private void stop_StatusChanged(StopEventArgs args)
{
ATSStop atsStop = args.Stop as ATSStop;
if (((StopBase)atsStop).Status != null)
{
this.activeStops[((StopBase)atsStop).Instrument].Remove(atsStop);
// ISSUE: method pointer
atsStop.StatusChanged -= new StopEventHandler(this.stop_StatusChanged);
}
if (((StopBase)atsStop).Status != FreeQuant.Trading.StopStatus.Executed)
{
return;
}
try
{
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(((StopBase)atsStop).Instrument, out strategy))
{
return;
}
strategy.OnStopExecuted(Map.FQ_OQ_Stop[(object)atsStop] as OpenQuant.API.Stop);
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public double GetMatchPrice(Strategy strategy, OrderSide side)
{
Quote quote = strategy.Quote;
Trade trade = strategy.Trade;
Bar bar = strategy.Bar;
if (quote != null)
{
if (side == OrderSide.Buy)
{
if (quote.Ask != 0)
return quote.Ask;
}
else
{
if (quote.Bid != 0)
return quote.Bid;
}
}
if (trade != null)
if (trade.Price != 0)
return trade.Price;
if (bar != null)
{
if (bar.Close != 0)
return bar.Close;
if (bar.Open != 0)
return bar.Open;
}
return 0;
}
public void SetOrderDone(SingleOrder order)
{
try
{
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(order.Instrument, out strategy))
{
return;
}
switch (order.OrdStatus)
{
case OrdStatus.Filled:
strategy.OnOrderFilled(Map.FQ_OQ_Order[(object)order] as Order);
break;
case OrdStatus.Cancelled:
strategy.OnOrderCancelled(Map.FQ_OQ_Order[(object)order] as Order);
break;
case OrdStatus.Rejected:
strategy.OnOrderRejected(Map.FQ_OQ_Order[(object)order] as Order);
break;
case OrdStatus.Expired:
strategy.OnOrderExpired(Map.FQ_OQ_Order[(object)order] as Order);
break;
}
strategy.OnOrderDone(Map.FQ_OQ_Order[(object)order] as Order);
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
private void portfolio_PositionClosed(object sender, PositionEventArgs args)
{
try
{
FreeQuant.Instruments.Instrument instrument = args.Position.Instrument;
if (this.activeStops.ContainsKey(instrument))
{
foreach (ATSStop atsStop in new ArrayList((ICollection)this.activeStops[instrument]))
{
if (((StopBase)atsStop).Type == FreeQuant.Trading.StopType.Time && ((StopBase)atsStop).Status == null || atsStop.Connected)
{
atsStop.OnPositionClosed(args.Position);
}
}
}
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnPositionClosed();
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public void SetNewBarOpen(FreeQuant.Instruments.Instrument instrument, FreeQuant.Data.Bar bar)
{
try
{
if (this.stops.Count != 0)
{
List <ATSStop> list = (List <ATSStop>)null;
if (this.activeStops.TryGetValue(instrument, out list))
{
foreach (ATSStop atsStop in new ArrayList((ICollection)list))
{
if (atsStop.Connected)
{
atsStop.OnNewBarOpen(bar);
}
}
}
}
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnBarOpen((OpenQuant.API.Bar) this.objectConverter.Convert(bar));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public void SetOrderCancelReject(SingleOrder order)
{
try
{
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(order.Instrument, out strategy))
{
return;
}
strategy.OnOrderCancelReject(Map.FQ_OQ_Order[(object)order] as Order);
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
private void portfolio_ValueChanged(object sender, PositionEventArgs args)
{
try
{
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(args.Position.Instrument, out strategy))
{
return;
}
strategy.OnPositionValueChanged();
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
public void SetNewMarketDepth(FreeQuant.Instruments.Instrument instrument, MarketDepth depth)
{
try
{
Strategy strategy = (Strategy)null;
if (!this.strategies.TryGetValue(instrument, out strategy))
{
return;
}
strategy.OnOrderBookChanged((OrderBookUpdate)this.objectConverter.Convert(depth));
}
catch (Exception ex)
{
this.EmitError(ex);
}
}
// 在对手价上加一定跳数
public double GetMatchPrice(Strategy strategy, OrderSide side, double jump)
{
double price = GetMatchPrice(strategy, side);
if (side == OrderSide.Buy)
{
price += jump * TickSize;
}
else
{
price -= jump * TickSize;
}
// 修正一下价格
price = FixPrice(price, side);
return price;
}
public void Online(bool resetState)
{
this.active = true;
if (resetState)
{
this.strategies.Clear();
this.stops.Clear();
this.activeStops.Clear();
Map.Instruments[this.strategyName] = new List <string>();
}
if (!this.enabled)
{
return;
}
if (resetState)
{
string code = (string)this.sampleStrategy.GetType().GetField("Currency", BindingFlags.Instance | BindingFlags.NonPublic | BindingFlags.GetField | BindingFlags.SetField).GetValue((object)this.sampleStrategy);
if (CurrencyManager.Currencies.Contains(code))
{
this.Portfolio.Account.Currency = CurrencyManager.Currencies[code];
}
List <string> list = new List <string>();
MethodInfo method = typeof(Strategy).GetMethod("Init", BindingFlags.Instance | BindingFlags.NonPublic);
FieldInfo field1 = typeof(Strategy).GetField("startDate", BindingFlags.Instance | BindingFlags.NonPublic | BindingFlags.GetField);
FieldInfo field2 = typeof(Strategy).GetField("stopDate", BindingFlags.Instance | BindingFlags.NonPublic | BindingFlags.GetField);
FieldInfo field3 = typeof(Strategy).GetField("cash", BindingFlags.Instance | BindingFlags.NonPublic | BindingFlags.GetField);
foreach (FreeQuant.Instruments.Instrument key in this.instruments)
{
Strategy strategy = Activator.CreateInstance(this.sampleStrategy.GetType()) as Strategy;
this.SetProxyProperties((object)strategy, (object)this.sampleStrategy);
method.Invoke((object)strategy, new object[6]
{
(object)this.sq_Portfolio,
(object)this.sq_MetaPortfolio,
(object)key,
(object)this.dataRequests,
(object)this.strategyName,
(object)this.strategyLogManager
});
field1.SetValue((object)strategy, (object)this.startDate);
field2.SetValue((object)strategy, (object)this.stopDate);
field3.SetValue((object)strategy, (object)this.cash);
this.strategies.Add(key, strategy);
list.Add(key.Symbol);
}
Map.Instruments[this.strategyName] = list;
foreach (Strategy strategy in this.strategies.Values)
{
strategy.OnStrategyStart();
}
}
else
{
OpenQuant.API.Portfolio portfolio = Map.FQ_OQ_Portfolio[(object)this.sq_Portfolio] as OpenQuant.API.Portfolio;
foreach (object obj in this.strategies.Values)
{
typeof(Strategy).GetField("portfolio", BindingFlags.Instance | BindingFlags.NonPublic | BindingFlags.GetField | BindingFlags.SetField).SetValue(obj, (object)portfolio);
}
}
this.Connect();
}
