//[TestMethod]
public void Handlers_Make_Fifteen_Minutes_Bars()
{
DateTime start = new DateTime(2013, 5, 15, 0, 0, 0);
DateTime end = new DateTime(2013, 5, 16, 11, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, end);
StrategyHeader s = new StrategyHeader(1, "Strategy 2", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings settings = new BarSettings(s, "RTS-12.12_FT", 900, 10);
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(settings, tt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = start, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = end, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
Assert.AreEqual(2, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < settings.Interval * 4; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(6, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual("RTS-12.12_FT", this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Symbol);
Assert.AreEqual(end.AddHours(1), this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).DateTime);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Low);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).High);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Open);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Close);
Assert.AreEqual(90000, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Volume);
}
/// <summary>
/// пример переопределения
/// Program.Sample1.SetupStrategy()
/// </summary>
/// <param name="args"></param>
override public void SetupStrategy(string[] args)
{
Console.WriteLine("BackTest.Converter.SetupStrategy()");
// инициализация обработчиков стратегии
//strategySample1 = new Strategy.Sample1(args);
//strategyHeader = strategySample1.strategyHeader;
//AppSettings.GetStringValue("Symbol")
string symbol = System.Configuration.ConfigurationManager.AppSettings["Symbol"];
//Console.WriteLine(String.Format("Sybol: {0}", symbol));
if (symbol == "")
{
symbol = null;
}
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", null, symbol, 1);
BarSettings barSettings = new BarSettings(
strategyHeader,
strategyHeader.Symbol,
//null,
AppSettings.GetValue <int>("Interval"),
AppSettings.GetValue <int>("Period"));
TradingData.Instance.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
//BarSettings barSettings = new BarSettings(strategyHeader, "RIH4", 3600, 3);
//BarSettings barSettings = new BarSettings(strategyHeader, "SPFB.RTS-3.14", 3600, 3);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
}
//[TestMethod]
public void Handlers_Do_Nothing_If_Bar_With_Same_Date_Exists()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = barSettings.Symbol, DateTime = start.AddHours(1), Open = 100, High = 100, Low = 100, Close = 100, Volume = 100
});
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
IEnumerable <Tick> ticks = this.tradingData.Get <ObservableCollection <Tick> >().Where(t => t.DateTime >= start && t.DateTime < start.AddSeconds(3600));
Assert.AreEqual(3602, ticks.Count());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(100, bar.Low);
Assert.AreEqual(100, bar.High);
Assert.AreEqual(100, bar.Open);
Assert.AreEqual(100, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
//private static string[] assemblies = { "Interop.SmartCOM3Lib.dll", "TRL.Common.dll", "TRL.Connect.Smartcom.dll" };
/// <summary>
/// пример
/// </summary>
/// <param name="args"></param>
public void SetupStrategy(string[] args)
{
///TODO 91. вопрос как изолировать стратегию от процесса инициализации параметров стратегии и AppSettings
//AddStrategySettings();
//TradingData.Instance.Get<ICollection<Strategy>>().Add(strategyHeader);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
//TradingData.Instance.Get<ICollection<ProfitPointsSettings>>().Add(ppSettings);
//TradingData.Instance.Get<ICollection<TakeProfitOrderSettings>>().Add(poSettings);
//TradingData.Instance.Get<ICollection<StopPointsSettings>>().Add(spSettings);
//TradingData.Instance.Get<ICollection<StopLossOrderSettings>>().Add(soSettings);
//SMASettings smaSettings = new SMASettings(strategyHeader, 7, 14);
int maf = AppSettings.GetValue <int>("MaFast");
int mas = AppSettings.GetValue <int>("MaSlow");
SMASettings smaSettings = new SMASettings(strategyHeader, maf, mas);
TradingData.Instance.Get <ICollection <SMASettings> >().Add(smaSettings);
//ReversMaOnBar reversHandler =
// new ReversMaOnBar(strategyHeader,
// TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance);
//MakeRangeBarsOnTick updateBarsHandler;
updateBarsHandler = new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
//IndicatorOnBar2Ma indicatorsOnBar;
indicatorsOnBar = new IndicatorOnBar2Ma(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
indicatorsOnBar.AddMa1Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddMa2Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddCrossUpHandler(TradeConsole.ConsoleWriteLineValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeConsole.ConsoleWriteLineValueBool);
//Отправляем данные клиентам
{
//SetupHubHandlers();
if (AppSettings.GetValue <bool>("SignalHub"))
{
//отправляем через signalR
indicatorsOnBar.AddMa1Handler(TradeHubStarter.sendValueDouble1);
indicatorsOnBar.AddMa2Handler(TradeHubStarter.sendValueDouble2);
indicatorsOnBar.AddCrossUpHandler(TradeHubStarter.sendValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeHubStarter.sendValueBool);
//reversHandler.AddMa1Handler(TradeHubStarter.sendIndicator1);
//reversHandler.AddMa2Handler(TradeHubStarter.sendIndicator2);
}
}
}
//[TestMethod]
public void Handlers_Make_First_Morning_Bar_For_Hour()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 14, 23, 50, 0);
DateTime end = new DateTime(2013, 5, 16, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, end);
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(end.AddHours(1), bar.DateTime);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(154500, bar.High);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(153599, bar.Close);
Assert.AreEqual(360200, bar.Volume);
}
public void Handlers_make_RangeBarReach_test()
{
int interval = 50;
StrategyHeader strategyHeader = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ObservableHashSet <StrategyHeader> >().Add(strategyHeader);
BarSettings barSettings = new BarSettings(strategyHeader, strategyHeader.Symbol, interval, 0);
this.tradingData.Get <ObservableHashSet <BarSettings> >().Add(barSettings);
DateTime start = new DateTime(2013, 7, 10, 10, 0, 0, 0);
FakeTimeTracker ftt = new FakeTimeTracker(start, start);
MakeRangeBarsOnTick handler = new MakeRangeBarsOnTick(barSettings, ftt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 600), 510, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 700), 530, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 800), 500, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 900), 550, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// Обработчик генерирует новый бар, только когда цена пришедшего тика располагается в диапазоне следующего бара.
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 1, 0, 0), 560, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
//Assert.AreEqual(new DateTime(2013, 7, 10, 10, 1, 0, 0), bar.DateTime);
Assert.AreEqual(new DateTime(2013, 7, 10, 10, 0, 59, 900), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(510, bar.Open);
Assert.AreEqual(550, bar.High);
Assert.AreEqual(500, bar.Low);
Assert.AreEqual(550, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
public void Handlers_Do_Nothing_When_No_Ticks_With_TradeSettings_Symbol()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-6.13_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-6.13_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-6.13_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-6.13_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-6.13_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
}
//private static string[] assemblies = { "Interop.SmartCOM3Lib.dll", "TRL.Common.dll", "TRL.Connect.Smartcom.dll" };
/// <summary>
/// пример
/// </summary>
/// <param name="args"></param>
public void SetupStrategy(string[] args)
{
//TradingData.Instance.Get<ICollection<Strategy>>().Add(strategyHeader);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
//TradingData.Instance.Get<ICollection<ProfitPointsSettings>>().Add(ppSettings);
//TradingData.Instance.Get<ICollection<TakeProfitOrderSettings>>().Add(poSettings);
//TradingData.Instance.Get<ICollection<StopPointsSettings>>().Add(spSettings);
//TradingData.Instance.Get<ICollection<StopLossOrderSettings>>().Add(soSettings);
//SMASettings smaSettings = new SMASettings(strategyHeader, 7, 14);
int maf = AppSettings.GetValue <int>("MaFast");
int mas = AppSettings.GetValue <int>("MaSlow");
SMASettings smaSettings = new SMASettings(strategyHeader, maf, mas);
TradingData.Instance.Get <ICollection <SMASettings> >().Add(smaSettings);
//MakeRangeBarsOnTick updateBarsHandler;
updateBarsHandler = new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
//IndicatorOnBar2Ma indicatorsOnBar;
indicatorsOnBar = new IndicatorOnBar2Ma(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
indicatorsOnBar.AddMa1Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddMa2Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddCrossUpHandler(TradeConsole.ConsoleWriteLineValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeConsole.ConsoleWriteLineValueBool);
//Отправляем данные клиентам
{
//SetupHubHandlers();
if (AppSettings.GetValue <bool>("SignalHub"))
{
//отправляем через signalR
indicatorsOnBar.AddMa1Handler(TradeHubStarter.sendValueDouble1);
indicatorsOnBar.AddMa2Handler(TradeHubStarter.sendValueDouble2);
indicatorsOnBar.AddCrossUpHandler(TradeHubStarter.sendValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeHubStarter.sendValueBool);
//reversHandler.AddMa1Handler(TradeHubStarter.sendIndicator1);
//reversHandler.AddMa2Handler(TradeHubStarter.sendIndicator2);
}
else
{
Console.WriteLine(String.Format("SignalHub is off"));
}
}
//ReversMaOnBar reversHandler =
reversHandler = new ReversMaOnBar(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance)
{
IndicatorsOnBar = indicatorsOnBar
};
double pp = AppSettings.GetValue <double>("ProfitPoints");
//TakeProfitOnBar takeProfitOnBar =
takeProfitOnBar =
new TakeProfitOnBar(strategyHeader,
200,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
//StopLossOnBar stopLossOnBar =
stopLossOnBar =
new StopLossOnBar(strategyHeader,
100,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
}
static void Main(string[] args)
{
try
{
Console.BufferHeight = 300;
Console.BufferWidth = 230;
Console.WindowHeight = 90;
Console.WindowWidth = 110;
Console.WindowTop = 0;
Console.WindowLeft = 0;
}
catch
{
Console.WriteLine(String.Format("Error Console.Window Size"));
}
Console.WriteLine(String.Format("Console.BufferHeight {0}", Console.BufferHeight));
Console.WriteLine(String.Format("Console.BufferWidth {0}", Console.BufferWidth));
Console.WriteLine(String.Format("Console.WindowHeight {0}", Console.WindowHeight));
Console.WriteLine(String.Format("Console.WindowWidth {0}", Console.WindowWidth));
Console.WriteLine(String.Format("Console.WindowTop {0}", Console.WindowTop));
Console.WriteLine(String.Format("Console.WindowLeft {0}", Console.WindowLeft));
LogAssemblyInfo();
//AddStrategySettings();
{
TradingData.Instance.Get <ICollection <Strategy> >().Add(strategy);
TradingData.Instance.Get <ICollection <BarSettings> >().Add(barSettings);
TradingData.Instance.Get <ICollection <ProfitPointsSettings> >().Add(ppSettings);
TradingData.Instance.Get <ICollection <TakeProfitOrderSettings> >().Add(poSettings);
TradingData.Instance.Get <ICollection <StopPointsSettings> >().Add(spSettings);
TradingData.Instance.Get <ICollection <StopLossOrderSettings> >().Add(soSettings);
//SMASettings smaSettings = new SMASettings(strategy, 7, 14);
int maf = AppSettings.GetValue <int>("MaFast");
int mas = AppSettings.GetValue <int>("MaSlow");
SMASettings smaSettings = new SMASettings(strategy, maf, mas);
TradingData.Instance.Get <ICollection <SMASettings> >().Add(smaSettings);
}
////stopLoss
//StrategiesPlaceStopLossByPointsOnTradeHandlers stopLossOnTradeHandlers =
// new StrategiesPlaceStopLossByPointsOnTradeHandlers(TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance,
// AppSettings.GetValue<bool>("MeasureStopFromSignalPrice"));
////stopLoss
//StrategiesStopLossByPointsOnTickHandlers stopLossOnTickHandlers =
// new StrategiesStopLossByPointsOnTickHandlers(TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance,
// AppSettings.GetValue<bool>("MeasureStopFromSignalPrice"));
////takeProfit
//StrategiesPlaceTakeProfitByPointsOnTradeHandlers takeProfitOnTradeHandlers =
// new StrategiesPlaceTakeProfitByPointsOnTradeHandlers(TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance,
// AppSettings.GetValue<bool>("MeasureProfitFromSignalPrice"));
////takeProfit
//StrategiesTakeProfitByPointsOnTickHandlers takeProfitOnTickHandlers =
// new StrategiesTakeProfitByPointsOnTickHandlers(TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance,
// AppSettings.GetValue<bool>("MeasureProfitFromSignalPrice"));
SmartComHandlers.Instance.Add <_IStClient_DisconnectedEventHandler>(ScalperIsDisconnected);
SmartComHandlers.Instance.Add <_IStClient_ConnectedEventHandler>(ScalperIsConnected);
//BreakOutOnTick openHandler =
// new BreakOutOnTick(strategy,
// TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance);
//ReversOnTick openHandler =
// new ReversOnTick(strategy,
// TradingData.Instance,
// SignalQueue.Instance,
// DefaultLogger.Instance);
//UpdateBarsOnTick updateBarsHandler =
// new UpdateBarsOnTick(barSettings,
// new TimeTracker(),
// TradingData.Instance,
// DefaultLogger.Instance);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
//отправляем бар через signalR
SendItemOnBar barItemSender =
new SendItemOnBar(barSettings,
TradingData.Instance);
barItemSender.AddItemHandler(TradeHubStarter.sendBar);
barItemSender.AddItemHandler(ConsoleWriteLineBar);
ReversOnBar reversHandler =
new ReversOnBar(strategy,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
reversHandler.AddMa1Handler(TradeHubStarter.sendIndicator1);
reversHandler.AddMa2Handler(TradeHubStarter.sendIndicator2);
//отправляем бар через signalR
SendItemOnTrade tradeItemSender =
new SendItemOnTrade(TradingData.Instance, DefaultLogger.Instance);
tradeItemSender.AddItemHandler(TradeHubStarter.sendTrade);
//отправляем ордер через signalR
//SendItemOnOrder senderItemOrder =
// new SendItemOnOrder(TradingData.Instance.Get<ObservableQueue<Order>>());
//senderItemOrder.AddedItemHandler(TradeHubStarter.sendOrder);
//список доступных команд
ConsoleWriteCommands();
//AddStrategySubscriptions();
{
DefaultSubscriber.Instance.Portfolios.Add(strategy.Portfolio);
DefaultSubscriber.Instance.BidsAndAsks.Add(strategy.Symbol);
DefaultSubscriber.Instance.Ticks.Add(strategy.Symbol);
}
TradeHubStarter tradeHubStarter = new TradeHubStarter();
//StartServer();
Task.Run(() => tradeHubStarter.StartServer());
Console.WriteLine(String.Format("Starting server..."));
if (AppSettings.GetValue <bool>("ConsoleReadKey"))
{
Console.WriteLine(String.Format("Press 's' to start..."));
while (Console.ReadKey().KeyChar != 's')
{
Console.WriteLine(String.Format("Press 's' to start..."));
}
}
adapter.Start();
while (true)
{
try
{
string command = Console.ReadLine();
if (command == "x")
{
adapter.Stop();
ExportData <Order>(AppSettings.GetValue <bool>("ExportOrdersOnExit"));
ExportData <Trade>(AppSettings.GetValue <bool>("ExportTradesOnExit"));
ExportData <Bar>(AppSettings.GetValue <bool>("ExportBarsOnExit"));
break;
}
if (command == "p")
{
Console.Clear();
Console.WriteLine(String.Format("Реализованный профит и лосс составляет {0} пунктов",
TradingData.Instance.GetProfitAndLossPoints(strategy)));
}
if (command == "t")
{
Console.Clear();
foreach (Trade item in TradingData.Instance.Get <IEnumerable <Trade> >())
{
Console.WriteLine(item.ToString());
}
}
if (command == "b")
{
Console.Clear();
foreach (Bar item in TradingData.Instance.Get <IEnumerable <Bar> >().OrderBy(i => i.DateTime))
//foreach (Bar item in TradingData.Instance.Get<IEnumerable<Bar>>())
{
ConsoleWriteLineBar(item);
//TradeHubStarter.sendBarString(item);
TradeHubStarter.sendBar(item);
}
}
if (command == "c")
{
//Console.Clear();
Console.WriteLine("clearChart");
TradeHubStarter.clearChart();
}
if (command == "h")
{
Console.Clear();
ConsoleWriteCommands();
}
if (command == "d")
{
TradeHubStarter.ConsoleWriteTime = !TradeHubStarter.ConsoleWriteTime;
Console.WriteLine(String.Format("ConsoleWriteTime {0}",
TradeHubStarter.ConsoleWriteTime));
}
}
catch (System.Runtime.InteropServices.COMException e)
{
DefaultLogger.Instance.Log(e.Message);
adapter.Restart();
}
}
if (tradeHubStarter.SignalR != null)
{
tradeHubStarter.SignalR.Dispose();
}
}
//private static Strategy strategyHeader = new Strategy(1, "Sample strategyHeader", "ST46520-RF-01", "SPFB.Si-9.15", 1);
//private static Strategy strategyHeader = new Strategy(1, "Sample strategyHeader", null, null, 1);
static void Main(string[] args)
{
TradeConsole.ConsoleSetSize();
//AppSettings.GetStringValue("Symbol")
string symbol = System.Configuration.ConfigurationManager.AppSettings["Symbol"];
//Console.WriteLine(String.Format("Sybol: {0}", symbol));
if (symbol == "")
{
symbol = null;
}
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", null, symbol, 1);
BarSettings barSettings = new BarSettings(
strategyHeader,
strategyHeader.Symbol,
//null,
AppSettings.GetValue <int>("Interval"),
AppSettings.GetValue <int>("Period"));
TradingData.Instance.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
//BarSettings barSettings = new BarSettings(strategyHeader, "RIH4", 3600, 3);
//BarSettings barSettings = new BarSettings(strategyHeader, "SPFB.RTS-3.14", 3600, 3);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
TradeConsole.ImportTicksTransaction(args);
//список доступных команд
TradeConsole.ConsoleWriteCommands();
while (true)
{
try
{
string command = Console.ReadLine();
if (command == "x")
{
//adapter.Stop();
//TradeConsole.ExportData<Order>(AppSettings.GetValue<bool>("ExportOrdersOnExit"));
//TradeConsole.ExportData<Trade>(AppSettings.GetValue<bool>("ExportTradesOnExit"));
Export.ExportData <Bar>(AppSettings.GetValue <bool>("ExportBarsOnExit"));
break;
}
if (command == "h")
{
Console.Clear();
TradeConsole.ConsoleWriteCommands();
Console.WriteLine("Use data files in args:");
Console.WriteLine("Converter.exe in.txt");
Console.WriteLine("or use filename by default: {0}", TradeConsole.fileNameDefault);
Console.WriteLine("Interval - config file");
Console.WriteLine("Symbol - config file");
}
if (command == "t")
{
Console.Clear();
foreach (Trade item in TradingData.Instance.Get <IEnumerable <Trade> >())
{
Console.WriteLine(item.ToString());
}
}
if (command == "b")
{
Console.Clear();
foreach (Bar item in TradingData.Instance.Get <IEnumerable <Bar> >().OrderBy(i => i.DateTime))
//foreach (Bar item in TradingData.Instance.Get<IEnumerable<Bar>>())
{
Console.WriteLine(item.ToString());
//Console.WriteLine(item.ToImportString());
}
}
if (command == "p")
{
Console.WriteLine(String.Format("Реализованный профит и лосс составляет {0} пунктов",
TradingData.Instance.GetProfitAndLossPoints(strategyHeader)));
}
}
catch (System.Runtime.InteropServices.COMException e)
{
DefaultLogger.Instance.Log(e.Message);
}
}
}
/// <summary>
/// пример
/// </summary>
private void SetupRevers()
{
//AddStrategySettings();
{
TradingData.Instance.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
TradingData.Instance.Get <ICollection <BarSettings> >().Add(barSettings);
//TradingData.Instance.Get<ICollection<ProfitPointsSettings>>().Add(ppSettings);
//TradingData.Instance.Get<ICollection<TakeProfitOrderSettings>>().Add(poSettings);
//TradingData.Instance.Get<ICollection<StopPointsSettings>>().Add(spSettings);
//TradingData.Instance.Get<ICollection<StopLossOrderSettings>>().Add(soSettings);
//SMASettings smaSettings = new SMASettings(strategyHeader, 7, 14);
int mafast = AppSettings.GetValue <int>("MaFast");
int maslow = AppSettings.GetValue <int>("MaSlow");
SMASettings smaSettings = new SMASettings(strategyHeader, mafast, maslow);
TradingData.Instance.Get <ICollection <SMASettings> >().Add(smaSettings);
}
//SmartComHandlers.Instance.Add<_IStClient_DisconnectedEventHandler>(IsDisconnected);
//SmartComHandlers.Instance.Add<_IStClient_ConnectedEventHandler>(IsConnected);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
SendItemOnBar barItemSender =
new SendItemOnBar(barSettings,
TradingData.Instance);
//barItemSender.AddItemHandler(TradeConsole.ConsoleWriteLineBar);
IndicatorOnBar2Ma indicatorsOnBar =
new IndicatorOnBar2Ma(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
indicatorsOnBar.AddMa1Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddMa2Handler(TradeConsole.ConsoleWriteLineValueDouble);
indicatorsOnBar.AddCrossUpHandler(TradeConsole.ConsoleWriteLineValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeConsole.ConsoleWriteLineValueBool);
ReversMaOnBar reversHandler =
new ReversMaOnBar(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance)
{
IndicatorsOnBar = indicatorsOnBar
};
SendItemOnTrade tradeItemSender =
new SendItemOnTrade(TradingData.Instance, DefaultLogger.Instance);
//tradeItemSender.AddItemHandler(TradeConsole.ConsoleWriteLineTrade);
//SendItemOnOrder senderItemOrder =
// new SendItemOnOrder(TradingData.Instance.Get<ObservableQueue<Order>>());
//senderItemOrder.AddedItemHandler(TradeHubStarter.sendOrder);
//AddStrategySubscriptions();
{
DefaultSubscriber.Instance.Portfolios.Add(strategyHeader.Portfolio);
DefaultSubscriber.Instance.BidsAndAsks.Add(strategyHeader.Symbol);
DefaultSubscriber.Instance.Ticks.Add(strategyHeader.Symbol);
}
//Отправляем данные клиентам
{
barItemSender.AddItemHandler(TradeConsole.ConsoleWriteLineBar);
tradeItemSender.AddItemHandler(TradeConsole.ConsoleWriteLineTrade);
//senderItemOrder.AddedItemHandler(TradeHubStarter.sendOrder);
//SetupHubHandlers();
if (AppSettings.GetValue <bool>("SignalHub"))
{
//отправляем через signalR
barItemSender.AddItemHandler(TradeHubStarter.sendBar);
tradeItemSender.AddItemHandler(TradeHubStarter.sendTrade);
indicatorsOnBar.AddMa1Handler(TradeHubStarter.sendValueDouble1);
indicatorsOnBar.AddMa2Handler(TradeHubStarter.sendValueDouble2);
indicatorsOnBar.AddCrossUpHandler(TradeHubStarter.sendValueBool);
indicatorsOnBar.AddCrossDnHandler(TradeHubStarter.sendValueBool);
//reversHandler.AddMa1Handler(TradeHubStarter.sendIndicator1);
//reversHandler.AddMa2Handler(TradeHubStarter.sendIndicator2);
}
}
}
public void Handlers_Make_RangeBarReach_GapTurn_Test()
{
int interval = 50;
StrategyHeader strategyHeader = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ObservableHashSet <StrategyHeader> >().Add(strategyHeader);
BarSettings barSettings = new BarSettings(strategyHeader, strategyHeader.Symbol, interval, 0);
this.tradingData.Get <ObservableHashSet <BarSettings> >().Add(barSettings);
DateTime start = new DateTime(2015, 8, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 0, 59, 600), 10, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 0, 59, 700), 30, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 0, 59, 800), 00, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// Обработчик генерирует новый бар, только когда цена пришедшего тика располагается в диапазоне следующего бара.
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 0, 59, 900), 50, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 1, 00, 000), 70, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
//Assert.AreEqual(new DateTime(2015, 7, 10, 10, 1, 0, 0), bar.DateTime);
Assert.AreEqual(new DateTime(2015, 7, 10, 10, 0, 59, 900), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(10, bar.Open);
Assert.AreEqual(50, bar.High);
Assert.AreEqual(00, bar.Low);
Assert.AreEqual(50, bar.Close);
Assert.AreEqual(100, bar.Volume);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 1, 00, 000), 180, 25));
Assert.AreEqual(3, this.tradingData.Get <ObservableCollection <Bar> >().Count);
bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(new DateTime(2015, 7, 10, 10, 1, 0, 0).ToLongTimeString(), bar.DateTime.ToLongTimeString());
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(100, bar.Open);
Assert.AreEqual(150, bar.High);
Assert.AreEqual(100, bar.Low);
Assert.AreEqual(150, bar.Close);
Assert.AreEqual(00, bar.Volume);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 10, 00, 000), 110, 25));
Assert.AreEqual(4, this.tradingData.Get <ObservableCollection <Bar> >().Count);
bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(new DateTime(2015, 7, 10, 10, 10, 0, 0), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(150, bar.Open);
Assert.AreEqual(180, bar.High);
Assert.AreEqual(130, bar.Low);
Assert.AreEqual(130, bar.Close);
Assert.AreEqual(25, bar.Volume);
this.tradingData.Get <ObservableCollection <Tick> >().Add(
new Tick(barSettings.Symbol, new DateTime(2015, 7, 10, 10, 20, 00, 000), 30, 25));
Assert.AreEqual(6, this.tradingData.Get <ObservableCollection <Bar> >().Count);
bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(new DateTime(2015, 7, 10, 10, 20, 0, 0).ToLongTimeString(), bar.DateTime.ToLongTimeString());
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(80, bar.Open);
Assert.AreEqual(80, bar.High);
Assert.AreEqual(30, bar.Low);
Assert.AreEqual(30, bar.Close);
Assert.AreEqual(25, bar.Volume);
Assert.AreEqual(this.tradingData.Get <ObservableCollection <Bar> >().Sum(i => i.Volume), 200);
Assert.AreEqual(this.tradingData.Get <ObservableCollection <Bar> >().Sum(i => i.VolumePrice), (10 + 30 + 50 + 70 + 180 + 110 + 30) * 25);
}
