public void Online()
{
foreach (KeyValuePair <IMarketDataProvider, Dictionary <Instrument, List <string> > > current in this.requests)
{
IMarketDataProvider key = current.Key;
foreach (KeyValuePair <Instrument, List <string> > current2 in current.Value)
{
Instrument key2 = current2.Key;
foreach (string current3 in current2.Value)
{
if (current3 == null)
{
key2.RequestMarketData(key, (MarketDataType)3);
}
else
{
key2.RequestMarketData(key, (MarketDataType)3, current3);
}
}
}
}
ProviderManager.NewBar += new BarEventHandler(this.OnNewBar);
ProviderManager.NewBarOpen += new BarEventHandler(this.OnNewBarOpen);
ProviderManager.NewTrade += new TradeEventHandler(this.OnNewTrade);
ProviderManager.NewQuote += new QuoteEventHandler(this.OnNewQuote);
ProviderManager.NewMarketDepth += new MarketDepthEventHandler(this.OnNewMarketDepth);
ProviderManager.NewFundamental += new FundamentalEventHandler(this.OnNewFundamental);
ProviderManager.NewCorporateAction += new CorporateActionEventHandler(this.OnNewCorporateAction);
ProviderManager.NewBarSlice += new BarSliceEventHandler(this.OnNewBarSlice);
}
public DBInit(IMarketDataProvider marketProvider,
ITickerRepo tickerRepo,
IBaseRepo <Portfolio> portfolioRepo,
IBaseRepo <Trade> tradeRepo)
{
this.tickerRepo = tickerRepo;
}
protected void Init(IMarketDataProvider marketDataProvider, IExecutionProvider executionProvider, Portfolio portfolio, bool asyncEventProcessing)
{
this.marketDataProvider = marketDataProvider;
this.executionProvider = executionProvider;
this.portfolio = portfolio;
this.eventQueue.Enabled = asyncEventProcessing;
}
private static void LogRequestMessage(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string obj3)
{
if (Trace.IsLevelEnabled(TraceLevel.Warning))
{
Trace.WriteLine("" + Environment.NewLine + "" + provider.Name + Environment.NewLine + "Symbol" + instrument.Symbol + Environment.NewLine + "Type:" + mdType.ToString() + Environment.NewLine + "" + obj3);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="BasketBlackScholes"/>.
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <param name="positionProvider">The position provider.</param>
/// <param name="exchangeInfoProvider">Exchanges and trading boards provider.</param>
public BasketBlackScholes(Security underlyingAsset, IMarketDataProvider dataProvider, IExchangeInfoProvider exchangeInfoProvider, IPositionProvider positionProvider)
: base(underlyingAsset, dataProvider, exchangeInfoProvider)
{
_innerModels = new InnerModelList(this);
UnderlyingAsset = underlyingAsset;
PositionProvider = positionProvider ?? throw new ArgumentNullException(nameof(positionProvider));
}
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;
}
/// <summary>
/// Instantiates a <see cref="MarketDataSubscription"/>
/// </summary>
/// <param name="logger">The logger</param>
/// <param name="repositoryFactory">The repository to store and retrieve market data</param>
/// <param name="marketDataProvider">The provider for refreshing market data</param>
/// <param name="stockListProvider">The provider for lists of stocks for which to retrieve data</param>
/// <param name="quotesPublisher"></param>
/// <param name="subscriptionData">The subscriptionData data for determining</param>
public MarketDataSubscription(ILog logger,
IMarketDataRepositoryFactory repositoryFactory,
IMarketDataProvider marketDataProvider,
IStockListProvider stockListProvider,
IPublisher<NewQuotesData> quotesPublisher,
Subscription subscriptionData)
{
// perform null checks
if (logger == null)
throw new ArgumentNullException("logger");
if (repositoryFactory == null)
throw new ArgumentNullException("repositoryFactory");
if (marketDataProvider == null)
throw new ArgumentNullException("marketDataProvider");
if (subscriptionData == null)
throw new ArgumentNullException("subscriptionData");
// set dependencies
_logger = logger;
_repositoryFactory = repositoryFactory;
_marketDataProvider = marketDataProvider;
_stockListProvider = stockListProvider;
_quotesPublisher = quotesPublisher;
_subscriptionData = subscriptionData;
// set up timer
_timer = new Timer(obj => GetLatestQuotes());
// status initialized to idle
Status = SubscriptionStatus.Idle;
}
public void AddInstrument(Instrument instrument, IMarketDataProvider marketDataProvider, IExecutionProvider executionProvider)
{
/*-------不开市的时候无法加入证券------*/
if (!this.marketOpen)
{
return;
}
/*-------------*/
if (!this.instruments.Contains(instrument))
{
this.instruments.Add(instrument);
}
if (marketDataProvider != null)
{
this.marketDataProviderTable[instrument] = marketDataProvider;
}
else
{
this.marketDataProviderTable[instrument] = this.strategyMarketDataProvider;
}
if (executionProvider != null)
{
this.executionProviderTable[instrument] = executionProvider;
return;
}
this.executionProviderTable[instrument] = this.strategyExecutionProvider;
}
internal MarketDataSubscription(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, int count)
{
this.Provider = provider;
this.Instrument = instrument;
this.MDType = mdType;
this.Count = count;
}
/// <summary>
/// Provides the Market Data Provider instance depending on the specified provider
/// </summary>
public static IMarketDataProvider GetMarketDataProviderInstance(string providerName)
{
try
{
var doc = new XmlDocument();
// Read RabbitMQ configuration file
doc.Load(AppDomain.CurrentDomain.BaseDirectory + @"\Config\AvailableProviders.xml");
// Read the specified Node value
XmlNode providerInfo = doc.SelectSingleNode(xpath: "Providers/" + providerName);
// Check if the Requested Provider info is available
if (providerInfo == null)
{
if (Logger.IsInfoEnabled)
{
Logger.Info("Requested Market Data Provider not available.", _type.FullName, "GetMarketDataProviderInstance");
}
return(null);
}
IMarketDataProvider marketDataProvider = ContextRegistry.GetContext()[providerName + "MarketDataProvider"] as IMarketDataProvider;
return(marketDataProvider);
}
catch (Exception exception)
{
Logger.Error(exception, _type.FullName, "GetMarketDataProviderInstance");
return(null);
}
}
internal MarketDataSubscription(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, int count)
{
this.Provider = provider;
this.Instrument = instrument;
this.MDType = mdType;
this.Count = count;
}
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 Offline()
{
ProviderManager.NewBar -= new BarEventHandler(this.OnNewBar);
ProviderManager.NewBarOpen -= new BarEventHandler(this.OnNewBarOpen);
ProviderManager.NewTrade -= new TradeEventHandler(this.OnNewTrade);
ProviderManager.NewQuote -= new QuoteEventHandler(this.OnNewQuote);
ProviderManager.NewMarketDepth -= new MarketDepthEventHandler(this.OnNewMarketDepth);
ProviderManager.NewFundamental -= new FundamentalEventHandler(this.OnNewFundamental);
ProviderManager.NewCorporateAction -= new CorporateActionEventHandler(this.OnNewCorporateAction);
ProviderManager.NewBarSlice -= new BarSliceEventHandler(this.OnNewBarSlice);
foreach (KeyValuePair <IMarketDataProvider, Dictionary <Instrument, List <string> > > current in this.requests)
{
IMarketDataProvider key = current.Key;
if (key.BarFactory != null)
{
key.BarFactory.Reset();
}
foreach (KeyValuePair <Instrument, List <string> > current2 in current.Value)
{
Instrument key2 = current2.Key;
foreach (string current3 in current2.Value)
{
if (current3 == null)
{
key2.CancelMarketData(key, (MarketDataType)3);
}
else
{
key2.CancelMarketData(key, (MarketDataType)3, current3);
}
}
}
}
}
public BasketSecurityMarketDepthChangedRule(BasketSecurity security, IMarketDataProvider provider)
: base(security, provider)
{
Name = LocalizedStrings.Str1050 + " " + security;
#pragma warning disable CS0618 // Type or member is obsolete
Provider.MarketDepthChanged += OnMarketDepthChanged;
#pragma warning restore CS0618 // Type or member is obsolete
}
public SecurityNewTradeRule(Security security, IMarketDataProvider provider)
: base(security, provider)
{
Name = LocalizedStrings.Str1047 + " " + security;
#pragma warning disable CS0618 // Type or member is obsolete
Provider.NewTrade += OnNewTrade;
#pragma warning restore CS0618 // Type or member is obsolete
}
public PastaPricerEngine(IUnitOfExecution unitOfExecution, IEnumerable <string> pastasConfiguration, IMarketDataProvider marketDataProvider, IPastaPricerPublisher pastaPricerPublisher, bool conflationEnabled = false)
{
this.unitOfExecution = unitOfExecution;
this.pastasConfiguration = pastasConfiguration;
this.marketDataProvider = marketDataProvider;
this.pastaPricerPublisher = pastaPricerPublisher;
this.conflationEnabled = conflationEnabled;
}
public PastaPricerEngine(IUnitOfExecution unitOfExecution, IEnumerable<string> pastasConfiguration, IMarketDataProvider marketDataProvider, IPastaPricerPublisher pastaPricerPublisher, bool conflationEnabled = false)
{
this.unitOfExecution = unitOfExecution;
this.pastasConfiguration = pastasConfiguration;
this.marketDataProvider = marketDataProvider;
this.pastaPricerPublisher = pastaPricerPublisher;
this.conflationEnabled = conflationEnabled;
}
/// <summary>
/// Initializes a new instance of the <see cref="BlackScholes"/>.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
public BlackScholes(Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
: this(securityProvider, dataProvider)
{
if (option == null)
throw new ArgumentNullException(nameof(option));
Option = option;
}
/// <summary>
/// To get the main strike.
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="provider">The market data provider.</param>
/// <param name="allStrikes">All strikes.</param>
/// <returns>The main strike. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static Security GetCentralStrike(this Security underlyingAsset, IMarketDataProvider provider, IEnumerable <Security> allStrikes)
{
var assetPrice = underlyingAsset.GetCurrentPrice(provider);
return(assetPrice == null
? null
: allStrikes.OrderBy(s => Math.Abs((decimal)(s.Strike - assetPrice))).FirstOrDefault());
}
public AlphaVantageTest()
{
session.Initialise("Ivan", "*****@*****.**");
//this.mTickerRepo = new Mock<ITickerRepo>();
ITickerRepo tickerRepo = new TickerRepo(session, Utils.Logger);
IBaseRepo <PriceHistory> priceHistoryRepo = new BaseXMLRepo <PriceHistory>(session, Utils.Logger);
this._alphaVantage = new AlphaVantage(tickerRepo, priceHistoryRepo);
}
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 GMBarFactory(bool enabled, IMarketDataProvider provider)
{
this.enabled = enabled;
this.provider = provider;
this.input = BarFactoryInput.Trade;
this.items = new BarFactoryItemList();
this.items.Add(new BarFactoryItem(BarType.Time, 60, true));
this.barStore = new Dictionary <IFIXInstrument, Dictionary <BarType, Dictionary <long, object> > >();
this.times = new ArrayList();
}
/// <summary>
/// Initializes a new instance of the <see cref="BlackScholes"/>.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="dataProvider">The market data provider.</param>
public BlackScholes(Security option, Security underlyingAsset, IMarketDataProvider dataProvider)
: this(underlyingAsset, dataProvider)
{
if (option == null)
{
throw new ArgumentNullException(nameof(option));
}
Option = option;
}
/// <summary>
/// Initializes a new instance of the <see cref="BlackScholes"/>.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
public BlackScholes(Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
: this(securityProvider, dataProvider)
{
if (option == null)
{
throw new ArgumentNullException(nameof(option));
}
Option = option;
}
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;
}
protected override void OnInit()
{
InstrumentProviderKey instrumentProviderKey = (InstrumentProviderKey) this.Key;
this.instrument = instrumentProviderKey.Instrument;
this.marketDataProvider = (IMarketDataProvider) instrumentProviderKey.Provider;
if ((int) ((IProvider) this.marketDataProvider).Id != 1)
ThreadPool.QueueUserWorkItem((WaitCallback) (state => Global.ProviderHelper.RequestMarketData(this.marketDataProvider, this.instrument, (MarketDataType) 4)));
Global.TimerManager.Start((ITimerItem) this);
this.Text = string.Format("Order Book [{0}]", (object) ((FIXInstrument) this.instrument).Symbol);
}
public SecurityChangedRule(Security security, IMarketDataProvider provider, Func <Security, bool> condition)
: base(security, provider)
{
_condition = condition ?? throw new ArgumentNullException(nameof(condition));
Name = LocalizedStrings.Str1046 + " " + security;
#pragma warning disable CS0618 // Type or member is obsolete
Provider.SecurityChanged += OnSecurityChanged;
#pragma warning restore CS0618 // Type or member is obsolete
}
public void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string suffix)
{
if (this.useMessageLoop)
{
this.form.Invoke((Action)(() => instrument.CancelMarketData(provider, mdType, suffix)));
}
else
{
instrument.CancelMarketData(provider, mdType, suffix);
}
}
/// <summary>
/// Initialize <see cref="BlackScholes"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
protected BlackScholes(ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (securityProvider == null)
throw new ArgumentNullException(nameof(securityProvider));
if (dataProvider == null)
throw new ArgumentNullException(nameof(dataProvider));
SecurityProvider = securityProvider;
DataProvider = dataProvider;
}
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 void RequestMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
if (this.useMessageLoop)
{
this.form.Invoke((Action)(() => instrument.RequestMarketData(provider, mdType)));
}
else
{
instrument.RequestMarketData(provider, mdType);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="BasketBlackScholes"/>.
/// </summary>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <param name="positionProvider">The position provider.</param>
public BasketBlackScholes(ISecurityProvider securityProvider, IMarketDataProvider dataProvider, IPositionProvider positionProvider)
: base(securityProvider, dataProvider)
{
if (positionProvider == null)
{
throw new ArgumentNullException(nameof(positionProvider));
}
_innerModels = new InnerModelList(this);
PositionProvider = positionProvider;
}
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();
}
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;
}
public SZKingdomTestController(
IMarketDataProvider marketDataProvider,
IOrderManager orderManager,
IPortfolioManager portfolioManager,
IAccountManager accountManager,
IMarketDataService marketDataService)
{
_marketDataProvider = marketDataProvider;
_orderManager = orderManager;
_portfolioManager = portfolioManager;
_accountManager = accountManager;
_marketDataService = marketDataService;
}
public TradeFactory(IDataContext dataContext, IMarketDataProvider marketDataProvider, ITradeRepository tradeRepository)
{
this._portfolioIds = dataContext.Portfolios.Select(portfolio => portfolio.Id).ToArray();
foreach (Security security in dataContext.Securities.OrderBy(security => security.Ticker))
{
this._securities.Add(security);
this._prices.Add(security.Id, security.OpeningPrice);
}
this._marketDataProvider = marketDataProvider;
this._tradeRepository = tradeRepository;
this._timer = new Timer(this.Timer_Elapsed, null, TradeFactory.Interval, TradeFactory.Interval);
this._marketDataProvider.PricesChanged += this.MarketDataProvider_PricesChanged;
}
protected override void OnInit()
{
InstrumentProviderKey instrumentProviderKey = (InstrumentProviderKey)this.Key;
this.instrument = instrumentProviderKey.Instrument;
this.marketDataProvider = (IMarketDataProvider)instrumentProviderKey.Provider;
if ((int)((IProvider)this.marketDataProvider).Id != 1)
{
ThreadPool.QueueUserWorkItem((WaitCallback)(state => Global.ProviderHelper.RequestMarketData(this.marketDataProvider, this.instrument, (MarketDataType)4)));
}
Global.TimerManager.Start((ITimerItem)this);
this.Text = string.Format("Order Book [{0}]", (object)((FIXInstrument)this.instrument).Symbol);
}
public MarketDataService(
IMarketDataProvider marketDataProvider,
ScannerController scannerController,
Level1Controller level1Controller,
OwinStartup owinStartup,
IAppConfig appConfig)
{
_appConfig = appConfig;
_level1Controller = level1Controller;
_marketDataProvider = marketDataProvider;
_scannerController = scannerController;
_owinStartup = owinStartup;
}
/// <summary>
/// Инициализировать <see cref="BasketStrike"/>.
/// </summary>
/// <param name="underlyingAsset">Базовый актив.</param>
/// <param name="securityProvider">Поставщик информации об инструментах.</param>
/// <param name="dataProvider">Поставщик маркет-данных.</param>
protected BasketStrike(Security underlyingAsset, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (underlyingAsset == null)
throw new ArgumentNullException("underlyingAsset");
if (securityProvider == null)
throw new ArgumentNullException("securityProvider");
if (dataProvider == null)
throw new ArgumentNullException("dataProvider");
UnderlyingAsset = underlyingAsset;
SecurityProvider = securityProvider;
DataProvider = dataProvider;
}
private void Init(MarketDataProvider provider, string NewBarOpen, string NewBar, string NewMarketBar)
{
_NewBar = NewBar;
_NewBarOpen = NewBarOpen;
_NewMarketBar = NewMarketBar;
//得到OpenQuant.API.MarketDataProvider内的SmartQuant.Providers.IMarketDataProvider接口
marketDataProvider = (IMarketDataProvider)provider.GetType().GetField("provider", BindingFlags.NonPublic | BindingFlags.Instance).GetValue(provider);
factory = marketDataProvider.BarFactory;
// 遍历，得到对应的事件
foreach (var e in marketDataProvider.GetType().GetFields(BindingFlags.Instance | BindingFlags.NonPublic))
{
switch (e.FieldType.ToString())
{
case "SmartQuant.Providers.QuoteEventHandler":
NewQuoteField = e;
// 很遗憾，不能提前在保存下来
//(MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
break;
case "SmartQuant.Providers.TradeEventHandler":
NewTradeField = e;
break;
case "SmartQuant.Providers.BarEventHandler":
// 有三个这样的事件，怎么识别呢？
// 由于混淆了代码，没法识别，只能人工先判断
// 判断的方法，1.断点，
// 2.模拟下的 v8UpctWIWM(SeriesObjectEventArgs args1)
if (e.Name == _NewBarOpen)
{
NewBarOpenField = e;
}
else if (e.Name == _NewBar)
{
NewBarField = e;
}
else if (e.Name == _NewMarketBar)
{
NewMarketBarField = e;
}
else
{
Console.WriteLine("{0} 没有识别出来，需人工处理！", e.Name);
}
break;
}
}
}
public ExtMarketDataFilter(MarketDataProvider provider)
{
//得到OpenQuant.API.MarketDataProvider内的SmartQuant.Providers.IMarketDataProvider接口
marketDataProvider = (IMarketDataProvider)provider.GetType().GetField("provider", BindingFlags.NonPublic | BindingFlags.Instance).GetValue(provider);
factory = marketDataProvider.BarFactory;
// 遍历，得到对应的两个事件
foreach (var e in marketDataProvider.GetType().GetFields(BindingFlags.Instance | BindingFlags.NonPublic))
{
//Console.WriteLine(e);
switch (e.FieldType.ToString())
{
case "SmartQuant.Providers.QuoteEventHandler":
NewQuoteField = e;
// 很遗憾，不能提前在保存下来
//(MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
break;
case "SmartQuant.Providers.TradeEventHandler":
NewTradeField = e;
break;
}
}
}
private static void DoRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
if ((type & MarketDataType.Trade) == MarketDataType.Trade)
DataManager.DoFixRequest(provider, instrument, MarketDataType.Trade, subCh, suffix);
if ((type & MarketDataType.Quote) == MarketDataType.Quote)
DataManager.DoFixRequest(provider, instrument, MarketDataType.Quote, subCh, suffix);
if ((type & MarketDataType.MarketDepth) != MarketDataType.MarketDepth)
return;
DataManager.DoFixRequest(provider, instrument, MarketDataType.MarketDepth, subCh, suffix);
}
// http://riskencyclopedia.com/articles/black_1976/
/// <summary>
/// Initializes a new instance of the <see cref="Black"/>.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
public Black(Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
: base(option, securityProvider, dataProvider)
{
}
/// <summary>
/// To create the volatility order book from usual order book.
/// </summary>
/// <param name="depth">The order book quotes of which will be changed to volatility quotes.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <param name="currentTime">The current time.</param>
/// <param name="riskFree">The risk free interest rate.</param>
/// <param name="dividend">The dividend amount on shares.</param>
/// <returns>The order book volatility.</returns>
public static MarketDepth ImpliedVolatility(this MarketDepth depth, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTimeOffset currentTime, decimal riskFree = 0, decimal dividend = 0)
{
if (depth == null)
throw new ArgumentNullException("depth");
return depth.ImpliedVolatility(new BlackScholes(depth.Security, securityProvider, dataProvider) { RiskFree = riskFree, Dividend = dividend }, currentTime);
}
/// <summary>
/// To get the timed option value.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <returns>The timed value. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static decimal? GetTimeValue(this Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (securityProvider == null)
throw new ArgumentNullException("securityProvider");
option.CheckOption();
var price = option.GetCurrentPrice(dataProvider);
var intrinsic = option.GetIntrinsicValue(securityProvider, dataProvider);
if (price == null || intrinsic == null)
return null;
return (decimal)(price - intrinsic);
}
/// <summary>
/// To get the internal option value.
/// </summary>
/// <param name="option">Options contract.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <returns>The internal value. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static decimal? GetIntrinsicValue(this Security option, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
if (securityProvider == null)
throw new ArgumentNullException("securityProvider");
option.CheckOption();
var assetPrice = option.GetUnderlyingAsset(securityProvider).GetCurrentPrice(dataProvider);
if (assetPrice == null)
return null;
return ((decimal)((option.OptionType == OptionTypes.Call) ? assetPrice - option.Strike : option.Strike - assetPrice)).Max(0);
}
/// <summary>
/// To get at the money options (ATM).
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="provider">The market data provider.</param>
/// <param name="allStrikes">All strikes.</param>
/// <returns>At the money options.</returns>
public static IEnumerable<Security> GetAtTheMoney(this Security underlyingAsset, IMarketDataProvider provider, IEnumerable<Security> allStrikes)
{
if (underlyingAsset == null)
throw new ArgumentNullException("underlyingAsset");
var centralStrikes = new List<Security>();
var cs = underlyingAsset.GetCentralStrike(provider, allStrikes.Filter(OptionTypes.Call));
if (cs != null)
centralStrikes.Add(cs);
cs = underlyingAsset.GetCentralStrike(provider, allStrikes.Filter(OptionTypes.Put));
if (cs != null)
centralStrikes.Add(cs);
return centralStrikes;
}
/// <summary>
/// To get at the money options (ATM).
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <returns>At the money options.</returns>
public static IEnumerable<Security> GetAtTheMoney(this Security underlyingAsset, ISecurityProvider securityProvider, IMarketDataProvider dataProvider)
{
return underlyingAsset.GetAtTheMoney(dataProvider, underlyingAsset.GetDerivatives(securityProvider));
}
private static void LogRequestMessage(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string obj3)
{
if (Trace.IsLevelEnabled(TraceLevel.Warning))
{
Trace.WriteLine("" + Environment.NewLine + "" + provider.Name + Environment.NewLine + "Symbol" + instrument.Symbol + Environment.NewLine + "Type:" + mdType.ToString() + Environment.NewLine + "" + obj3);
}
}
public static void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
DataManager.CancelMarketData(provider, instrument, mdType, SERIES_SEPARATOR + "UNSUBSCRIBE");
}
public BarSliceEventArgs(long barSize, IMarketDataProvider provider) : base()
{
this.BarSize = barSize;
this.Provider = provider;
}
public static void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string suffix)
{
DataManager.DoRequest(provider, instrument, mdType, MARKET_DATA_UNSUBSCRIBE, suffix);
}
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 static bool IsSubscribed(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
lock (DataManager.providers)
{
Hashtable local_0 = DataManager.providers[provider] as Hashtable;
if (local_0 == null)
return false;
Hashtable local_1 = local_0[instrument] as Hashtable;
if (local_1 == null)
return false;
else
return local_1.ContainsKey(mdType);
}
}
/// <summary>
/// To get the main strike.
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="securityProvider">The provider of information about instruments.</param>
/// <param name="dataProvider">The market data provider.</param>
/// <param name="expirationDate">The options expiration date.</param>
/// <param name="optionType">Option type.</param>
/// <returns>The main strike.</returns>
public static Security GetCentralStrike(this Security underlyingAsset, ISecurityProvider securityProvider, IMarketDataProvider dataProvider, DateTimeOffset expirationDate, OptionTypes optionType)
{
return underlyingAsset.GetCentralStrike(dataProvider, underlyingAsset.GetDerivatives(securityProvider, expirationDate).Filter(optionType));
}
private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
FIXMarketDataRequest request = new FIXMarketDataRequest();
request.MDReqID = DataManager.GetRequestId();
request.SubscriptionRequestType = subCh;
switch (type)
{
case MarketDataType.Trade:
request.AddGroup(new FIXMDEntryTypesGroup('2'));
break;
case MarketDataType.Quote:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 1; // Top of Book
break;
case MarketDataType.MarketDepth:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 0; // Full Book
break;
}
if (!instrument.ContainsField(15))
instrument.Currency = Framework.Configuration.DefaultCurrency;
FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup();
request.AddGroup(symGrp);
symGrp.Symbol = instrument.Symbol;
symGrp.SecurityType = instrument.SecurityType;
symGrp.SecurityExchange = instrument.SecurityExchange;
symGrp.Currency = instrument.Currency;
symGrp.SecurityID = instrument.SecurityID;
symGrp.SecurityIDSource = instrument.SecurityIDSource;
symGrp.MaturityDate = instrument.MaturityDate;
symGrp.MaturityMonthYear = instrument.MaturityMonthYear;
symGrp.StrikePrice = instrument.StrikePrice;
symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall;
foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup)
symGrp.AddGroup(group2);
symGrp.SetStringValue(10001, suffix);
if (provider == ProviderManager.MarketDataSimulator)
{
provider.SendMarketDataRequest(request);
}
else
{
switch (subCh)
{
case MARKET_DATA_SUBSCRIBE:
bool flag1 = false;
lock (DataManager.providers)
{
Hashtable local_4 = DataManager.providers[provider] as Hashtable;
if (local_4 == null)
{
local_4 = new Hashtable();
DataManager.providers.Add(provider, local_4);
}
Hashtable local_5 = local_4[instrument] as Hashtable;
if (local_5 == null)
{
local_5 = new Hashtable();
local_4.Add(instrument, local_5);
}
RequestItem local_6 = local_5[type] as RequestItem;
if (local_6 == null)
{
local_6 = new RequestItem(request);
local_5.Add(type, local_6);
flag1 = true;
}
RequestItem temp_91 = local_6;
int temp_94 = temp_91.GetRequestId() + 1;
temp_91.SetRequestId(temp_94);
}
if (!flag1)
break;
provider.SendMarketDataRequest(request);
break;
case MARKET_DATA_UNSUBSCRIBE:
bool canSend = false;
string msg = null;
lock (DataManager.providers)
{
Hashtable local_10 = DataManager.providers[provider] as Hashtable;
if (local_10 != null)
{
Hashtable local_11 = local_10[instrument] as Hashtable;
if (local_11 != null)
{
RequestItem local_12 = local_11[type] as RequestItem;
if (local_12 != null)
{
RequestItem temp_152 = local_12;
int temp_155 = temp_152.GetRequestId() - 1;
temp_152.SetRequestId(temp_155);
if (local_12.GetRequestId() == 0)
{
local_11.Remove(type);
if (local_11.Count == 0)
{
local_10.Remove(instrument);
if (local_10.Count == 0)
DataManager.providers.Remove(provider);
}
canSend = true;
}
}
else
msg = "No this RequestItem";
}
else
msg = "No Request for this instrument";
}
else
msg = "No Request for this provider";
}
if (msg != null)
DataManager.LogRequestMessage(provider, instrument, type, msg);
if (!canSend)
break;
provider.SendMarketDataRequest(request);
break;
}
}
}
/// <summary>
/// To get the main strike.
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="provider">The market data provider.</param>
/// <param name="allStrikes">All strikes.</param>
/// <returns>The main strike. If it is impossible to get the current market price of the asset then the <see langword="null" /> will be returned.</returns>
public static Security GetCentralStrike(this Security underlyingAsset, IMarketDataProvider provider, IEnumerable<Security> allStrikes)
{
var assetPrice = underlyingAsset.GetCurrentPrice(provider);
return assetPrice == null
? null
: allStrikes.OrderBy(s => Math.Abs((decimal)(s.Strike - assetPrice))).FirstOrDefault();
}
protected override void OnInit()
{
this.provider = this.Key as IMarketDataProvider;
this.provider.Connected += new EventHandler(this.OnConnected);
this.provider.Disconnected += new EventHandler(this.OnDisconnected);
// ISSUE: method pointer
this.provider.NewTrade += new TradeEventHandler(this.OnNewTrade);
// ISSUE: method pointer
this.provider.NewQuote += new QuoteEventHandler(this.OnNewQuote);
// ISSUE: method pointer
this.provider.NewBar += new BarEventHandler(this.OnNewBar);
// ISSUE: method pointer
this.provider.NewMarketDepth += new MarketDepthEventHandler(this.OnNewMarketDepth);
this.TabText = string.Format("Data Capture [{0}]", this.provider.Name);
this.UpdateStatusBar();
}
/// <summary>
/// To get in the money options (ITM).
/// </summary>
/// <param name="underlyingAsset">Underlying asset.</param>
/// <param name="provider">The market data provider.</param>
/// <param name="allStrikes">All strikes.</param>
/// <returns>In the money options.</returns>
public static IEnumerable<Security> GetInTheMoney(this Security underlyingAsset, IMarketDataProvider provider, IEnumerable<Security> allStrikes)
{
if (underlyingAsset == null)
throw new ArgumentNullException("underlyingAsset");
var cs = underlyingAsset.GetCentralStrike(provider, allStrikes);
return allStrikes.Where(s => s.OptionType == OptionTypes.Call ? s.Strike > cs.Strike : s.Strike < cs.Strike);
}
