protected internal virtual void OnData(DataObject obj)
{
Tick tick = (Tick)obj;
if (this.bar == null)
{
this.bar = new Bar();
this.bar.instrumentId = tick.instrumentId;
this.bar.type = this.barType;
this.bar.size = this.barSize;
this.bar.openDateTime = this.GetBarOpenDateTime(obj);
this.bar.dateTime = this.GetBarCloseDateTime(obj);
this.bar.open = tick.price;
this.bar.high = tick.price;
this.bar.low = tick.price;
this.bar.close = tick.price;
this.bar.volume = (long)tick.size;
}
else
{
if (tick.price > this.bar.high)
{
this.bar.high = tick.price;
}
if (tick.price < this.bar.low)
{
this.bar.low = tick.price;
}
this.bar.close = tick.price;
this.bar.volume += (long)tick.size;
}
this.bar.n += 1L;
}
internal override void OnBar_(Bar bar)
{
foreach (Strategy current in this.strategiesByInstrument[bar.instrumentId])
{
current.OnBar_(bar);
}
base.OnBar_(bar);
}
public override object Read(BinaryReader reader)
{
reader.ReadByte();
Bar bar = new Bar();
bar.dateTime = new DateTime(reader.ReadInt64());
bar.openDateTime = new DateTime(reader.ReadInt64());
bar.instrumentId = reader.ReadInt32();
bar.size = reader.ReadInt64();
bar.high = reader.ReadDouble();
bar.low = reader.ReadDouble();
bar.open = reader.ReadDouble();
bar.close = reader.ReadDouble();
bar.volume = reader.ReadInt64();
int num = reader.ReadInt32();
if (num != 0)
{
bar.fields = new IdArray<double>(num);
for (int i = 0; i < num; i++)
{
bar.fields[i] = reader.ReadDouble();
}
}
return bar;
}
public virtual void OnBar(Bar bar)
{
}
internal virtual void OnBar_(Bar bar)
{
if (this.raiseEvents && this.instruments.Contains(bar.instrumentId))
{
this.OnBar(this.framework.InstrumentManager.GetById(bar.instrumentId), bar);
List<Stop> list = this.stopsByInstrument[bar.instrumentId];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
list[i].OnBar(bar);
}
}
}
LinkedList<Strategy> linkedList = this.strategiesByInstrument[bar.instrumentId];
if (linkedList != null)
{
for (LinkedListNode<Strategy> linkedListNode = linkedList.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnBar_(bar);
}
}
}
protected internal virtual void OnBar(Instrument instrument, Bar bar)
{
}
internal void OnBar(Bar bar)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnBar_(bar);
}
}
protected virtual void OnBar(Bar bar)
{
}
public void OnBar(Bar bar)
{
}
public void Clear()
{
this.items.Clear();
this.min = null;
this.max = null;
for (int i = 0; i < this.indicators.Count; i++)
{
this.indicators[i].Clear();
}
this.indicators.Clear();
}
public BarSeries(string name = "", string description = "")
{
this.name = name;
this.description = description;
this.items = new List<Bar>();
this.indicators = new List<Indicator>();
this.min = null;
this.max = null;
}
protected void EmitBar()
{
this.factory.framework.eventServer.OnEvent(this.bar);
this.bar = null;
}
internal void OnBarOpen(Bar bar)
{
if (this.traceOnBar && this.traceOnBarOpen && (this.filterBarSize < 0L || (this.filterBarSize == bar.Size && this.filterBarType == BarType.Time)))
{
this.currPrice = bar.Open;
this.fillPrice = bar.Open;
if (this.trailOnOpen)
{
this.trailPrice = bar.Open;
}
this.CheckStop();
}
}
internal void OnBar(Bar bar)
{
if (this.traceOnBar && (this.filterBarSize < 0L || (this.filterBarSize == bar.Size && this.filterBarType == BarType.Time)))
{
this.trailPrice = bar.Close;
switch (this.side)
{
case PositionSide.Long:
this.currPrice = bar.Low;
this.fillPrice = bar.Low;
if (this.trailOnHighLow)
{
this.trailPrice = bar.High;
}
break;
case PositionSide.Short:
this.currPrice = bar.High;
this.fillPrice = bar.High;
if (this.trailOnHighLow)
{
this.trailPrice = bar.Low;
}
break;
}
switch (this.fillMode)
{
case StopFillMode.Close:
this.fillPrice = bar.Close;
break;
case StopFillMode.Stop:
this.fillPrice = this.stopPrice;
break;
}
this.CheckStop();
}
}
protected internal override void OnBar(Instrument instrument, Bar bar)
{
this.dataComponent.OnBar(bar);
this.alphaComponent.OnBar(bar);
this.positionComponent.OnBar(bar);
this.reportComponent.OnBar(bar);
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Add upper bollinger band value to group.
if (bbu.Count > 0)
Log(bbu.Last, bbuGroup);
// Add lower bollinger band value to group.
if (bbl.Count > 0)
Log(bbl.Last, bblGroup);
// Add simple moving average value bands to group.
if (sma.Count > 0)
Log(sma.Last, smaGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (!HasPosition(instrument))
{
if (bbu.Count > 0 && bar.Close >= bbu.Last)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
else if (bbl.Count > 0 && bar.Close <= bbl.Last)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
}
else
UpdateExitLimit();
}
public Bar(Bar bar) : base(bar)
{
this.instrumentId = bar.instrumentId;
this.type = bar.type;
this.size = bar.size;
this.openDateTime = bar.openDateTime;
this.open = bar.open;
this.high = bar.high;
this.low = bar.low;
this.close = bar.close;
this.volume = bar.volume;
this.openInt = bar.openInt;
}
public void Add(Bar bar)
{
if (this.min == null)
{
this.min = bar;
}
else
{
if (bar.high < this.min.low)
{
this.min = bar;
}
}
if (this.max == null)
{
this.max = bar;
}
else
{
if (bar.high > this.max.high)
{
this.max = bar;
}
}
this.items.Add(bar);
int index = this.items.Count - 1;
for (int i = 0; i < this.indicators.Count; i++)
{
this.indicators[i].Calculate(index);
}
}
internal void OnBar(Bar bar)
{
this.bar[bar.instrumentId] = bar;
}
public void OnBar(Bar bar)
{
}