程序员的量化交易之路（38）--Lean之实时事件处理接口IRealTimeHandler和RealTimeEvent6

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;
        }
    }
}

实时事件处理接口：

/*
 * 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();
    }
}