public void PopulateRealtimeOptionsQuotes()
{
lock (RealTimeOptionsQuotesLocker)
{
try
{
Logger.Debug("option quots info start");
List <OptionQuoteInfo> optionQuotesInfo = MarketDataProvider.GetOptionQuotesInfo();
Logger.Debug("the item count of List Generic is:" + optionQuotesInfo.Count);
_optionsQuoteInfo = _uow.OptionQuotesInfo.GetAll().ToList();
_uow.OptionQuotesInfo.Update(optionQuotesInfo, _optionsQuoteInfo);
Logger.Debug("option quots info end");
}
catch (System.IO.FileNotFoundException exFileNotFound)
{
Logger.Debug(exFileNotFound.StackTrace.ToString());
}
catch (System.IO.IOException exIO)
{
Logger.Debug(exIO.StackTrace.ToString());
}
catch (Exception ex)
{
Logger.Debug(ex.StackTrace.ToString());
}
}
}
public void Should_publish_price_once_started_and_when_MarketData_is_available()
{
// Mock and dependencies setup
var unitOfExecutionsFactory = new UnitOfExecutionsFactory();
var publisher = Substitute.For<IPastaPricerPublisher>();
var marketDataProvider = new MarketDataProvider();
var pastaPricer = new PastaPricerEngine(unitOfExecutionsFactory.GetPool(), new[] { "gnocchi(eggs-potatoes-flour)" }, marketDataProvider, publisher);
CheckThatNoPriceHasBeenPublished(publisher);
pastaPricer.Start();
CheckThatNoPriceHasBeenPublished(publisher);
// Turns on market data (note: make the pasta pricer start its dependencies instead?)
marketDataProvider.Start();
// A sleep?!? There should be a better way ;-)
Thread.Sleep(60);
// It has publish a price now!
publisher.Received().Publish("gnocchi", 0.50m);
}
public void Should_return_the_same_instance_of_MarketData_given_the_same_rawMaterial_name()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsSameReferenceThan(marketDataProvider.GetRawMaterial("eggs"));
}
public void Should_provide_MarketData_for_eggs()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsInstanceOf<RawMaterialMarketData>();
}
public void Should_publish_price_for_every_registered_pasta()
{
// Mock and dependencies setup
var publisher = Substitute.For<IPastaPricerPublisher>();
var marketDataProvider = new MarketDataProvider();
var pastasConfiguration = new[]
{
"gnocchi(eggs-potatoes-flour)",
"spaghetti(eggs-flour)",
"organic spaghetti(organic eggs-flour)",
"spinach farfalle(eggs-flour-spinach)",
"tagliatelle(eggs-flour)",
};
var unitOfExecutionsFactory = new UnitOfExecutionsFactory();
var pastaPricer = new PastaPricerEngine(unitOfExecutionsFactory.GetPool(), pastasConfiguration, marketDataProvider, publisher);
pastaPricer.Start();
// Turns on market data (note: make the pasta pricer start its dependencies instead?)
marketDataProvider.Start();
// A sleep?!? There should be a better way ;-)
Thread.Sleep(100);
publisher.Received().Publish("gnocchi", 2.32m);
publisher.Received().Publish("spaghetti", 1.35m);
publisher.Received().Publish("organic spaghetti", 0.5m);
publisher.Received().Publish("spinach farfalle", 0.5m);
publisher.Received().Publish("tagliatelle", 0.5m);
}
public void Should_publish_price_once_started_and_when_MarketData_is_available()
{
// Mock and dependencies setup
var unitOfExecutionsFactory = new UnitOfExecutionsFactory();
var marketDataProvider = new MarketDataProvider();
var pastaPricer = new PastaPricerEngine(unitOfExecutionsFactory.GetPool(),
new[] { "gnocchi(eggs-potatoes-flour)" },
marketDataProvider,
this);
this.ClearDico();
Check.That(this.lastPrices).IsEmpty();
pastaPricer.Start();
Check.That(this.lastPrices).IsEmpty();
// Turns on market data (note: make the pasta pricer start its dependencies instead?)
marketDataProvider.Start();
// A sleep?!? There should be a better way ;-)
Thread.Sleep(1000);
// It has publish a price now!
Check.That(this.lastPrices.Keys).Contains("gnocchi");
}
///// <summary>
///// пример
///// </summary>
///// <param name="args"></param>
//override public void Do(string[] args)
//{
// //TradeConsole.ConsoleSetSize();
// //TradeConsole.LogAssemblyInfo(assemblies);
// //список доступных команд
// TradeConsole.ConsoleWriteCommands();
// Initialize();
// SetupStrategy(args);
// base.Do(args);
//}
/// <summary>
/// пример переопределения
/// Program.Sample1.Initialize()
/// </summary>
override public void Initialize()
{
Console.WriteLine("Program.Sample1.Initialize()");
marketDataProvider = new MarketDataProvider();
rawTradingDataProvider = new RawTradingDataProvider(DefaultLogger.Instance);
symbolsDataProvider = new SymbolsDataProvider();
traderBase = new TraderBase(new SmartComOrderManager());
adapter = new SmartComAdapter();
SmartComHandlers.Instance.Add <_IStClient_DisconnectedEventHandler>(IsDisconnected);
SmartComHandlers.Instance.Add <_IStClient_ConnectedEventHandler>(IsConnected);
sendItemTrade = new SendItemOnTrade(TradingData.Instance, DefaultLogger.Instance);
//ObservableQueue<Order> orderQueue = TradingData.Instance.Get<ObservableQueue<Order>>();
//ObservableHashSet<Order> orderQueue = TradingData.Instance.Get<ObservableHashSet<Order>>();
//sendItemOrder = new SendItemOnOrder(TradingData.Instance.Get<ObservableQueue<Order>>());
//Отправляем данные клиентам
{
//sendItemBar.AddItemHandler(TradeConsole.ConsoleWriteLineBar);
sendItemTrade.AddItemHandler(TradeConsole.ConsoleWriteLineTrade);
//senderItemOrder.AddedItemHandler(TradeHubStarter.sendOrder);
if (AppSettings.GetValue <bool>("SignalHub"))
{
//отправляем через signalR
//sendItemBar.AddItemHandler(TradeHubStarter.sendBar);
sendItemTrade.AddItemHandler(TradeHubStarter.sendTrade);
}
}
}
public void Should_provide_MarketData_for_eggs()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsInstanceOf <RawMaterialMarketData>();
}
public void Should_return_the_same_instance_of_MarketData_given_the_same_rawMaterial_name()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsSameReferenceThan(marketDataProvider.GetRawMaterial("eggs"));
}
public void Setup()
{
this.tradingData = new TradingDataContext();
this.orderBook = new OrderBookContext();
this.provider = new MarketDataProvider(this.Handlers, this.tradingData, this.orderBook, new NullLogger());
this.stServer = (StServerClassMock)this.StServerMockSingleton.Instance;
this.Binder.Bind();
}
public void Should_only_get_MarketData_for_registered_rawMaterials_or_throw_an_exception_otherwise()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
marketDataProvider.RegisterRawMaterial("flour");
Check.That(marketDataProvider.GetRawMaterial("flour")).IsNotNull();
Check.ThatCode(() => marketDataProvider.GetRawMaterial("banana")).Throws<InvalidOperationException>();
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsNotNull();
}
/// <summary>
/// Default Constructor
/// </summary>
public HistoricalParametersViewModel()
{
// Initialize object
_selectedProvider = new MarketDataProvider();
_availableProviders = new List <MarketDataProvider>();
_filePath = @"HistoricalDataConfiguration\HistoricalDataProvider.xml";
PopulateProviders();
ReadParameters();
_hasSettingsChanged = false;
}
public void Should_only_get_MarketData_for_registered_rawMaterials_or_throw_an_exception_otherwise()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
marketDataProvider.RegisterRawMaterial("flour");
Check.That(marketDataProvider.GetRawMaterial("flour")).IsNotNull();
Check.ThatCode(() => marketDataProvider.GetRawMaterial("banana")).Throws <InvalidOperationException>();
Check.That(marketDataProvider.GetRawMaterial("eggs")).IsNotNull();
}
public ExtMarketDataFilter(MarketDataProvider provider, string Name)
{
switch (Name)
{
case "Simulator": // 3.9.2 版的混淆过后的模拟插件
this.Init(provider, "Jfm54PNt0q", "et95r7Su4r", "Sfk5bbMxSg");
break;
default: // 反混淆后的模拟插件，CTP插件
this.Init(provider, "NewBarOpen", "NewBar", "NewMarketBar");
break;
}
}
private void Init(MarketDataProvider provider, string NewBarOpen, string NewBar, string NewMarketBar)
{
_NewBar = NewBar;
_NewBarOpen = NewBarOpen;
_NewMarketBar = NewMarketBar;
//得到OpenQuant.API.MarketDataProvider内的SmartQuant.Providers.IMarketDataProvider接口
marketDataProvider = (IMarketDataProvider)provider.GetType().GetField("provider", BindingFlags.NonPublic | BindingFlags.Instance).GetValue(provider);
factory = marketDataProvider.BarFactory;
// 遍历，得到对应的事件
foreach (var e in marketDataProvider.GetType().GetFields(BindingFlags.Instance | BindingFlags.NonPublic))
{
switch (e.FieldType.ToString())
{
case "SmartQuant.Providers.QuoteEventHandler":
NewQuoteField = e;
// 很遗憾，不能提前在保存下来
//(MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
break;
case "SmartQuant.Providers.TradeEventHandler":
NewTradeField = e;
break;
case "SmartQuant.Providers.BarEventHandler":
// 有三个这样的事件，怎么识别呢？
// 由于混淆了代码，没法识别，只能人工先判断
// 判断的方法，1.断点，
// 2.模拟下的 v8UpctWIWM(SeriesObjectEventArgs args1)
if (e.Name == _NewBarOpen)
{
NewBarOpenField = e;
}
else if (e.Name == _NewBar)
{
NewBarField = e;
}
else if (e.Name == _NewMarketBar)
{
NewMarketBarField = e;
}
else
{
Console.WriteLine("{0} 没有识别出来，需人工处理！", e.Name);
}
break;
}
}
}
public static IDataProvider CreateDataProvider()
{
IDictionary <string, IShop> shops = new Dictionary <string, IShop>();
IShop mall = new Mall(null);
IShop bazaar = new Bazaar(mall);
IShop store = new Store(bazaar);
shops.Add("Mall", mall);
shops.Add("Bazaar", bazaar);
shops.Add("Store", store);
var dataProvider = new MarketDataProvider(shops, new TypeProvider(typeof(IShop).Assembly));
return(dataProvider);
}
public void Should_receive_price_for_registered_RawMaterials_once_started()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
marketDataProvider.GetRawMaterial("eggs").PriceChanged += (o, args) => this.priceChangedRaisedEvent.Set();
marketDataProvider.Start();
const int TimeoutInMsec = 100;
var hasReceivedEvent = this.priceChangedRaisedEvent.WaitOne(TimeoutInMsec);
Check.That(hasReceivedEvent).IsTrue();
marketDataProvider.Stop();
}
public async Task MarketDataProvider_DeltaCorrectAtJoinPoint()
{
var dataRepository = new Mock <IRepository <MarketData> >();
dataRepository
.Setup(x => x.Get())
.ReturnsAsync(new[]
{
new MarketData {
Date = new DateTime(2000, 1, 1), Price = 1, Volume = 1
},
new MarketData {
Date = new DateTime(2000, 1, 2), Price = 1, Delta = 2, Volume = 2
},
});
var apiDataProvider = new Mock <IApiDataProvider>();
apiDataProvider
.Setup(x => x.GetData())
.ReturnsAsync(new[]
{
new MarketData {
Date = new DateTime(2000, 1, 3), Price = 5, Volume = 5
},
});
var target = new MarketDataProvider(
apiDataProvider.Object,
dataRepository.Object);
var actual = await target.GetPriceData();
var last = actual.Last();
new
{
Delta = 4m,
DeltaPercent = -0.5m,
VolumePercent = -0.6m
}.ToExpectedObject().ShouldEqual(new
{
last.Delta,
last.DeltaPercent,
last.VolumePercent
});
}
public AnalysisService(
IMarketDataCache marketDataCache,
IResultsProvider resultsProvider,
StrategyProvider strategyProvider,
IInvestorProvider investorProvider,
SimulatorFactory simulatorFactory,
MarketDataProvider marketDataProvider,
ICommunicationService communicationService)
{
_simulatorFactory = simulatorFactory;
_marketDataCache = marketDataCache;
_resultsProvider = resultsProvider;
_strategyProvider = strategyProvider;
_investorProvider = investorProvider;
_marketDataProvider = marketDataProvider;
_communicationService = communicationService;
}
public void Should_publish_price_for_every_registered_pasta()
{
this.ClearDico();
// Mock and dependencies setup
var marketDataProvider = new MarketDataProvider();
var pastasConfiguration = new[]
{
"gnocchi(eggs-potatoes-flour)",
"spaghetti(eggs-flour)",
"organic spaghetti(organic eggs-flour)",
"spinach farfalle(eggs-flour-spinach)",
"tagliatelle(eggs-flour)",
};
var unitOfExecutionsFactory = new UnitOfExecutionsFactory();
var pastaPricer = new PastaPricerEngine(unitOfExecutionsFactory.GetPool(), pastasConfiguration, marketDataProvider, this);
pastaPricer.Start();
// Turns on market data (note: make the pasta pricer start its dependencies instead?)
marketDataProvider.Start();
// A sleep?!? There should be a better way ;-)
Stopwatch timer = new Stopwatch();
timer.Start();
while (timer.ElapsedMilliseconds < 20000)
{
lock (this.lastPrices)
{
if (pastasConfiguration.Length == this.lastPrices.Count)
{
// all price received
break;
}
Monitor.Wait(this.lastPrices, 100);
}
}
Check.That(this.lastPrices.Keys).Contains("gnocchi");
Check.That(this.lastPrices.Keys).Contains("spaghetti");
Check.That(this.lastPrices.Keys).Contains("organic spaghetti");
Check.That(this.lastPrices.Keys).Contains("spinach farfalle");
Check.That(this.lastPrices.Keys).Contains("tagliatelle");
}
public void PopulateLatestStockQuotesToHistoricalQuotesPerDay()
{
lock (Locker)
{
Task a = new Task(() =>
{
Logger.Debug("Getting LatestStockQuoteInfo");
var tradeDate = DateTime.UtcNow;
var lastWriteTime = MarketDataProvider.GetLastWriteTime();
if (lastWriteTime.ToShortDateString() != tradeDate.ToShortDateString())
{
Logger.Debug("The show2003 Dbf doesn't change intraday.");
return;
}
var stockQuotesInfo = _uow.StockQuotesInfo.GetAll().ToList();
foreach (var stockQuote in stockQuotesInfo)
{
var histQuotes = _uow.HistoricalQuotes.GetAll().Where(m => m.StockCode == stockQuote.SecurityCode).ToList();
if (histQuotes.Count > 0)
{
var latestQuote = histQuotes.OrderByDescending(m => m.TradeDate).First();
if (latestQuote.TradeDate < tradeDate)
{
HistoricalQuote historicalQuote = Mapper.Map <StockQuoteInfo, HistoricalQuote>(stockQuote);
historicalQuote.Id = new MongoDB.Bson.ObjectId();
historicalQuote.TradeDate = tradeDate;
_uow.HistoricalQuotes.Add(historicalQuote);
}
}
else
{
HistoricalQuote historicalQuote = Mapper.Map <StockQuoteInfo, HistoricalQuote>(stockQuote);
historicalQuote.Id = new MongoDB.Bson.ObjectId();
historicalQuote.TradeDate = tradeDate;
_uow.HistoricalQuotes.Add(historicalQuote);
}
}
Logger.Debug("PopulateLatestStockQuotesToHistoricalQuotesPerDay Completed");
});
a.Start();
Task.WaitAll(a);
}
}
public void Should_receive_price_for_registered_RawMaterials_once_started()
{
var marketDataProvider = new MarketDataProvider();
marketDataProvider.RegisterRawMaterial("eggs");
void Handler(object o, RawMaterialPriceChangedEventArgs args) => this.priceChangedRaisedEvent.Set();
marketDataProvider.GetRawMaterial("eggs").PriceChanged += Handler;
marketDataProvider.Start();
const int TimeoutInMsec = 500;
var hasReceivedEvent = this.priceChangedRaisedEvent.WaitOne(TimeoutInMsec);
Check.That(hasReceivedEvent).IsTrue();
marketDataProvider.Stop();
marketDataProvider.GetRawMaterial("eggs").PriceChanged -= Handler;
}
public void PopulateRealtimeStocksQuotes()
{
lock (RealTimeStocksQuotesLocker)
{
try
{
List <StockQuoteInfo> stockQuotesInfo = MarketDataProvider.GetStockQuotesInfo();
_stocksQuoteInfo = _uow.StockQuotesInfo.GetAll().ToList();
_uow.StockQuotesInfo.Update(stockQuotesInfo, _stocksQuoteInfo);
}
catch (System.IO.FileNotFoundException exFileNotFound)
{
Logger.Debug(exFileNotFound.StackTrace.ToString());
}
catch (System.IO.IOException exIO)
{
Logger.Debug(exIO.StackTrace.ToString());
}
}
}
public void PopulateRealTimeQuotes()
{
lock (Locker)
{
try
{
Task populateOptionQuotesInfo = new Task(() =>
{
Logger.Debug("Getting OptionQuotesInfo");
List <OptionQuoteInfo> optionQuotesInfo = MarketDataProvider.GetOptionQuotesInfo();
Logger.Debug("Saving OptionQuotesInfo");
_optionsQuoteInfo = _uow.OptionQuotesInfo.GetAll().ToList();
_uow.OptionQuotesInfo.Update(optionQuotesInfo, _optionsQuoteInfo);
});
populateOptionQuotesInfo.Start();
Task populateStockQuotesInfo = new Task(() =>
{
Logger.Debug("Getting StockQuotesInfo");
List <StockQuoteInfo> stockQuotesInfo = MarketDataProvider.GetStockQuotesInfo();
Logger.Debug("Saving StockQuotesInfo");
_stocksQuoteInfo = _uow.StockQuotesInfo.GetAll().ToList();
_uow.StockQuotesInfo.Update(stockQuotesInfo, _stocksQuoteInfo);
});
populateStockQuotesInfo.Start();
//Task.WaitAll(populateStockQuotesInfo);
Task.WaitAll(populateOptionQuotesInfo, populateStockQuotesInfo);
}
catch (System.IO.FileNotFoundException exFileNotFound)
{
Logger.Debug(exFileNotFound.StackTrace.ToString());
}
catch (System.IO.IOException exIO)
{
Logger.Debug(exIO.StackTrace.ToString());
}
}
}
public async Task MarketDataProvider_MergesHistoricAndLiveData()
{
var dataRepository = new Mock <IRepository <MarketData> >();
dataRepository
.Setup(x => x.Get())
.ReturnsAsync(new[]
{
new MarketData {
Date = new DateTime(2000, 1, 1)
},
new MarketData {
Date = new DateTime(2000, 1, 3)
},
});
var apiDataProvider = new Mock <IApiDataProvider>();
apiDataProvider
.Setup(x => x.GetData())
.ReturnsAsync(new[]
{
new MarketData {
Date = new DateTime(2000, 1, 2)
},
new MarketData {
Date = new DateTime(2000, 1, 4)
},
});
var target = new MarketDataProvider(
apiDataProvider.Object,
dataRepository.Object);
var actual = await target.GetPriceData();
CollectionAssert.AreEqual(
new[] { 1, 2, 3, 4 },
actual.Select(x => x.Date.Day));
}
///// <summary>
///// пример
///// </summary>
///// <param name="args"></param>
//override public void Do(string[] args)
//{
// //TradeConsole.ConsoleSetSize();
// //TradeConsole.LogAssemblyInfo(assemblies);
// //список доступных команд
// TradeConsole.ConsoleWriteCommands();
// Initialize();
// SetupStrategy(args);
// base.Do(args);
//}
/// <summary>
/// пример переопределения
/// BackTest Sample1 Initialize()
/// </summary>
override public void Initialize()
{
Console.WriteLine("BackTest.Sample1.Initialize()");
marketDataProvider = new MarketDataProvider();
rawTradingDataProvider = new RawTradingDataProvider(DefaultLogger.Instance);
symbolsDataProvider = new SymbolsDataProvider();
orderManager = new TRL.Emulation.BacktestOrderManager(TradingData.Instance, DefaultLogger.Instance);
//private static SmartComAdapter adapter =
// new SmartComAdapter();
traderBase = new TraderBase(orderManager);
//new TraderBase(new SmartComOrderManager());
//strategySettings = new StrategySettings(1,
// "ReversMaOnBar strategy",
// AppSettings.GetStringValue("Portfolio"),
// AppSettings.GetStringValue("Symbol"),
// AppSettings.GetValue<double>("Amount"));
//barSettings = new BarSettings(
// strategySettings,
// strategySettings.Symbol,
// AppSettings.GetValue<int>("Interval"),
// AppSettings.GetValue<int>("Period"));
//assemblies = { "Interop.SmartCOM3Lib.dll", "TRL.Common.dll", "TRL.Connect.Smartcom.dll" };
}
public void PopulateStocksPerMinutesQuotes(string StockNameList)
{
lock (RealTimeStocksPerMinuteQuotesLocker)
{
List <string> StockNamedListResult = new List <string>();
if (StockNameList.Contains(","))
{
StockNamedListResult = StockNameList.Split(new char[] { ',' }).ToList();
}
else
{
StockNamedListResult.Add(StockNameList);
}
// List<string> StockNamedListResult=StockNameList.Split(new char[]{','}).ToList();
try
{
Logger.Debug("Getting StockQuotesInfoPerMinute:StockNameListtest=" + StockNamedListResult.Count());
List <StockQuoteInfo> list = MarketDataProvider.GetStockQuotesInfo().Where(p => StockNamedListResult.Contains(p.SecurityCode)).ToList();
Logger.Debug("Saving StockQuotesInfoPerMinute");
_uow.StockQuotePerMinuteRepository.Add(list);
}
catch (System.IO.FileNotFoundException exFileNotFound)
{
Logger.Debug(exFileNotFound.StackTrace.ToString());
}
catch (System.IO.IOException exIO)
{
Logger.Debug(exIO.StackTrace.ToString());
}
}
}
public ExtMarketDataFilter(MarketDataProvider provider)
{
//得到OpenQuant.API.MarketDataProvider内的SmartQuant.Providers.IMarketDataProvider接口
marketDataProvider = (IMarketDataProvider)provider.GetType().GetField("provider", BindingFlags.NonPublic | BindingFlags.Instance).GetValue(provider);
factory = marketDataProvider.BarFactory;
// 遍历，得到对应的两个事件
foreach (var e in marketDataProvider.GetType().GetFields(BindingFlags.Instance | BindingFlags.NonPublic))
{
//Console.WriteLine(e);
switch (e.FieldType.ToString())
{
case "SmartQuant.Providers.QuoteEventHandler":
NewQuoteField = e;
// 很遗憾，不能提前在保存下来
//(MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
break;
case "SmartQuant.Providers.TradeEventHandler":
NewTradeField = e;
break;
}
}
}
//private void MarketDataProviderOnValuesChanged(Security security, IEnumerable<KeyValuePair<Level1Fields, object>> changes, DateTime serverTime, DateTime localTime)
//{
// var item = _optionDeskRowSides.TryGetValue(security);
// if (item == null)
// return;
// Update(item, changes);
//}
private void Update(OptionDeskRow.OptionDeskRowSide side, DateTime now, out decimal?iv, out decimal?hv, out decimal?oi, out decimal?volume)
{
iv = hv = oi = volume = null;
var option = side.Option;
var changes = MarketDataProvider.GetSecurityValues(option);
if (changes == null)
{
return;
}
foreach (var change in changes)
{
switch (change.Key)
{
case Level1Fields.BestAskPrice:
side.BestAskPrice = (decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
side.BestBidPrice = (decimal)change.Value;
break;
case Level1Fields.Volume:
volume = side.Volume = (decimal)change.Value;
break;
case Level1Fields.OpenInterest:
oi = side.OpenInterest = (decimal)change.Value;
break;
case Level1Fields.ImpliedVolatility:
iv = (decimal)change.Value;
break;
case Level1Fields.HistoricalVolatility:
hv = (decimal)change.Value;
break;
}
}
const int round = 2;
var bs = side.Model;
side.TheorPrice = decimal.Round(bs.Premium(now, assetPrice: AssetPrice), round);
side.Delta = decimal.Round(bs.Delta(now, assetPrice: AssetPrice), round);
side.Gamma = decimal.Round(bs.Gamma(now, assetPrice: AssetPrice), round);
side.Theta = decimal.Round(bs.Theta(now, assetPrice: AssetPrice), round);
side.Vega = decimal.Round(bs.Vega(now, assetPrice: AssetPrice), round);
side.Rho = decimal.Round(bs.Rho(now, assetPrice: AssetPrice), round);
var assetPrice = bs.GetAssetPrice(AssetPrice);
if (assetPrice == 0)
{
side.PnL = 0;
}
else
{
side.PnL = (option.OptionType == OptionTypes.Call ? 1 : -1) * (assetPrice - option.Strike);
if (side.PnL < 0)
{
side.PnL = 0;
}
}
}
public ExtMarketDataFilter(MarketDataProvider provider)
: this(provider, null, null, null)
{
}
private decimal?GetSecurityValue(Level1Fields field)
{
return((decimal?)MarketDataProvider.GetSecurityValue(Security, field));
}
// 构造函数不能省
public MyExtFilter(MarketDataProvider provider, MarketDataFilter filter) : base(provider)
{
this.filter = filter;
}
public ExtMarketDataFilter(MarketDataProvider provider, string NewBarOpen, string NewBar, string NewMarketBar)
{
this.Init(provider, NewBarOpen, NewBar, NewMarketBar);
}
// 构造函数不能省
public MyExtFilter(MarketDataProvider provider, MarketDataFilter filter)
: base(provider, "Simulator")//如果使用3.9.2版默认的Simulator
{
this.filter = filter;
}
