public EquityStockSimpleExecutor(
MarketDataSet dataSet, DateTime startDate, DateTime endDate,
double rebalancingPeriod, double baseInvest)
{
this.DataSet = dataSet;
_startDate = startDate;
_endDate = endDate;
_rebalancingPeriod = rebalancingPeriod;
_baseInvest = baseInvest;
}
static void Main(string[] args)
{
ILogger logger = Logger.CreateConsoleLogger("TestMdc: ");
logger.LogInfo("Running...");
try
{
QRDataProviderId dataProviderId = QRDataProviderId.Bloomberg; // QRDataProviderId.ReutersIDN;
// create MDS client
MarketDataSet data = null;
IMarketDataClient mdc = new MarketDataRealtimeClient(
logger, new Sequencer(logger),
dataProviderId);
data = mdc.GetCurrentData(
QRDataProviderId.Undefined,
Guid.NewGuid(),
null,
QRAssetIdType.Undefined,
new string[6] {
"AUD-FxSpot-SP",
"NZD-FxSpot-SP",
"GBP-FxSpot-SP",
"JPY-FxSpot-SP",
"CHF-FxSpot-SP",
"XYZ-FxSpot-SP"
},
new string[2] {
"ASK", "BID"
});
Thread.Sleep(1000);
logger.LogInfo("Results...");
for (int i = 0; i < data.rows.Length; i++)
{
MarketDataRow row = data.rows[i];
logger.LogInfo("[{0}] {1}", i, row.instrumentId);
for (int j = 0; j < row.field.Length; j++)
{
MarketDataFld field = row.field[j];
logger.LogInfo("[{0}] {1} ({2})='[{3}]'", i, field.name, field.type, String.Join(",", field.value));
}
}
logger.LogInfo("Completed.");
}
catch (Exception e)
{
logger.Log(e);
}
logger.LogInfo("Press ENTER to exit.");
Console.ReadLine();
}
public PeriodicEquityPicker2(MarketDataSet mds, int rebalancingPeriod, int volLookUpPeriod, int mLookUpPeriod,
int selectedEquityNum, DateTime startDate, DateTime endDate)
{
_mds = mds;
_volLookUpPeriod = volLookUpPeriod;
_mLookUpPeriod = mLookUpPeriod;
_rebalancingPeriod = rebalancingPeriod;
_selectedEquityNum = selectedEquityNum;
_startDate = startDate;
_endDate = endDate;
//AddMATrendSelector();
}
void LoadMarketDataSet(List<string> tickers)
{
_mds = new MarketDataSet();
foreach (string ticker in tickers)
{
MarketDataSetKey key = DataUtil.GetMarketDataKeyFromTicker(ticker);
if (EquityMarketDataManager.Ins().ContainsMarketPriceData(key))
{
if (EquityVolPredefinedVariables.BUseCurKospi100Data)
{
List<MarketDataSetKey> kospi100List = EquityMarketDataManager.Ins().GetKospi100DataKeys();
if(!kospi100List.Contains(key))
{
continue;
}
}
MarketData md = EquityMarketDataManager.Ins().GetMarketPriceData(key);
_mds.Add(key, md);
}
}
MarketData mdKospi =
DataUtil.GetKeyMarketData(MarketDataSetKey.KospiFuture, _startDate, _endDate);
_mds.RegisterPivotData(mdKospi);
}