public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
Int32 numOfInterval = 1;
BarInterval[] intervaltypes = new BarInterval[numOfInterval];
Int32[] intervalValues = new Int32[numOfInterval];
for (Int32 i = 0; i < numOfInterval; i++)
{
intervaltypes[i] = BarType;
intervalValues[i] = NumItemPerBar;
}
_blt = new BarListTracker(intervalValues, intervaltypes);
_blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
Hashtable TD_combinationInputParamTmp = new Hashtable();
TD_combinationInputParamTmp["lookbackperiod"] = _barsback;
TD_combinationInputParamTmp["minmumsignallength"] = _barsback;
_TD_combinationFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.TD_combination();
_TD_combinationFromATSGlobalIndicator.Param = TD_combinationInputParamTmp;
_TD_combinationFromATSGlobalIndicator.Initializatin();
_isShutDown = false;
TotalProfit = 0m;
_pt.Clear();
}
public override void Reset(bool popup = true)
{
// one day bar
_barlisttracker = new BarListTracker(_symbols.ToArray(), 86400);
_barlisttracker.GotNewBar += _barlisttracker_GotNewBar;
emailsent_ = 0;
}
public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
Int32 numOfInterval = 1;
BarInterval[] intervaltypes = new BarInterval[numOfInterval];
Int32[] intervalValues = new Int32[numOfInterval];
for (Int32 i = 0; i < numOfInterval; i++)
{
intervaltypes[i] = BarType;
intervalValues[i] = NumItemPerBar;
}
_blt = new BarListTracker(intervalValues, intervaltypes);
_blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
#region <在策略中实现从外部文件读取参数>
//传递优化参数或系统参数
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
if (File.Exists(SMAExternalParam))
{
DataTable paramTableInput = null;
StreamReader sr = new StreamReader(SMAExternalParam, Encoding.GetEncoding("GB18030"));
paramTableInput = CsvParser.Parse(sr, true);
sr.Close();
foreach (DataRow dr in paramTableInput.Rows)
{
if (paramTableInput.Columns.Contains("key") && paramTableInput.Columns.Contains("value"))
{
string tmpKey = dr["key"].ToString();
string tmpValue = dr["value"].ToString();
if (tmpKey == "genericparam")
{
GenericParameter = tmpValue;
}
//传递外部参数
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
}
}
}
#endregion
Hashtable SMAInputParamTmp = new Hashtable();
SMAInputParamTmp["lookbackperiod"] = _barsback;
SMAInputParamTmp["minmumsignallength"] = 1;
_SMAFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.SMA();
_SMAFromATSGlobalIndicator.Param = SMAInputParamTmp;
_SMAFromATSGlobalIndicator.Initializatin();
_isShutDown = false;
TotalProfit = 0m;
_pt.Clear();
}
public void setup()
{
//AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);
if (!isserverconok)
{
server = new TradeLink.Common.TLServer_WM();
con = new IQFeedHelper(server);
con.VerboseDebugging = verbosesetting;
con.SendDebug += new DebugDelegate(g.d);
// get login information
var data = Util.getfile(loginfile, g.d);
Assert.IsFalse(string.IsNullOrWhiteSpace(data), "no login info");
var li = data.Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
Assert.AreEqual(3, li.Length, "missing login info");
// attempt to startup connection
con.Start(li[userr], li[pwr], li[prodr], Util.TLBuild());
// wait a moment
Util.sleep(4000);
Assert.IsTrue(isserverconok, "server connection failed");
}
if (isserverconok && !isclientconok)
{
var c = new TLClient_WM("tempiqclient", false);
c.VerboseDebugging = verbosesetting;
c.SendDebugEvent += new DebugDelegate(g.d);
if (c.ProvidersAvailable[0] != Providers.IQFeed)
{
throw new Exception("unable to find test server");
}
c.Mode(0, false);
client = c;
client.gotUnknownMessage += new MessageDelegate(client_gotUnknownMessage);
// verify
Assert.IsTrue(isclientconok, "client connection failed");
}
// reset everything
mt = new MessageTracker();
mt.VerboseDebugging = verbosesetting;
blt = new BarListTracker();
mt.BLT = blt;
mt.SendDebug += new DebugDelegate(g.d);
mt.GotNewBar += new SymBarIntervalDelegate(mt_GotNewBar);
recvbarcount = 0;
msgok = true;
g.d("iqfeed started.");
// wait a moment
Util.sleep(1000);
}
public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
// only build bars for user's interval
blt = new BarListTracker(Interval);
// only calculate on new bars
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
}
public void TickInt()
{
Tick[] tape = TestBarList.SampleData();
BarListTracker blt = new BarListTracker(new[] { 3 }, new BarInterval[] { BarInterval.CustomTicks });
foreach (Tick k in tape)
{
blt.newTick(k);
}
Assert.AreEqual(4, blt[tape[0].symbol].Count);
}
public override void Reset() //对于新的一天来计算的时候要进行重置
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
Int32 numOfInterval = 1;
BarInterval[] intervaltypes = new BarInterval[numOfInterval];
Int32[] intervalValues = new Int32[numOfInterval];
for (Int32 i = 0; i < numOfInterval; i++)
{
intervaltypes[i] = BarType;
intervalValues[i] = NumItemPerBar;
}
_blt = new BarListTracker(intervalValues, intervaltypes);
_blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
Hashtable ShortSMAInputParamTmp = new Hashtable(); //对于SMA indicator进行更新，用今天重新计算的SMA，而不用昨天
Hashtable LongSMAInputParamTmp = new Hashtable();
ShortSMAInputParamTmp["lookbackperiod"] = _shortbarsback;
LongSMAInputParamTmp["lookbackperiod"] = _shortbarsback + _incrementbarsback;
ShortSMAInputParamTmp["minmumsignallength"] = _shortbarsback;
LongSMAInputParamTmp["minmumsignallength"] = _shortbarsback + _incrementbarsback;
_ShortSMAFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.SMA();
_LongSMAFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.SMA();
_ShortSMAFromATSGlobalIndicator.Param = ShortSMAInputParamTmp;
_LongSMAFromATSGlobalIndicator.Param = LongSMAInputParamTmp;
_ShortSMAFromATSGlobalIndicator.Initializatin();
_LongSMAFromATSGlobalIndicator.Initializatin();
// reset the parameters of ATR
Hashtable ATRInputParamTmp = new Hashtable();
ATRInputParamTmp["lookbackperiod"] = _shortbarsback;
ATRInputParamTmp["minmumsignallength"] = 14;
_ATRFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.ATR();
_ATRFromATSGlobalIndicator.Param = ATRInputParamTmp;
_ATRFromATSGlobalIndicator.Initializatin();
//---------------------------------------------------------
_isShutDown = false;
TotalProfit = 0m;
_pt.Clear();
if (_shortbarsback != 34 || _incrementbarsback != 84)
{
Console.WriteLine("yo hey");
}
}
/// <summary>
/// This is called after StrategySetter updates _symbol list
/// </summary>
/// <param name="popup"></param>
public override void Reset(bool popup = true)
{
_positiontracker = new PositionTracker(_symbols.Count);
_barlisttracker = new BarListTracker(_symbols.ToArray(), _barinterval);
_barlisttracker.GotNewBar += _barlisttracker_GotNewBar;
// all are active
_issymbolactive = Enumerable.Repeat <bool>(true, _symbols.Count).ToArray();
// none are filled
_waittobefilled = Enumerable.Repeat <bool>(false, _symbols.Count).ToArray();
_transactions = 0;
}
/// <summary>
/// Initialize "_blt", the bar list tracker
/// </summary>
void Initialize_blt()
{
Int32 numOfInterval = 1;
BarInterval[] intervaltypes = new BarInterval[numOfInterval];
Int32[] intervalValues = new Int32[numOfInterval];
for (Int32 i = 0; i < numOfInterval; i++)
{
intervaltypes[i] = BarType;
intervalValues[i] = NumItemPerBar;
}
_blt = new BarListTracker(intervalValues, intervaltypes);
// Delegate handler when we got new bar
_blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
}
public void DefaultInt()
{
BarListTracker blt = new BarListTracker();
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
Tick [] tape = TestBarList.SampleData();
// get second tape and change symbol
Tick[] tape2 = TestBarList.SampleData();
for (int i = 0; i < tape2.Length; i++)
{
tape2[i].symbol = "TST2";
}
// add ticks from both tape to tracker
for (int i = 0; i < tape.Length; i++)
{
blt.newTick(tape[i]);
blt.newTick(tape2[i]);
}
//make sure we got two symbols as bar events
Assert.AreEqual(2, syms.Count);
// make sure our symbols matched barlist count
Assert.AreEqual(blt.SymbolCount, syms.Count);
int secondcount = 0;
string symstring = string.Empty;
foreach (string sym in blt)
{
secondcount++;
symstring += sym;
}
// make sure enumeration equals symbol count
Assert.AreEqual(syms.Count, secondcount);
// make sure symbols are there
Assert.IsTrue(symstring.Contains("TST") && symstring.Contains("TST2"));
// change default interval
blt.DefaultInterval = BarInterval.Minute;
// make sure same on individual bars
Assert.AreEqual(blt.DefaultInterval, blt["TST"].DefaultInterval);
Assert.AreEqual(9, blt["TST"].IntervalCount(BarInterval.Minute));
Assert.AreEqual(3, blt["TST"].IntervalCount(BarInterval.FiveMin));
}
public void DefaultIntervalsAndInitilizedFields()
{
var blt_t300 = new BarListTracker(new int[] { 300 }, new BarInterval[] { BarInterval.CustomTime });
var blt_v10000 = new BarListTracker(new int[] { 10000 }, new BarInterval[] { BarInterval.CustomVol });
g.d(blt_v10000.DefaultInterval.ToString());
g.d(blt_t300.DefaultInterval.ToString());
Assert.AreEqual(blt_v10000.Intervals.Length, blt_v10000.CustomIntervals.Length, "vol mismatch custom/intervals");
Assert.AreEqual(10000, blt_v10000.CustomIntervals[0], "vol wrong interval size");
Assert.AreEqual(BarInterval.CustomVol, blt_v10000.Intervals[0], "vol wrong interval type");
Assert.AreEqual(blt_t300.Intervals.Length, blt_t300.CustomIntervals.Length, "mismatch custom/intervals");
Assert.AreEqual(300, blt_t300.CustomIntervals[0], "wrong interval size");
Assert.AreEqual(BarInterval.CustomTime, blt_t300.Intervals[0], "wrong interval type");
}
private void Setup()
{
_time = 0;
var _colors = PlottingUtilities.GetLegacyColorList(_symbols.Count);
for (int i = 0; i < _symbols.Count; i++)
{
_symbolColorMap.Add(_symbols[i], _colors[i]);
}
_barListTracker = new BarListTracker();
_barListTracker = new BarListTracker(_intervalValues, _intervalTypes);
_barListTracker.GotNewBar += _barListTracker_GotNewBar;
isValid = true;
}
public SMAResponse(bool prompt)
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, !prompt);
// only build bars for user's interval
blt = new BarListTracker(Interval);
// only calculate on new bars
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
// set our indicator names, in case we import indicators into R
// or excel, or we want to view them in gauntlet or kadina
Indicators = new string[] { "SMA" };
}
/*
* // these variables "hold" the parameters set by the user above
* // also they are the defaults that show up first
* int _barsback = 2;
* BarInterval _barinterval = BarInterval.FiveMin;
* int _entrysize = 100;
* decimal _totalprofit = 200;
* int _shutdowntime = 155000;
*/
void initialize()
{
// wait for fill
_wait = new GenericTracker <bool>();
// track whether shutdown
_active = new GenericTracker <bool>();
// hold last ma
_sma = new GenericTracker <decimal>();
// turn on bar tracking
blt = new BarListTracker(Interval);
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
// turn on position tracking
pt = new PositionTracker();
// keep track of time for use in other functions
time = 0;
_active.NewTxt += new TextIdxDelegate(_active_NewTxt);
}
public override void Reset(bool popup = true)
{
_positiontracker = new PositionTracker(_symbols.Count);
_barlisttracker = new BarListTracker(_symbols.ToArray(), new int[] { _higherbarinterval, _lowerbarinterval });
_barlisttracker.GotNewBar += _barlisttracker_GotNewBar;
_ordertracker = new OrderTracker(10000);
// in the none zone
_isOBOSZone = Enumerable.Repeat <OBOSZone>(OBOSZone.None, _symbols.Count).ToArray();
// neither bull or bear
_isHigherTimeFrameBullBear = Enumerable.Repeat <BullBearTrend>(BullBearTrend.None, _symbols.Count).ToArray();
// all are active
_issymbolactive = Enumerable.Repeat <bool>(true, _symbols.Count).ToArray();
// none are filled
_waittobefilled = Enumerable.Repeat <bool>(false, _symbols.Count).ToArray();
_currentorderids = Enumerable.Repeat <long>(0L, _symbols.Count).ToArray();
_entrylevel = Enumerable.Repeat <decimal>(0m, _symbols.Count).ToArray();
_exitlevel = Enumerable.Repeat <decimal>(0m, _symbols.Count).ToArray();
_transactions = 0;
_currenttime = 0;
}
public void Initialize()
{
dailyBarTracker = new BarListTracker(BarInterval.Day);
intraBarTracker = new BarListTracker(BarInterval.FiveMin);
}
string debug_message_from_constructor = ""; // need to store it and show on 1st tick, otherwise debug messages are wiped out when ticks start to arrive
public _TS_step_by_step()
: base()
{
System.Diagnostics.Debug.WriteLine("class _TS_step_by_step constructor entry point");
string[] args = MyGlobals.args; // extract main(args) from MyGlobals (we store main(args) in Kadina Program.cs, ASP, etc.)
if (args == null)
{
throw new Exception("you forgot to set MyGlobals.args (in Kadina or asp or in whatever you use)");
}
string response_config = "";
//string storage_service_config_jsonfile = "";
string rabbitmq_config_jsonfile = "";
var p = new OptionSet()
{
{ "a|response-config=", "response json configuration file",
v => response_config = v },
//{ "c|storage-service-config=", "path to storage_service json configuration file",
// v => storage_service_config_jsonfile = v},
{ "r|rabbitmq-config=", "path to rabbitmq json configuration file",
v => rabbitmq_config_jsonfile = v }
};
// parse cmd-line args
List <string> extra;
try
{
extra = p.Parse(args);
}
catch (OptionException e)
{
System.Diagnostics.Debug.WriteLine(e.Message);
System.Diagnostics.Debug.WriteLine("Try `--help' for more information.");
return;
}
// get settings from json file
if (response_config != "")
{
response_parameters_holder = new ResponseParametersHolder();
response_parameters_holder.parse_json_file(response_config);
bson = response_parameters_holder.bson;
//_ema_bar = Convert.ToInt32(bson["_ema_bar"]);
_ema_bar = BsonSerializer.Deserialize <int>(bson["_ema_bar"].ToJson());
_response_barsize_s = BsonSerializer.Deserialize <int>(bson["_response_barsize_s"].ToJson());
_stop_k = BsonSerializer.Deserialize <double>(bson["_stop_k"].ToJson());
_target_price_k = BsonSerializer.Deserialize <double>(bson["_target_price_k"].ToJson());
//_target_price_k = Convert.ToDouble(bson["_target_price_k"]);
// Custom name of response set by you
Name = BsonSerializer.Deserialize <string>(bson["name"].ToJson());
//debug_message_from_constructor = "parsed json file - OK (set slow_ma=" + _slow_ma_bar + " fast_ma=" + _fast_ma_bar;
//D(debug_message_from_constructor); // wtf? why this message never showed up? seems messages are cleaned right before 1st GotTick();
//ResponseParametersHolder storage_service_parameters_holder = new ResponseParametersHolder();
//storage_service_parameters_holder.parse_json_file(storage_service_config_jsonfile);
//storage_service_parameters_bson = storage_service_parameters_holder.bson;
ResponseParametersHolder rabbitmq_parameters_holder = new ResponseParametersHolder();
rabbitmq_parameters_holder.parse_json_file(rabbitmq_config_jsonfile);
rabbitmq_parameters_bson = rabbitmq_parameters_holder.bson;
call_me_from_child_constructor();
}
// track_symbols_NewTxt() called when new text label is added
track_symbols.NewTxt += new TextIdxDelegate(track_symbols_NewTxt);
// Names of the indicators used by your response. Length must correspond to
// actual indicator values send with SendIndicators event
Indicators = GenericTracker.GetIndicatorNames(gens());
//[_response_barsize_s, 22]
track_barlists = new BarListTracker(new int[] { _response_barsize_s, 22 }, new BarInterval[] { BarInterval.CustomTime, BarInterval.CustomTime });
track_barlists.GotNewBar += new SymBarIntervalDelegate(GotNewBar);
}