protected static IEnumerable <SimulationState> SimulateStrategy(
IEnumerable <MarketData> data,
Func <StrategyFactory, IStrategy> createStrategyFunc,
bool initialiseRatingService = false)
{
var investorProvider = CreateInvestorProvider();
var marketDataCache = CreateMarketDataCache(data);
var simulationCache = new SimulationCache();
var simulatorFactor = new SimulatorFactory(marketDataCache, simulationCache);
var simulator = simulatorFactor.Create <BacktestingSimulator>();
var ratingService = new RatingService(
marketDataCache,
simulatorFactor,
investorProvider);
var strategyFactory = CreateStrategyFactory(
marketDataCache,
simulationCache,
investorProvider,
ratingService);
var strategy = createStrategyFunc(strategyFactory);
if (initialiseRatingService)
{
ratingService.RateMarketData();
}
return(simulator.Evaluate(strategy, investorProvider.Current));
}
public void WeightedStrategyTest()
{
var data = CreateMarketData();
var investorProvider = CreateInvestorProvider();
var marketDataCache = CreateMarketDataCache(data);
var simulationCache = new SimulationCache();
var simulationFactory = new SimulatorFactory(marketDataCache, simulationCache);
var ratingService = new RatingService(marketDataCache, simulationFactory, investorProvider);
var strategyFactory = CreateStrategyFactory(marketDataCache, simulationCache, investorProvider, ratingService);
var deltaStrategy = strategyFactory.Create(new DeltaParameters());
var volumeStrategy = strategyFactory.Create(new VolumeParameters());
var _ = simulationFactory.Create <BacktestingSimulator>()
.Evaluate(deltaStrategy, investorProvider.Current).ToArray();
var __ = simulationFactory.Create <BacktestingSimulator>()
.Evaluate(volumeStrategy, investorProvider.Current).ToArray();
var parameters = new WeightedParameters
{
Weights = new Dictionary <IStrategy, double>
{
{ deltaStrategy, 0d },
{ volumeStrategy, 0d }
}
};
var strategy = strategyFactory.Create(parameters);
var target = simulationFactory.Create <BacktestingSimulator>()
.Evaluate(strategy, investorProvider.Current);
var actual = ToApprovedString(target);
Approvals.Verify(actual);
}
protected static Dictionary <string, SimulationState> SimulateStrategy(
IEnumerable <MarketData> data,
IParameters[] parameters)
{
var investorProvider = CreateInvestorProvider();
var marketDataCache = CreateMarketDataCache(data);
var simulationCache = new SimulationCache();
var simulatorFactor = new SimulatorFactory(marketDataCache, simulationCache);
var simulator = simulatorFactor.Create <BacktestingSimulator>();
var ratingService = new RatingService(marketDataCache, simulatorFactor, investorProvider);
var strategyFactory = CreateStrategyFactory(marketDataCache, simulationCache, investorProvider, ratingService);
var results = new Dictionary <string, SimulationState>();
foreach (var p in parameters)
{
var strategy = strategyFactory.Create(p);
var state = simulator.Evaluate(strategy, investorProvider.Current);
results[strategy.StrategyType.GetDescription()] = state.Last();
}
return(results);
}
public void CreateSimulatorWhenIdIsWhiteSpaceShouldThrowArgumentNullException()
{
var factory = new SimulatorFactory(CreateDummySimulatorSettingsOptions());
Action target = () => factory.CreateSimulator(" ");
Assert.ThrowsException <ArgumentNullException>(target);
}
public RatingService(
IMarketDataCache marketDataCache,
SimulatorFactory simulatorFactory,
IInvestorProvider investorProvider)
{
_marketDataCache = marketDataCache;
_simulatorFactory = simulatorFactory;
_investorProvider = investorProvider;
}
public void Start(PageModel pageModel)
{
if (!ValidatePageModel(pageModel))
{
return;
}
_simulator = SimulatorFactory.GetSimulator(SpiderLogging, spiderSimulator, pageModel);
_simulator.TaskCompletedEvent += Simulator_TaskCompletedEvent;
_simulator.Run();
}
public void CreateSimulatorWhenIdIsValidShouldReturnSimulatorWithExpectedId()
{
var factory = new SimulatorFactory(CreateDummySimulatorSettingsOptions());
const string deviceId = "123456";
var simulator = factory.CreateSimulator(deviceId);
Assert.AreEqual(deviceId, simulator.Id);
}
public void Setup()
{
ConfigurationManager.AppSettings["BacktestingDate"] = "2010-07-01";
ConfigurationManager.AppSettings["CacheSize"] = "2000";
ConfigurationManager.AppSettings["DataPath"] = "MarketData.csv";
ConfigurationManager.AppSettings["RelativePath"] = @"../../../";
var marketData = CreateMarketData();
var marketDataCache = CreateMarketDataCache(marketData);
var investor = new Investor {
DailyFunds = 10, OrderDelayDays = 3
};
var investorProvider = CreateInvestorProvider();
var simulationCache = new SimulationCache();
var simulationFactory = new SimulatorFactory(marketDataCache, simulationCache);
var ratingService = new RatingService(
marketDataCache,
simulationFactory,
investorProvider);
var strategyFactory = CreateStrategyFactory(
marketDataCache,
simulationCache,
investorProvider,
ratingService);
var marketDataRepository = new Mock <IRepository <MarketData> >();
var simulationResultsRepository = new Mock <IRepository <SimulationResult> >();
_target = new ResultsProvider(
marketDataCache,
marketDataRepository.Object,
ratingService,
simulationResultsRepository.Object);
_target.Initialise();
var strategy = strategyFactory.Create(new HolidayEffectParameters());
var stateJson = File.ReadAllText(@"HolidayEffectSimulationState.json");
var simulationState = JsonConvert.DeserializeObject <SimulationState[]>(stateJson);
var resultsToAdd = new ConcurrentDictionary <IStrategy, SimulationState[]>();
resultsToAdd.TryAdd(strategy, simulationState);
_target.AddResults(investor, resultsToAdd);
}
public AnalysisService(
IMarketDataCache marketDataCache,
IResultsProvider resultsProvider,
StrategyProvider strategyProvider,
IInvestorProvider investorProvider,
SimulatorFactory simulatorFactory,
MarketDataProvider marketDataProvider,
ICommunicationService communicationService)
{
_simulatorFactory = simulatorFactory;
_marketDataCache = marketDataCache;
_resultsProvider = resultsProvider;
_strategyProvider = strategyProvider;
_investorProvider = investorProvider;
_marketDataProvider = marketDataProvider;
_communicationService = communicationService;
}
