本文整理汇总了C#中OpenQuant.API.Bar类的典型用法代码示例。如果您正苦于以下问题：C# Bar类的具体用法？C# Bar怎么用？C# Bar使用的例子？那么恭喜您, 这里精选的类代码示例或许可以为您提供帮助。
Bar类属于OpenQuant.API命名空间，在下文中一共展示了Bar类的15个代码示例，这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞，您的评价将有助于系统推荐出更棒的C#代码示例。
示例1: GetEffectiveAllowedSlippage
internal double GetEffectiveAllowedSlippage(Bar bar)
{
if (Instrument.Type != InstrumentType.Stock)
return 0;
if (TargetOrderType == OrderType.Market)
return 0;
double timeDifferenceInSessionClose = GetSecondsLeftInSessionEnd(bar);
double returnValue = EffectiveMaxAllowedSlippage;
double differencePer30Minutes = (EffectiveMaxAllowedSlippage - EffectiveMinAllowedSlippage) / 12;
double timeDifferenceInMinutes = timeDifferenceInSessionClose / 60;
int halfHourPeriodsLeft = Convert.ToInt32(Math.Floor(timeDifferenceInMinutes / 30));
if (halfHourPeriodsLeft > 12)
halfHourPeriodsLeft = 12;
if (halfHourPeriodsLeft < 0)
halfHourPeriodsLeft = 0;
returnValue = EffectiveMaxAllowedSlippage - (differencePer30Minutes * halfHourPeriodsLeft);
LoggingUtility.WriteDebug(LoggingConfig,
string.Format(
"Calculated allowed slippage: {0}. [Min: {1}. Max: {2}. Half Hour Period {3}]",
returnValue,
EffectiveMinAllowedSlippage,
EffectiveMaxAllowedSlippage,
halfHourPeriodsLeft));
return returnValue;
}示例2: HandleOrderTriggered
protected override void HandleOrderTriggered(Bar bar, double targetPrice)
{
double targetQuantity = 0;
// While closing sometimes it places duplicate orders which triggers
// unwanted reverse positions
RefreshOpenQuantity(true);
if (GetAbsoluteOpenQuantity() <= 0)
// This means the order was already processed by other thread
return;
targetQuantity = GetTargetQuantity();
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(
string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice,
targetQuantity));
string orderName = GetAutoPlacedOrderName(TargetOrderType, EffectiveOrderSide, "Auto-Closed",
Instrument.Symbol, EffectiveOrderRetriesConsumed, IbBrokerAccountNumber);
base.PlaceTargetOrder(targetQuantity,
targetPrice,
orderName);
LoggingUtility.LogOrder(LoggingConfig, orderName, EffectiveOrderSide, targetQuantity, targetPrice, EffectiveOrderRetriesConsumed);
}示例3: OnBarOpen
public override void OnBarOpen(Bar bar)
{
try
{
if (!IsItOkToHandleBar(bar))
{
return;
}
LoggingUtility.WriteTraceFormat(this, "OnBarOpen. {0}", bar);
if (bar.Size == PeriodConstants.PERIOD_DAILY)
{
// Since we will like to capture any gaps in the current day
// open and corresponding effects of ATR calculations
OnBar(bar);
}
else if (bar.BeginTime >= CurrentStartOfSessionTime)
{
//EvaluateIndicatorsAtBeginningOfSession();
OnBar(bar);
}
base.OnBarOpen(bar);
}
catch (Exception ex)
{
LoggingUtility.WriteError(this, ex, "Error in OnBarOpen");
}
}示例4: LogCurrentBarArrival
internal static void LogCurrentBarArrival(LoggingConfig config, Bar bar)
{
if (config.IsDebugEnabled)
{
string message = string.Format("Bar with begin time {0} arrived: {1}", bar.BeginTime, bar);
WriteDebug(config, message);
}
}示例5:
public override double this [Bar bar]
{
get
{
this.Init();
return base[bar];
}
}示例6: LogOkToTriggerOrder
internal static void LogOkToTriggerOrder(LoggingConfig config, Bar bar)
{
if (config.IsInfoEnabled)
{
string message = string.Format("It is OK to trigger the trade @ bar: {0}", bar);
Console.WriteLine();
WriteInfo(config, message);
}
}示例7: OnBar
public override void OnBar(Bar bar)
{
DateTime time = Clock.Now;
int dateTime = time.Hour * 10000 + time.Minute * 100 + time.Second;
if (dateTime > closeTime)
{
ClosePosition("T|尾盘平仓");
return;
}
if (86400 == bar.Size)
{
return;
}
if (double.IsNaN(UpLine))
return;
UpSeries.Add(bar.DateTime, UpLine);
DownSeries.Add(bar.DateTime, DownLine);
RangeSeries.Add(bar.DateTime, Range);
if (Mode == StrategyMode.Simulation)
{
// 从模拟切换实盘时用
//return;
}
if (HasPosition)
{
if (Position.Amount < 0
&& bar.Close > UpLine)
{
ClosePosition("T|反手");
Buy(Qty, "O|");
}
if (Position.Amount > 0
&& bar.Close < DownLine)
{
ClosePosition("T|反手");
Sell(Qty, "O|");
}
}
else
{
if (bar.Close > UpLine)
{
Buy(Qty, "O|");
}
else if (bar.Close < DownLine)
{
Sell(Qty, "O|");
}
}
}示例8: OnBar
public override void OnBar(Bar bar)
{
if (bStopStrategy)
{
Console.WriteLine("OnBar");
StopStrategy();
}
Console.WriteLine(bar);
}示例9: HandleBarOpen
/// <summary>
///
/// </summary>
/// <param name="bar"></param>
protected override void HandleBarOpen(Bar bar)
{
if (IsItTimeToTrigger(bar, false))
{
if (stopPrice.HasValue)
{
double lastClosePrice = bar.Close;
if (StopPriceManager.IsEntryStopPriceMet(lastClosePrice, stopPrice.Value, OrderSide))
{
LoggingUtility.LogCurrentBarArrival(LoggingConfig, bar);
PriceCalculator priceCalc = new PriceCalculator(LoggingConfig);
double targetPrice = priceCalc.CalculateSlippageAdjustedPrice(new PriceCalculatorInput()
{
AllowedSlippage = AllowedSlippage,
Atr = GetAtrValue(Instrument, AtrPeriod, triggerTime.Value),
CurrentBar = bar,
PreviousBar = GetPreviousBar(Instrument, bar, PeriodConstants.PERIOD_MINUTE),
OrderSide = OrderSide
});
double targetQuantity = new QuantityCalculator(LoggingConfig).Calculate(new QuantityCalculatorInput()
{
MaxPortfolioRisk = MaxPortfolioRisk,
MaxPositionRisk = MaxPositionRisk,
NumberOfPositions = NumberOfPositions,
PortfolioAmt = PortfolioAmount,
PortfolioAllocationPercentage = PortfolioAllocationPercentage,
PositionSizePercentage = PositionSizePercentage,
RoundLots = RoundLots,
StopPercentage = StopPercentage,
TargetPrice = targetPrice
});
targetPrice = priceCalc.RoundPrice(targetPrice, Instrument);
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice, targetQuantity));
string orderName = GetAutoPlacedOrderName(OrderSide, string.Format("Auto-Open Stop Order @ {0:c}", stopPrice.Value), Instrument.Symbol);
strategyOrder = CreateOrder(OrderSide, targetQuantity, orderName, targetPrice);
LoggingUtility.LogOrder(LoggingConfig, orderName, OrderSide, targetQuantity, targetPrice, retryCount);
if (AutoSubmit)
strategyOrder.Send();
}
}
}
}示例10: HandleBarOpen
/// <summary>
///
/// </summary>
/// <param name="bar"></param>
protected virtual void HandleBarOpen(Bar bar)
{
if (RetryOrder(bar, HandleStrategyStart))
{
LoggingUtility.LogRetryOrder(LoggingConfig, bar, retryCount);
}
if (IsItTimeToTrigger(bar, true))
{
PriceCalculator priceCalc = new PriceCalculator(LoggingConfig);
QuantityCalculator qtyCalc = new QuantityCalculator(LoggingConfig);
double targetPrice = priceCalc.Calculate(new PriceCalculatorInput()
{
CurrentBar = Bar,
PreviousBar = GetPreviousBar(Instrument, bar, PeriodConstants.PERIOD_MINUTE),
Atr = GetAtrValue(Instrument, AtrPeriod, triggerTime.Value),
AllowedSlippage = AllowedSlippage,
FavorableGap = FavorableGap,
FavorableGapAllowedSlippage = FavorableGapAllowedSlippage,
UnfavorableGap = UnfavorableGap,
UnfavorableGapAllowedSlippage = UnfavorableGapAllowedSlippage,
OrderSide = OrderSide
});
double targetQuantity = qtyCalc.Calculate(new QuantityCalculatorInput()
{
NumberOfPositions = NumberOfPositions,
PortfolioAmt = PortfolioAmount,
PortfolioAllocationPercentage = PortfolioAllocationPercentage,
MaxPortfolioRisk = MaxPortfolioRisk,
MaxPositionRisk = MaxPositionRisk,
RoundLots = RoundLots,
TargetPrice = targetPrice,
StopPercentage = StopPercentage,
PositionSizePercentage = PositionSizePercentage
});
targetPrice = priceCalc.RoundPrice(targetPrice, Instrument);
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice, targetQuantity));
string orderName = GetAutoPlacedOrderName(OrderSide, "Auto-Opened", Instrument.Symbol);
strategyOrder = CreateOrder(OrderSide, targetQuantity, orderName, targetPrice);
LoggingUtility.LogOrder(LoggingConfig, orderName, OrderSide, targetQuantity, targetPrice, retryCount);
if (AutoSubmit)
strategyOrder.Send();
}
}示例11: ReloadDailyData
/*
protected void ReloadDailyData()
{
DateTime start = DateTime.Now;
DailyBarSeries = GetHistoricalBars("IB", Instrument, DateTime.Now.AddDays(-60), DateTime.Now, PeriodConstants.PERIOD_DAILY);
DateTime end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to retrieve data from IB for daily data", end.Subtract(start).TotalMilliseconds));
start = DateTime.Now;
foreach (Bar currentBar in DailyBarSeries)
{
Bars.Add(currentBar);
if (PersistHistoricalData)
DataManager.Add(Instrument, currentBar);
}
end = DateTime.Now;
LoggingUtility.WriteVerbose(LoggingConfig, string.Format("Took {0}ms to load data into memory for daily data", end.Subtract(start).TotalMilliseconds));
}*/
protected Bar GetPreviousBar(Bar bar, int period)
{
Bar retVal = null;
BarSeries barsToUse = null;
bool isSessionOpenBar = bar.IsSessionOpenBar(Instrument.Type);
bool isDailyPeriod = period == PeriodConstants.PERIOD_DAILY;
if (isDailyPeriod)
return GetPreviousDayBar();
barsToUse = MinutelyBarSeries;
if (barsToUse.Count > 0)
{
int idx = 0;
bool found = false;
while (!found && idx <= barsToUse.Count - 1)
{
Bar prevBar = barsToUse.Ago(idx);
if ((prevBar.EndTime <= bar.BeginTime) && prevBar.IsWithinRegularTradingHours(Instrument.Type))
{
if (isSessionOpenBar || isDailyPeriod)
{
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 1;
if (!found && DateTime.Now.IsPastRegularTradingHours(Instrument.Type))
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 0;
}
else
{
found = true;
}
}
if (found)
retVal = prevBar;
else
idx++;
}
}
if (retVal == null)
throw new ApplicationException(string.Format("Count not retreive a period {0} bar to {1}. If it is due to exchange holidays - then set the 'DaysToGoBackForMinutelyData' parameter to fetch more data.", period, bar));
LoggingUtility.WriteInfo(LoggingConfig, string.Format("Previous closing bar was {0}", retVal));
return retVal;
}示例12: ProcessAndPlaceOrder
private void ProcessAndPlaceOrder(Bar bar)
{
double targetPrice = GetTargetPrice(bar);
EffectiveLastOrderDateTime = DateTime.Now;
EffectiveLastOrderPrice = targetPrice;
EffectiveOrderRetriesConsumed++;
UpdateRetrialStopPrice(bar);
SetParamsForRetrialOrder();
HandleOrderTriggered(bar, targetPrice);
}示例13: HandleOrderTriggered
protected override void HandleOrderTriggered(Bar bar, double targetPrice)
{
double targetQuantity = GetTargetQuantity(targetPrice);
if (targetPrice <= 0 || targetQuantity <= 0)
throw new ApplicationException(string.Format("Invalid price of quantity calculated. Price {0:c}, Qty {1}", targetPrice, targetQuantity));
string orderName = GetAutoPlacedOrderName(TargetOrderType, EffectiveOrderSide, "Auto-Opened", Instrument.Symbol, EffectiveOrderRetriesConsumed, IbBrokerAccountNumber);
base.PlaceTargetOrder(targetQuantity,
targetPrice,
orderName);
LoggingUtility.LogOrder(LoggingConfig, orderName, OrderSide, targetQuantity, targetPrice, EffectiveOrderRetriesConsumed);
}示例14: OnBar
public override void OnBar(Bar bar)
{
if (bar.Size == 86400)
return;
if (lbd.Count < 1 || dbbu.Count < 1)
return;
int lookBackDaysInt = (int)lbd.Last;
int nEnd = bars86400.Count - 1;
int nBegin = nEnd - lookBackDays + 1;
double buyPoint = bars86400.HighestHigh(nBegin, nEnd);
double sellPoint = bars86400.LowestLow(nBegin, nEnd);
double longLiqPoint = dbbu.SMA.Last;
double shortLiqPoint = dbbu.SMA.Last;
double upBand = dbbu.Last;
double dnBand = dbbu.BBL.Last;
upBandSeries.Add(bar.DateTime, upBand);
dnBandSeries.Add(bar.DateTime, dnBand);
buyPointSeries.Add(bar.DateTime, buyPoint);
sellPointSeries.Add(bar.DateTime, sellPoint);
// 下面代码可能有问题
if (HasPosition)
{
if (Position.Amount > 0 && Bar.Close < longLiqPoint)
{
ClosePosition("T|");
}
if (Position.Amount < 0 && Bar.Close > shortLiqPoint)
{
ClosePosition("T|");
}
}
else
{
if (Bar.Close > upBand)// && Bar.Close >= buyPoint
{
Buy(Qty, "O|");
}
if (Bar.Close < dnBand)// && Bar.Close <= sellPoint
{
Sell(Qty, "O|");
}
}
}示例15: GetSecondsLeftInSessionEnd
public double GetSecondsLeftInSessionEnd(Bar bar)
{
double timeDifferenceInSessionClose = 0;
if (bar.BeginTime.IsWithinRegularTradingHours(Instrument.Type)
&& bar.BeginTime >= EffectiveStartOfSessionTime)
{
timeDifferenceInSessionClose = Math.Abs((new DateTime(ValidityTriggerDate.Date.Year,
ValidityTriggerDate.Date.Month,
ValidityTriggerDate.Date.Day)
.AddSeconds(PstSessionTimeConstants.StockExchangeEndTimeSeconds)
.Subtract(bar.BeginTime)).TotalSeconds);
}
return timeDifferenceInSessionClose;
}