public override void Unsubscribe(InstrumentList instruments)
{
foreach (var current in instruments)
{
Unsubscribe(current);
}
}
public virtual void Unsubscribe(InstrumentList instruments)
{
foreach (Instrument instrument in instruments)
{
Unsubscribe(instrument);
}
}
public void Subscribe(IDataProvider provider, InstrumentList instruments)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
var newInstruments = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
var instrument = instruments.GetByIndex(i);
if (!this._submap.ContainsKey(provider.Id))
{
this._submap[provider.Id] = new Dictionary <Instrument, int>();
}
if (!this._submap[provider.Id].ContainsKey(instrument) || this._submap[provider.Id][instrument] == 0)
{
this._submap[provider.Id][instrument] = 0;
newInstruments.Add(instrument);
}
this._submap[provider.Id][instrument] += 1;
}
if (newInstruments.Count > 0)
{
provider.Subscribe(newInstruments);
}
}
public override void Subscribe(InstrumentList instruments)
{
foreach (Instrument current in instruments)
{
Subscribe(current);
}
}
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 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();
}
}
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);
}
}
}
}
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 void Unsubscribe(IDataProvider provider, InstrumentList instruments)
{
var list = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
var instrument = instruments.GetByIndex(i);
if (this._submap.ContainsKey(provider.Id) && this._submap[provider.Id][instrument] != 0)
{
this._submap[provider.Id][instrument] -= 1;
if (this._submap[provider.Id][instrument] == 0)
{
list.Add(instrument);
}
}
else
{
Console.WriteLine($"SubscriptionManager::Unsubscribe Error. Instrument has no subscriptions {instrument.Symbol} on data provider {provider.Name}");
}
}
provider.Unsubscribe(list);
}
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 virtual void Unsubscribe(InstrumentList instruments)
{
OnUnsubscribe(instruments);
}
protected virtual void OnUnsubscribe(InstrumentList instruments)
{
// noop
}
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;
}
}
}
public OnSubscribe(InstrumentList instruments)
{
Instruments = instruments;
}
