public Fixed(int strategy_id, string config, EClientInterface socket) : base(strategy_id, config, socket) { _calibrationFailed = false; _initialized = false; fromConfig(config); }
public void setupSocket(EClientInterface socket) { lock (_lock) { _socket = socket; _isBacktest = _socket.GetType() == typeof(BacktestEngine); } Thread t = new Thread(new ThreadStart(runOrderAgent)); t.CurrentCulture = CultureInfo.InvariantCulture; t.CurrentUICulture = CultureInfo.InvariantCulture; t.Start(); }
public BlockOrder( int stg_id, EClientInterface socket, TimeZoneInfo zone, ContractDetails details, XmlNode config, int ref_con_id = 0 ) { _stg_id = stg_id; _socket = socket; _con = details.Summary; _ref_con_id = ref_con_id; _minTick = details.MinTick; _unitSize = int.Parse(config["UnitSize"].InnerText); _maxOrderSize = int.Parse(config["MaxBlockSize"].InnerText); _maxNOrders = int.Parse(config["MaxNumberOfOrders"].InnerText); _maxBidAskUnit = config["MaxBidAskUnit"] == null ? 3 : int.Parse(config["MaxBidAskUnit"].InnerText); _zone = zone; //_mktOrdersOnly = mktOrdersOnly; _entryTemplate = getOrderTemplate(config, "EntryOrderTemplate"); _profitTemplate = getOrderTemplate(config, "ProfitOrderTemplate"); _stopTemplate = getOrderTemplate(config, "StopOrderTemplate"); _expiryTemplate = getOrderTemplate(config, "ExpiryOrderTemplate"); _ids = new List <int>(); _tickers = new List <int>(); _quotes = new Dictionary <int, double>(); _filledQtys = new Dictionary <int, double>(); _openOrders = new Dictionary <int, Order>(); _quotes.Add(1, 0); //bid _quotes.Add(2, 0); //ask _quotes.Add(4, 0); //last _quotes.Add(6, 0); //high _quotes.Add(7, 0); //low _quotes.Add(9, 0); //close _placeOrderEvent = _tm.createEvent(); _mktDataEvents = new List <AutoResetEvent>(); for (int i = 0; i <= 14; ++i) { _mktDataEvents.Add(null); } _mktDataEvents[1] = new AutoResetEvent(false); _mktDataEvents[2] = new AutoResetEvent(false); _mktDataEvents[4] = new AutoResetEvent(false); }
public void setupSocket(EClientInterface socket) { lock (_lock) _socket = socket; }
public EWrapperImpl( string account_config, bool require_live_bars = true, bool record_live_bars = false, bool overwrite_live_bars = false, int sleep_time = 5000 ) { Thread.CurrentThread.CurrentCulture = CultureInfo.InvariantCulture; Thread.CurrentThread.CurrentUICulture = CultureInfo.InvariantCulture; requireLiveBars = require_live_bars; recordLiveBars = record_live_bars; overwriteLiveBars = overwrite_live_bars; sleepTime = sleep_time; gettingOpenOrders = false; XmlDocument xml = new XmlDocument(); xml.LoadXml(account_config); XmlNode xn1 = xml.SelectSingleNode("/Config"); engine_type = xn1["EngineType"].InnerText; verbose = xn1["Verbose"] == null ? true : Boolean.Parse(xn1["Verbose"].InnerText); msg = Messenger.instance; XmlNode xnemail = xn1.SelectSingleNode("Email"); if (xnemail != null) { string smtp = xnemail["SMTP"].InnerText; int port = Int32.Parse(xnemail["Port"].InnerText); string address = xnemail["Address"].InnerText; string password = xnemail["Password"].InnerText; bool enableSsl = Boolean.Parse(xnemail["EnableSSL"].InnerText); msg.setupEmail(smtp, port, address, password, enableSsl); } pnlSchedule = new List <TimeSpan>(); XmlElement pnlScheduleNode = xn1["PnLReportSchedule"]; if (pnlScheduleNode != null) { XmlNodeList sub_nodes = pnlScheduleNode.GetElementsByTagName("Time"); foreach (XmlNode node in sub_nodes) { pnlSchedule.Add(TimeSpan.Parse(node.InnerText)); } } contractDetailsMap = new Dictionary <int, ContractDetails>(); currPnlIndices = new Dictionary <int, int>(); strategies = new Dictionary <int, Strategy>(); //dbTickMap = new Dictionary<int, int>(); orders = new HashSet <int>(); orderStatuses = new Dictionary <int, HashSet <string> >(); db = DBAccess.DBAccess.instance; tg = TickerGenerator.instance; om = OrderManager.instance; mm = MarketDataManager.instance; if (engine_type == "TWS") { clientSocket = new EClientSocket(this, Signal); } else { clientSocket = new BacktestEngine(this, db, xn1["BacktestConfig"]); } om.setupSocket(clientSocket); mm.setupSocket(clientSocket); }
public ExecutionTest(int strategy_id, string config, EClientInterface socket) : base(strategy_id, config, socket) { _initialized = false; fromConfig(config); }