private void OnTrade(Event e)
{
DataEventCount++;
var trade = (Trade)e;
SyncLocalClockWithDataObject(trade);
SyncExchangeClockWithTick(trade, nameof(OnTrade));
BarFactory.OnData(trade);
this.framework.DataManager.OnTrade(trade);
this.framework.InstrumentManager.GetById(trade.InstrumentId).Trade = trade;
this.framework.ProviderManager.ExecutionSimulator.OnTrade(trade);
this.framework.StrategyManager.OnTrade(trade);
}
private void OnAsk(Event e)
{
DataEventCount++;
var ask = (Ask)e;
SyncLocalClockWithDataObject(ask);
SyncExchangeClockWithTick(ask, nameof(OnAsk));
BarFactory.OnData(ask);
this.framework.DataManager.OnAsk(ask);
this.framework.InstrumentManager.GetById(ask.InstrumentId).Ask = ask;
this.framework.ProviderManager.ExecutionSimulator.OnAsk(ask);
this.framework.StrategyManager.OnAsk(ask);
}
private void OnBid(Event e)
{
DataEventCount++;
var bid = (Bid)e;
SyncLocalClockWithDataObject(bid);
SyncExchangeClockWithTick(bid, nameof(OnBid));
BarFactory.OnData(bid);
this.framework.DataManager.OnBid(bid);
this.framework.InstrumentManager.GetById(bid.InstrumentId).Bid = bid;
this.framework.ProviderManager.ExecutionSimulator.OnBid(bid);
this.framework.StrategyManager.OnBid(bid);
}
public EventManager(Framework framework, EventBus bus)
{
this.framework = framework;
this.bus = bus;
BarFactory = new BarFactory(this.framework);
BarSliceFactory = new BarSliceFactory(this.framework);
Dispatcher = new EventDispatcher(this.framework);
// Event Gates
this.gates[EventType.Bid] = OnBid;
this.gates[EventType.Ask] = OnAsk;
this.gates[EventType.Trade] = OnTrade;
this.gates[EventType.Quote] = OnQuote;
this.gates[EventType.Bar] = OnBar;
this.gates[EventType.Level2Snapshot] = OnLevel2Snapshot;
this.gates[EventType.Level2Update] = OnLevel2Update;
this.gates[EventType.ExecutionReport] = OnExecutionReport;
this.gates[EventType.Reminder] = OnReminder;
this.gates[EventType.Fundamental] = OnFundamental;
this.gates[EventType.News] = OnNews;
this.gates[EventType.Group] = OnGroup;
this.gates[EventType.GroupEvent] = OnGroupEvent;
this.gates[EventType.Command] = OnCommand;
this.gates[EventType.OnPositionOpened] = OnPositionOpened;
this.gates[EventType.OnPositionClosed] = OnPositionClosed;
this.gates[EventType.OnPositionChanged] = OnPositionChanged;
this.gates[EventType.OnFill] = OnFill;
this.gates[EventType.OnTransaction] = OnTransaction;
this.gates[EventType.OnSendOrder] = OnSendOrder;
this.gates[EventType.OnPendingNewOrder] = OnPendingNewOrder;
this.gates[EventType.OnNewOrder] = OnNewOrder;
this.gates[EventType.OnOrderStatusChanged] = OnOrderStatusChanged;
this.gates[EventType.OnOrderPartiallyFilled] = OnOrderPartiallyFilled;
this.gates[EventType.OnOrderFilled] = OnOrderFilled;
this.gates[EventType.OnOrderReplaced] = OnOrderReplaced;
this.gates[EventType.OnOrderCancelled] = OnOrderCancelled;
this.gates[EventType.OnOrderRejected] = OnOrderRejected;
this.gates[EventType.OnOrderExpired] = OnOrderExpired;
this.gates[EventType.OnOrderCancelRejected] = OnOrderCancelRejected;
this.gates[EventType.OnOrderReplaceRejected] = OnOrderReplaceRejected;
this.gates[EventType.OnOrderDone] = OnOrderDone;
this.gates[EventType.OnPortfolioAdded] = OnPortfolioAdded;
this.gates[EventType.OnPortfolioRemoved] = OnPortfolioRemoved;
this.gates[EventType.OnPortfolioParentChanged] = OnPortfolioParentChanged;
this.gates[EventType.HistoricalData] = OnHistoricalData;
this.gates[EventType.HistoricalDataEnd] = OnHistoricalDataEnd;
this.gates[EventType.BarSlice] = OnBarSlice;
this.gates[EventType.OnStrategyEvent] = OnStrategyEvent;
this.gates[EventType.AccountData] = OnAccountData;
this.gates[EventType.OnPropertyChanged] = OnPropertyChanged;
this.gates[EventType.OnException] = OnException;
this.gates[EventType.AccountReport] = OnAccountReport;
this.gates[EventType.ProviderError] = OnProviderError;
this.gates[EventType.OnProviderConnected] = OnProviderConnected;
this.gates[EventType.OnProviderDisconnected] = OnProviderDisconnected;
this.gates[EventType.OnSimulatorStart] = OnSimulatorStart;
this.gates[EventType.OnSimulatorStop] = OnSimulatorStop;
this.gates[EventType.OnSimulatorProgress] = OnSimulatorProgress;
// Enable all events by defaults
for (int i = 0; i < byte.MaxValue; i++)
{
Enabled[i] = true;
}
if (bus != null)
{
this.thread = new Thread(Run)
{
Name = "Event Manager Thread",
IsBackground = true
};
this.thread.Start();
}
}
public void Clear()
{
EventCount = DataEventCount = 0;
BarFactory.Clear();
BarSliceFactory.Clear();
}
public EventManager(Framework framework, EventBus bus)
{
this.framework = framework;
this.bus = bus;
BarFactory = new BarFactory(this.framework);
BarSliceFactory = new BarSliceFactory(this.framework);
Dispatcher = new EventDispatcher(this.framework);
// Event Gates
this.gates[EventType.Bid] = OnBid;
this.gates[EventType.Ask] = OnAsk;
this.gates[EventType.Trade] = OnTrade;
this.gates[EventType.Quote] = OnQuote;
this.gates[EventType.Bar] = OnBar;
this.gates[EventType.Level2Snapshot] = OnLevel2Snapshot;
this.gates[EventType.Level2Update] = OnLevel2Update;
this.gates[EventType.ExecutionReport] = OnExecutionReport;
this.gates[EventType.Reminder] = OnReminder;
this.gates[EventType.Fundamental] = OnFundamental;
this.gates[EventType.News] = OnNews;
this.gates[EventType.Group] = OnGroup;
this.gates[EventType.GroupEvent] = OnGroupEvent;
this.gates[EventType.Command] = OnCommand;
this.gates[EventType.OnPositionOpened] = OnPositionOpened;
this.gates[EventType.OnPositionClosed] = OnPositionClosed;
this.gates[EventType.OnPositionChanged] = OnPositionChanged;
this.gates[EventType.OnFill] = OnFill;
this.gates[EventType.OnTransaction] = OnTransaction;
this.gates[EventType.OnSendOrder] = OnSendOrder;
this.gates[EventType.OnPendingNewOrder] = OnPendingNewOrder;
this.gates[EventType.OnNewOrder] = OnNewOrder;
this.gates[EventType.OnOrderStatusChanged] = OnOrderStatusChanged;
this.gates[EventType.OnOrderPartiallyFilled] = OnOrderPartiallyFilled;
this.gates[EventType.OnOrderFilled] = OnOrderFilled;
this.gates[EventType.OnOrderReplaced] = OnOrderReplaced;
this.gates[EventType.OnOrderCancelled] = OnOrderCancelled;
this.gates[EventType.OnOrderRejected] = OnOrderRejected;
this.gates[EventType.OnOrderExpired] = OnOrderExpired;
this.gates[EventType.OnOrderCancelRejected] = OnOrderCancelRejected;
this.gates[EventType.OnOrderReplaceRejected] = OnOrderReplaceRejected;
this.gates[EventType.OnOrderDone] = OnOrderDone;
this.gates[EventType.OnPortfolioAdded] = OnPortfolioAdded;
this.gates[EventType.OnPortfolioRemoved] = OnPortfolioRemoved;
this.gates[EventType.OnPortfolioParentChanged] = OnPortfolioParentChanged;
this.gates[EventType.HistoricalData] = OnHistoricalData;
this.gates[EventType.HistoricalDataEnd] = OnHistoricalDataEnd;
this.gates[EventType.BarSlice] = OnBarSlice;
this.gates[EventType.OnStrategyEvent] = OnStrategyEvent;
this.gates[EventType.AccountData] = OnAccountData;
this.gates[EventType.OnPropertyChanged] = OnPropertyChanged;
this.gates[EventType.OnException] = OnException;
this.gates[EventType.AccountReport] = OnAccountReport;
this.gates[EventType.ProviderError] = OnProviderError;
this.gates[EventType.OnProviderConnected] = OnProviderConnected;
this.gates[EventType.OnProviderDisconnected] = OnProviderDisconnected;
this.gates[EventType.OnSimulatorStart] = OnSimulatorStart;
this.gates[EventType.OnSimulatorStop] = OnSimulatorStop;
this.gates[EventType.OnSimulatorProgress] = OnSimulatorProgress;
// Enable all events by defaults
for (int i = 0; i < byte.MaxValue; i++)
Enabled[i] = true;
if (bus != null)
{
this.thread = new Thread(Run)
{
Name = "Event Manager Thread",
IsBackground = true
};
this.thread.Start();
}
}