internal DataSeriesObject(IDataSeries series, DateTime dateTime1, DateTime dateTime2, EventQueue queue, DataProcessor processor)
{
this.series = series;
eventQueue = queue;
if (processor == null)
{
this.processor = new DataProcessor();
}
else
{
this.processor = processor;
}
if (!(dateTime1 == DateTime.MinValue) && (dateTime1 >= series.DateTime1))
{
index1 = series.GetIndex(dateTime1, SearchOption.Next);
}
else
{
index1 = 0L;
}
if (!(dateTime2 == DateTime.MaxValue) && (dateTime2 <= series.DateTime2))
{
index2 = series.GetIndex(dateTime2);
}
else
{
index2 = series.Count - 1L;
}
current = index1;
progressDelta = (int)Math.Ceiling(Count() / 100.0);
progressCount = progressDelta;
progressPercent = 0;
}
public void Attach(EventBus bus)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.name = "attached";
eventQueue.Enqueue(new OnQueueOpened());
bus.dataPipe.Add(eventQueue);
this.attached[this.attached_count++] = eventQueue;
}
protected override void OnConnected()
{
if (this.series.Count != 0)
{
foreach (DataSeries current in this.series)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.name = current.name;
eventQueue.Enqueue(new OnQueueOpened());
this.framework.eventBus.dataPipe.Add(eventQueue);
if (this.seriesObjects.Count == 0)
{
eventQueue.Enqueue(new OnSimulatorStart());
}
this.seriesObjects.Add(new DataSeriesObject(current, this.dateTime1, this.dateTime2, eventQueue));
}
}
}
void ThreadRun()
{
Console.WriteLine(string.Join(" ", DateTime.Now, _thread.Name, @"started"));
if (!IsConnected) {
Connect();
}
EventQueue queue = new EventQueue(1, 0, 2, 10) {
IsSynched = true
};
queue.Enqueue(new OnQueueOpened(queue));
queue.Enqueue(new OnSimulatorStart(DateTime1, DateTime2, 0L));
queue.Enqueue(new OnQueueClosed(queue));
framework.EventBus.DataPipe.Add(queue);
_isExiting = false;
while (!_isExiting) {
var currentNode = _dataSeries.First;
SmartQuant.LinkedListNode<DataSeriesObject> prevNode = null;
while (currentNode != null) {
var serie = currentNode.Data;
if (!serie.endOfSeries)
{
serie.Enqueue();
prevNode = currentNode;
}
else {
if (prevNode == null) {
_dataSeries.First = currentNode.Next;
}
else {
prevNode.Next = currentNode.Next;
}
_dataSeries.Count--;
serie.eventQueue.Enqueue(new OnQueueClosed(serie.eventQueue));
}
currentNode = currentNode.Next;
}
}
_isExiting = false;
_isRunning = false;
Console.WriteLine(string.Join(" ", DateTime.Now, _thread.Name, @"stopped"));
}
public Event Read()
{
if (this.synch)
{
DateTime t = DateTime.MaxValue;
LinkedListNode<IEventQueue> linkedListNode = this.queues.First;
LinkedListNode<IEventQueue> linkedListNode2 = null;
LinkedListNode<IEventQueue> linkedListNode3 = null;
while (linkedListNode != null)
{
Event @event = linkedListNode.Data.Peek();
if (@event.TypeId == 206)
{
if (linkedListNode2 == null)
{
this.queues.First = linkedListNode.Next;
}
else
{
linkedListNode2.Next = linkedListNode.Next;
}
this.queues.Count--;
if (this.queues.Count == 0 && this.framework.Mode == FrameworkMode.Simulation && linkedListNode.Data.Name != "Simulator stop queue")
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 10);
eventQueue.name = "Simulator stop queue";
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.Enqueue(new OnSimulatorStop());
eventQueue.Enqueue(new OnQueueClosed());
this.Add(eventQueue);
}
linkedListNode3 = linkedListNode;
break;
}
DateTime dateTime = @event.dateTime;
if (dateTime <= t)
{
linkedListNode3 = linkedListNode;
t = dateTime;
}
linkedListNode2 = linkedListNode;
linkedListNode = linkedListNode.Next;
}
return linkedListNode3.Data.Read();
}
LinkedListNode<IEventQueue> linkedListNode4 = this.queues.First;
LinkedListNode<IEventQueue> linkedListNode5 = null;
while (linkedListNode4 != null)
{
if (!linkedListNode4.Data.IsEmpty())
{
Event event2 = linkedListNode4.Data.Read();
if (event2.TypeId == 206)
{
if (linkedListNode5 == null)
{
this.queues.First = linkedListNode4.Next;
}
else
{
linkedListNode5.Next = linkedListNode4.Next;
}
this.queues.Count--;
}
return event2;
}
linkedListNode5 = linkedListNode4;
linkedListNode4 = linkedListNode4.Next;
}
return null;
}
public OnQueueOpened(EventQueue queue)
{
this.DateTime = DateTime.MinValue;
this.queue = queue;
}
private void Subscribe_(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (this.series.Count != 0)
{
return;
}
Console.WriteLine(DateTime.Now + " DataSimulator::Subscribe " + instrument.symbol);
DataSeries dataSeries = this.framework.DataManager.GetSeries(instrument, 4);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.name = instrument + " trade";
eventQueue.Enqueue(new OnQueueOpened());
this.framework.eventBus.dataPipe.Add(eventQueue);
if (this.seriesObjects.Count == 0)
{
eventQueue.Enqueue(new OnSimulatorStart());
}
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 2);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " bid";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 3);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " ask";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 5);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " quote";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 6);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " bar";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 7);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " level2";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 22);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " fundamental";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 23);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " news";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
}
private void Subscribe_(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (this.series.Count != 0)
{
return;
}
Console.WriteLine(DateTime.Now + " DataSimulator::Subscribe " + instrument.symbol);
DataSeries dataSeries = this.framework.DataManager.GetSeries(instrument, 4);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.name = instrument + " trade";
eventQueue.Enqueue(new OnQueueOpened());
this.framework.eventBus.dataPipe.Add(eventQueue);
if (this.seriesObjects.Count == 0)
{
eventQueue.Enqueue(new OnSimulatorStart());
}
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 2);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " bid";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 3);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " ask";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 5);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " quote";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 6);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " bar";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 7);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " level2";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 22);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " fundamental";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
dataSeries = this.framework.DataManager.GetSeries(instrument, 23);
if (dataSeries != null)
{
EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
eventQueue.Enqueue(new OnQueueOpened());
eventQueue.name = instrument + " news";
this.framework.eventBus.dataPipe.Add(eventQueue);
this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
}
}
protected virtual void OnConnected()
{
if (this is IDataProvider)
{
this.dataQueue = new EventQueue(1, 0, 2, 25000);
this.dataQueue.Enqueue(new OnQueueOpened());
this.dataQueue.name = this.name + " data queue";
this.framework.eventBus.dataPipe.Add(this.dataQueue);
}
if (this is IExecutionProvider)
{
this.executionQueue = new EventQueue(2, 0, 2, 25000);
this.executionQueue.Enqueue(new OnQueueOpened());
this.executionQueue.name = this.name + " execution queue";
this.framework.eventBus.executionPipe.Add(this.executionQueue);
}
}
private void OpenInstrumentQueue()
{
if (this.instrumentQueue == null)
{
this.instrumentQueue = new EventQueue(0, 0, 2, 1000);
this.instrumentQueue.name = this.name + " instrument queue";
this.instrumentQueue.Enqueue(new OnQueueOpened());
this.framework.eventBus.servicePipe.Add(this.instrumentQueue);
}
}
private void OpenHistoricalDataQueue()
{
if (this.historicalQueue == null)
{
this.historicalQueue = new EventQueue(0, 0, 2, 1000);
this.historicalQueue.name = this.name + " historical queue";
this.historicalQueue.Enqueue(new OnQueueOpened());
this.framework.eventBus.servicePipe.Add(this.historicalQueue);
}
}
private void CloseInstrumentQueue()
{
if (this.instrumentQueue != null)
{
this.instrumentQueue.Enqueue(new OnQueueClosed());
this.instrumentQueue = null;
}
}
private void CloseHistoricalDataQueue()
{
if (this.historicalQueue != null)
{
this.historicalQueue.Enqueue(new OnQueueClosed());
this.historicalQueue = null;
}
}
protected virtual void OnDisconnected()
{
if (this is IDataProvider)
{
this.dataQueue.Enqueue(new OnQueueClosed());
this.dataQueue = null;
}
if (this is IExecutionProvider)
{
this.executionQueue.Enqueue(new OnQueueClosed());
this.executionQueue = null;
}
}
public OnQueueOpened(EventQueue queue)
{
this.DateTime = DateTime.MinValue;
this.queue = queue;
}
//void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
//{
// Console.WriteLine("{0} {1}::Subscribe {2}", DateTime.Now, this.Name, instrument.Symbol);
// var info = new SubscribeInfo();
// info.DatePath = Path.Combine(DataPath, instrument.Symbol);
// info.DateTime1 = dateTime1;
// info.DateTime2 = dateTime2;
// info.InstrumentId = instrument.Id;
// info.SubscribeBidAsk = SubscribeBid && SubscribeAsk;
// info.SubscribeTrade = SubscribeTrade;
// var queue = new EventQueue(1, 0, 2, 0x61a8) {
// IsSynched = true
// };
// queue.Enqueue(new OnQueueOpened(queue));
// framework.EventBus.DataPipe.Add(queue);
// _dataSeries.Add(new DataSeriesObject(info, queue));
//}
void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
Console.WriteLine("{0} {1}::Subscribe {2}", DateTime.Now, this.Name, instrument.Symbol);
// 在这里一开始就加载完，需要一点时间，后期考虑将数据与回测结合起来使用
ProtobufDataZeroReader reader = new ProtobufDataZeroReader();
reader.DataPath_Instrument = DataPath_Instrument;
reader.DataPath_Realtime = DataPath_Realtime;
reader.SubscribeExternData = SubscribeExternData;
reader.SubscribeAsk = SubscribeAsk;
reader.SubscribeBid = SubscribeBid;
reader.GetDataSeries(instrument, dateTime1, dateTime2);
IDataSeries Trades = null;
IDataSeries Bids = null;
IDataSeries Asks = null;
if(SubscribeTrade || SubscribeBid || SubscribeAsk)
{
reader.OutputSeries(out Trades, out Bids, out Asks);
}
if (SubscribeTrade && Trades != null && Trades.Count > 0)
{
var queue = new EventQueue(1, 0, 2, 0x61a8)
{
IsSynched = true
};
queue.Enqueue(new OnQueueOpened(queue));
framework.EventBus.DataPipe.Add(queue);
_dataSeries.Add(new DataSeriesObject(Trades, dateTime1, dateTime2, queue, this.Processor));
}
if (SubscribeBid && Bids != null && Bids.Count > 0)
{
var queue = new EventQueue(1, 0, 2, 0x61a8)
{
IsSynched = true
};
queue.Enqueue(new OnQueueOpened(queue));
framework.EventBus.DataPipe.Add(queue);
_dataSeries.Add(new DataSeriesObject(Bids, dateTime1, dateTime2, queue, this.Processor));
}
if (SubscribeAsk && Asks != null && Asks.Count > 0)
{
var queue = new EventQueue(1, 0, 2, 0x61a8)
{
IsSynched = true
};
queue.Enqueue(new OnQueueOpened(queue));
framework.EventBus.DataPipe.Add(queue);
_dataSeries.Add(new DataSeriesObject(Asks, dateTime1, dateTime2, queue, this.Processor));
}
}
public DataSeriesObject_bak(SubscribeInfo info, EventQueue queue)
{
EventQueue = queue;
_info = info;
Init();
}