public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer();
OptimizationUniverse universe = new OptimizationUniverse();
for (int length1 = 2; length1 < 14; length1++)
{
for (int length2 = length1 + 1; length2 < 28; length2++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Length1", length1);
parameter.Add("Length2", length2);
parameter.Add("Bar", (long)60);
universe.Add(parameter);
}
}
strategy = new SMACrossover(framework, "strategy ");
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
InstrumentList instruments = new InstrumentList();
instruments.Add(instrument1);
instruments.Add(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
optimizer.Optimize(strategy, instruments, universe, 100);
}
private void ctxPanel_Remove_Click(object sender, EventArgs e)
{
InstrumentList instrumentList = new InstrumentList();
foreach (InstrumentRow instrumentRow in (BaseCollection)this.dgvPanel.SelectedRows)
{
instrumentList.Add(instrumentRow.Instrument);
}
if (((FIXGroupList)instrumentList).Count <= 0 || MessageBox.Show("Do you want to remove selected instruments?", "Remove", MessageBoxButtons.YesNo, MessageBoxIcon.Question) != DialogResult.Yes)
{
return;
}
IEnumerator enumerator = ((FIXGroupList)instrumentList).GetEnumerator();
try
{
while (enumerator.MoveNext())
{
this.RemoveInstrument((Instrument)enumerator.Current);
}
}
finally
{
IDisposable disposable = enumerator as IDisposable;
if (disposable != null)
{
disposable.Dispose();
}
}
}
public override IEnumerable <Quote> GetQuoteList(string accountId, string mode)
{
//This need to be changed to PRICE API
//TODO *******************************************************
List <TDMData> instrList = null;
List <Quote> result = new List <Quote>();
Quote q = null;
string[] tickerList = this.GetTickerList();
for (int i = 0; i < tickerList.Length; i++)
{
instrList = GetInstrumentList(tickerList[i]);
if (instrList == null)
{
instrList = GetSymbolPriceList(tickerList[i], (DateTime.Now.AddDays(-5)));
InstrumentList.Add(tickerList[i], instrList);
}
q = new Quote();
q.Symbol = tickerList[i];
if (mode == Constants.OrderAction.BUY)
{
q.LastBuyTradePrice = GetCurrentBuyPrice(q.Symbol);
}
else if (mode == Constants.OrderAction.SELL)
{
q.LastSellTradePrice = GetCurrentSellPrice(q.Symbol);
}
result.Add(q);
}
return(result);
}
public override void Subscribe(Instrument instrument)
{
if (!subscribbed.Contains(instrument))
{
subscribbed.Add(instrument);
}
}
void LoadFromDB()
{
var connectionStr = ConfigurationManager.ConnectionStrings["MarketDataConnectionString"];
using (var conn = new SqlConnection(connectionStr.ConnectionString))
{
conn.Open();
var rl = conn.Query <Instrument>("Select * from Table_Instruments", new { }, null, true, 60000).ToList();
InstrumentList.Clear();
foreach (var r in rl)
{
r.Ticker = r.Ticker.Trim();
r.Currency = r.Currency.Trim();
r.Industory = r.Industory.Trim();
r.Name = r.Name.Trim();
r.Region = r.Region.Trim();
if (r.Memo != null)
{
r.Memo = r.Memo.Trim();
}
InstrumentList.Add(r);
}
}
ClearChangedFlag();
}
void Load(DistributeAnalyse obj)
{
TargetObject = obj;
InstrumentList.Clear();
TargetObject.InstrumentList.ForEach(v => InstrumentList.Add(v));
SectorList.Clear();
TargetObject.SectorList.ForEach(v => SectorList.Add(v));
CurrentDataSource = TargetObject.CurrentDataSource;
}
public void Init()
{
AllInstrumentList.Clear();
InstrumentList.Clear();
Instrument.AllInstrumentList.ForEach(r =>
{
AllInstrumentList.Add(r);
InstrumentList.Add(r);
});
}
public int SetInstrumentInfo(string s)
{
var l = CommonLib.CommonProc.ConvertStringToObject <List <Instrument> >(s);
if (l == null || l.Count == 0)
{
return(0);
}
InstrumentList.Clear();
l.ForEach(v => InstrumentList.Add(v));
return(l.Count);
}
public void Clear()
{
foreach (var i in Instruments)
{
i.Bid = null;
i.Ask = null;
i.Trade = null;
i.Bar = null;
}
var deleted = new InstrumentList();
foreach (var i in Instruments.Where(i => !i.Loaded))
deleted.Add(i);
foreach (var i in deleted)
Delete(i);
}
void LoadFromFile()
{
var dlg = new OpenFileDialog()
{
Filter = "Text File|*.txt|Csv File|*.CSV| (*.*)|*.*"
};
if (dlg.ShowDialog() == true)
{
var ep = new ReportCommonLib.ReportExportHelper();
var dic = ep.LoadMappingFile(System.AppDomain.CurrentDomain.BaseDirectory + "MarketDataSupport\\InstrumentMapping.txt");
var l = ep.LoadFromCsvFile <InstrumentModel>(dlg.FileName, Encoding.GetEncoding("GB18030") , GetSeperateChar(), dic , preProcess);
InstrumentList.Clear();
l.ForEach(v => InstrumentList.Add(v));
}
ClearChangedFlag();
}
public override IEnumerable <Quote> GetQuoteList(string[] tickerList, string accountId)
{
List <TDM_Instrument> instrList = null;
List <Quote> result = new List <Quote>();
Quote q = null;
if (tickerList == null)
{
tickerList = this.GetTickerList();
}
for (int i = 0; i < tickerList.Length; i++)
{
instrList = ExchangeObject.GetSymbolPriceList(tickerList[i], DateTime.Now);
InstrumentList.Add(tickerList[i], instrList);
q = new Quote();
q.Symbol = tickerList[i];
q.LastTradePrice = instrList[0].BuyPrice;
result.Add(q);
}
return(result);
}
public override void LoadInfo()
{
if (TargetProject == null)
{
return;
}
ConditionList.Clear();
TargetProject.ConditionList.ForEach(v => ConditionList.Add(new ConditionViewModel()
{
TargetObject = v
}));
InstrumentList.Clear();
TargetProject.InstrumentList.ForEach(v => InstrumentList.Add(v));
CurrentStrategy = TargetProject.TestStrategy;
CurrentTradeGate = TargetProject.CurrentTradeGate;
CurrentDataSource = TargetProject.CurrentDataSource;
IsChanged = false;
if (TargetSummaryVM != null)
{
TargetSummaryVM.Refresh();
}
}
public void Filter(string filter)
{
InstrumentList.Clear();
if (!string.IsNullOrEmpty(filter))
{
GetTargetProject().InstrumentList.ForEach(v =>
{
if (v.Ticker.IndexOf(filter, StringComparison.OrdinalIgnoreCase) >= 0 ||
v.Name.IndexOf(filter, StringComparison.OrdinalIgnoreCase) >= 0 ||
v.PYName.IndexOf(filter, StringComparison.OrdinalIgnoreCase) >= 0)
{
InstrumentList.Add(v);
}
});
}
else
{
GetTargetProject().InstrumentList.ForEach(v =>
{
InstrumentList.Add(v);
});
}
}
public override void LoadInfo()
{
if (TargetProject == null)
{
return;
}
ConditionList.Clear();
TargetProject.ConditionList.ForEach(v => ConditionList.Add(new ConditionViewModel()
{
TargetObject = v
}));
PredicateList.Clear();
TargetProject.PredicateList.ForEach(v => PredicateList.Add(new ConditionViewModel()
{
TargetObject = v
}));
InstrumentList.Clear();
TargetProject.InstrumentList.ForEach(v => InstrumentList.Add(v));
ResultList.Clear();
TargetProject.ResultList.ForEach(v => ResultList.Add(new InstrumentViewModel()
{
TargetObject = v, GetCurrentDataSource = () => { return(CurrentDataSource); }
}));
TargetProject.BlockList.ForEach(v => BlockList.Add(new InstrumentViewModel()
{
TargetObject = v, GetCurrentDataSource = () => { return(CurrentDataSource); }
}));
CurrentDataSource = TargetProject.CurrentDataSource;
IsChanged = false;
if (TargetSummaryVM != null)
{
TargetSummaryVM.Refresh();
}
}
public void Unsubscribe(IDataProvider provider, InstrumentList instruments)
{
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] - 1;
if (this.subscriptions[(int)provider.Id][byIndex] == 0)
{
instrumentList.Add(byIndex);
}
}
provider.Unsubscribe(instrumentList);
}
/// <summary>
/// Event fired when UnsubscriptionArrives
/// </summary>
/// <param name="unsubscribe"></param>
public void UnsubscriptionArrived(Unsubscribe unsubscribe)
{
InstrumentList.Add(unsubscribe.Security);
OnSearchChanged(Search);
}
public void RemoveInstrument(Instrument instrument)
{
this.instruments.Remove(instrument);
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
this.framework.strategyManager.UnregisterMarketDataRequest(this.GetDataProvider(this, instrument), instrumentList);
if (this.parent != null)
{
this.parent.UnregisterStrategy(this, instrumentList, (int)this.id);
}
}
private void RegisterInstrument(Instrument instrument)
{
InstrumentList instrumentList = new InstrumentList();
instrumentList.Add(instrument);
IDataProvider dataProvider = this.GetDataProvider(this, instrument);
IExecutionProvider executionProvider = this.GetExecutionProvider(instrument);
if (dataProvider.Status == ProviderStatus.Disconnected)
{
dataProvider.Connect();
}
if (executionProvider.Status == ProviderStatus.Disconnected)
{
executionProvider.Connect();
}
this.framework.strategyManager.RegisterMarketDataRequest(dataProvider, instrumentList);
if (this.parent != null)
{
this.parent.RegisterStrategy(this, instrumentList, (int)this.id);
}
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
lock (this)
{
this.subscriptions.Clear();
Strategy = strategy;
Mode = mode;
if (this.framework.Mode == FrameworkMode.Simulation)
{
this.framework.Clock.DateTime = this.framework.ProviderManager.DataSimulator.DateTime1;
this.framework.ExchangeClock.DateTime = DateTime.MinValue;
}
if (this.framework.EventManager.Status != EventManagerStatus.Running)
this.framework.EventManager.Start();
SetStatusType(StrategyStatusType.Started);
if (Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Load)
{
this.framework.PortfolioManager.Load(strategy.Name);
this.framework.OrderManager.Load(strategy.Name, -1);
this.framework.OrderServer.SeriesName = strategy.Name;
this.framework.OrderManager.IsPersistent = true;
}
else
{
this.framework.OrderManager.IsPersistent = false;
}
strategy.Init();
if ((Persistence == StrategyPersistence.Full || Persistence == StrategyPersistence.Save) && !strategy.Portfolio.IsLoaded)
this.framework.PortfolioManager.Save(strategy.Portfolio);
strategy.EmitStrategyStart();
if (!this.framework.IsExternalDataQueue)
{
var dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.subscriptions.Count != 0)
{
var dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.subscriptions);
this.subscriptions.Clear();
foreach (var current in dictionary2)
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy)
{
this.framework.SubscriptionManager?.Subscribe(current.Key, instrumentList2);
}
}
}
SetParametersGroup();
Status = StrategyStatus.Running;
this.subscriptions = dictionary;
if (this.subscriptions.Count == 0 && mode == StrategyMode.Backtest)
{
Console.WriteLine($"{DateTime.Now } StrategyManager::StartStrategy {strategy.Name} has no data requests in backtest mode, stopping...");
StopStrategy();
}
else
{
foreach (var current3 in this.subscriptions)
{
if (!(current3.Key is SellSideStrategy))
this.framework.SubscriptionManager?.Subscribe(current3.Key, current3.Value);
}
if (mode != StrategyMode.Backtest)
strategy.FundamentalProvider?.Connect();
}
}
else
{
SetParametersGroup();
Status = StrategyStatus.Running;
}
}
}
public void Clear()
{
foreach (Instrument current in this.instruments)
{
current.bid = null;
current.ask = null;
current.trade = null;
}
InstrumentList instrumentList = new InstrumentList();
foreach (Instrument current2 in this.instruments)
{
if (!current2.isPersistent)
{
instrumentList.Add(current2);
}
}
foreach (Instrument current3 in instrumentList)
{
this.Delete(current3);
}
}
public void Subscribe(IDataProvider provider, InstrumentList instruments)
{
if (provider.Status != ProviderStatus.Connected)
{
provider.Connect();
}
InstrumentList instrumentList = new InstrumentList();
for (int i = 0; i < instruments.Count; i++)
{
Instrument byIndex = instruments.GetByIndex(i);
if (!this.subscriptions.ContainsKey((int)provider.Id))
{
this.subscriptions[(int)provider.Id] = new Dictionary<Instrument, int>();
}
if (!this.subscriptions[(int)provider.Id].ContainsKey(byIndex) || this.subscriptions[(int)provider.Id][byIndex] == 0)
{
this.subscriptions[(int)provider.Id][byIndex] = 0;
instrumentList.Add(byIndex);
}
Dictionary<Instrument, int> dictionary;
Instrument key;
(dictionary = this.subscriptions[(int)provider.Id])[key = byIndex] = dictionary[key] + 1;
}
if (instrumentList.Count > 0)
{
provider.Subscribe(instrumentList);
}
}
public void RegisterMarketDataRequest(IDataProvider dataProvider, InstrumentList instrumentList)
{
InstrumentList instrumentList2 = new InstrumentList();
InstrumentList instrumentList3 = null;
if (!this.requests.TryGetValue(dataProvider, out instrumentList3))
{
instrumentList3 = new InstrumentList();
this.requests[dataProvider] = instrumentList3;
}
foreach (Instrument current in instrumentList)
{
if (!instrumentList3.Contains(current.id))
{
instrumentList3.Add(current);
instrumentList2.Add(current);
}
}
if (this.status == StrategyStatus.Running && instrumentList2.Count > 0 && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(dataProvider, instrumentList2);
}
}
void New()
{
var instrument = new InstrumentModel();
InstrumentList.Add(instrument);
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer(this.framework);
OptimizationUniverse universe = new OptimizationUniverse();
for (decimal Delta = 1; Delta < 8; Delta++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Delta", Delta);
universe.Add(parameter);
}
Instrument spreadInsturment = InstrumentManager.Get("*NG 01-15 vs *NG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Future, "*NG 01-15 vs *NG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 01-15"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 02-15"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
//sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 18); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 12, 30); // 1 day after real end
InstrumentList instruments = new InstrumentList();
instruments.Add(spreadInsturment);
strategy.AddInstruments(instruments);
//You can choose an optimization method from the "Optimizers" window
//and observe the optimization results in the "Optimization Results" window.
//Optimization can use either of two ways to declare parameters:
//1. Optimization using [OptimizationParameter] atrributes from Strategy
//Optimize(strategy);
//2. Optimization via OptimizationUniverse
optimizer.Optimize(strategy, universe);
}
public void StartStrategy(Strategy strategy, StrategyMode mode)
{
this.strategy = strategy;
if (mode == StrategyMode.Backtest)
{
this.framework.Mode = FrameworkMode.Simulation;
}
else
{
this.framework.Mode = FrameworkMode.Realtime;
}
if (this.framework.eventManager.status != EventManagerStatus.Running)
{
this.framework.eventManager.Start();
}
StrategyStatusInfo strategyStatusInfo = new StrategyStatusInfo(this.framework.clock.DateTime, StrategyStatusType.Started);
strategyStatusInfo.Solution = ((strategy.Name == null) ? "Solution" : strategy.Name);
strategyStatusInfo.Mode = mode.ToString();
this.framework.eventServer.OnLog(new GroupEvent(strategyStatusInfo, null));
strategy.OnStrategyStart_();
if (!this.framework.IsExternalDataQueue)
{
Dictionary<IDataProvider, InstrumentList> dictionary = new Dictionary<IDataProvider, InstrumentList>();
while (this.requests.Count != 0)
{
Dictionary<IDataProvider, InstrumentList> dictionary2 = new Dictionary<IDataProvider, InstrumentList>(this.requests);
this.requests.Clear();
foreach (KeyValuePair<IDataProvider, InstrumentList> current in new Dictionary<IDataProvider, InstrumentList>(dictionary2))
{
InstrumentList instrumentList = null;
if (!dictionary.TryGetValue(current.Key, out instrumentList))
{
instrumentList = new InstrumentList();
dictionary[current.Key] = instrumentList;
}
InstrumentList instrumentList2 = new InstrumentList();
foreach (Instrument current2 in current.Value)
{
if (!instrumentList.Contains(current2))
{
instrumentList.Add(current2);
instrumentList2.Add(current2);
}
}
if (current.Key is SellSideStrategy && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current.Key, instrumentList2);
}
}
}
this.status = StrategyStatus.Running;
this.requests = dictionary;
if (this.requests.Count == 0)
{
Console.WriteLine(string.Concat(new object[]
{
DateTime.Now,
" StrategyManager::StartStrategy ",
strategy.Name,
" has no data requests, stopping..."
}));
this.StopStrategy();
return;
}
foreach (KeyValuePair<IDataProvider, InstrumentList> current3 in this.requests)
{
if (!(current3.Key is SellSideStrategy) && this.framework.SubscriptionManager != null)
{
this.framework.SubscriptionManager.Subscribe(current3.Key, current3.Value);
}
}
}
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer();
OptimizationUniverse universe = new OptimizationUniverse();
for (int length1 = 2; length1 < 14; length1++)
for (int length2 = length1 + 1; length2 < 28; length2++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Length1", length1);
parameter.Add("Length2", length2);
parameter.Add("Bar", (long)60);
universe.Add(parameter);
}
strategy = new SMACrossover(framework, "strategy ");
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
InstrumentList instruments = new InstrumentList();
instruments.Add(instrument1);
instruments.Add(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
optimizer.Optimize(strategy, instruments, universe, 100);
}