public SessionModel(HubConfigurationModel hubConfig, BrokerConfigurationModel brokerConfig,
ResponseConfigurationModel responseConfig, ReportConfigurationModel reportConfig)
{
_hub = DarkLightFactory.GetHub(hubConfig);
_broker = DarkLightFactory.GetBroker(_hub, brokerConfig);
_responseList = DarkLightFactory.GetResponseList(_hub, responseConfig);
_reporter = DarkLightFactory.GetReporter(_hub, reportConfig);
//_riskMgr = DarkLightFactory.GetRiskManager(_hub, reportConfig);
//_portfolioMgr = DarkLightFactory.GetPortfolioManager(_hub, reportConfig);
//_hub.EventDict[EventType.ReportMessage]
}
public static IDarkLightBroker GetBroker(IHub hub, BrokerConfigurationModel config)
{
switch (config.Type)
{
case BrokerType.Sim:
return(new DarkLightSimBroker(hub, config));
case BrokerType.Live:
return(new DarkLightSimBroker(hub, config));
default:
return(new DarkLightSimBroker(hub, config));
}
}
public DarkLightSimBroker(IHub hub, BrokerConfigurationModel config)
: base(hub, config)
{
//Plug into Tradelink
_broker = new Broker();
_broker.UseBidAskFills = config.SimUseBidAskFills;
_broker.GotFill += PublishFill;
_broker.GotOrder += PublishOrderAck;
_broker.GotOrderCancel += PublishOrderCancelAck;
loadTickData(config.TickFiles);
_historicalSimulator = new MultiSimImpl(_historicalDataFiles.ToArray());
_historicalSimulator.GotTick += PublishTick;
//Set up tick player
_backgroundWorker = new BackgroundWorker();
_backgroundWorker.DoWork += play;
_backgroundWorker.WorkerReportsProgress = false;
_backgroundWorker.WorkerSupportsCancellation = true;
_backgroundWorker.RunWorkerCompleted += playComplete;
_playTo = config.PlayToValue;
}
private void RunBacktestButton_Click2(object sender, System.Windows.RoutedEventArgs e)
{
UnbindInitializationModels();
UnbindReportModels();
_backtest2.Clear();
_activityModel.Status = "Backtest started.";
var tickDataGroups = BacktestingTickFileControl.GetSelectedFilePaths();
_activityModel.NumberTestsToRun = tickDataGroups.Count;
_activityModel.NumberTestsCompleted = 0;
Task.Factory.StartNew(() =>
{
_activityModel.AllRunsCompleted.WaitOne();
if (_backtest2.BacktestReports.Any())
{
_backtest2.SelectedReport = _backtest2.BacktestReports.First();
BindStatisticsModels2("Results");
}
});
foreach (var _tickDataGroup in tickDataGroups)
{
var hubConfig = new HubConfigurationModel(HubType.Local);
var brokerConfig = new BrokerConfigurationModel(BrokerType.Sim);
brokerConfig.PlayToValue = _backtestingConfigurationModel.SelectedPlayToValue;
brokerConfig.SimUseBidAskFills = false;
brokerConfig.TickFiles = _tickDataGroup;
brokerConfig.SubscriptionList = new List <byte[]> {
EventType.Basket, EventType.CancelOrder, EventType.Order
};
var responseConfig = new ResponseConfigurationModel();
responseConfig.ResponseList.Add(_backtestingConfigurationModel.GetFreshResponseInstance());
responseConfig.SubscriptionList = new List <byte[]> {
EventType.CancelOrderAck, EventType.Fill, EventType.Message, EventType.OrderAck, EventType.Tick
};
var reportConfig = new ReportConfigurationModel();
reportConfig.Type = ReportType.Batch;
reportConfig.ActivityInstance = _activityModel;
var info = TickFileNameInfo.GetTickFileInfoFromLongName(_tickDataGroup.First());
reportConfig.ReportName = "Y:" + info.Year.ToString() + ",M:" + info.Month.ToString() + ",D:" + info.Day.ToString();
reportConfig.SubscriptionList = new List <byte[]> {
EventType.ChartLabel, EventType.Fill, EventType.Indicator, EventType.Message, EventType.Order, EventType.ServiceTransition, EventType.Tick
};
reportConfig.FilterMode = true;
var sessionModel = new SessionModel(hubConfig, brokerConfig, responseConfig, reportConfig);
_backtest2.AddRun(sessionModel);
sessionModel.Reporter.RegisterDispatcher(EventType.Fill, FillsTab.Dispatcher);
sessionModel.Reporter.RegisterDispatcher(EventType.Indicator, IndicatorTab.Dispatcher);
sessionModel.Reporter.RegisterDispatcher(EventType.Message, MessagesTab.Dispatcher);
sessionModel.Reporter.RegisterDispatcher(EventType.Order, OrdersTab.Dispatcher);
sessionModel.Reporter.RegisterDispatcher(EventType.Plot, BacktestPlotter.Dispatcher);
sessionModel.Reporter.RegisterDispatcher(EventType.Position, PositionTab.Dispatcher);
}
BindInitializationModels2();
_backtest2.Start(0);
}