public static void BuildTrack(int accountId, string targetFilePath, int intervalMinutes)
{
var logger = new LimitedLogger();
var positionsOpened = new List <MarketOrder>();
var positionClosed = new List <MarketOrder>();
List <BalanceChange> balances;
string accountCurrency;
using (var db = new TradeSharpConnection())
{
accountCurrency = db.ACCOUNT.First(a => a.ID == accountId).Currency;
balances = db.BALANCE_CHANGE.Where(bc => bc.AccountID == accountId).OrderBy(b => b.ValueDate).ToList().Select(
LinqToEntity.DecorateBalanceChange).ToList();
positionsOpened = db.POSITION.Where(bc => bc.AccountID == accountId).ToList().Select(LinqToEntity.DecorateOrder).ToList();
positionClosed = db.POSITION_CLOSED.Where(bc => bc.AccountID == accountId).ToList().Select(LinqToEntity.DecorateOrder).ToList();
}
if (balances.Count < 2)
{
return;
}
var startTime = balances.Min(b => b.ValueDate);
startTime = startTime.Date.AddMinutes(intervalMinutes *
((int)(startTime - startTime.Date).TotalMinutes) / intervalMinutes);
var endTime = DateTime.Now;
var dueDeals = positionsOpened.Union(positionClosed).OrderBy(p => p.TimeEnter).ToList();
var cursor = new BacktestTickerCursor();
var tickers = dueDeals.Select(p => p.Symbol).Distinct().ToList();
startTime = TimeUtil.RoundTime(startTime, intervalMinutes);
var track = new Strategy(startTime, (int)balances.First().SignedAmountDepo);
try
{
cursor.SetupCursor(ExecutablePath.ExecPath + "\\quotes", tickers, startTime);
decimal balance = 0;
for (var time = startTime; time <= endTime; time = time.AddMinutes(intervalMinutes))
{
if (DaysOff.Instance.IsDayOff(time))
{
continue;
}
var candles = cursor.MoveToTime(time);
var quotes = candles.ToDictionary(
c => c.Key,
c => new QuoteData(c.Value.close, c.Value.close, c.Value.timeClose));
// учесть вводы - выводы
var deltaBalance = 0M;
var deltaDeposit = 0M;
var closedProfit = 0M;
for (var i = 0; i < balances.Count; i++)
{
if (balances[i].ValueDate > time)
{
break;
}
deltaBalance += balances[i].SignedAmountDepo;
if (balances[i].ChangeType == BalanceChangeType.Profit ||
balances[i].ChangeType == BalanceChangeType.Loss)
{
closedProfit += balances[i].SignedAmountDepo;
}
else
{
deltaDeposit += balances[i].SignedAmountDepo;
}
balances.RemoveAt(i);
i--;
}
balance += deltaBalance;
// открытый профит
var openProfit = 0M;
var volumesDepo = new Dictionary <string, decimal>();
for (var i = 0; i < dueDeals.Count; i++)
{
if (dueDeals[i].TimeEnter > time)
{
break;
}
if (dueDeals[i].TimeExit.HasValue && dueDeals[i].TimeExit.Value <= time)
{
dueDeals.RemoveAt(i);
i--;
continue;
}
// профит по сделке на момент
var profit = DalSpot.Instance.CalculateProfitInDepoCurrency(dueDeals[i],
quotes,
accountCurrency);
if (profit.HasValue)
{
openProfit += (decimal)profit.Value;
}
else
{
logger.Log(LogEntryType.Error, "CONV", 20, "Невозможно конвертировать профит сделки {0}",
dueDeals[i].ToStringShort() + " @" + dueDeals[i].TimeEnter.ToStringUniform());
}
// объем
string errStr;
var volumeDepo = DalSpot.Instance.ConvertToTargetCurrency(dueDeals[i].Symbol, true,
accountCurrency, dueDeals[i].Volume, quotes, out errStr, true) ?? 0;
if (!string.IsNullOrEmpty(errStr))
{
logger.Log(LogEntryType.Error, "CONV", 20, "Невозможно конвертировать объем сделки {0}: {1}",
dueDeals[i].ToStringShort() + " @" + dueDeals[i].TimeEnter.ToStringUniform(), errStr);
}
volumeDepo *= dueDeals[i].Side;
if (volumesDepo.ContainsKey(dueDeals[i].Symbol))
{
volumesDepo[dueDeals[i].Symbol] += volumeDepo;
}
else
{
volumesDepo.Add(dueDeals[i].Symbol, volumeDepo);
}
}
var sumVolumesDepo = Math.Abs(volumesDepo.Sum(v => v.Value));
track.AddRecord(time, balance, balance + openProfit, sumVolumesDepo, deltaDeposit, closedProfit);
}
}
finally
{
cursor.Close();
}
// сохранить трек
using (var sw = new StreamWriter(targetFilePath, false, new System.Text.UTF8Encoding(false)))
track.Serialize(sw);
}
public static void BuildTrack(int accountId, string targetFilePath, int intervalMinutes)
{
var logger = new LimitedLogger();
var positionsOpened = new List<MarketOrder>();
var positionClosed = new List<MarketOrder>();
List<BalanceChange> balances;
string accountCurrency;
using (var db = new TradeSharpConnection())
{
accountCurrency = db.ACCOUNT.First(a => a.ID == accountId).Currency;
balances = db.BALANCE_CHANGE.Where(bc => bc.AccountID == accountId).OrderBy(b => b.ValueDate).ToList().Select(
LinqToEntity.DecorateBalanceChange).ToList();
positionsOpened = db.POSITION.Where(bc => bc.AccountID == accountId).ToList().Select(LinqToEntity.DecorateOrder).ToList();
positionClosed = db.POSITION_CLOSED.Where(bc => bc.AccountID == accountId).ToList().Select(LinqToEntity.DecorateOrder).ToList();
}
if (balances.Count < 2) return;
var startTime = balances.Min(b => b.ValueDate);
startTime = startTime.Date.AddMinutes(intervalMinutes *
((int) (startTime - startTime.Date).TotalMinutes) / intervalMinutes);
var endTime = DateTime.Now;
var dueDeals = positionsOpened.Union(positionClosed).OrderBy(p => p.TimeEnter).ToList();
var cursor = new BacktestTickerCursor();
var tickers = dueDeals.Select(p => p.Symbol).Distinct().ToList();
var track = new Strategy(startTime, (int) balances.First().SignedAmountDepo);
try
{
cursor.SetupCursor(ExecutablePath.ExecPath + "\\quotes", tickers, startTime);
decimal balance = 0;
for (var time = startTime; time <= endTime; time = time.AddMinutes(intervalMinutes))
{
var candles = cursor.MoveToTime(time);
var quotes = candles.ToDictionary(
c => c.Key,
c => new QuoteData(c.Value.close, c.Value.close, c.Value.timeClose));
// учесть вводы - выводы
var deltaBalance = 0M;
var deltaDeposit = 0M;
var closedProfit = 0M;
for (var i = 0; i < balances.Count; i++)
{
if (balances[i].ValueDate > time) break;
deltaBalance += balances[i].SignedAmountDepo;
if (balances[i].ChangeType == BalanceChangeType.Profit ||
balances[i].ChangeType == BalanceChangeType.Loss)
closedProfit += balances[i].SignedAmountDepo;
else
deltaDeposit += balances[i].SignedAmountDepo;
balances.RemoveAt(i);
i--;
}
balance += deltaBalance;
// открытый профит
var openProfit = 0M;
var volumesDepo = new Dictionary<string, decimal>();
for (var i = 0; i < dueDeals.Count; i++)
{
if (dueDeals[i].TimeEnter > time) break;
if (dueDeals[i].TimeExit.HasValue && dueDeals[i].TimeExit.Value <= time)
{
dueDeals.RemoveAt(i);
i--;
continue;
}
// профит по сделке на момент
var profit = DalSpot.Instance.CalculateProfitInDepoCurrency(dueDeals[i],
quotes,
accountCurrency);
if (profit.HasValue)
openProfit += (decimal) profit.Value;
else
logger.Log(LogEntryType.Error, "CONV", 20, "Невозможно конвертировать профит сделки {0}",
dueDeals[i].ToStringShort() + " @" + dueDeals[i].TimeEnter.ToStringUniform());
// объем
string errStr;
var volumeDepo = DalSpot.Instance.ConvertToTargetCurrency(dueDeals[i].Symbol, true,
accountCurrency, dueDeals[i].Volume, quotes, out errStr, true) ?? 0;
if (!string.IsNullOrEmpty(errStr))
logger.Log(LogEntryType.Error, "CONV", 20, "Невозможно конвертировать объем сделки {0}: {1}",
dueDeals[i].ToStringShort() + " @" + dueDeals[i].TimeEnter.ToStringUniform(), errStr);
volumeDepo *= dueDeals[i].Side;
if (volumesDepo.ContainsKey(dueDeals[i].Symbol))
volumesDepo[dueDeals[i].Symbol] += volumeDepo;
else
volumesDepo.Add(dueDeals[i].Symbol, volumeDepo);
}
var sumVolumesDepo = Math.Abs(volumesDepo.Sum(v => v.Value));
track.AddRecord(time, balance, balance + openProfit, sumVolumesDepo, deltaDeposit, closedProfit);
}
}
finally
{
cursor.Close();
}
// сохранить трек
using (var sw = new StreamWriter(targetFilePath, false, new System.Text.UTF8Encoding(false)))
track.Serialize(sw);
}
