ats

type BarCache struct {
	Bars
	// contains filtered or unexported fields
}

type Bars struct {
	Date   []timeT64
	Open   []float64
	High   []float64
	Low    []float64
	Close  []float64
	Volume []float64
	// contains filtered or unexported fields
}

type Broker interface {
	Open(ch chan<- QuoteEvent) (Broker, error) // on success return interface pointer
	Start(c Config) error                      // user/pwd, startDate/endDate ...
	Stop() error                               // stop broker, logout, cleanup
	SubscribeQuotes([]QuoteSubT) error

	Equity() float64                                                              // return equity value current
	Balance() float64                                                             // Balance after last settlement
	Cash() float64                                                                // available free cash
	FreeMargin() float64                                                          // availble free margin
	SendOrder(sym string, dir OrderDirT, qty int, prc float64, stopL float64) int // return oId >=0 on success
	CancelOrder(oID int) error                                                    // Cancel Order
	CloseOrder(oID int)
	GetOrder(oID int) *OrderType
	GetOrders() []int
	GetPosition(sym string) PositionType
	GetPositions() []PositionType
	TimeCurrent() DateTimeMs // return current time of broker server in millisecond timestamp
}

type Config map[string]interface{}

type Context struct {
	Broker
	Config
	GetBars func(sym string, period Period) (res *Bars, err error)
}

type DateTimeMs int64

type DayTA struct {
	Date     julian.JulianDay
	Open     int32
	High     int32
	Low      int32
	Close    int32
	Turnover float32
	Volume   int64
}

type MinFX struct {
	Time      timeT64
	Open      int32
	High      int32
	Low       int32
	Close     int32
	Ticks     int32
	Volume    float32
	SpreadMin uint16
	SpreadMax uint16
}

type MinTA struct {
	Time    timeT32
	Open    int32
	High    int32
	Low     int32
	Close   int32
	Volume  uint32
	UpVol   uint32
	DownVol uint32
}

type MinTAExt struct {
	Time     timeT32
	Avg      int32
	Turnover float32
	OpenInt  uint32
}

type OrderDirT int32

type OrderStatusT int32

type OrderType struct {
	Symbol    string
	Price     float64
	StopPrice float64
	Dir       OrderDirT
	Qty       int
	QtyFilled int
	Magic     int
	Status    OrderStatusT
	AckTime   DateTimeMs
	DoneTime  DateTimeMs
	AvgPrice  float64
}

type Parameter struct {
	Name  string
	Value interface{}
}

type Period int32

type PositionType struct {
	Positions int
	PosFreeze int
	AvgPrice  float64 // average price for position
	// contains filtered or unexported fields
}

type QuoteEvent struct {
	Symbol  string
	EventID int
}

type QuoteSubT struct {
	Symbol    string
	QuotesPtr *Quotes
}

type Quotes struct {
	UpdateTime DateTimeMs
	TodayOpen  float64
	TodayHigh  float64
	TodayLow   float64
	Pclose     float64
	Last       float64
	Volume     int64
	Turnover   float64
	Bid        float64
	Ask        float64
	BidVol     int64
	AskVol     int64
}

type Series interface {
	Len() int
	DataAt(i int) float64
}

type Strategyer interface {
	ParamSet() []Parameter               // Return parameter set for strategy
	Init(c *Context) (Strategyer, error) // Initialize strategy paramter, universe in c.Config
	OnTick(sym string)                   // sym tick/quotes updated
	OnBar(sym string, period Period)     // bar with period updated
	DeInit()                             // Destroy interface/state
}

type Symbol struct {
	Ticker        string
	Name          string
	StartDate     julian.JulianDay
	EndDate       julian.JulianDay
	AutoCloseDate julian.JulianDay
	Exchange      string
	// contains filtered or unexported fields
}

type SymbolInfo struct {
	Ticker string

	Upper float64
	Lower float64
	// contains filtered or unexported fields
}

type SymbolKey int

type TaSeries interface {
	Len() int
	BarValue(i int) (Ti timeT64, Op, Hi, Lo, Cl float64, Vol float64)
}

type Tick struct {
	Time   timeT32
	Last   int32
	Volume uint32
}

type TickExt struct {
	Time     timeT32
	Bid      int32
	BidVol   uint32
	Ask      int32
	AskVol   uint32
	BidDepth int32
	AskDepth int32
	BidsVol  uint32
	AsksVol  uint32
}

type TickFX struct {
	Time DateTimeMs
	Bid  int32
	Ask  int32
}

type TickHead struct {
	Time    timeT32 // timeStamp Base, timeT32 for first tick
	BaseP   int32   // BasePrice, Last for first tick or pclose
	Count   int32   // Tick/TickExt count
	BufSize int32   // BufSize for encoded(compressed)
}

type TimeSeries interface {
	Len() int
	DataAt(timeT64) float64
	Index(timeT64) int
}