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 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 void CopyTo(IdArray <T> array)
{
array.Clear();
for (int i = 0; i < this.size; ++i)
{
array[i] = this[i];
}
}
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 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);
}
private void ReadCache()
{
this.cacheKey = this.file.ReadKey(this.cachePosition, 38);
this.cache = ((DataKeyIdArray)this.cacheKey.GetObject()).keys;
for (int i = 0; i < this.cache.Size; i++)
{
if (this.cache[i] != null)
{
this.cache[i].file = this.file;
this.cache[i].number = i;
}
}
}
public double this[byte index]
{
get
{
return(this.fields[index]);
}
set
{
if (this.fields == null)
{
this.fields = new IdArray <double>(16);
}
this.fields[index] = value;
}
}
public MatchingEngine(Framework framework) : base(framework)
{
this.id = 101;
this.name = "MatchingEngine";
this.fillOnQuote = true;
this.fillOnTrade = false;
this.fillOnBar = false;
this.fillOnLevel2 = false;
this.fillMarketOnNext = false;
this.fillLimitOnNext = false;
this.fillStopOnNext = false;
this.fillStopLimitOnNext = false;
this.fillAtLimitPrice = true;
this.addQueueToOrderText = false;
this.orders = new IdArray <List <Order> >(1000);
}
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 override void Write(BinaryWriter writer, object obj)
{
DataKeyIdArray dataKeyIdArray = (DataKeyIdArray)obj;
IdArray <DataKey> keys = dataKeyIdArray.keys;
writer.Write(0);
writer.Write(keys.Size);
for (int i = 0; i < keys.Size; i++)
{
if (keys[i] != null)
{
writer.Write(i);
keys[i].WriteKey(writer);
}
}
writer.Write(-1);
}
public override object Read(BinaryReader reader)
{
reader.ReadByte();
int size = reader.ReadInt32();
IdArray <DataKey> idArray = new IdArray <DataKey>(size);
while (true)
{
int num = reader.ReadInt32();
if (num == -1)
{
break;
}
DataKey dataKey = new DataKey(null, null, -1L, -1L);
dataKey.Read(reader, true);
idArray.Add(num, dataKey);
}
return(new DataKeyIdArray(idArray));
}
internal void Init(DataFile file, ObjectKey key)
{
this.file = file;
this.key = key;
key.compressionLevel = 0;
key.compressionMethod = 0;
if (this.cachePosition == -1L)
{
if (this.buffer_count < 4096)
{
this.cache = new IdArray <DataKey>(4096);
}
else
{
this.cache = new IdArray <DataKey>(this.buffer_count);
}
this.cacheKey = new ObjectKey(file, "", new DataKeyIdArray(this.cache));
}
}
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 void Clear()
{
if (this.cache == null)
{
this.ReadCache();
}
if (this.position1 != -1L)
{
DataKey dataKey = this.ReadKey(this.position1);
while (true)
{
this.file.DeleteKey(dataKey, false);
if (dataKey.next == -1L)
{
break;
}
dataKey = this.ReadKey(dataKey.next);
}
}
this.count = 0L;
this.buffer_count = 0;
this.dateTime1 = new DateTime(0L);
this.dateTime2 = new DateTime(0L);
this.position1 = -1L;
this.position2 = -1L;
this.isOpenRead = false;
this.isOpenWrite = false;
this.cache = new IdArray <DataKey>(4096);
this.cacheKey.obj = new DataKeyIdArray(this.cache);
this.readKey = null;
this.writeKey = null;
this.deleteKey = null;
this.insertKey = null;
this.changed = true;
this.Flush();
}
public StrategyList()
{
this.strategies = new List <Strategy>();
this.strategyById = new IdArray <Strategy>(1000);
}
private Instrument()
{
this.legs = new List <Leg>();
this.fields = new IdArray <double>(10);
}
internal DataKeyIdArray(IdArray <DataKey> keys)
{
this.keys = keys;
}
public BarFactory(Framework framework)
{
this.framework = framework;
this.itemLists = new IdArray <List <BarFactoryItem> >(1000);
this.reminderTable = new SortedList <DateTime, SortedList <long, List <BarFactoryItem> > >();
}
