void tl_gotTick(Tick t)
{
try
{
_tlt.newTick(t);
_kt.newTick(t);
if (spillTick != null)
{
spillTick(t);
}
RefreshRow(t);
BarList bl = null;
if (bardict.TryGetValue(t.symbol, out bl))
{
if (SecurityImpl.Parse(t.symbol).Type == SecurityType.CASH)
{
Tick k = _kt[t.symbol];
decimal p = usebidonfx ? k.bid : k.ask;
int s = usebidonfx ? k.bs : k.os;
bardict[t.symbol].newPoint(t.symbol, p, k.time, k.date, s);
}
else
{
bardict[t.symbol].newTick(t);
}
}
}
catch (System.Threading.ThreadInterruptedException) { }
}
public override void GotTick(Tick tick) //数据进来，先进gottick，如果需要对成交价等进行更改，在gottick里进行
{
// keep track of time from tick
_time = tick.time;
if (_date > tick.date)
{
// this is important for consistency between runs for ATSTestBench and ATSTestBenchBatch
Reset();
}
_date = tick.date;
// ensure response is active
if (!isValid)
{
return;
}
// ensure we are tracking active status for this symbol
int idx = _active.addindex(tick.symbol, true);
// if we're not active, quit
if (!_active[idx])
{
return;
}
// check for shutdown time
// apply bar tracking to all ticks that enter
_kt.newTick(tick);
_blt.newTick(tick);
// ignore anything that is not a trade
if (!tick.isTrade)
{
return; //如果没有trade，这个数据是用不到的
}
}
public override void GotTick(Tick tick)
{
// track order ids
_orderid.addindex(tick.symbol, 0);
// track ticks
_kt.newTick(tick);
// see if we need to send an order
if (_orderid[tick.symbol] == 0)
{
// get complete last tick for this symbol
Tick k = _kt[tick.symbol];
// see if we have proper info to place order
if ((Side && k.hasBid) || (!Side && k.hasAsk))
{
_orderid[tick.symbol] = _idt.NextId;
D(tick.symbol + " sending limit order: " + _orderid[tick.symbol]);
sendorder(new LimitOrder(tick.symbol, Side, Ordersize, Side ? k.bid - Distance : k.ask + Distance, _idt.AssignId));
}
}
else // otherwise increment counter
{
_tickcounter[tick.symbol]++;
}
// see if we need to cancel
if (_tickcounter[tick.symbol] > Frequency)
{
D(tick.symbol + " hit frequency, canceling: " + _orderid[tick.symbol]);
sendcancel(_orderid[tick.symbol]);
}
}
/// <summary>
/// Called whenever we got a tick signal
/// </summary>
/// <param name="k"></param>
public override void GotTick(Tick k)
{
// Sync symbols
if (_symbols.getindex(k.symbol) < 0)
{
_symbols.addindex(k.symbol, k.symbol);
}
SyncDateTime(k);
// ensure response is active
if (!isValid)
{
return;
}
// ensure we are tracking active status for this symbol
int idx = _active.addindex(k.symbol, true);
// if we're not active, quit
if (!_active[idx])
{
return;
}
//// check for shutdown time
//if (k.time > Shutdown)
//{
// // if so, shutdown the system
// if (!_isShutDown)
// {
// shutdown();
// }
// // and quit
// return;
//}
//else
//{
// // make sure the flag is on
// _isShutDown = false;
//}
// apply bar tracking to all ticks that enter
_kt.newTick(k);
_blt.newTick(k);
// ignore anything that is not a trade
if (!k.isTrade)
{
return;
}
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
// tmp workaround for "how to show debug messages from response constructor"
if (debug_message_from_constructor.Length > 0)
{
D(debug_message_from_constructor);
debug_message_from_constructor = "";
}
// keep track of time from tick
time = tick.time;
// safe tick to files
//_ta.newTick(tick);
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ignore ticks with timestamp prior to 9:30:00am
if (tick.time < 93000)
{
return;
}
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// if we don't have enough bars, wait for more ticks
if (!track_barlists[tick.symbol].Has(_slow_ma_bar))
{
return;
}
}
public void Basics()
{
kt = new TickTracker();
// startup tests
Assert.IsFalse(kt[sym].isValid,"valid tick at startup");
Assert.IsFalse(kt[sym].isTrade,"trade at startup");
Assert.IsFalse(kt[sym].isQuote,"quote at startup");
Assert.IsFalse(kt[sym].hasAsk,"ask at startup");
Assert.IsFalse(kt[sym].hasBid,"bid at startup");
// trade occurs
kt.newTick(TickImpl.NewTrade(sym, p, s));
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym),"wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsFalse(kt[sym].hasBid, "bid at startup");
// bid
kt.newTick(TickImpl.NewBid(sym, p, s));
// verify bid
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.AreEqual(p, kt.Bid(sym), "wrong bid price");
Assert.AreEqual(ss, kt[sym].bs, "wrong bid size");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify trade still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym), "wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// ask
kt.newTick(TickImpl.NewAsk(sym, p, s));
// verify ask
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isFullQuote, "no quote at startup");
Assert.AreEqual(p, kt.Ask(sym), "wrong ask price");
Assert.AreEqual(ss, kt[sym].os, "wrong ask size");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify trade still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym), "wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify bid still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isFullQuote, "no quote at startup");
Assert.AreEqual(p, kt.Bid(sym), "wrong bid price");
Assert.AreEqual(ss, kt[sym].bs, "wrong bid size");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
// store tick
tick_archiver.newTick(tick);
return; // for now only track/store ticks here...
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
// another "track tick" :)
//
// For now we track tick in 2 different trackers:
// TickTracker
// and
// BarListTracker (connected with MessageTracker)
//
// todo: Read more on topic of TickTracker vs BarListTracker. And eventually get rid of one of them.
// TickTracker - seems have more functionality, but
// BarListTracker - can build bars with any interval (we can mix diff. bar size in one strategy easily using this!)
//
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// if we don't have enough bars, wait for more ticks
//if (!track_barlists[tick.symbol].Has(BarsBack)) return;
// get current position
Position pos = track_positions[tick.symbol];
// if we're flat and haven't seen this symbol yet, then...
if (pos.isFlat && !track_symbols[tick.symbol])
{
// strart tracking it (other trackers will be updated accordingly, see track_symbols_NewTxt()
track_symbols[tick.symbol] = true;
D(tick.symbol + ": entering long");
O(new MarketOrder(tick.symbol, EntrySize));
}
else if (!pos.isFlat && !track_exitsignals[tick.symbol])
{
// get most recent tick data
Tick k = track_ticks[tick.symbol];
// estimate our exit price
decimal exitprice = UseQuotes
? (k.hasAsk && pos.isLong ? k.ask
: (k.hasBid && pos.isShort ? k.bid : 0))
: (k.isTrade ? k.trade : 0);
// assuming we could estimate an exit, see if our exit would hit our target
if ((exitprice != 0) && (Calc.OpenPT(exitprice, pos) > ProfitTarget))
{
track_exitsignals[tick.symbol] = true;
D("hit profit target");
O(new MarketOrderFlat(pos));
}
}
// --------------------------------------------
//
// this is a grey box that manages exits, so wait until we have a position
//if (!pt[tick.symbol].isFlat) return;
//
//// calculate the MA from closing bars
//decimal MA = Calc.Avg(Calc.Closes(track_barlists[tick.symbol], BarsBack));
//// if we're short, a cross is when market moves above MA
//// if we're long, cross is when market goes below MA
//bool cross = pt[tick.symbol].isShort ? (tick.trade > MA) : (tick.trade < MA);
//// if we have a cross, then flat us for the requested size
//if (cross)
// sendorder(new MarketOrderFlat(pt[tick.symbol], exitpercent));
//// notify gauntlet and kadina about our moving average and cross
//sendindicators(new string[] { MA.ToString(), cross.ToString() });
// --------------------------------------------
}
// GotTick is called everytime a new quote or trade occurs
public override void GotTick(TradeLink.API.Tick tick)
{
base.GotTick(tick);
// keep track of time from tick
time = tick.time;
// ignore quotes
if (!tick.isTrade)
{
return;
}
// ignore ticks with timestamp prior to 9:30:00am
if (tick.time < 93000)
{
return;
}
// --------------------------------------------------- rabbitmq begin -----------
log_file.WriteLine(JsonConvert.SerializeObject(tick, Formatting.Indented)); // write all ticks into external file (to get a feeling on size)
if (tick.time == 93205)
{
;
}
if (false)
{
if (tick.time > 93000 && tick.time < 93500)
{
string rabbit_serverAddress = "amqp://localhost/";
string rabbit_exchange = "exch";
string rabbit_exchangeType = "fanout";
string rabbit_routingKey = "rout";
string rabbit_message = JsonConvert.SerializeObject(tick, Formatting.Indented);
ConnectionFactory rabbit_cf = new ConnectionFactory();
rabbit_cf.Uri = rabbit_serverAddress;
IConnection rabbit_conn = rabbit_cf.CreateConnection();
IModel rabbit_ch = rabbit_conn.CreateModel();
rabbit_ch.ExchangeDeclare(rabbit_exchange, rabbit_exchangeType);
IBasicProperties msg_props = rabbit_ch.CreateBasicProperties();
msg_props.ContentType = "text/plain";
rabbit_ch.BasicPublish(rabbit_exchange,
rabbit_routingKey,
msg_props,
Encoding.UTF8.GetBytes(rabbit_message)); // or Encoding.UTF8.GetBytes(); - we convert message into a byte array
}
}
// --------------------------------------------------- rabbitmq end -----------
// ensure we track this symbol, all the other trackers will be indexed inside track_symbols_NewTxt()
track_symbols.addindex(tick.symbol, false);
// track tick
track_ticks.newTick(tick);
// track (custom) bars
track_barlists.newTick(tick); // dimon: give any ticks (trades) to this symbol and tracker will create barlists automatically
// check if need to exit position:
log_file.WriteLine("check if need to exit position: track_positions[tick.symbol].isLong=" + track_positions[tick.symbol].isLong.ToString());
if (!track_positions[tick.symbol].isLong) // isFlat) - we sell only if we have long positions
{
// should exit long position due to hit target?
if (track_positions[tick.symbol].isLong)
{
// time to exit long position?
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k <= tick.trade;
if (should_exit)
{
string comment = "exit long position due to hit target";
sendorder(new SellMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit short position due to hit target?
if (track_positions[tick.symbol].isShort)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k >= tick.trade;
if (should_exit)
{
string comment = "exit short position due to hit target";
sendorder(new BuyMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit long position due to hit stop?
if (track_positions[tick.symbol].isLong)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_stop_k >= tick.trade;
if (should_exit)
{
string comment = "exit long position due to hit stop";
sendorder(new SellMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
// should exit short position due to hit stop?
if (track_positions[tick.symbol].isShort)
{
bool should_exit = track_positions[tick.symbol].AvgPrice * (decimal)_target_price_k >= tick.trade;
if (should_exit)
{
string comment = "exit short position due to hit stop";
sendorder(new BuyMarket(tick.symbol, EntrySize, comment));
log_file.WriteLine("close position: " + comment);
return;
}
}
}
}
public void Basics()
{
kt = new TickTracker();
// startup tests
Assert.IsFalse(kt[sym].isValid, "valid tick at startup");
Assert.IsFalse(kt[sym].isTrade, "trade at startup");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsFalse(kt[sym].hasBid, "bid at startup");
// trade occurs
kt.newTick(TickImpl.NewTrade(sym, p, s));
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym), "wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsFalse(kt[sym].hasBid, "bid at startup");
// bid
kt.newTick(TickImpl.NewBid(sym, p, s));
// verify bid
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.AreEqual(p, kt.Bid(sym), "wrong bid price");
Assert.AreEqual(ss, kt[sym].bs, "wrong bid size");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify trade still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym), "wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsFalse(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// ask
kt.newTick(TickImpl.NewAsk(sym, p, s));
// verify ask
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isFullQuote, "no quote at startup");
Assert.AreEqual(p, kt.Ask(sym), "wrong ask price");
Assert.AreEqual(ss, kt[sym].os, "wrong ask size");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify trade still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isTrade, "no trade at startup");
Assert.AreEqual(p, kt.Last(sym), "wrong trade price");
Assert.AreEqual(s, kt[sym].size, "wrong trade size");
Assert.IsFalse(kt[sym].isQuote, "quote at startup");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
// verify bid still shows
Assert.IsTrue(kt[sym].isValid, "no valid tick at startup");
Assert.IsTrue(kt[sym].isFullQuote, "no quote at startup");
Assert.AreEqual(p, kt.Bid(sym), "wrong bid price");
Assert.AreEqual(ss, kt[sym].bs, "wrong bid size");
Assert.IsTrue(kt[sym].hasAsk, "ask at startup");
Assert.IsTrue(kt[sym].hasBid, "bid at startup");
}