public Level2Snapshot(DateTime dateTime, byte providerId, int instrumentId, Bid[] bids, Ask[] asks) : base(dateTime)
{
this.providerId = providerId;
this.instrumentId = instrumentId;
this.bids = bids;
this.asks = asks;
}
internal override void OnAsk_(Ask ask)
{
foreach (Strategy current in this.strategiesByInstrument[ask.instrumentId])
{
current.OnAsk_(ask);
}
base.OnAsk_(ask);
}
public Quote(Bid bid, Ask ask)
{
this.bid = bid;
this.ask = ask;
if (bid.dateTime > ask.DateTime)
{
this.dateTime = bid.dateTime;
return;
}
this.dateTime = ask.dateTime;
}
public Quote GetQuote(int level)
{
Bid bid = new Bid();
Ask ask = new Ask();
if (this.bids.Count < level)
{
Tick tick = this.bids[level];
bid = new Bid(tick.dateTime, tick.providerId, tick.instrumentId, tick.price, tick.size);
}
if (this.asks.Count < level)
{
Tick tick2 = this.asks[level];
ask = new Ask(tick2.dateTime, tick2.providerId, tick2.instrumentId, tick2.price, tick2.size);
}
return new Quote(bid, ask);
}
public void Import(string fileName, string symbol, int type)
{
Console.WriteLine("Starting export: " + fileName + " " + symbol);
int num = 0;
int num2 = 0;
int num3 = 0;
TextReader textReader = File.OpenText(fileName);
Instrument instrument = this.framework.InstrumentManager.Get(symbol);
if (instrument == null)
{
instrument = new Instrument(InstrumentType.Stock, symbol, "", 1);
this.framework.InstrumentManager.Add(instrument, true);
}
int num4 = 0;
double num5 = -1.0;
int num6 = -1;
double num7 = -1.0;
int num8 = -1;
textReader.ReadLine();
while (true)
{
string text = textReader.ReadLine();
if (text == null)
{
break;
}
string[] array = text.Split(new char[]
{
','
});
CultureInfo invariantCulture = CultureInfo.InvariantCulture;
switch (type)
{
case 4:
{
DateTime dateTime = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num9 = double.Parse(array[1], invariantCulture);
int num10 = int.Parse(array[2]);
if (num9 > 0.0 && num10 > 0)
{
Trade obj = new Trade(dateTime, 1, instrument.Id, num9, num10);
this.framework.DataManager.Save(instrument, obj);
num3++;
}
break;
}
case 5:
{
DateTime dateTime2 = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num11 = double.Parse(array[1], invariantCulture);
int num12 = int.Parse(array[2]);
double num13 = double.Parse(array[3], invariantCulture);
int num14 = int.Parse(array[4]);
if (num11 > 0.0 && num12 > 0 && (num5 != num11 || num6 != num12))
{
Bid obj2 = new Bid(dateTime2, 1, instrument.Id, num11, num12);
this.framework.DataManager.Save(instrument, obj2);
num5 = num11;
num6 = num12;
num2++;
}
if (num13 > 0.0 && num14 > 0 && (num7 != num13 || num8 != num14))
{
Ask obj3 = new Ask(dateTime2, 1, instrument.Id, num13, num14);
this.framework.DataManager.Save(instrument, obj3);
num7 = num13;
num8 = num14;
num++;
}
break;
}
}
if (num4 % 100000 == 0)
{
Console.WriteLine(num4);
}
num4++;
}
Console.WriteLine(string.Concat(new object[]
{
"Lines = ",
num4,
" bids: ",
num2,
" asks: ",
num,
" trades: ",
num3
}));
textReader.Close();
}
public Instrument(Instrument instrument) : this()
{
this.id = instrument.id;
this.type = instrument.type;
this.symbol = instrument.symbol;
this.description = instrument.description;
this.exchange = instrument.exchange;
this.currencyId = instrument.currencyId;
this.tickSize = instrument.tickSize;
this.putcall = instrument.putcall;
this.factor = instrument.factor;
this.strike = instrument.strike;
this.maturity = instrument.maturity;
this.margin = instrument.margin;
foreach (Leg current in instrument.Legs)
{
this.Legs.Add(new Leg(current.Instrument, current.Weight));
}
this.trade = instrument.Trade;
this.bid = instrument.Bid;
this.ask = instrument.Ask;
}
public virtual void OnAsk(Ask ask)
{
}
protected internal virtual void OnAsk(Instrument instrument, Ask ask)
{
}
public Quote(Bid bid, Ask ask)
{
this.Bid = bid;
this.Ask = ask;
this.DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
public void OnAsk(Ask ask)
{
if (this.orders[ask.instrumentId] == null)
{
return;
}
for (int i = 0; i < this.orders[ask.instrumentId].Count; i++)
{
Order order = this.orders[ask.instrumentId][i];
this.Process(order, this.framework.dataManager.GetBid(order.instrument), ask);
if (this.addQueueToOrderText)
{
order.Text = order.queueSize.ToString();
}
}
}
private void Process(Order order, Bid bid, Ask ask)
{
if (ask == null || bid == null)
{
return;
}
if (!order.isQueueCalculated)
{
this.SetQueueSizeByQuote(order);
}
if (order.type == OrderType.Limit)
{
if (order.isOutPrice)
{
double queueSize = order.queueSize;
this.SetQueueSizeByQuote(order);
if (order.isOutPrice)
{
order.queueSize = queueSize;
}
}
if (order.side == OrderSide.Buy)
{
if (bid.price < order.price)
{
order.queueSize = 0.0;
this.Fill(order, order.price, (int)order.leavesQty);
return;
}
if (bid.price == order.price && order.queueSize > (double)bid.size + order.qty)
{
order.queueSize = (double)bid.size + order.qty;
return;
}
}
else
{
if (order.side == OrderSide.Sell)
{
if (ask.price > order.price)
{
order.queueSize = 0.0;
this.Fill(order, order.price, (int)order.leavesQty);
return;
}
if (ask.price == order.price && order.queueSize > (double)ask.size + order.qty)
{
order.queueSize = (double)ask.size + order.qty;
return;
}
}
}
}
else
{
if (order.side == OrderSide.Buy)
{
if ((double)ask.size >= order.qty)
{
this.Fill(order, ask.price, (int)order.leavesQty);
return;
}
this.Fill(order, ask.price, ask.size);
if (order.leavesQty > 0.0)
{
double num = ask.price + order.instrument.tickSize;
double num2 = Math.Ceiling(order.leavesQty / (double)ask.size);
if (num2 >= 1.0)
{
int num3 = 0;
while ((double)num3 < num2)
{
if (order.leavesQty >= (double)ask.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, ask.size);
}
else
{
if (order.leavesQty < (double)ask.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num3++;
}
return;
}
this.Fill(order, num, (int)order.leavesQty);
return;
}
}
else
{
if (order.side == OrderSide.Sell)
{
if ((double)bid.size >= order.leavesQty)
{
this.Fill(order, bid.price, (int)order.leavesQty);
return;
}
this.Fill(order, bid.price, bid.size);
if (order.leavesQty > 0.0)
{
double num4 = bid.price - order.instrument.tickSize;
double num5 = Math.Ceiling(order.leavesQty / (double)bid.size);
if (num5 >= 1.0)
{
int num6 = 0;
while ((double)num6 < num5)
{
if (order.leavesQty >= (double)bid.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, bid.size);
}
else
{
if (order.leavesQty < (double)bid.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num6++;
}
return;
}
this.Fill(order, num4, (int)order.leavesQty);
}
}
}
}
}
protected virtual void OnAsk(Ask Ask)
{
}
protected internal override void OnAsk(Instrument instrument, Ask ask)
{
this.alphaComponent.OnAsk(ask);
this.positionComponent.OnAsk(ask);
}
protected internal override void OnAsk(Instrument instrument, Ask ask)
{
this.alphaComponent.OnAsk(ask);
this.positionComponent.OnAsk(ask);
}
private void FireAsk(int InstrumentId, DateTime _dateTime, DateTime _exchangeDateTime, DepthMarketDataNClass pDepthMarketData, DepthMarketDataNClass DepthMarket)
{
do
{
if (pDepthMarketData.Asks == null || pDepthMarketData.Asks.Length == 0)
break;
if (DepthMarket.Asks != null && DepthMarket.Asks.Length > 0)
{
if (DepthMarket.Asks[0].Size == pDepthMarketData.Asks[0].Size
&& DepthMarket.Asks[0].Price == pDepthMarketData.Asks[0].Price)
{
// 由于与上次一样，不能动
break;
}
}
Ask ask = new Ask(
_dateTime,
_exchangeDateTime,
this.id,
InstrumentId,
pDepthMarketData.Asks[0].Price,
pDepthMarketData.Asks[0].Size);
EmitData(ask);
} while (false);
}
public void OnAsk(Ask ask)
{
if (this.orders[ask.instrumentId] == null)
{
return;
}
if (this.fillOnQuote)
{
for (int i = 0; i < this.orders[ask.instrumentId].Count; i++)
{
Order order = this.orders[ask.instrumentId][i];
if (order.side == OrderSide.Buy)
{
while (true)
{
switch (order.type)
{
case OrderType.Market:
goto IL_6B;
case OrderType.Stop:
if (ask.price >= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
case OrderType.Limit:
goto IL_80;
case OrderType.StopLimit:
if (ask.price >= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
}
break;
}
goto IL_F4;
IL_6B:
this.Fill(order, ask.price, ask.size);
goto IL_F4;
IL_80:
if (ask.price <= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, ask.size);
}
else
{
this.Fill(order, ask.price, ask.size);
}
}
}
IL_F4 :;
}
}
}
internal void OnAsk(Ask ask)
{
this.ask[ask.instrumentId] = ask;
}
public void OutputSeries(out IDataSeries trades, out IDataSeries bids, out IDataSeries asks)
{
trades = new TickSeries();
bids = new TickSeries();
asks = new TickSeries();
PbTickCodec codec = new PbTickCodec();
int TradingDay = -1;
int _lastTradeSize = 0;
foreach (var s in Series)
{
if(TradingDay != s.TradingDay)
{
_lastTradeSize = 0;
TradingDay = s.TradingDay;
}
var dateTime = codec.GetDateTime(s.ActionDay == 0 ? s.TradingDay : s.ActionDay).Add(codec.GetUpdateTime(s));
var tick = PbTick2DepthMarketDataNClass(codec, s);
if(SubscribeExternData)
{
var trade = new TradeEx(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trade.DepthMarketData = tick;
trades.Add(trade);
}
else
{
var trade = new Trade(dateTime, 0, _InstrumentId, tick.LastPrice, (int)tick.Volume);
trade.Size -= _lastTradeSize;
trades.Add(trade);
}
if (tick.Bids != null && tick.Bids.Length > 0)
{
var bid = new Bid(dateTime, 0, _InstrumentId, tick.Bids[0].Price, tick.Bids[0].Size);
bids.Add(bid);
}
if (tick.Asks != null && tick.Asks.Length > 0)
{
var ask = new Ask(dateTime, 0, _InstrumentId, tick.Asks[0].Price, tick.Asks[0].Size);
asks.Add(ask);
}
_lastTradeSize = (int)tick.Volume;
}
}
internal void OnAsk(Ask ask)
{
if (this.traceOnQuote && this.side == PositionSide.Short)
{
this.currPrice = ask.price;
this.fillPrice = ask.price;
this.trailPrice = ask.price;
this.CheckStop();
}
}
internal virtual void OnAsk_(Ask ask)
{
if (this.raiseEvents && this.instruments.Contains(ask.instrumentId))
{
this.OnAsk(this.framework.InstrumentManager.GetById(ask.instrumentId), ask);
}
List<Stop> list = this.stopsByInstrument[ask.instrumentId];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
list[i].OnAsk(ask);
}
}
LinkedList<Strategy> linkedList = this.strategiesByInstrument[ask.instrumentId];
if (linkedList != null)
{
for (LinkedListNode<Strategy> linkedListNode = linkedList.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnAsk_(ask);
}
}
}
public void EmitAsk(Ask ask)
{
this.framework.eventManager.OnEvent(ask);
}
public Ask(Ask ask) : base(ask)
{
}
public void EmitAsk(Ask ask)
{
this.framework.eventManager.OnEvent(ask);
}
public void Import(string fileName, string symbol, int type)
{
Console.WriteLine("Starting export: " + fileName + " " + symbol);
int num = 0;
int num2 = 0;
int num3 = 0;
TextReader textReader = File.OpenText(fileName);
Instrument instrument = this.framework.InstrumentManager.Get(symbol);
if (instrument == null)
{
instrument = new Instrument(InstrumentType.Stock, symbol, "", 1);
this.framework.InstrumentManager.Add(instrument, true);
}
int num4 = 0;
double num5 = -1.0;
int num6 = -1;
double num7 = -1.0;
int num8 = -1;
textReader.ReadLine();
while (true)
{
string text = textReader.ReadLine();
if (text == null)
{
break;
}
string[] array = text.Split(new char[]
{
','
});
CultureInfo invariantCulture = CultureInfo.InvariantCulture;
switch (type)
{
case 4:
{
DateTime dateTime = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num9 = double.Parse(array[1], invariantCulture);
int num10 = int.Parse(array[2]);
if (num9 > 0.0 && num10 > 0)
{
Trade obj = new Trade(dateTime, 1, instrument.Id, num9, num10);
this.framework.DataManager.Save(instrument, obj);
num3++;
}
break;
}
case 5:
{
DateTime dateTime2 = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num11 = double.Parse(array[1], invariantCulture);
int num12 = int.Parse(array[2]);
double num13 = double.Parse(array[3], invariantCulture);
int num14 = int.Parse(array[4]);
if (num11 > 0.0 && num12 > 0 && (num5 != num11 || num6 != num12))
{
Bid obj2 = new Bid(dateTime2, 1, instrument.Id, num11, num12);
this.framework.DataManager.Save(instrument, obj2);
num5 = num11;
num6 = num12;
num2++;
}
if (num13 > 0.0 && num14 > 0 && (num7 != num13 || num8 != num14))
{
Ask obj3 = new Ask(dateTime2, 1, instrument.Id, num13, num14);
this.framework.DataManager.Save(instrument, obj3);
num7 = num13;
num8 = num14;
num++;
}
break;
}
}
if (num4 % 100000 == 0)
{
Console.WriteLine(num4);
}
num4++;
}
Console.WriteLine(string.Concat(new object[]
{
"Lines = ",
num4,
" bids: ",
num2,
" asks: ",
num,
" trades: ",
num3
}));
textReader.Close();
}
private void Process(Order order, Bid bid, Ask ask)
{
if (ask == null || bid == null)
{
return;
}
if (!order.isQueueCalculated)
{
this.SetQueueSizeByQuote(order);
}
if (order.type == OrderType.Limit)
{
if (order.isOutPrice)
{
double queueSize = order.queueSize;
this.SetQueueSizeByQuote(order);
if (order.isOutPrice)
{
order.queueSize = queueSize;
}
}
if (order.side == OrderSide.Buy)
{
if (bid.price < order.price)
{
order.queueSize = 0.0;
this.Fill(order, order.price, (int)order.leavesQty);
return;
}
if (bid.price == order.price && order.queueSize > (double)bid.size + order.qty)
{
order.queueSize = (double)bid.size + order.qty;
return;
}
}
else
{
if (order.side == OrderSide.Sell)
{
if (ask.price > order.price)
{
order.queueSize = 0.0;
this.Fill(order, order.price, (int)order.leavesQty);
return;
}
if (ask.price == order.price && order.queueSize > (double)ask.size + order.qty)
{
order.queueSize = (double)ask.size + order.qty;
return;
}
}
}
}
else
{
if (order.side == OrderSide.Buy)
{
if ((double)ask.size >= order.qty)
{
this.Fill(order, ask.price, (int)order.leavesQty);
return;
}
this.Fill(order, ask.price, ask.size);
if (order.leavesQty > 0.0)
{
double num = ask.price + order.instrument.tickSize;
double num2 = Math.Ceiling(order.leavesQty / (double)ask.size);
if (num2 >= 1.0)
{
int num3 = 0;
while ((double)num3 < num2)
{
if (order.leavesQty >= (double)ask.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, ask.size);
}
else
{
if (order.leavesQty < (double)ask.size)
{
this.Fill(order, num + (double)num3 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num3++;
}
return;
}
this.Fill(order, num, (int)order.leavesQty);
return;
}
}
else
{
if (order.side == OrderSide.Sell)
{
if ((double)bid.size >= order.leavesQty)
{
this.Fill(order, bid.price, (int)order.leavesQty);
return;
}
this.Fill(order, bid.price, bid.size);
if (order.leavesQty > 0.0)
{
double num4 = bid.price - order.instrument.tickSize;
double num5 = Math.Ceiling(order.leavesQty / (double)bid.size);
if (num5 >= 1.0)
{
int num6 = 0;
while ((double)num6 < num5)
{
if (order.leavesQty >= (double)bid.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, bid.size);
}
else
{
if (order.leavesQty < (double)bid.size)
{
this.Fill(order, num4 - (double)num6 * order.instrument.tickSize, (int)order.leavesQty);
return;
}
}
num6++;
}
return;
}
this.Fill(order, num4, (int)order.leavesQty);
}
}
}
}
}
public virtual void OnAsk(Ask ask)
{
}
public Ask(Ask ask) : base(ask)
{
}
public void OnAsk(Ask ask)
{
if (this.orders[ask.instrumentId] == null)
{
return;
}
if (this.fillOnQuote)
{
for (int i = 0; i < this.orders[ask.instrumentId].Count; i++)
{
Order order = this.orders[ask.instrumentId][i];
if (order.side == OrderSide.Buy)
{
while (true)
{
switch (order.type)
{
case OrderType.Market:
goto IL_6B;
case OrderType.Stop:
if (ask.price >= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
case OrderType.Limit:
goto IL_80;
case OrderType.StopLimit:
if (ask.price >= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
}
break;
}
goto IL_F4;
IL_6B:
this.Fill(order, ask.price, ask.size);
goto IL_F4;
IL_80:
if (ask.price <= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, ask.size);
}
else
{
this.Fill(order, ask.price, ask.size);
}
}
}
IL_F4:;
}
}
}
internal void OnAsk(Ask ask)
{
this.ask[ask.instrumentId] = ask;
}
protected virtual void OnAsk(Ask Ask)
{
}
internal void OnAsk(Ask ask)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnAsk_(ask);
}
}
public Quote(Bid bid, Ask ask)
{
this.Bid = bid;
this.Ask = ask;
this.DateTime = bid.DateTime > ask.DateTime ? bid.DateTime : ask.DateTime;
}
private void Send(Order order)
{
base.EmitExecutionReport(new ExecutionReport
{
dateTime = this.framework.Clock.DateTime,
order = order,
commandID = order.id,
instrument = order.instrument,
ordQty = order.qty,
timeInForce = order.timeInForce,
execType = ExecType.ExecNew,
ordStatus = OrderStatus.New,
currencyId = order.instrument.currencyId,
ordType = order.type,
side = order.side,
cumQty = 0.0,
lastQty = 0.0,
leavesQty = 0.0,
lastPx = 0.0,
avgPx = 0.0,
text = order.text
});
int id = order.instrument.Id;
if (this.orders[id] == null)
{
this.orders[id] = new List <Order>();
}
this.orders[id].Add(order);
switch (order.type)
{
case OrderType.Market:
if (!this.fillMarketOnNext)
{
Instrument instrument = order.instrument;
if (this.fillOnQuote)
{
switch (order.side)
{
case OrderSide.Buy:
{
Ask ask = this.framework.DataManager.GetAsk(instrument);
if (ask != null)
{
this.Fill(order, ask.Price, ask.Size);
return;
}
break;
}
case OrderSide.Sell:
{
Bid bid = this.framework.DataManager.GetBid(instrument);
if (bid != null)
{
this.Fill(order, bid.Price, bid.Size);
return;
}
break;
}
}
}
if (this.fillOnTrade)
{
Trade trade = this.framework.DataManager.GetTrade(instrument);
if (trade != null)
{
this.Fill(order, trade.Price, trade.Size);
}
}
}
break;
case OrderType.Stop:
case OrderType.Limit:
break;
default:
return;
}
}
