</pre>转载需注明出处：<a target=_blank href="?viewmode=contents">?viewmode=contents</a>，<a target=_blank href=""></a></p><p></p><p>上一节已经说明了实时事件和处理接口。这一节需要说明回测里面的实时事件处理。主要是开启一个新的线程来处理定时事件。例如每天开市的时候的事件和每天闭市时候触发的事件。还有你可以定义任意一个给定时间的事件。</p><p>下面我们通过代码来说 明问题</p><p><pre name="code" class="csharp">/* * 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 * * 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 System.Threading;using QuantConnect.Interfaces;using QuantConnect.Packets;using QuantConnect.Logging;namespace QuantConnect.Lean.Engine.RealTime{/// <summary>/// Psuedo realtime event processing for backtesting to simulate realtime events in fast forward./// 伪实时事件处理，为回归测试实时事件（快进）/// </summary>public class BacktestingRealTimeHandler : IRealTimeHandler{/********************************************************* PRIVATE VARIABLES*********************************************************///Threadingprivate DateTime _time = new DateTime();private bool _exitTriggered;private bool _isActive = true;private AlgorithmNodePacket _job;//相关任务//Events:private List<RealTimeEvent> _events;//Algorithm and Handlers:private IAlgorithm _algorithm;//相关算法private Dictionary<SecurityType, MarketToday> _today;//今日市场/********************************************************* PUBLIC PROPERTIES*********************************************************//// <summary>/// Realtime Moment./// </summary>public DateTime Time{get{return _time;}}/// <summary>/// Events array we scan to trigger realtime events./// </summary>public List<RealTimeEvent> Events{get{return _events;}}/// <summary>/// Flag indicating the hander thread is completely finished and ready to dispose./// </summary>public bool IsActive{get{return _isActive;}}/// <summary>/// Market hours for today for each security type in the algorithm/// 为算法中每种证券类型的今日交易时间（例如股票和黄金的交易时间就不一样的，如果该算法涉及到这两种证券类型）/// </summary>public Dictionary<SecurityType, MarketToday> MarketToday{get{throw new NotImplementedException("MarketToday is not currently needed in backtesting mode");//回归测试不需要return _today;}}/********************************************************* PUBLIC CONSTRUCTOR*********************************************************//// <summary>/// Setup the algorithm data, cash, job start end date etc./// 设置算法数据、现金、任务开始和结束时间等信息，通过algorithm和job即可/// </summary>public BacktestingRealTimeHandler(IAlgorithm algorithm, AlgorithmNodePacket job){//Initialize:_algorithm = algorithm;_events = new List<RealTimeEvent>();_job = job;_today = new Dictionary<SecurityType, MarketToday>();}/********************************************************* PUBLIC METHODS*********************************************************//// <summary>/// Setup the events for this date./// 设置该日的事件/// </summary>/// <param name="date">Date for event</param>public void SetupEvents(DateTime date){//Clear any existing events:清除已经存在的事件ClearEvents();//Set up the events:设置事件//1. Default End of Day Times:foreach (var security in _algorithm.Securities.Values)//遍历算法中涉及的每一个证券{//Register Events:注册事件Log.Debug("BacktestingRealTimeHandler.SetupEvents(): Adding End of Day: " + security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10)));//1. Setup End of Day Events://设置事件结束时间(23:50)var closingToday = date.Date + security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10));var symbol = security.Symbol;//证券代号AddEvent(new RealTimeEvent( closingToday, () =>{//匿名方法try{_algorithm.OnEndOfDay(symbol);//在一天闭市的时候会调用该函数}catch (Exception err){Engine.ResultHandler.RuntimeError("Runtime error in OnEndOfDay event: " + err.Message, err.StackTrace);Log.Error("BacktestingRealTimeHandler.SetupEvents(): EOD: " + err.Message);}}));}// fire just before the day rolls over, 11:58pm在一天即将结束的时候调用。。。。（尼玛，，和上面究竟啥子关系）AddEvent(new RealTimeEvent(date.AddHours(23.967), () =>{//匿名方法try{_algorithm.OnEndOfDay();Log.Trace(string.Format("BacktestingRealTimeHandler: Fired On End of Day Event() for Day({0})", _time.ToShortDateString()));}catch (Exception err){Engine.ResultHandler.RuntimeError("Runtime error in OnEndOfDay event: " + err.Message, err.StackTrace);Log.Error("BacktestingRealTimeHandler.SetupEvents.Trigger OnEndOfDay(): " + err.Message);}}, true));}/// <summary>/// Normally this would run the realtime event monitoring. Backtesting is in fastforward so the realtime is linked to the backtest clock./// This thread does nothing. Wait until the job is over./// </summary>public void Run(){_isActive = false;}/// <summary>/// Add a new event to our list of events to scan./// </summary>/// <param name="newEvent">Event object to montitor daily.</param>public void AddEvent(RealTimeEvent newEvent){_events.Add(newEvent);}/// <summary>/// Scan the event list with the current market time and see if we need to trigger the callback./// </summary>public void ScanEvents(){for (var i = 0; i < _events.Count; i++){_events[i].Scan(_time);}}/// <summary>/// Clear any outstanding events./// </summary>public void ClearEvents(){_events.Clear();}/// <summary>/// Reset the events for a new day./// </summary>public void ResetEvents(){for (var i = 0; i < _events.Count; i++){_events[i].Reset();}}/// <summary>/// Set the time for the realtime event handler./// </summary>/// <param name="time">Current time.</param>public void SetTime(DateTime time){//Check for day reset:if (_time.Date != time.Date){// Backtest Mode Only:// > Scan & trigger any remaining events which haven't been triggered (e.g. daily bar data with "daily event" at 4pm):ScanEvents();//Reset all the daily events with today's date:SetupEvents(time.Date);}//Set the time:_time = time;// Backtest Mode Only:// > Scan the event every time we set the time. This allows "fast-forwarding" of the realtime events into sync with backtest.ScanEvents();}/// <summary>/// Stop the real time thread/// </summary>public void Exit(){_exitTriggered = true;}} // End Result Handler Thread:} // End Namespace
不然你大概会一直好奇和不甘吧——
