protected BarFactoryItem(Instrument instrument, BarType barType, long barSize)
{
this.factory = null;
this.instrument = instrument;
this.barType = barType;
this.barSize = barSize;
}
public void Subscribe(IDataProvider provider, Instrument instrument)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
Dictionary<Instrument, int> dictionary = null;
if (!this.subscriptions.TryGetValue((int)provider.Id, out dictionary))
{
dictionary = new Dictionary<Instrument, int>();
this.subscriptions[(int)provider.Id] = dictionary;
}
int num = 0;
bool flag = false;
if (!dictionary.TryGetValue(instrument, out num))
{
flag = true;
num = 1;
}
else
{
if (num == 0)
{
flag = true;
}
num++;
}
dictionary[instrument] = num;
if (flag)
{
provider.Subscribe(instrument);
}
}
public HistoricalDataRequest(Instrument instrument, DateTime dateTime1, DateTime dateTime2, byte dataType)
{
this.Instrument = instrument;
this.DateTime1 = dateTime1;
this.DateTime2 = dateTime2;
this.DataType = dataType;
}
public override object Read(BinaryReader reader)
{
reader.ReadByte();
int id = reader.ReadInt32();
InstrumentType type = (InstrumentType)reader.ReadByte();
string symbol = reader.ReadString();
string description = reader.ReadString();
byte currencyId = reader.ReadByte();
string exchange = reader.ReadString();
Instrument instrument = new Instrument(id, type, symbol, description, currencyId, exchange);
instrument.tickSize = reader.ReadDouble();
instrument.maturity = new DateTime(reader.ReadInt64());
instrument.factor = reader.ReadDouble();
instrument.strike = reader.ReadDouble();
instrument.putcall = (PutCall)reader.ReadByte();
instrument.margin = reader.ReadDouble();
int num = reader.ReadInt32();
for (int i = 0; i < num; i++)
{
AltId altId = new AltId();
altId.providerId = reader.ReadByte();
altId.symbol = reader.ReadString();
altId.exchange = reader.ReadString();
instrument.altId.Add(altId);
}
return instrument;
}
protected override void OnInit()
{
this.instrument = (Instrument) this.args[0];
this.InitDataSeriesList();
this.InitDataSeriesViewer();
this.Text = string.Format("Data [{0}]", (object) this.instrument.Symbol);
}
public override void Subscribe(Instrument instrument)
{
if (instrument.Parent != null)
{
this.strategyBySynthInstrument[instrument.Id] = this.strategyBySynthInstrument[instrument.Parent.Id];
this.strategyBySynthInstrument[instrument.Id].OnSubscribe(instrument);
return;
}
SellSideInstrumentStrategy sellSideInstrumentStrategy = (SellSideInstrumentStrategy)Activator.CreateInstance(base.GetType(), new object[]
{
this.framework,
string.Concat(new object[]
{
base.Name,
"(",
instrument,
")"
})
});
this.SetupStrategy(sellSideInstrumentStrategy);
sellSideInstrumentStrategy.Instrument = instrument;
this.strategyBySynthInstrument[instrument.Id] = sellSideInstrumentStrategy;
sellSideInstrumentStrategy.OnSubscribe(instrument);
sellSideInstrumentStrategy.dataProvider = base.DataProvider;
sellSideInstrumentStrategy.executionProvider = base.ExecutionProvider;
sellSideInstrumentStrategy.raiseEvents = true;
base.AddStrategy(sellSideInstrumentStrategy, false);
sellSideInstrumentStrategy.OnStrategyStart();
}
// 从分类好的目录中取中所有合约
private SortedDictionary<int, FileInfo> GetData_Instrument(Instrument inst)
{
SortedDictionary<int, FileInfo> resultList = new SortedDictionary<int, FileInfo>();
if (string.IsNullOrEmpty(DataPath_Instrument))
return resultList;
// 直接查找某一目录是否存在
string instrument = inst.Symbol;
int i = inst.Symbol.IndexOf('.');
if(i>=0)
{
instrument = instrument.Substring(0,i);
}
var di = new DirectoryInfo(DataPath_Instrument);
if (!di.Exists)
return resultList;
var list = di.GetDirectories(instrument, System.IO.SearchOption.AllDirectories);
foreach(var l in list)
{
UnionAndUpdate(resultList, GetFiles(l, inst.Symbol));
}
return resultList;
}
public ImportTask(Instrument instrument)
{
this.Instrument = instrument;
this.State = ImportTaskState.Pending;
this.Count = 0;
this.TotalNum = 0;
this.Message = string.Empty;
}
public void Delete(Instrument instrument)
{
this.instruments.Remove(instrument);
if (this.server != null && instrument.isPersistent)
{
this.server.Delete(instrument);
}
this.framework.eventServer.OnInstrumentDeleted(instrument);
}
private void textBox_Instrument_Validating(object sender, CancelEventArgs e)
{
Instrument = SmartQuant.Shared.Global.Framework.InstrumentManager.Get((sender as TextBox).Text);
errorProvider1.Clear();
if (Instrument == null)
{
errorProvider1.SetError(textBox_Instrument,"合约不存在");
}
}
public InstrumentViewItem(Instrument instrument)
: base(new string[5])
{
this.Instrument = instrument;
this.SubItems[0].Text = instrument.Symbol;
this.SubItems[1].Text = instrument.Type.ToString();
this.SubItems[2].Text = instrument.Exchange;
this.SubItems[3].Text = CurrencyId.GetName(instrument.CurrencyId);
this.SubItems[4].Text = instrument.Maturity == DateTime.MinValue ? string.Empty : instrument.Maturity.ToShortDateString();
}
public Instrument GetById(int id)
{
Instrument instrument = this.instruments.GetById(id);
if (instrument == null)
{
instrument = new Instrument(id, InstrumentType.Synthetic, Guid.NewGuid().ToString(), "", 1);
this.instruments.Add(instrument);
}
return instrument;
}
public Order(IExecutionProvider provider, Instrument instrument, OrderType type, OrderSide side, double qty, double price = 0.0, double stopPx = 0.0, TimeInForce timeInForce = TimeInForce.Day, string text = "")
: this()
{
this.provider = provider;
this.instrument = instrument;
this.type = type;
this.side = side;
this.qty = qty;
this.price = price;
this.stopPx = stopPx;
this.timeInForce = timeInForce;
this.text = text;
this.portfolio = null;
}
public void Add(Instrument instrument, bool save = true)
{
if (this.Contains(instrument.symbol))
{
throw new ApplicationException("Instrument with the same symbol is already present in the framework : " + instrument.symbol);
}
instrument.Id = this.next_id;
this.next_id++;
this.instruments.Add(instrument);
if (save && this.server != null)
{
this.server.Save(instrument);
}
this.framework.eventServer.OnInstrumentAdded(instrument);
}
public void AddInstance(Instrument instrument, InstrumentStrategy strategy)
{
strategy.instruments.Add(instrument);
strategy.instrument = instrument;
strategy.raiseEvents = true;
strategy.dataProvider = this.dataProvider;
strategy.executionProvider = this.executionProvider;
this.Add(strategy);
if (base.Instruments.GetById(instrument.id) == null)
{
base.Instruments.Add(instrument);
}
strategy.status = StrategyStatus.Running;
strategy.OnStrategyStart();
}
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();
}
protected override void OnBar(Instrument instrument, Bar bar)
{
// Add bar to bar series.
Bars.Add(bar);
// Add bar to group.
Log(bar, barsGroup);
// Add upper bollinger band value to group.
if (bbu.Count > 0)
Log(bbu.Last, bbuGroup);
// Add lower bollinger band value to group.
if (bbl.Count > 0)
Log(bbl.Last, bblGroup);
// Add simple moving average value bands to group.
if (sma.Count > 0)
Log(sma.Last, smaGroup);
// Calculate performance.
Portfolio.Performance.Update();
// Add equity to group.
Log(Portfolio.Value, equityGroup);
// Check strategy logic.
if (!HasPosition(instrument))
{
if (bbu.Count > 0 && bar.Close >= bbu.Last)
{
Order enterOrder = SellOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
else if (bbl.Count > 0 && bar.Close <= bbl.Last)
{
Order enterOrder = BuyOrder(Instrument, Qty, "Enter");
Send(enterOrder);
}
}
else
UpdateExitLimit();
}
public void Add(Instrument instrument, BarType barType, long barSize)
{
BarFactoryItem item;
switch (barType)
{
case BarType.Time:
item = new TimeBarFactoryItem(instrument, barSize);
break;
case BarType.Tick:
item = new TickBarFactoryItem(instrument, barSize);
break;
case BarType.Volume:
item = new VolumeBarFactoryItem(instrument, barSize);
break;
default:
throw new ArgumentException(string.Format("Unknown bar type - {0}", barType));
}
this.Add(item);
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
HistoricalDataRequest request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, 4);
provider.Send(request);
this.handle = new ManualResetEventSlim(false);
this.handle.Wait();
TickSeries tickSeries = new TickSeries("");
if (this.historicalData != null)
{
foreach (HistoricalData current in this.historicalData)
{
DataObject[] objects = current.Objects;
for (int i = 0; i < objects.Length; i++)
{
DataObject dataObject = objects[i];
tickSeries.Add((Trade)dataObject);
}
}
}
this.historicalData = null;
return tickSeries;
}
// 得到API中的合约名与交易所
private void GetApi_Symbol_Exchange_TickSize(Instrument instrument,
out string altSymbol, out string altExchange,
out string apiSymbol, out string apiExchange,
out double apiTickSize)
{
// 取合约别名
altSymbol = instrument.GetSymbol(this.id);
altExchange = instrument.GetExchange(this.id);
apiTickSize = instrument.TickSize;
// 取合约在API中的名字
apiSymbol = altSymbol;
apiExchange = altExchange;
InstrumentField _Instrument;
if (_dictInstruments.TryGetValue(altSymbol, out _Instrument))
{
apiSymbol = _Instrument.InstrumentID;
apiExchange = _Instrument.ExchangeID;
apiTickSize = _Instrument.PriceTick;
}
}
private void EmitNewMarketDepth(Instrument instrument, DateTime datatime, int position, MDSide ask, double price, int size)
{
MDOperation insert = MDOperation.Update;
if (MDSide.Ask == ask)
{
if (position >= instrument.OrderBook.Ask.Count)
{
insert = MDOperation.Insert;
}
}
else
{
if (position >= instrument.OrderBook.Bid.Count)
{
insert = MDOperation.Insert;
}
}
if (price != 0 && size != 0)
{
EmitNewMarketDepth(instrument, new MarketDepth(datatime, "", position, insert, ask, price, size));
}
}
public InstrumentList LoadFiles()
{
if (!Directory.Exists(Path))
{
return instruments;
}
var dir = new DirectoryInfo(Path);
foreach (var fi in dir.GetFiles("*", System.IO.SearchOption.AllDirectories))
{
// 以最深层的文件名做为合约名
string _exchange = string.Empty;
string _product = string.Empty;
string _instrument = string.Empty;
string _symbol = string.Empty;
string _date = string.Empty;
if (PathHelper.SplitFileName(fi.Name, out _exchange, out _product, out _instrument, out _date))
{
if (!string.IsNullOrEmpty(_exchange))
{
_symbol = string.Format("{0}.{1}", _instrument, _exchange);
}
else
_symbol = _instrument;
Instrument inst = framework.InstrumentManager.Get(_symbol);
if (inst == null)
{
inst = new Instrument(SmartQuant.InstrumentType.Synthetic, _symbol);
framework.InstrumentManager.Add(inst, Save);
}
instruments.Add(inst);
}
}
return instruments;
}
public TickBarFactoryItem(Instrument instrument, long barSize)
: base(instrument, BarType.Tick, barSize)
{
}
private void Send(Order order)
{
base.EmitExecutionReport(new ExecutionReport
{
dateTime = this.framework.Clock.DateTime,
order = order,
commandID = order.id,
instrument = order.instrument,
ordQty = order.qty,
timeInForce = order.timeInForce,
execType = ExecType.ExecNew,
ordStatus = OrderStatus.New,
currencyId = order.instrument.currencyId,
ordType = order.type,
side = order.side,
cumQty = 0.0,
lastQty = 0.0,
leavesQty = 0.0,
lastPx = 0.0,
avgPx = 0.0,
text = order.text
});
int id = order.instrument.Id;
if (this.orders[id] == null)
{
this.orders[id] = new List <Order>();
}
this.orders[id].Add(order);
switch (order.type)
{
case OrderType.Market:
if (!this.fillMarketOnNext)
{
Instrument instrument = order.instrument;
if (this.fillOnQuote)
{
switch (order.side)
{
case OrderSide.Buy:
{
Ask ask = this.framework.DataManager.GetAsk(instrument);
if (ask != null)
{
this.Fill(order, ask.Price, ask.Size);
return;
}
break;
}
case OrderSide.Sell:
{
Bid bid = this.framework.DataManager.GetBid(instrument);
if (bid != null)
{
this.Fill(order, bid.Price, bid.Size);
return;
}
break;
}
}
}
if (this.fillOnTrade)
{
Trade trade = this.framework.DataManager.GetTrade(instrument);
if (trade != null)
{
this.Fill(order, trade.Price, trade.Size);
}
}
}
break;
case OrderType.Stop:
case OrderType.Limit:
break;
default:
return;
}
}
public override void Unsubscribe(Instrument instrument)
{
if (instrument.Parent != null)
{
this.strategyBySynthInstrument[instrument.Id].OnUnsubscribe(instrument);
this.strategyBySynthInstrument.Remove(instrument.Id);
}
}
protected internal override void OnTrade(Instrument instrument, Trade trade)
{
this.alphaComponent.OnTrade(trade);
this.positionComponent.OnTrade(trade);
}
protected internal override void OnBid(Instrument instrument, Bid bid)
{
this.alphaComponent.OnBid(bid);
this.positionComponent.OnBid(bid);
}
public void Import(string fileName, string symbol, int type)
{
Console.WriteLine("Starting export: " + fileName + " " + symbol);
int num = 0;
int num2 = 0;
int num3 = 0;
TextReader textReader = File.OpenText(fileName);
Instrument instrument = this.framework.InstrumentManager.Get(symbol);
if (instrument == null)
{
instrument = new Instrument(InstrumentType.Stock, symbol, "", 1);
this.framework.InstrumentManager.Add(instrument, true);
}
int num4 = 0;
double num5 = -1.0;
int num6 = -1;
double num7 = -1.0;
int num8 = -1;
textReader.ReadLine();
while (true)
{
string text = textReader.ReadLine();
if (text == null)
{
break;
}
string[] array = text.Split(new char[]
{
','
});
CultureInfo invariantCulture = CultureInfo.InvariantCulture;
switch (type)
{
case 4:
{
DateTime dateTime = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num9 = double.Parse(array[1], invariantCulture);
int num10 = int.Parse(array[2]);
if (num9 > 0.0 && num10 > 0)
{
Trade obj = new Trade(dateTime, 1, instrument.Id, num9, num10);
this.framework.DataManager.Save(instrument, obj);
num3++;
}
break;
}
case 5:
{
DateTime dateTime2 = DateTime.ParseExact(array[0], "yyyy-MM-dd HH:mm:ss.fff", invariantCulture);
double num11 = double.Parse(array[1], invariantCulture);
int num12 = int.Parse(array[2]);
double num13 = double.Parse(array[3], invariantCulture);
int num14 = int.Parse(array[4]);
if (num11 > 0.0 && num12 > 0 && (num5 != num11 || num6 != num12))
{
Bid obj2 = new Bid(dateTime2, 1, instrument.Id, num11, num12);
this.framework.DataManager.Save(instrument, obj2);
num5 = num11;
num6 = num12;
num2++;
}
if (num13 > 0.0 && num14 > 0 && (num7 != num13 || num8 != num14))
{
Ask obj3 = new Ask(dateTime2, 1, instrument.Id, num13, num14);
this.framework.DataManager.Save(instrument, obj3);
num7 = num13;
num8 = num14;
num++;
}
break;
}
}
if (num4 % 100000 == 0)
{
Console.WriteLine(num4);
}
num4++;
}
Console.WriteLine(string.Concat(new object[]
{
"Lines = ",
num4,
" bids: ",
num2,
" asks: ",
num,
" trades: ",
num3
}));
textReader.Close();
}
public Leg(Instrument instrument, double weight)
{
this.instrument = instrument;
this.weight = weight;
}
public Leg(Instrument instrument)
{
this.instrument = instrument;
this.weight = 0.0;
}
public InstrumentEventArgs(Instrument instrument)
{
this.Instrument = instrument;
}
public void OnInstrumentDeleted(Instrument instrument)
{
this.OnEvent(new OnInstrumentDeleted(instrument));
}
protected internal override void OnAsk(Instrument instrument, Ask ask)
{
this.alphaComponent.OnAsk(ask);
this.positionComponent.OnAsk(ask);
}
public void Unsubscribe(int providerId, Instrument instrument)
{
IDataProvider provider = this.framework.ProviderManager.GetProvider(providerId) as IDataProvider;
this.Unsubscribe(provider, instrument);
}