public PositionViewItem(Position position)
: base(new string[4])
{
this.Position = position;
this.SubItems[0].Text = position.Instrument.Symbol;
this.Update();
}
public virtual double GetPrice(Position position)
{
Trade trade = this.framework.DataManager.GetTrade(position.instrument);
if (trade != null)
{
return trade.price;
}
return 0.0;
}
protected override void OnPositionOpened(SmartQuant.Position position)
{
// 止损条件
// 1、亏损固定点数
// 2、亏损当前价格的百分比
//StopEx stop = new StopEx(this, position, 0.01, StopType.Trailing, StopMode.Percent, StopIndicator.Value);
//stop.TraceOnBar = false;
//stop.TraceOnTrade = true;
//AddStop(stop);
}
public Stop(Strategy strategy, Position position, DateTime time)
{
this.strategy = strategy;
this.position = position;
this.instrument = position.instrument;
this.qty = position.qty;
this.side = position.Side;
this.type = StopType.Time;
this.creationTime = strategy.framework.Clock.DateTime;
this.completionTime = time;
this.stopPrice = this.GetInstrumentPrice();
if (this.completionTime > this.creationTime)
{
strategy.framework.Clock.AddReminder(new Reminder(new ReminderCallback(this.OnClock), this.completionTime, null));
}
}
public Stop(Strategy strategy, Position position, double level, StopType type, StopMode mode)
{
this.strategy = strategy;
this.position = position;
this.instrument = position.instrument;
this.qty = position.qty;
this.side = position.Side;
this.level = level;
this.type = type;
this.mode = mode;
this.currPrice = this.GetInstrumentPrice();
this.trailPrice = this.currPrice;
this.stopPrice = this.GetStopPrice();
this.creationTime = strategy.framework.Clock.DateTime;
this.completionTime = DateTime.MinValue;
this.Connect();
}
public void QtyToNet(Instrument instrument, double NetQty, Portfolio Net)
{
double Qty = 0;
SmartQuant.Position p = Net.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = NetQty - Qty;
if (diff > 0)
{
Net.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, diff, 0, "Initial Position"));
}
else if (diff < 0)
{
Net.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, -diff, 0, "Initial Position"));
}
}
public void QtyToLongShort(Instrument instrument, double LongQty, double ShortQty, Portfolio Long, Portfolio Short)
{
{
double Qty = 0;
SmartQuant.Position p = Long.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = LongQty - Qty;
if (diff > 0)
{
Long.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, diff, 0, "Initial Long Position"));
}
else if (diff < 0)
{
Long.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, -diff, 0, "Initial Long Position"));
}
}
{
double Qty = 0;
SmartQuant.Position p = Short.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = ShortQty - Qty;
if (diff > 0)
{
Short.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, diff, 0, "Initial Short Position"));
}
else if (diff < 0)
{
Short.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, -diff, 0, "Initial Short Position"));
}
}
}
internal virtual void OnPositionClosed_(Position position)
{
if (this.raiseEvents && position.portfolio == this.portfolio)
{
this.OnPositionClosed(position);
List<Stop> list = this.stopsByInstrument[position.instrument.Id];
if (list != null)
{
for (int i = 0; i < list.Count; i++)
{
if (list[i].position == position)
{
list[i].Cancel();
}
}
}
}
for (LinkedListNode<Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnPositionClosed_(position);
}
}
protected internal virtual void OnPositionClosed(Position position)
{
}
internal virtual void OnPositionChanged_(Position position)
{
if (this.raiseEvents && position.portfolio == this.portfolio)
{
this.OnPositionChanged(position);
}
for (LinkedListNode<Strategy> linkedListNode = this.strategies.First; linkedListNode != null; linkedListNode = linkedListNode.Next)
{
linkedListNode.Data.OnPositionChanged_(position);
}
}
protected internal virtual void OnPositionOpened(Position position)
{
}
public void UpdatePosition(Position position)
{
this.PositionViewItems[position].Update();
}
public StopEx(SmartQuant.Strategy strategy, SmartQuant.Position position, double level, StopType type, StopMode mode, StopIndicator stopIndicator)
: base(strategy, position, level, type, mode)
{
this.indicator = stopIndicator;
}
internal void OnPositionChanged(Portfolio portfolio, Position position)
{
this.OnEvent(new OnPositionChanged(portfolio, position));
}
public virtual void OnPositionClosed(Position position)
{
}
public virtual void OnPositionOpened(Position position)
{
}
public virtual void OnPositionChanged(Position position)
{
}
public void AddPosition(Position position)
{
PositionViewItem positionViewItem = new PositionViewItem(position);
this.PositionViewItems.Add(position, positionViewItem);
this.ltvPositions.Items.Insert(0, (ListViewItem) positionViewItem);
}
public void RemovePosition(Position position)
{
this.PositionViewItems[position].Remove();
this.PositionViewItems.Remove(position);
}
public void Add(Fill fill)
{
this.fills.Add(fill);
Instrument instrument = fill.instrument;
bool flag = false;
Position position = this.positionByInstrument[instrument.Id];
if (position == null)
{
position = new Position(this, instrument);
this.positionByInstrument[instrument.Id] = position;
this.positions.Add(position);
flag = true;
}
if (position.qty == 0.0)
{
flag = true;
}
position.Add(fill);
this.account.Add(fill);
if (flag)
{
this.framework.eventServer.OnPositionOpened(this, position);
this.framework.eventServer.OnPositionChanged(this, position);
}
else
{
this.framework.eventServer.OnPositionChanged(this, position);
if (position.qty == 0.0)
{
this.framework.eventServer.OnPositionClosed(this, position);
}
}
this.framework.eventServer.OnFill(this, fill);
if (this.parent != null)
{
this.parent.Add(fill);
}
this.statistics.Add(fill);
}
protected internal override void OnPositionChanged(Position position)
{
this.positionComponent.OnPositionChanged(position);
this.riskComponent.OnPositionChanged(position);
}
public void OnPositionOpened(Portfolio portfolio, Position position)
{
this.OnEvent(new OnPositionOpened(portfolio, position));
}
public StopEx(SmartQuant.Strategy strategy, SmartQuant.Position position, DateTime time)
: base(strategy, position, time)
{
}
internal override void OnPositionClosed_(Position position)
{
if (position.portfolio == this.portfolio)
{
this.OnPositionClosed(position);
return;
}
foreach (Strategy current in this.strategies)
{
current.OnPositionClosed_(position);
}
}
internal void OnPositionOpened(Portfolio portfolio, Position position)
{
if (this.strategy != null && this.strategy.status == StrategyStatus.Running)
{
this.strategy.OnPositionOpened_(position);
}
}
public PositionEventArgs(Portfolio portfolio, Position position)
: base(portfolio)
{
this.Position = position;
}
internal void OnPositionClosed(Position position)
{
if (this.position == position)
{
this.Disconnect();
this.Complete(StopStatus.Canceled);
}
}
public OnPositionClosed(Portfolio portfolio, Position position)
{
this.portfolio = portfolio;
this.position = position;
}
private void CellEndEdit(SmartQuant.Portfolio pf, SmartQuant.Position pos)
{
double price = GetCellDouble(this.treeGridView1.Rows[this.treeGridView1.CurrentCell.RowIndex].Cells[IDX_EntryPrice]);
DateTime dateTime = GetCellDateTime(this.treeGridView1.Rows[this.treeGridView1.CurrentCell.RowIndex].Cells[IDX_EntryDate]);
switch (this.treeGridView1.CurrentCell.ColumnIndex)
{
case IDX_AccountValue:
{
double new_data = GetCellDouble(this.treeGridView1.CurrentCell);
PortfolioHelper.AddAccountValue(framework, pf, dateTime,
pf.Account.CurrencyId, pf.AccountValue, new_data, "TreeGridView");
}
break;
case IDX_Short:
{
if (pos == null)
{
Console.WriteLine("Error:Position == null");
return;
}
double new_data = GetCellDouble(this.treeGridView1.CurrentCell);
if (new_data < 0)
{
Console.WriteLine("Error:Short must >0");
return;
}
PortfolioHelper.AddShortPosition(framework, pf, dateTime,
pos.Instrument, pos.Instrument.CurrencyId,
pos.ShortPositionQty, new_data, price, "TreeGridView");
}
break;
case IDX_Long:
{
if (pos == null)
{
Console.WriteLine("Error:Position == null");
return;
}
double new_data = GetCellDouble(this.treeGridView1.CurrentCell);
if (new_data < 0)
{
Console.WriteLine("Error:Long must >0");
return;
}
PortfolioHelper.AddLongPosition(framework, pf, dateTime,
pos.Instrument, pos.Instrument.CurrencyId,
pos.LongPositionQty, new_data, price, "TreeGridView");
}
break;
case IDX_Symbol:
{
string new_data = this.treeGridView1.CurrentCell.Value.ToString();
if (string.IsNullOrWhiteSpace(new_data))
{
Console.WriteLine("Error:Symbol is empty");
return;
}
var inst = framework.InstrumentManager.Instruments[new_data];
if (inst == null)
{
Console.WriteLine("Error:Instrument is not exists");
return;
}
pos = pf.GetPosition(inst);
if (pos != null)
{
Console.WriteLine("Error:Position is exists");
return;
}
PortfolioHelper.AddPosition2(framework, pf, dateTime,
inst, inst.CurrencyId, OrderSide.Buy, SubSide.Undefined, 0, price, "TreeGridView");
}
break;
default:
return;
}
}