public static DualPosition GetPosition(this InstrumentStrategy strategy)
{
if (strategy.OrderManager.Server is DatabaseOrderServer server)
{
return(server.PositionStore.GetPosition(strategy.Id, strategy.Instrument.Id));
}
return(null);
}
public static void SetTradingRange(this InstrumentStrategy strategy)
{
if (strategy.IsInstance)
{
var range = TradingCalendar.Instance.GetTimeRange(strategy.Instrument, strategy.Clock.DateTime);
strategy.Instrument.SetTimeRange(range);
SetRangeUpdateReminder(range, strategy);
}
else
{
SetTradingRange((Strategy)strategy);
}
}
public void RemoveStrategies(string instrumentId)
{
InstrumentStrategy instrumentStrategy = GetInstrumentStrategy(instrumentId);
if (instrumentStrategy == null)
{
return;
}
instrumentStrategies.Remove(instrumentStrategy);
dictStrategies.Remove(instrumentId);
strategyRepo.Delete(instrumentStrategy);
}
public void InitStrategies(Instrument instrument)
{
var instrumentStrategy = strategyRepo.FirstOrDefault(strat => strat.InstrumentID == instrument.InstrumentID);
if (instrumentStrategy == null)
{
instrumentStrategy = new InstrumentStrategy();
instrumentStrategy.InstrumentID = instrument.InstrumentID;
instrumentStrategy.InstrumentName = instrument.InstrumentName;
instrumentStrategy.VolumeMultiple = instrument.VolumeMultiple;
instrumentStrategy.PriceTick = instrument.PriceTick;
instrumentStrategy.LongMarginRatio = instrument.LongMarginRatio;
instrumentStrategy.ShortMarginRatio = instrument.ShortMarginRatio;
//instrumentStrategy.Strategies.Add(Container.Resolve<BollStrategy>());
//instrumentStrategy.Strategies.Add(Container.Resolve<RoundMAStrategy>());
// instrumentStrategy.StopLosses.Add(Container.Resolve<PriceStopLoss>());
//
// instrumentStrategy.StopProfits.Add(Container.Resolve<PriceStopProfit>());
//Strategies.Add(new AboveMAStrategy(indicatorManager, 20));
//Strategies.Add(new BelowMAStrategy(indicatorManager, 20));
strategyRepo.Add(instrumentStrategy);
}
instrumentStrategy.Configure(Container);
instrumentStrategy.BindEvent();
instrumentStrategies.Add(instrumentStrategy);
dictStrategies.Add(instrument.InstrumentID, instrumentStrategy);
}
public static OrderList CloseShort(this InstrumentStrategy strategy, double qty, double price)
{
return(CloseShort(strategy, strategy.Instrument, qty, price));
}
public static OrderList CloseShort(this InstrumentStrategy strategy, double qty,
OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
return(CloseShort(strategy, strategy.Instrument, qty, method));
}
public static Order OpenShort(this InstrumentStrategy strategy, double qty, double price)
{
return(OpenShort(strategy, strategy.Instrument, qty, price));
}
public static Order OpenLong(this InstrumentStrategy strategy, double qty, OrderPriceAdjustMethod method = OrderPriceAdjustMethod.MatchPrice)
{
return(OpenLong(strategy, strategy.Instrument, qty, method));
}
public static DateTime GetNextMarketCloseTime(this InstrumentStrategy strategy)
{
return(GetNextMarketCloseTime(strategy, strategy.Instrument));
}
public void PrcessData(MarketData marketData)
{
if (!isStart)
{
return;
}
InstrumentStrategy instrumentStrategy = dictStrategies[marketData.InstrumentId];
if (!instrumentStrategy.StartTrade)
{
return;
}
foreach (UserStrategy strategy in instrumentStrategy.Strategies)
{
if (!strategy.AutoTrade)
{
continue;
}
if (needWait)
{
tick++;
if (tick >= 240)
{
needWait = false;
tick = 0;
}
return;
}
var sc = (StringCollection)InstrumentType.Default[marketData.Code];
var today = DateTime.Today;
if (sc != null)
{
foreach (var time in sc)
{
int hour = Convert.ToInt32(time.Split(':')[0]);
int minute = Convert.ToInt32(time.Split(':')[1]);
var endTime = new DateTime(today.Year, today.Month, today.Day, hour, minute, 0);
if (endTime > DateTime.Now && DateTime.Now > endTime.AddMinutes(-1))
{
OrderManager.CancelAllOrder();
needWait = true;
log.Info("canceling order");
return;
}
}
}
List <Order> orders = strategy.Match(marketData);
foreach (Order order in orders)
{
order.Unit = instrumentStrategy.VolumeMultiple;
if (order.Direction == TThostFtdcDirectionType.Buy)
{
order.UseMargin = order.Price * order.Unit * order.Volume * instrumentStrategy.LongMarginRatio;
}
else
{
order.UseMargin = order.Price * order.Unit * order.Volume * instrumentStrategy.ShortMarginRatio;
}
log.Info(order);
OrderManager.OrderInsert(order);
}
}
}