static Statistics GetSessionData(string filename)
{
using (var tf = TeaFile <Tick> .OpenRead(filename, ItemDescriptionElements.None))
{
var stats = new Statistics();
Tick firstTick = tf.Items.First();
double minPrice = firstTick.Price;
double maxPrice = firstTick.Price;
var session = new TradingSession(firstTick.Time);
stats.Sessions.Add(session);
int n = 0;
foreach (var tick in tf.Items)
{
if (tick.Time >= session.End)
{
session = new TradingSession(tick.Time);
stats.Sessions.Add(session);
}
session.TickCount++;
minPrice = Math.Min(tick.Price, minPrice);
maxPrice = Math.Max(tick.Price, maxPrice);
n++;
}
stats.MinPrice = minPrice;
stats.MaxPrice = maxPrice;
return(stats);
}
}
private List <TradingSession> GetTradingSessionDataResult(List <TradingSession> updatedTradingSessionList, List <TradingSession> updateTradingSessionList)
{
HashSet <int> set_TradingDay = new HashSet <int>();
List <TradingSession> result = new List <TradingSession>();
if (updatedTradingSessionList != null)
{
for (int i = 0; i < updatedTradingSessionList.Count; i++)
{
TradingSession session = updatedTradingSessionList[i];
if (set_TradingDay.Contains(session.TradingDay))
{
continue;
}
set_TradingDay.Add(session.TradingDay);
result.Add(session);
}
}
if (updateTradingSessionList == null)
{
return(result);
}
for (int i = 0; i < updateTradingSessionList.Count; i++)
{
TradingSession session = updateTradingSessionList[i];
if (set_TradingDay.Contains(session.TradingDay))
{
continue;
}
set_TradingDay.Add(session.TradingDay);
result.Add(session);
}
return(result);
}
static Statistics GetSessionDataMemMapped(string filename)
{
using (var mf = RawMemoryMapping <Tick> .OpenRead(filename))
unsafe
{
var stats = new Statistics();
Tick * firstTick = (Tick *)mf.ItemAreaStart;
double minPrice = firstTick->Price;
double maxPrice = firstTick->Price;
var session = new TradingSession(firstTick->Time);
stats.Sessions.Add(session);
for (var t = firstTick; t != mf.ItemAreaEnd; t++)
{
if (t->Time >= session.End)
{
session = new TradingSession(t->Time);
stats.Sessions.Add(session);
}
session.TickCount++;
minPrice = Math.Min(t->Price, minPrice);
maxPrice = Math.Max(t->Price, maxPrice);
}
stats.MinPrice = minPrice;
stats.MaxPrice = maxPrice;
return(stats);
}
}
public TradingEngine(MarketDataChannel chnnls, TradingSession sess, string companyId, string traderId, string locationId = null)
{
senderCompId = companyId;
senderTraderId = traderId;
senderLocationId = locationId;
channels = chnnls;
if (channels != null)
{
snapshotConnection = channels.Connections.Find(x => x.Type == MarketDataChannelConnectionType.Snapshot && x.Feed == "A");
incrementalConnection = channels.Connections.Find(x => x.Type == MarketDataChannelConnectionType.Incremental && x.Feed == "A");
snapshotServer = new FixUdpServer(snapshotConnection);
incrementalServer = new FixUdpServer(incrementalConnection);
}
else
{
snapshotServer = new FixUdpServer(new MarketDataChannelConnection()
{
IPAddress = IPAddress.Loopback, Port = 7998
});
incrementalServer = new FixUdpServer(new MarketDataChannelConnection()
{
IPAddress = IPAddress.Loopback, Port = 7999
});
}
session = sess;
session.Changed += HandleSessionChanged;
}
public async Task <string> CreateExperiment(ForexExperiment experiment)
{
experiment.starttime = DateTime.Now.ToLongTimeString();
await AddExperiment(_mapper.Map <ForexExperimentMongo>(experiment));
List <Strategy> _strategies = experiment.GetStrategies();
int counter = 0;
foreach (Strategy _strategy in _strategies)
{
TradingSession session = new TradingSession();
session.Name = $"{experiment.name}_{counter}";
session.StartDate = experiment.startdate;
session.EndDate = experiment.enddate;
session.TradingStrategy = _mapper.Map <StrategyMongo>(_strategy);
session.Read = false;
session.ExperimentId = experiment.name;
session.StartAmount = experiment.startamount;
await PushTradingStrategySession(session);
counter++;
}
return($"{experiment.name} added");
}
private bool IsTimeInTradingSession(int tradingDay, double time)
{
if (tradingDay < 0)
{
return(false);
}
TradingSession tradingSession = GetTradingSession(tradingDay);
if (tradingSession == null)
{
return(false);
}
return(time >= tradingSession.StartTime && time <= tradingSession.EndTime);
}
public TradingSession ToTradingSession()
{
var ts = new TradingSession();
foreach (var date in Dates)
{
foreach (var sess in date.Sessions)
{
// TODO: split out no cancel
ts.Add(sess.StartTime, sess.Status);
}
}
return(ts);
}
public int GetRecentTradingDay(double time, bool forward)
{
if (dic_StartTime_TradingDay.ContainsKey(time))
{
return(dic_StartTime_TradingDay[time]);
}
int tradingDay = (int)time;
TradingSession tradingSession = GetTradingSession(tradingDay);
if (tradingSession != null)
{
if (time >= tradingSession.StartTime && time <= tradingSession.EndTime)
{
return(tradingDay);
}
if (forward)
{
if (time > tradingSession.EndTime)
{
return(GetTradingDayCache().GetNextTradingDay(tradingDay));
}
return(tradingDay);
}
else
{
if (time < tradingSession.StartTime)
{
return(GetTradingDayCache().GetPrevTradingDay(tradingDay));
}
return(tradingDay);
}
}
if (forward)
{
return(GetTradingDayCache().GetNextTradingDay(tradingDay));
}
int nextTradingDay = GetTradingDayCache().GetNextTradingDay(tradingDay);
if (IsTimeInThisDay(nextTradingDay, time))
{
return(nextTradingDay);
}
return(GetTradingDayCache().GetPrevTradingDay(tradingDay));
}
public CacheUtils_TradingSession(string instrumentId, List <TradingSession> tradingSessionList)
{
this.instrumentId = instrumentId;
this.tradingSessionList = tradingSessionList;
this.tradingDays = new List <int>(tradingSessionList.Count);
this.startTimes = new List <double>(tradingSessionList.Count);
this.dic_TradingDay_TradingSession = new Dictionary <int, TradingSession>(tradingSessionList.Count);
this.dic_StartTime_TradingDay = new Dictionary <double, int>(tradingSessionList.Count);
for (int i = 0; i < tradingSessionList.Count; i++)
{
TradingSession tradingSession = tradingSessionList[i];
this.tradingDays.Add(tradingSession.TradingDay);
this.startTimes.Add(tradingSession.StartTime);
this.dic_TradingDay_TradingSession.Add(tradingSession.TradingDay, tradingSession);
this.dic_StartTime_TradingDay.Add(tradingSession.StartTime, tradingSession.TradingDay);
}
}
private IKLineData GetData_Minute(KLinePeriod period)
{
if (period.PeriodType != KLineTimeType.MINUTE)
{
return(null);
}
int day = beforeBarCount * period.Period / 225;
int beforeStartDate = dataReader.TradingDayReader.GetPrevTradingDay(startDate, day);
IKLineData klineData = dataReader.KLineDataReader.GetData(code, beforeStartDate, endDate, period);
KLineData_RealTime klineData_RealTime = new KLineData_RealTime(klineData);
TradingSession session = tradingSessionReader.GetTradingSession(startDate);
int index = klineData_RealTime.IndexOfTime(session.StartTime);
klineData_RealTime.BarPos = index;
return(klineData_RealTime);
}
public static List <TradingSession> LoadByLines(string[] lines)
{
List <TradingSession> data = new List <TradingSession>(lines.Length);
for (int i = 0; i < lines.Length; i++)
{
String line = lines[i].Trim();
if (line.Equals(""))
{
continue;
}
String[] dataArr = line.Split(',');
TradingSession startTime = new TradingSession();
startTime.TradingDay = int.Parse(dataArr[0]);
startTime.StartTime = double.Parse(dataArr[1]);
startTime.EndTime = double.Parse(dataArr[2]);
data.Add(startTime);
}
return(data);
}
private void BuildInstrumentTradingSessions(List <Protocal.TradingInstrument.InstrumentDayOpenCloseParams> instrumentParams)
{
foreach (var eachInstrumentParams in instrumentParams)
{
List <TradingSession> sessions;
if (!_InstrumentTradingSessionDict.TryGetValue(eachInstrumentParams.Id, out sessions))
{
sessions = new List <TradingSession>();
_InstrumentTradingSessionDict.Add(eachInstrumentParams.Id, sessions);
}
foreach (var eachSession in eachInstrumentParams.TradingSessions)
{
TradingSession session = new TradingSession
{
BeginTime = eachSession.BeginTime,
EndTime = eachSession.EndTime
};
sessions.Add(session);
}
}
}
public static void Run()
{
Security sec = new Security()
{
Id = 1, Type = SecurityType.Future, Group = "GC", Product = "GC", Contract = "GCZ6"
};
var tod = DateTime.UtcNow.TimeOfDay;
var ts = new TradingSession();
Random rand = new Random();
int port = 7000 + rand.Next(0, 100);
TradingEngine exc = new TradingEngine(null, ts, "CME", "G");
exc.AddSecurity(sec);
exc.Start(IPAddress.Loopback, port);
ts.Update(SecurityTradingStatus.Open);
Thread.Sleep(100);
var client = new Client("ABC123N", "Operator1", "IE", "CME", "G", null, "Acc1");
client.Connect(IPAddress.Loopback, port);
Thread.Sleep(100);
client.Logon("password");
int oid1 = client.CreateLimitOrder(sec, Side.Buy, 3, 100);
Thread.Sleep(100); // we need to wait to hear the ack to get an OrderId
client.UpdateOrder(oid1, sec, OrderType.Limit, TimeInForce.Day, null, Side.Buy, 105, null, 5, null, null);
client.DeleteOrder(oid1, sec, Side.Buy);
Thread.Sleep(100);
}
public int GetRecentOpenDate(double time)
{
int date = GetOpenDate(time);
if (date >= 0)
{
return(date);
}
date = (int)time;
if (dicOpenTime.ContainsKey(date))
{
TradingSession dayOpenTime = GetOpenTime(date);
if (time < dayOpenTime.StartTime)
{
return(date);
}
return(cache.GetNextTradingDay((int)time));
}
if (date >= cache.LastTradingDay)
{
return(-1);
}
return(cache.GetNextTradingDay((int)time));
}
static Statistics GetSessionDataMemMapped(string filename)
{
using (var mf = RawMemoryMapping<Tick>.OpenRead(filename))
unsafe
{
var stats = new Statistics();
Tick* firstTick = (Tick*)mf.ItemAreaStart;
double minPrice = firstTick->Price;
double maxPrice = firstTick->Price;
var session = new TradingSession(firstTick->Time);
stats.Sessions.Add(session);
for (var t = firstTick; t != mf.ItemAreaEnd; t++)
{
if (t->Time >= session.End)
{
session = new TradingSession(t->Time);
stats.Sessions.Add(session);
}
session.TickCount++;
minPrice = Math.Min(t->Price, minPrice);
maxPrice = Math.Max(t->Price, maxPrice);
}
stats.MinPrice = minPrice;
stats.MaxPrice = maxPrice;
return stats;
}
}
public async Task PushTradingStrategySession(TradingSession item)
{
await _context.TradingSessionQueue.InsertOneAsync(item);
}
static Statistics GetSessionData(string filename)
{
using (var tf = TeaFile<Tick>.OpenRead(filename, ItemDescriptionElements.None))
{
var stats = new Statistics();
Tick firstTick = tf.Items.First();
double minPrice = firstTick.Price;
double maxPrice = firstTick.Price;
var session = new TradingSession(firstTick.Time);
stats.Sessions.Add(session);
int n = 0;
foreach (var tick in tf.Items)
{
if (tick.Time >= session.End)
{
session = new TradingSession(tick.Time);
stats.Sessions.Add(session);
}
session.TickCount++;
minPrice = Math.Min(tick.Price, minPrice);
maxPrice = Math.Max(tick.Price, maxPrice);
n++;
}
stats.MinPrice = minPrice;
stats.MaxPrice = maxPrice;
return stats;
}
}
