private void EmitNewQuoteEvent(IFIXInstrument instrument, SmartQuant.Data.Quote quote)
{
if (quote == null)
{
return;
}
if (instrument == null)
{
throw new ArgumentException("合约不存在,请检查是否创建了合约");
}
// 本想把这行代码放在构造函数中的，结果发现有问题
// 在QuoteMonitor中可以看到价差，但在策略中并不会触发相应的事件
var NewQuoteDelegate = (MulticastDelegate)NewQuoteField.GetValue(marketDataProvider);
foreach (Delegate dlg in NewQuoteDelegate.GetInvocationList())
{
dlg.Method.Invoke(dlg.Target, new object[] { marketDataProvider, new QuoteEventArgs(quote, instrument, marketDataProvider) });
}
if (factory != null)
{
factory.OnNewQuote(instrument, quote);
}
}
public void EmitHistoricalQuote(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double bid, int bidSize, double ask, int askSize)
{
if (this.NewHistoricalQuote != null)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(datetime, bid, bidSize, ask, askSize);
HistoricalQuoteEventArgs args = new HistoricalQuoteEventArgs(quote, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalQuote(this, args);
}
}
public SmartQuant.Data.Quote FilterQuote(SmartQuant.Data.Quote quote, string symbol)
{
Quote quote2 = this.oqFilter.FilterQuote(new Quote(quote), symbol);
if (quote2 == null)
{
return(null);
}
return(quote2.quote);
}
public void EmitQuote(string instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize)
{
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewQuoteEvent(inst, quote);
}
public void EmitQuote(string instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize)
{
ProviderId = providerId
};
SmartQuant.Instruments.Instrument inst = SmartQuant.Instruments.InstrumentManager.Instruments[instrument];
EmitNewQuoteEvent(inst, quote);
}
public void EmitQuote(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize);
quote.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
}
if (quote == null)
{
return;
}
if (this.NewQuote != null)
{
this.NewQuote(this, new QuoteEventArgs(quote, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewQuote(instrument.instrument, quote);
}
}
internal Quote(SmartQuant.Data.Quote quote)
{
this.quote = quote;
}
public Quote(DateTime dateTime, double bid, int bidSize, double ask, int askSize)
{
this.quote = new SmartQuant.Data.Quote(dateTime, bid, bidSize, ask, askSize);
}
internal Quote(SmartQuant.Data.Quote quote)
{
this.quote = quote;
}
public Quote(DateTime dateTime, double bid, int bidSize, double ask, int askSize)
{
this.quote = new SmartQuant.Data.Quote(dateTime, bid, bidSize, ask, askSize);
}
public void EmitHistoricalQuote(global::OpenQuant.API.HistoricalDataRequest request, DateTime datetime, double bid, int bidSize, double ask, int askSize)
{
if (this.NewHistoricalQuote != null)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(datetime, bid, bidSize, ask, askSize);
HistoricalQuoteEventArgs args = new HistoricalQuoteEventArgs(quote, request.request.RequestId, request.request.Instrument, this, 0);
this.NewHistoricalQuote(this, args);
}
}
public void EmitQuote(global::OpenQuant.API.Instrument instrument, DateTime time, byte providerId, double bid, int bidSize, double ask, int askSize)
{
SmartQuant.Data.Quote quote = new SmartQuant.Data.Quote(time, bid, bidSize, ask, askSize);
quote.ProviderId = providerId;
if (this.MarketDataFilter != null)
{
quote = this.MarketDataFilter.FilterQuote(quote, instrument.Symbol);
}
if (quote == null)
{
return;
}
if (this.NewQuote != null)
{
this.NewQuote(this, new QuoteEventArgs(quote, instrument.instrument, this));
}
if (this.barFactory != null)
{
this.barFactory.OnNewQuote(instrument.instrument, quote);
}
}
public object Convert(SmartQuant.Data.Quote quote)
{
return(new Quote(quote));
}
