// .h
#ifndef LONGBEACH_SIGNALS_SAMPLEANDHOLDSIGNAL_H
#define LONGBEACH_SIGNALS_SAMPLEANDHOLDSIGNAL_H
#include <longbeach/core/ptime.h>
#include <longbeach/signals/Signal.h>
#include <longbeach/signals/SignalSpec.h>
#include <longbeach/clientcore/PeriodicWakeup.h>
namespace longbeach {
namespace signals {
/// Samples a given signal at fixed intervals.
class SampleAndHoldSignal : public SignalImpl, public PeriodicWakeup
{
public:
SampleAndHoldSignal(ClockMonitor *cm, ISignalPtr subSignal, const ptime_duration_t &wakeupInterval, const ptime_duration_t &wakeupOffset, uint32_t priority);
virtual const instrument_t& getInstrument() const { return m_subSignal->getInstrument(); }
virtual const std::string& getDesc() const { return m_subSignal->getDesc(); }
virtual size_t getStateSize() const { return m_subSignal->getStateSize(); }
virtual const std::vector<std::string>& getStateNames() const { return m_subSignal->getStateNames(); }
virtual bool isOK() const { return m_lastIsOK; }
virtual const std::vector<double>& getSignalState() const { return m_lastState; }
/// returns the last time this SampleAndHoldSignal was sampled.
virtual longbeach::timeval_t getLastChangeTv() const { return m_lastChangeTime; }
virtual boost::optional<timeval_t> getLastScheduledChangeTv() const { return m_lastWakeupSwtv; }
protected:
void onPeriodicWakeup(const timeval_t &ctv, const timeval_t &swtv);
ISignalPtr m_subSignal;
bool m_lastIsOK;
std::vector<double> m_lastState;
longbeach::timeval_t m_lastChangeTime, m_lastWakeupSwtv;
};
LONGBEACH_DECLARE_SHARED_PTR(SampleAndHoldSignal);
/// SampleAndHoldSignalSpec
class SampleAndHoldSignalSpec : public ISignalSpec
{
public:
LONGBEACH_DECLARE_SCRIPTING();
SampleAndHoldSignalSpec() {}
SampleAndHoldSignalSpec(const SampleAndHoldSignalSpec &e);
virtual ISignalPtr build(SignalBuilder *builder) const;
virtual void checkValid() const;
virtual void hashCombine(size_t &result) const;
virtual bool compare(const ISignalSpec *other) const;
virtual void print(std::ostream &o, const LuaPrintSettings &ps) const;
virtual void getDataRequirements(IDataRequirements *rqs) const;
virtual SampleAndHoldSignalSpec *clone() const;
virtual instrument_t getInstrument() const { return m_subSignal->getInstrument(); }
virtual std::string getDescription() const { return m_subSignal->getDescription(); }
ISignalSpecCPtr __get_signal_spec() const { return m_subSignal; }
void __set_signal_spec(ISignalSpecPtr p) { m_subSignal = p; }
ISignalSpecCPtr m_subSignal;
ptime_duration_t m_wakeupInterval, m_wakeupOffset;
uint32_t m_wakeupPriority;
};
LONGBEACH_DECLARE_SHARED_PTR(SampleAndHoldSignalSpec);
} // namespace longbeach
} // namespace signals
#endif // LONGBEACH_SIGNALS_SAMPLEANDHOLDSIGNAL_H
量化交易之HFT篇 - long beach - SampleAndHoldSignal.h
于 2022-10-26 17:24:04 首次发布