public override DataSeries AddDataSeries(Instrument instrument, byte type, BarType barType = BarType.Time, long barSize = 60)
{
if (type == DataObjectType.Bar)
{
return(GetBarDataSeriesInCache(instrument, barType, barSize, true));
}
var series = this.byType[type][instrument.Id];
if (series == null)
{
string name = DataSeriesNameHelper.GetName(instrument, type);
series = GetDataSeries(name);
if (series == null)
{
series = CreateDataSeries(name);
this.dataFile.Write(name, series);
}
this.byType[type][instrument.Id] = series;
}
return(series);
}
public override List <DataSeries> GetDataSeriesList(Instrument instrument = null, string pattern = null)
{
var keys = this.dataFile.Keys.Values.Where(k => k.TypeId == ObjectType.DataSeries && (instrument == null || DataSeriesNameHelper.GetSymbol(k.Name) == instrument.Symbol) && (pattern == null || k.Name.Contains(pattern)));
return(keys.Select(k => GetDataSeries(k.Name)).ToList());
}
private void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
Console.WriteLine($"{DateTime.Now} DataSimulator::Subscribe {instrument.Symbol}");
var list = new List <DataSeries>();
if (SubscribeTrade)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Trade, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeBid)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Bid, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeAsk)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Ask, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeQuote)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Quote, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeBar)
{
var dataSeriesList = this.framework.DataManager.GetDataSeriesList(instrument, "Bar");
foreach (DataSeries series in dataSeriesList)
{
if (BarFilter.Count != 0)
{
BarType barType;
long barSize;
DataSeriesNameHelper.TryGetBarTypeSize(series, out barType, out barSize);
if (!BarFilter.Contains(barType, barSize))
{
continue;
}
}
list.Add(series);
}
}
if (SubscribeLevelII)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Level2, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeFundamental)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.Fundamental, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
if (SubscribeNews)
{
var series = this.framework.DataManager.GetDataSeries(instrument, DataObjectType.News, BarType.Time, 60);
if (series != null)
{
list.Add(series);
}
}
foreach (var s in list)
{
this.emitters.Add(CreateDataSeriesEmitter(s, dateTime1, dateTime2));
}
}
