public void TestRunStrategy_Tick()
{
//data.reader.IDataReader dataReader = CommonData.GetDataReader();
string code = "RB1710";
int start = 20170601;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, start, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = true;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage arguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single runner = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
DateTime prevtime = DateTime.Now;
runner.Strategy = new MockStrategy(referedPeriods);
runner.Run();
DateTime time = DateTime.Now;
TimeSpan span = time.Subtract(prevtime);
Console.WriteLine(span.Minutes * 60 * 1000 + span.Seconds * 1000 + span.Milliseconds);
}
public void TestStrategyExecutorEvent_CodePeriod1()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
//StrategyArguments_DataPackage strategyCodePeriod = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Empty));
executor.Strategy = strategy;
executor.Run();
}
public void TestRunStrategy_Minute()
{
string code = "RB1710";
int startDate = 20170301;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage strategyDataPackage = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
//strategyDataPackage.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyDataPackage);
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Simple));
executor.Strategy = strategy;
executor.Run();
Console.WriteLine(executor.StrategyResult);
}
public void TestStrategyExecute_Multi()
{
finishedCount = 0;
string[] codes = new string[] { "rb", "ma", "m", "a", "j", "jd" };
int startDate = 20170101;
int endDate = 20180101;
ICodePeriodList codePeriodPackage =
StrategyCenter.Default.BelongDataCenter.CodePeriodFactory.CreateCodePeriodList(codes, startDate, endDate, CodeChooseMethod.Maincontract);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriodList arguments = new StrategyArguments_CodePeriodList(codePeriodPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Multi executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_Multi_History(arguments);
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Event));
executor.Strategy = strategy;
executor.OnStrategyDayFinished += Executor_OnStrategyDayFinished;
executor.OnStrategyFinished += Executor_OnStrategyFinished;
executor.Execute();
StrategyCenter.Default.GetStrategyExecutorPool().ThreadCount = 2;
StrategyCenter.Default.GetStrategyExecutorPool().MaxExecutorCount = 3;
StrategyCenter.Default.GetStrategyExecutorPool().Execute();
while (finishedCount < 6)
{
}
}
public void TestStrategyResult_CodePeriod_MainContract()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
referedPeriods.UseTickData = true;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_15Minute);
StrategyArguments_CodePeriod arguments = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
arguments.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
//IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Simple));
MockStrategy_Results strategy = new MockStrategy_Results();
strategy.Name = "策略结果保存";
executor.Strategy = strategy;
executor.Run();
}
public void TestTrade()
{
string code = "RB1710";
int startDate = 20170601;
int endDate = 20170603;
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, startDate, endDate, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
StrategyAbstract strategy = (StrategyAbstract)StrategyGetter.GetStrategy(typeof(MockStrategy_Trade));
executor.Strategy = strategy;
executor.Run();
StrategyTrader_History trader = ((StrategyTrader_History)strategy.StrategyHelper.Trader);
IList <TradeInfo> tradeInfos = trader.Account.CurrentTradeInfo;
AssertUtils.PrintLineList((IList)tradeInfos);
AssertUtils.AssertEqual_List("StrategyTrade", GetType(), tradeInfos);
Assert.AreEqual(96250, trader.Account.Asset);
//Assert.AreEqual(98870, trader.Account.Asset);
//IList<OrderInfo> orderInfos = strategy.StrategyOperator.Trader.CurrentOrderInfo;
//for (int i = 0; i < tradeInfos.Count; i++)
//{
// Console.WriteLine(tradeInfos[i]);
//}
//Console.WriteLine(strategy.StrategyOperator.Trader.OwnerTrader.Account.Asset);
}
public void TestExecuteStrategy()
{
string code = "RB1710";
int start = 20170601;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, start, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage arguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single runner = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
DateTime prevtime = DateTime.Now;
runner.Strategy = new MockStrategy(null);
runner.OnFinished += Runner_OnFinished;
runner.Execute();
while (!isFinished)
{
}
DateTime time = DateTime.Now;
TimeSpan span = time.Subtract(prevtime);
Console.WriteLine(span.Minutes * 60 + span.Seconds);
}
public StrategyResult_CodePeriod(ICodePeriod codePeriod, StrategyForwardPeriod forwardPeriod, StrategyReferedPeriods referedPeriods, IStrategyDrawer strategyDrawer, IStrategyTrader strategyTrader)
{
this.codePeriod = codePeriod;
this.forwardPeriod = forwardPeriod;
this.referedPeriods = referedPeriods;
this.strategyDrawer = strategyDrawer;
this.strategyTrader = strategyTrader;
}
public StrategyDrawer(IDataPackage_Code dataPackage, StrategyReferedPeriods referPeriods)
{
this.dataPackage = dataPackage;
foreach (KLinePeriod period in referPeriods.UsedKLinePeriods)
{
IKLineData_Extend klineData = dataPackage.GetKLineData(period);
dic_KLinePeriod_Start.Add(period, klineData.BarPos);
dic_KLinePeriod_DataKey.Add(period, new KLineKey(dataPackage.Code, dataPackage.StartDate, dataPackage.EndDate, period));
}
}
public static IStrategyExecutor_Single CreateExecutor_CodePeriod(string code, int start, int end)
{
IStrategyExecutorFactory executorFactory = StrategyCenter.Default.GetStrategyExecutorFactory();
StrategyReferedPeriods referedPeriods = GetReferedPeriods();
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, start, end, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = executorFactory.CreateExecutor_History(strategyCodePeriod);
return(executor);
}
private static StrategyReferedPeriods GetReferedPeriods()
{
List <KLinePeriod> usedKLinePeriods = new List <KLinePeriod>();
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Hour);
usedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Day);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods(usedKLinePeriods, true, true);
return(referedPeriods);
}
private static StrategyArguments_CodePeriodList GetStrategyPackage(List <string> codes, int start, int end)
{
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
ICodePeriodFactory codePeriodFactory = DataCenter.Default.CodePeriodFactory;
ICodePeriodList codePeriodPackage = codePeriodFactory.CreateCodePeriodList(codes, start, end, CodeChooseMethod.Maincontract);
StrategyArguments_CodePeriodList strategyCodePeriodPackage = new StrategyArguments_CodePeriodList(codePeriodPackage, referedPeriods, forwardPeriod);
return(strategyCodePeriodPackage);
}
public void Load(XmlElement xmlElem)
{
this.startDate = int.Parse(xmlElem.GetAttribute("start"));
this.endDate = int.Parse(xmlElem.GetAttribute("end"));
XmlElement elemPeriods = (XmlElement)xmlElem.GetElementsByTagName("referperiods")[0];
this.referedPeriods = new StrategyReferedPeriods();
this.referedPeriods.Load(elemPeriods);
XmlElement elemForward = (XmlElement)xmlElem.GetElementsByTagName("forwardperiod")[0];
this.forwardPeriod = new ForwardPeriod();
this.forwardPeriod.Load(elemForward);
}
public void TestStrategyResult_DataPackage()
{
//ICodePeriodFactory factory = DataCenter.Default.CodePeriodFactory;
//ICodePeriod codePeriod = factory.CreateCodePeriod("rb1801", 20170501, 20170801);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
referedPeriods.UseTickData = true;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_15Minute);
//StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
IDataPackage_Code dataPackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code("rb1801", 20170501, 20170801);
StrategyArguments_DataPackage strategyArguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
//自动保存结果
strategyArguments.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyArguments);
MockStrategy_Results strategy = new MockStrategy_Results();
strategy.Name = "策略结果保存";
executor.Strategy = strategy;
executor.Run();
//IStrategyTrader trader = executor.StrategyHelper.Trader;
int day = int.Parse(DateTime.Now.ToString("yyyyMMdd"));
IStrategyResult result = executor.StrategyResult;
string resultName = executor.StrategyResult.Name;
IStrategyResultStore store = StrategyCenter.Default.StrategyResultStore;
IList <int> savedDays = store.GetAllSavedDays();
for (int i = 0; i < savedDays.Count; i++)
{
Console.Write(savedDays[i] + ",");
}
Console.WriteLine();
IStrategyResult result2 = store.LoadStrategyResult(day, resultName);
Console.WriteLine(result2);
Assert.AreEqual(result.ToString(), result2.ToString());
Assert.AreEqual(1, result2.StrategyResult_Codes.Count);
Assert.AreEqual(1, result2.StrategyQueryResultManager.GetQueryResults().Count);
Console.WriteLine(result2.StrategyResult_Codes[0]);
Assert.AreEqual(result.StrategyResult_Codes[0].ToString(), result2.StrategyResult_Codes[0].ToString());
}
private void LoadMain(XmlElement xmlElem)
{
XmlElement elemCodePeriod = (XmlElement)xmlElem.GetElementsByTagName("codeperiod")[0];
codePeriod = new CodePeriod();
codePeriod.Load(elemCodePeriod);
XmlElement elemForwardPeriod = (XmlElement)xmlElem.GetElementsByTagName("forwardperiod")[0];
forwardPeriod = new StrategyForwardPeriod();
forwardPeriod.Load(elemForwardPeriod);
XmlElement elemReferedPeriods = (XmlElement)xmlElem.GetElementsByTagName("referedperiods")[0];
referedPeriods = new StrategyReferedPeriods();
referedPeriods.Load(elemReferedPeriods);
}
public override StrategyReferedPeriods GetReferedPeriods()
{
if (referedPeriods != null)
{
return(referedPeriods);
}
referedPeriods = new StrategyReferedPeriods();
if (ImportStrategies != null)
{
for (int i = 0; i < ImportStrategies.Count; i++)
{
MergeReferedPeriods(referedPeriods, ImportStrategies[i].GetReferedPeriods());
}
}
StrategyReferedPeriods periods = GetStrategyPeriods_();
MergeReferedPeriods(referedPeriods, periods);
return(referedPeriods);
}
private void SetStrategy(IStrategy strategy)
{
this.strategy = strategy;
InitStrategy(this.strategy);
StrategyReferedPeriods referedPeriods = strategy.GetReferedPeriods();
if (referedPeriods != null)
{
this.referedPeriods = referedPeriods;
}
IList <IStrategy> referedStrategies = this.strategy.GetReferedStrategies();
if (referedStrategies != null)
{
for (int i = 0; i < referedStrategies.Count; i++)
{
InitStrategy(referedStrategies[i]);
}
}
}
public void TestReferOtherStrategy()
{
string code = "RB1710";
int startDate = 20170601;
int endDate = 20170603;
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, startDate, endDate, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_ReferOtherStrategy));
executor.Strategy = strategy;
executor.Run();
}
private void MergeReferedPeriods(StrategyReferedPeriods periods, StrategyReferedPeriods mergePeriods)
{
if (referedPeriods == null)
{
return;
}
if (referedPeriods.UseTimeLineData)
{
periods.UseTimeLineData = true;
}
if (referedPeriods.UseTickData)
{
periods.UseTickData = true;
}
for (int i = 0; i < referedPeriods.UsedKLinePeriods.Count; i++)
{
KLinePeriod klinePeriod = referedPeriods.UsedKLinePeriods[i];
if (!periods.UsedKLinePeriods.Contains(klinePeriod))
{
periods.UsedKLinePeriods.Add(klinePeriod);
}
}
}
private void ExecuteStrategy_Event(string code, int startDate, int endDate)
{
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage strategyCodePeriod = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Empty));
executor.Strategy = strategy;
executor.Run();
}
public StrategyOnStartArgument(IDataForward_Code dataForward, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod)
{
this.dataForward = dataForward;
this.referedPeriods = referedPeriods;
this.forwardPeriod = forwardPeriod;
}
public StrategyResult_CodePeriod(ICodePeriod codePeriod, StrategyForwardPeriod forwardPeriod, StrategyReferedPeriods referedPeriods)
{
this.codePeriod = codePeriod;
this.forwardPeriod = forwardPeriod;
this.referedPeriods = referedPeriods;
}
public StrategyArguments_DataPackage(IDataPackage_Code dataPackage, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod)
{
this.dataPackage = dataPackage;
this.ReferedPeriods = referedPeriods;
this.ForwardPeriod = forwardPeriod;
}
public StrategyArguments_CodePeriod(ICodePeriod codePeriod, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod, StrategyTraderSetting traderSetting) : this(codePeriod, referedPeriods, forwardPeriod)
{
this.TraderSetting = traderSetting;
}
public StrategyArguments_CodePeriod(ICodePeriod codePeriod, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod)
{
this.codePeriod = codePeriod;
this.ReferedPeriods = referedPeriods;
this.ForwardPeriod = forwardPeriod;
}
public StrategyArguments_CodePeriod(string code, int startDate, int endDate, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod) : this(new CodePeriod(code, startDate, endDate), referedPeriods, forwardPeriod)
{
}
public StrategyArguments_DataPackage(IDataPackage_Code dataPackage, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod, IStrategyHelper strategyHelper) : this(dataPackage, referedPeriods, forwardPeriod)
{
this.StrategyHelper = strategyHelper;
}
public StrategyArguments_CodePeriodList(ICodePeriodList codePeriodPackage, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod)
{
this.codePeriodPackage = codePeriodPackage;
this.ReferedPeriods = referedPeriods;
this.ForwardPeriod = forwardPeriod;
}
public StrategyArguments_DataPackage(IDataPackage_Code dataPackage, StrategyReferedPeriods referedPeriods, StrategyForwardPeriod forwardPeriod, StrategyTraderSetting traderSetting) : this(dataPackage, referedPeriods, forwardPeriod)
{
this.TraderSetting = traderSetting;
}