private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
throw new InvalidOperationException(LocalizedStrings.Str3015);
}
if (Strategy == null)
{
throw new InvalidOperationException("Strategy not selected.");
}
var strategy = (EmulationDiagramStrategy)Strategy;
var settings = strategy.EmulationSettings;
if (settings.MarketDataSettings == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3014);
}
new SetDefaultEmulationSettingsCommand(settings).Process(this);
strategy
.Composition
.Parameters
.ForEach(p =>
{
if (p.Type == typeof(Security) && p.Value == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1380);
}
});
strategy.Reset();
Reset();
var securityId = "empty@empty";
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(securityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = settings.CandlesTimeFrame;
var useCandles = settings.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = securityId, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StudioStorageRegistry
{
MarketDataSettings = settings.MarketDataSettings
};
var startTime = settings.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = settings.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var securityProvider = ConfigManager.GetService <ISecurityProvider>();
// create backtesting connector
_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
{
EmulationAdapter =
{
Emulator =
{
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 = settings.MatchOnTouch,
IsSupportAtomicReRegister = settings.IsSupportAtomicReRegister,
Latency = settings.EmulatoinLatency,
}
}
},
UseExternalCandleSource = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
StorageFormat = settings.StorageFormat,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)_connector).LogLevel = settings.DebugLog ? LogLevels.Debug : LogLevels.Info;
ConfigManager.GetService <LogManager>().Sources.Add(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.Connector = _connector;
strategy.LogLevel = settings.DebugLog ? LogLevels.Debug : LogLevels.Info;
// by default interval is 1 min,
// it is excessively for time range with several months
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>();
strategy.SetCandleManager(new CandleManager(_connector));
_connector.NewSecurity += s =>
{
//TODO send real level1 message
var level1Info = new Level1ChangeMessage
{
SecurityId = s.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// fill level1 values
_connector.SendInMessage(level1Info);
if (settings.UseMarketDepths)
{
_connector.RegisterMarketDepth(security);
if (
// if order book will be generated
settings.GenerateDepths ||
// of backtesting will be on candles
useCandles
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(s))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = settings.MaxDepths,
MaxBidsDepth = settings.MaxDepths,
UseTradeVolume = true,
MaxVolume = settings.MaxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.LookupSecuritiesResult += (ss) =>
{
if (strategy.ProcessState != ProcessStates.Stopped)
{
return;
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
}
});
break;
case EmulationStates.Started:
break;
}
};
_connector.Disconnected += () =>
{
this.GuiAsync(() => _connector.Dispose());
};
TicksAndDepthsProgress.Value = 0;
DiagramDebuggerControl.Debugger.IsEnabled = true;
// 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
}
});
}