public override void Subscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.Subscribe(current);
}
}
public void Add(InstrumentList instruments, BarType barType, long barSize)
{
foreach (Instrument current in instruments)
{
this.Add(current, barType, barSize);
}
}
public virtual void Unsubscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.Unsubscribe(current);
}
}
public void AddInstruments(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.AddInstrument(current);
}
}
public void Subscribe(IDataProvider provider, InstrumentList instruments)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
if (!this.subscriptions.ContainsKey((int)provider.Id))
{
this.subscriptions[(int)provider.Id] = new Dictionary <Instrument, int>();
}
if (!this.subscriptions[(int)provider.Id].ContainsKey(byIndex) || this.subscriptions[(int)provider.Id][byIndex] == 0)
{
this.subscriptions[(int)provider.Id][byIndex] = 0;
instrumentList.Add(byIndex);
}
Dictionary <Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] + 1;
}
if (instrumentList.Count > 0)
{
provider.Subscribe(instrumentList);
}
}
internal void UnregisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instrumentList)
{
if (this.status == StrategyStatus.Running && instrumentList.Count > 0 && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Unsubscribe(dataProvider, instrumentList);
}
}
public override void Unsubscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
SellSideInstrumentStrategy sellSideInstrumentStrategy = this.strategyBySynthInstrument[current.Id];
sellSideInstrumentStrategy.OnUnsubscribe(current);
}
}
public void RemoveInstrument(Instrument instrument)
{
this.instruments.Remove(instrument);
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
this.framework.strategyManager.UnregisterMarketDataRequest(this.GetDataProvider(this, instrument), instrumentList);
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instrumentList, (int)this.id);
}
}
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 override void Subscribe(InstrumentList instruments)
{
if (!this.isRunning)
{
foreach (Instrument current in instruments)
{
this.Subscribe_(current, this.dateTime1, this.dateTime2);
}
this.Run();
return;
}
foreach (Instrument current2 in instruments)
{
this.Subscribe_(current2, this.framework.Clock.DateTime, this.dateTime2);
}
}
public void Unsubscribe(IDataProvider provider, InstrumentList instruments)
{
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
Dictionary <Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] - 1;
if (this.subscriptions[(int)provider.Id][byIndex] == 0)
{
instrumentList.Add(byIndex);
}
}
provider.Unsubscribe(instrumentList);
}
public InstrumentManager(Framework framework, InstrumentServer server)
{
this.framework = framework;
this.server = server;
this.server.Open();
this.next_id = -1;
this.instruments = server.Load();
for (int i = 0; i < this.instruments.Count; i++)
{
this.instruments.GetByIndex(i).isPersistent = true;
int id = this.instruments.GetByIndex(i).Id;
if (id > this.next_id)
{
this.next_id = id;
}
}
this.next_id++;
}
internal void UnregisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList <Strategy> linkedList = this.strategiesByInstrument[current.Id];
if (linkedList != null)
{
linkedList.Remove(strategy);
}
linkedList.Add(strategy);
IdArray <int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] - 1;
if (this.instrumentCountTable[current.id] == 0)
{
this.Instruments.Remove(current);
}
}
Dictionary <IDataProvider, InstrumentList> dictionary = new Dictionary <IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider key = this.GetDataProvider(strategy, current2);
if (!dictionary.TryGetValue(key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[key] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair <IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.UnregisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = null;
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instruments, orderRouteId);
}
}
private void RegisterInstrument(Instrument instrument)
{
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
IDataProvider dataProvider = this.GetDataProvider(this, instrument);
IExecutionProvider executionProvider = this.GetExecutionProvider(instrument);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
this.framework.strategyManager.RegisterMarketDataRequest(dataProvider, instrumentList);
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instrumentList, (int)this.id);
}
}
public Strategy(Framework framework, string name)
{
this.framework = framework;
this.Name = name;
this.strategiesByInstrument = new IdArray <LinkedList <Strategy> >(1000);
this.strategyByOrderId = new IdArray <Strategy>(1000);
this.strategies = new LinkedList <Strategy>();
this.status = StrategyStatus.Stopped;
this.instruments = new InstrumentList();
this.instrumentCountTable = new IdArray <int>(1000);
if (framework != null)
{
this.portfolio = new Portfolio(framework, this.Name);
framework.PortfolioManager.Add(this.portfolio);
}
this.bars = new BarSeries("", "");
this.equity = new TimeSeries();
this.bids = new TickSeries("");
this.asks = new TickSeries("");
this.stops = new List <Stop>();
this.stopsByInstrument = new IdArray <List <Stop> >(1000);
}
public void Clear()
{
foreach (Instrument current in this.instruments)
{
current.bid = null;
current.ask = null;
current.trade = null;
}
InstrumentList instrumentList = new InstrumentList();
foreach (Instrument current2 in this.instruments)
{
if (!current2.isPersistent)
{
instrumentList.Add(current2);
}
}
foreach (Instrument current3 in instrumentList)
{
this.Delete(current3);
}
}
public void RegisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instrumentList)
{
InstrumentList instrumentList2 = new InstrumentList();
InstrumentList instrumentList3 = null;
if (!this.requests.TryGetValue(dataProvider, out instrumentList3))
{
instrumentList3 = new InstrumentList();
this.requests[dataProvider] = instrumentList3;
}
foreach (Instrument current in instrumentList)
{
if (!instrumentList3.Contains(current.id))
{
instrumentList3.Add(current);
instrumentList2.Add(current);
}
}
if (this.status == StrategyStatus.Running && instrumentList2.Count > 0 && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(dataProvider, instrumentList2);
}
}
public OnUnsubscribe(InstrumentList instruments)
{
this.instruments = instruments;
}
public OnSubscribe(InstrumentList instruments)
{
this.Instruments = instruments;
this.dateTime1 = DateTime.MinValue;
this.dateTime2 = DateTime.MaxValue;
}
public virtual void Unsubscribe(InstrumentList instruments)
{
this.OnUnsubscribe(instruments);
}
protected virtual void OnSubscribe(InstrumentList instruments)
{
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
this.strategy = strategy;
if (mode == StrategyMode.Backtest)
{
this.framework.Mode = FrameworkMode.Simulation;
}
else
{
this.framework.Mode = FrameworkMode.Realtime;
}
if (this.framework.eventManager.status != EventManagerStatus.Running)
{
this.framework.eventManager.Start();
}
StrategyStatusInfo strategyStatusInfo = new StrategyStatusInfo(this.framework.clock.DateTime, StrategyStatusType.Started);
strategyStatusInfo.Solution = ((strategy.Name == null) ? "Solution" : strategy.Name);
strategyStatusInfo.Mode = mode.ToString();
this.framework.eventServer.OnLog(new GroupEvent(strategyStatusInfo, null));
strategy.OnStrategyStart_();
if (!this.framework.IsExternalDataQueue)
{
Dictionary <IDataProvider, InstrumentList> dictionary = new Dictionary <IDataProvider, InstrumentList>();
while (this.requests.Count != 0)
{
Dictionary <IDataProvider, InstrumentList> dictionary2 = new Dictionary <IDataProvider, InstrumentList>(this.requests);
this.requests.Clear();
foreach (KeyValuePair <IDataProvider, InstrumentList> current in new Dictionary <IDataProvider, InstrumentList>(dictionary2))
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current.Key, instrumentList2);
}
}
}
this.status = StrategyStatus.Running;
this.requests = dictionary;
if (this.requests.Count == 0)
{
Console.WriteLine(string.Concat(new object[]
{
DateTime.Now,
" StrategyManager::StartStrategy ",
strategy.Name,
" has no data requests, stopping..."
}));
this.StopStrategy();
return;
}
foreach (KeyValuePair <IDataProvider, InstrumentList> current3 in this.requests)
{
if (!(current3.Key is SellSideStrategy) && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current3.Key, current3.Value);
}
}
}
}
public void Unsubscribe(InstrumentList instrument)
{
throw new System.NotImplementedException();
}