public override Trade FilterTrade(Trade trade, string symbol)
{
// 进行Trade过滤下面只给一个示例
return trade;
Trade lastGoodTrade = null;
//检查数据表中是否有正常交易
if (goodTrades.TryGetValue(symbol, out lastGoodTrade))
{
// 检查是否有数据特征
//检查新的交易与上一个正常交易相比，价差是否在0.5%以上
if (Math.Abs((1 - lastGoodTrade.Price / trade.Price) * 100) < 0.5)
{
//是正常交易，就更新为上一个正常交易
goodTrades[symbol] = trade;
return trade;
}
else
{
return null;
}
}
else
{
// 将第一次交易数据作为初始正常数据
goodTrades[symbol] = trade;
// 将此数据添加到数据表里（第一个数据）
return trade;
}
}
public override OpenQuant.API.Trade FilterTrade(OpenQuant.API.Trade trade, string symbol)
{
_trades[symbol] = trade;
// 在这之前可以做自己的过滤
Trade t = trade;
if (filter != null)
{
t = filter.FilterTrade(trade, symbol);
}
if (t != null)
{
EmitTrade(symbol, Clock.Now, t.Price, t.Size);
}
else
{
return(null);
}
Trade t1, t2;
if (_trades.TryGetValue("IF1306", out t1) &&
_trades.TryGetValue("IF1307", out t2))
{
EmitTrade("IF1306-IF1307", Clock.Now, t1.Price - t2.Price, 0);
EmitTrade("IF1306-IF1307*2", Clock.Now, t1.Price - t2.Price * 2.0, 0);
}
// 注意，这个地方一定要返回null
// 这实际上是让插件内部的Emit不调用
return(null);
}
public override void OnTrade(Trade trade)
{
// 插件3.8.2.0 中开始可用，是将Trade数据中的深度数据取出
if (DataConvert.TryConvert(trade, ref DepthMarketData))
{
Console.WriteLine("OnTrade " + DepthMarketData.LastPrice);
Console.WriteLine("OnTrade " + DepthMarketData.UpperLimitPrice);
}
}
public override void OnTrade(Trade trade)
{
//每次在行情到来时更新最高、最低和成交量
dbHigh = Math.Max(trade.Price, dbHigh);
dbLow = Math.Min(trade.Price, dbLow);
dbClose = trade.Price;
dbVolume += trade.Size;
//其他代码
}
public override void OnTrade(Trade trade)
{
server.SetData(TOPIC_TRADE_PRICE,
Instrument.ToString(),
1,
trade.Price
);
server.SetData(TOPIC_TRADE_SIZE,
Instrument.ToString(),
1,
trade.Size
);
}
public static bool TryConvert(Trade trade, ref DFITCDepthMarketDataField DepthMarketData)
{
if (tradeField == null)
{
tradeField = typeof(Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
XSpeedTrade t = tradeField.GetValue(trade) as XSpeedTrade;
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return true;
}
return false;
}
public override Bar FilterBarOpen(Bar bar, string symbol)
{
_bar_trade[symbol] = new Trade(Clock.Now, bar.Close, (int)bar.Volume);
Trade t1, t2;
if (_bar_trade.TryGetValue("AAPL", out t1)
&& _bar_trade.TryGetValue("MSFT", out t2))
{
EmitTrade("AAPL-MSFT", Clock.Now, t1.Price - t2.Price, 0);
}
// 注意，这个地方要返回
// 不修改默认行情
return bar;
}
public override void OnTrade(Trade trade)
{
// 只用第二个合约的生成，数量约为第二个合约的Trade数
// 假如第一个是IF1309,第二个是399300.SZ，这下生成的就6秒一次了
// 按自己需求调
if (Instrument == Instrument2)
{
if (Instrument1.Trade != null
&& Instrument2.Trade != null)
{
double Price = Instrument1.Trade.Price - Instrument2.Trade.Price;
int Size = Math.Min(Instrument1.Trade.Size, Instrument2.Trade.Size);
Trade t = new Trade(Clock.Now, Price, Size);
DataManager.Add(Instrument3, t);
}
}
}
public override void OnBarSlice(long size)
{
// 为了保证采样间隔一样，用户按自己的需求改
if (size != barSize)
{
return;
}
// 如果添加了两个合约就会触发两次，只选后面一次保存
if (Instrument == Instrument2)
{
// 本想保存成Bar,细想没必要,保存了Trade，用户自己手工压缩成Bar就成
double Price = Instrument1.Bar.Close - Instrument2.Bar.Close;
Trade t = new Trade(Clock.Now, Price, 0);
// 注释了。在前面的OnTrade可以生成更细致的Trade
//DataManager.Add(Instrument3,t);
}
}
public static bool TryConvert(Trade trade, ref CThostFtdcDepthMarketDataField DepthMarketData)
{
#if OQ
if (tradeField == null)
{
tradeField = typeof(Trade).GetField("trade", BindingFlags.NonPublic | BindingFlags.Instance);
}
CTPTrade t = tradeField.GetValue(trade) as CTPTrade;
#elif QD
CTPTrade t = trade as CTPTrade;
#endif
if (null != t)
{
DepthMarketData = t.DepthMarketData;
return true;
}
return false;
}
public override void OnTrade(Trade trade)
{
Process();
}
public override void OnTrade(Trade trade)
{
do
{
// 尾盘平仓
if (0 != ExitOnClose(300,""))
break;
// 跟踪止损
TrailingStop(trade.Price, 5, StopMode.Absolute, "");
} while (false);
base.OnTrade(trade);
}
public void Add(Trade trade)
{
this.series.Add(trade.trade);
}
public override void OnTrade(Trade trade)
{
// 模拟行情时,不保存
if (StrategyMode.Simulation != Mode)
DataManager.Add(Instrument, trade);
}
public static void Add(Instrument instrument, Trade trade)
{
SmartQuant.Instruments.Instrument instrument2 = Map.OQ_SQ_Instrument[instrument] as SmartQuant.Instruments.Instrument;
SmartQuant.Instruments.DataManager.Add(instrument2, trade.trade);
}
public void EmitTrade(Instrument instrument, Trade trade)
{
if (!(this.MarketDataProvider.provider is ISimulationMarketDataProvider))
return;
(this.MarketDataProvider.provider as ISimulationMarketDataProvider).EmitTrade((IFIXInstrument) instrument.instrument, trade.trade);
}
public override void OnTrade(Trade trade)
{
//lock(this)
{
Process();
}
HiLoAfterEntry(trade.Price);
}
public override void OnTrade(Trade trade)
{
Process();
HiLoAfterEntry(trade.Price);
}
public void EmitTrade(Trade trade)
{
this.EmitTrade(this.Instrument, trade);
}
public virtual Trade FilterTrade(Trade trade, string symbol)
{
return trade;
}
public virtual void OnTrade(Trade trade)
{
}
