bool loadsim()
{
_historicalSimulator = new MultiSimImpl(_historicalDataFiles.ToArray());
_historicalSimulator.GotTick += historicalSimulator_GotTick;
_broker = new Broker();
_broker.GotOrder += broker_GotOrder;
_broker.GotFill += broker_GotFill;
_broker.UseBidAskFills = _useBidAskFills;
_broker.GotOrderCancel += broker_GotOrderCancel;
try
{
status("Loaded tickdata: " + prettyTickDataFiles());
return(true);
}
catch (IOException ex)
{
if (ex.Message.Contains("used by another process"))
{
status("Simulation file still in use.");
debug("Try again, one of following in use: " + string.Join(",", _historicalDataFiles.ToArray()));
}
return(false);
}
}
/// <summary>
/// returns true if sim event binding is needed
/// </summary>
/// <param name="sim"></param>
/// <param name="ga"></param>
bool prepsim_needsbind(ref HistSim sim, GauntArgs ga)
{
// see if filter or folder has changed
string thistff = TickFileFilter.Serialize(ga.Filter) + ga.Folder;
bool fullreset = lasttff != thistff;
if ((sim == null) || fullreset)
{
if (_portfoliosim.Checked)
{
if (_siminmemory.Checked)
{
sim = new HistSimMemory(ga.Folder, ga.Filter);
}
else
{
debug("Using portfolio simulation. (realistic)");
sim = new MultiSimImpl(ga.Folder, ga.Filter);
}
}
else
{
debug("Using sequential symbol simulation. (faster)");
sim = new SingleSimImpl(ga.Folder, ga.Filter);
}
lasttff = thistff;
return(true);
}
else
{
sim.Reset();
}
return(false);
}
public void BarPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory + "\\");
h.GotTick += new TradeLink.API.TickDelegate(h_GotTick);
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTBARS *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.GreaterOrEqual(tickcount, 50000);
Assert.AreEqual(3, bt.SymbolCount);
Assert.LessOrEqual(time, EXPECTBARS);
Console.WriteLine("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
Console.WriteLine("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
bool loadsim()
{
h = new MultiSimImpl(epffiles.ToArray());
SimBroker = new Broker();
SimBroker.GotOrder += new OrderDelegate(broker_GotOrder);
SimBroker.GotFill += new FillDelegate(broker_GotFill);
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.UseBidAskFills = Properties.Settings.Default.UseBidAskFills;
SimBroker.GotOrderCancel += new OrderCancelDelegate(broker_GotOrderCancel);
try
{
updatetitle();
status("Loaded tickdata: " + PrettyEPF());
return(true);
}
catch (IOException ex)
{
if (ex.Message.Contains("used by another process"))
{
status("Simulation file still in use.");
debug("Try again, one of following in use: " + string.Join(",", epffiles.ToArray()));
}
return(false);
}
}
private void playbut_Click(object sender, EventArgs e)
{
status("preparing simulation");
if (_playback.IsBusy)
{
status("simulation already in progress");
return;
}
// setup simulation (portfolio realistic)
h = new MultiSimImpl(tickfolder, FileFilter);
// bind events
h.GotTick += new TickDelegate(h_GotTick);
h.GotDebug += new DebugDelegate(_dw.GotDebug);
// setup playback
_playback = new Playback(h);
_playback.RunWorkerCompleted += new RunWorkerCompletedEventHandler(_playback_RunWorkerCompleted);
_playback.ProgressChanged += new ProgressChangedEventHandler(_playback_ProgressChanged);
// clear highs and lows
highs = new Dictionary <string, decimal>();
lows = new Dictionary <string, decimal>();
// start playback
_playback.RunWorkerAsync(new PlayBackArgs((int)trackBar1.Value / 5));
// notify user
status("Playback started...");
// update user interface options
playbut.Enabled = false;
stopbut.Enabled = true;
trackBar1.Enabled = false;
}
void unbindsim(ref HistSim h)
{
if (h != null)
{
h.GotDebug -= new DebugDelegate(h_GotDebug);
h.GotTick -= new TickDelegate(h_GotTick);
}
}
public Playback(HistSim simulator)
{
h = simulator;
h.Reset();
h.Initialize();
WorkerSupportsCancellation = true;
WorkerReportsProgress = true;
}
public bool Start()
{
//ensure everything is ready to start the optimization
if (!isValid)
{
debug("Invalid optimization, Must configure this optimization completely before re-starting.");
status("Optimization not configured.");
return(false);
}
SIM = myhistsim;
DLL = Dll;
RNAME = ResponseName;
debug("Starting optimization, Queueing up all " + this.OptimizeCount + " combinations...");
//queue up all the possibilities
/*
* List<List<string[]>> paramListList = new List<List<string[]>>();
* foreach (OptimizationParam op in varListControl.Items)
* {
* List<string[]> paramList = new List<string[]>();
* string testClass = (String)reslist.SelectedItem;
* string testName = op.name.ToString();
* decimal val = decimal.MinValue;
* decimal max = decimal.MaxValue;
* while (val < max)
* {
* if (val == decimal.MinValue) { val = op.low; max = op.high; }
* else val += op.step;
* paramList.Add(new string[] { testClass, testName, val.ToString() });
* }
* paramListList.Add(paramList);
* }
*
* //now we have all the possibilities in a list
* //we need to combine them into all possible combos
*
* //keep all possible combinations in a list
* //each string[] is a parameter value
* //each List<string[]> is a parameter set
* List<List<string[]>> comboList = new List<List<string[]>>();
*
* foreach (List<string[]> paramList in paramListList)
* {
* comboList = appendList(comboList, paramList);
* }*/
debug("All combinations queued, Starting Gauntlet Threads");
var rh = RunHelper.run(runopt, null, debug, "runopt: " + this.ToString());
status("Optimizaton started with " + OptimizeCount + " combinations.");
return(rh.isStarted);
}
void initializeSim()
{
_backgroundWorker = new BackgroundWorker();
_historicalSimulator = new MultiSimImpl();
_broker = new Broker();
//_resultsModel = new ResultsModel();
_broker.UseBidAskFills = _useBidAskFills;
_backgroundWorker.DoWork += play;
_backgroundWorker.WorkerReportsProgress = false;
_backgroundWorker.WorkerSupportsCancellation = true;
_backgroundWorker.RunWorkerCompleted += PlayComplete;
debug(Util.TLSIdentity());
debug(RunTracker.CountNewGetPrettyRuns(_programName, Util.PROGRAM));
}
private bool loadfile(string path)
{
string f = path;
if (isResponse(f))
{
responsedll = f;
reslist.DropDownItems.Clear();
List <string> l = Util.GetResponseList(responsedll);
if (System.IO.File.Exists(f))
{
if (!isRecent(f))
{
recent.DropDownItems.Add(f);
}
}
for (int i = 0; i < l.Count; i++)
{
reslist.DropDownItems.Add(l[i]);
}
status("Found " + l.Count + " responses. Please select one from Responses drop-down.");
return(true);
}
else if (isEPF(f))
{
if (System.IO.File.Exists(f))
{
if (!isRecent(f) && Util.SecurityFromFileName(f).isValid)
{
recent.DropDownItems.Add(f);
}
}
epffiles.Add(f);
h = new HistSim(epffiles.ToArray());
h.SimBroker.GotOrder += new OrderDelegate(broker_GotOrder);
h.SimBroker.GotFill += new FillDelegate(broker_GotFill);
h.GotTick += new TickDelegate(h_GotTick);
h.SimBroker.GotOrderCancel += new OrderCancelDelegate(broker_GotOrderCancel);
updatetitle();
status("Loaded tickdata: " + PrettyEPF());
return(true);
}
return(false);
}
public void RawPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory + "\\");
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(raw_GotTick);
tickcount = 0;
syms.Clear();
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTRAW *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
// make sure ticks arrived in order
Assert.IsTrue(GOODTIME, "Tick arrived out-of-order.");
// check running time
Assert.LessOrEqual(time, EXPECTRAW, "may fail on slow machines");
Assert.AreEqual(3, syms.Count);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// variance from approximate count should be less than 1%
Assert.Less((tickcount - h.TicksPresent) / h.TicksPresent, .01);
// actual count should equal simulation count
Assert.AreEqual(h.TicksProcessed, tickcount);
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
// printout simulation runtime
Console.WriteLine("Raw runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTRAW + "sec expected.");
Console.WriteLine("Raw speed: " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
// prepare simulator
h = new HistSim(ga.Folder, ga.Filter);
h.GotDebug += new DebugDelegate(h_GotDebug);
h.GotTick += new TickDelegate(h_GotTick);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = h.FillCount;
// save result
e.Result = ga;
}
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;
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
FillCount = 0;
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
status("Started: " + ga.ResponseName);
// prepare simulator
bool portreal = _portfoliosim.Checked;
if (_portfoliosim.Checked)
{
debug("Using portfolio simulation. (realistic)");
h = new MultiSimImpl(ga.Folder, ga.Filter);
}
else
{
debug("Using sequential symbol simulation. (faster)");
h = new SingleSimImpl(ga.Folder, ga.Filter);
}
h.GotDebug += new DebugDelegate(h_GotDebug);
SimBroker.UseBidAskFills = _usebidask.Checked;
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.GotFill += new FillDelegate(SimBroker_GotFill);
SimBroker.GotOrder += new OrderDelegate(args.Response.GotOrder);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = FillCount;
// save result
e.Result = ga;
}
public Playback(HistSim simulator)
{
h = simulator;
WorkerSupportsCancellation = true;
WorkerReportsProgress = true;
}
public Optimize(string dll, string response, HistSim sim) : base(ResponseLoader.FromDLL(response, dll), sim)
{
Dll = dll;
ResponseName = response;
}
public gauntletArgs(string _dll, string _response, HistSim h)
{
dll = _dll;
response = _response;
hsim = h;
}
void bindsim(ref HistSim h)
{
h.GotDebug += new DebugDelegate(h_GotDebug);
h.GotTick += new TickDelegate(h_GotTick);
}
public SimpleBacktester(PortfolioManager nsystem, string folder, int cpunr, string[] filter = null)
{
try
{
//Set start time
Started = DateTime.Now;
var transactioncosts = new GenericBrokerModel()
{
CommPerLot = 0M, SlippageInPips = 0M, LatencyInMS = 0, SpreadInPips = 0M
};
SimBroker = new SimBroker((SimAccount)nsystem.Account, transactioncosts);
//Initialize
nsystem.Initialize();
foreach (var stream in nsystem.Streams)
{
((OHLCBarStream)stream.Value).Initialize();
}
//set response
portfolio = nsystem;
//Set progress
if (OnProgress != null)
{
OnProgress(this, "Starting...", cpunr);
}
//Set simulator
if (filter == null || nsystem.Streams.Count == 1)
{
histsim = new SingleSimImpl(filter);
}
else
{
histsim = new MultiSimImpl(filter);
}
//Set events
histsim.GotTick += histsim_GotTick;
SimBroker.GotFill += SimBroker_GotFill;
SimBroker.GotOrder += SimBroker_GotOrder;
SimBroker.GotOrderCancel += SimBroker_GotOrderCancel;
SimBroker.GotOrderUpdate += SimBroker_GotOrderChanged;
BindPortfolioEvents();
//Start simulation
histsim.PlayTo(SingleSimImpl.Endsim);
//Notify Complete
if (OnProgress != null)
{
OnProgress(this, "Finished!", cpunr);
}
Stopped = DateTime.Now;
if (OnMessage != null)
{
OnMessage(this, string.Format("SystemID: {0} - CPU: {1} - Finished in: {2} seconds - Tick p/s: {3} - Trades - {4}",
0,
cpunr,
Math.Round((Stopped - Started).TotalSeconds, 2),
Math.Round(TicksSecond),
SimBroker.GetTradeList().Count
));
}
Thread.Sleep(1000);
WriteResults();
}
catch (Exception exc)
{
if (OnProgress != null)
{
OnProgress(this, "FAILED: Exception!", cpunr);
}
if (OnMessage != null)
{
OnMessage(this, string.Format("Error (cpu {0}) Message: {1} Stacktrace: {2}", cpunr, exc.Message, exc.StackTrace));
}
}
}