static void generateCurves(LiveSystem system, IEnumerable <JMarket> markets, QDirectory directory, DateTime start, DateTime end, DataSource metricSource)
{
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var parameters = new Parameters {
{ "systemId", system.id() },
{ "RunMode", (double)RunMode.LIVE }
};
var startLoading = DateTime.Now;
Bomb.when(system.details().runInNativeCurrency(), () => "portfolio optimization requires systems to run in dollars, not native currency");
var bars = new SystemDbBarLoader(system.details().interval(), symbols, start, end);
var simulator = new Simulator(new SystemArguments(symbols, parameters), bars, "QUEDGE");
var startProcessing = DateTime.Now;
var perSecond = simulator.processBars();
saveMetric(system, "marketBarsPerSecond", metricSource, perSecond);
var startMetricCalc = DateTime.Now;
simulator.metrics();
saveMetric(system, "metricCalculationSeconds", metricSource, secondsSince(startMetricCalc));
saveMetric(system, "totalRunSeconds", metricSource, secondsSince(startProcessing));
simulator.writeCurveFiles(directory);
saveMetric(system, "totaSeconds", metricSource, secondsSince(startLoading));
Db.commit();
}
public static void Main(string[] args)
{
var arguments = Arguments.arguments(args, jStrings("markets", "start", "end", "out", "calculator", "interval"));
var names = split(",", arguments.@string("markets"));
var symbols = list(STO.symbols(names));
if (arguments.containsKey("calculator"))
{
var calculator = Type.GetType(arguments.@string("calculator"));
each(symbols, symbol => symbol.overrideSlippageCalculator(calculator));
}
var start = arguments.get("start", "");
var end = arguments.get("end", "");
var outFile = new QFile(arguments.@string("out"));
var range = new Range(isEmpty(start) ? null : Dates.date(start), isEmpty(end) ? null : Dates.date(end));
var loader = new SystemDbBarLoader(Interval.lookup(arguments.@string("interval")), symbols, dictionary(symbols, s => range));
var csv = new Csv();
var columns = list("date");
columns.AddRange(convert(symbols, s => s.name));
csv.addHeader(jList(columns));
for (var i = 0; i < loader.numDates(); i++)
{
var time = loader.date(i);
var record = list(ymdHuman(time));
var slippages = loader.currentSlippages(time);
each(symbols, s => record.Add(slippages.ContainsKey(s) ? slippages[s].ToString("N12") : "NA"));
csv.add(jList(record));
}
csv.overwrite(outFile);
}
public static void Main(string[] args)
{
var arguments = Arguments.arguments(args, jStrings("system", "prefix"));
var system = arguments.get("system");
var prefix = arguments.get("prefix", PREFIX_DEFAULT);
LogC.setOut("Tomahawk", Systematic.logsDir().file("Tomahawk." + system + ".log").path(), true);
LogC.useJavaLog = true;
LogC.info("running system " + system + ", process " + processId());
var liveSystems = accept(list <LiveSystem>(MsivLiveHistory.LIVE.liveSystems()), ls => ls.siv().system().Equals(system));
each(liveSystems, liveSystem => {
Bomb.when(liveSystem.details().runInNativeCurrency(), () => "not allowed to run live systems in native currency");
var markets = list <Market>(liveSystem.markets());
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var systemId = liveSystem.id();
var parameters = new Parameters {
{ "systemId", systemId },
{ "RunMode", (double)RunMode.LIVE }
};
Bomb.when(isEmpty(symbols), () => "No markets for " + systemId);
var systemArguments = new SystemArguments(symbols, parameters);
var start = date(systemArguments.interval().isDaily() ? BloombergSecurity.BBG_START_HISTORICAL : BloombergSecurity.BBG_START_INTRADAY);
if (parameters.has("DaysBack"))
{
start = now().AddDays(-parameters.get <int>("DaysBack"));
}
var loader = new SystemDbBarLoader(liveSystem.details().interval(), symbols, start);
var simulator = new Simulator(systemArguments, loader, prefix);
simulator.processBars();
simulator.goLive();
});
sleep(Int32.MaxValue);
}
public void testNBarFade()
{
O.freezeNow("2009/03/10");
var symbol = new Symbol("RE.TEST.TY.1C", 1000);
var args = new SystemArguments(symbol, new Parameters {
{ "systemId", 133486 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "LeadBars", 50 },
{ "ATRLen", 5 },
{ "nDays", 6 },
{ "nATRentry", 1.5 },
{ "exitATRmultiple", 1 },
{ "stopAfStep", 0.02 },
{ "stopAfMax", 0.2 },
{ "entryBarWindow", 2 },
{ "closeBetter", 1 },
{ "riskDollars", 100000000 }
});
var loader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol), date("2003/01/01"));
var simulator = new Simulator(args, loader, OrderTable.prefix);
simulator.processBars();
}
