static IntervalData getIntervalData()
{
//var newInterval = new IntervalData
//{
// interval = _random.Next(10, 200),
// bigSmaLen = _random.Next(90, 200),
// smallSmaLen = _random.Next(5, 100),
// basePriceSmaLen = _random.Next(1, 5)
//};
var newInterval = new IntervalData
{
interval = _random.Next(10, 240),
bigSmaLen = _random.Next(151, 300),
smallSmaLen = _random.Next(5, 150),
basePriceSmaLen = _random.Next(6, 12)
};
lock (_TriedListLock)
{
var beforeAdding = _TriedIntervalList.Count();
_TriedIntervalList.Add(newInterval);
var afterAdding = _TriedIntervalList.Count();
while (beforeAdding == afterAdding)
{
newInterval = new IntervalData
{
interval = _random.Next(10, 200),
bigSmaLen = _random.Next(90, 200),
smallSmaLen = _random.Next(5, 100),
basePriceSmaLen = _random.Next(1, 5)
};
beforeAdding = _TriedIntervalList.Count();
_TriedIntervalList.Add(newInterval);
afterAdding = _TriedIntervalList.Count();
}
}
return(newInterval);
}
public static IntervalRange GetaHalfRange(IntervalRange inputCurRange, IntervalData inputCurInterval)
{
var mid = (inputCurRange.interval_max - inputCurRange.interval_min) / 2;
var curBest = inputCurInterval.interval;
var newMin_Interval = curBest - (mid / 2);
var newMax_Interval = curBest + (mid / 2);
mid = (inputCurRange.bigSmaLen_max - inputCurRange.bigSmaLen_min) / 2;
curBest = inputCurInterval.bigSmaLen;
var newBigsmaMin = curBest - (mid / 2);
var newBigsmaMax = curBest + (mid / 2);
mid = (inputCurRange.smallSmaLen_max - inputCurRange.smallSmaLen_min) / 2;
curBest = inputCurInterval.smallSmaLen;
var newSmallSmaLen_min = curBest - (mid / 2);
var newSmallSmaLen_max = curBest + (mid / 2);
mid = (inputCurRange.SignalLen_max - inputCurRange.SignalLen_min) / 2;
curBest = inputCurInterval.SignalLen;
var newSignalLen_min = curBest - (mid / 2);
var newSignalLen_max = curBest + (mid / 2);
return(new IntervalRange
{
interval_min = (newMin_Interval < 1) ? 1 : newMin_Interval,
interval_max = (newMax_Interval < 1) ? 1 : newMax_Interval,
bigSmaLen_min = (newBigsmaMin < 1) ? 1 : newBigsmaMin,
bigSmaLen_max = (newBigsmaMax < 1) ? 1 : newBigsmaMax,
smallSmaLen_min = (newSmallSmaLen_min < 1) ? 1 : newSmallSmaLen_min,
smallSmaLen_max = (newSmallSmaLen_max < 1) ? 1 : newSmallSmaLen_max,
SignalLen_min = (newSignalLen_min < 1) ? 1 : newSignalLen_min,
SignalLen_max = (newSignalLen_max < 1) ? 1 : newSignalLen_max
});
}
private static List <ResultData> RunSim_ThreadSafe(ref TickerClient inputTicker, DateTime startDt, DateTime endDt, int inputSimCount)
{
int lastCommonInterval = 0;
int lastBigSma = 0;
int lastSmallSma = 0;
Simulator2 S = null;
TickerClient Ticker = inputTicker;
DateTime autoStartDate = startDt;
DateTime autoEndDate = endDt;
List <ResultData> resultList = new List <ResultData>();
int simCount = inputSimCount;
//Parallel.For(0, simCount, i =>
for (int i = 0; i < simCount; i++)
{
IntervalData interval = null;
interval = getIntervalData();
try
{
if (S == null)
{
S = new Simulator2(ref Ticker, ProductName, interval.interval, interval.bigSmaLen, interval.smallSmaLen, interval.basePriceSmaLen, true);
S.GraphWindow = _GraphingWindow;
}
else
{
if (!(lastCommonInterval == interval.interval && lastBigSma == interval.bigSmaLen && lastSmallSma == interval.smallSmaLen))
{
S.Dispose();
S = null;
S = new Simulator2(ref Ticker, ProductName, interval.interval, interval.bigSmaLen, interval.smallSmaLen, interval.basePriceSmaLen);
S.GraphWindow = _GraphingWindow;
}
}
var plResult = S.Calculate(autoStartDate, autoEndDate, false, true);
resultList.Add(new ResultData {
Pl = plResult, intervals = interval
});
lastCommonInterval = interval.interval;
lastBigSma = interval.bigSmaLen;
lastSmallSma = interval.smallSmaLen;
}
catch (Exception ex)
{
Console.WriteLine("invalid input / error in calc");
}
}
return(resultList);
}
public static void AutoSimulate2()
{
_TriedIntervalList.Clear();
TickerClient Ticker = new TickerClient(ProductName);
//wait for ticker to get ready
Thread.Sleep(2 * 1000);
DateTime dtStart = DateTime.MinValue;
while (dtStart == DateTime.MinValue)
{
Console.WriteLine("Enter simulation start date:");
var inDt = Console.ReadLine();
DateTime.TryParse(inDt, out dtStart);
}
DateTime autoStartDate = dtStart;// new DateTime(2017, 10, 1);
//DateTime autoEndDate = new DateTime(2018, 2, 13);//DateTime.Now;
DateTime dtEnd = DateTime.MinValue;
while (dtEnd == DateTime.MinValue)
{
Console.WriteLine("Enter simulation end date, enter n to use todays date:");
var inDt = Console.ReadLine();
if (inDt == "n")
{
dtEnd = DateTime.Now;
break;
}
DateTime.TryParse(inDt, out dtEnd);
}
DateTime autoEndDate = dtEnd; //DateTime.Now;
List <ResultData> allCombinedResultList = new List <ResultData>();
var startTime = DateTime.Now;
int simCount = 0;
int Each_Sim_Count = 50;//50;
while (simCount == 0)
{
Console.WriteLine("Enter number of simulation count, " + Each_Sim_Count + " minimun");
simCount = Convert.ToInt32(Console.ReadLine());
}
List <Task> allSimTasks = new List <Task>();
var eachBatchCount = 1000;
var lastBatchCompletionTime = DateTime.Now;
Int32 SLEEP_TIME_SEC = 30 * 1000;
for (int batch = eachBatchCount; batch < simCount + eachBatchCount; batch += eachBatchCount)
{
Console.WriteLine("starting batch: " + (batch - eachBatchCount) + " - " + batch);
if (batch > eachBatchCount)
{
Thread.Sleep(SLEEP_TIME_SEC);
}
var threadCount = Math.Ceiling((eachBatchCount / (double)Each_Sim_Count));
for (int i = 0; i < threadCount; i++)
{
var curTask = Task.Factory.StartNew(() =>
{
var returnedResult = RunSim_ThreadSafe(ref Ticker, autoStartDate, autoEndDate, Each_Sim_Count);
allCombinedResultList.AddRange(returnedResult);
});
allSimTasks.Add(curTask);
}
Task.WaitAll(allSimTasks.ToArray());
if (batch >= eachBatchCount)
{
var timeTakenLastBatch = (DateTime.Now - lastBatchCompletionTime).TotalMinutes;
Console.WriteLine("Time taken to complete last batch (min): " + timeTakenLastBatch);
var expectedCompletionTime = (timeTakenLastBatch + ((SLEEP_TIME_SEC / 1000) / 60)) * ((simCount - batch) / eachBatchCount);
Console.WriteLine("Expected completion time: " + expectedCompletionTime + " min, " + DateTime.Now.AddMinutes(expectedCompletionTime));
lastBatchCompletionTime = DateTime.Now;
}
}
Console.WriteLine("\nTop 5 profit results\n");
IntervalData bestValues = null;
for (int i = 0; i < 5; i++)
{
var best = allCombinedResultList.Where(d => d.Pl == allCombinedResultList.Max(a => a.Pl)).First();
if (bestValues == null)
{
bestValues = best.intervals;
}
var resMsg = "best result: " + i + "\n"
+ "PL: " + best.Pl + "\n"
+ "Interval: " + best.intervals.interval + "\n"
+ "Base price sma: " + best.intervals.basePriceSmaLen + "\n"
+ "big sma: " + best.intervals.bigSmaLen + "\n"
+ "small sma: " + best.intervals.smallSmaLen + "\n";
Logger.WriteLog("\n" + resMsg);
allCombinedResultList.Remove(best);
}
var S = new Simulator2(ref Ticker, ProductName, bestValues.interval, bestValues.bigSmaLen, bestValues.smallSmaLen, bestValues.basePriceSmaLen, false);
S.GraphWindow = _GraphingWindow;
S.Calculate(autoStartDate, autoEndDate, true, true);
//Console.WriteLine("\nTop 5 loss results\n");
//for (int i = 0; i < 5; i++)
//{
// var best = allCombinedResultList.Where(d => d.Pl == allCombinedResultList.Min(a => a.Pl)).First();
// var resMsg = "best result: " + i + "\n"
// + "PL: " + best.Pl + "\n"
// + "Interval: " + best.intervals.interval + "\n"
// + "Base price sma: " + best.intervals.basePriceSmaLen + "\n"
// + "big sma: " + best.intervals.bigSmaLen + "\n"
// + "small sma: " + best.intervals.smallSmaLen + "\n";
// Logger.WriteLog("\n" + resMsg);
// allCombinedResultList.Remove(best);
//}
Console.WriteLine("time taken for " + allSimTasks.Count() * Each_Sim_Count + " iterations (min): " + (DateTime.Now - startTime).TotalMinutes);
//Console.ReadLine();
}