SmartQuant Discussion

using System;

using SmartQuant;

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

        public override void Run()
        {
            strategy = new Strategy(framework, "meta");
               
            BarFactory.Clear();
            Instrument instrument1 = InstrumentManager.GetById(261);
            Strategy buyside = new MyBuySideStrategy(framework, "MyBuySideStrategy");
            strategy.AddStrategy(buyside);
            buyside.Instruments.Add(instrument1);

            MySellSideStrategy sellSideStrategy = new MySellSideStrategy(framework, "MySellSideStrategy");
            strategy.AddStrategy(sellSideStrategy);
            buyside.ExecutionProvider = sellSideStrategy;
            buyside.DataProvider = sellSideStrategy;
            //buyside.DataSimulator = sellSideStrategy;
            instrument1.ExecutionProvider = sellSideStrategy;
            instrument1.DataProvider = sellSideStrategy;
            BarFactory.Add(instrument1, BarType.Time, 86400);
            IHistoricalDataProvider historyProvider = ProviderManager.GetHistoricalDataProvider(60);
            BarSeries dailySeries = DataManager.GetHistoricalBars(historyProvider, instrument1.Legs[0].Instrument, DateTime.Now.Date.AddDays(-30), DateTime.Now.Date, BarType.Time, 86400);

            BarFactory.Add(instrument1.Legs[0].Instrument, BarType.Time, 86400);
            sellSideStrategy.AddInstrument(instrument1.Legs[0].Instrument);
            DataSimulator.Series.Add(dailySeries);
            Console.WriteLine("Data simulator add {0} daily series count = {1}, {2}-{3}", instrument1.Legs[0].Instrument.Symbol, dailySeries.Count, dailySeries.FirstDateTime, dailySeries.LastDateTime);
            buyside.AddInstrument(instrument1);
            BarFactory.Add(instrument1, BarType.Time, 86400);
            DataSimulator.SubscribeAll = false;
            ExecutionSimulator.FillOnBar = true;
            Console.WriteLine("Start");
            StartBacktest();
        }
    }
}

using System;

using SmartQuant;

namespace OpenQuant
{
    public class MySellSideStrategy : SellSideInstrumentStrategy
    {
        private Instrument sellSideInstrument;
      public MySellSideStrategy(Framework framework, string name)
            : base(framework, name)
        {

        }

        protected override void OnSubscribe(Instrument instrument)
        {
                Console.WriteLine("OnSubscribe {0}", instrument.Symbol);
                sellSideInstrument = instrument;
                foreach (Leg leg in instrument.Legs)
                {
                    Console.WriteLine("Add daily bar {0}", leg.Instrument.Symbol);
                    BarFactory.Add(leg.Instrument, BarType.Time, 86400);
                    Console.WriteLine("Add instrument {0}", leg.Instrument.Symbol);
                    AddInstrument(leg.Instrument);
                }
        }

        protected override void OnBar(Instrument instrument, Bar bar)
        {
            Bar sellSideBar = new Bar(bar.DateTime, bar.CloseDateTime, 261, bar.Type, bar.Size, bar.Open, bar.High, bar.Low, bar.Close, bar.Volume);
            Console.WriteLine("EmitBar {0}", sellSideBar);
            EmitBar(sellSideBar);
        }
    }
}

using System;

using SmartQuant;

namespace OpenQuant
{
    public class MyBuySideStrategy : InstrumentStrategy
    {
      public MyBuySideStrategy(Framework framework, string name)
            : base(framework, name)
        {
        }

        protected override void OnStrategyStart()
        {
            Group("Bars", "Pad", 0);
        }

        protected override void OnBar(Instrument instrument, Bar bar)
        {
            Console.WriteLine("OnBar {0}", bar);
            Log(bar, "Bars");
        }
    }
}

EventManager::OnException Exception occured in EventHandler - Bar [12/10/2018 00:00:00.000 - 12/10/2018 00:00:00.000] Instrument=153 Type=Time Size=86400 Open=3160.2 High=0 Low=0 Close=0 Volume=0 - System.NullReferenceException: Object reference not set to an instance of an object.
   at SmartQuant.Strategy_.StrategyManager_.w6RuNp8S9C(Bar  )
   at SmartQuant.EventManager.rprmT88ahM(Event  )
   at SmartQuant.EventManager.OnEvent(Event e)