private void OnStrategyChanged(DiagramStrategy strategy) { _strategy = strategy; _strategy.OrderRegistering += OnStrategyOrderRegistering; _strategy.OrderReRegistering += OnStrategyOrderReRegistering; _strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; _strategy.StopOrderRegistering += OnStrategyOrderRegistering; _strategy.StopOrderReRegistering += OnStrategyOrderReRegistering; _strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; _strategy.NewMyTrades += OnStrategyNewMyTrade; _strategy.PositionManager.NewPosition += OnStrategyNewPosition; _strategy.PositionManager.Positions.ForEach(OnStrategyNewPosition); _strategy.PnLChanged += OnStrategyPnLChanged; _strategy.Reseted += OnStrategyReseted; _strategy.SetChart(ChartPanel); PropertyGrid.SelectedObject = _strategy; StatisticParameterGrid.StatisticManager = _strategy.StatisticManager; }
private void OnStrategyChanged(DiagramStrategy strategy) { _strategy = strategy; _strategy.OrderRegistering += OnStrategyOrderRegistering; _strategy.OrderReRegistering += OnStrategyOrderReRegistering; _strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; _strategy.StopOrderRegistering += OnStrategyOrderRegistering; _strategy.StopOrderReRegistering += OnStrategyOrderReRegistering; _strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; _strategy.NewMyTrades += OnStrategyNewMyTrade; _strategy.PositionManager.NewPosition += OnStrategyNewPosition; _strategy.PositionManager.Positions.ForEach(OnStrategyNewPosition); _strategy.PnLChanged += OnStrategyPnLChanged; _strategy.Reseted += OnStrategyReseted; _strategy.SetChart(ChartPanel); PropertyGrid.SelectedObject = _strategy; StatisticParameterGrid.StatisticManager = _strategy.StatisticManager; }
private void OnStrategyChanged(DiagramStrategy oldStrategy, DiagramStrategy newStrategy) { if (oldStrategy != null) { StatisticsGrid.StatisticManager = null; ConfigManager .GetService <LogManager>() .Sources .Remove(oldStrategy); oldStrategy.Composition = null; oldStrategy.ParametersChanged -= RaiseChanged; oldStrategy.OrderRegistering += OnStrategyOrderRegistering; oldStrategy.OrderReRegistering += OnStrategyOrderReRegistering; oldStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; oldStrategy.StopOrderRegistering += OnStrategyOrderRegistering; oldStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering; oldStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; oldStrategy.NewMyTrades += OnStrategyNewMyTrade; } DiagramDebuggerControl.Strategy = newStrategy; if (newStrategy == null) { return; } StatisticsGrid.StatisticManager = newStrategy.StatisticManager; ConfigManager .GetService <LogManager>() .Sources .Add(newStrategy); newStrategy.ParametersChanged += RaiseChanged; newStrategy.OrderRegistering += OnStrategyOrderRegistering; newStrategy.OrderReRegistering += OnStrategyOrderReRegistering; newStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; newStrategy.StopOrderRegistering += OnStrategyOrderRegistering; newStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering; newStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; newStrategy.NewMyTrades += OnStrategyNewMyTrade; newStrategy.PnLChanged += () => { var pnl = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.PnL - newStrategy.Commission ?? 0 }; var unrealizedPnL = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.PnLManager.UnrealizedPnL }; var commission = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.Commission ?? 0 }; _pnlCurve.Add(pnl); _unrealizedPnLCurve.Add(unrealizedPnL); _commissionCurve.Add(commission); }; newStrategy.PositionChanged += () => _posItems.Add(new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.Position }); newStrategy.SetChart(_bufferedChart); }
private void OnStrategyChanged(DiagramStrategy oldStrategy, DiagramStrategy newStrategy) { if (oldStrategy != null) { ConfigManager .GetService<LogManager>() .Sources .Remove(oldStrategy); oldStrategy.ParametersChanged -= RaiseChanged; oldStrategy.OrderRegistering += OnStrategyOrderRegistering; oldStrategy.OrderReRegistering += OnStrategyOrderReRegistering; oldStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; oldStrategy.StopOrderRegistering += OnStrategyOrderRegistering; oldStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering; oldStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; oldStrategy.NewMyTrades += OnStrategyNewMyTrade; } DiagramDebuggerControl.Strategy = newStrategy; if (newStrategy == null) return; ConfigManager .GetService<LogManager>() .Sources .Add(newStrategy); newStrategy.ParametersChanged += RaiseChanged; newStrategy.OrderRegistering += OnStrategyOrderRegistering; newStrategy.OrderReRegistering += OnStrategyOrderReRegistering; newStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; newStrategy.StopOrderRegistering += OnStrategyOrderRegistering; newStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering; newStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; newStrategy.NewMyTrades += OnStrategyNewMyTrade; newStrategy.PnLChanged += () => { var pnl = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.PnL - newStrategy.Commission ?? 0 }; var unrealizedPnL = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.PnLManager.UnrealizedPnL }; var commission = new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.Commission ?? 0 }; _pnlCurve.Add(pnl); _unrealizedPnLCurve.Add(unrealizedPnL); _commissionCurve.Add(commission); }; newStrategy.PositionChanged += () => _posItems.Add(new EquityData { Time = newStrategy.CurrentTime, Value = newStrategy.Position }); newStrategy.SetChart(_bufferedChart); }
private void StartButtonOnClick(object sender, RoutedEventArgs e) { _logManager.Sources.Clear(); _bufferedChart.ClearAreas(); Curve.Clear(); PositionCurve.Clear(); if (HistoryPathTextBox.Text.IsEmpty() || !Directory.Exists(HistoryPathTextBox.Text)) { MessageBox.Show("Wrong path."); return; } if (_connector != null && _connector.State != EmulationStates.Stopped) { MessageBox.Show("Already launched."); return; } if (Composition == null) { MessageBox.Show("No strategy selected."); return; } var secGen = new SecurityIdGenerator(); var secIdParts = secGen.Split(SecusityTextBox.Text); var secCode = secIdParts.SecurityCode; var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode); var timeFrame = (TimeSpan)TimeFrameComboBox.SelectedItem; var useCandles = (string)MarketDataTypeComboBox.SelectedItem != "Ticks"; // create test security var security = new Security { Id = SecusityTextBox.Text, // sec id has the same name as folder with historical data Code = secCode, Board = board, }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path DefaultDrive = new LocalMarketDataDrive(HistoryPathTextBox.Text) }; var startTime = ((DateTime)FromDatePicker.Value).ChangeKind(DateTimeKind.Utc); var stopTime = ((DateTime)ToDatePicke.Value).ChangeKind(DateTimeKind.Utc); // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); // set ProgressBar bounds TicksAndDepthsProgress.Value = 0; TicksAndDepthsProgress.Maximum = 100; var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1) .TryAdd(Level1Fields.StepPrice, 6m) .TryAdd(Level1Fields.MinPrice, 10m) .TryAdd(Level1Fields.MaxPrice, 1000000m) .TryAdd(Level1Fields.MarginBuy, 10000m) .TryAdd(Level1Fields.MarginSell, 10000m); // test portfolio var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000, }; // create backtesting connector _connector = new HistoryEmulationConnector( new[] { security }, new[] { portfolio }) { EmulationAdapter = { Emulator = { Settings = { // match order if historical price touched our limit order price. // It is terned off, and price should go through limit order price level // (more "severe" test mode) MatchOnTouch = false, } } }, UseExternalCandleSource = useCandles, HistoryMessageAdapter = { StorageRegistry = storageRegistry, // set history range StartDate = startTime, StopDate = stopTime, }, // set market time freq as time frame MarketTimeChangedInterval = timeFrame, }; //((ILogSource)_connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; _logManager.Sources.Add(_connector); var candleManager = !useCandles ? new CandleManager(new TradeCandleBuilderSourceEx(_connector)) : new CandleManager(_connector); // create strategy based on 80 5-min и 10 5-min var strategy = new DiagramStrategy { Volume = 1, Portfolio = portfolio, Security = security, Connector = _connector, //LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info, Composition = Composition, // by default interval is 1 min, // it is excessively for time range with several months UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>() }; strategy.SetChart(_bufferedChart); strategy.SetCandleManager(candleManager); _logManager.Sources.Add(strategy); strategy.OrderRegistering += OnStrategyOrderRegistering; strategy.OrderReRegistering += OnStrategyOrderReRegistering; strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; strategy.StopOrderRegistering += OnStrategyOrderRegistering; strategy.StopOrderReRegistering += OnStrategyOrderReRegistering; strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; strategy.NewMyTrades += OnStrategyNewMyTrade; var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + strategy.Name, Colors.DarkGreen, EquityCurveChartStyles.Area); var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + strategy.Name, Colors.Black); var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + strategy.Name, Colors.Red, EquityCurveChartStyles.DashedLine); strategy.PnLChanged += () => { var pnl = new EquityData { Time = strategy.CurrentTime, Value = strategy.PnL - strategy.Commission ?? 0 }; var unrealizedPnL = new EquityData { Time = strategy.CurrentTime, Value = strategy.PnLManager.UnrealizedPnL }; var commission = new EquityData { Time = strategy.CurrentTime, Value = strategy.Commission ?? 0 }; pnlCurve.Add(pnl); unrealizedPnLCurve.Add(unrealizedPnL); commissionCurve.Add(commission); }; var posItems = PositionCurve.CreateCurve(strategy.Name, Colors.DarkGreen); strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position }); _connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // fill level1 values _connector.SendInMessage(level1Info); //_connector.RegisterMarketDepth(security); if (!useCandles) { _connector.RegisterTrades(security); } // start strategy before emulation started strategy.Start(); // start historical data loading when connection established successfully and all data subscribed _connector.Start(); }; var nextTime = startTime + progressStep; // handle historical time for update ProgressBar _connector.MarketTimeChanged += d => { if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime) { return; } var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1; nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>(); this.GuiAsync(() => TicksAndDepthsProgress.Value = steps); }; _connector.StateChanged += () => { switch (_connector.State) { case EmulationStates.Stopped: strategy.Stop(); SetIsEnabled(false); this.GuiAsync(() => { if (_connector.IsFinished) { TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum; MessageBox.Show("Done."); } else { MessageBox.Show("Cancelled."); } }); break; case EmulationStates.Started: SetIsEnabled(true); break; } }; TicksAndDepthsProgress.Value = 0; // raise NewSecurities and NewPortfolio for full fill strategy properties _connector.Connect(); // 1 cent commission for trade _connector.SendInMessage(new CommissionRuleMessage { Rule = new CommissionPerTradeRule { Value = 0.01m } }); }
private void StartButtonOnClick(object sender, RoutedEventArgs e) { _logManager.Sources.Clear(); _bufferedChart.ClearAreas(); Curve.Clear(); PositionCurve.Clear(); if (HistoryPathTextBox.Text.IsEmpty() || !Directory.Exists(HistoryPathTextBox.Text)) { MessageBox.Show("Wrong path."); return; } if (_connector != null && _connector.State != EmulationStates.Stopped) { MessageBox.Show("Already launched."); return; } if (Composition == null) { MessageBox.Show("No strategy selected."); return; } var secGen = new SecurityIdGenerator(); var secIdParts = secGen.Split(SecusityTextBox.Text); var secCode = secIdParts.SecurityCode; var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode); var timeFrame = (TimeSpan)TimeFrameComboBox.SelectedItem; var useCandles = (string)MarketDataTypeComboBox.SelectedItem != "Ticks"; // create test security var security = new Security { Id = SecusityTextBox.Text, // sec id has the same name as folder with historical data Code = secCode, Board = board, }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path DefaultDrive = new LocalMarketDataDrive(HistoryPathTextBox.Text) }; var startTime = ((DateTime)FromDatePicker.Value).ChangeKind(DateTimeKind.Utc); var stopTime = ((DateTime)ToDatePicke.Value).ChangeKind(DateTimeKind.Utc); // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>(); // set ProgressBar bounds TicksAndDepthsProgress.Value = 0; TicksAndDepthsProgress.Maximum = 100; var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1) .TryAdd(Level1Fields.StepPrice, 6m) .TryAdd(Level1Fields.MinPrice, 10m) .TryAdd(Level1Fields.MaxPrice, 1000000m) .TryAdd(Level1Fields.MarginBuy, 10000m) .TryAdd(Level1Fields.MarginSell, 10000m); // test portfolio var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000, }; // create backtesting connector _connector = new HistoryEmulationConnector( new[] { security }, new[] { portfolio }) { EmulationAdapter = { Emulator = { Settings = { // match order if historical price touched our limit order price. // It is terned off, and price should go through limit order price level // (more "severe" test mode) MatchOnTouch = false, } } }, UseExternalCandleSource = useCandles, HistoryMessageAdapter = { StorageRegistry = storageRegistry, // set history range StartDate = startTime, StopDate = stopTime, }, // set market time freq as time frame MarketTimeChangedInterval = timeFrame, }; //((ILogSource)_connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; _logManager.Sources.Add(_connector); var candleManager = !useCandles ? new CandleManager(new TradeCandleBuilderSourceEx(_connector)) : new CandleManager(_connector); // create strategy based on 80 5-min и 10 5-min var strategy = new DiagramStrategy { Volume = 1, Portfolio = portfolio, Security = security, Connector = _connector, //LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info, Composition = Composition, // by default interval is 1 min, // it is excessively for time range with several months UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>() }; strategy.SetChart(_bufferedChart); strategy.SetCandleManager(candleManager); _logManager.Sources.Add(strategy); strategy.OrderRegistering += OnStrategyOrderRegistering; strategy.OrderReRegistering += OnStrategyOrderReRegistering; strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed; strategy.StopOrderRegistering += OnStrategyOrderRegistering; strategy.StopOrderReRegistering += OnStrategyOrderReRegistering; strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed; strategy.NewMyTrades += OnStrategyNewMyTrade; var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + strategy.Name, Colors.DarkGreen, EquityCurveChartStyles.Area); var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + strategy.Name, Colors.Black); var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + strategy.Name, Colors.Red, EquityCurveChartStyles.DashedLine); strategy.PnLChanged += () => { var pnl = new EquityData { Time = strategy.CurrentTime, Value = strategy.PnL - strategy.Commission ?? 0 }; var unrealizedPnL = new EquityData { Time = strategy.CurrentTime, Value = strategy.PnLManager.UnrealizedPnL }; var commission = new EquityData { Time = strategy.CurrentTime, Value = strategy.Commission ?? 0 }; pnlCurve.Add(pnl); unrealizedPnLCurve.Add(unrealizedPnL); commissionCurve.Add(commission); }; var posItems = PositionCurve.CreateCurve(strategy.Name, Colors.DarkGreen); strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position }); _connector.NewSecurities += securities => { if (securities.All(s => s != security)) return; // fill level1 values _connector.SendInMessage(level1Info); //_connector.RegisterMarketDepth(security); if (!useCandles) _connector.RegisterTrades(security); // start strategy before emulation started strategy.Start(); // start historical data loading when connection established successfully and all data subscribed _connector.Start(); }; var nextTime = startTime + progressStep; // handle historical time for update ProgressBar _connector.MarketTimeChanged += d => { if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime) return; var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1; nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>(); this.GuiAsync(() => TicksAndDepthsProgress.Value = steps); }; _connector.StateChanged += () => { switch (_connector.State) { case EmulationStates.Stopped: strategy.Stop(); SetIsEnabled(false); this.GuiAsync(() => { if (_connector.IsFinished) { TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum; MessageBox.Show("Done."); } else MessageBox.Show("Cancelled."); }); break; case EmulationStates.Started: SetIsEnabled(true); break; } }; TicksAndDepthsProgress.Value = 0; // raise NewSecurities and NewPortfolio for full fill strategy properties _connector.Connect(); // 1 cent commission for trade _connector.SendInMessage(new CommissionRuleMessage { Rule = new CommissionPerTradeRule { Value = 0.01m } }); }