标签：量化交易 quantconnect lean realtimeevent realtimehandler
转载需注明出处：http://blog.csdn.net/minimicall?viewmode=contents，http://cloudtrade.top/
这节开始我们要开始说明另外一个模块：实时事件处理模块。
这个模块的工作是什么呢。它就是用来设置一些在特定时间需要执行的任务。比如，每天开盘的时候，你可以做一个什么动作，比如每天收盘的时候你也可以做一个动作。当然还有更为广泛的运用。
在Lean中，是开启一个单独的线程来处理这种定时任务的。
实时事件：RealTimeEvent
实时事件处理接口：IRealTimeHandler
下面我们通过代码来说明，说明都在注释里面。废话少说：
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using QuantConnect.Logging;
namespace QuantConnect.Lean.Engine.RealTime
{
/// <summary>
/// Realtime event object for holding information on the event time and callback.
/// 实时时间对象：保存时间相关的的事件信息和回调
/// </summary>
public class RealTimeEvent
{
/********************************************************
* CLASS VARIABLES
*********************************************************/
// Trigger Timing
private readonly DateTime _triggerTime;//触发时间
private readonly Action _callback;//回调方法（没有参数、返回值）
private readonly bool _logging;//是否写日志
// Trigger Action
private bool _triggered;//是否已经触发
/********************************************************
* CLASS PROPERTIES
*********************************************************/
/// <summary>
/// Flag indicating the event has been triggered
/// 事件是否已经触发了的标志
/// </summary>
public bool Triggered
{
get { return _triggered; }
}
/********************************************************
* CONSTRUCTOR METHODS
*********************************************************/
/// <summary>
/// Setup new event to fire at a specific time. Managed by a RealTimeHandler thread.
/// 设置一个新的事件，在特定的时间触发，由RealTimeHandler线程管理
/// </summary>
/// <param name="triggerTime">Time of day to trigger this event</param>
/// <param name="callback">Action to run when the time passes.</param>
/// <param name="logging">Enable logging the realtime events</param>
/// <seealso cref="IRealTimeHandler"/>
public RealTimeEvent(DateTime triggerTime, Action callback, bool logging = false)
{
_triggered = false;
_triggerTime = triggerTime;
_callback = callback;
_logging = logging;
}
/********************************************************
* CLASS METHODS:
*********************************************************/
/// <summary>
/// Scan this event to see if this real time event has been triggered.
/// 扫描，检查该事件是否已经被触发
/// </summary>
/// <param name="time">Current real or simulation time 当前时间（真实交易或者模拟交易的时间）</param>
public void Scan(DateTime time)
{
if (_triggered)
{//如果已经触发过，就直接返回，不需要返回了
return;
}
//When the time passes the trigger time, trigger the event.
//如果当前时间比设定的触发时间更晚了，那么就需要触发该事件
if (time > _triggerTime)
{
_triggered = true;//标志为已经触发
try
{
if (_logging)
{
Log.Trace("RealTimeEvent.Scan(): Eventhandler Called: " + time.ToString("u"));
}
_callback();//调用回调函数
}
catch (Exception err)
{
Log.Error("RealTimeEvent.Scan(): Error in callback: " + err.Message);
}
}
}
/// <summary>
/// Reset the triggered flag.
/// </summary>
public void Reset()
{
_triggered = false;
}
}
}
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*
*/
using System;
using System.Collections.Generic;
using QuantConnect.Packets;
namespace QuantConnect.Lean.Engine.RealTime
{
/// <summary>
/// Real time event handler, trigger functions at regular or pretimed intervals
/// 实时事件处理，周期性触发回调方法，或者在设定的时间触发
/// </summary>
public interface IRealTimeHandler
{
/********************************************************
* INTERFACE PROPERTIES
*********************************************************/
/// <summary>
/// The real time handlers internal record of current time used to scan the events.
/// 现在的时间
/// </summary>
DateTime Time
{
get;
}
/// <summary>
/// List of events we're monitoring.
/// 我们监控的事件列表
/// </summary>
List<RealTimeEvent> Events
{
get;
}
/// <summary>
/// Thread status flag.
/// 本线程是否活跃
/// </summary>
bool IsActive
{
get;
}
/// <summary>
/// Data for the Market Open Hours Today
/// 市场交易时间
/// </summary>
Dictionary<SecurityType, MarketToday> MarketToday
{
get;
}
/********************************************************
* INTERFACE METHODS
*********************************************************/
/// <summary>
/// Main entry point to scan and trigger the realtime events.
/// 线程入口
/// </summary>
void Run();
/// <summary>
/// Given a list of events, set it up for this day.
/// </summary>
void SetupEvents(DateTime day);
/// <summary>
/// Add a new event to the processing list
/// 增加事件
/// </summary>
/// <param name="newEvent">Event information</param>
void AddEvent(RealTimeEvent newEvent);
/// <summary>
/// Trigger a scan of the events.
/// 触发事件
/// </summary>
void ScanEvents();
/// <summary>
/// Reset all the event flags for a new day.
/// 重置所有事件标志，为新的一天
/// </summary>
/// <remarks>Realtime events are setup as a timespan hours since </remarks>
void ResetEvents();
/// <summary>
/// Clear all the events in the list.
/// </summary>
void ClearEvents();
/// <summary>
/// Set the current time for the event scanner (so we can use same code for backtesting and live events)
/// 设置现在的时间
/// </summary>
/// <param name="time">Current real or backtest time.</param>
void SetTime(DateTime time);
/// <summary>
/// Trigger and exit signal to terminate real time event scanner.
/// 退出该线程
/// </summary>
void Exit();
}
}
程序员的量化交易之路（38）--Lean之实时事件处理接口IRealTimeHandler和RealTimeEvent6
标签：量化交易 quantconnect lean realtimeevent realtimehandler
原文地址：http://blog.csdn.net/minimicall/article/details/46581557
