public CandleChartPanel()
{
InitializeComponent();
var cmdSvc = ConfigManager.GetService <IStudioCommandService>();
cmdSvc.Register <ChartDrawCommand>(this, false, cmd => _bufferedChart.Draw(cmd.Values));
cmdSvc.Register <ChartAddAreaCommand>(this, false, cmd => _bufferedChart.AddArea(cmd.Area));
cmdSvc.Register <ChartRemoveAreaCommand>(this, false, cmd => _bufferedChart.RemoveArea(cmd.Area));
cmdSvc.Register <ChartAddElementCommand>(this, false, cmd => _bufferedChart.AddElement(cmd.Area, cmd.Element));
cmdSvc.Register <ChartRemoveElementCommand>(this, false, cmd => _bufferedChart.RemoveElement(cmd.Area, cmd.Element));
cmdSvc.Register <ChartClearAreasCommand>(this, false, cmd => _bufferedChart.ClearAreas());
cmdSvc.Register <ChartResetElementsCommand>(this, false, cmd => _bufferedChart.Reset(cmd.Elements));
cmdSvc.Register <ChartAutoRangeCommand>(this, false, cmd => _bufferedChart.IsAutoRange = cmd.AutoRange);
cmdSvc.Register <ResetedCommand>(this, true, cmd => OnReseted());
cmdSvc.Register <BindStrategyCommand>(this, true, cmd =>
{
if (!cmd.CheckControl(this))
{
return;
}
if (_strategy == cmd.Source)
{
return;
}
_strategy = cmd.Source;
SetChart(true);
ChartPanel.IsInteracted = _strategy != null && _strategy.GetIsInteracted();
if (_settingsStorage != null)
{
ChartPanel.Load(_settingsStorage);
}
TryCreateDefaultSeries();
});
ChartPanel.SettingsChanged += () => new ControlChangedCommand(this).Process(this);
ChartPanel.RegisterOrder += order => new RegisterOrderCommand(order).Process(this);
ChartPanel.SubscribeCandleElement += OnChartPanelSubscribeCandleElement;
ChartPanel.SubscribeIndicatorElement += OnChartPanelSubscribeIndicatorElement;
ChartPanel.SubscribeOrderElement += OnChartPanelSubscribeOrderElement;
ChartPanel.SubscribeTradeElement += OnChartPanelSubscribeTradeElement;
ChartPanel.UnSubscribeElement += OnChartPanelUnSubscribeElement;
var indicatorTypes = ConfigManager
.GetService <IAlgoService>()
.IndicatorTypes;
ChartPanel.MinimumRange = 200;
ChartPanel.IndicatorTypes.AddRange(indicatorTypes);
_bufferedChart = new BufferedChart(ChartPanel);
WhenLoaded(() => new RequestBindSource(this).SyncProcess(this));
}
private void OnLoaded()
{
SecurityPicker.SecurityProvider = ConfigManager.GetService <FilterableSecurityProvider>();
_mainArea = ChartPanel.Areas.FirstOrDefault();
if (_mainArea == null)
{
_bufferedChart.AddArea(_mainArea = new ChartArea {
Title = LocalizedStrings.Panel + " 1"
});
}
_candleElement = _mainArea.Elements.OfType <ChartCandleElement>().FirstOrDefault();
if (_candleElement == null)
{
_bufferedChart.AddElement(_mainArea, _candleElement = new ChartCandleElement(), CreateSeries());
}
_mainArea
.Elements
.OfType <ChartIndicatorElement>()
.Where(e => _indicators.TryGetValue(e) is CandlePartIndicator)
.ForEach(e => _sourceElements.Add(((CandleSeries)_bufferedChart.GetSource(e)).Security, e));
_bufferedChart.AddAction(() =>
{
_isLoaded = true;
if (!HasError)
{
StartSeries();
}
});
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
}),
Tuple.Create(
DepthsCheckBox,
DepthsTestingProcess,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
})
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
MarketEmulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
},
UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = emulationInfo.UseCandleTimeFrame == null
? new CandleManager(new TradeCandleBuilderSourceEx(connector))
: new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendInMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecId.Text);
var storageRegistry = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
//var logManager = new LogManager();
//var fileLogListener = new FileLogListener("sample.log");
//logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var maxDepth = 5;
var maxVolume = 5;
var secCode = secIdParts.Item1;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2);
var progressBar = TicksTestingProcess;
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
progressBar.Value = 0;
progressBar.Maximum = 100;
var statistic = TicksParameterGrid;
var security = new Security()
{
Id = SecId.Text,
Code = secCode,
Board = board,
};
var portfolio = new Portfolio()
{
Name = "test account",
BeginValue = 1000000,
};
var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, },
LogLevel = LogLevels.Debug,
},
LogLevel = LogLevels.Debug,
},
HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), },
};
//logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(RangeCandle), security, new Unit(100));
shortMa = new SimpleMovingAverage {
Length = 10
};
shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = shortMa.ToString()
};
bufferedChart.AddElement(area, shortElem);
longMa = new SimpleMovingAverage {
Length = 30
};
longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = longMa.ToString()
};
bufferedChart.AddElement(area, longElem);
var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = LogLevels.Debug,
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
//logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
connector.RegisterMarketDepth(security);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromMilliseconds(100), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 1, // min spread generation is 2 pips
MaxSpreadStepCount = 1, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
connector.RegisterTrades(security);
connector.RegisterSecurity(security);
strategy.Start();
candleManager.Start(series);
connector.Start();
};
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(StrategyName, Colors.Crimson);
strategy.PnLChanged += () =>
{
var pnl = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
//logManager.Dispose();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
progressBar.Value = 0;
startEmulationTime = DateTime.Now;
connector.Connect();
connector.SendInMessage(new CommissionRuleMessage()
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// создаем настройки для тестирования
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// тест только на тиках
new EmulationInfo {
CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// тест на тиках + стаканы
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// тест на свечах
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// тест на свечах + стаканы
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// тест на логе заявок
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// в реальности период может быть другим, и это зависит от объема данных,
// хранящихся по пути HistoryPath,
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно.
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// использовать свечи
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки.
// Если выключено - требуется "прохождение цены сквозь уровень"
// (более "суровый" режим тестирования.)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
//подписываемся на получение данных после получения инструмента
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
// тест подразумевает наличие стаканов
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// если выбрана генерация стаканов вместо реальных стаканов
generateDepths ||
// для свечей генерируем стаканы всегда
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// если история по стаканам отсутствует, но стаканы необходимы для стратегии,
// то их можно сгенерировать на основании цен последних сделок или свечек.
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены
MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда.
MaxPriceStepCount = 3 // максимальное количество шагов между ценами,
});
}
}
else if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
connector.Connect();
connector.StartExport();
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
// комиссия в 1 копейку за сделку
connector.MarketEmulator.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
logManager.Sources.Add(strategy);
// копируем параметры на визуальную панель
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// и подписываемся на событие изменения времени, чтобы обновить ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// запускаем стратегию когда эмулятор запустился
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
foreach (var connector in _connectors)
{
// указываем даты начала и конца тестирования
connector.Start(startTime, stopTime);
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
