public StatisticsHelper(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
this.TrailingPrice = new TrailingPrice(framework, strategy);
this.HighLowPrice = new HighLowPrice(framework, strategy);
}
public StrategyHelper(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
this.DualPositionContainer = new DualPositionContainer(framework);
this.OpenCloseHelper = new OpenCloseHelper(framework, strategy);
this.PositionHelper = new PositionHelper(framework);
this.Strategies = new Dictionary <int, InstrumentStrategyHelper>();
{
// 创建多空两套持仓,只是显示用，实际上不以此为依据
Long = new Portfolio(framework, strategy.Name + "_Long");
framework.PortfolioManager.Add(Long);
Long.Parent = strategy.Portfolio;
Short = new Portfolio(framework, strategy.Name + "_Short");
framework.PortfolioManager.Add(Short);
Short.Parent = strategy.Portfolio;
}
{
// 在实际下单时需要使用指定所操作的Portfolio
OpenCloseHelper.Long = Long;
OpenCloseHelper.Short = Short;
}
}
public InstrumentStrategyHelper(Framework framework, SmartQuant.Strategy strategy, Instrument instrument)
{
this.framework = framework;
this.strategy = strategy;
this.instrument = instrument;
this.PriceHelper = new PriceHelper(framework, instrument.TickSize);
this.TimeHelper = new TimeHelper(instrument.Symbol);
}
public Stop(Strategy strategy, Position position, DateTime time)
{
this.strategy = strategy;
this.position = position;
this.instrument = position.instrument;
this.qty = position.qty;
this.side = position.Side;
this.type = StopType.Time;
this.creationTime = strategy.framework.Clock.DateTime;
this.completionTime = time;
this.stopPrice = this.GetInstrumentPrice();
if (this.completionTime > this.creationTime)
{
strategy.framework.Clock.AddReminder(new Reminder(new ReminderCallback(this.OnClock), this.completionTime, null));
}
}
public Stop(Strategy strategy, Position position, double level, StopType type, StopMode mode)
{
this.strategy = strategy;
this.position = position;
this.instrument = position.instrument;
this.qty = position.qty;
this.side = position.Side;
this.level = level;
this.type = type;
this.mode = mode;
this.currPrice = this.GetInstrumentPrice();
this.trailPrice = this.currPrice;
this.stopPrice = this.GetStopPrice();
this.creationTime = strategy.framework.Clock.DateTime;
this.completionTime = DateTime.MinValue;
this.Connect();
}
public void Add(Strategy strategy)
{
this.strategies.Add(strategy);
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in strategy.Instruments)
{
List<Strategy> list;
if (this.strategiesByInstrument[current.Id] == null)
{
list = new List<Strategy>();
this.strategiesByInstrument[current.Id] = list;
}
else
{
list = this.strategiesByInstrument[current.Id];
}
list.Add(strategy);
if (!base.Instruments.Contains(current))
{
base.Instruments.Add(current);
}
}
}
public void RemoveStrategy(Strategy strategy)
{
}
public void AddStrategy(Strategy strategy, bool callOnStrategyStart)
{
strategy.id = this.framework.strategyManager.GetNextId();
strategy.parent = this;
this.strategies.Add(strategy);
strategy.status = this.status;
if (this.status == StrategyStatus.Running)
{
this.RegisterStrategy(strategy, strategy.instruments, (int)strategy.id);
if (callOnStrategyStart)
{
strategy.OnStrategyStart_();
}
}
}
public void AddStrategy(Strategy strategy)
{
this.AddStrategy(strategy, true);
}
internal void UnregisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList<Strategy> linkedList = this.strategiesByInstrument[current.Id];
if (linkedList != null)
{
linkedList.Remove(strategy);
}
linkedList.Add(strategy);
IdArray<int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] - 1;
if (this.instrumentCountTable[current.id] == 0)
{
this.Instruments.Remove(current);
}
}
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider key = this.GetDataProvider(strategy, current2);
if (!dictionary.TryGetValue(key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[key] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.UnregisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = null;
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instruments, orderRouteId);
}
}
public StopEx(SmartQuant.Strategy strategy, SmartQuant.Position position, double level, StopType type, StopMode mode, StopIndicator stopIndicator)
: base(strategy, position, level, type, mode)
{
this.indicator = stopIndicator;
}
public void StartStrategy(Strategy strategy)
{
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy " + this.framework.strategyManager.Mode);
this.framework.strategyManager.StartStrategy(strategy);
while (strategy.Status != StrategyStatus.Stopped)
{
Thread.Sleep(10);
}
Console.WriteLine(DateTime.Now + " Scenario::StartStrategy Done");
}
public InstrumentStrategyHelper GetInstrumentStrategyHelper(Instrument instrument, SmartQuant.Strategy strategy)
{
InstrumentStrategyHelper value;
if (!Strategies.TryGetValue(instrument.Id, out value))
{
value = new InstrumentStrategyHelper(framework, strategy, instrument);
value.OpenCloseHelper = OpenCloseHelper;
Strategies.Add(instrument.Id, value);
}
return(value);
}
public TrailingPrice(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
}
internal IDataProvider GetDataProvider(Strategy strategy, Instrument instrument)
{
IDataProvider dataProvider = null;
if (instrument.DataProvider != null)
{
dataProvider = instrument.dataProvider;
}
if (dataProvider == null && strategy.DataProvider != null)
{
dataProvider = strategy.DataProvider;
}
if (this.framework.Mode == FrameworkMode.Simulation)
{
if (dataProvider != null && dataProvider is SellSideStrategy)
{
return dataProvider;
}
return this.framework.providerManager.dataSimulator;
}
else
{
if (dataProvider != null)
{
return dataProvider;
}
return this.framework.DataProvider;
}
}
public OpenCloseHelper(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
}
public void StartStrategy(Strategy strategy)
{
this.StartStrategy(strategy, this.mode);
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
this.strategy = strategy;
if (mode == StrategyMode.Backtest)
{
this.framework.Mode = FrameworkMode.Simulation;
}
else
{
this.framework.Mode = FrameworkMode.Realtime;
}
if (this.framework.eventManager.status != EventManagerStatus.Running)
{
this.framework.eventManager.Start();
}
StrategyStatusInfo strategyStatusInfo = new StrategyStatusInfo(this.framework.clock.DateTime, StrategyStatusType.Started);
strategyStatusInfo.Solution = ((strategy.Name == null) ? "Solution" : strategy.Name);
strategyStatusInfo.Mode = mode.ToString();
this.framework.eventServer.OnLog(new GroupEvent(strategyStatusInfo, null));
strategy.OnStrategyStart_();
if (!this.framework.IsExternalDataQueue)
{
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.requests.Count != 0)
{
Dictionary<IDataProvider, InstrumentList> dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.requests);
this.requests.Clear();
foreach (KeyValuePair<IDataProvider, InstrumentList> current in new Dictionary<IDataProvider, InstrumentList>(dictionary2))
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current.Key, instrumentList2);
}
}
}
this.status = StrategyStatus.Running;
this.requests = dictionary;
if (this.requests.Count == 0)
{
Console.WriteLine(string.Concat(new object[]
{
DateTime.Now,
" StrategyManager::StartStrategy ",
strategy.Name,
" has no data requests, stopping..."
}));
this.StopStrategy();
return;
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in this.requests)
{
if (!(current3.Key is SellSideStrategy) && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current3.Key, current3.Value);
}
}
}
}
internal void RegisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList<Strategy> linkedList;
if (this.strategiesByInstrument[current.Id] == null)
{
linkedList = new LinkedList<Strategy>();
this.strategiesByInstrument[current.Id] = linkedList;
}
else
{
linkedList = this.strategiesByInstrument[current.Id];
}
linkedList.Add(strategy);
IdArray<int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] + 1;
}
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider dataProvider = this.GetDataProvider(strategy, current2);
IExecutionProvider executionProvider = strategy.GetExecutionProvider(current2);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
if (!dictionary.TryGetValue(dataProvider, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[dataProvider] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.RegisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = strategy;
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instruments, orderRouteId);
}
}
public HighLowPrice(Framework framework, SmartQuant.Strategy strategy)
{
this.framework = framework;
this.strategy = strategy;
}
public StopEx(SmartQuant.Strategy strategy, SmartQuant.Position position, DateTime time)
: base(strategy, position, time)
{
}
