SmartQuant Discussion

I have made a simple test IDataProvider which inherits from Strategy and wraps the DataSimulator so that I can edit bids/asks and re-emit them, however when I try set Strategy.DataProvider = TestDataProvider it does not set. See the code and output below.


public class TestDataProvider : Strategy, IDataProvider
{
public new ProviderStatus Status => DataProvider.Status;

public bool IsConnecting => DataProvider.IsConnecting;

public bool IsConnected => DataProvider.IsConnected;

public bool IsDisconnecting => DataProvider.IsDisconnecting;

public bool IsDisconnected => DataProvider.IsDisconnected;

byte IProvider.Id { get => (byte)Id; set { } }

public TestDataProvider(Framework framework, string name)
: base(framework, name)
{
}
protected override void OnAsk(Instrument instrument, Ask ask)
{
// edit tick and emit
framework.EventManager.OnEvent(new Ask(ask) { ProviderId = (byte)Id });
}
protected override void OnAsk(Instrument instrument, Bid bid)
{
// edit tick and emit
framework.EventManager.OnEvent(new Bid (bid) { ProviderId = (byte)Id });
}
public void Subscribe(Instrument instrument)
{
DataProvider.Subscribe(instrument);
}

public void Subscribe(InstrumentList instrument)
{
DataProvider.Subscribe(instrument);
}

public void Unsubscribe(Instrument instrument)
{
DataProvider.Unsubscribe(instrument);
}

public void Unsubscribe(InstrumentList instrument)
{
DataProvider.Unsubscribe(instrument);
}

public void Connect()
{
DataProvider.Connect();
}

public bool Connect(int timeout)
{
return DataProvider.Connect(timeout);
}

public void Disconnect()
{
DataProvider.Disconnect();
}
}

public partial class MyScenario : Scenario
{
public MyScenario(Framework framework)
: base(framework)
{
}

public override void Run()
{
strategy = new MyStrategy(framework, "Backtest");
TestDataProvider testDataProvider = new TestDataProvider(framework, "TestDataProvider");

Console.WriteLine($"strategy.DataProvider:: Expected: default, Actual: {strategy.DataProvider}");
strategy.DataProvider = null;
Console.WriteLine($"strategy.DataProvider:: Expected: null, Actual: {strategy.DataProvider}");
strategy.DataProvider = testDataProvider;
Console.WriteLine($"strategy.DataProvider:: Expected: TestDataProvider, Actual: {strategy.DataProvider}");

StartStrategy();
}
}

Outputs:
strategy.DataProvider:: Expected: default, Actual: provider id = 1 DataSimulator (Default data simulator) http://www.smartquant.com strategy.DataProvider:: Expected: null, Actual: provider id = 1 DataSimulator (Default data simulator) http://www.smartquant.com strategy.DataProvider:: Expected: TestDataProvider, Actual: provider id = 1 DataSimulator (Default data simulator) http://www.smartquant.com

Whats going on here? Am I missing something?

Hi,
here is a bit more complex situation.
strategy.DataProvider depends on several things and can show provider after start of strategy, eg OnStrategyStart event.

I dont quite understand what you're saying. If I set DataProvider after the strategy has started then it will work?

like so:

protected override void OnStrategyStart()
{
DataProvider = MyCustomDataProvider;
Console.WriteLine($"DataProvider: {DataProvider}");
}
This prints:
DataProvider: provider id = 1 DataSimulator (Default data simulator) www.smartquant.com
which indicates that it is still not being set even after the strategy has started...

Which StrategyMode do you use?

Backtest

For simulation mode, strategy will return DataSimulator or SellSide based strategies.
Realtime provider not supposed for this mode.
Thus, if you want to create the simulation data provider, you can implement IDataSimulator interface.
In case when you want pre-process market data from other providers(DataSimulator in Backtest or Realtime providers in Live) you can choose SellSide strategy.