コード例 #1
0
        //public string[] parsedExpression
        //{
        //    get { return saParsed; }
        //}

        public ReversePolishNotation(OptionStrategy optionStrategy, OptionSpreadManager optionSpreadManager)
        {
            sOriginalExpression   = string.Empty;
            sTransitionExpression = string.Empty;
            sPostfixExpression    = string.Empty;

            this.optionStrategy      = optionStrategy;
            this.optionSpreadManager = optionSpreadManager;
        }
コード例 #2
0
        public List <OptionStrategy> readSupplementContracts(string fullFile, OptionArrayTypes optionArrayTypes,
                                                             int portfolioId,
                                                             QueryFutureIdContractDelegate queryFutureIdContractDelegate, object queryObject)
        {
            List <OptionStrategy> optionStrategies = new List <OptionStrategy>();

            try
            {
                if (File.Exists(fullFile))
                {
                    FileStream fileStream = new FileStream(fullFile,
                                                           FileMode.Open, FileAccess.Read, FileShare.ReadWrite);
                    StreamReader streamReader = new StreamReader(fileStream);

                    int optionStrategyCount = 1;

                    while (!streamReader.EndOfStream)
                    {
                        String line = streamReader.ReadLine();

                        if (line.Length > 0)
                        {
                            string[] supplementContractStrategy = line.Split(',');

                            if (supplementContractStrategy.Length >= 3)
                            {
                                string idcontract = queryFutureIdContractDelegate(queryObject,
                                                                                  Convert.ToInt32(supplementContractStrategy[0].Trim()),
                                                                                  Convert.ToInt32(supplementContractStrategy[1].Trim()),
                                                                                  Convert.ToInt32(supplementContractStrategy[2].Trim()));

                                OptionStrategy optionStrategy = new OptionStrategy();

                                optionStrategy.optionStrategyParameters = new OptionStrategyParameter[
                                    optionArrayTypes.tblStrategyStateFieldTypesArray.GetLength(0)];

                                for (int i = 0; i < optionArrayTypes.tblStrategyStateFieldTypesArray.GetLength(0); i++)
                                {
                                    optionStrategy.optionStrategyParameters[i] = new OptionStrategyParameter();
                                }

                                optionStrategies.Add(optionStrategy);

                                optionStrategy.supplementContract = true;

                                optionStrategy.idPortfoliogroup = portfolioId;

                                optionStrategy.idInstrument = Convert.ToInt32(supplementContractStrategy[0]);

                                optionStrategy.idStrategy = optionStrategyCount;

                                optionStrategyCount++;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.numberOfLegs].strategyStateFieldType
                                    = TBL_STRATEGY_STATE_FIELDS.numberOfLegs;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.numberOfLegs].parseParameter = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.numberOfLegs].stateValue     = 1;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.spreadStructure].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.spreadStructure;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.spreadStructure].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.spreadStructure].stateValueStringNotParsed = "2";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.activeContractIndexes].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.activeContractIndexes;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.activeContractIndexes].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.activeContractIndexes].stateValueStringNotParsed = idcontract;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rollIntoContractIndexes].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.rollIntoContractIndexes;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rollIntoContractIndexes].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_ROLL_PARAMETER_SCRIPT;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rollIntoContractIndexes].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.cfgContracts].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.cfgContracts;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.cfgContracts].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.cfgContracts].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.currentPosition].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.currentPosition;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.currentPosition].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.currentPosition].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryRule].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.entryRule;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryRule].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_ENTRY_SCRIPT;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryRule].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryLots].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.entryLots;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryLots].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.entryLots].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitRule].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.exitRule;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitRule].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_EXIT_SCRIPT;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitRule].stateValueStringNotParsed = "";

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitLots].strategyStateFieldType    = TBL_STRATEGY_STATE_FIELDS.exitLots;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitLots].parseParameter            = TBL_DB_PARSE_PARAMETER.PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.exitLots].stateValueStringNotParsed = "";


                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.marginRequirement].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.marginRequirement;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.marginRequirement].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.marginRequirement].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.rRisk;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk_R].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.rRisk_R;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk_R].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rRisk_R].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.oneR].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.oneR;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.oneR].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.oneR].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.rStatus;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus_R].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.rStatus_R;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus_R].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.rStatus_R].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idRiskType].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.idRiskType;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idRiskType].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idRiskType].stateValue             = 0;

                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idSignalType].strategyStateFieldType = TBL_STRATEGY_STATE_FIELDS.idSignalType;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idSignalType].parseParameter         = TBL_DB_PARSE_PARAMETER.DONOT_PARSE_PARAMETER;
                                optionStrategy.optionStrategyParameters[(int)TBL_STRATEGY_STATE_FIELDS.idSignalType].stateValue             = 0;


                                optionStrategy.lockedIn_R = 0;
                            }
                        }
                    }

                    fileStream.Close();
                    streamReader.Close();
                }
            }
            catch (Exception ex)
            {
                TSErrorCatch.errorCatchOut(Convert.ToString(this), ex);
            }

            return(optionStrategies);
        }