protected override bool OnInitialize(Platform platform)
{
ChangeOperationalState(OperationalStateEnum.Operational);
base.OnInitialize(platform);
GeneralHelper.FireAndForget(delegate()
{
Thread.Sleep(2000);
if (_dataSourceId.HasValue)
{
_delivery = base.ObtainDataDelivery(_dataSourceId.Value);
if (_delivery != null)
{
_delivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_delivery_OperationalStatusChangedEvent);
if (_delivery.OperationalState == OperationalStateEnum.Operational)
{
_delivery_OperationalStatusChangedEvent(_delivery, OperationalStateEnum.Unknown);
}
}
}
});
return(true);
}
/// <summary>
///
/// </summary>
public DataTickHistoryProvider(ISourceDataDelivery dataDelivery, DataSessionInfo session)
{
_dataDelivery = dataDelivery;
_session = session;
Initialize();
}
/// <summary>
///
/// </summary>
public bool RemoveSymbol(Symbol symbol)
{
ISourceDataDelivery delivery = _delivery;
if (delivery != null)
{
RuntimeDataSessionInformation info = delivery.GetSymbolRuntimeSessionInformation(symbol);
if (info == null)
{
return(false);
}
delivery.SubscribeToData(info.Info, false, new DataSubscriptionInfo(true, false, null));
}
lock (this)
{
_symbolQuotes.Remove(symbol);
if (_symbolQuotes.Count == 0)
{// Release the delivery on last.
//_delivery.UnInitialize();
//_delivery.Dispose();
//_delivery = null;
_dataSourceId = null;
}
}
return(true);
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
if (session.Symbol == this.Symbol)
{
if (quote.HasValue)
{
lock (this)
{
if (this.Volume > 0)
{
_price = quote.Value.Ask;
}
else
{
_price = quote.Value.Bid;
}
}
}
else
{
_price = null;
}
RecalculateParameters(true);
}
}
public bool AddSymbol(ComponentId dataSourceId, Symbol symbol, out string operationResultMessage)
{
if (_dataSourceId.HasValue && _dataSourceId.Value != dataSourceId)
{
operationResultMessage = "One source per watch component currently supported.";
SystemMonitor.Error(operationResultMessage);
return(false);
}
_dataSourceId = dataSourceId;
if (_delivery == null)
{
_delivery = base.ObtainDataDelivery(_dataSourceId.Value);
}
RuntimeDataSessionInformation info = _delivery.GetSymbolRuntimeSessionInformation(symbol);
if (info == null)
{
operationResultMessage = "Failed to obtain symbol runtime session information.";
return(false);
}
_delivery.SubscribeToData(info.Info, true, new DataSubscriptionInfo(true, false, null));
_delivery.QuoteUpdateEvent += new QuoteUpdateDelegate(delivery_QuoteUpdateEvent);
operationResultMessage = string.Empty;
return(true);
}
/// <summary>
/// Get all sources that match the given criteria; multiple criteria can be combined in one sourceType
/// using bitwise operators (for ex. operationResult = operationResult | SourceTypeEnum.Remote).
/// </summary>
/// <param name="sourceType"></param>
/// <param name="partialMatch">Should we try to match filtering criteria fully or partially.</param>
/// <returns></returns>
public Dictionary <Symbol, TimeSpan[]> SearchSymbols(ComponentId sourceId, string symbolMatch)
{
if (IsLocalSource(sourceId))
{
ISourceDataDelivery delivery = ObtainDataDelivery(sourceId);
return(delivery.SearchSymbols(symbolMatch));
}
List <ArbiterClientId?> sourcePath;
if (GetSourcePath(sourceId, out sourcePath) == false)
{
SystemMonitor.OperationError("Failed to establish source path.");
return(new Dictionary <Symbol, TimeSpan[]>());
}
RequestSymbolsMessage request = new RequestSymbolsMessage()
{
SymbolMatch = symbolMatch
};
ResponseMessage result = this.SendAndReceiveForwarding <ResponseMessage>(sourcePath, request);
if (result != null && result.OperationResult)
{
return(((RequestSymbolsResponseMessage)result).SymbolsPeriods);
}
return(new Dictionary <Symbol, TimeSpan[]>());
}
public virtual void Dispose()
{
//if (_tradeEntities != null)
//{
// _tradeEntities.UnInitialize();
// _tradeEntities = null;
//}
if (_statistics != null)
{
_statistics.Dispose();
_statistics = null;
}
_dataDelivery = null;
_manager = null;
if (_provider != null)
{
_provider.AccountInfoUpdateEvent -= new AccountInfoUpdateDelegate(_provider_AccountInfoUpdateEvent);
_provider.OperationalStateChangedEvent -= new OperationalStateChangedDelegate(_provider_OperationalStatusChangedEvent);
_provider = null;
}
}
/// <summary>
///
/// </summary>
public DataTickHistoryProvider(ISourceDataDelivery dataDelivery, DataSessionInfo session)
{
_dataDelivery = dataDelivery;
_session = session;
Initialize();
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
_lastDataQuote = quote;
BeginAccountInfoUpdate(_account.Info);
BeginManagedOrdersUpdate(quote);
}
public void Dispose()
{
UnInitialize();
ChangeOperationalState(OperationalStateEnum.Disposed);
_dataBars = null;
_dataDelivery = null;
_indicators = null;
_period = null;
}
void _dataDelivery_DataHistoryUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (update.BarDataAssigned)
{
lock (this)
{
_lastDataBar = update.DataBarsUnsafe[update.DataBarsUnsafe.Count - 1];
}
}
}
void _dataDelivery_DataHistoryUpdateDelegate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (session.Equals(_session) == false || update.DataTicksUnsafe.Count == 0)
{
return;
}
DataTickUpdateType?updateType = null;
if (_dataTicks.Count == 0)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
lock (this)
{
_lastDataUpdate = DateTime.Now;
for (int i = 0; i < update.DataTicksUnsafe.Count; i++)
{
if (_dataTicks.Count == 0 || update.DataTicksUnsafe[i].DateTime > _dataTicks[_dataTicks.Count - 1].DateTime)
{
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
_dataTicks.Add(update.DataTicksUnsafe[i]);
_cachedDataTickIndexSearches.Add(update.DataTicksUnsafe[i].DateTime, i);
}
}
// Also check the last 5 units for any requotes that might have been sent,
// this happens when price changes and we get updates for the last unit.
for (int i = 0; i < 5 && update.DataTicksUnsafe.Count - 1 - i > 0 && _dataTicks.Count - 1 - i > 0; i++)
{
if (update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].DateTime == _dataTicks[_dataTicks.Count - 1 - i].DateTime &&
update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].Equals(_dataTicks[_dataTicks.Count - 1 - i]) == false)
{
// Since this update is only when the date times are the same, the helper cache dictionary needs not be updated.
_dataTicks[_dataTicks.Count - 1 - i] = update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i];
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
}
}
}
if (updateType.HasValue && DataTickHistoryUpdateEvent != null)
{
DataTickHistoryUpdateEvent(this, updateType.Value);
}
}
/// <summary>
///
/// </summary>
public bool SetInitialParameters(ISourceManager manager,
ISourceOrderExecution provider,
ISourceDataDelivery dataDelivery, Symbol symbol)
{
_manager = manager;
_orderProvider = provider;
_dataDelivery = dataDelivery;
_info.Symbol = symbol;
return(true);
}
public bool SetInitialParameters(ISourceManager manager, ComponentId sourceSourceId, ExpertSession session)
{
_manager = manager;
_sessionInfo = session.Info;
_sourceDataDelivery = manager.ObtainDataDelivery(sourceSourceId);
//_sourceDataDelivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_sourceDataDelivery_OperationalStateChangedEvent);
StatusSynchronizationSource = _sourceDataDelivery;
return(true);
}
/// <summary>
/// Initialize execution account with its owner provider.
/// </summary>
/// <param name="session"></param>
public bool SetInitialParameters(ISourceManager manager, ISourceOrderExecution orderExecutionProvider, ISourceDataDelivery dataDelivery)
{
SystemMonitor.CheckError(_provider == null, "Order account already initialized.");
_manager = manager;
//why is the provider not ready
_provider = orderExecutionProvider;
_dataDelivery = dataDelivery;
SystemMonitor.CheckWarning(_manager != null && _provider != null && _dataDelivery != null, "Account not properly initialized.");
return(true);
}
public void UnInitialize()
{
if (_provider != null)
{
_provider.TradeEntities.PositionsUpdatedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsUpdatedEvent);
_provider.TradeEntities.PositionsAddedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsAddedEvent);
_provider.TradeEntities.PositionsRemovedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsRemovedEvent);
_provider.PositionsUpdateEvent -= new PositionUpdateDelegate(_provider_PositionUpdateEvent);
}
_manager = null;
_provider = null;
_dataDelivery = null;
}
/// <summary>
///
/// </summary>
public void FilterUpdate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (_enabled == false)
{
return;
}
decimal?lastHigh = null;
decimal?lastLow = null;
decimal divergence = MaxDivergenceCoefficientStock;
if (session.Symbol.IsForexPair)
{
divergence = MaxDivergenceCoefficientForex;
}
int consecutiveSpikes = 0;
for (int i = 0; i < update.DataBarsUnsafe.Count; i++)
{
if (lastHigh.HasValue && lastLow.HasValue)
{
DataBar bar = update.DataBarsUnsafe[i];
if ((bar.High > lastHigh.Value * (1 + divergence) || bar.Low < lastLow.Value / (1 + divergence)) &&
consecutiveSpikes <= _maximumConsecutiveSpikes)
{// Bar spike detected.
consecutiveSpikes++;
SystemMonitor.Report("Spike detected in data [" + session.Symbol.Name + "]. Bar values limited to previous [" + lastHigh.Value + ", " + bar.High + "; " + lastLow.Value + ", " + bar.Low + "].");
update.DataBarsUnsafe[i] = new DataBar(bar.DateTime,
GeneralHelper.LimitRange(bar.Open, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.High, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.Low, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.Close, lastLow.Value, lastHigh.Value),
bar.Volume);
}
else
{
consecutiveSpikes = 0;
}
}
lastHigh = update.DataBarsUnsafe[i].High;
lastLow = update.DataBarsUnsafe[i].Low;
}
}
/// <summary>
/// Constructor.
/// </summary>
public DataBarHistoryProvider(ISourceDataDelivery dataDelivery, DataSessionInfo session, TimeSpan period, int?defaultHistoryBarsCount)
{
_sessionInfo = session;
if (defaultHistoryBarsCount.HasValue)
{
_defaultHistoryBarsCount = defaultHistoryBarsCount.Value;
}
_dataDelivery = dataDelivery;
_indicators = new IndicatorManager(this);
_period = period;
Construct();
}
/// <summary>
/// Constructor.
/// </summary>
public DataBarHistoryProvider(ISourceDataDelivery dataDelivery, DataSessionInfo session, TimeSpan period, int? defaultHistoryBarsCount)
{
_sessionInfo = session;
if (defaultHistoryBarsCount.HasValue)
{
_defaultHistoryBarsCount = defaultHistoryBarsCount.Value;
}
_dataDelivery = dataDelivery;
_indicators = new IndicatorManager(this);
_period = period;
Construct();
}
/// <summary>
///
/// </summary>
public bool SetInitialParameters(ISourceManager manager, ISourceOrderExecution provider,
ISourceDataDelivery delivery)
{
//SystemMonitor.CheckError(_provider == null, "OrderExecutionProvider already assigned.");
_manager = manager;
_provider = provider;
_delivery = delivery;
if (_provider == null)
{
SystemMonitor.Warning("Failed to properly initialize entity keeper.");
}
return(true);
}
public virtual void Dispose()
{
UnInitialize();
_manager = null;
_dataDelivery = null;
_quote = null;
_tickProvider = null;
_dataBarProvider = null;
ChangeOperationalState(OperationalStateEnum.Disposed);
}
public void SetInitialParameters(ISourceDataDelivery dataDelivery)
{
base.StatusSynchronizationSource = dataDelivery;
_dataDelivery = dataDelivery;
if (_dataDelivery != null)
{
_dataDelivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_dataDelivery_OperationalStatusChangedEvent);
if (_dataDelivery.OperationalState == OperationalStateEnum.Operational)
{
_dataDelivery_OperationalStatusChangedEvent(_dataDelivery, OperationalStateEnum.NotOperational);
}
_dataDelivery.QuoteUpdateEvent += new QuoteUpdateDelegate(_dataDelivery_QuoteUpdateEvent);
}
}
/// <summary>
/// One time init by passing references essential for operation.
/// </summary>
public bool SetInitialParameters(ISourceManager manager, ISourceDataDelivery dataDelivery)
{
_manager = manager;
_dataDelivery = dataDelivery;
_account.SetInitialParameters(_manager, this, _dataDelivery);
_tradeEntities.SetInitialParameters(_manager, this, _dataDelivery);
_timeControl = new TimeControl();
_timeControl.CanStepBack = false;
_timeControl.CanStepForward = true;
_timeControl.CanRestart = false;
_timeControl.TotalStepsCount = int.MaxValue;
ChangeOperationalState(OperationalStateEnum.Initializing);
return(true);
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
if (_sessionInfo.Equals(session) == false)
{
return;
}
lock (this)
{
_lastQuoteTime = DateTime.Now;
_currentQuote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this);
}
}
public IQuoteProvider ObtainQuoteProvider(ComponentId source, Symbol symbol)
{
if (source.IsEmpty || symbol.IsEmpty)
{
SystemMonitor.Warning("Source or symbol empty.");
return(null);
}
lock (this)
{
if (_quoteProviders.ContainsKey(source) &&
_quoteProviders[source].ContainsKey(symbol))
{
return(_quoteProviders[source][symbol]);
}
}
ISourceDataDelivery delivery = ObtainDataDelivery(source);
if (delivery == null)
{
SystemMonitor.OperationError("Failed to establish data delivery for quote provider.");
return(null);
}
RuntimeDataSessionInformation session = delivery.GetSymbolRuntimeSessionInformation(symbol);
if (session == null)
{
SystemMonitor.OperationError("Failed to establish runtime session information for symbol [" + symbol.Name + "]");
return(null);
}
QuoteProvider provider = new QuoteProvider(session.Info);
// Make sure to *add before setting up* the initial paramters,
// since a call from them can get back to this method, and cause a stack overflow.
AddElement(source, symbol, provider);
provider.SetInitialParameters(delivery);
return(provider);
}
public IDataBarHistoryProvider ObtainDataBarHistoryProvider(ComponentId source, Symbol symbol, TimeSpan period)
{
if (source.IsEmpty || symbol.IsEmpty)
{
SystemMonitor.Warning("Source or symbol empty.");
return(null);
}
lock (this)
{
if (_dataBarProviders.ContainsKey(source) &&
_dataBarProviders[source].ContainsKey(symbol) &&
_dataBarProviders[source][symbol].ContainsKey(period))
{
return(_dataBarProviders[source][symbol][period]);
}
}
ISourceDataDelivery delivery = GetDataDelivery(source);
if (delivery == null)
{
SystemMonitor.OperationError("Failed to establish data delivery for quote provider.");
return(null);
}
RuntimeDataSessionInformation session = delivery.GetSymbolRuntimeSessionInformation(symbol);
if (session == null)
{
SystemMonitor.OperationError("Failed to establish runtime session information for symbol [" + symbol.Name + "]");
}
DataBarHistoryProvider provider = new DataBarHistoryProvider(delivery, session.Info, period, null);
// By default assign a volume indicator.
provider.Indicators.AddIndicator(new VolumeCustom());
AddElement(source, symbol, period, provider);
return(provider);
}
/// <summary>
///
/// </summary>
public ISourceDataDelivery ObtainDataDelivery(ComponentId sourceId)
{
ISourceDataDelivery result = GetDataDelivery(sourceId);
if (result != null)
{
return(result);
}
result = CreateDataDelivery(sourceId);
if (result != null)
{
result.Initialize();
AddElement(sourceId, result);
return(result);
}
return(null);
}
/// <summary>
///
/// </summary>
public void Initialize(ISourceAndExpertSessionManager manager, ISourceDataDelivery dataDelivery, ISourceOrderExecution provider)
{
_manager = manager;
_provider = provider;
_dataDelivery = dataDelivery;
if (_provider != null)
{
_provider.TradeEntities.PositionsUpdatedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsUpdatedEvent);
_provider.TradeEntities.PositionsAddedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsAddedEvent);
_provider.TradeEntities.PositionsRemovedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsRemovedEvent);
_provider.PositionsUpdateEvent += new PositionUpdateDelegate(_provider_PositionUpdateEvent);
}
UpdateUI();
if (listView.Items.Count > 0 && listView.SelectedItems.Count == 0)
{
listView.Items[0].Selected = true;
}
}
/// <summary>
///
/// </summary>
public void Initialize(ISourceAndExpertSessionManager manager, ISourceDataDelivery dataDelivery, ISourceOrderExecution provider)
{
_manager = manager;
_provider = provider;
_dataDelivery = dataDelivery;
if (_provider != null)
{
_provider.TradeEntities.PositionsUpdatedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsUpdatedEvent);
_provider.TradeEntities.PositionsAddedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsAddedEvent);
_provider.TradeEntities.PositionsRemovedEvent += new PositionsUpdateDelegate(TradeEntities_PositionsRemovedEvent);
_provider.PositionsUpdateEvent += new PositionUpdateDelegate(_provider_PositionUpdateEvent);
}
UpdateUI();
if (listView.Items.Count > 0 && listView.SelectedItems.Count == 0)
{
listView.Items[0].Selected = true;
}
}
/// <summary>
///
/// </summary>
public virtual bool SetInitialParameters(ISourceManager manager, ComponentId sourceId, ExpertSession session)
{
_sessionInfo = session.Info;
_manager = manager;
_sourceId = sourceId;
_dataDelivery = manager.ObtainDataDelivery(sourceId);
_quote = manager.ObtainQuoteProvider(sourceId, _sessionInfo.Symbol);
_tickProvider = manager.ObtainDataTickHistoryProvider(sourceId, _sessionInfo.Symbol);
_dataBarProvider = null;
bool result = _dataDelivery != null && _quote != null && _tickProvider != null;
SystemMonitor.CheckError(result, "Failed to initialize data provider.");
return(result);
}
public IDataTickHistoryProvider ObtainDataTickHistoryProvider(ComponentId source, Symbol symbol)
{
if (source.IsEmpty || symbol.IsEmpty)
{
SystemMonitor.Warning("Source or symbol empty.");
return(null);
}
lock (this)
{
if (_dataTickProviders.ContainsKey(source) &&
_dataTickProviders[source].ContainsKey(symbol))
{
return(_dataTickProviders[source][symbol]);
}
}
ISourceDataDelivery delivery = ObtainDataDelivery(source);
if (delivery == null)
{
SystemMonitor.OperationError("Failed to establish data delivery for quote provider.");
return(null);
}
RuntimeDataSessionInformation session = delivery.GetSymbolRuntimeSessionInformation(symbol);
if (session == null)
{
SystemMonitor.OperationError("Failed to establish runtime session information for symbol [" + symbol.Name + "]");
return(null);
}
DataTickHistoryProvider provider = new DataTickHistoryProvider(delivery, session.Info);
AddElement(source, symbol, provider);
return(provider);
}
/// <summary>
/// Create a and setup a dataDelivery provider for this sourceSourceId, and to the given sessionInformation.
/// </summary>
/// <param name="sourceSourceId"></param>
/// <returns></returns>
public SessionDataProvider CreateSessionDataProvider(ComponentId sourceId, PlatformExpertSession session /*, bool isBackTest*/)
{
// Create dataDelivery delivery (mandatory).
ISourceDataDelivery dataDelivery = ObtainDataDelivery(sourceId);
if (dataDelivery == null)
{
SystemMonitor.OperationError("Failed to create data delivery.");
return(null);
}
SessionDataProvider dataProvider = new SessionDataProvider();
// Setup the provider with the delivery.
if (dataProvider.SetInitialParameters(this, sourceId, session) == false)
{
SystemMonitor.OperationError("Failed to create session data provider.");
return(null);
}
return(dataProvider);
}
void delivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote?quote)
{
bool isUp = true;
SymbolInformation information;
lock (this)
{
if (_symbolQuotes.ContainsKey(session.Symbol) == false ||
_symbolQuotes[session.Symbol] == null)
{
information = new SymbolInformation(session.Symbol);
_symbolQuotes.Add(session.Symbol, information);
}
else
{
information = _symbolQuotes[session.Symbol];
if (information.Quote.HasValue && quote.HasValue)
{
if (information.Quote.Value.Ask == quote.Value.Ask &&
information.Quote.Value.Bid == quote.Value.Bid)
{
return;
}
isUp = information.Quote.Value.Ask < quote.Value.Ask;
}
}
information.Update(quote, isUp);
}
if (QuotesUpdateEvent != null)
{
QuotesUpdateEvent(this, information);
}
}
public void Dispose()
{
UnInitialize();
ChangeOperationalState(OperationalStateEnum.Disposed);
_dataBars = null;
_dataDelivery = null;
_indicators = null;
_period = null;
}
/// <summary>
///
/// </summary>
public virtual bool SetInitialParameters(ISourceManager manager, ComponentId sourceId, ExpertSession session)
{
_sessionInfo = session.Info;
_manager = manager;
_sourceId = sourceId;
_dataDelivery = manager.ObtainDataDelivery(sourceId);
_quote = manager.ObtainQuoteProvider(sourceId, _sessionInfo.Symbol);
_tickProvider = manager.ObtainDataTickHistoryProvider(sourceId, _sessionInfo.Symbol);
_dataBarProvider = null;
bool result = _dataDelivery != null && _quote != null && _tickProvider != null;
SystemMonitor.CheckError(result, "Failed to initialize data provider.");
return result;
}
public void SetInitialParameters(ISourceDataDelivery dataDelivery)
{
base.StatusSynchronizationSource = dataDelivery;
_dataDelivery = dataDelivery;
if (_dataDelivery != null)
{
_dataDelivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_dataDelivery_OperationalStatusChangedEvent);
if (_dataDelivery.OperationalState == OperationalStateEnum.Operational)
{
_dataDelivery_OperationalStatusChangedEvent(_dataDelivery, OperationalStateEnum.NotOperational);
}
_dataDelivery.QuoteUpdateEvent += new QuoteUpdateDelegate(_dataDelivery_QuoteUpdateEvent);
}
}
protected virtual void dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
}
public virtual void Dispose()
{
//if (_tradeEntities != null)
//{
// _tradeEntities.UnInitialize();
// _tradeEntities = null;
//}
if (_statistics != null)
{
_statistics.Dispose();
_statistics = null;
}
_dataDelivery = null;
_manager = null;
if (_provider != null)
{
_provider.AccountInfoUpdateEvent -= new AccountInfoUpdateDelegate(_provider_AccountInfoUpdateEvent);
_provider.OperationalStateChangedEvent -= new OperationalStateChangedDelegate(_provider_OperationalStatusChangedEvent);
_provider = null;
}
}
void _dataDelivery_DataHistoryUpdateDelegate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (session.Equals(_session) == false || update.DataTicksUnsafe.Count == 0)
{
return;
}
DataTickUpdateType? updateType = null;
if (_dataTicks.Count == 0)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
lock (this)
{
_lastDataUpdate = DateTime.Now;
for (int i = 0; i < update.DataTicksUnsafe.Count; i++)
{
if (_dataTicks.Count == 0 || update.DataTicksUnsafe[i].DateTime > _dataTicks[_dataTicks.Count - 1].DateTime)
{
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
_dataTicks.Add(update.DataTicksUnsafe[i]);
_cachedDataTickIndexSearches.Add(update.DataTicksUnsafe[i].DateTime, i);
}
}
// Also check the last 5 units for any requotes that might have been sent,
// this happens when price changes and we get updates for the last unit.
for (int i = 0; i < 5 && update.DataTicksUnsafe.Count - 1 - i > 0 && _dataTicks.Count - 1 - i > 0; i++)
{
if (update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].DateTime == _dataTicks[_dataTicks.Count - 1 - i].DateTime
&& update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i].Equals(_dataTicks[_dataTicks.Count - 1 - i]) == false)
{
// Since this update is only when the date times are the same, the helper cache dictionary needs not be updated.
_dataTicks[_dataTicks.Count - 1 - i] = update.DataTicksUnsafe[update.DataTicksUnsafe.Count - 1 - i];
if (updateType.HasValue == false)
{
updateType = DataTickUpdateType.HistoryUpdate;
}
}
}
}
if (updateType.HasValue && DataTickHistoryUpdateEvent != null)
{
DataTickHistoryUpdateEvent(this, updateType.Value);
}
}
/// <summary>
///
/// </summary>
public bool SetInitialParameters(ISourceManager manager, ISourceOrderExecution provider,
ISourceDataDelivery delivery)
{
//SystemMonitor.CheckError(_provider == null, "OrderExecutionProvider already assigned.");
_manager = manager;
_provider = provider;
_delivery = delivery;
if (_provider == null)
{
SystemMonitor.Warning("Failed to properly initialize entity keeper.");
}
return true;
}
public void Dispose()
{
_manager = null;
_provider = null;
_delivery = null;
}
/// <summary>
///
/// </summary>
public bool SetInitialParameters(ISourceManager manager,
ISourceOrderExecution provider,
ISourceDataDelivery dataDelivery, Symbol symbol)
{
_manager = manager;
_provider = provider;
_dataDelivery = dataDelivery;
_info.Symbol = symbol;
return true;
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (session.Symbol == this.Symbol)
{
if (quote.HasValue)
{
lock(this)
{
if (this.Volume > 0)
{
_price = quote.Value.Ask;
}
else
{
_price = quote.Value.Bid;
}
}
}
else
{
_price = null;
}
RecalculateParameters(true);
}
}
void _dataDelivery_DataHistoryUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (update.BarDataAssigned)
{
lock (this)
{
_lastDataBar = update.DataBarsUnsafe[update.DataBarsUnsafe.Count - 1];
}
}
}
public bool SetInitialParameters(ISourceManager manager, ComponentId sourceSourceId, ExpertSession session)
{
_manager = manager;
_sessionInfo = session.Info;
_sourceDataDelivery = manager.ObtainDataDelivery(sourceSourceId);
//_sourceDataDelivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_sourceDataDelivery_OperationalStateChangedEvent);
StatusSynchronizationSource = _sourceDataDelivery;
return true;
}
public void UnInitialize()
{
if (_provider != null)
{
_provider.TradeEntities.PositionsUpdatedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsUpdatedEvent);
_provider.TradeEntities.PositionsAddedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsAddedEvent);
_provider.TradeEntities.PositionsRemovedEvent -= new PositionsUpdateDelegate(TradeEntities_PositionsRemovedEvent);
_provider.PositionsUpdateEvent -= new PositionUpdateDelegate(_provider_PositionUpdateEvent);
}
_manager = null;
_provider = null;
_dataDelivery = null;
}
protected override void dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
base.dataDelivery_QuoteUpdateEvent(dataDelivery, session, quote);
DoUpdate();
}
protected override bool OnInitialize(Platform platform)
{
ChangeOperationalState(OperationalStateEnum.Operational);
base.OnInitialize(platform);
GeneralHelper.FireAndForget(delegate()
{
Thread.Sleep(2000);
if (_dataSourceId.HasValue)
{
_delivery = base.ObtainDataDelivery(_dataSourceId.Value);
if (_delivery != null)
{
_delivery.OperationalStateChangedEvent += new OperationalStateChangedDelegate(_delivery_OperationalStatusChangedEvent);
if (_delivery.OperationalState == OperationalStateEnum.Operational)
{
_delivery_OperationalStatusChangedEvent(_delivery, OperationalStateEnum.Unknown);
}
}
}
});
return true;
}
/// <summary>
///
/// </summary>
public void FilterUpdate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (_enabled == false)
{
return;
}
decimal? lastHigh = null;
decimal? lastLow = null;
decimal divergence = MaxDivergenceCoefficientStock;
if (session.Symbol.IsForexPair)
{
divergence = MaxDivergenceCoefficientForex;
}
int consecutiveSpikes = 0;
for (int i = 0; i < update.DataBarsUnsafe.Count; i++)
{
if (lastHigh.HasValue && lastLow.HasValue)
{
DataBar bar = update.DataBarsUnsafe[i];
if ( (bar.High > lastHigh.Value * (1 + divergence) || bar.Low < lastLow.Value / (1 + divergence))
&& consecutiveSpikes <= _maximumConsecutiveSpikes)
{// Bar spike detected.
consecutiveSpikes++;
SystemMonitor.Report("Spike detected in data [" + session.Symbol.Name + "]. Bar values limited to previous [" + lastHigh.Value + ", " + bar.High + "; " + lastLow.Value + ", " + bar.Low + "].");
update.DataBarsUnsafe[i] = new DataBar(bar.DateTime,
GeneralHelper.LimitRange(bar.Open, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.High, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.Low, lastLow.Value, lastHigh.Value),
GeneralHelper.LimitRange(bar.Close, lastLow.Value, lastHigh.Value),
bar.Volume);
}
else
{
consecutiveSpikes = 0;
}
}
lastHigh = update.DataBarsUnsafe[i].High;
lastLow = update.DataBarsUnsafe[i].Low;
}
}
void delivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
bool isUp = true;
SymbolInformation information;
lock (this)
{
if (_symbolQuotes.ContainsKey(session.Symbol) == false
|| _symbolQuotes[session.Symbol] == null)
{
information = new SymbolInformation(session.Symbol);
_symbolQuotes.Add(session.Symbol, information);
}
else
{
information = _symbolQuotes[session.Symbol];
if (information.Quote.HasValue && quote.HasValue)
{
if (information.Quote.Value.Ask == quote.Value.Ask
&& information.Quote.Value.Bid == quote.Value.Bid)
{
return;
}
isUp = information.Quote.Value.Ask < quote.Value.Ask;
}
}
information.Update(quote, isUp);
}
if (QuotesUpdateEvent != null)
{
QuotesUpdateEvent(this, information);
}
}
/// <summary>
/// Initialize execution account with its owner provider.
/// </summary>
/// <param name="session"></param>
public bool SetInitialParameters(ISourceManager manager, ISourceOrderExecution orderExecutionProvider, ISourceDataDelivery dataDelivery)
{
SystemMonitor.CheckError(_provider == null, "Order account already initialized.");
_manager = manager;
//why is the provider not ready
_provider = orderExecutionProvider;
_dataDelivery = dataDelivery;
SystemMonitor.CheckWarning(_manager != null && _provider != null && _dataDelivery != null, "Account not properly initialized.");
return true;
}
public bool AddSymbol(ComponentId dataSourceId, Symbol symbol, out string operationResultMessage)
{
if (_dataSourceId.HasValue && _dataSourceId.Value != dataSourceId)
{
operationResultMessage = "One source per watch component currently supported.";
SystemMonitor.Error(operationResultMessage);
return false;
}
_dataSourceId = dataSourceId;
if (_delivery == null)
{
_delivery = base.ObtainDataDelivery(_dataSourceId.Value);
}
RuntimeDataSessionInformation info = _delivery.GetSymbolRuntimeSessionInformation(symbol);
if (info == null)
{
operationResultMessage = "Failed to obtain symbol runtime session information.";
return false;
}
_delivery.SubscribeToData(info.Info, true, new DataSubscriptionInfo(true, false, null));
_delivery.QuoteUpdateEvent += new QuoteUpdateDelegate(delivery_QuoteUpdateEvent);
operationResultMessage = string.Empty;
return true;
}
/// <summary>
/// Register ISourceDataDelivery.
/// </summary>
protected bool AddElement(ComponentId id, ISourceDataDelivery delivery)
{
if (id.IsEmpty || delivery == null)
{
SystemMonitor.Warning("Invalid Id or data delivery instance.");
return false;
}
lock (this)
{
if (_dataDeliveries.ContainsKey(id))
{
SystemMonitor.Warning("Failed to add data delivery, since already added with this Id.");
return false;
}
foreach (ComponentId deliveryId in _dataDeliveries.Keys)
{
SystemMonitor.CheckThrow(id.Name.ToLower() == id.Name.ToLower(), "Data Delivery with this name Id already present [" + id.Name + "].");
}
_dataDeliveries.Add(id, delivery);
}
return true;
}
/// <summary>
/// Follow quotes update.
/// </summary>
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (_sessionInfo.Equals(session) == false || _period.HasValue == false
|| quote.HasValue == false)
{
return;
}
DataBar? lastBar = null;
if (_dataBars.Count > 0)
{
lastBar = _dataBars[_dataBars.Count - 1];
}
else
{// If there are no existing bars, we do not operate, to evade mixing up start / end period etc.
return;
}
TimeSpan? period = _period;
DataBarUpdateType? updateType = null;
// The time of a bar is its open time, so everything after a "period" closeVolume of time after it is part of that bar.
if (lastBar.Value.DateTime + period < quote.Value.Time)
{// We need to append a new bar.
DateTime newBarDateTime = lastBar.Value.DateTime;
int i = 0;
while (newBarDateTime.Add(period.Value) < quote.Value.Time)
{// Establish end time of new bar (max 1000 steps to evade potential lockups).
newBarDateTime = newBarDateTime.Add(period.Value);
i++;
if (i > 1000)
{// We have tried and failed to establish proper new period so just abort.
SystemMonitor.OperationError("We have tried and failed to establish proper new period so quote aborted.");
return;
}
}
DataBar? newBar = BarFromQuote(lastBar, newBarDateTime, quote.Value);
if (newBar.HasValue == false)
{// Failed to establish bar from quote.
return;
}
updateType = DataBarUpdateType.NewPeriod;
lock (this)
{// Add the new bar.
_lastDataUpdate = DateTime.Now;
_dataBars.Add(newBar.Value);
}
}
else
{
updateType = DataBarUpdateType.CurrentBarUpdate;
lock (this)
{// Just update the current last bar.
_lastDataUpdate = DateTime.Now;
_dataBars[_dataBars.Count - 1] = UpdateCurrentBar(lastBar.Value, quote.Value);
}
}
if (updateType.HasValue && DataBarHistoryUpdateEvent != null)
{
DataBarHistoryUpdateEvent(this, updateType.Value, 1);
}
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
if (_sessionInfo.Equals(session) == false)
{
return;
}
lock (this)
{
_lastQuoteTime = DateTime.Now;
_currentQuote = quote;
}
if (QuoteUpdateEvent != null)
{
QuoteUpdateEvent(this);
}
}
/// <summary>
/// Data delivery has received a dataDelivery update.
/// </summary>
void _dataDelivery_DataHistoryUpdateDelegate(ISourceDataDelivery dataDelivery, DataSessionInfo session, DataHistoryUpdate update)
{
if (_sessionInfo.Equals(session) == false)
{
return;
}
if (update.Period != _period.Value)
{// This update is aimed at another provider.
return;
}
DataBarUpdateType? updateType = null;
if (_dataBars.Count == 0)
{
updateType = DataBarUpdateType.Initial;
}
_barFilter.FilterUpdate(dataDelivery, session, update);
int updatedBarsCount = 0;
lock (this)
{
_lastDataUpdate = DateTime.Now;
// Add new bars - search for new later bars.
for (int i = 0; i < update.DataBarsUnsafe.Count; i++)
{
if (_dataBars.Count == 0 || update.DataBarsUnsafe[i].DateTime > _dataBars[_dataBars.Count - 1].DateTime)
{
if (updateType.HasValue == false)
{
updateType = DataBarUpdateType.HistoryUpdate;
}
updatedBarsCount++;
_dataBars.Add(update.DataBarsUnsafe[i]);
_cachedDataBarIndexSearches.Add(update.DataBarsUnsafe[i].DateTime, _dataBars.Count - 1);
}
}
bool preTimeUpdate = false;
// Add new bars - search for previous bars - a separate cycle needed since we need to move backwards on this.
for (int i = update.DataBarsUnsafe.Count - 1; i >= 0; i--)
{
if (_dataBars.Count > 0 && update.DataBarsUnsafe[i].DateTime < _dataBars[0].DateTime)
{// This is a bar from previous history, we do not know about - insert first place.
_dataBars.Insert(0, update.DataBarsUnsafe[i]);
preTimeUpdate = true;
}
}
// Also check the last 5 units for any requotes that might have been sent,
// this happens when price changes and we get updates for the last unit.
for (int i = 0; i < 5 && update.DataBarsUnsafe.Count - 1 - i > 0 && _dataBars.Count - 1 - i > 0; i++)
{
if (update.DataBarsUnsafe[update.DataBarsUnsafe.Count - 1 - i].DateTime == _dataBars[_dataBars.Count - 1 - i].DateTime
/*&& update.DataBarsUnsafe[update.DataBarsUnsafe.Count - 1 - i].Equals(_dataBars[_dataBars.Count - 1 - i]) == false*/)
{
updatedBarsCount++;
// Since this update is only when the date times are the same, the helper cache dictionary needs not be updated.
_dataBars[_dataBars.Count - 1 - i] = update.DataBarsUnsafe[update.DataBarsUnsafe.Count - 1 - i];
if (updateType.HasValue == false)
{
updateType = DataBarUpdateType.HistoryUpdate;
}
}
}
if (preTimeUpdate)
{// Make a full update if we have inserted something in the beggining.
updateType = DataBarUpdateType.HistoryUpdate;
updatedBarsCount = _dataBars.Count;
}
}
if (updateType.HasValue && DataBarHistoryUpdateEvent != null)
{
DataBarHistoryUpdateEvent(this, updateType.Value, updatedBarsCount);
}
}
void _dataDelivery_QuoteUpdateEvent(ISourceDataDelivery dataDelivery, DataSessionInfo session, Quote? quote)
{
_lastDataQuote = quote;
BeginAccountInfoUpdate(_account.Info);
BeginManagedOrdersUpdate(quote);
}
/// <summary>
/// One time init by passing references essential for operation.
/// </summary>
public bool SetInitialParameters(ISourceManager manager, ISourceDataDelivery dataDelivery)
{
_manager = manager;
_dataDelivery = dataDelivery;
_account.SetInitialParameters(_manager, this, _dataDelivery);
_tradeEntities.SetInitialParameters(_manager, this, _dataDelivery);
_timeControl = new TimeControl();
_timeControl.CanStepBack = false;
_timeControl.CanStepForward = true;
_timeControl.CanRestart = false;
_timeControl.TotalStepsCount = int.MaxValue;
ChangeOperationalState(OperationalStateEnum.Initializing);
return true;
}
public void Dispose()
{
_manager = null;
_dataDelivery = null;
}
public virtual void Dispose()
{
UnInitialize();
_manager = null;
_dataDelivery = null;
_quote = null;
_tickProvider = null;
_dataBarProvider = null;
ChangeOperationalState(OperationalStateEnum.Disposed);
}
