/// <summary>
/// Static method that runs a simulation of a Market and bot runs for a given period,
/// with the parameters and historical data supplied as parameters
/// </summary>
/// <param name="objSimulation">An instance of the simulation info class with properties defining how to perform the simulation</param>
/// <param name="initialWallet">The Wallet to use at the start of the simulation</param>
/// <param name="obStrategy">The existing strategy to use if the simulation object does not specify a custom strategy</param>
/// <param name="objExchange">An instance of the Exchange parameters</param>
/// <param name="exchangeHistory">Historical data for the Exchange object</param>
/// <returns>the trading history computed from the simulation with resulting balance, issued and executed orders</returns>
public static TradingHistory RunSimulation(SimulationInfo objSimulation, Wallet initialWallet
, ITradingStrategy obStrategy, ExchangeInfo objExchange, IEnumerable <Trade> exchangeHistory)
{
var toReturn = new TradingHistory();
if (objSimulation.UseCustomStrategy)
{
obStrategy = objSimulation.CustomStrategy;
}
var objExchangeSimulator = new ExchangeSimulator()
{
Trades = exchangeHistory.ToList()
};
var currentWallet = (Wallet)initialWallet.Clone();
//var lastBotMarket = new MarketInfo(DateTime.MinValue);
var lastBotTicker = 0m;
var lastBotTime = DateTime.MinValue;
MarketInfo objMarket = null;
int nbEmptyRuns = 0;
foreach (var historicTrade in objExchangeSimulator.Trades
.Where(objTrade => objTrade.Time > objSimulation.StartDate &&
objTrade.Time < objSimulation.EndDate))
{
if ((currentWallet.OrderedAsks.Count > 0 && historicTrade.Price > currentWallet.LowestAsk.Price) ||
(currentWallet.OrderedBids.Count > 0 && historicTrade.Price < currentWallet.HighestBid.Price))
{
nbEmptyRuns = 0;
objMarket = objExchangeSimulator.GetMarket(historicTrade.Time);
objExchange.ExecuteOrders(objMarket, ref currentWallet, ref toReturn);
}
if (historicTrade.Time.Subtract(lastBotTime) > objSimulation.BotPeriod.Value)
{
currentWallet.Time = historicTrade.Time;
bool isBigVariation =
Math.Abs((historicTrade.Price - lastBotTicker) / historicTrade.Price)
> objSimulation.SkippedVariationRate / 100;
if (!objSimulation.FastSimulation ||
nbEmptyRuns < objSimulation.SkippedMinVoidRuns ||
nbEmptyRuns >= objSimulation.SkippedMaxRuns ||
isBigVariation)
{
if (objMarket == null)
{
objMarket = objExchangeSimulator.GetMarket(historicTrade.Time);
}
var newOrders = obStrategy.ComputeNewOrders(currentWallet, objMarket, objExchange, toReturn);
currentWallet.IntegrateOrders(newOrders.Orders.ToArray());
lastBotTicker = objMarket.Ticker.Last;
if (newOrders.Orders.Count == 0 && !isBigVariation && nbEmptyRuns < objSimulation.SkippedMaxRuns)
{
nbEmptyRuns++;
}
else
{
nbEmptyRuns = 0;
}
}
else
{
nbEmptyRuns++;
}
lastBotTime = historicTrade.Time;
}
objMarket = null;
}
return(toReturn);
}