static void InitBondArbNodeInputs(STR_Arb strategy, STR_ArbInput input, ref _InnerObjectsForUnittest innerData)
{
StrategyNode node = new StrategyNode();
innerData.BondArbNode = node;
node.InitRoot_1(strategy);
innerData.BondArbNodeEnterLimit = new EnterConditionLimit(
Util.ConvertFormatStringToInt64(input.BondArb_MaxLiveSweepCount),
Util.ConvertFormatStringToInt64(input.BondArb_MaxNewSweepCount));
node.InitEnterLimit_2(innerData.BondArbNodeEnterLimit);
DateTime dtStart = DateUtil.GetTodayDateTime(9 + Const.kHourAdjustment_Start, 0, 0);
DateTime dtEnd = DateUtil.GetTodayDateTime(12 + 2 + Const.kHourAdjustment_End, 37, 00);
innerData.BondArbNodeMonitorLimit = new MonitorLimit_Time(dtStart, dtEnd);
node.InitMonitorTimeLimit_3(innerData.BondArbNodeMonitorLimit);
SweeperCollectionDefault sweeperCollection = new SweeperCollectionDefault();
innerData.BondArbSweeperLeaf = sweeperCollection;
node.InitSweeperCollection_4(sweeperCollection);
innerData.BondArb_MonitorEnter = new MonitorEnter_BondArb(node);
node.InitMonitorEnter_5(innerData.BondArb_MonitorEnter);
strategy.AddNode(node, STR_Arb.NodeType.BondArb);
}
static void InitNodeInputs(STR_Test_PB_Fut_HTS strategy, STR_Test_PB_HTSInput input)
{
SweeperCollectionDefault sweeperLeaf = new SweeperCollectionDefault();
StrategyNode node = new StrategyNode();
node.InitRoot_1(strategy);
node.InitEnterLimit_2(new EnterConditionLimit(
Util.ConvertFormatStringToInt64(input.Root_MaxLiveSweepCount),
Util.ConvertFormatStringToInt64(input.Root_MaxNewSweepCount)));
DateTime dtStart = DateUtil.GetTodayDateTime(9 + Const.kHourAdjustment_Start, 0, 0);
DateTime dtEnd = DateUtil.GetTodayDateTime(12 + 3 + Const.kHourAdjustment_End, 4, 30);
if (KospiFutureUtil.Ins().GetFutureMaturityRemainDays(DateTime.Now) == 0)
{
// 만기일에는 오후 2시 45분 30초까지만 하도록 한다.
dtEnd = DateUtil.GetTodayDateTime(12 + 2 + Const.kHourAdjustment_End, 45, 30);
}
node.InitMonitorTimeLimit_3(new MonitorLimit_Time(dtStart, dtEnd));
node.InitSweeperCollection_4(new SweeperCollectionDefault());
node.InitMonitorEnter_5(new Test_PB_HTS_MonitorEnter(node));
strategy.AddNode(node);
}
public MonitorEnter_BondArb(StrategyNode node)
{
this._node = node;
STR_Arb root = node.Root as STR_Arb;
this._bondAccount = root.BondAccount;
}
public Test_PB_HTS_MonitorEnter(StrategyNode node)
{
this.IsPermissionOK = false;
this._node = node;
this._monitorLimit = new MonitorLimit_LastUpdatedRmd();
String fut1 = KospiFutureUtil.Ins().KFSI.FutureCode1;
_referenceRmdFut1 = RmdManager.Ins().GetData(fut1);
_referenceRmdFut1List = new List<RawMarketData>();
_referenceRmdFut1List.Add(_referenceRmdFut1);
_root = node.Root as STR_Test_PB_Fut_HTS;
_futureAccount = _root.FutureAccount;
}
public MonitorEnter_CalFut(
StrategyNode node,
Detail.ProductType pt,
String fut1,
String spread,
String fut2,
ForwardBackward fb)
{
this._node = node;
IMarketDataBoard board = null;
switch (pt)
{
case Detail.ProductType.KospiFuture:
board = RmdManager.Ins().KospiFuture;
break;
case Detail.ProductType.UsdFuture:
board = RmdManager.Ins().Future;
break;
case Detail.ProductType.KtbFuture:
board = RmdManager.Ins().Future;
break;
default:
String errorMsg = String.Format("{0} is not valid type", pt);
logger.Error(errorMsg);
Util.KillWithNotice(errorMsg);
break;
}
_refRmdFut1 = board.GetData(fut1);
_refRmdSpread = board.GetData(spread);
_refRmdFut2 = board.GetData(fut2);
_referenceRmds.Add(_refRmdFut1);
_referenceRmds.Add(_refRmdSpread);
_referenceRmds.Add(_refRmdFut2);
STR_Arb root = node.Root as STR_Arb;
_futureAccount = root.FutureAccount;
}
static void InitCalFutNodeInputs(STR_Arb strategy, STR_ArbInput input, ref _InnerObjectsForUnittest innerData)
{
StrategyNode node = new StrategyNode();
innerData.CalFutNode = node;
node.InitRoot_1(strategy);
innerData.CalFutNodeEnterLimit = new EnterConditionLimit(
Util.ConvertFormatStringToInt64(input.CalFut_MaxLiveSweepCount),
Util.ConvertFormatStringToInt64(input.CalFut_MaxNewSweepCount));
node.InitEnterLimit_2(innerData.CalFutNodeEnterLimit);
DateTime dtStart = DateUtil.GetTodayDateTime(9 + Const.kHourAdjustment_Start, 0, 0);
DateTime dtEnd = DateUtil.GetTodayDateTime(12 + 3 + Const.kHourAdjustment_End, 4, 00);
innerData.CalFutNodeMonitorLimit = new MonitorLimit_Time(dtStart, dtEnd);
node.InitMonitorTimeLimit_3(innerData.CalFutNodeMonitorLimit);
SweeperCollectionDefault sweeperCollection = new SweeperCollectionDefault();
innerData.CalFutSweeperLeaf = sweeperCollection;
node.InitSweeperCollection_4(sweeperCollection);
innerData.CalFut_MonitorEnter = new MonitorEnter_CalFut(
node,
Detail.ProductType.KospiFuture,
KospiFutureUtil.Ins().KFSI.FutureCode1,
KospiFutureUtil.Ins().KFSI.Code,
KospiFutureUtil.Ins().KFSI.FutureCode2,
MonitorEnter_CalFut.ForwardBackward.Forward);
node.InitMonitorEnter_5(innerData.CalFut_MonitorEnter);
strategy.AddNode(node, STR_Arb.NodeType.CalFut);
}