public void Unsubscribe(IExecutionProvider provider)
{
provider.PreTestInitEvent -= PreTestInit;
provider.PostTestInitEvent -= PostTestInit;
provider.PreTestCleanupEvent -= PreTestCleanup;
provider.PostTestCleanupEvent -= PostTestCleanup;
}
protected StrategyBase(string name, string description)
{
this.metaStrategyBase = null;
this.name = name;
this.description = description;
this.isEnabled = true;
this.isActive = true;
this.ReportManager = (StrategyComponentManager.GetComponent("{5E7810DC-C9C1-427f-8CD9-1DFFE26E59B5}", this) as ReportManager);
this.MarketManager = (StrategyComponentManager.GetComponent("{849E4CFE-C19E-4d1e-899D-0BB26DB12AAD}", this) as MarketManager);
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
{
this.portfolio = new Portfolio(name);
}
this.tester = new LiveTester(this.portfolio);
this.stops = new StopList();
this.triggers = new TriggerList();
this.marketDataProvider = null;
this.executionProvider = null;
this.newsProvider = null;
this.executionService = null;
this.orders = new OrderTable();
this.global = new Hashtable();
this.activeInstruments = new InstrumentList();
this.barSliceManager = new BarSliceManager();
this.componentTypeList = new List <ComponentType>();
this.componentTypeList.Add(ComponentType.MarketManager);
this.componentTypeList.Add(ComponentType.ReportManager);
this.activeStops = new Dictionary <Instrument, List <StopBase> >();
this.portfolios = new Dictionary <Instrument, Portfolio>();
this.testers = new Dictionary <Instrument, LiveTester>();
this.statisticsPerInstrumentEnabled = false;
}
public void Subscribe(IExecutionProvider provider)
{
provider.PreTestInitEvent += this.PreTestInit;
provider.PostTestInitEvent += this.PostTestInit;
provider.PreTestCleanupEvent += this.PreTestCleanup;
provider.PostTestCleanupEvent += this.PostTestCleanup;
}
protected void SetupTestWithBreakpoint(int line)
{
_breakpointProvider = new BreakpointProvider();
_breakpointProvider.ToggleBreakpointAt(LocationOfSourceFile, line);
new BreakpointMediator(_vm, _breakpointProvider);
ExecutionProvider = new ExecutionProvider(_vm);
}
public void Add(IExecutionProvider provider)
{
if (!this.providers.Contains(provider))
{
this.providers.Add(provider);
}
}
internal IExecutionProvider GetExecutionProvider(Instrument instrument)
{
IExecutionProvider executionProvider = null;
if (instrument.ExecutionProvider != null)
{
executionProvider = instrument.ExecutionProvider;
}
if (executionProvider == null && this.ExecutionProvider != null)
{
executionProvider = this.ExecutionProvider;
}
if (this.Mode != StrategyMode.Live)
{
if (executionProvider != null && executionProvider is SellSideStrategy)
{
return(executionProvider);
}
return(this.framework.providerManager.executionSimulator);
}
else
{
if (executionProvider != null)
{
return(executionProvider);
}
return(this.framework.ExecutionProvider);
}
}
public Order(Order order)
{
Id = order.Id;
ClId = order.ClId;
AlgoId = order.AlgoId;
ProviderOrderId = order.ProviderOrderId;
ProviderId = order.ProviderId;
PortfolioId = order.PortfolioId;
StrategyId = order.StrategyId;
InstrumentId = order.InstrumentId;
TransactTime = order.TransactTime;
DateTime = order.DateTime;
Instrument = order.Instrument;
provider = order.Provider;
Portfolio = order.Portfolio;
Status = order.Status;
Side = order.Side;
Type = order.Type;
TimeInForce = order.TimeInForce;
ExpireTime = order.ExpireTime;
Price = order.Price;
StopPx = order.StopPx;
AvgPx = order.AvgPx;
Qty = order.Qty;
CumQty = order.CumQty;
MinQty = order.MinQty;
PegDifference = order.pegDifference;
ExecInst = order.execInst;
Text = order.Text;
Account = order.Account;
ClientID = order.ClientID;
Commands = order.Commands;
Reports = order.Reports;
Messages = order.Messages;
}
public Order(Order order) : base()
{
this.id = -1;
this.oCA = "";
this.text = "";
this.id = order.id;
this.providerId = order.providerId;
this.portfolioId = order.portfolioId;
this.transactTime = order.transactTime;
this.dateTime = order.dateTime;
this.instrument = order.instrument;
this.provider = order.provider;
this.portfolio = order.portfolio;
this.status = order.status;
this.side = order.side;
this.type = order.type;
this.timeInForce = order.timeInForce;
this.price = order.price;
this.stopPx = order.stopPx;
this.avgPx = order.avgPx;
this.qty = order.qty;
this.cumQty = order.cumQty;
this.text = order.text;
this.commands = order.commands;
this.reports = order.reports;
this.messages = order.messages;
}
protected void Init(IMarketDataProvider marketDataProvider, IExecutionProvider executionProvider, Portfolio portfolio, bool asyncEventProcessing)
{
this.marketDataProvider = marketDataProvider;
this.executionProvider = executionProvider;
this.portfolio = portfolio;
this.eventQueue.Enabled = asyncEventProcessing;
}
protected StrategyBase(string name, string description)
{
this.metaStrategyBase = (MetaStrategyBase)null;
this.name = name;
this.description = description;
this.isEnabled = true;
this.isActive = true;
this.ReportManager = StrategyComponentManager.GetComponent("getcom", (object)this) as ReportManager;
this.MarketManager = StrategyComponentManager.GetComponent("getcom", (object)this) as MarketManager;
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
{
this.portfolio = new Portfolio(name);
}
this.tester = new LiveTester(this.portfolio);
this.stops = new StopList();
this.triggers = new TriggerList();
this.marketDataProvider = (IMarketDataProvider)null;
this.executionProvider = (IExecutionProvider)null;
this.newsProvider = (INewsProvider)null;
this.executionService = (IExecutionService)null;
this.orders = new OrderTable();
this.global = new Hashtable();
this.activeInstruments = new InstrumentList();
this.barSliceManager = new BarSliceManager();
this.componentTypeList = new List <ComponentType>();
this.componentTypeList.Add(ComponentType.MarketManager);
this.componentTypeList.Add(ComponentType.ReportManager);
this.activeStops = new Dictionary <Instrument, List <StopBase> >();
this.portfolios = new Dictionary <Instrument, Portfolio>();
this.testers = new Dictionary <Instrument, LiveTester>();
this.statisticsPerInstrumentEnabled = false;
}
public void Unsubscribe(IExecutionProvider provider)
{
provider.OnClientInitializedEvent -= OnClientInitialized;
provider.OnRequestTimeoutEvent -= OnRequestTimeout;
provider.OnMakingRequestEvent -= OnMakingRequest;
provider.OnRequestMadeEvent -= OnRequestMade;
provider.OnRequestFailedEvent -= OnRequestFailed;
}
public void Subscribe(IExecutionProvider provider)
{
provider.TestInstantiatedEvent += TestInstantiated;
provider.PreTestInitEvent += PreTestInit;
provider.PostTestInitEvent += PostTestInit;
provider.PreTestCleanupEvent += PreTestCleanup;
provider.PostTestCleanupEvent += PostTestCleanup;
}
public LocalsWindow(IDebuggerSession session, IExecutionProvider executionProvider)
{
this.session = session;
this.executionProvider = executionProvider;
this.executionProvider.Suspended += (thread) => {
QueueUserWorkItem (() => pendingFrame = thread.GetFrames ().FirstOrDefault());
};
}
public void Unsubscribe(IExecutionProvider provider)
{
provider.TestInstantiatedEvent -= this.TestInstantiated;
provider.PreTestInitEvent -= this.PreTestInit;
provider.PostTestInitEvent -= this.PostTestInit;
provider.PreTestCleanupEvent -= this.PreTestCleanup;
provider.PostTestCleanupEvent -= this.PostTestCleanup;
}
public LocalsWindow(IDebuggerSession session, IExecutionProvider executionProvider)
{
this.session = session;
this.executionProvider = executionProvider;
this.executionProvider.Suspended += (thread) => {
QueueUserWorkItem(() => pendingFrame = thread.GetFrames().FirstOrDefault());
};
}
public void Subscribe(IExecutionProvider provider)
{
provider.TestInstantiatedEvent += this.TestInstantiated;
provider.PreTestInitEvent += this.PreTestInit;
provider.PostTestInitEvent += this.PostTestInit;
provider.PreTestCleanupEvent += this.PreTestCleanup;
provider.PostTestCleanupEvent += this.PostTestCleanup;
}
public CallstackWindow(IDebuggerSession session, IExecutionProvider executionProvider,
IThreadProvider threadProvider, ISourceNavigator sourceNavigator)
{
this.session = session;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.executionProvider.Suspended += (thread) => pendingFrames = thread.GetFrames ();;
this.sourceNavigator = sourceNavigator;
}
public CallStackDisplay(IDebuggerSession session, IExecutionProvider executionProvider,
IThreadProvider threadProvider, ISourceNavigator sourceNavigator)
{
this.session = session;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.executionProvider.Suspended += RefreshFrames;
this.sourceNavigator = sourceNavigator;
}
private static void InitializeTestExecutionBehaviours(IExecutionProvider testExecutionProvider)
{
var observers = UnityContainerFactory.GetCurrentContainer().ResolveAll <ITestBehaviourObserver>();
foreach (var observer in observers)
{
observer.Subscribe(testExecutionProvider);
}
}
public CallstackWindow(IDebuggerSession session, IExecutionProvider executionProvider,
IThreadProvider threadProvider, ISourceNavigator sourceNavigator)
{
this.session = session;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.executionProvider.Suspended += (thread) => pendingFrames = thread.GetFrames();;
this.sourceNavigator = sourceNavigator;
}
public TrailingStopOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double delta) : base()
{
this.OrdType = OrdType.TrailingStop;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.TrailingAmt = delta;
}
public MarketOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, string text) : base()
{
this.OrdType = OrdType.Market;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.Text = text;
}
public void AddInstrument(Instrument instrument, IMarketDataProvider marketDataProvider, IExecutionProvider executionProvider)
{
if (!this.cYRAR9UWJy.Contains(instrument))
this.cYRAR9UWJy.Add(instrument);
this.nxTAjlViDK[instrument] = marketDataProvider == null ? this.strategyMarketDataProvider : marketDataProvider;
if (executionProvider != null)
this.utDAWNS3ic[instrument] = executionProvider;
else
this.utDAWNS3ic[instrument] = this.strategyExecutionProvider;
}
public TrailingStopOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double delta) : base()
{
this.OrdType = OrdType.TrailingStop;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.TrailingAmt = delta;
}
public DebuggerSession(IVirtualMachine virtualMachine,
IExecutionProvider executionProvider, ITypeProvider typeProvider,
IThreadProvider threadProvider, IBreakpointProvider breakpointProvider)
{
VM = virtualMachine;
ExecutionProvider = executionProvider;
ThreadProvider = threadProvider;
TypeProvider = typeProvider;
BreakpointProvider = breakpointProvider;
}
public DebuggerSession(IVirtualMachine virtualMachine,
IExecutionProvider executionProvider, ITypeProvider typeProvider,
IThreadProvider threadProvider, IBreakpointProvider breakpointProvider)
{
VM = virtualMachine;
ExecutionProvider = executionProvider;
ThreadProvider = threadProvider;
TypeProvider = typeProvider;
BreakpointProvider = breakpointProvider;
}
public MarketOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, string text) : base()
{
this.OrdType = OrdType.Market;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.Text = text;
}
public DebuggerSession(IVirtualMachine vm, ITypeProvider typeProvider,
IExecutionProvider executionProvider, IThreadProvider threadProvider,
IBreakpointProvider breakpointProvider)
{
this.typeProvider = typeProvider;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.breakpointProvider = breakpointProvider;
this.vm = vm;
}
public ConfigurationInfo(string portfolioName, byte marketDataProviderId, byte executionProviderId)
{
this.portfolio = PortfolioManager.Portfolios[portfolioName];
if (this.portfolio == null)
this.portfolio = new Portfolio(portfolioName);
this.marketDataProvider = ProviderManager.MarketDataProviders[marketDataProviderId];
this.executionProvider = ProviderManager.ExecutionProviders[executionProviderId];
this.marketDataProviderId = this.marketDataProvider == null ? marketDataProviderId : (byte)0;
this.executionProviderId = this.executionProvider == null ? executionProviderId : (byte)0;
}
public StopLimitOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double price, double stopPx) : base()
{
this.OrdType = OrdType.StopLimit;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.Price = price;
this.StopPx = stopPx;
}
static public void UserInputProviderId(out IDataProvider dataProvider, out IExecutionProvider executionProvider, ProviderManager pm)
{
string providerId = Interaction.InputBox("輸入交易所代號", "", "89");//89=deribit by user define
dataProvider = pm.GetDataProvider(int.Parse(providerId));
executionProvider = pm.GetExecutionProvider(int.Parse(providerId));
if (dataProvider == null || executionProvider == null)
{
throw new Exception("provider is null");
}
}
public StopLimitOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double price, double stopPx) : base()
{
this.OrdType = OrdType.StopLimit;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.Price = price;
this.StopPx = stopPx;
}
static ProviderManager()
{
ProviderManager.dataLock = new object();
ProviderManager.executionProviders = new ExecutionProviderList();
ProviderManager.marketDataProviders = new MarketDataProviderList();
ProviderManager.instrumentProviders = new InstrumentProviderList();
ProviderManager.historicalDataProviders = new HistoricalDataProviderList();
ProviderManager.marketDataProvider = null;
ProviderManager.executionProvider = null;
ProviderManager.errors = new ProviderErrorCollection();
}
static ProviderManager()
{
ProviderManager.dataLock = new object();
ProviderManager.executionProviders = new ExecutionProviderList();
ProviderManager.marketDataProviders = new MarketDataProviderList();
ProviderManager.instrumentProviders = new InstrumentProviderList();
ProviderManager.historicalDataProviders = new HistoricalDataProviderList();
ProviderManager.marketDataProvider = null;
ProviderManager.executionProvider = null;
ProviderManager.errors = new ProviderErrorCollection();
}
public TrailingStopLimitOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double delta, double stopPrice, double limitPrice) : base()
{
this.OrdType = OrdType.TrailingStopLimit;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.TrailingAmt = delta;
this.StopPx = stopPrice;
this.Price = limitPrice;
}
public TrailingStopLimitOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double delta, double stopPrice, double limitPrice) : base()
{
this.OrdType = OrdType.TrailingStopLimit;
this.Provider = provider;
this.Portfolio = portfolio;
this.Instrument = instrument;
this.Side = side;
this.OrderQty = qty;
this.TrailingAmt = delta;
this.StopPx = stopPrice;
this.Price = limitPrice;
}
internal void Refresh()
{
if (this.marketDataProvider == null)
{
this.marketDataProvider = ProviderManager.MarketDataProviders[this.marketDataProviderId];
}
if (this.executionProvider != null)
{
return;
}
this.executionProvider = ProviderManager.ExecutionProviders[this.executionProviderId];
}
public ConfigurationInfo(string portfolioName, byte marketDataProviderId, byte executionProviderId)
{
this.portfolio = PortfolioManager.Portfolios[portfolioName];
if (this.portfolio == null)
{
this.portfolio = new Portfolio(portfolioName);
}
this.marketDataProvider = ProviderManager.MarketDataProviders[marketDataProviderId];
this.executionProvider = ProviderManager.ExecutionProviders[executionProviderId];
this.marketDataProviderId = this.marketDataProvider == null ? marketDataProviderId : (byte)0;
this.executionProviderId = this.executionProvider == null ? executionProviderId : (byte)0;
}
internal void RegisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList <Strategy> linkedList;
if (this.strategiesByInstrument[current.Id] == null)
{
linkedList = new LinkedList <Strategy>();
this.strategiesByInstrument[current.Id] = linkedList;
}
else
{
linkedList = this.strategiesByInstrument[current.Id];
}
linkedList.Add(strategy);
IdArray <int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] + 1;
}
Dictionary <IDataProvider, InstrumentList> dictionary = new Dictionary <IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider dataProvider = this.GetDataProvider(strategy, current2);
IExecutionProvider executionProvider = strategy.GetExecutionProvider(current2);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
if (!dictionary.TryGetValue(dataProvider, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[dataProvider] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair <IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.RegisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = strategy;
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instruments, orderRouteId);
}
}
public Order(IExecutionProvider provider, Instrument instrument, OrderType type, OrderSide side, double qty, double price = 0, double stopPx = 0, TimeInForce timeInForce = TimeInForce.Day, string text = "")
: this()
{
Provider = provider;
Instrument = instrument;
Type = type;
Side = side;
Qty = qty;
Price = price;
StopPx = stopPx;
TimeInForce = timeInForce;
Text = text;
}
public Order(IExecutionProvider provider, Instrument instrument, OrderType type, OrderSide side, double qty, double price = 0.0, double stopPx = 0.0, TimeInForce timeInForce = TimeInForce.Day, string text = "") : this()
{
this.provider = provider;
this.instrument = instrument;
this.type = type;
this.side = side;
this.qty = qty;
this.price = price;
this.stopPx = stopPx;
this.timeInForce = timeInForce;
this.text = text;
this.portfolio = null;
}
public DebuggerSession(IVirtualMachine vm, ITypeProvider typeProvider,
IExecutionProvider executionProvider, IThreadProvider threadProvider,
IBreakpointProvider breakpointProvider)
{
this.typeProvider = typeProvider;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.breakpointProvider = breakpointProvider;
this.vm = vm;
LogProvider.Debug += s => LogOnDebug(s);
LogProvider.Error += s => LogOnError(s);
}
public DebuggerSession(IVirtualMachine vm, ITypeProvider typeProvider,
IExecutionProvider executionProvider, IThreadProvider threadProvider,
IBreakpointProvider breakpointProvider)
{
this.typeProvider = typeProvider;
this.executionProvider = executionProvider;
this.threadProvider = threadProvider;
this.breakpointProvider = breakpointProvider;
this.vm = vm;
LogProvider.Debug += s => LogOnDebug (s);
LogProvider.Error += s => LogOnError (s);
}
public Order(IExecutionProvider provider, Instrument instrument, OrderType type, OrderSide side, double qty, double price = 0.0, double stopPx = 0.0, TimeInForce timeInForce = TimeInForce.Day, string text = "")
: this()
{
this.provider = provider;
this.instrument = instrument;
this.type = type;
this.side = side;
this.qty = qty;
this.price = price;
this.stopPx = stopPx;
this.timeInForce = timeInForce;
this.text = text;
this.portfolio = null;
}
public ExecutionWindow(IDebuggerSession session, IExecutionProvider executionProvider)
{
this.session = session;
this.executionProvider = executionProvider;
this.executionProvider.Break += location =>
{
if (lastStop == location) {
executionProvider.Resume ();
return;
}
lastStop = location;
SourceNavigator.ShowSourceLocation (location);
};
}
public QuoteMonitorWidget(string providerName)
{
Build();
var f = Framework.Current;
var provider = f.ProviderManager.GetProvider(providerName);
this.dataProvider = provider as IDataProvider;
this.executionProvider = provider as IExecutionProvider;
this.portfolio = new Portfolio(f, "QuoteMonitor");
Name = string.Format("QuoteMonitor [{0}]", providerName);
f.EventManager.Dispatcher.Bid += new BidEventHandler(this.OnBid);
f.EventManager.Dispatcher.Ask += new AskEventHandler(this.OnAsk);
f.EventManager.Dispatcher.Trade += new TradeEventHandler(this.OnTrade);
}
public StopOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double stopPx)
: this(provider, portfolio, instrument, side, qty, stopPx, null)
{
}
internal IExecutionProvider GetExecutionProvider(Instrument instrument)
{
IExecutionProvider executionProvider = null;
if (instrument.ExecutionProvider != null)
{
executionProvider = instrument.ExecutionProvider;
}
if (executionProvider == null && this.ExecutionProvider != null)
{
executionProvider = this.ExecutionProvider;
}
if (this.Mode != StrategyMode.Live)
{
if (executionProvider != null && executionProvider is SellSideStrategy)
{
return executionProvider;
}
return this.framework.providerManager.executionSimulator;
}
else
{
if (executionProvider != null)
{
return executionProvider;
}
return this.framework.ExecutionProvider;
}
}
protected StrategyBase(string name, string description)
{
this.metaStrategyBase = (MetaStrategyBase) null;
this.name = name;
this.description = description;
this.isEnabled = true;
this.isActive = true;
this.ReportManager = StrategyComponentManager.GetComponent("getcom", (object) this) as ReportManager;
this.MarketManager = StrategyComponentManager.GetComponent("getcom", (object) this) as MarketManager;
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
this.portfolio = new Portfolio(name);
this.tester = new LiveTester(this.portfolio);
this.stops = new StopList();
this.triggers = new TriggerList();
this.marketDataProvider = (IMarketDataProvider) null;
this.executionProvider = (IExecutionProvider) null;
this.newsProvider = (INewsProvider) null;
this.executionService = (IExecutionService) null;
this.orders = new OrderTable();
this.global = new Hashtable();
this.activeInstruments = new InstrumentList();
this.barSliceManager = new BarSliceManager();
this.componentTypeList = new List<ComponentType>();
this.componentTypeList.Add(ComponentType.MarketManager);
this.componentTypeList.Add(ComponentType.ReportManager);
this.activeStops = new Dictionary<Instrument, List<StopBase>>();
this.portfolios = new Dictionary<Instrument, Portfolio>();
this.testers = new Dictionary<Instrument, LiveTester>();
this.statisticsPerInstrumentEnabled = false;
}
public Order(Order order)
: base()
{
this.id = -1;
this.oCA = "";
this.text = "";
this.id = order.id;
this.providerId = order.providerId;
this.portfolioId = order.portfolioId;
this.transactTime = order.transactTime;
this.dateTime = order.dateTime;
this.instrument = order.instrument;
this.provider = order.provider;
this.portfolio = order.portfolio;
this.status = order.status;
this.side = order.side;
this.type = order.type;
this.timeInForce = order.timeInForce;
this.price = order.price;
this.stopPx = order.stopPx;
this.avgPx = order.avgPx;
this.qty = order.qty;
this.cumQty = order.cumQty;
this.text = order.text;
this.commands = order.commands;
this.reports = order.reports;
this.messages = order.messages;
}
public Order SellPegged(IExecutionProvider provider, Instrument instrument, double qty, double offset, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.Pegged, OrderSide.Sell, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.StopPx = offset;
order.Text = text;
this.Send(order);
return order;
}
private void SetRawExecutionProvider(IExecutionProvider executionProvider)
{
this.executionProvider = executionProvider;
}
internal void Refresh()
{
if (this.marketDataProvider == null)
this.marketDataProvider = ProviderManager.MarketDataProviders[this.marketDataProviderId];
if (this.executionProvider != null)
return;
this.executionProvider = ProviderManager.ExecutionProviders[this.executionProviderId];
}
public Order Buy(IExecutionProvider provider, Instrument instrument, double qty, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.Market, OrderSide.Buy, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
this.Send(order);
return order;
}
public Order Sell(IExecutionProvider provider, Instrument instrument, OrderType type, double qty, double price, double stopPx, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, type, OrderSide.Sell, qty, price, stopPx, TimeInForce.Day, 0, "");
order.StrategyId = Id;
order.Text = text;
this.Send(order);
return order;
}
protected void SetupTestWithBreakpoint(int line)
{
_breakpointProvider = new BreakpointProvider();
_breakpointProvider.ToggleBreakpointAt(LocationOfSourceFile, line);
new BreakpointMediator(_vm, _breakpointProvider);
ExecutionProvider = new ExecutionProvider(_vm);
}
public ExecutionCommand(ExecutionCommand command)
{
this.id = command.id;
this.providerId = command.providerId;
this.portfolioId = command.portfolioId;
this.transactTime = command.transactTime;
this.dateTime = command.dateTime;
this.instrument = command.instrument;
this.provider = command.provider;
this.portfolio = command.portfolio;
this.side = command.side;
this.orderType = command.OrdType;
this.timeInForce = command.timeInForce;
this.price = command.price;
this.stopPx = command.stopPx;
this.qty = command.qty;
this.oCA = command.oCA;
this.text = command.text;
}
internal ExecutionProvider(IExecutionProvider provider) : base(provider)
{
this.provider = provider;
}
public LimitOrder(IExecutionProvider provider, Portfolio portfolio, Instrument instrument, Side side, double qty, double price)
: this(provider, portfolio, instrument, side, qty, price, null)
{
}
public Order SellStopLimit(IExecutionProvider provider, Instrument instrument, double qty, double stopPx, double price, string text = "")
{
Order order = new Order(provider, this.Portfolio, instrument, OrderType.StopLimit, OrderSide.Sell, qty, 0.0, 0.0, TimeInForce.Day, 0, "");
order.StrategyId = this.Id;
order.Text = text;
order.StopPx = stopPx;
order.Price = price;
this.Send(order);
return order;
}
