internal override void OnTrade_(Trade trade)
{
foreach (Strategy current in this.strategiesByInstrument[trade.instrumentId])
{
current.OnTrade_(trade);
}
base.OnTrade_(trade);
}
private void OnTrade(object sender,Trade trade)
{
TabViewer viewer;
int key = trade.InstrumentId;
if (!this.viewers.TryGetValue(key, out viewer))
{
viewer = new TabViewer(){Dock = DockStyle.Fill};
this.viewers.Add(key,viewer);
TabPage page = new TabPage();
var instrument = base.framework.InstrumentManager.GetById(key);
page.Text = instrument.ToString();
page.Controls.Add(viewer);
this.tabViewers.TabPages.Add(page);
}
viewer.OnTrade(sender,trade);
}
public void OnTrade(Trade trade)
{
if (this.orders[trade.instrumentId] == null)
{
return;
}
if (this.fillOnTrade)
{
int i = 0;
while (i < this.orders[trade.instrumentId].Count)
{
Order order = this.orders[trade.instrumentId][i];
while (true)
{
switch (order.type)
{
case OrderType.Market:
goto IL_60;
case OrderType.Stop:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price >= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
case OrderSide.Sell:
if (trade.price <= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
}
break;
case OrderType.Limit:
goto IL_78;
case OrderType.StopLimit:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price >= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
case OrderSide.Sell:
if (trade.price <= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
}
break;
}
break;
}
IL_1C1:
i++;
continue;
goto IL_1C1;
IL_60:
this.Fill(order, trade.price, trade.size);
goto IL_1C1;
IL_78:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price <= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, trade.size);
}
else
{
this.Fill(order, trade.price, trade.size);
}
}
break;
case OrderSide.Sell:
if (trade.price >= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, trade.size);
}
else
{
this.Fill(order, trade.price, trade.size);
}
}
break;
}
goto IL_1C1;
}
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
try
{
// 只有使用交易所行情时才需要处理跨天的问题
ChangeTradingDay(pDepthMarketData.TradingDay);
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
catch (Exception)
{
_dateTime = Clock.Now;
}
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
EmitNewTradeEvent(instrument, trade);
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
EmitNewQuoteEvent(instrument, quote);
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
// 价差生成功能
do
{
if (null == CTPAPI.GetInstance().SpreadMarketData)
break;
ISpreadMarketData SpreadMarketData = CTPAPI.GetInstance().SpreadMarketData;
var ticks = SpreadMarketData.CalculateSpread(pDepthMarketData);
if (null == ticks)
break;
foreach (var tick in ticks)
{
Instrument inst = InstrumentManager.Instruments[tick.Symbol];
if (null == inst)
continue;
if (!double.IsNaN(tick.Price))
{
Trade trade = new Trade(_dateTime, tick.Price, tick.Size);
trade.ProviderId = tick.ProviderId;
EmitNewTradeEvent(inst, trade);
}
if (!double.IsNaN(tick.Ask) && !double.IsNaN(tick.Bid))
{
Quote quote = new Quote(_dateTime,
tick.Bid, tick.BidSize,
tick.Ask, tick.AskSize);
quote.ProviderId = tick.ProviderId;
EmitNewQuoteEvent(inst, quote);
}
}
} while (false);
// 直接回报CTP的行情信息
if (EmitOnRtnDepthMarketData)
{
CTPAPI.GetInstance().FireOnRtnDepthMarketData(pDepthMarketData);
}
}
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 void OnTrade(Trade trade)
{
if (this.orders[trade.instrumentId] == null)
{
return;
}
if (this.fillOnTrade)
{
int i = 0;
while (i < this.orders[trade.instrumentId].Count)
{
Order order = this.orders[trade.instrumentId][i];
while (true)
{
switch (order.type)
{
case OrderType.Market:
goto IL_60;
case OrderType.Stop:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price >= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
case OrderSide.Sell:
if (trade.price <= order.stopPx)
{
order.type = OrderType.Market;
continue;
}
break;
}
break;
case OrderType.Limit:
goto IL_78;
case OrderType.StopLimit:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price >= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
case OrderSide.Sell:
if (trade.price <= order.stopPx)
{
order.type = OrderType.Limit;
continue;
}
break;
}
break;
}
break;
}
IL_1C1:
i++;
continue;
goto IL_1C1;
IL_60:
this.Fill(order, trade.price, trade.size);
goto IL_1C1;
IL_78:
switch (order.side)
{
case OrderSide.Buy:
if (trade.price <= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, trade.size);
}
else
{
this.Fill(order, trade.price, trade.size);
}
}
break;
case OrderSide.Sell:
if (trade.price >= order.price)
{
if (this.fillAtLimitPrice)
{
this.Fill(order, order.price, trade.size);
}
else
{
this.Fill(order, trade.price, trade.size);
}
}
break;
}
goto IL_1C1;
}
}
}
public virtual void OnTrade(Trade trade)
{
}
internal virtual void OnTrade_(Trade trade)
{
if (this.raiseEvents && this.instruments.Contains(trade.instrumentId))
{
this.OnTrade(this.framework.InstrumentManager.GetById(trade.instrumentId), trade);
}
List<Stop> list = this.stopsByInstrument[trade.instrumentId];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
list[i].OnTrade(trade);
}
}
LinkedList<Strategy> linkedList = this.strategiesByInstrument[trade.instrumentId];
if (linkedList != null)
{
for (LinkedListNode<Strategy> linkedListNode = linkedList.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnTrade_(trade);
}
}
}
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;
}
}
public void OnTrade(Trade trade)
{
if (this.orders[trade.instrumentId] == null)
{
return;
}
for (int i = 0; i < this.orders[trade.instrumentId].Count; i++)
{
Order order = this.orders[trade.instrumentId][i];
if (!order.isOutPrice)
{
this.Process(order, trade);
}
if (this.addQueueToOrderText)
{
order.Text = order.queueSize.ToString();
}
}
}
private void Process(Order order, Trade trade)
{
if (!order.isQueueCalculated)
{
return;
}
if (order.type == OrderType.Limit && order.price == trade.price)
{
order.queueSize -= (double)trade.size;
if (order.queueSize < order.leavesQty)
{
if (order.queueSize > 0.0)
{
double num = order.leavesQty - order.queueSize;
this.Fill(order, order.price, (int)num);
return;
}
if (order.queueSize < 0.0)
{
order.queueSize = 0.0;
this.Fill(order, order.price, (int)order.leavesQty);
}
}
}
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CZQThostFtdcDepthMarketDataField pDepthMarketData)
{
CZQThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume<0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
//comment by fouvy, for openquant 2.9
//Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
//if (null != t)
//{
// EmitNewTradeEvent(instrument, t);
//}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
//comment by fouvy change for openquant 2.9
//Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
//if (null != q)
//{
// EmitNewQuoteEvent(instrument, q);
//}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
}
protected internal override void OnTrade(Instrument instrument, Trade trade)
{
this.alphaComponent.OnTrade(trade);
this.positionComponent.OnTrade(trade);
}
protected internal override void OnTrade(Instrument instrument, Trade trade)
{
this.alphaComponent.OnTrade(trade);
this.positionComponent.OnTrade(trade);
}
protected internal override void OnStrategyStart()
{
Trade data = new Trade();
this.watch.Start();
(base.DataProvider as PerformanceProvider).EmitData(data);
}
protected internal override void OnTrade(Instrument instrument, Trade trade)
{
this.watch.Stop();
}
internal void OnTrade(Trade trade)
{
if (this.traceOnTrade)
{
this.currPrice = trade.Price;
this.fillPrice = trade.Price;
this.trailPrice = trade.Price;
this.CheckStop();
}
}
protected internal virtual void OnTrade(Instrument instrument, Trade trade)
{
}
public void EmitTrade(Trade trade)
{
this.framework.eventManager.OnEvent(trade);
}
public Trade(Trade trade)
: base(trade)
{
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
DataRecord record;
if (!_dictAltSymbol2Instrument.TryGetValue(pDepthMarketData.InstrumentID, out record))
{
mdlog.Warn("合约{0}不在订阅列表中却收到了数据", pDepthMarketData.InstrumentID);
return;
}
Instrument instrument = record.Instrument;
CThostFtdcDepthMarketDataField DepthMarket;
_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket);
//将更新字典的功能提前，因为如果一开始就OnTrade中下单，涨跌停没有更新
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
if (record.TradeRequested)
{
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行设置为0
volume = 0;
}
else if (volume < 0)
{
//如果隔夜运行，会出现今早成交量0-昨收盘成交量，出现负数，所以当发现为负时要修改
volume = pDepthMarketData.Volume;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != MarketDataFilter)
{
Trade t = MarketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
}
else
{
EmitNewTradeEvent(instrument, trade);
}
}
}
if (record.QuoteRequested)
{
//if (
//DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
//&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
//&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
//&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
//)
//{ }
//else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != MarketDataFilter)
{
Quote q = MarketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
}
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
}
if (record.MarketDepthRequested)
{
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Ask, pDepthMarketData.AskPrice1, pDepthMarketData.AskVolume1);
EmitNewMarketDepth(instrument, _dateTime, 0, MDSide.Bid, pDepthMarketData.BidPrice1, pDepthMarketData.BidVolume1);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Ask, pDepthMarketData.AskPrice2, pDepthMarketData.AskVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 1, MDSide.Bid, pDepthMarketData.BidPrice2, pDepthMarketData.BidVolume2);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Ask, pDepthMarketData.AskPrice3, pDepthMarketData.AskVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 2, MDSide.Bid, pDepthMarketData.BidPrice3, pDepthMarketData.BidVolume3);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Ask, pDepthMarketData.AskPrice4, pDepthMarketData.AskVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 3, MDSide.Bid, pDepthMarketData.BidPrice4, pDepthMarketData.BidVolume4);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Ask, pDepthMarketData.AskPrice5, pDepthMarketData.AskVolume5);
//EmitNewMarketDepth(instrument, _dateTime, 4, MDSide.Bid, pDepthMarketData.BidPrice5, pDepthMarketData.BidVolume5);
}
}
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;
}
internal void OnTrade(Trade trade)
{
this.trade[trade.instrumentId] = trade;
}
public void OnTrade(object sender, Trade trade)
{
this.label1.Text = trade.ToString();
}
protected virtual void OnTrade(Trade trade)
{
}
internal void OnTrade(Trade trade)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnTrade_(trade);
}
}
void Dispatcher_Trade(object sender, SmartQuant.Trade trade)
{
base.InvokeAction(() => { OnTrade(sender, trade); });
}
private void OnRtnDepthMarketData(IntPtr pApi, ref CThostFtdcDepthMarketDataField pDepthMarketData)
{
CThostFtdcDepthMarketDataField DepthMarket;
if (_dictDepthMarketData.TryGetValue(pDepthMarketData.InstrumentID, out DepthMarket))
{
if (TimeMode.LocalTime == _TimeMode)
{
//为了生成正确的Bar,使用本地时间
_dateTime = Clock.Now;
}
else
{
//直接按HH:mm:ss来解析，测试过这种方法目前是效率比较高的方法
int HH = int.Parse(pDepthMarketData.UpdateTime.Substring(0, 2));
int mm = int.Parse(pDepthMarketData.UpdateTime.Substring(3, 2));
int ss = int.Parse(pDepthMarketData.UpdateTime.Substring(6, 2));
_dateTime = new DateTime(_yyyy, _MM, _dd, HH, mm, ss, pDepthMarketData.UpdateMillisec);
}
Instrument instrument = _dictAltSymbol2Instrument[pDepthMarketData.InstrumentID];
//通过测试，发现IB的Trade与Quote在行情过来时数量是不同的，在这也做到不同
if (DepthMarket.LastPrice == pDepthMarketData.LastPrice
&& DepthMarket.Volume == pDepthMarketData.Volume)
{ }
else
{
//行情过来时是今天累计成交量，得转换成每个tick中成交量之差
int volume = pDepthMarketData.Volume - DepthMarket.Volume;
if (0 == DepthMarket.Volume)
{
//没有接收到最开始的一条，所以这计算每个Bar的数据时肯定超大，强行将设置为0
volume = 0;
}
Trade trade = new Trade(_dateTime,
pDepthMarketData.LastPrice == double.MaxValue ? 0 : pDepthMarketData.LastPrice,
volume);
if (null != marketDataFilter)
{
/* Trade t = marketDataFilter.FilterTrade(trade, instrument.Symbol);
if (null != t)
{
EmitNewTradeEvent(instrument, t);
}
*/ }
else
{
EmitNewTradeEvent(instrument, trade);
}
}
if (
DepthMarket.BidVolume1 == pDepthMarketData.BidVolume1
&& DepthMarket.AskVolume1 == pDepthMarketData.AskVolume1
&& DepthMarket.BidPrice1 == pDepthMarketData.BidPrice1
&& DepthMarket.AskPrice1 == pDepthMarketData.AskPrice1
)
{ }
else
{
Quote quote = new Quote(_dateTime,
pDepthMarketData.BidPrice1 == double.MaxValue ? 0 : pDepthMarketData.BidPrice1,
pDepthMarketData.BidVolume1,
pDepthMarketData.AskPrice1 == double.MaxValue ? 0 : pDepthMarketData.AskPrice1,
pDepthMarketData.AskVolume1
);
if (null != marketDataFilter)
{
/* Quote q = marketDataFilter.FilterQuote(quote, instrument.Symbol);
if (null != q)
{
EmitNewQuoteEvent(instrument, q);
}
*/ }
else
{
EmitNewQuoteEvent(instrument, quote);
}
}
_dictDepthMarketData[pDepthMarketData.InstrumentID] = pDepthMarketData;
}
}
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;
}
}