public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer();
OptimizationUniverse universe = new OptimizationUniverse();
for (int length1 = 2; length1 < 14; length1++)
{
for (int length2 = length1 + 1; length2 < 28; length2++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Length1", length1);
parameter.Add("Length2", length2);
parameter.Add("Bar", (long)60);
universe.Add(parameter);
}
}
strategy = new SMACrossover(framework, "strategy ");
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
InstrumentList instruments = new InstrumentList();
instruments.Add(instrument1);
instruments.Add(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
optimizer.Optimize(strategy, instruments, universe, 100);
}
public void LoadTest()
{
InstrumentList instruments = new InstrumentList();
instruments.Load();
Assert.AreEqual(6, instruments.Count);
}
void Delete()
{
if (CurrentInstrument != null && InstrumentList.Contains(CurrentInstrument))
{
InstrumentList.Remove(CurrentInstrument);
}
}
public override IEnumerable <Quote> GetQuoteList(string accountId, string mode)
{
//This need to be changed to PRICE API
//TODO *******************************************************
List <TDMData> instrList = null;
List <Quote> result = new List <Quote>();
Quote q = null;
string[] tickerList = this.GetTickerList();
for (int i = 0; i < tickerList.Length; i++)
{
instrList = GetInstrumentList(tickerList[i]);
if (instrList == null)
{
instrList = GetSymbolPriceList(tickerList[i], (DateTime.Now.AddDays(-5)));
InstrumentList.Add(tickerList[i], instrList);
}
q = new Quote();
q.Symbol = tickerList[i];
if (mode == Constants.OrderAction.BUY)
{
q.LastBuyTradePrice = GetCurrentBuyPrice(q.Symbol);
}
else if (mode == Constants.OrderAction.SELL)
{
q.LastSellTradePrice = GetCurrentSellPrice(q.Symbol);
}
result.Add(q);
}
return(result);
}
public void UpdateTest()
{
//Load up Guids
PerformerList performers = new PerformerList();
Performer performer = new Performer();
performers.Load();
performer = performers.FirstOrDefault(p => p.FirstName == "Hunter");
GroupList groups = new GroupList();
Group group = new Group();
groups.Load();
group = groups.FirstOrDefault(c => c.Name == "Jazz Ensemble");
InstrumentList instruments = new InstrumentList();
Instrument instrument = new Instrument();
instruments.Load();
instrument = instruments.FirstOrDefault(c => c.Description == "Euphonium");
GroupMember groupMember = new GroupMember();
GroupMemberList groupMembers = new GroupMemberList();
groupMembers.Load();
groupMember = groupMembers.FirstOrDefault(p => p.GroupId == group.Id && p.PerformerId == performer.Id);
groupMember.StartDate = Convert.ToDateTime("04/24/3000");
groupMember.EndDate = Convert.ToDateTime("04/25/3000");
groupMember.Instrument = instrument.Id;
int results = groupMember.Update();
Assert.IsTrue(results == 1);
}
private void ctxPanel_Remove_Click(object sender, EventArgs e)
{
InstrumentList instrumentList = new InstrumentList();
foreach (InstrumentRow instrumentRow in (BaseCollection)this.dgvPanel.SelectedRows)
{
instrumentList.Add(instrumentRow.Instrument);
}
if (((FIXGroupList)instrumentList).Count <= 0 || MessageBox.Show("Do you want to remove selected instruments?", "Remove", MessageBoxButtons.YesNo, MessageBoxIcon.Question) != DialogResult.Yes)
{
return;
}
IEnumerator enumerator = ((FIXGroupList)instrumentList).GetEnumerator();
try
{
while (enumerator.MoveNext())
{
this.RemoveInstrument((Instrument)enumerator.Current);
}
}
finally
{
IDisposable disposable = enumerator as IDisposable;
if (disposable != null)
{
disposable.Dispose();
}
}
}
public void Update()
{
InstrumentList instruments = new InstrumentList();
instruments.Load();
Instrument instrument = instruments.FirstOrDefault(ct => ct.Description == "SLTEST");
Instrument retrievedInstrument = new Instrument();
if (instrument != null)
{
retrievedInstrument.Id = instrument.Id;
instrument.Description = "SLTEST1";
//Act
HttpClient client = InitializeClient();
//Serialize a question object that we're trying to insert
string serializedInstrument = JsonConvert.SerializeObject(instrument);
var content = new StringContent(serializedInstrument);
content.Headers.ContentType = new System.Net.Http.Headers.MediaTypeHeaderValue("application/json");
HttpResponseMessage response = client.PutAsync("Instrument/" + instrument.Id, content).Result;
retrievedInstrument.LoadById();
}
//Assert
Assert.AreEqual(instrument.Description, retrievedInstrument.Description);
}
public override void Subscribe(InstrumentList instruments)
{
foreach (var item in instruments)
{
Subscribe(item);
}
}
protected StrategyBase(string name, string description)
{
this.metaStrategyBase = null;
this.name = name;
this.description = description;
this.isEnabled = true;
this.isActive = true;
this.ReportManager = (StrategyComponentManager.GetComponent("{5E7810DC-C9C1-427f-8CD9-1DFFE26E59B5}", this) as ReportManager);
this.MarketManager = (StrategyComponentManager.GetComponent("{849E4CFE-C19E-4d1e-899D-0BB26DB12AAD}", this) as MarketManager);
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
{
this.portfolio = new Portfolio(name);
}
this.tester = new LiveTester(this.portfolio);
this.stops = new StopList();
this.triggers = new TriggerList();
this.marketDataProvider = null;
this.executionProvider = null;
this.newsProvider = null;
this.executionService = null;
this.orders = new OrderTable();
this.global = new Hashtable();
this.activeInstruments = new InstrumentList();
this.barSliceManager = new BarSliceManager();
this.componentTypeList = new List <ComponentType>();
this.componentTypeList.Add(ComponentType.MarketManager);
this.componentTypeList.Add(ComponentType.ReportManager);
this.activeStops = new Dictionary <Instrument, List <StopBase> >();
this.portfolios = new Dictionary <Instrument, Portfolio>();
this.testers = new Dictionary <Instrument, LiveTester>();
this.statisticsPerInstrumentEnabled = false;
}
protected override void OnSubscribe(InstrumentList instruments)
{
// Get size of bar.
barSize = (long)Global[barSizeCode];
// Get roll info.
rollInfo = (List <RollInfo>)Global[rollInfoCode];
// Get root instrument.
rootInstrument = instruments.GetByIndex(0);
// Get current futures contract.
currentFuturesContract = rootInstrument.Legs[legIndex].Instrument;
// Add current futures contract to bar factory.
BarFactory.Add(currentFuturesContract, BarType.Time, barSize);
// Add current futures contract to strategy.
AddInstrument(currentFuturesContract);
// Add reminder to maturity date and roll time.
AddReminder(rollInfo[legIndex].Maturity.Date + TimeOfRoll);
AddGroups();
}
public void Insert()
{
//Setup
Instrument instrument = new Instrument
{
Description = "SLTEST"
};
InstrumentList instruments = new InstrumentList();
instruments.Load();
int originalCount = instruments.Count();
//Act
HttpClient client = InitializeClient();
//Serialize a instrument object that we're trying to insert
string serializedInstrument = JsonConvert.SerializeObject(instrument);
var content = new StringContent(serializedInstrument);
content.Headers.ContentType = new System.Net.Http.Headers.MediaTypeHeaderValue("application/json");
HttpResponseMessage response = client.PostAsync("Instrument", content).Result;
//Assert
instruments.Clear();
instruments.Load();
Assert.AreEqual(originalCount + 1, instruments.Count);
}
public void Subscribe(IDataProvider provider, InstrumentList instruments)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
if (!this.subscriptions.ContainsKey((int)provider.Id))
{
this.subscriptions[(int)provider.Id] = new Dictionary<Instrument, int>();
}
if (!this.subscriptions[(int)provider.Id].ContainsKey(byIndex) || this.subscriptions[(int)provider.Id][byIndex] == 0)
{
this.subscriptions[(int)provider.Id][byIndex] = 0;
instrumentList.Add(byIndex);
}
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] + 1;
}
if (instrumentList.Count > 0)
{
provider.Subscribe(instrumentList);
}
}
// GET: api/Instrument
public IEnumerable <Instrument> Get()
{
InstrumentList instruments = new InstrumentList();
instruments.Load();
return(instruments);
}
protected StrategyBase(string name, string description)
{
this.metaStrategyBase = (MetaStrategyBase)null;
this.name = name;
this.description = description;
this.isEnabled = true;
this.isActive = true;
this.ReportManager = StrategyComponentManager.GetComponent("getcom", (object)this) as ReportManager;
this.MarketManager = StrategyComponentManager.GetComponent("getcom", (object)this) as MarketManager;
this.portfolio = PortfolioManager.Portfolios[name];
if (this.portfolio == null)
{
this.portfolio = new Portfolio(name);
}
this.tester = new LiveTester(this.portfolio);
this.stops = new StopList();
this.triggers = new TriggerList();
this.marketDataProvider = (IMarketDataProvider)null;
this.executionProvider = (IExecutionProvider)null;
this.newsProvider = (INewsProvider)null;
this.executionService = (IExecutionService)null;
this.orders = new OrderTable();
this.global = new Hashtable();
this.activeInstruments = new InstrumentList();
this.barSliceManager = new BarSliceManager();
this.componentTypeList = new List <ComponentType>();
this.componentTypeList.Add(ComponentType.MarketManager);
this.componentTypeList.Add(ComponentType.ReportManager);
this.activeStops = new Dictionary <Instrument, List <StopBase> >();
this.portfolios = new Dictionary <Instrument, Portfolio>();
this.testers = new Dictionary <Instrument, LiveTester>();
this.statisticsPerInstrumentEnabled = false;
}
public override object Clone()
{
var p = new AnalyseProject()
{
AnalyseEndTime = AnalyseEndTime,
AnalyseStartTime = AnalyseStartTime,
ProjectStartTime = ProjectStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
DefaultFilterNumber = DefaultFilterNumber,
Fine = Fine,
Grade = Grade,
Memo = Memo,
Name = Name,
TestStepDelayMS = TestStepDelayMS,
Status = Status
};
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
ResultList.ForEach(v => p.ResultList.Add(v.Clone() as IInstrument));
BlockList.ForEach(v => p.BlockList.Add(v.Clone() as IInstrument));
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
PredicateList.ForEach(v => p.PredicateList.Add(v.Clone() as ICondition));
return(p);
}
void LoadFromDB()
{
var connectionStr = ConfigurationManager.ConnectionStrings["MarketDataConnectionString"];
using (var conn = new SqlConnection(connectionStr.ConnectionString))
{
conn.Open();
var rl = conn.Query <Instrument>("Select * from Table_Instruments", new { }, null, true, 60000).ToList();
InstrumentList.Clear();
foreach (var r in rl)
{
r.Ticker = r.Ticker.Trim();
r.Currency = r.Currency.Trim();
r.Industory = r.Industory.Trim();
r.Name = r.Name.Trim();
r.Region = r.Region.Trim();
if (r.Memo != null)
{
r.Memo = r.Memo.Trim();
}
InstrumentList.Add(r);
}
}
ClearChangedFlag();
}
/// <summary>
/// Methord Used to get search List.
/// </summary>
/// <param name="searchString"></param>
private void OnSearchChanged(string searchString)
{
try
{
if (string.IsNullOrWhiteSpace(searchString))
{
//Add Elements of InstrumentList to SearchResults When Search String is Empty.
SearchResults.Clear();
foreach (var security in InstrumentList)
{
SearchResults.Add(security);
}
}
else
{
//Filter InstrumentList according to the Search string and Adds it to SearchResults
SearchResults.Clear();
var temp = new ObservableCollection <Security>(InstrumentList.Where(d => d.Symbol.Contains(searchString)));
foreach (var security in temp)
{
SearchResults.Add(security);
}
}
}
catch (Exception exception)
{
Logger.Error(exception, _oType.FullName, "OnSearchChanged");
}
}
void RefreshResult()
{
ResultList.Clear();
foreach (var condition in ConditionList)
{
var l = condition.GetResult(null, AnalyseEndTime);
foreach (var r in l)
{
var inst = InstrumentList.FirstOrDefault(v => v.Ticker == r.Ticker);
if (inst != null)
{
if (!ResultList.Any(v => v.Ticker == inst.Ticker))
{
ResultList.Add(inst);
}
}
}
}
var rl = new List <IInstrument>();
foreach (var preicate in PredicateList)
{
rl.Clear();
var l = preicate.GetResult(null, AnalyseEndTime);
foreach (var r in l)
{
var inst = InstrumentList.FirstOrDefault(v => v.Ticker == r.Ticker);
rl.Add(inst);
}
ResultList.RemoveAll(v => !rl.Any(r => r.Ticker == v.Ticker));
}
}
public void Add(InstrumentList instruments, BarType barType, long barSize)
{
foreach (Instrument current in instruments)
{
this.Add(current, barType, barSize);
}
}
public override object Clone()
{
var p = new BacktestingProject()
{
Name = Name,
Memo = Memo,
IsUnlimited = IsUnlimited,
AnalyseGrade = AnalyseGrade,
AnalyseStartTime = AnalyseStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
CurrentTradeGate = CurrentTradeGate,
Fine = Fine,
Grade = Grade,
ProjectStartTime = ProjectStartTime,
RiskPolicy = RiskPolicy.Clone() as IRiskControl,
Status = Status,
TargetPortfolio = TargetPortfolio.Clone() as IPortfolio,
TestStrategy = TestStrategy.Clone() as IStrategy,
TestCurrentTime = TestCurrentTime,
TestEndTime = TestEndTime,
TestStartTime = TestStartTime,
TestStepDelayMS = TestStepDelayMS,
};
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
return(p);
}
public override void Subscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.Subscribe(current);
}
}
public TickFilter(Framework framework, InstrumentList insts)
: base(framework)
{
foreach (var inst in insts)
{
_ranges[inst.Id] = TradingCalendar.Instance.GetTimeRange(inst, DateTime.Today);
}
}
void Load(DistributeAnalyse obj)
{
TargetObject = obj;
InstrumentList.Clear();
TargetObject.InstrumentList.ForEach(v => InstrumentList.Add(v));
SectorList.Clear();
TargetObject.SectorList.ForEach(v => SectorList.Add(v));
CurrentDataSource = TargetObject.CurrentDataSource;
}
public void Init()
{
AllInstrumentList.Clear();
InstrumentList.Clear();
Instrument.AllInstrumentList.ForEach(r =>
{
AllInstrumentList.Add(r);
InstrumentList.Add(r);
});
}
public void GenerateResult()
{
var sl = InstrumentList.Except(BlockList).ToList();
if (sl.Count == 0)
{
return;
}
total = sl.Count;
Process(sl);
}
//相邻的三元组
public Dictionary <string, List <Tuple <double, double, double> > > Get3DCurve()
{
var r = new Dictionary <string, List <Tuple <double, double, double> > >();
InstrumentList.ForEach(v =>
{
var l = Get3DCurve(v);
r.Add(v.Name, l);
});
return(r);
}
public void DeleteTest()
{
Instrument instrument = new Instrument();
InstrumentList instruments = new InstrumentList();
instruments.Load();
instrument = instruments.FirstOrDefault(i => i.Description == "Update");
int results = instrument.Delete();
Assert.IsTrue(results == 1);
}
public int SetInstrumentInfo(string s)
{
var l = CommonLib.CommonProc.ConvertStringToObject <List <Instrument> >(s);
if (l == null || l.Count == 0)
{
return(0);
}
InstrumentList.Clear();
l.ForEach(v => InstrumentList.Add(v));
return(l.Count);
}
// Use this for initialization
void Start()
{
backgroundMusic = GetComponent <AudioSource>();
instrumentList = FindObjectOfType <InstrumentList>();
harps = Resources.LoadAll <AudioClip>("Audio/Harp");
flutes = Resources.LoadAll <AudioClip>("Audio/Flute");
horns = Resources.LoadAll <AudioClip>("Audio/Horn");
player = GameObject.FindGameObjectWithTag("Player");
moveScript = player.GetComponent <BardMovement>();
progressBar = FindObjectOfType <ProgressUpdate>();
canvas = GameObject.Find("Canvas");
}
public override void OnQueryInstrument(InstrumentList insts)
{
Console.WriteLine("- OnQueryInstrument:");
for (int i = 0; i < insts.Count; i++)
{
Instrument inst = insts[i];
PrintInstrumentInfo(inst);
//ToDo ...
}
}
void AnalyseStep()
{
InstrumentList.ForEach(v => v.Memo = "");
ConditionList.ForEach(v => v.ClearResult());
foreach (var inst in InstrumentList)
{
foreach (var condition in ConditionList)
{
condition.GenerateResult(inst, AnalyseStartTime, analyseTime, AnalyseGrade);
}
}
}
//得到序列里面所有差值的分布
public Dictionary <string, Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > > > GetDimentionAnalyse(int n = 20)
{
var r = new Dictionary <string, Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > > >();
InstrumentList.ForEach(v =>
{
var l = GetDimentionAnalyse(v, false, n);
var al = GetDimentionAnalyse(v, true, n);
r.Add(v.Name, new Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > >(l, al));
});
return(r);
}
public OptimizationParameterSet Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe, int bunch = -1)
{
this.event_count = 0L;
this.watch.Start();
int num;
if (bunch == -1)
{
num = universe.Count;
}
else
{
num = bunch;
}
int num2 = 0;
while (num2 + num < universe.Count)
{
this.Optimize(strategy, instruments, universe, num2, num);
num2 += num;
}
this.Optimize(strategy, instruments, universe, num2, universe.Count - num2);
int index = 0;
for (int i = 1; i < universe.Count; i++)
{
if (universe[i].Objective > universe[index].Objective)
{
index = i;
}
}
Console.WriteLine(string.Concat(new object[]
{
"Best Objective ",
universe[index],
" Objective = ",
universe[index].Objective
}));
Console.WriteLine("Optimization done");
this.watch.Stop();
Console.WriteLine(string.Concat(new object[]
{
"Processed ",
this.event_count,
" events in ",
this.watch.ElapsedMilliseconds,
" msec - ",
(double)this.event_count / (double)this.watch.ElapsedMilliseconds * 1000.0,
" event/sec"
}));
return(universe[index]);
}
public OptimizationParameterSet Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe, int bunch = -1)
{
this.event_count = 0L;
this.watch.Start();
int num;
if (bunch == -1)
{
num = universe.Count;
}
else
{
num = bunch;
}
int num2 = 0;
while (num2 + num < universe.Count)
{
this.Optimize(strategy, instruments, universe, num2, num);
num2 += num;
}
this.Optimize(strategy, instruments, universe, num2, universe.Count - num2);
int index = 0;
for (int i = 1; i < universe.Count; i++)
{
if (universe[i].Objective > universe[index].Objective)
{
index = i;
}
}
Console.WriteLine(string.Concat(new object[]
{
"Best Objective ",
universe[index],
" Objective = ",
universe[index].Objective
}));
Console.WriteLine("Optimization done");
this.watch.Stop();
Console.WriteLine(string.Concat(new object[]
{
"Processed ",
this.event_count,
" events in ",
this.watch.ElapsedMilliseconds,
" msec - ",
(double)this.event_count / (double)this.watch.ElapsedMilliseconds * 1000.0,
" event/sec"
}));
return universe[index];
}
public void Clear()
{
foreach (var i in Instruments)
{
i.Bid = null;
i.Ask = null;
i.Trade = null;
i.Bar = null;
}
var deleted = new InstrumentList();
foreach (var i in Instruments.Where(i => !i.Loaded))
deleted.Add(i);
foreach (var i in deleted)
Delete(i);
}
public InstrumentManager(Framework framework, InstrumentServer server)
{
this.framework = framework;
this.server = server;
this.server.Open();
this.next_id = -1;
this.instruments = server.Load();
for (int i = 0; i < this.instruments.Count; i++)
{
this.instruments.GetByIndex(i).isPersistent = true;
int id = this.instruments.GetByIndex(i).Id;
if (id > this.next_id)
{
this.next_id = id;
}
}
this.next_id++;
}
public Strategy(Framework framework, string name)
{
this.framework = framework;
this.Name = name;
this.strategiesByInstrument = new IdArray<LinkedList<Strategy>>(1000);
this.strategyByOrderId = new IdArray<Strategy>(1000);
this.strategies = new LinkedList<Strategy>();
this.status = StrategyStatus.Stopped;
this.instruments = new InstrumentList();
this.instrumentCountTable = new IdArray<int>(1000);
if (framework != null)
{
this.portfolio = new Portfolio(framework, this.Name);
framework.PortfolioManager.Add(this.portfolio);
}
this.bars = new BarSeries("", "");
this.equity = new TimeSeries();
this.bids = new TickSeries("");
this.asks = new TickSeries("");
this.stops = new List<Stop>();
this.stopsByInstrument = new IdArray<List<Stop>>(1000);
}
internal void RegisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList<Strategy> linkedList;
if (this.strategiesByInstrument[current.Id] == null)
{
linkedList = new LinkedList<Strategy>();
this.strategiesByInstrument[current.Id] = linkedList;
}
else
{
linkedList = this.strategiesByInstrument[current.Id];
}
linkedList.Add(strategy);
IdArray<int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] + 1;
}
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider dataProvider = this.GetDataProvider(strategy, current2);
IExecutionProvider executionProvider = strategy.GetExecutionProvider(current2);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
if (!dictionary.TryGetValue(dataProvider, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[dataProvider] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.RegisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = strategy;
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instruments, orderRouteId);
}
}
public override void Subscribe(InstrumentList instruments)
{
foreach (var instrument in instruments)
Subscribe(instrument, this.running ? this.framework.Clock.DateTime : DateTime1, DateTime2);
if (!this.running && RunOnSubscribe)
Run();
}
public abstract void SubscribeL1(InstrumentList instruments);
internal void UnregisterStrategy(Strategy strategy, InstrumentList instruments, int orderRouteId)
{
strategy.portfolio.Parent = this.portfolio;
foreach (Instrument current in instruments)
{
LinkedList<Strategy> linkedList = this.strategiesByInstrument[current.Id];
if (linkedList != null)
{
linkedList.Remove(strategy);
}
linkedList.Add(strategy);
IdArray<int> idArray;
int num;
(idArray = this.instrumentCountTable)[num = current.id] = idArray[num] - 1;
if (this.instrumentCountTable[current.id] == 0)
{
this.Instruments.Remove(current);
}
}
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
foreach (Instrument current2 in instruments)
{
InstrumentList instrumentList = null;
IDataProvider key = this.GetDataProvider(strategy, current2);
if (!dictionary.TryGetValue(key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[key] = instrumentList;
}
instrumentList.Add(current2);
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in dictionary)
{
this.framework.strategyManager.UnregisterMarketDataRequest(current3.Key, current3.Value);
}
this.strategyByOrderId[orderRouteId] = null;
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instruments, orderRouteId);
}
}
public void RegisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instrumentList)
{
InstrumentList alreadyRegistered = null;
if (!this.subscriptions.TryGetValue(dataProvider, out alreadyRegistered))
{
alreadyRegistered = new InstrumentList();
this.subscriptions[dataProvider] = alreadyRegistered;
}
foreach (var current in instrumentList)
if (!alreadyRegistered.Contains(current.Id))
alreadyRegistered.Add(current);
if (Status == StrategyStatus.Running)
this.framework.SubscriptionManager?.Subscribe(dataProvider, instrumentList);
}
public void RemoveInstrument(Instrument instrument)
{
this.instruments.Remove(instrument);
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
this.framework.strategyManager.UnregisterMarketDataRequest(this.GetDataProvider(this, instrument), instrumentList);
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instrumentList, (int)this.id);
}
}
public void AddInstruments(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.AddInstrument(current);
}
}
public override void Unsubscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
SellSideInstrumentStrategy sellSideInstrumentStrategy = this.strategyBySynthInstrument[current.Id];
sellSideInstrumentStrategy.OnUnsubscribe(current);
}
}
public override void Subscribe(InstrumentList instruments)
{
if (!this.isRunning)
{
foreach (Instrument current in instruments)
{
this.Subscribe_(current, this.dateTime1, this.dateTime2);
}
this.Run();
return;
}
foreach (Instrument current2 in instruments)
{
this.Subscribe_(current2, this.framework.Clock.DateTime, this.dateTime2);
}
}
public virtual void Unsubscribe(InstrumentList instruments)
{
OnUnsubscribe(instruments);
}
public override void Unsubscribe(InstrumentList instruments)
{
foreach (var current in instruments)
Unsubscribe(current);
}
protected virtual void OnSubscribe(InstrumentList instruments)
{
// noop
}
public OnUnsubscribe(InstrumentList instruments)
{
Instruments = instruments;
}
public void Unsubscribe(IDataProvider provider, InstrumentList instruments)
{
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] - 1;
if (this.subscriptions[(int)provider.Id][byIndex] == 0)
{
instrumentList.Add(byIndex);
}
}
provider.Unsubscribe(instrumentList);
}
private void RegisterInstrument(Instrument instrument)
{
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
IDataProvider dataProvider = this.GetDataProvider(this, instrument);
IExecutionProvider executionProvider = this.GetExecutionProvider(instrument);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
this.framework.strategyManager.RegisterMarketDataRequest(dataProvider, instrumentList);
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instrumentList, (int)this.id);
}
}
public void Add(InstrumentList instruments, BarType barType, long barSize, BarInput barInput = BarInput.Trade,
ClockType type = ClockType.Local, int providerId = -1)
{
foreach (var i in instruments)
Add(i, barType, barSize, barInput, type, providerId);
}
public void Clear()
{
foreach (Instrument current in this.instruments)
{
current.bid = null;
current.ask = null;
current.trade = null;
}
InstrumentList instrumentList = new InstrumentList();
foreach (Instrument current2 in this.instruments)
{
if (!current2.isPersistent)
{
instrumentList.Add(current2);
}
}
foreach (Instrument current3 in instrumentList)
{
this.Delete(current3);
}
}
public void RegisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instrumentList)
{
InstrumentList instrumentList2 = new InstrumentList();
InstrumentList instrumentList3 = null;
if (!this.requests.TryGetValue(dataProvider, out instrumentList3))
{
instrumentList3 = new InstrumentList();
this.requests[dataProvider] = instrumentList3;
}
foreach (Instrument current in instrumentList)
{
if (!instrumentList3.Contains(current.id))
{
instrumentList3.Add(current);
instrumentList2.Add(current);
}
}
if (this.status == StrategyStatus.Running && instrumentList2.Count > 0 && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(dataProvider, instrumentList2);
}
}
public virtual void Unsubscribe(InstrumentList instruments)
{
Console.WriteLine($"{nameof(SellSideStrategy)}::{nameof(Unsubscribe)} {instruments}");
OnUnsubscribe(instruments);
}
protected virtual void OnUnsubscribe(InstrumentList instruments)
{
}
public void Add(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
this.Add(current, null);
}
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
lock (this)
{
this.subscriptions.Clear();
Strategy = strategy;
Mode = mode;
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.Clock.DateTime = this.framework.ProviderManager.DataSimulator.DateTime1;
this.framework.ExchangeClock.DateTime = DateTime.MinValue;
}
if (this.framework.EventManager.Status != EventManagerStatus.Running)
this.framework.EventManager.Start();
SetStatusType(StrategyStatusType.Started);
if (Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Load)
{
this.framework.PortfolioManager.Load(strategy.Name);
this.framework.OrderManager.Load(strategy.Name, -1);
this.framework.OrderServer.SeriesName = strategy.Name;
this.framework.OrderManager.IsPersistent = true;
}
else
{
this.framework.OrderManager.IsPersistent = false;
}
strategy.Init();
if ((Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Save) && !strategy.Portfolio.IsLoaded)
this.framework.PortfolioManager.Save(strategy.Portfolio);
strategy.EmitStrategyStart();
if (!this.framework.IsExternalDataQueue)
{
var dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.subscriptions.Count != 0)
{
var dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.subscriptions);
this.subscriptions.Clear();
foreach (var current in dictionary2)
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy)
{
this.framework.SubscriptionManager?.Subscribe(current.Key, instrumentList2);
}
}
}
SetParametersGroup();
Status = StrategyStatus.Running;
this.subscriptions = dictionary;
if (this.subscriptions.Count == 0 && mode == StrategyMode.Backtest)
{
Console.WriteLine($"{DateTime.Now } StrategyManager::StartStrategy {strategy.Name} has no data requests in backtest mode, stopping...");
StopStrategy();
}
else
{
foreach (var current3 in this.subscriptions)
{
if (!(current3.Key is SellSideStrategy))
this.framework.SubscriptionManager?.Subscribe(current3.Key, current3.Value);
}
if (mode != StrategyMode.Backtest)
strategy.FundamentalProvider?.Connect();
}
}
else
{
SetParametersGroup();
Status = StrategyStatus.Running;
}
}
}
internal void UnregisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instruments)
{
if (Status == StrategyStatus.Running && instruments.Count > 0)
this.framework.SubscriptionManager?.Unsubscribe(dataProvider, instruments);
var list = this.subscriptions[dataProvider];
if (list != null)
{
foreach (var i in instruments)
if (!this.framework.SubscriptionManager.IsSubscribed(dataProvider, i))
list.Remove(i);
}
}
