/// <summary>
/// 把 count 个 Bar 合并成一个新的 Bar
/// </summary>
/// <param name="series"></param>
/// <param name="inst"></param>
/// <param name="count"></param>
/// <returns></returns>
public static BarSeries MergeCompress(this BarSeries series, Instrument inst, long count)
{
if (series.Count == 0 || count < 2)
{
return(new BarSeries());
}
var selector = new TimeRangeSelector(inst);
bool emitOnClose = !(series[0].Size >= QuantBoxConst.DayBarSize);
var bars = new BarSeries();
Bar last = null;
var index = 0;
foreach (var bar in series)
{
var range = selector.Get(bar.DateTime.Date);
if (index == 0)
{
last = bar;
last.Size *= count;
}
else
{
QBHelper.MergeBar(last, bar);
}
++index;
if (index == count || (emitOnClose && bar.CloseDateTime.TimeOfDay == range.CloseTime))
{
bars.Add(last);
last = null;
index = 0;
}
}
return(bars);
}
public Instrument GetInstument(InstrumentField field)
{
var inst = new Instrument((InstrumentType)field.Type, field.Symbol);
inst.AltId.Add(new AltId(_provider.Id, field.InstrumentID, field.ExchangeID));
inst.PutCall = (PutCall)field.OptionsType;
inst.Strike = field.StrikePrice;
inst.Exchange = field.ExchangeID;
inst.CurrencyId = CurrencyId.CNY;
inst.TickSize = field.PriceTick;
inst.Factor = field.VolumeMultiple;
inst.PriceFormat = "F" + QBHelper.GetPrecision(field.PriceTick);
inst.Maturity = field.ExpireDate();
if (!string.IsNullOrEmpty(field.UnderlyingInstrID) &&
field.UnderlyingInstrID != field.ProductID &&
!field.InstrumentID.EndsWith("efp"))
{
var underlying = _provider.InstrumentManager.Get(field.UnderlyingInstrID);
if (underlying == null)
{
//_provider.Logger.Warn($"没有找到合约标的物{field.UnderlyingInstrID},请先导入合约标的物");
}
else
{
OpenQuant.Helper.AddLeg(inst, new Leg(underlying));
}
}
return(inst);
}
protected override XProviderSettings LoadSettings()
{
var defaultSettings = new XProviderSettings {
Id = 61,
Name = ProviderName,
Url = "www.thanf.com",
Description = "QuantBox CTP 插件",
UserProductInfo = "OpenQuant",
Connections = new List <ConnectionInfo>(),
Users = new List <UserInfo>(),
Servers = new List <ServerInfo>(),
};
var settings = XProviderSettings.Load(QBHelper.GetConfigPath(GetSettingsFileName()));
if (settings == null)
{
settings = defaultSettings;
}
else
{
settings.Id = defaultSettings.Id;
settings.Url = defaultSettings.Url;
settings.Description = defaultSettings.Description;
settings.Name = ProviderName;
}
return(settings);
}
public static ServerInfo Load(JToken token)
{
var server = new ServerInfo();
QBHelper.LoadFromJson(server, typeof(ServerInfo), token);
return(server);
}
public static UserInfo Load(JToken token)
{
var user = new UserInfo();
QBHelper.LoadFromJson(user, typeof(UserInfo), token);
return(user);
}
protected override XProviderSettings LoadSettings()
{
var defaultSettings = new XProviderSettings {
Id = QuantBoxConst.PIdCtp,
Name = ProviderName,
Url = "www.quntbox.cn",
Description = "QuantBox Ctpse 插件",
UserProductInfo = "OpenQuant",
Connections = new List <ConnectionInfo>(),
Users = new List <UserInfo>(),
Servers = new List <ServerInfo>(),
};
var settings = XProviderSettings.Load(QBHelper.GetConfigPath(base.GetSettingsFileName()));
if (settings == null)
{
settings = defaultSettings;
}
else
{
settings.Id = defaultSettings.Id;
settings.Url = defaultSettings.Url;
settings.Description = defaultSettings.Description;
settings.Name = ProviderName;
}
return(IsThanfVersion() ? MergeSettings(settings) : settings);
}
private void LoadCalendar()
{
try {
var file = GetCalendarDataFile();
if (File.Exists(file))
{
var list = JToken.Parse(QBHelper.ReadOnlyAllText(file));
var firstDate = ParseDateTime(list.First);
var days = new TradingDayList(firstDate.AddDays(-firstDate.DayOfYear + 1), CalendarEnd);
var current = list.First;
while (current != null)
{
var date = ParseDateTime(current);
days[date] = true;
current = current.Next;
}
days.SetHoliday();
DayList = days;
}
}
catch (Exception e) {
Logger.Warn($@"LoadCalendar [{e}]");
}
DateTime ParseDateTime(JToken current)
{
return(DateTime.ParseExact((string)current, "yyyyMMdd", null));
}
}
protected internal virtual string GetApiPath(string path)
{
var dllPath = QBHelper.MakeAbsolutePath(path, Installation.ConfigDir.FullName);
if (!File.Exists(dllPath))
{
dllPath = QBHelper.MakeAbsolutePath(path);
}
return(dllPath);
}
private static List <T> LoadItems <T>(string path, string name)
{
var file = Path.Combine(Path.GetDirectoryName(path), $"{Path.GetFileNameWithoutExtension(path)}.{name}.json");
if (File.Exists(file))
{
return(JsonConvert.DeserializeObject <List <T> >(QBHelper.ReadOnlyAllText(file)));
}
return(new List <T>());
}
public static OrderAgentInfo Load()
{
var settingsFile = GetSettingsFile();
if (File.Exists(settingsFile))
{
return(JsonConvert.DeserializeObject <OrderAgentInfo>(QBHelper.ReadOnlyAllText(settingsFile)));
}
return(new OrderAgentInfo());
}
public static XProviderSettings Load(string path)
{
if (File.Exists(path))
{
var settings = JsonConvert.DeserializeObject <XProviderSettings>(QBHelper.ReadOnlyAllText(path));
settings.Users = LoadItems <UserInfo>(path, nameof(Users));
settings.Servers = LoadItems <ServerInfo>(path, nameof(Servers));
settings.Connections = LoadItems <ConnectionInfo>(path, nameof(Connections));
settings.SessionTimes = LoadItems <TimeRange>(path, nameof(SessionTimes));
return(settings);
}
return(null);
}
private void LoadTimeRange()
{
try {
var file = GetTimeRangeDataFile();
if (File.Exists(file))
{
var manager = new TradingTimeManager();
manager.Load(JsonConvert.DeserializeObject <string[][]>(QBHelper.ReadOnlyAllText(file)));
TimeManager = manager;
}
}
catch (Exception e) {
Logger.Warn($@"LoadTimeRange [{e}]");
}
}
private void SendInstrumentDefinition(InstrumentDefinitionRequest request, Instrument[] insts)
{
try {
var data = QBHelper.FilterInstrument(request, insts);
var definition = new InstrumentDefinition();
definition.Instruments = data;
definition.ProviderId = Id;
definition.RequestId = request.Id;
definition.TotalNum = data.Length;
EmitInstrumentDefinition(definition);
EmitInstrumentDefinitionEnd(request.Id, RequestResult.Completed, string.Empty);
}
catch (Exception ex) {
CancelInstrumentRequest(request, ex.Message);
}
}
private void LoadTimeRange(string file = null)
{
file = file ?? GetTimeRangeDataFile();
if (!File.Exists(file))
{
return;
}
var content = QBHelper.ReadOnlyAllText(file);
try {
var manager = new TradingTimeManager();
manager.Load(JsonConvert.DeserializeObject <string[][]>(content));
TimeManager = manager;
}
catch (Exception e) {
Logger.Warn($"LoadTimeRange [{e.Message}]");
}
}
/// <summary>
/// 把 count 个 Bar 合并成一个新的 Bar
/// </summary>
/// <param name="series"></param>
/// <param name="inst"></param>
/// <param name="count"></param>
/// <returns></returns>
public static BarSeries MergeCompress(this BarSeries series, Instrument inst, long count)
{
if (series.Count == 0 || count < 2)
{
return(new BarSeries());
}
var selector = new TimeRangeSelector(inst);
var emitOnClose = true;
var bar = series[0];
if (bar.Size >= QuantBoxConst.DayBarSize)
{
emitOnClose = false;
}
var bars = new BarSeries();
Bar last = null;
var index = 0;
for (int i = 0; i < series.Count; i++)
{
var range = selector.Get(series[i].DateTime.Date);
if (index == 0)
{
last = series[i];
last.Size *= count;
}
else
{
QBHelper.MergeBar(last, series[i]);
}
++index;
if (index == count || (emitOnClose && series[i].CloseDateTime.TimeOfDay == range.CloseTime))
{
bars.Add(last);
last = null;
index = 0;
continue;
}
}
return(bars);
}
public void ProcessMarketData(DepthMarketDataField field)
{
if (field == null)
{
return;
}
if (_provider.EnableMarketLog)
{
//_provider.Logger.Debug($"{field.InstrumentID},{field.UpdateTime},{field.Bids[0].Price},{field.Bids[0].Size},{field.Asks[0].Price},{field.Asks[0].Size},{field.LastPrice},{field.Volume}.");
_provider.Logger.Debug($"{field.InstrumentID},{field.UpdateTime},{field.LastPrice},{field.Volume}.");
}
_instDictCache.TryGetValue(field.InstrumentID, out var inst);
if (inst == null)
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"unsubscribed tick: {field.InstrumentID}.");
}
return;
}
var instId = inst.Id;
var localTime = DateTime.Now;
var exchangeTime = field.ExchangeDateTime();
if (exchangeTime.Year == DateTime.MaxValue.Year)
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"empty trading time, {field.InstrumentID}");
}
exchangeTime = localTime;
}
else
{
if (_provider.NightTradingTimeCorrection)
{
exchangeTime = QBHelper.CorrectionActionDay(localTime, exchangeTime);
}
}
var time = exchangeTime.TimeOfDay;
if (_provider.MaxTimeDiffExchangeLocal > 0)
{
var diff = Math.Abs((localTime.TimeOfDay - time).TotalMinutes);
if (diff > _provider.MaxTimeDiffExchangeLocal)
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"time diff ={diff},{field.InstrumentID}");
}
return;
}
}
var range = _timeRanges[instId];
if (!_instOpenFlag[instId])
{
if (range.InRange(time))
{
if (_instCloseFlag[instId] && range.IsClose(time))
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"already closed, {field.InstrumentID}.");
}
return;
}
inst.SetMarketData(field);
_instOpenFlag[instId] = true;
_instCloseFlag[instId] = false;
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"market open, {field.InstrumentID}.");
}
}
else
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"market no open, {field.InstrumentID}.");
}
return;
}
}
var last = _marketData[instId];
if (range.IsClose(time) && field.ClosePrice > 0)
{
inst.SetMarketData(field);
_instCloseFlag[instId] = true;
_instOpenFlag[instId] = false;
_marketData[instId] = EmptyMarketData;
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"market close, {field.InstrumentID}.");
}
}
else
{
if (_czceInstFlag[inst.Id])
{
field.ClosePrice = 0;
}
_marketData[instId] = field;
}
if (field.Asks?.Length > 0 && field.Asks[0].Size > 0)
{
#if Compatibility
var ask = OpenQuant.Helper.NewTick <Ask>(localTime, exchangeTime, _provider.Id, instId, field.Asks[0].Price, field.Asks[0].Size);
#else
var ask = new Ask(localTime, exchangeTime, _provider.Id, instId, field.Asks[0].Price, field.Asks[0].Size);
#endif
_provider.ProcessMarketData(ask);
}
if (field.Bids?.Length > 0 && field.Bids[0].Size > 0)
{
#if Compatibility
var bid = OpenQuant.Helper.NewTick <Bid>(localTime, exchangeTime, _provider.Id, instId, field.Bids[0].Price, field.Bids[0].Size);
#else
var bid = new Bid(localTime, exchangeTime, _provider.Id, instId, field.Bids[0].Price, field.Bids[0].Size);
#endif
_provider.ProcessMarketData(bid);
}
if (!(field.LastPrice > double.Epsilon))
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"empty price, {field.InstrumentID}.");
}
return;
}
var size = _provider.VolumeIsAccumulated ? field.Volume - last.Volume : field.Volume;
if (_provider.DiscardEmptyTrade &&
_provider.VolumeIsAccumulated &&
Math.Abs(size) < double.Epsilon &&
_instOpenFlag[instId])
{
if (_provider.EnableMarketLog)
{
_provider.Logger.Debug($"empty trade, {field.InstrumentID}.");
}
return;
}
#if Compatibility
var trade = OpenQuant.Helper.NewTick <Trade>(localTime, exchangeTime, _provider.Id, instId, field.LastPrice, size);
#else
var trade = new Trade(localTime, exchangeTime, _provider.Id, instId, field.LastPrice, (int)size);
#endif
var turnover = double.NaN;
if (_provider.VolumeIsAccumulated)
{
if (field.Turnover > last.Turnover)
{
turnover = field.Turnover - last.Turnover;
}
else
{
turnover = (field.Turnover / field.Volume) * size;
}
}
else
{
turnover = field.Turnover;
}
if (!_czceInstFlag[instId])
{
turnover /= inst.Factor;
}
trade.SetMarketData(field);
trade.SetMarketData(turnover, field.OpenInterest);
_provider.ProcessMarketData(trade);
}
private static string GetSettingsFile()
{
return(QBHelper.GetConfigPath("orderagent"));
}
protected internal virtual void SaveSettings()
{
Settings?.Save(QBHelper.GetConfigPath(GetSettingsFileName()));
}
static XProvider()
{
QBHelper.InitNLog();
AppDomain.CurrentDomain.AssemblyResolve += CurrentDomainOnAssemblyResolve;
}
static XProvider()
{
QBHelper.InitNLog();
AssemblyResolver.AddPath(QBHelper.BasePath);
}