public bool Test()
{
InputData inData = new InputData();
inData.LoadFromDirectory(this.SourceDirectory, null);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
BuyLimitAndWaitStrategy blwStrategy = new BuyLimitAndWaitStrategy();
StrategyParameter sParam = ranges[0].GetAllParameters()[0];
sParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(sParam, null);
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
EngineFast engineFast = new EngineFast();
engineFast.StartTest(inData, blwStrategy, fPredictor, true, 100);
blwStrategy = new BuyLimitAndWaitStrategy();
sParam = ranges[0].GetAllParameters()[0];
sParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(sParam, null);
Engine engine = new Engine(null, null);
engine.StartTest(inData, blwStrategy, new Account(10000000, 3));
return(engineFast.HistoryOpenBuyPoints.Count() + engineFast.HistoryOpenSellPoints.Count()
== engine.ClosedOrders.Count());
}
public void AnalyseStrategy(DateTime?fromNullable, DateTime?toNullable)
{
Dictionary <int, ResetTimeAnalyzer> dictResp = new Dictionary <int, ResetTimeAnalyzer>();
double swap = 0;
if (ResetTimeAnalysis.SideAnalyser.Buy == Side && SwapCollection != null)
{
swap = SwapCollection.GetBuySwap(SymbolName);
}
if (ResetTimeAnalysis.SideAnalyser.Sell == Side && SwapCollection != null)
{
swap = SwapCollection.GetSellSwap(SymbolName);
}
InputData inDataAll = new InputData();
inDataAll.LoadFromDirectory(this.SourceDirectory, null);
DateTime from = fromNullable.HasValue ? fromNullable.Value : inDataAll.Data.First().DateTime;
DateTime to = toNullable.HasValue ? toNullable.Value : inDataAll.Data.Last().DateTime;
inDataAll = inDataAll.Select(from, to);
while (from < to)
{
InputData inData = inDataAll.Select(from, to);
if (inData.Data.Count == 0)
{
continue;
}
int countDiff = inDataAll.Data.Count - inData.Data.Count;
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
Dictionary <int, ResetTimeAnalyzer> dictRespTest = new Dictionary <int, ResetTimeAnalyzer>();
foreach (StrategyParameter currParam in ranges[0].GetAllParameters())
{
if (!dictResp.ContainsKey(currParam["TP"]))
{
dictResp.Add(currParam["TP"], new ResetTimeAnalyzer(currParam["TP"], 1 / 60d, fPredictor.Bids, fPredictor.Asks, 1, swap));
}
IEnumerable <int> buyArray, sellArray;
ResetTimeAnalysis.CalculatePoints(currParam, inData, fPredictor, countDiff, out buyArray, out sellArray);
dictResp[currParam["TP"]].Process(buyArray, sellArray);
}
from = from.AddDays(14);
}
ResetTimeScript rts = new ResetTimeScript(dictResp.Values.ToList(), "",
GetScriptDirectory(this.SymbolName, "", fromNullable, toNullable));;
rts.Save();
}
static public double CalculateTimeOfOnePips(string sourceDirectory, string symbolName, ResetTimeAnalysis.SideAnalyser side)
{
InputData inData = new InputData();
inData.LoadFromDirectory(sourceDirectory, null);
double swap = 0;
if (ResetTimeAnalysis.SideAnalyser.Buy == side)
{
swap = inData.SwapBuy;
}
if (ResetTimeAnalysis.SideAnalyser.Sell == side)
{
swap = inData.SwapSell;
}
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
StrategyParameter currParam = ranges[0].GetAllParameters().Last();
IEnumerable <int> buyArray, sellArray;
ResetTimeAnalysis.CalculatePoints(currParam, inData, out buyArray, out sellArray);
string profitSymbol = ForexSuite.SymbolsManager.GetProfitSymbol(symbolName);
double coefToUSD = ForexSuite.QuotesManager.ConvertCurrency(profitSymbol, "USD", DateTime.Now.AddMonths(-7), ForexSuite.SymbolsManager.ValueFromPips(profitSymbol, 1));
ResetTimeAnalyzer rta = new ResetTimeAnalyzer(currParam["TP"], 1 / 60d, fPredictor.Bids, fPredictor.Asks, coefToUSD, swap);
if (side == SideAnalyser.Buy)
{
rta.Process(buyArray, null);
}
else
{
rta.Process(null, sellArray);
}
if (rta.RealProfit == 0)
{
throw new ApplicationException("RealProfit=0");
}
return(rta.AverageTime / rta.RealProfit);
}
public void AnalyseAllPoints(DateTime?fromNullable, DateTime?toNullable)
{
InputData inDataAll = new InputData();
inDataAll.LoadFromDirectory(this.SourceDirectory, null);
DateTime from = fromNullable.HasValue ? fromNullable.Value : inDataAll.Data.First().DateTime;
DateTime to = toNullable.HasValue ? toNullable.Value : inDataAll.Data.Last().DateTime;
InputData inData = inDataAll.Select(from, to);
FuturePredictor fPredictor = new FuturePredictor(inData.Data);
List <StratergyParameterRange> ranges = new BuyLimitAndWaitConfigReader().GetRanges(new List <string>());
Dictionary <int, ResetTimeAnalyzer> dictResp = new Dictionary <int, ResetTimeAnalyzer>();
foreach (StrategyParameter currParam in ranges[0].GetAllParameters())
{
if (!dictResp.ContainsKey(currParam["TP"]) /*&& i++ < inData.Data.Count / 2*/)
{
string profitSymbol = ForexSuite.SymbolsManager.GetProfitSymbol(this.SymbolName);
double coefToUSD = ForexSuite.QuotesManager.ConvertCurrency(profitSymbol, "USD", inData.Data.Last().DateTime, ForexSuite.SymbolsManager.ValueFromPips(profitSymbol, 1));
dictResp.Add(currParam["TP"], new ResetTimeAnalyzer(currParam["TP"], 1 / 60d, fPredictor.Bids, fPredictor.Asks, coefToUSD));
IEnumerable <int> buyArray = null, sellArray = null;
switch (Side)
{
case ResetTimeAnalysis.SideAnalyser.Buy:
buyArray = Enumerable.Range(0, (inData.Data.Count - 1));
break;
default:
sellArray = Enumerable.Range(0, (inData.Data.Count - 1));
break;
}
dictResp[currParam["TP"]].Process(buyArray, sellArray);
}
}
ResetTimeScript rts = new ResetTimeScript(dictResp.Values.ToList(), "",
GetScriptDirectory(this.SymbolName, "AllPoints", fromNullable, toNullable));;
rts.Save();
}
static public void CalculatePoints(StrategyParameter currParam, InputData inData, FuturePredictor fPredictor, int countDiff,
out IEnumerable <int> buyArray, out IEnumerable <int> sellArray)
{
buyArray = null;
sellArray = null;
BuyLimitAndWaitStrategy blwStrategy = new BuyLimitAndWaitStrategy();
currParam["InitHistoryMinutes"] = 0;
blwStrategy.TesterInit(currParam, null);
EngineFast engineFast = new EngineFast();
engineFast.StartTest(inData, blwStrategy, fPredictor, false, 100);
buyArray = Enumerable.Select(engineFast.HistoryOpenBuyPoints, p => p + countDiff);
sellArray = Enumerable.Select(engineFast.HistoryOpenSellPoints, p => p + countDiff);
}
