private void EmitNewBarOpenEvent(IFIXInstrument instrument, SmartQuant.Data.Bar bar)
{
if (bar == null)
{
return;
}
if (_NewBarOpen == null)
{
return;
}
if (instrument == null)
{
throw new ArgumentException("合约不存在,请检查是否创建了合约");
}
if (NewBarOpenField == null && _NewBarOpen != null)
{
throw new ArgumentException("事件没有正确识别");
}
var NewBarOpenDelegate = (MulticastDelegate)NewBarOpenField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewBarOpenDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new BarEventArgs(bar, instrument, marketDataProvider) });
}
}
private void EmitBar(IFIXInstrument instrument, SmartQuant.Data.Bar bar)
{
if (this.NewBar != null)
{
this.NewBar(this, new BarEventArgs(bar, instrument, this));
}
}
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 Bar this[DateTime dateTime]
{
get
{
SmartQuant.Data.Bar bar = this.series[dateTime];
if (bar == null)
{
return(null);
}
return(new Bar(bar));
}
}
public void EmitBar(string instrument, DateTime time, byte providerId, double open, double high, double low, double close, long volume, long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Time, size, time, time.AddSeconds(size), open, high, low, close, volume, openInt)
{
ProviderId = providerId,
IsComplete = true,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarEvent(inst, bar);
}
public void EmitBarOpen(string instrument, DateTime time, byte providerId, double open, double high, double low, double close, long volume, long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(time, open, high, low, close, volume, size)
{
ProviderId = providerId,
OpenInt = openInt,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarOpenEvent(inst, bar);
}
public void EmitBar(global::OpenQuant.API.Instrument instrument, global::OpenQuant.API.BarType barType, long barSize, DateTime beginDateTime, DateTime endDateTime, double open, double high, double low, double close, long volume)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(global::OpenQuant.API.EnumConverter.Convert(barType), barSize, beginDateTime, endDateTime, open, high, low, close, volume, 0L);
if (this.MarketDataFilter != null)
{
bar = this.MarketDataFilter.FilterBar(bar, instrument.Symbol);
}
if (bar != null)
{
this.EmitBar(instrument.instrument, bar);
}
}
public void EmitHistoricalBar(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double open, double high, double low, double close, long volume)
{
if (this.NewHistoricalBar != null)
{
SmartQuant.Data.Bar bar;
if (request.request.DataType == HistoricalDataType.Daily)
{
bar = new Daily(datetime, open, high, low, close, volume, 0L);
}
else
{
bar = new SmartQuant.Data.Bar(datetime, open, high, low, close, volume, request.request.BarSize);
}
HistoricalBarEventArgs args = new HistoricalBarEventArgs(bar, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalBar(this, args);
}
}
internal Bar(SmartQuant.Data.Bar bar)
{
this.bar = bar;
}
public Bar(DateTime dateTime, double open, double high, double low, double close, long volume, long openInt, long size)
{
this.bar = new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Time, size, dateTime, dateTime.AddSeconds((double)size), open, high, low, close, volume, openInt);
}
public Bar(DateTime dateTime, double open, double high, double low, double close, long volume, long size)
{
this.bar = new SmartQuant.Data.Bar(dateTime, open, high, low, close, volume, size);
}
public Bar(DateTime dateTime, double open, double high, double low, double close, long volume, long openInt, long size)
{
this.bar = new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Time, size, dateTime, dateTime.AddSeconds((double)size), open, high, low, close, volume, openInt);
}
public Bar(DateTime dateTime, double open, double high, double low, double close, long volume, long size)
{
this.bar = new SmartQuant.Data.Bar(dateTime, open, high, low, close, volume, size);
}
public void EmitBar(string instrument,DateTime time, byte providerId, double open, double high, double low, double close, long volume,long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(SmartQuant.Data.BarType.Time,size,time,time.AddSeconds(size), open, high, low, close, volume,openInt)
{
ProviderId = providerId,
IsComplete = true,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarEvent(inst, bar);
}
internal Bar(SmartQuant.Data.Bar bar)
{
this.bar = bar;
}
public void EmitHistoricalBar(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double open, double high, double low, double close, long volume)
{
if (this.NewHistoricalBar != null)
{
SmartQuant.Data.Bar bar;
if (request.request.DataType == HistoricalDataType.Daily)
{
bar = new Daily(datetime, open, high, low, close, volume, 0L);
}
else
{
bar = new SmartQuant.Data.Bar(datetime, open, high, low, close, volume, request.request.BarSize);
}
HistoricalBarEventArgs args = new HistoricalBarEventArgs(bar, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalBar(this, args);
}
}
public void EmitBar(global::OpenQuant.API.Instrument instrument, global::OpenQuant.API.BarType barType, long barSize, DateTime beginDateTime, DateTime endDateTime, double open, double high, double low, double close, long volume)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(global::OpenQuant.API.EnumConverter.Convert(barType), barSize, beginDateTime, endDateTime, open, high, low, close, volume, 0L);
if (this.MarketDataFilter != null)
{
bar = this.MarketDataFilter.FilterBar(bar, instrument.Symbol);
}
if (bar != null)
{
this.EmitBar(instrument.instrument, bar);
}
}
public void EmitBarOpen(string instrument, DateTime time, byte providerId, double open, double high, double low, double close, long volume, long openInt, long size)
{
SmartQuant.Data.Bar bar = new SmartQuant.Data.Bar(time, open, high, low, close, volume, size)
{
ProviderId = providerId,
OpenInt = openInt,
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewBarOpenEvent(inst, bar);
}
public object Convert(SmartQuant.Data.Bar bar)
{
return(new Bar(bar));
}
