static IEnumerable <string> SelectStockAndFilterBlocks(ref StockBlockRelationshipManager manager, int minStockPerBlock)
{
var stocks = manager.FindMinimumStockSetCoveredAllBlocks(minStockPerBlock);
manager = manager.CreateSubsetForStocks(stocks);
return(stocks);
}
static void Run(Options options)
{
// check the validation of options
CheckOptions(options);
// generate example files if necessary
if (options.ShouldGenerateExampleFiles)
{
GenerateExampleFiles(options);
return;
}
// register handler for Ctrl+C/Ctrl+Break
Console.CancelKeyPress += ConsoleCancelKeyPress;
// load settings from files
var tradingSettings = TradingSettings.LoadFromFile(options.TradingSettingsFile);
var combinedStrategySettings = CombinedStrategySettings.LoadFromFile(options.CombinedStrategySettingsFile);
var stockDataSettings = ChinaStockDataSettings.LoadFromFile(options.StockDataSettingsFile);
// load codes and stock name table
var stockNameTable = new StockNameTable(stockDataSettings.StockNameTableFile);
var codes = LoadCodeOfStocks(options.CodeFile);
// load stock block relationship if necessary, and filter codes
StockBlockRelationshipManager stockBlockRelationshipManager = null;
if (!string.IsNullOrWhiteSpace(options.StockBlockRelationshipFile))
{
stockBlockRelationshipManager = LoadStockBlockRelationship(options.StockBlockRelationshipFile);
// filter stock block relationship for loaded codes only
stockBlockRelationshipManager = stockBlockRelationshipManager.CreateSubsetForStocks(codes);
// codes will be updated according to stock-block relationships
codes = stockBlockRelationshipManager.Stocks;
}
var allDataFiles = codes
.Select(stockDataSettings.BuildActualDataFilePathAndName)
.ToArray();
// dump data for temporary usage, will be commented out in real code
// create data provider
//var dumpDataProvider
// = new ChinaStockDataProvider(
// stockNameTable,
// allDataFiles,
// options.StartDate,
// options.EndDate,
// 0);
//DumpData(dumpDataProvider);
// generate evaluation time intervals
var intervals =
GenerateIntervals(
options.StartDate,
options.EndDate,
options.YearInterval)
.ToArray();
using (_contextManager = new EvaluationResultContextManager(options.EvaluationName))
{
// save evluation summary
var evaluationSummary = new EvaluationSummary
{
StrategySettings = combinedStrategySettings.GetActiveSettings(),
TradingSettings = tradingSettings,
DataSettings = stockDataSettings,
StartTime = options.StartDate,
EndTime = options.EndDate,
YearInterval = options.YearInterval,
ObjectNames = codes
.Select(c => stockNameTable.ContainsStock(c)
? c + '|' + stockNameTable[c].Names[0]
: c)
.ToArray()
};
_contextManager.SaveEvaluationSummary(evaluationSummary);
Action <Tuple <DateTime, DateTime> > evaluatingAction =
(Tuple <DateTime, DateTime> interval) =>
{
if (_toBeStopped)
{
return;
}
// initialize data provider
var dataProvider
= new ChinaStockDataProvider(
stockNameTable,
allDataFiles,
interval.Item1, // interval start date
interval.Item2, // interval end date
options.WarmupPeriods);
var finalCodes = dataProvider.GetAllTradingObjects().Select(to => to.Code);
var filteredStockBlockRelationshipManager = stockBlockRelationshipManager == null
? null
: stockBlockRelationshipManager.CreateSubsetForStocks(finalCodes);
// initialize combined strategy assembler
var combinedStrategyAssembler = new CombinedStrategyAssembler(combinedStrategySettings, true);
var strategyInstances
= new List <Tuple <CombinedStrategy, IDictionary <ParameterAttribute, object> > >();
IDictionary <ParameterAttribute, object> values;
while ((values = combinedStrategyAssembler.GetNextSetOfParameterValues()) != null)
{
var strategy = combinedStrategyAssembler.NewStrategy();
strategyInstances.Add(Tuple.Create(strategy, values));
}
if (strategyInstances.Any())
{
// initialize ResultSummary
ResultSummary.Initialize(strategyInstances.First().Item2, options.EnableERatioOutput);
}
SetTotalStrategyNumber(intervals.Count() * strategyInstances.Count());
try
{
Parallel.For(
0,
strategyInstances.Count,
// below line is for performance profiling only.
new ParallelOptions()
{
MaxDegreeOfParallelism = Environment.ProcessorCount * 2
},
t =>
{
for (int i = 0; i < options.AccountNumber; ++i)
{
if (_toBeStopped)
{
return;
}
ICapitalManager capitalManager = options.ProportionOfCapitalForIncrementalPosition > 0.0
? (ICapitalManager) new AdvancedCapitalManager(options.InitialCapital, options.ProportionOfCapitalForIncrementalPosition)
: (ICapitalManager) new SimpleCapitalManager(options.InitialCapital)
;
EvaluateStrategy(
options.AccountNumber,
i,
_contextManager,
strategyInstances[t].Item1,
strategyInstances[t].Item2,
interval.Item1,
interval.Item2,
capitalManager,
dataProvider,
filteredStockBlockRelationshipManager,
options.ShouldDumpData,
tradingSettings);
}
IncreaseProgress();
// reset the strategy object to ensure the referred IEvaluationContext object being
// released, otherwise it will never be released until all strategies are evaluated.
// This is a bug hid for long time.
strategyInstances[t] = null;
});
}
catch
{
_toBeStopped = true;
}
finally
{
lock (_contextManager)
{
// save result summary
_contextManager.SaveResultSummaries();
}
}
};
if (options.ParallelExecution)
{
Parallel.ForEach(intervals, evaluatingAction);
}
else
{
foreach (var interval in intervals)
{
evaluatingAction(interval);
}
}
}
_contextManager = null;
Console.WriteLine();
Console.WriteLine("Done.");
}
static void Run(Options options)
{
// check the validation of options
CheckOptions(options);
// load settings from files
var combinedStrategySettings = CombinedStrategySettings.LoadFromFile(options.CombinedStrategySettingsFile);
var stockDataSettings = ChinaStockDataSettings.LoadFromFile(options.StockDataSettingsFile);
var positions = LoadPositions(options.PositionFile);
// load codes and stock name table
var stockNameTable = new StockNameTable(stockDataSettings.StockNameTableFile);
var codes = LoadCodeOfStocks(options.CodeFile);
// load stock block relationship if necessary, and filter codes
StockBlockRelationshipManager stockBlockRelationshipManager = null;
if (!string.IsNullOrWhiteSpace(options.StockBlockRelationshipFile))
{
stockBlockRelationshipManager = LoadStockBlockRelationship(options.StockBlockRelationshipFile);
// filter stock block relationship for loaded codes only
stockBlockRelationshipManager = stockBlockRelationshipManager.CreateSubsetForStocks(codes);
// codes will be updated according to stock-block relationships
codes = stockBlockRelationshipManager.Stocks;
}
var allDataFiles = codes
.Select(stockDataSettings.BuildActualDataFilePathAndName)
.ToArray();
// initialize data provider
var dataProvider
= new ChinaStockDataProvider(
stockNameTable,
allDataFiles,
options.StartDate,
options.EndDate,
options.WarmupPeriods);
var finalCodes = dataProvider.GetAllTradingObjects().Select(to => to.Code);
var filteredStockBlockRelationshipManager = stockBlockRelationshipManager == null
? null
: stockBlockRelationshipManager.CreateSubsetForStocks(finalCodes);
if (filteredStockBlockRelationshipManager != null)
{
var filteredCodes = filteredStockBlockRelationshipManager.Stocks;
var filteredDataFiles = filteredCodes
.Select(stockDataSettings.BuildActualDataFilePathAndName)
.ToArray();
// rebuild data provider according to filtered codes
dataProvider = new ChinaStockDataProvider(
stockNameTable,
filteredDataFiles,
options.StartDate,
options.EndDate,
options.WarmupPeriods);
}
// initialize combined strategy assembler
var combinedStrategyAssembler = new CombinedStrategyAssembler(combinedStrategySettings, false);
var strategyInstances
= new List <Tuple <CombinedStrategy, IDictionary <ParameterAttribute, object> > >();
IDictionary <ParameterAttribute, object> values;
while ((values = combinedStrategyAssembler.GetNextSetOfParameterValues()) != null)
{
var strategy = combinedStrategyAssembler.NewStrategy();
strategyInstances.Add(Tuple.Create(strategy, values));
}
if (strategyInstances.Count != 1)
{
throw new InvalidDataException("Strategy has more or less than one instance, please check strategy settings");
}
string predictionContextDirectory = options.PredicationName + "_" + DateTime.Now.ToString("yyyyMMddTHHmmss");
if (!Directory.Exists(predictionContextDirectory))
{
Directory.CreateDirectory(predictionContextDirectory);
}
using (PredicationContext context = new PredicationContext(predictionContextDirectory))
{
PredicateStrategy(
context,
strategyInstances.First().Item1,
strategyInstances.First().Item2,
options.StartDate,
options.InitialCapital,
options.CurrentCapital,
positions,
dataProvider,
filteredStockBlockRelationshipManager,
options.PositionFrozenDays);
}
Console.WriteLine();
Console.WriteLine("Done.");
}