public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
this.dictionary_0.Add(text, @class);
provider.Send(new HistoricalDataRequest(instrument, datetime1, datetime2, DataObjectType.Quote)
{
RequestId = text
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
this.dictionary_0.Remove(text);
var qs = new QuoteSeries("");
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
{
qs.Add((Quote)objs[i]);
}
}
return(qs);
}
public TickSeries GetHistoricalTicks(IHistoricalDataProvider provider, TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
HistoricalDataRequest request = null;
switch (type)
{
case TickType.Bid:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Bid);
break;
case TickType.Ask:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Ask);
break;
case TickType.Trade:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Trade);
break;
}
request.RequestId = text;
provider.Send(request);
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var ts = new TickSeries("", "");
foreach (var data in @class.Data)
{
var objs = data.Objects;
foreach (var tick in objs)
{
ts.Add((Tick)tick);
}
}
return(ts);
}
private static ArrayList r6ZT8iFUv(IHistoricalDataProvider provider, Instrument instrument, DataManager.EDataSeries dataType, DateTime beginDate, DateTime endDate, long barSize)
{
if (provider == null)
{
throw new ArgumentNullException("Provider is null");
}
if (instrument == null)
{
throw new ArgumentNullException("Instrument is null");
}
if (!provider.IsConnected)
{
provider.Connect(10000);
if (!provider.IsConnected)
{
throw new InvalidOperationException("Provider cannot make a connection");
}
}
HistoricalDataRequest request = new HistoricalDataRequest();
request.Instrument = instrument;
switch (dataType)
{
case DataManager.EDataSeries.Daily:
request.DataType = HistoricalDataType.Daily;
break;
case DataManager.EDataSeries.Trade:
request.DataType = HistoricalDataType.Trade;
break;
case DataManager.EDataSeries.Quote:
request.DataType = HistoricalDataType.Quote;
break;
case DataManager.EDataSeries.Bar:
request.DataType = HistoricalDataType.Bar;
request.BarSize = barSize;
break;
}
request.BeginDate = beginDate;
request.EndDate = endDate;
return(new HistoricalDataGetter(provider, request).GetData());
}
public BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2, BarType barType, long barSize)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataManager.DataNotifier @class = new DataManager.DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, 6)
{
RequestId = text,
BarType = new BarType?(barType),
BarSize = new long?(barSize)
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var bs = new BarSeries("", "", -1, -1);
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
{
bs.Add((Bar)objs[i]);
}
}
return(bs);
}
public List <Fundamental> GetHistoricalFundamentals(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
var @class = new DataNotifier();
var guid = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(guid, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Fundamental)
{
RequestId = guid
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(guid);
}
return(@class.Data.SelectMany(current => current.Objects).Cast <Fundamental>().ToList());
}
private static ArrayList r6ZT8iFUv(IHistoricalDataProvider provider, Instrument instrument, DataManager.EDataSeries dataType, DateTime beginDate, DateTime endDate, long barSize)
{
if (provider == null)
throw new ArgumentNullException("Provider is null");
if (instrument == null)
throw new ArgumentNullException("Instrument is null");
if (!provider.IsConnected)
{
provider.Connect(10000);
if (!provider.IsConnected)
throw new InvalidOperationException("Provider cannot make a connection");
}
HistoricalDataRequest request = new HistoricalDataRequest();
request.Instrument = instrument;
switch (dataType)
{
case DataManager.EDataSeries.Daily:
request.DataType = HistoricalDataType.Daily;
break;
case DataManager.EDataSeries.Trade:
request.DataType = HistoricalDataType.Trade;
break;
case DataManager.EDataSeries.Quote:
request.DataType = HistoricalDataType.Quote;
break;
case DataManager.EDataSeries.Bar:
request.DataType = HistoricalDataType.Bar;
request.BarSize = barSize;
break;
}
request.BeginDate = beginDate;
request.EndDate = endDate;
return new HistoricalDataGetter(provider, request).GetData();
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["IF1612"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
DoubleMA_Crossover smaCrossoverLOS = new DoubleMA_Crossover(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// 开始时间是前一个交易日，这个地方要按自己策略的实际情况进行调整
DateTime startDate = DateTime.Now.DayOfWeek == DayOfWeek.Monday ? DateTime.Now.AddDays(-3).Date : DateTime.Now.AddDays(-1).Date;
DateTime historicalData1EndTime = startDate;
// 取本地的数据的最后时间
DataSeries ins1DataSeries = framework.DataManager.GetDataSeries(ins1, DataObjectType.Trade);
if (ins1DataSeries != null && ins1DataSeries.Count > 0)
{
historicalData1EndTime = ins1DataSeries.DateTime2;
}
// 以两个时间的最大值为起点
historicalData1EndTime = new DateTime(Math.Max(historicalData1EndTime.Ticks, startDate.Ticks));
// Load and save historical trades from QuantBase provider.
IHistoricalDataProvider quantBase = framework.ProviderManager.GetHistoricalDataProvider(94);
if (quantBase.Status == ProviderStatus.Disconnected)
{
quantBase.Connect();
}
// 等待连接成功，订阅太快了不行
while (!quantBase.IsConnected)
{
Thread.Sleep(1000);
}
// Load historical trades.
Console.WriteLine("Load historical data.");
TickSeries ins1TickSeries = framework.DataManager.GetHistoricalTrades(quantBase, ins1, historicalData1EndTime, DateTime.Now);
Console.WriteLine("Save historical data.");
// Save historical trades.
foreach (Trade trade in ins1TickSeries)
{
framework.DataManager.Save(ins1, trade);
}
// Set DataSimulator's dates.
DataSimulator.DateTime1 = startDate;
DataSimulator.DateTime2 = DateTime.Now;
// Set null for event filter.
framework.EventManager.Filter = null;
// Set property for suspend trading during simulation.
DoubleMA_Crossover.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
// Run in simulation.
Console.WriteLine("Run in Backtest mode.");
// Save current strategy mode.
StrategyMode mode = framework.StrategyManager.Mode;
// Set backtest mode.
framework.StrategyManager.Mode = StrategyMode.Backtest;
StartStrategy(StrategyMode.Backtest);
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
// Restore strategy mode.
framework.StrategyManager.Mode = mode;
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
// Set property for trading.
DoubleMA_Crossover.SuspendTrading = false;
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
StartStrategy(framework.StrategyManager.Mode);
}
public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
if (provider.IsDisconnected)
provider.Connect();
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
this.dictionary_0.Add(text, @class);
provider.Send(new HistoricalDataRequest(instrument, datetime1, datetime2, DataObjectType.Quote) { RequestId = text });
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
this.dictionary_0.Remove(text);
var qs = new QuoteSeries("");
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
qs.Add((Quote)objs[i]);
}
return qs;
}
public BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2, BarType barType, long barSize)
{
if (provider.IsDisconnected)
provider.Connect();
DataManager.DataNotifier @class = new DataManager.DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, 6)
{
RequestId = text,
BarType = new BarType?(barType),
BarSize = new long?(barSize)
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var bs = new BarSeries("", "", -1, -1);
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
bs.Add((Bar)objs[i]);
}
return bs;
}
public List<Fundamental> GetHistoricalFundamentals(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
var @class = new DataNotifier();
var guid = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(guid, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Fundamental)
{
RequestId = guid
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(guid);
}
return @class.Data.SelectMany(current => current.Objects).Cast<Fundamental>().ToList();
}
public TickSeries GetHistoricalTicks(IHistoricalDataProvider provider, TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
provider.Connect();
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
HistoricalDataRequest request = null;
switch (type)
{
case TickType.Bid:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Bid);
break;
case TickType.Ask:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Ask);
break;
case TickType.Trade:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Trade);
break;
}
request.RequestId = text;
provider.Send(request);
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var ts = new TickSeries("", "");
foreach (var data in @class.Data)
{
var objs = data.Objects;
foreach (var tick in objs)
ts.Add((Tick)tick);
}
return ts;
}