public static string Convert(OpenQuant.API.InstrumentType value)
{
switch (value)
{
case OpenQuant.API.InstrumentType.Stock:
return "CS";
case OpenQuant.API.InstrumentType.Futures:
return "FUT";
case OpenQuant.API.InstrumentType.Option:
return "OPT";
case OpenQuant.API.InstrumentType.FutOpt:
return "FOP";
case OpenQuant.API.InstrumentType.Bond:
return "TBOND";
case OpenQuant.API.InstrumentType.Index:
return "IDX";
case OpenQuant.API.InstrumentType.ETF:
return "ETF";
case OpenQuant.API.InstrumentType.FX:
return "FOR";
case OpenQuant.API.InstrumentType.MultiLeg:
return "MLEG";
case OpenQuant.API.InstrumentType.Commodity:
return "CMDTY";
default:
throw new ArgumentException(string.Format("Unknown InstrumentType - {0}", value));
}
}
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 static void Init()
{
Currency.Converter = new DefaultCurrencyConverter();
foreach (SmartQuant.Instruments.Instrument sq_instrument in SmartQuant.Instruments.InstrumentManager.Instruments)
{
OpenQuant.AddInstrument(sq_instrument);
}
SmartQuant.Instruments.InstrumentManager.InstrumentAdded += new InstrumentEventHandler(OpenQuant.SQInstrumentManager_InstrumentAdded);
SmartQuant.Instruments.InstrumentManager.InstrumentRemoved += new InstrumentEventHandler(OpenQuant.SQInstrumentManager_InstrumentRemoved);
foreach (SmartQuant.Instruments.Portfolio sq_portfolio in PortfolioManager.Portfolios)
{
OpenQuant.AddPortfolio(sq_portfolio);
}
PortfolioManager.PortfolioAdded += new PortfolioEventHandler(OpenQuant.SQ_PortfolioManager_PortfolioAdded);
OpenQuant.InitOrders();
OrderManager.NewOrder += new OrderEventHandler(OpenQuant.SQ_OrderManager_NewOrder);
OrderManager.OrderRemoved += new OrderEventHandler(OpenQuant.SQ_OrderManager_OrderRemoved);
OrderManager.OrderListUpdated += new EventHandler(OpenQuant.SQ_OrderManager_OrderListUpdated);
}
public void placeOrder(DecisionData data, OpenQuant.API.OrderSide side, double qty, double limit)
{
double price = data.bar.Close;
String msg = "Placing order: side: " + side.ToString() + " amt: " + price.ToString() + " Limit: " + limit.ToString() + " Qty: " + qty.ToString();
System.Console.WriteLine(msg);
if(side == OpenQuant.API.OrderSide.Buy)
{
data.strategy.buyOrder = data.strategy.LimitOrder(OpenQuant.API.OrderSide.Buy, qty, limit);
data.strategy.buyOrder.Send();
}
else
{
data.strategy.sellOrder = data.strategy.LimitOrder(OpenQuant.API.OrderSide.Sell, qty, limit);
data.strategy.sellOrder.Send();
}
}
public override Quote FilterQuote(OpenQuant.API.Quote quote, string symbol)
{
// 接收所有报价
return quote;
}
protected override void HandlePartiallyFilledQuantity(OpenQuant.API.Order order)
{
LoggingUtility.WriteInfoFormat(this, "ORDER PARTIALLY FILLED: Filled Qty={0}, Avg. Fill Price={1:c}",
order.CumQty, order.AvgPrice);
RemainingQuantity = Convert.ToInt32(order.LeavesQty);
FilledQuantity = Convert.ToInt32(order.CumQty);
}
private SpiderBar ConvertBar(OpenQuant.API.Bar originalBar)
{
SpiderBar spiderBar = new SpiderBar()
{
IsComplete = originalBar.IsComplete,
Open = originalBar.Open,
High = originalBar.High,
Low = originalBar.Low,
Close = originalBar.Close,
BeginTime = originalBar.BeginTime,
EndTime = originalBar.EndTime,
Size = originalBar.Size,
Volume = originalBar.Volume
};
return spiderBar;
}
private SpiderQuote ConvertQuote(OpenQuant.API.Quote originalQuote)
{
SpiderQuote spiderQuote = new SpiderQuote()
{
DateTime = originalQuote.DateTime,
Ask = originalQuote.Ask,
Bid = originalQuote.Bid,
AskSize = originalQuote.AskSize,
BidSize = originalQuote.BidSize
};
return spiderQuote;
}
internal void SetUserCommand(OpenQuant.API.UserCommand command)
{
try
{
foreach (Strategy strategy in this.strategies.Values)
strategy.OnUserCommand(command);
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public static void Init()
{
FreeQuant.Instruments.Currency.Converter = new DefaultCurrencyConverter();
foreach (FreeQuant.Instruments.Instrument fq_instrument in FreeQuant.Instruments.InstrumentManager.Instruments)
{
OpenQuant.AddInstrument(fq_instrument);
}
FreeQuant.Instruments.InstrumentManager.InstrumentAdded += (e) =>
{
OpenQuant.AddInstrument(e.Instrument);
};
FreeQuant.Instruments.InstrumentManager.InstrumentRemoved += (e) =>
{
OpenQuant.RemoveInstrument(e.Instrument);
};
foreach (FreeQuant.Instruments.Portfolio sq_portfolio in PortfolioManager.Portfolios)
{
OpenQuant.AddPortfolio(sq_portfolio);
}
PortfolioManager.PortfolioAdded += (e) =>
{
OpenQuant.AddPortfolio(e.Portfolio);
};
OpenQuant.InitOrders();
OrderManager.NewOrder += (e) =>
{
Order order;
if (Map.FQ_OQ_Order.ContainsKey(e.Order))
{
order = Map.FQ_OQ_Order[e.Order] as Order;
}
else
{
order = new Order(e.Order);
Map.OQ_FQ_Order[order] = e.Order;
Map.FQ_OQ_Order[e.Order] = order;
}
OpenQuant.orders.Add(order);
};
OrderManager.OrderRemoved += (e) =>
{
Order order = Map.FQ_OQ_Order[e.Order] as Order;
OpenQuant.orders.Remove(order);
Map.FQ_OQ_Order.Remove(e.Order);
Map.OQ_FQ_Order.Remove(order);
};
OrderManager.OrderListUpdated += (sender, e) =>
{
OpenQuant.orders.Clear();
Map.OQ_FQ_Order.Clear();
Map.FQ_OQ_Order.Clear();
foreach (SingleOrder order1 in OrderManager.Orders.All)
{
Order order2 = new Order(order1);
OpenQuant.orders.Add(order2);
Map.OQ_FQ_Order[order2] = order1;
Map.FQ_OQ_Order[order1] = order2;
}
};
}
private static void SQ_PortfolioManager_PortfolioAdded(PortfolioEventArgs args)
{
OpenQuant.AddPortfolio(args.Portfolio);
}
private static void SQInstrumentManager_InstrumentRemoved(InstrumentEventArgs args)
{
OpenQuant.RemoveInstrument(args.Instrument);
}
private static void SQInstrumentManager_InstrumentAdded(InstrumentEventArgs args)
{
OpenQuant.AddInstrument(args.Instrument);
}
public static PutOrCall Convert(OpenQuant.API.PutCall value)
{
switch (value)
{
case OpenQuant.API.PutCall.Put:
return (PutOrCall)0;
case OpenQuant.API.PutCall.Call:
return (PutOrCall)1;
default:
throw new ArgumentException(string.Format("Unknown PutCall - {0}", value));
}
}
public static FreeQuant.FIX.TimeInForce Convert(OpenQuant.API.TimeInForce value)
{
switch (value)
{
case OpenQuant.API.TimeInForce.Day:
return (FreeQuant.FIX.TimeInForce)1;
case OpenQuant.API.TimeInForce.GTC:
return (FreeQuant.FIX.TimeInForce)2;
case OpenQuant.API.TimeInForce.OPG:
return (FreeQuant.FIX.TimeInForce)3;
case OpenQuant.API.TimeInForce.IOC:
return (FreeQuant.FIX.TimeInForce)4;
case OpenQuant.API.TimeInForce.FOK:
return (FreeQuant.FIX.TimeInForce)5;
case OpenQuant.API.TimeInForce.GTX:
return (FreeQuant.FIX.TimeInForce)6;
case OpenQuant.API.TimeInForce.GTD:
return (FreeQuant.FIX.TimeInForce)7;
case OpenQuant.API.TimeInForce.ATC:
return (FreeQuant.FIX.TimeInForce)8;
case OpenQuant.API.TimeInForce.GFS:
return (FreeQuant.FIX.TimeInForce)9;
default:
throw new ArgumentException(string.Format("Unknown TimeInForce - {0}", value));
}
}