private static void DoMainBackTest()
{
var eventBus = new QueuedEventBus();
var dataSource = CsvDataSource.CreateFromFiles("Data\\Min1", new[] { Symbols.Sber, Symbols.Vtbr });
var marketData = new ComposedMarketData(dataSource.Bars);
var bars = new HistoricDataHandler(eventBus, marketData);
var strategy = new BuyAndHoldStrategy(eventBus, bars);
var executionHandler = new SimulatedExecutionHandler(eventBus, bars);
var portfolio = new NaivePortfolio(eventBus, bars, 10000m);
var backTest = new BackTest(eventBus, bars, strategy, portfolio, executionHandler);
backTest.SimulateTrading();
}
public void ComposedMarketDataLoadedFromStringsIsValid()
{
var dataSource = CsvDataSource.CreateFormStrings(Mother.UnsortedRowsCsvData);
var mdata = new ComposedMarketData(dataSource.Bars);
Assert.IsNotNull(mdata.Bars);
Assert.IsTrue(mdata.RowKeys.Count > 0);
Assert.IsTrue(mdata.Symbols.Count == 2);
Assert.Contains(Symbols.Sber, mdata.Symbols.ToList());
Assert.Contains(Symbols.Vtbr, mdata.Symbols.ToList());
var sberBars = mdata.Bars[Symbols.Sber];
foreach (var bar in sberBars.Values)
{
Console.WriteLine(bar);
}
}
public void CanGetLastBarFromCsvMarketData()
{
var dataSource = CsvDataSource.CreateFormStrings(Mother.GenericCsvData);
var marketData = new ComposedMarketData(dataSource.Bars);
var eventBus = new QueuedEventBus();
var handler = new HistoricDataHandler(eventBus, marketData);
Console.WriteLine("Total rows = {0}", marketData.RowKeys.Count);
var i = 0;
while (handler.ContinueBacktest)
{
handler.Update();
i++;
var sber = handler.GetLast(Symbols.Sber);
var vtbr = handler.GetLast(Symbols.Vtbr);
Console.WriteLine($"Iteration {i}");
if (sber == null)
{
Console.WriteLine($"{handler.CurrentTime} => SBER is NULL");
}
else
{
sber.Print();
}
if (vtbr == null)
{
Console.WriteLine($"{handler.CurrentTime} => VTBR is NULL");
}
else
{
vtbr.Print();
}
Console.WriteLine("------------------");
}
}
public void ComposedMarketDataLoadedFromStringsHasValidRowKeys()
{
var dataSource = CsvDataSource.CreateFormStrings(Mother.UnsortedRowsCsvData);
var mdata = new ComposedMarketData(dataSource.Bars);
var rowKeys = mdata.RowKeys;
foreach (var dateTime in rowKeys)
{
Console.WriteLine("key={0}", dateTime);
}
DateTime?prev = null;
foreach (var dateTime in rowKeys)
{
if (prev == null)
{
prev = dateTime;
continue;
}
Assert.IsTrue(prev <= dateTime);
}
}
