internal Portfolio(SmartQuant.Instruments.Portfolio portfolio)
{
this.portfolio = portfolio;
this.positions = new PositionList(portfolio.Positions);
this.transactions = new TransactionList(portfolio.Transactions);
this.account = new PortfolioAccount(portfolio.Account);
}
private void AddAccountData(SmartQuant.AccountData data)
{
int key = (int)data.ProviderId * 256 + (int)data.Route;
AccountDataViewer accountDataViewer;
if (!this.viewers.TryGetValue(key, out accountDataViewer))
{
accountDataViewer = new AccountDataViewer();
accountDataViewer.Dock = DockStyle.Fill;
this.viewers.Add(key, accountDataViewer);
TabPage tabPage = new TabPage();
try
{
if ((int)data.ProviderId == (int)data.Route)
tabPage.Text = string.Format("{0}", (object)this.framework.ProviderManager.GetProvider((int)data.ProviderId).Name);
else
tabPage.Text = string.Format("{0} ({1})", (object)this.framework.ProviderManager.GetProvider((int)data.ProviderId).Name, (object)this.framework.ProviderManager.GetProvider((int)data.Route).Name);
}
catch (Exception ex)
{
tabPage.Text = ex.Message;
}
tabPage.Controls.Add((Control)accountDataViewer);
this.tabViewers.TabPages.Add(tabPage);
}
accountDataViewer.OnData(data);
}
public ExecutionReport CreateReport(
OrderRecord record,
SQ.ExecType? execType,
SQ.OrderStatus? orderStatus)
{
ExecutionReport report = new ExecutionReport();
report.DateTime = framework.Clock.DateTime;
report.Order = record.Order;
report.Instrument = record.Order.Instrument;
report.Side = record.Order.Side;
report.OrdType = record.Order.Type;
report.TimeInForce = record.Order.TimeInForce;
report.OrdQty = record.Order.Qty;
report.Price = record.Order.Price;
report.StopPx = record.Order.StopPx;
report.AvgPx = record.AvgPx;
report.CumQty = record.CumQty;
report.LeavesQty = record.LeavesQty;
if (execType != null)
report.ExecType = execType.Value;
if (orderStatus != null)
report.OrdStatus = orderStatus.Value;
return report;
}
public ChildrenStatisticsViewItem(SmartQuant.Portfolio portfolio)
: base(new string[8])
{
this.Portfolio = portfolio;
this.SubItems[0].Text = this.Portfolio.Name;
this.UseItemStyleForSubItems = false;
this.Update();
}
public SmartQuant.Data.Bar FilterBarOpen(SmartQuant.Data.Bar bar, string symbol)
{
Bar bar2 = this.oqFilter.FilterBarOpen(new Bar(bar), symbol);
if (bar2 != null)
{
return bar2.bar;
}
return null;
}
public SmartQuant.Data.Trade FilterTrade(SmartQuant.Data.Trade trade, string symbol)
{
Trade trade2 = this.oqFilter.FilterTrade(new Trade(trade), symbol);
if (trade2 == null)
{
return null;
}
return trade2.trade;
}
public SmartQuant.Data.Quote FilterQuote(SmartQuant.Data.Quote quote, string symbol)
{
Quote quote2 = this.oqFilter.FilterQuote(new Quote(quote), symbol);
if (quote2 == null)
{
return null;
}
return quote2.quote;
}
public DataSeriesViewItem(DataSeries dataSeries, byte dataType, SmartQuant.BarType? barType = null, long? barSize = null)
: base(new string[4], 0)
{
this.dataSeries = dataSeries;
this.DataType = dataType;
this.BarType = barType;
this.BarSize = barSize;
this.Update();
}
internal BrokerPositionFieldList(SmartQuant.Providers.BrokerPositionField[] fields)
{
this.fields = fields;
this.table = new Dictionary<string, SmartQuant.Providers.BrokerPositionField>();
for (int i = 0; i < fields.Length; i++)
{
SmartQuant.Providers.BrokerPositionField brokerPositionField = fields[i];
this.table.Add(brokerPositionField.Name, brokerPositionField);
}
}
private void AddPortfolio(SmartQuant.Portfolio portfolio)
{
if (this.nodes.ContainsKey(portfolio.Name))
return;
PortfolioNode portfolioNode = new PortfolioNode(portfolio.Name);
this.nodes[portfolio.Name] = portfolioNode;
if (portfolio.Parent == null)
this.trvPortfolios.Nodes.Add((TreeNode) portfolioNode);
else
this.nodes[portfolio.Parent.Name].Nodes.Add((TreeNode) portfolioNode);
}
protected override void OnInit(SmartQuant.DataObject dataObject, int decimalPlaces)
{
if (dataObject != null)
{
Quote quote = (Quote) dataObject;
this.nudBid.Value = (Decimal) quote.Bid.Price;
this.nudBidSize.Value = (Decimal) quote.Bid.Size;
this.nudAsk.Value = (Decimal) quote.Ask.Price;
this.nudAskSize.Value = (Decimal) quote.Ask.Size;
}
this.nudBid.DecimalPlaces = decimalPlaces;
this.nudAsk.DecimalPlaces = decimalPlaces;
}
internal BrokerAccountFieldList(SmartQuant.Providers.BrokerAccountField[] fields)
{
this.fields = fields;
this.table = new Dictionary<string, Dictionary<string, SmartQuant.Providers.BrokerAccountField>>();
for (int i = 0; i < fields.Length; i++)
{
SmartQuant.Providers.BrokerAccountField brokerAccountField = fields[i];
Dictionary<string, SmartQuant.Providers.BrokerAccountField> dictionary;
if (!this.table.TryGetValue(brokerAccountField.Name, out dictionary))
{
dictionary = new Dictionary<string, SmartQuant.Providers.BrokerAccountField>();
this.table.Add(brokerAccountField.Name, dictionary);
}
dictionary.Add(brokerAccountField.Currency, brokerAccountField);
}
}
//public double FixPrice(double price, SmartQuant.OrderSide Side, double tickSize, double LowerLimitPrice, double UpperLimitPrice)
//{
// //没有设置就直接用
// if (tickSize > 0)
// {
// decimal remainder = ((decimal)price % (decimal)tickSize);
// if (remainder != 0)
// {
// if (Side == SmartQuant.OrderSide.Buy)
// {
// price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
// }
// else
// {
// price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
// }
// }
// else
// {
// //正好能整除，不操作
// }
// }
// if (0 == UpperLimitPrice
// && 0 == LowerLimitPrice)
// {
// //涨跌停无效
// }
// else
// {
// //防止价格超过涨跌停
// if (price >= UpperLimitPrice)
// price = UpperLimitPrice;
// else if (price <= LowerLimitPrice)
// price = LowerLimitPrice;
// }
// return price;
//}
public double FixPrice(MarketDataRecord record,double price, SmartQuant.OrderSide Side, double tickSize)
{
double LowerLimitPrice = record.DepthMarket.LowerLimitPrice;
double UpperLimitPrice = record.DepthMarket.UpperLimitPrice;
//没有设置就直接用
if (tickSize > 0)
{
decimal remainder = ((decimal)price % (decimal)tickSize);
if (remainder != 0)
{
if (Side == SmartQuant.OrderSide.Buy)
{
price = Math.Round(Math.Ceiling(price / tickSize) * tickSize, 6);
}
else
{
price = Math.Round(Math.Floor(price / tickSize) * tickSize, 6);
}
}
else
{
//正好能整除，不操作
}
}
if (0 == UpperLimitPrice
&& 0 == LowerLimitPrice)
{
//涨跌停无效
_TdApi.Log.Warn("Symbol:{0},Symbol_Dot_Exchange:{1},LowerLimitPrice && UpperLimitPrice 为0,没有进行价格修正",
record.Symbol,record.Symbol_Dot_Exchange);
}
else
{
//防止价格超过涨跌停
if (price >= UpperLimitPrice)
price = UpperLimitPrice;
else if (price <= LowerLimitPrice)
price = LowerLimitPrice;
}
return price;
}
protected override void OnInit(SmartQuant.DataObject dataObject, int decimalPlaces)
{
if (dataObject != null)
{
Bar bar = (Bar) dataObject;
this.dtpDateTime.Value = bar.OpenDateTime;
this.dtpEnd.Value = bar.CloseDateTime;
this.nudOpen.Value = (Decimal) bar.Open;
this.nudHigh.Value = (Decimal) bar.High;
this.nudLow.Value = (Decimal) bar.Low;
this.nudClose.Value = (Decimal) bar.Close;
this.nudVolume.Value = (Decimal) bar.Volume;
this.nudOpenInt.Value = (Decimal) bar.OpenInt;
this.dtpDateTime.Enabled = false;
this.dtpEnd.Enabled = false;
}
else
{
DateTime now = DateTime.Now;
this.dtpDateTime.Value = new DateTime(now.Year, now.Month, now.Day, now.Hour, now.Minute, now.Second);
this.dtpDateTime.Enabled = true;
if (this.barType == BarType.Time)
{
this.dtpEnd.Value = this.dtpDateTime.Value.AddSeconds((double) this.barSize);
this.dtpEnd.Enabled = false;
}
else
{
this.dtpEnd.Value = this.dtpDateTime.Value;
this.dtpEnd.Enabled = true;
}
}
this.tbxBarType.Text = string.Format("{0} {1}", (object) this.barType, (object) this.barSize);
this.nudOpen.DecimalPlaces = decimalPlaces;
this.nudHigh.DecimalPlaces = decimalPlaces;
this.nudLow.DecimalPlaces = decimalPlaces;
this.nudClose.DecimalPlaces = decimalPlaces;
}
public void OnData(SmartQuant.AccountData data)
{
if (!this.cbxAccount.Items.Contains((object)data.Account))
{
this.cbxAccount.Items.Add((object)data.Account);
this.accounts.Add(data.Account, new Dictionary<string, ListViewItem>());
this.positions.Add(data.Account, new Dictionary<string, ListViewItem>());
this.orders.Add(data.Account, new Dictionary<string, ListViewItem>());
if (this.cbxAccount.SelectedIndex < 0)
this.cbxAccount.SelectedIndex = 0;
}
switch (data.Type)
{
case AccountDataType.AccountValue:
this.AddValue(data);
break;
case AccountDataType.Position:
this.AddPosition(data);
break;
case AccountDataType.Order:
this.AddOrder(data);
break;
}
}
internal Statistics(SmartQuant.Instruments.Portfolio portfolio)
{
this.portfolio = portfolio;
}
internal BrokerAccountField(SmartQuant.Providers.BrokerAccountField field)
{
this.field = field;
}
internal Transaction(SmartQuant.Instruments.Transaction transaction)
{
this.transaction = transaction;
}
public DataTypeItem(byte dataType, SmartQuant.BarType? barType = null, long? barSize = null)
{
this.DataType = dataType;
this.BarType = barType;
this.BarSize = barSize;
}
private void UpdateSubItem(ListViewItem item, int index, SmartQuant.AccountData data, string name)
{
object obj = data.Fields[name];
if (obj == null)
return;
item.SubItems[index].Text = obj.ToString();
}
public OrderKey(SmartQuant.AccountData data) : base(data)
{
this.key = GetFieldAsString("OrderID");
}
private void AddPosition(SmartQuant.AccountData data)
{
Dictionary<string, ListViewItem> dictionary = this.positions[data.Account];
string key = new PositionKey(data).ToString();
ListViewItem listViewItem = (ListViewItem)null;
if (!dictionary.TryGetValue(key, out listViewItem))
{
listViewItem = new ListViewItem(new string[4]);
listViewItem.Name = key;
listViewItem.SubItems[0].Text = key;
dictionary.Add(key, listViewItem);
}
this.UpdateSubItem(listViewItem, 1, data, "Qty");
this.UpdateSubItem(listViewItem, 2, data, "LongQty");
this.UpdateSubItem(listViewItem, 3, data, "ShortQty");
if (!(data.Account == this.cbxAccount.SelectedItem as string))
return;
this.UpdateListView(data.Account, AccountDataViewer.ListType.Positions);
}
private void AddOrder(SmartQuant.AccountData data)
{
Dictionary<string, ListViewItem> dictionary = this.orders[data.Account];
string key = new OrderKey(data).ToString();
ListViewItem listViewItem = (ListViewItem)null;
if (!dictionary.TryGetValue(key, out listViewItem))
{
listViewItem = new ListViewItem(new string[8]);
listViewItem.Name = key;
listViewItem.SubItems[0].Text = key;
dictionary.Add(key, listViewItem);
}
this.UpdateSubItem(listViewItem, 1, data, "Symbol");
this.UpdateSubItem(listViewItem, 2, data, "OrderSide");
this.UpdateSubItem(listViewItem, 3, data, "OrderType");
this.UpdateSubItem(listViewItem, 4, data, "Qty");
this.UpdateSubItem(listViewItem, 5, data, "Price");
this.UpdateSubItem(listViewItem, 6, data, "StopPx");
this.UpdateSubItem(listViewItem, 7, data, "OrderStatus");
if (!(data.Account == this.cbxAccount.SelectedItem as string))
return;
this.UpdateListView(data.Account, AccountDataViewer.ListType.Orders);
}
private void AddValue(SmartQuant.AccountData data)
{
Dictionary<string, ListViewItem> dictionary = this.accounts[data.Account];
foreach (AccountDataField accountDataField in data.Fields)
{
string key = string.Format("{0}:{1}", (object)accountDataField.Name, (object)accountDataField.Currency);
ListViewItem listViewItem = (ListViewItem)null;
if (!dictionary.TryGetValue(key, out listViewItem))
{
listViewItem = new ListViewItem(new string[3]);
listViewItem.Name = key;
listViewItem.SubItems[0].Text = accountDataField.Name;
listViewItem.SubItems[1].Text = accountDataField.Currency;
dictionary.Add(key, listViewItem);
}
listViewItem.SubItems[2].Text = this.ValueToString(accountDataField.Value);
}
if (!(data.Account == this.cbxAccount.SelectedItem as string))
return;
this.UpdateListView(data.Account, AccountDataViewer.ListType.Accounts);
}
public PositionKey(SmartQuant.AccountData data) : base(data)
{
this.key = $"{GetFieldAsString("Symbol")} {GetFieldAsString("Maturity")} {GetFieldAsString("PutOrCall")} {GetFieldAsString("Strike")}";
}
private void RemovePortfolio(SmartQuant.Portfolio portfolio)
{
this.nodes[portfolio.Name].Remove();
this.nodes.Remove(portfolio.Name);
}
internal static StopType Convert(SmartQuant.Trading.StopType stopType)
{
switch (stopType)
{
case SmartQuant.Trading.StopType.Fixed:
return StopType.Fixed;
case SmartQuant.Trading.StopType.Trailing:
return StopType.Trailing;
case SmartQuant.Trading.StopType.Time:
return StopType.Time;
default:
throw new NotImplementedException("Stop type is not supported : " + stopType);
}
}
private void ChangeParent(SmartQuant.Portfolio portfolio)
{
if (!this.nodes.ContainsKey(portfolio.Name))
return;
PortfolioNode portfolioNode = this.nodes[portfolio.Name];
portfolioNode.Remove();
this.nodes[portfolio.Parent.Name].Nodes.Add((TreeNode) portfolioNode);
}
internal static StopMode Convert(SmartQuant.Trading.StopMode stopMode)
{
switch (stopMode)
{
case SmartQuant.Trading.StopMode.Absolute:
return StopMode.Absolute;
case SmartQuant.Trading.StopMode.Percent:
return StopMode.Percent;
default:
throw new NotImplementedException("Stop mode is not supported : " + stopMode);
}
}
internal static StopStatus Convert(SmartQuant.Trading.StopStatus stopStatus)
{
switch (stopStatus)
{
case SmartQuant.Trading.StopStatus.Active:
return StopStatus.Active;
case SmartQuant.Trading.StopStatus.Executed:
return StopStatus.Executed;
case SmartQuant.Trading.StopStatus.Canceled:
return StopStatus.Canceled;
default:
throw new NotImplementedException("Stop status is not supported : " + stopStatus);
}
}