public Leg(Instrument instrument, double weight = 1.0)
{
this.instrument = instrument;
Weight = weight;
InstrumentId = instrument.Id;
this.framework = instrument.Framework;
}
public EventPipe(Framework framework, bool threaded = false)
{
this.framework = framework;
Threaded = threaded;
if (threaded)
throw new NotSupportedException();
}
public PortfolioManager(Framework framework, PortfolioServer portfolioServer)
{
this.framework = framework;
Server = portfolioServer;
Server?.Open();
Pricer = new Pricer(framework);
}
public DataSimulator(Framework framework) : base(framework)
{
this.id = ProviderId.DataSimulator;
this.name = "DataSimulator";
this.description = "Default data simulator";
this.url = $"www.{nameof(FastQuant).ToLower()}.com";
}
internal void Init(Framework framework)
{
this.framework = framework;
this.instrument = framework.InstrumentManager.GetById(InstrumentId);
if (this.instrument == null)
Console.WriteLine($"{nameof(Leg)}::{nameof(Init)} Can not find leg instrument in the framework instrument manager. Id = {InstrumentId}");
}
public OrderManager(Framework framework, OrderServer orderServer)
{
this.framework = framework;
Server = orderServer;
Server?.Open();
this.counter = 0;
}
public DataManager(Framework framework, DataServer server)
{
this.framework = framework;
Server = server;
Server?.Open();
this.thread = new Thread(ThreadRun) { Name = "Data Manager Thread", IsBackground = true };
this.thread.Start();
}
public ProviderManager(Framework framework, IDataSimulator dataSimulator = null, IExecutionSimulator executionSimulator = null)
{
this.framework = framework;
this.dataSimulator = dataSimulator ?? new DataSimulator(framework);
AddProvider(this.dataSimulator);
this.executionSimulator = executionSimulator ?? new ExecutionSimulator(framework);
AddProvider(this.executionSimulator);
}
public GroupDispatcher(Framework framework)
{
this.framework = framework;
this.framework.EventManager.Dispatcher.NewGroup += OnNewGroup;
this.framework.EventManager.Dispatcher.NewGroupEvent += OnNewGroupEvent;
this.framework.EventManager.Dispatcher.NewGroupUpdate += OnNewGroupUpdate;
this.framework.EventManager.Dispatcher.FrameworkCleared += OnFrameworkCleared;
}
public EventBus(Framework framework)
{
this.framework = framework;
Mode = framework.Mode == FrameworkMode.Realtime ? EventBusMode.Realtime : EventBusMode.Simulation;
CommandPipe = new EventPipe(framework, false);
DataPipe = new EventPipe(framework, false);
ExecutionPipe = new EventPipe(framework, false);
ServicePipe = new EventPipe(framework, false);
HistoricalPipe = new EventPipe(framework, false);
}
public Controller(Framework framework, string name)
{
this.framework = framework;
this.name = name;
//this.tcpClient = new TcpClient(this.host, this.port);
this.tcpClient = new TcpClient(AddressFamily.InterNetwork);
this.stream = this.tcpClient.GetStream();
this.reader = new BinaryReader(this.stream);
this.writer = new BinaryWriter(this.stream);
this.thread = new Thread(Run) { IsBackground = true };
this.thread.Start();
}
public StatisticsManager(Framework framework)
{
this.framework = framework;
var types = typeof(PortfolioStatisticsType).GetFields(BindingFlags.Public | BindingFlags.Static)
.Select(f => f.Name)
.Except(new[] { "DailyDownsideRisk", "AnnualDownsideRisk" })
.Concat(new[] { "DailyReturnPercentDownsideRisk", "AnnualReturnPercentDownsideRisk" });
foreach (var t in types)
{
var type = Type.GetType($"{nameof(FastQuant)}.Statistics.{t}");
var item = (PortfolioStatisticsItem)Activator.CreateInstance(type);
Add(item);
}
}
public MyStrategy(Framework framework, string name)
: base(framework, name)
{
}
public BarFactory(Framework framework)
{
this.framework = framework;
}
public Backtest(Framework framework)
: base(framework)
{
}
public FrameworkEventArgs(Framework framework)
{
Framework = framework;
}
public GroupManager(Framework framework)
{
this.framework = framework;
}
public InstrumentServer(Framework framework)
{
this.framework = framework;
}
public OnFrameworkCleared(Framework framework)
{
Framework = framework;
}
public UserServer(Framework framework)
{
this.framework = framework;
}
public Realtime(Framework framework)
: base(framework)
{
// Set bar size in seconds. 60 seconds is 1 minute.
barSize = 60;
}
public StrategyManager(Framework framework)
{
this.framework = framework;
Clear();
}
public EventManager(Framework framework, EventBus bus)
{
this.framework = framework;
this.bus = bus;
BarFactory = new BarFactory(this.framework);
BarSliceFactory = new BarSliceFactory(this.framework);
Dispatcher = new EventDispatcher(this.framework);
// Event Gates
this.gates[EventType.Bid] = OnBid;
this.gates[EventType.Ask] = OnAsk;
this.gates[EventType.Trade] = OnTrade;
this.gates[EventType.Quote] = OnQuote;
this.gates[EventType.Bar] = OnBar;
this.gates[EventType.Level2Snapshot] = OnLevel2Snapshot;
this.gates[EventType.Level2Update] = OnLevel2Update;
this.gates[EventType.ExecutionReport] = OnExecutionReport;
this.gates[EventType.Reminder] = OnReminder;
this.gates[EventType.Fundamental] = OnFundamental;
this.gates[EventType.News] = OnNews;
this.gates[EventType.Group] = OnGroup;
this.gates[EventType.GroupEvent] = OnGroupEvent;
this.gates[EventType.Command] = OnCommand;
this.gates[EventType.OnPositionOpened] = OnPositionOpened;
this.gates[EventType.OnPositionClosed] = OnPositionClosed;
this.gates[EventType.OnPositionChanged] = OnPositionChanged;
this.gates[EventType.OnFill] = OnFill;
this.gates[EventType.OnTransaction] = OnTransaction;
this.gates[EventType.OnSendOrder] = OnSendOrder;
this.gates[EventType.OnPendingNewOrder] = OnPendingNewOrder;
this.gates[EventType.OnNewOrder] = OnNewOrder;
this.gates[EventType.OnOrderStatusChanged] = OnOrderStatusChanged;
this.gates[EventType.OnOrderPartiallyFilled] = OnOrderPartiallyFilled;
this.gates[EventType.OnOrderFilled] = OnOrderFilled;
this.gates[EventType.OnOrderReplaced] = OnOrderReplaced;
this.gates[EventType.OnOrderCancelled] = OnOrderCancelled;
this.gates[EventType.OnOrderRejected] = OnOrderRejected;
this.gates[EventType.OnOrderExpired] = OnOrderExpired;
this.gates[EventType.OnOrderCancelRejected] = OnOrderCancelRejected;
this.gates[EventType.OnOrderReplaceRejected] = OnOrderReplaceRejected;
this.gates[EventType.OnOrderDone] = OnOrderDone;
this.gates[EventType.OnPortfolioAdded] = OnPortfolioAdded;
this.gates[EventType.OnPortfolioRemoved] = OnPortfolioRemoved;
this.gates[EventType.OnPortfolioParentChanged] = OnPortfolioParentChanged;
this.gates[EventType.HistoricalData] = OnHistoricalData;
this.gates[EventType.HistoricalDataEnd] = OnHistoricalDataEnd;
this.gates[EventType.BarSlice] = OnBarSlice;
this.gates[EventType.OnStrategyEvent] = OnStrategyEvent;
this.gates[EventType.AccountData] = OnAccountData;
this.gates[EventType.OnPropertyChanged] = OnPropertyChanged;
this.gates[EventType.OnException] = OnException;
this.gates[EventType.AccountReport] = OnAccountReport;
this.gates[EventType.ProviderError] = OnProviderError;
this.gates[EventType.OnProviderConnected] = OnProviderConnected;
this.gates[EventType.OnProviderDisconnected] = OnProviderDisconnected;
this.gates[EventType.OnSimulatorStart] = OnSimulatorStart;
this.gates[EventType.OnSimulatorStop] = OnSimulatorStop;
this.gates[EventType.OnSimulatorProgress] = OnSimulatorProgress;
// Enable all events by defaults
for (int i = 0; i < byte.MaxValue; i++)
{
Enabled[i] = true;
}
if (bus != null)
{
this.thread = new Thread(Run)
{
Name = "Event Manager Thread",
IsBackground = true
};
this.thread.Start();
}
}
public EventFilter(Framework framework)
{
this.framework = framework;
}
public SubscriptionManager(Framework framework)
{
this.framework = framework;
}
internal AccountDataManager(Framework framework)
{
this.framework = framework;
}
public SpreadSellSide(Framework framework, string name)
: base(framework, name)
{
}
public RiskManager(Framework framework)
{
this.framework = framework;
}
public InstrumentStrategy(Framework framework, string name) : base(framework, name)
{
this.raiseEvents = false;
}
public FrameworkEventArgs(Framework framework)
{
Framework = framework;
}
public MatchingEngine(Framework framework) : base(framework)
{
this.id = ProviderId.MatchingEngine;
this.name = "MatchingEngine";
}
public DataServer(Framework framework)
{
this.framework = framework;
this.tapeMode = false;
}
public GroupManager(Framework framework)
{
this.framework = framework;
}
public PerformanceStrategy(Framework framework) : base(framework, "PerformanceStrategy")
{
}
private Framework(string name, FrameworkMode mode, bool createServers, EventBus externalBus, InstrumentServer instrumentServer, DataServer dataServer, string fileServerPath)
{
Name = name;
this.mode = mode;
LoadConfiguration();
// Setup events compoents setup
EventBus = new EventBus(this);
OutputManager = new OutputManager(this, Configuration.IsOutputLogEnabled ? Configuration.OutputLogFileName : null);
Clock = new Clock(this, ClockType.Local, false);
EventBus.LocalClockEventQueue = Clock.ReminderQueue;
ExchangeClock = new Clock(this, ClockType.Exchange, false);
EventBus.ExchangeClockEventQueue = ExchangeClock.ReminderQueue;
externalBus?.Attach(EventBus);
EventServer = new EventServer(this, EventBus);
EventManager = new EventManager(this, EventBus);
// Setup streamers
StreamerManager = new StreamerManager();
StreamerManager.AddDefaultStreamers();
// Create Servers
var iServer = instrumentServer ?? new FileInstrumentServer(this, Configuration.InstrumentFileName);
var dServer = dataServer ?? new FileDataServer(this, Configuration.DataFileName);
var oServer = new FileOrderServer(this, Configuration.OrderFileName);
var pServer = new FilePortfolioServer(this, Configuration.PortfolioFileName);
InstrumentManager = new InstrumentManager(this, iServer);
InstrumentServer = iServer;
InstrumentManager.Load();
DataManager = new DataManager(this, dServer);
DataServer = dServer;
OrderManager = new OrderManager(this, oServer);
OrderServer = oServer;
PortfolioManager = new PortfolioManager(this, pServer);
PortfolioServer = pServer;
UserServer = new XmlUserServer(this);
UserManager = new UserManager(this, UserServer);
UserManager.Load();
// Create Providers
ProviderManager = new ProviderManager(this);
// Other stuff
EventLoggerManager = new EventLoggerManager();
SubscriptionManager = new SubscriptionManager(this);
ScenarioManager = new ScenarioManager(this);
StrategyManager = new StrategyManager(this);
StatisticsManager = new StatisticsManager(this);
GroupManager = new GroupManager(this);
AccountDataManager = new AccountDataManager(this);
LicenseManager = new LicenseManager();
CurrencyConverter = new CurrencyConverter(this);
DataFileManager = new DataFileManager(Installation.DataDir.FullName);
instance = instance ?? this;
}
public MatchingEngine(Framework framework) : base(framework)
{
this.id = ProviderId.MatchingEngine;
this.name = "MatchingEngine";
}
public RiskManager(Framework framework)
{
this.framework = framework;
}
public OutputManager(Framework framework, string path = null)
{
Framework = framework;
this.textWriter = Console.Out;
if (path != null)
{
path = path.Replace("%d", DateTime.Now.ToString("ddMMyyHHmmss"));
path = path.Replace("%n", framework.Name);
try
{
this.streamWriter = File.CreateText(path);
this.streamWriter.AutoFlush = true;
}
catch (Exception)
{
Console.WriteLine($"OutputManager::OutputManager Error. Can not open output log file {path}");
this.streamWriter = null;
}
}
this.outputWriter = new OutputWriter(this);
Console.SetOut(this.outputWriter);
}
public FilePortfolioServer(Framework framework, string fileName, string host = null, int port = -1) : base(framework)
{
this.host = host;
this.port = port;
this.dataFile= host == null? new DataFile(fileName, framework.StreamerManager): new NetDataFile(fileName, host, port, framework.StreamerManager);
}
public static Instrument GetInstrument(DataSeries series, Framework framework)
{
var parts = series.Name.Split(new[] { '.' }, StringSplitOptions.None);
var id = GetDataType(series) == DataObjectType.Bar ? int.Parse(parts[parts.Length - 4]) : int.Parse(parts[parts.Length - 2]);
return framework.InstrumentManager.GetById(id);
}
public Realtime(Framework framework)
: base(framework)
{
}
public BarFactory(Framework framework)
{
this.framework = framework;
}
public SellSideInstrumentStrategy(Framework framework, string name): base(framework, name)
{
IsInstance = false;
}
public UserManager(Framework framework, UserServer server)
{
this.framework = framework;
this.server = server;
}
public PerformanceProvider(Framework framework) : base(framework)
{
}
public InstrumentManager(Framework framework, InstrumentServer server)
{
this.framework = framework;
Server = server;
}