internal DataSeriesObject(IDataSeries series, DateTime dateTime1, DateTime dateTime2, EventQueue queue, DataProcessor processor)
 {
     this.series = series;
     eventQueue = queue;
     if (processor == null)
     {
         this.processor = new DataProcessor();
     }
     else
     {
         this.processor = processor;
     }
     if (!(dateTime1 == DateTime.MinValue) && (dateTime1 >= series.DateTime1))
     {
         index1 = series.GetIndex(dateTime1, SearchOption.Next);
     }
     else
     {
         index1 = 0L;
     }
     if (!(dateTime2 == DateTime.MaxValue) && (dateTime2 <= series.DateTime2))
     {
         index2 = series.GetIndex(dateTime2);
     }
     else
     {
         index2 = series.Count - 1L;
     }
     current = index1;
     progressDelta = (int)Math.Ceiling(Count() / 100.0);
     progressCount = progressDelta;
     progressPercent = 0;
 }
Пример #2
0
		public void Attach(EventBus bus)
		{
			EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
			eventQueue.name = "attached";
			eventQueue.Enqueue(new OnQueueOpened());
			bus.dataPipe.Add(eventQueue);
			this.attached[this.attached_count++] = eventQueue;
		}
Пример #3
0
		protected override void OnConnected()
		{
			if (this.series.Count != 0)
			{
				foreach (DataSeries current in this.series)
				{
					EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
					eventQueue.name = current.name;
					eventQueue.Enqueue(new OnQueueOpened());
					this.framework.eventBus.dataPipe.Add(eventQueue);
					if (this.seriesObjects.Count == 0)
					{
						eventQueue.Enqueue(new OnSimulatorStart());
					}
					this.seriesObjects.Add(new DataSeriesObject(current, this.dateTime1, this.dateTime2, eventQueue));
				}
			}
		}
        void ThreadRun()
        {
            Console.WriteLine(string.Join(" ", DateTime.Now, _thread.Name, @"started"));
            if (!IsConnected) {
                Connect();
            }
            EventQueue queue = new EventQueue(1, 0, 2, 10) {
                IsSynched = true
            };
            queue.Enqueue(new OnQueueOpened(queue));
            queue.Enqueue(new OnSimulatorStart(DateTime1, DateTime2, 0L));
            queue.Enqueue(new OnQueueClosed(queue));
            framework.EventBus.DataPipe.Add(queue);
            _isExiting = false;
            while (!_isExiting) {
                var currentNode = _dataSeries.First;
                SmartQuant.LinkedListNode<DataSeriesObject> prevNode = null;

                while (currentNode != null) {
                    var serie = currentNode.Data;
                    if (!serie.endOfSeries)
                    {
                        serie.Enqueue();
                        prevNode = currentNode;
                    }
                    else {
                        if (prevNode == null) {
                            _dataSeries.First = currentNode.Next;
                        }
                        else {
                            prevNode.Next = currentNode.Next;
                        }
                        _dataSeries.Count--;
                        serie.eventQueue.Enqueue(new OnQueueClosed(serie.eventQueue));
                    }
                    currentNode = currentNode.Next;
                }
            }
            _isExiting = false;
            _isRunning = false;
            Console.WriteLine(string.Join(" ", DateTime.Now, _thread.Name, @"stopped"));
        }
Пример #5
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		public Event Read()
		{
			if (this.synch)
			{
				DateTime t = DateTime.MaxValue;
				LinkedListNode<IEventQueue> linkedListNode = this.queues.First;
				LinkedListNode<IEventQueue> linkedListNode2 = null;
				LinkedListNode<IEventQueue> linkedListNode3 = null;
				while (linkedListNode != null)
				{
					Event @event = linkedListNode.Data.Peek();
					if (@event.TypeId == 206)
					{
						if (linkedListNode2 == null)
						{
							this.queues.First = linkedListNode.Next;
						}
						else
						{
							linkedListNode2.Next = linkedListNode.Next;
						}
						this.queues.Count--;
						if (this.queues.Count == 0 && this.framework.Mode == FrameworkMode.Simulation && linkedListNode.Data.Name != "Simulator stop queue")
						{
							EventQueue eventQueue = new EventQueue(1, 0, 2, 10);
							eventQueue.name = "Simulator stop queue";
							eventQueue.Enqueue(new OnQueueOpened());
							eventQueue.Enqueue(new OnSimulatorStop());
							eventQueue.Enqueue(new OnQueueClosed());
							this.Add(eventQueue);
						}
						linkedListNode3 = linkedListNode;
						break;
					}
					DateTime dateTime = @event.dateTime;
					if (dateTime <= t)
					{
						linkedListNode3 = linkedListNode;
						t = dateTime;
					}
					linkedListNode2 = linkedListNode;
					linkedListNode = linkedListNode.Next;
				}
				return linkedListNode3.Data.Read();
			}
			LinkedListNode<IEventQueue> linkedListNode4 = this.queues.First;
			LinkedListNode<IEventQueue> linkedListNode5 = null;
			while (linkedListNode4 != null)
			{
				if (!linkedListNode4.Data.IsEmpty())
				{
					Event event2 = linkedListNode4.Data.Read();
					if (event2.TypeId == 206)
					{
						if (linkedListNode5 == null)
						{
							this.queues.First = linkedListNode4.Next;
						}
						else
						{
							linkedListNode5.Next = linkedListNode4.Next;
						}
						this.queues.Count--;
					}
					return event2;
				}
				linkedListNode5 = linkedListNode4;
				linkedListNode4 = linkedListNode4.Next;
			}
			return null;
		}
Пример #6
0
 public OnQueueOpened(EventQueue queue)
 {
     this.DateTime = DateTime.MinValue;
     this.queue    = queue;
 }
Пример #7
0
        private void Subscribe_(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
        {
            if (this.series.Count != 0)
            {
                return;
            }
            Console.WriteLine(DateTime.Now + " DataSimulator::Subscribe " + instrument.symbol);
            DataSeries dataSeries = this.framework.DataManager.GetSeries(instrument, 4);

            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.name = instrument + " trade";
                eventQueue.Enqueue(new OnQueueOpened());
                this.framework.eventBus.dataPipe.Add(eventQueue);
                if (this.seriesObjects.Count == 0)
                {
                    eventQueue.Enqueue(new OnSimulatorStart());
                }
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 2);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " bid";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 3);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " ask";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 5);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " quote";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 6);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " bar";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 7);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " level2";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 22);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " fundamental";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
            dataSeries = this.framework.DataManager.GetSeries(instrument, 23);
            if (dataSeries != null)
            {
                EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
                eventQueue.Enqueue(new OnQueueOpened());
                eventQueue.name = instrument + " news";
                this.framework.eventBus.dataPipe.Add(eventQueue);
                this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
            }
        }
Пример #8
0
		private void Subscribe_(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
		{
			if (this.series.Count != 0)
			{
				return;
			}
			Console.WriteLine(DateTime.Now + " DataSimulator::Subscribe " + instrument.symbol);
			DataSeries dataSeries = this.framework.DataManager.GetSeries(instrument, 4);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.name = instrument + " trade";
				eventQueue.Enqueue(new OnQueueOpened());
				this.framework.eventBus.dataPipe.Add(eventQueue);
				if (this.seriesObjects.Count == 0)
				{
					eventQueue.Enqueue(new OnSimulatorStart());
				}
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 2);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " bid";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 3);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " ask";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 5);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " quote";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 6);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " bar";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 7);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " level2";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 22);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " fundamental";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
			dataSeries = this.framework.DataManager.GetSeries(instrument, 23);
			if (dataSeries != null)
			{
				EventQueue eventQueue = new EventQueue(1, 0, 2, 25000);
				eventQueue.Enqueue(new OnQueueOpened());
				eventQueue.name = instrument + " news";
				this.framework.eventBus.dataPipe.Add(eventQueue);
				this.seriesObjects.Add(new DataSeriesObject(dataSeries, dateTime1, dateTime2, eventQueue));
			}
		}
Пример #9
0
 protected virtual void OnConnected()
 {
     if (this is IDataProvider)
     {
         this.dataQueue = new EventQueue(1, 0, 2, 25000);
         this.dataQueue.Enqueue(new OnQueueOpened());
         this.dataQueue.name = this.name + " data queue";
         this.framework.eventBus.dataPipe.Add(this.dataQueue);
     }
     if (this is IExecutionProvider)
     {
         this.executionQueue = new EventQueue(2, 0, 2, 25000);
         this.executionQueue.Enqueue(new OnQueueOpened());
         this.executionQueue.name = this.name + " execution queue";
         this.framework.eventBus.executionPipe.Add(this.executionQueue);
     }
 }
Пример #10
0
 private void OpenInstrumentQueue()
 {
     if (this.instrumentQueue == null)
     {
         this.instrumentQueue = new EventQueue(0, 0, 2, 1000);
         this.instrumentQueue.name = this.name + " instrument queue";
         this.instrumentQueue.Enqueue(new OnQueueOpened());
         this.framework.eventBus.servicePipe.Add(this.instrumentQueue);
     }
 }
Пример #11
0
 private void OpenHistoricalDataQueue()
 {
     if (this.historicalQueue == null)
     {
         this.historicalQueue = new EventQueue(0, 0, 2, 1000);
         this.historicalQueue.name = this.name + " historical queue";
         this.historicalQueue.Enqueue(new OnQueueOpened());
         this.framework.eventBus.servicePipe.Add(this.historicalQueue);
     }
 }
Пример #12
0
 private void CloseInstrumentQueue()
 {
     if (this.instrumentQueue != null)
     {
         this.instrumentQueue.Enqueue(new OnQueueClosed());
         this.instrumentQueue = null;
     }
 }
Пример #13
0
 private void CloseHistoricalDataQueue()
 {
     if (this.historicalQueue != null)
     {
         this.historicalQueue.Enqueue(new OnQueueClosed());
         this.historicalQueue = null;
     }
 }
Пример #14
0
 protected virtual void OnDisconnected()
 {
     if (this is IDataProvider)
     {
         this.dataQueue.Enqueue(new OnQueueClosed());
         this.dataQueue = null;
     }
     if (this is IExecutionProvider)
     {
         this.executionQueue.Enqueue(new OnQueueClosed());
         this.executionQueue = null;
     }
 }
Пример #15
0
 public OnQueueOpened(EventQueue queue)
 {
     this.DateTime = DateTime.MinValue;
     this.queue = queue;
 }
        //void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
        //{
        //    Console.WriteLine("{0} {1}::Subscribe {2}", DateTime.Now, this.Name, instrument.Symbol);
        //    var info = new SubscribeInfo();
        //    info.DatePath = Path.Combine(DataPath, instrument.Symbol);
        //    info.DateTime1 = dateTime1;
        //    info.DateTime2 = dateTime2;
        //    info.InstrumentId = instrument.Id;
        //    info.SubscribeBidAsk = SubscribeBid && SubscribeAsk;
        //    info.SubscribeTrade = SubscribeTrade;

        //    var queue = new EventQueue(1, 0, 2, 0x61a8) {
        //        IsSynched = true
        //    };
        //    queue.Enqueue(new OnQueueOpened(queue));
        //    framework.EventBus.DataPipe.Add(queue);
        //    _dataSeries.Add(new DataSeriesObject(info, queue));
        //}

        void Subscribe(Instrument instrument, DateTime dateTime1, DateTime dateTime2)
        {
            Console.WriteLine("{0} {1}::Subscribe {2}", DateTime.Now, this.Name, instrument.Symbol);

            // 在这里一开始就加载完,需要一点时间,后期考虑将数据与回测结合起来使用
            ProtobufDataZeroReader reader = new ProtobufDataZeroReader();

            reader.DataPath_Instrument = DataPath_Instrument;
            reader.DataPath_Realtime = DataPath_Realtime;

            reader.SubscribeExternData = SubscribeExternData;
            reader.SubscribeAsk = SubscribeAsk;
            reader.SubscribeBid = SubscribeBid;

            reader.GetDataSeries(instrument, dateTime1, dateTime2);
            IDataSeries Trades = null;
            IDataSeries Bids = null;
            IDataSeries Asks = null;

            if(SubscribeTrade || SubscribeBid || SubscribeAsk)
            {
                reader.OutputSeries(out Trades, out Bids, out Asks);
            }

            if (SubscribeTrade && Trades != null && Trades.Count > 0)
            {
                var queue = new EventQueue(1, 0, 2, 0x61a8)
                {
                    IsSynched = true
                };
                queue.Enqueue(new OnQueueOpened(queue));
                framework.EventBus.DataPipe.Add(queue);
                _dataSeries.Add(new DataSeriesObject(Trades, dateTime1, dateTime2, queue, this.Processor));
            }
            if (SubscribeBid && Bids != null && Bids.Count > 0)
            {
                var queue = new EventQueue(1, 0, 2, 0x61a8)
                {
                    IsSynched = true
                };
                queue.Enqueue(new OnQueueOpened(queue));
                framework.EventBus.DataPipe.Add(queue);
                _dataSeries.Add(new DataSeriesObject(Bids, dateTime1, dateTime2, queue, this.Processor));
            }
            if (SubscribeAsk && Asks != null && Asks.Count > 0)
            {
                var queue = new EventQueue(1, 0, 2, 0x61a8)
                {
                    IsSynched = true
                };
                queue.Enqueue(new OnQueueOpened(queue));
                framework.EventBus.DataPipe.Add(queue);
                _dataSeries.Add(new DataSeriesObject(Asks, dateTime1, dateTime2, queue, this.Processor));
            }
        }
 public DataSeriesObject_bak(SubscribeInfo info, EventQueue queue)
 {
     EventQueue = queue;
     _info = info;
     Init();
 }