventServer = new EventServer(this, this.eventBus);
this.eventManager = new EventManager(this, this.eventBus);
this.streamerManager = new StreamerManager();
this.streamerManager.Add(new DataObjectStreamer());
this.streamerManager.Add(new InstrumentStreamer());
this.streamerManager.Add(new BidStreamer());
this.streamerManager.Add(new AskStreamer());
this.streamerManager.Add(new QuoteStreamer());
this.streamerManager.Add(new TradeStreamer());
this.streamerManager.Add(new BarStreamer());
this.streamerManager.Add(new Level2SnapshotStreamer());
this.streamerManager.Add(new Level2UpdateStreamer());
this.streamerManager.Add(new NewsStreamer());
this.streamerManager.Add(new FundamentalStreamer());
this.streamerManager.Add(new DataSeriesStreamer());
if (createServers)
{
if (this.configuration.IsInstrumentFileLocal)
{
this.instrumentServer = new FileInstrumentServer(this, this.configuration.InstrumentFileName, null);
}
else
{
this.instrumentServer = new FileInstrumentServer(this, "instruments.quant", this.configuration.InstrumentFileHost);
}
this.instrumentManager = new InstrumentManager(this, this.InstrumentServer);
if (this.configuration.IsDataFileLocal)
{
this.dataServer = new FileDataServer(this, this.configuration.DataFileName, null);
}
else
{
this.dataServer = new FileDataServer(this, "data.quant", this.configuration.DataFileHost);
}
this.dataManager = new DataManager(this, this.dataServer);
}
this.providerManager = new ProviderManager(this, null, new ExecutionSimulator(this));
this.eventLoggerManager = new EventLoggerManager();
this.subscriptionManager = new SubscriptionManager(this);
this.orderManager = new OrderManager(this);
this.portfolioManager = new PortfolioManager(this);
this.strategyManager = new StrategyManager(this);
this.groupManager = new GroupManager(this);
this.accountDataManager = new AccountDataManager(this);
this.currencyConverter = new CurrencyConverter(this);
this.dataFileManager = new DataFileManager(Installation.DataDir.FullName);
if (Framework.currentFramework == null)
{
Framework.currentFramework = this;
}
}
public Framework(string name, EventBus externalBus, InstrumentServer instrumentServer, DataServer dataServer = null)
{
this.isExternalDataQueue = true;
this.name = name;
this.LoadConfiguration();
this.clock = new Clock(this, ClockMode.Realtime, false);
this.eventBus = new EventBus(this, EventBusMode.Realtime);
this.eventBus.reminderQueue = this.clock.reminderQueue;
externalBus.Attach(this.eventBus);
this.eventServer = new EventServer(this, this.eventBus);
this.eventManager = new EventManager(this, this.eventBus);
this.streamerManager = new StreamerManager();
this.streamerManager.Add(new DataObjectStreamer());
this.streamerManager.Add(new InstrumentStreamer());
this.streamerManager.Add(new BidStreamer());
this.streamerManager.Add(new AskStreamer());
this.streamerManager.Add(new QuoteStreamer());
this.streamerManager.Add(new TradeStreamer());
this.streamerManager.Add(new BarStreamer());
this.streamerManager.Add(new Level2SnapshotStreamer());
this.streamerManager.Add(new Level2UpdateStreamer());
this.streamerManager.Add(new NewsStreamer());
this.streamerManager.Add(new FundamentalStreamer());
this.streamerManager.Add(new DataSeriesStreamer());
this.instrumentServer = instrumentServer;
this.instrumentManager = new InstrumentManager(this, instrumentServer);
this.dataServer = dataServer;
this.dataManager = new DataManager(this, dataServer);
this.providerManager = new ProviderManager(this, null, new ExecutionSimulator(this));
this.eventLoggerManager = new EventLoggerManager();
this.orderManager = new OrderManager(this);
this.portfolioManager = new PortfolioManager(this);
this.strategyManager = new StrategyManager(this);
this.groupManager = new GroupManager(this);
this.currencyConverter = new CurrencyConverter(this);
this.dataFileManager = new DataFileManager(Installation.DataDir.FullName);
if (Framework.currentFramework == null)
{
Framework.currentFramework = this;
}
}
public EventManager(Framework framework, EventBus bus)
{
this.framework = framework;
this.bus = bus;
this.factory = new BarFactory(framework);
this.dispatcher = new EventDispatcher(framework);
this.handler[107] = new EventManager.OnEventHandler(this.OnSimulatorStart);
this.handler[108] = new EventManager.OnEventHandler(this.OnSimulatorStop);
this.handler[109] = new EventManager.OnEventHandler(this.OnSimulatorProgress);
this.handler[2] = new EventManager.OnEventHandler(this.OnBid);
this.handler[3] = new EventManager.OnEventHandler(this.OnAsk);
this.handler[4] = new EventManager.OnEventHandler(this.OnTrade);
this.handler[6] = new EventManager.OnEventHandler(this.OnBar);
this.handler[8] = new EventManager.OnEventHandler(this.OnLevel2Snapshot);
this.handler[9] = new EventManager.OnEventHandler(this.OnLevel2Update);
this.handler[23] = new EventManager.OnEventHandler(this.OnNews);
this.handler[22] = new EventManager.OnEventHandler(this.OnFundamental);
this.handler[13] = new EventManager.OnEventHandler(this.OnExecutionReport);
this.handler[116] = new EventManager.OnEventHandler(this.OnOrderStatusChanged);
this.handler[117] = new EventManager.OnEventHandler(this.OnOrderPartiallyFilled);
this.handler[118] = new EventManager.OnEventHandler(this.OnOrderFilled);
this.handler[119] = new EventManager.OnEventHandler(this.OnOrderReplaced);
this.handler[120] = new EventManager.OnEventHandler(this.OnOrderCancelled);
this.handler[121] = new EventManager.OnEventHandler(this.OnOrderDone);
this.handler[113] = new EventManager.OnEventHandler(this.OnFill);
this.handler[110] = new EventManager.OnEventHandler(this.OnPositionOpened);
this.handler[111] = new EventManager.OnEventHandler(this.OnPositionClosed);
this.handler[112] = new EventManager.OnEventHandler(this.OnPositionChanged);
this.handler[15] = new EventManager.OnEventHandler(this.OnReminder);
this.handler[50] = new EventManager.OnEventHandler(this.OnGroup);
this.handler[52] = new EventManager.OnEventHandler(this.OnGroupEvent);
this.handler[130] = new EventManager.OnEventHandler(this.OnHistoricalData);
this.handler[131] = new EventManager.OnEventHandler(this.OnHistoricalDataEnd);
this.handler[140] = new EventManager.OnEventHandler(this.OnAccountData);
if (bus != null)
{
this.thread = new Thread(new ThreadStart(this.ThreadRun));
this.thread.Name = "Event Manager Thread";
this.thread.IsBackground = true;
this.thread.Start();
}
}
public SubscriptionManager(Framework framework)
{
this.framework = framework;
this.subscriptions = new Dictionary <int, Dictionary <Instrument, int> >();
}