/// <summary>
/// Quote Dispatcher
/// </summary>
/// <param name="e"></param>
private void QuoteDispatcher(MyEventArgs <Tick> e)
{
// 1. strategies
_feedstrategyquoteservice.FeedStrategies(e.Value);
// 2. tick archive
_tickarchiveservice.newTick(e.Value);
// 3. Views
_quoteviewupdateservice.UpdateViews(e.Value);
}
public void CreateRead()
{
readdata.Clear();
readdata2.Clear();
FILE = TikWriter.SafeFilename(SYM, PATH, DATE);
TestTikWriterReader.removefile(FILE);
{
Tick[] data = RandomTicks.GenerateSymbol(SYM, MAXTICKS);
TickArchiver ta = new TickArchiver(Environment.CurrentDirectory);
for (int i = 0; i < data.Length; i++)
{
data[i].date = DATE;
data[i].time = Util.DT2FT(DateTime.Now);
ta.newTick(data[i]);
}
ta.Stop();
// read file back in from file
TikReader tr = new TikReader(FILE);
tr.gotTick += new TickDelegate(tr_gotTick);
while (tr.NextTick())
{
;
}
// verify length
Assert.AreEqual(data.Length, readdata.Count);
// verify content
bool equal = true;
for (int i = 0; i < MAXTICKS; i++)
{
equal &= data[i].trade == readdata[i].trade;
}
tr.Close();
readdata.Clear();
Assert.IsTrue(equal, "ticks did not matched archive.");
TestTikWriterReader.removefile(FILE);
}
}
void tl_gotTick(Tick t)
{
// see if we are tracking this symbol
int[] idxs = new int[0];
if (!_symidx.TryGetValue(t.symbol, out idxs))
{
return;
}
// see if we should save this tick
if (_ao.archivetickbox.Checked)
{
_ta.newTick(t);
}
// send tick to any valid requesting responses
foreach (int idx in idxs)
{
if (_reslist[idx].isValid)
{
_reslist[idx].GotTick(t);
}
}
}
public void Multiday()
{
readdata.Clear();
readdata2.Clear();
int d = 20100223;
int t = 235900;
int t1 = 0;
const decimal p = 50;
int s = 100;
string FILE1 = TikWriter.SafeFilename(SYM, PATH, d);
TestTikWriterReader.removefile(FILE1);
string FILE2 = TikWriter.SafeFilename(SYM, PATH, d + 1);
TestTikWriterReader.removefile(FILE2);
Tick[] data = new Tick[]
{
TickImpl.NewTrade(SYM, d, t++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t++, p, s, string.Empty),
// day two
TickImpl.NewTrade(SYM, ++d, t1++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t1++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t1++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t1++, p, s, string.Empty),
TickImpl.NewTrade(SYM, d, t1++, p, s, string.Empty),
};
TickArchiver ta = new TickArchiver(Environment.CurrentDirectory);
for (int i = 0; i < data.Length; i++)
{
ta.newTick(data[i]);
}
ta.Stop();
// read file back in from files
if (System.IO.File.Exists(FILE1))
{
TikReader tr = new TikReader(FILE1);
tr.gotTick += new TickDelegate(tr_gotTick);
while (tr.NextTick())
{
;
}
tr.Close();
}
if (System.IO.File.Exists(FILE2))
{
TikReader tr2 = new TikReader(FILE2);
tr2.gotTick += new TickDelegate(tr2_gotTick);
while (tr2.NextTick())
{
;
}
tr2.Close();
}
// verify length
Assert.AreEqual(5, readdata2.Count);
Assert.AreEqual(5, readdata.Count);
TestTikWriterReader.removefile(FILE1);
TestTikWriterReader.removefile(FILE2);
}
// 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() });
// --------------------------------------------
}
void tl_gotTick(Tick t)
{
_ta.newTick(t);
_tlt.newTick(t);
}