private void CreateSourceElements(IndexSecurity security)
{
var area = _mainArea;
var axisId = 1;
foreach (var innerSecurity in security.InnerSecurities)
{
var axisName = "SA_" + axisId++;
var series = new CandleSeries(typeof(TimeFrameCandle), innerSecurity, TimeSpan.FromMinutes(5));
var indicatorElement = new ChartIndicatorElement
{
Title = innerSecurity.Id,
Color = _colors[axisId],
YAxisId = axisName,
StrokeThickness = 1
};
area.YAxises.Add(new ChartAxis
{
Id = axisName,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right
});
var indicator = new CandlePartIndicator();
//_indicators.Add(indicatorElement, indicator);
_sourceElements.Add(innerSecurity, indicatorElement);
_bufferedChart.AddElement(area, indicatorElement, series, indicator);
}
}
private void AddIndicator(ChartIndicatorElement element)
{
var series = (CandleSeries)_bufferedChart.GetSource(element);
if (series == null)
{
return;
}
if (_sourceElements.ContainsKey(series.Security))
{
return;
}
List <RefPair <DateTimeOffset, IDictionary <IChartElement, object> > > allValues;
lock (_syncRoot)
{
allValues = series
.GetCandles <TimeFrameCandle>()
.Take(_candlesCount)
.Select(candle => new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ element, CreateIndicatorValue(element, candle) }
}))
.ToList();
_skipElements.Remove(element);
}
_bufferedChart.Reset(new[] { element });
_bufferedChart.Draw(allValues);
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
_bufferedChart.SetSource(element, candleSeries);
_indicators.Add(element, indicator);
AddElement(element, candleSeries);
}
private void Chart_SubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
var candles = _candles.TryGetValue(series.Security);
if (candles == null)
{
throw new InvalidOperationException("_candles == null");
}
var values = candles
.Select(candle =>
{
if (candle.State != CandleStates.Finished)
{
candle.State = CandleStates.Finished;
}
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ element, indicator.Process(candle) }
}));
})
.ToArray();
Chart.Draw(values);
}
private void Chart_OnSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
_dataThreadActions.Add(() =>
{
var oldReset = Chart.DisableIndicatorReset;
try
{
Chart.DisableIndicatorReset = true;
indicator.Reset();
}
finally
{
Chart.DisableIndicatorReset = oldReset;
}
var chartData = new ChartDrawData();
foreach (var candle in _allCandles.CachedValues)
{
chartData.Group(candle.OpenTime).Add(element, indicator.Process(candle));
}
Chart.Reset(new[] { element });
Chart.Draw(chartData);
_indicators[element] = indicator;
});
}
private void InitChart(CandleSeries series)
{
Chart.ClearAreas();
_area = new ChartArea();
var yAxis = _area.YAxises.First();
var xAxis = _area.XAxises.First();
yAxis.AutoRange = true;
Chart.IsAutoRange = true;
Chart.IsAutoScroll = true;
Chart.ShowOverview = true;
_sma = new SimpleMovingAverage()
{
Length = (int)IntegerUpDown.Value
};
_candleElement = new ChartCandleElement()
{
FullTitle = "Candles"
};
_indicatorElement = new ChartIndicatorElement()
{
FullTitle = "SMA"
};
Chart.AddArea(_area);
Chart.AddElement(_area, _candleElement, series);
Chart.AddElement(_area, _indicatorElement);
}
private void SetSource(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
RefPair <DateTimeOffset, IDictionary <IChartElement, object> >[] values = null;
lock (_syncRoot)
{
_indicators[element] = indicator;
var isNew = !_elementsBySeries.ContainsKey(candleSeries);
if (!isNew && CanProcess)
{
values = ProcessHistoryCandles(element, candleSeries);
}
else if (isNew)
{
SubscribeSeries(candleSeries);
}
var lastDate = values == null || values.IsEmpty() ? DateTimeOffset.MinValue : values.Last().First;
_elementsInfo.SafeAdd(element, e => RefTuple.Create(lastDate, candleSeries));
_elementsBySeries.SafeAdd(candleSeries).Add(element);
}
if (values != null && values.Length > 0)
{
new ChartDrawCommand(values).Process(this);
}
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
_drawTimer.Cancel();
_elements.Add(new RefPair<IChartElement, int>(element, 0));
_indicators.Add(element, indicator);
_drawTimer.Activate();
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
_drawTimer.Cancel();
_elements.Add(new RefPair <IChartElement, int>(element, 0));
_indicators.Add(element, indicator);
_drawTimer.Activate();
}
public UnSubscribeIndicatorElementCommand(ChartIndicatorElement element)
{
if (element == null)
{
throw new ArgumentNullException(nameof(element));
}
Element = element;
}
private IIndicatorValue CreateIndicatorValue(ChartIndicatorElement element, Candle candle)
{
var indicator = _indicators.TryGetValue(element);
if (indicator == null)
{
throw new InvalidOperationException(LocalizedStrings.IndicatorNotFound.Put(element));
}
return(indicator.Process(candle));
}
public SubscribeIndicatorElementCommand(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
if (element == null)
throw new ArgumentNullException(nameof(element));
if (candleSeries == null)
throw new ArgumentNullException(nameof(candleSeries));
if (indicator == null)
throw new ArgumentNullException(nameof(indicator));
Element = element;
CandleSeries = candleSeries;
Indicator = indicator;
}
private void Chart_OnSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
var chartData = new ChartDrawData();
foreach (var candle in _allCandles.Cache)
{
//if (candle.State != CandleStates.Finished)
// candle.State = CandleStates.Finished;
chartData.Group(candle.OpenTime).Add(element, indicator.Process(candle));
}
Chart.Draw(chartData);
_indicators.Add(element, indicator);
}
public SmaStrategy(CandleSeries series,
SimpleMovingAverage longSma, SimpleMovingAverage shortSma,
IChart chart, ChartCandleElement candlesElem, ChartTradeElement tradesElem,
ChartIndicatorElement longElem, ChartIndicatorElement shortElem)
{
_series = new Subscription(series);
ShortSma = shortSma;
LongSma = longSma;
_chart = chart;
_candlesElem = candlesElem;
_tradesElem = tradesElem;
_shortElem = shortElem;
_longElem = longElem;
}
public RiskStrategy(IChart chart, ChartCandleElement candlesElem,
ChartTradeElement tradesElem, ChartIndicatorElement shortElem, ChartIndicatorElement longElem,
CandleSeries series)
{
_chart = chart;
_candlesElem = candlesElem;
_tradesElem = tradesElem;
_shortElem = shortElem;
_longElem = longElem;
_series = series;
LongATR = (AverageTrueRange)longElem.Indicator;
ShortATR = (AverageTrueRange)shortElem.Indicator;
// PLB = new ParabolicSar();
}
private void ProcessIndicator(ChartIndicatorElement element, IEnumerable <Candle> candles)
{
var allValues = candles
.Take(_candlesCount)
.Select(candle => new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ element, CreateIndicatorValue(element, candle) }
}))
.ToList();
GuiDispatcher.GlobalDispatcher.AddAction(() =>
{
ChartPanel.Reset(new[] { element });
ChartPanel.Draw(allValues);
});
}
public SmaStrategy(IChart chart, ChartCandleElement candlesElem, ChartTradeElement tradesElem,
SimpleMovingAverage shortMa, ChartIndicatorElement shortElem,
SimpleMovingAverage longMa, ChartIndicatorElement longElem,
CandleSeries series)
{
_chart = chart;
_candlesElem = candlesElem;
_tradesElem = tradesElem;
_shortElem = shortElem;
_longElem = longElem;
_series = series;
ShortSma = shortMa;
LongSma = longMa;
}
/// <summary>
/// Инициализировать рендерер.
/// </summary>
/// <returns>Графические данные.</returns>
public override IEnumerable <ChartIndicatorElement> Init()
{
InnerElements.Clear();
InnerElements.Add(_pnl = new ChartIndicatorElement
{
YAxisId = BaseElement.YAxisId,
DrawStyle = ChartIndicatorDrawStyles.BandOneValue,
Color = Colors.Green,
AdditionalColor = Colors.Red,
StrokeThickness = BaseElement.StrokeThickness,
Title = "PnL"
});
return(InnerElements);
}
public SmaStrategy(IChart chart, ChartCandleElement candlesElem, ChartTradeElement tradesElem,
SimpleMovingAverage shortMa, ChartIndicatorElement shortElem,
SimpleMovingAverage longMa, ChartIndicatorElement longElem,
CandleSeries series)
{
_chart = chart;
_candlesElem = candlesElem;
_tradesElem = tradesElem;
_shortElem = shortElem;
_longElem = longElem;
_series = series;
ShortSma = shortMa;
LongSma = longMa;
}
private void InitCharts()
{
Chart.ClearAreas();
_area = new ChartArea();
var yAxis = _area.YAxises.First();
yAxis.AutoRange = true;
Chart.IsAutoRange = true;
Chart.IsAutoScroll = true;
Chart.AddArea(_area);
var series = new CandleSeries(
typeof(TimeFrameCandle),
_security,
TimeSpan.FromMinutes(_timeframe));
_indicatorElement = null;
_candleElement = new ChartCandleElement
{
FullTitle = "Candles",
YAxisId = yAxis.Id
};
Chart.AddElement(_area, _candleElement, series);
if (_addIndicator)
{
_indicator = new MyMovingAverage(200)
{
Name = "MyMA"
};
_indicatorElement = new ChartIndicatorElement
{
DrawStyle = ChartIndicatorDrawStyles.Line,
AntiAliasing = true,
StrokeThickness = 1,
Color = Colors.Blue,
YAxisId = yAxis.Id,
};
Chart.AddElement(_area, _indicatorElement, series, _indicator);
}
}
private void Chart_OnSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator, ChartPanel chart)
{
var values = _allCandles
.Select(candle =>
{
if (candle.State != CandleStates.Finished)
candle.State = CandleStates.Finished;
return new RefPair<DateTimeOffset, IDictionary<IChartElement, object>>(candle.OpenTime, new Dictionary<IChartElement, object>
{
{ element, indicator.Process(candle) }
});
})
.ToArray();
chart.Draw(values);
}
public void Draw(CandleSeries series, IEnumerable <Candle> candles)
{
if (series == null)
{
throw new ArgumentNullException("series");
}
if (candles == null)
{
throw new ArgumentNullException("candles");
}
Series = series;
_candles = candles;
_candlesCount = 0;
var ohlcArea = new ChartArea {
Height = 210
};
ChartPanel.AddArea(ohlcArea);
_candlesElem = new ChartCandleElement();
ChartPanel.AddElement(ohlcArea, _candlesElem, series);
var volumeArea = new ChartArea {
Height = 130
};
ChartPanel.AddArea(volumeArea);
_volumeElem = new ChartIndicatorElement
{
IndicatorPainter = new VolumePainter(),
};
var indicator = new VolumeIndicator();
_indicators.Add(_volumeElem, indicator);
ChartPanel.AddElement(volumeArea, _volumeElem, series, indicator);
CancelButton.Visibility = Visibility.Visible;
_drawTimer.Flush();
}
private void Chart_OnSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
var values = _allCandles.Cache
.Select(candle =>
{
if (candle.State != CandleStates.Finished)
{
candle.State = CandleStates.Finished;
}
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ element, indicator.Process(candle) }
}));
});
Chart.Draw(values);
}
private void Chart_OnSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
_dataThreadActions.Add(() =>
{
var chartData = new ChartDrawData();
foreach (var candle in _allCandles.CachedValues)
{
chartData.Group(candle.OpenTime).Add(element, indicator.Process(candle));
}
Chart.Reset(new[] { element });
Chart.Draw(chartData);
_indicators[element] = indicator;
this.GuiAsync(() => CustomColors_Changed(null, null));
});
}
public SubscribeIndicatorElementCommand(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
if (element == null)
{
throw new ArgumentNullException(nameof(element));
}
if (candleSeries == null)
{
throw new ArgumentNullException(nameof(candleSeries));
}
if (indicator == null)
{
throw new ArgumentNullException(nameof(indicator));
}
Element = element;
CandleSeries = candleSeries;
Indicator = indicator;
}
private void CreateSourceElements(ContinuousSecurity security)
{
var area = _mainArea;
var id = 1;
foreach (var innerSecurity in security.InnerSecurities)
{
var series = new CandleSeries(typeof(TimeFrameCandle), innerSecurity, TimeSpan.FromMinutes(5));
var indicatorElement = new ChartIndicatorElement
{
Title = innerSecurity.Id,
Color = _colors[id++],
StrokeThickness = 1
};
var indicator = new CandlePartIndicator();
//_indicators.Add(indicatorElement, indicator);
_sourceElements.Add(innerSecurity, indicatorElement);
_bufferedChart.AddElement(area, indicatorElement, series, indicator);
}
}
private IIndicatorValue CreateIndicatorValue(ChartIndicatorElement element, Candle candle)
{
var indicator = _indicators.TryGetValue(element);
if (indicator == null)
throw new InvalidOperationException(LocalizedStrings.IndicatorNotFound.Put(element));
return indicator.Process(candle);
}
private void StartClick(object sender, RoutedEventArgs e)
{
// если были получены и инструмент, и портфель
if (_strategy == null)
{
if (Portfolios.SelectedPortfolio == null)
{
MessageBox.Show(this, LocalizedStrings.Str3009);
return;
}
// создаем скользящие средние, на 80 5-минуток и 10 5-минуток
var longSma = new SimpleMovingAverage {
Length = 80
};
var shortSma = new SimpleMovingAverage {
Length = 10
};
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _lkoh, _timeFrame);
// создаем торговую стратегию
_strategy = new SmaStrategy(_candleManager, series, longSma, shortSma)
{
Volume = 1,
Security = _lkoh,
Portfolio = Portfolios.SelectedPortfolio,
Connector = _trader,
};
_logManager.Sources.Add(_strategy);
//_strategy.Log += OnLog;
_strategy.PropertyChanged += OnStrategyPropertyChanged;
_candlesElem = new ChartCandleElement();
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Long,
Color = Colors.OrangeRed
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Short,
Color = Colors.RoyalBlue
};
_area.Elements.Add(_shortMaElem);
var marketTime = _trader.CurrentTime;
// начинаем получать свечи за период в 5 дней
_candleManager.Start(series, DateTime.Today - TimeSpan.FromDays(5), marketTime);
_lastHistoryCandle = _timeFrame.GetCandleBounds(marketTime).Min;
Report.IsEnabled = true;
}
if (_strategy.ProcessState == ProcessStates.Stopped)
{
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_trader.RegisterMarketDepth(_strategy.Security);
_strategy.Start();
Start.Content = LocalizedStrings.Str242;
}
else
{
_trader.UnRegisterMarketDepth(_strategy.Security);
_strategy.Stop();
Start.Content = LocalizedStrings.Str2421;
}
}
private RefPair <DateTimeOffset, IDictionary <IChartElement, object> >[] ProcessHistoryCandles(ChartIndicatorElement element, CandleSeries series)
{
var candles = series.GetCandles <Candle>().Where(c => c.State == CandleStates.Finished).ToArray();
return(candles
.Select(candle => new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >(candle.OpenTime, new Dictionary <IChartElement, object>
{
{ element, CreateIndicatorValue(element, candle) }
}))
.ToArray());
}
private List<RefPair<DateTimeOffset, IDictionary<IChartElement, object>>> ProcessHistoryCandles(ChartIndicatorElement element, CandleSeries series)
{
var candles = series.GetCandles<Candle>().Where(c => c.State == CandleStates.Finished).ToArray();
return candles
.Select(candle => new RefPair<DateTimeOffset, IDictionary<IChartElement, object>>(candle.OpenTime, new Dictionary<IChartElement, object>
{
{ element, CreateIndicatorValue(element, candle) }
}))
.ToList();
}
public void Draw(CandleSeries series, IEnumerable<Candle> candles)
{
if (series == null)
throw new ArgumentNullException("series");
if (candles == null)
throw new ArgumentNullException("candles");
Series = series;
_candles = candles;
//_candlesCount = 0;
var ohlcArea = new ChartArea { Height = 210 };
ChartPanel.AddArea(ohlcArea);
_candlesElem = new ChartCandleElement();
ChartPanel.AddElement(ohlcArea, _candlesElem, series);
var volumeArea = new ChartArea { Height = 130 };
ChartPanel.AddArea(volumeArea);
_volumeElem = new ChartIndicatorElement
{
IndicatorPainter = new VolumePainter(),
};
var indicator = new VolumeIndicator();
ChartPanel.AddElement(volumeArea, _volumeElem, series, indicator);
CancelButton.Visibility = Visibility.Visible;
_drawTimer.Activate();
}
public UnSubscribeIndicatorElementCommand(ChartIndicatorElement element)
{
if (element == null)
throw new ArgumentNullException(nameof(element));
Element = element;
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
_bufferedChart.SetSource(element, candleSeries);
_indicators.Add(element, indicator);
AddElement(element, candleSeries);
}
public override IEnumerable<ChartIndicatorElement> Init()
{
InnerElements.Clear();
InnerElements.Add(_pnl = new ChartIndicatorElement
{
YAxisId = BaseElement.YAxisId,
DrawStyle = ChartIndicatorDrawStyles.BandOneValue,
Color = Colors.Green,
AdditionalColor = Colors.Red,
StrokeThickness = BaseElement.StrokeThickness,
Title = LocalizedStrings.PnL
});
return InnerElements;
}
private void StartClick(object sender, RoutedEventArgs e)
{
if (_strategy == null)
{
if (Portfolios.SelectedPortfolio == null)
{
MessageBox.Show(this, LocalizedStrings.Str3009);
return;
}
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _lkoh, _timeFrame);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
_strategy = new SmaStrategy(_candleManager, series, new SimpleMovingAverage {
Length = 80
}, new SimpleMovingAverage {
Length = 10
})
{
Volume = 1,
Security = _lkoh,
Portfolio = Portfolios.SelectedPortfolio,
Connector = _trader,
};
_strategy.Log += OnLog;
_strategy.PropertyChanged += OnStrategyPropertyChanged;
_candlesElem = new ChartCandleElement();
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Long,
Color = Colors.OrangeRed
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Short,
Color = Colors.RoyalBlue
};
_area.Elements.Add(_shortMaElem);
IEnumerable <Candle> candles = CultureInfo.InvariantCulture.DoInCulture(() => File.ReadAllLines("LKOH_history.txt").Select(line =>
{
var parts = line.Split(',');
var time = (parts[0] + parts[1]).ToDateTime("yyyyMMddHHmmss").ApplyTimeZone(TimeHelper.Moscow);
return((Candle) new TimeFrameCandle
{
OpenPrice = parts[2].To <decimal>(),
HighPrice = parts[3].To <decimal>(),
LowPrice = parts[4].To <decimal>(),
ClosePrice = parts[5].To <decimal>(),
TimeFrame = _timeFrame,
OpenTime = time,
CloseTime = time + _timeFrame,
TotalVolume = parts[6].To <decimal>(),
Security = _lkoh,
State = CandleStates.Finished,
});
}).ToArray());
var lastCandleTime = default(DateTimeOffset);
// начинаем вычислять скользящие средние
foreach (var candle in candles)
{
ProcessCandle(candle);
lastCandleTime = candle.OpenTime;
}
_candleManager.Start(series);
// вычисляем временные отрезки текущей свечи
var bounds = _timeFrame.GetCandleBounds(_trader.CurrentTime);
candles = _candleManager.Container.GetCandles(series, new Range <DateTimeOffset>(lastCandleTime + _timeFrame, bounds.Min));
foreach (var candle in candles)
{
ProcessCandle(candle);
}
_isTodaySmaDrawn = true;
Report.IsEnabled = true;
}
if (_strategy.ProcessState == ProcessStates.Stopped)
{
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_trader.RegisterMarketDepth(_strategy.Security);
_strategy.Start();
Start.Content = LocalizedStrings.Str242;
}
else
{
_trader.UnRegisterMarketDepth(_strategy.Security);
_strategy.Stop();
Start.Content = LocalizedStrings.Str2421;
}
}
private void StartClick(object sender, RoutedEventArgs e)
{
// если были получены и инструмент, и портфель
if (_strategy == null)
{
if (Portfolios.SelectedPortfolio == null)
{
MessageBox.Show(this, LocalizedStrings.Str3009);
return;
}
// создаем скользящие средние, на 80 5-минуток и 10 5-минуток
var longSma = new SimpleMovingAverage { Length = 80 };
var shortSma = new SimpleMovingAverage { Length = 10 };
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _lkoh, _timeFrame);
// создаем торговую стратегию
_strategy = new SmaStrategy(_candleManager, series, longSma, shortSma)
{
Volume = 1,
Security = _lkoh,
Portfolio = Portfolios.SelectedPortfolio,
Connector = _trader,
};
_logManager.Sources.Add(_strategy);
//_strategy.Log += OnLog;
_strategy.PropertyChanged += OnStrategyPropertyChanged;
_candlesElem = new ChartCandleElement();
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Long,
Color = Colors.OrangeRed
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Short,
Color = Colors.RoyalBlue
};
_area.Elements.Add(_shortMaElem);
var marketTime = _trader.CurrentTime;
// начинаем получать свечи за период в 5 дней
_candleManager.Start(series, DateTime.Today - TimeSpan.FromDays(5), marketTime);
_lastHistoryCandle = _timeFrame.GetCandleBounds(marketTime).Min;
Report.IsEnabled = true;
}
if (_strategy.ProcessState == ProcessStates.Stopped)
{
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_trader.RegisterMarketDepth(_strategy.Security);
_strategy.Start();
Start.Content = LocalizedStrings.Str242;
}
else
{
_trader.UnRegisterMarketDepth(_strategy.Security);
_strategy.Stop();
Start.Content = LocalizedStrings.Str2421;
}
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
new SubscribeIndicatorElementCommand(element, candleSeries, indicator).Process(this);
}
private void OnChartPanelSubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
_elements.Add(element);
_indicators.Add(element, indicator);
_drawTimer.Reset();
}
private void InitCharts()
{
Chart.ClearAreas();
_area = new ChartArea {
ShowPerfStats = true
};
var yAxis = _area.YAxises.First();
yAxis.AutoRange = true;
Chart.IsAutoRange = true;
Chart.IsAutoScroll = true;
Chart.AddArea(_area);
var series = new CandleSeries(
typeof(TimeFrameCandle),
_security,
TimeSpan.FromMinutes(Timeframe));
_indicatorElement = null;
_tradeElement = null;
_candleElement = new ChartCandleElement(Timeframe, PriceStep)
{
FullTitle = "Candles", YAxisId = yAxis.Id
};
Chart.AddElement(_area, _candleElement, series);
if (AddIndicator)
{
_indicator = new MyMovingAverage(200)
{
Name = "MyMA"
};
_indicatorElement = new ChartIndicatorElement
{
DrawStyle = ChartIndicatorDrawStyles.Line,
Antialiasing = true,
StrokeThickness = 1,
Color = Colors.Blue,
YAxisId = yAxis.Id,
};
Chart.AddElement(_area, _indicatorElement, series, _indicator);
}
if (AddTrades)
{
_tradeElement = new ChartTradeElement {
FullTitle = "Trades"
};
Chart.AddElement(_area, _tradeElement, _security);
}
var ns = typeof(IIndicator).Namespace;
var rendererTypes = typeof(Chart).Assembly
.GetTypes()
.Where(t => !t.IsAbstract && typeof(BaseChartIndicatorPainter).IsAssignableFrom(t))
.ToDictionary(t => t.Name);
var indicators = typeof(IIndicator).Assembly
.GetTypes()
.Where(t => t.Namespace == ns && !t.IsAbstract && typeof(IIndicator).IsAssignableFrom(t))
.Select(t =>
{
var name = t.Name;
var p = rendererTypes.TryGetValue(name + "Painter");
if (p == null)
{
if (t.Name.EndsWith("Indicator"))
{
name = name.Substring(0, name.Length - "Indicator".Length);
}
p = rendererTypes.TryGetValue(name + "Painter");
}
return(new IndicatorType(t, p));
})
.ToArray();
Chart.IndicatorTypes.AddRange(indicators);
}
private void Chart_SubscribeIndicatorElement(ChartIndicatorElement element, CandleSeries series, IIndicator indicator)
{
var candles = _candles.TryGetValue(series.Security);
if (candles == null)
throw new InvalidOperationException("_candles == null");
var values = candles
.Select(candle =>
{
if (candle.State != CandleStates.Finished)
candle.State = CandleStates.Finished;
return new RefPair<DateTimeOffset, IDictionary<IChartElement, object>>(candle.OpenTime, new Dictionary<IChartElement, object>
{
{ element, indicator.Process(candle) }
});
})
.ToArray();
Chart.Draw(values);
}
private void AddIndicator(ChartIndicatorElement element)
{
var series = (CandleSeries)_bufferedChart.GetSource(element);
if (series == null)
return;
if (_sourceElements.ContainsKey(series.Security))
return;
IEnumerable<RefPair<DateTimeOffset, IDictionary<IChartElement, object>>> allValues;
lock (_syncRoot)
{
allValues = series
.GetCandles<TimeFrameCandle>()
.Take(_candlesCount)
.Select(candle => new RefPair<DateTimeOffset, IDictionary<IChartElement, object>>(candle.OpenTime, new Dictionary<IChartElement, object>
{
{ element, CreateIndicatorValue(element, candle) }
}))
.ToArray();
_skipElements.Remove(element);
}
_bufferedChart.Reset(new[] { element });
_bufferedChart.Draw(allValues);
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var tf = SelectedTimeFrame;
var seriesSet = _securityCtrls
.Where(pair => pair.Key.SelectedSecurity != null)
.Select(pair => Tuple.Create(new CandleSeries(typeof(TimeFrameCandle), pair.Key.SelectedSecurity, tf), pair.Value))
.ToArray();
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
_candles.Clear();
var trades = new Dictionary<Security, Dictionary<DateTimeOffset, Tuple<MyTrade[], MyTrade>>>();
var worker = new BackgroundWorker { WorkerReportsProgress = true };
worker.DoWork += (o, ea) =>
{
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleStorage = _dataRegistry.GetCandleStorage(series.Item1, format: StorageFormats.Csv);
var secCandles = _candles.SafeAdd(security);
secCandles.Clear();
secCandles.AddRange(candleStorage.Load(from, to));
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from >= minCandleDate && to <= maxCandleDate)
continue;
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != null && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
finamFrom = maxCandleDate.Value + TimeSpan.FromDays(1);
if (minCandleDate != null && finamTo >= minCandleDate && finamTo <= maxCandleDate)
finamTo = minCandleDate.Value - TimeSpan.FromDays(1);
if (finamTo <= finamFrom)
continue;
worker.ReportProgress(1, Tuple.Create(security, finamFrom, finamTo));
var newCandles = (tf.Ticks == 1
? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles<TimeFrameCandle>(tf)
: _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
).ToArray();
candleStorage.Save(newCandles);
foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
candlesDatesCache.Add(date);
candlesDatesCache.Save();
// TODO
secCandles.AddRange(newCandles);
}
var traderDrive = new LocalMarketDataDrive(trader);
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry { DefaultDrive = traderDrive });
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));
var secTrades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
return olStorage.Load(date);
if (tradeDatesCache.Contains(date))
return Enumerable.Empty<OrderLogItem>();
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var dateTrades = Enumerable.Empty<OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
dateTrades = group;
}
tradeDatesCache.Add(date);
tradeDatesCache.Save();
return dateTrades;
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.ToLocalTime(security.Board.Exchange.TimeZoneInfo));
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
time = time.AddTicks(-1);
}
return time.Truncate(tf);
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g.Select(ol => new MyTrade
{
Order = ol.Order,
Trade = ol.Trade
})
.ToArray();
if (candleTrades.Length == 0)
return null;
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
return Tuple.Create(candleTrades, (MyTrade)null);
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
break;
}
avgPrice = avgPrice / volume;
return Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
});
});
trades.Add(security, secTrades);
}
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
BusyIndicator.BusyContent = "Скачивание {Item1.Id} свечей с {Item2:yyyy-MM-dd} по {Item3:yyyy-MM-dd}...".PutEx(ea.UserState);
break;
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var candlesArea = new ChartArea();
Chart.AddArea(candlesArea);
var positionArea = new ChartArea { Height = 200 };
Chart.AddArea(positionArea);
positionArea.YAxises.Clear();
const string equityYAxis = "Equity";
candlesArea.YAxises.Clear();
candlesArea.YAxises.Add(new ChartAxis
{
Id = equityYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
var equityElem = new ChartIndicatorElement
{
YAxisId = equityYAxis,
FullTitle = LocalizedStrings.PnL,
IndicatorPainter = new PnlPainter()
};
var equityInd = new SimpleMovingAverage { Length = 1 };
Chart.AddElement(candlesArea, equityElem);
var chartValues = new SortedDictionary<DateTimeOffset, IDictionary<IChartElement, object>>();
var pnlValues = new Dictionary<DateTimeOffset, decimal>();
foreach (var series in seriesSet)
{
var security = series.Item1.Security;
var candleYAxis = "Candles_Y_" + security.Id;
candlesArea.YAxises.Add(new ChartAxis
{
Id = candleYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var candlesElem = new ChartCandleElement
{
ShowAxisMarker = false,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, candlesElem, series.Item1);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
BuyColor = series.Item2.Buy,
SellColor = series.Item2.Sell,
FullTitle = LocalizedStrings.Str985 + " " + security.Id,
YAxisId = candleYAxis,
};
Chart.AddElement(candlesArea, tradesElem);
var posYAxis = "Pos_Y_" + security.Id;
positionArea.YAxises.Add(new ChartAxis
{
Id = posYAxis,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right,
});
var positionElem = new ChartIndicatorElement
{
FullTitle = LocalizedStrings.Str862 + " " + security.Id,
YAxisId = posYAxis,
Color = series.Item2.Position
};
var positionInd = new SimpleMovingAverage { Length = 1 };
Chart.AddElement(positionArea, positionElem);
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var secTrades = trades[security];
var secValues = _candles[security]
.Select(c =>
{
if (c.State != CandleStates.Finished)
c.State = CandleStates.Finished;
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary<IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = secTrades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
values.Add(tradesElem, candleTrade.Item2);
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
pnlValues[c.OpenTime] = pnlValues.TryGetValue(c.OpenTime) + (pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
values.Add(positionElem, positionInd.Process(pos));
return new RefPair<DateTimeOffset, IDictionary<IChartElement, object>>
{
First = c.OpenTime,
Second = values
};
})
.ToArray();
foreach (var pair in secValues)
{
var dict = chartValues.SafeAdd(pair.First, key => new Dictionary<IChartElement, object>());
foreach (var pair2 in pair.Second)
{
dict[pair2.Key] = pair2.Value;
}
}
}
foreach (var pair in pnlValues)
{
chartValues[pair.Key].Add(equityElem, equityInd.Process(pair.Value));
}
Chart.IsAutoRange = true;
try
{
Chart.Draw(chartValues.Select(p => RefTuple.Create(p.Key, p.Value)));
}
finally
{
Chart.IsAutoRange = false;
}
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
private void CreateSourceElements(IndexSecurity security)
{
var area = _mainArea;
var axisId = 1;
foreach (var innerSecurity in security.InnerSecurities)
{
var axisName = "SA_" + axisId++;
var series = new CandleSeries(typeof(TimeFrameCandle), innerSecurity, TimeSpan.FromMinutes(5));
var indicatorElement = new ChartIndicatorElement
{
Title = innerSecurity.Id,
Color = _colors[axisId],
YAxisId = axisName,
StrokeThickness = 1
};
area.YAxises.Add(new ChartAxis
{
Id = axisName,
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Right
});
var indicator = new CandlePartIndicator();
//_indicators.Add(indicatorElement, indicator);
_sourceElements.Add(innerSecurity, indicatorElement);
_bufferedChart.AddElement(area, indicatorElement, series, indicator);
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// ticks
new EmulationInfo {UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757}),
Tuple.Create(
DepthsCheckBox,
DepthsTestingProcess,
DepthsParameterGrid,
// order book
new EmulationInfo {UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// candles
new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// order log
new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog})
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To<int>();
var maxVolume = MaxVolume.Text.To<int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
continue;
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
MarketEmulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
},
UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = emulationInfo.UseCandleTimeFrame == null
? new CandleManager(new TradeCandleBuilderSourceEx(connector))
: new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage { Length = 10 };
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage { Length = 80 };
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position });
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
return;
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
MarketDepth.UpdateDepth(quoteMsg);
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule { Value = 0.01m }
});
}
TabControl.Items.Cast<TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void CreateSourceElements(ContinuousSecurity security)
{
var area = _mainArea;
var id = 1;
foreach (var innerSecurity in security.InnerSecurities)
{
var series = new CandleSeries(typeof(TimeFrameCandle), innerSecurity, TimeSpan.FromMinutes(5));
var indicatorElement = new ChartIndicatorElement
{
Title = innerSecurity.Id,
Color = _colors[id++],
StrokeThickness = 1
};
var indicator = new CandlePartIndicator();
//_indicators.Add(indicatorElement, indicator);
_sourceElements.Add(innerSecurity, indicatorElement);
_bufferedChart.AddElement(area, indicatorElement, series, indicator);
}
}
private void StartClick(object sender, RoutedEventArgs e)
{
if (_strategy == null)
{
if (Portfolios.SelectedPortfolio == null)
{
MessageBox.Show(this, LocalizedStrings.Str3009);
return;
}
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _lkoh, _timeFrame);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
_strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
{
Volume = 1,
Security = _lkoh,
Portfolio = Portfolios.SelectedPortfolio,
Connector = _trader,
};
_strategy.Log += OnLog;
_strategy.PropertyChanged += OnStrategyPropertyChanged;
_candlesElem = new ChartCandleElement();
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Long,
Color = Colors.OrangeRed
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = LocalizedStrings.Short,
Color = Colors.RoyalBlue
};
_area.Elements.Add(_shortMaElem);
IEnumerable<Candle> candles = CultureInfo.InvariantCulture.DoInCulture(() => File.ReadAllLines("LKOH_history.txt").Select(line =>
{
var parts = line.Split(',');
var time = (parts[0] + parts[1]).ToDateTime("yyyyMMddHHmmss").ApplyTimeZone(TimeHelper.Moscow);
return (Candle)new TimeFrameCandle
{
OpenPrice = parts[2].To<decimal>(),
HighPrice = parts[3].To<decimal>(),
LowPrice = parts[4].To<decimal>(),
ClosePrice = parts[5].To<decimal>(),
TimeFrame = _timeFrame,
OpenTime = time,
CloseTime = time + _timeFrame,
TotalVolume = parts[6].To<decimal>(),
Security = _lkoh,
State = CandleStates.Finished,
};
}).ToArray());
var lastCandleTime = default(DateTimeOffset);
// начинаем вычислять скользящие средние
foreach (var candle in candles)
{
ProcessCandle(candle);
lastCandleTime = candle.OpenTime;
}
_candleManager.Start(series);
// вычисляем временные отрезки текущей свечи
var bounds = _timeFrame.GetCandleBounds(series.Security.ToExchangeTime(_trader.CurrentTime));
candles = _candleManager.Container.GetCandles(series, new Range<DateTimeOffset>(lastCandleTime + _timeFrame, bounds.Min));
foreach (var candle in candles)
{
ProcessCandle(candle);
}
_isTodaySmaDrawn = true;
Report.IsEnabled = true;
}
if (_strategy.ProcessState == ProcessStates.Stopped)
{
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_trader.RegisterMarketDepth(_strategy.Security);
_strategy.Start();
Start.Content = LocalizedStrings.Str242;
}
else
{
_trader.UnRegisterMarketDepth(_strategy.Security);
_strategy.Stop();
Start.Content = LocalizedStrings.Str2421;
}
}
private void SetSource(ChartIndicatorElement element, CandleSeries candleSeries, IIndicator indicator)
{
List<RefPair<DateTimeOffset, IDictionary<IChartElement, object>>> values = null;
lock (_syncRoot)
{
_indicators[element] = indicator;
var isNew = !_elementsBySeries.ContainsKey(candleSeries);
if (!isNew && CanProcess)
{
values = ProcessHistoryCandles(element, candleSeries);
}
else if (isNew)
SubscribeSeries(candleSeries);
var lastDate = values == null || values.IsEmpty() ? DateTimeOffset.MinValue : values.Last().First;
_elementsInfo.SafeAdd(element, e => RefTuple.Create(lastDate, candleSeries));
_elementsBySeries.SafeAdd(candleSeries).Add(element);
}
if (values != null && values.Count > 0)
new ChartDrawCommand(values).Process(this);
}
private void Download_OnClick(object sender, RoutedEventArgs e)
{
var year = SelectedYear;
var from = From.Value ?? year.Days.First();
var to = (To.Value ?? year.Days.Last()).EndOfDay();
var trader = SelectedTrader;
var security = SelectedSecurity;
var tf = SelectedTimeFrame;
var series = new CandleSeries(typeof(TimeFrameCandle), security, tf);
BusyIndicator.BusyContent = "Подготовка данных...";
BusyIndicator.IsBusy = true;
Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > trades = null;
var worker = new BackgroundWorker {
WorkerReportsProgress = true
};
worker.DoWork += (o, ea) =>
{
var candleStorage = _dataRegistry.GetCandleStorage(series, format: StorageFormats.Csv);
_candles = candleStorage.Load(from, to);
var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));
var minCandleDate = candlesDatesCache.MinValue;
var maxCandleDate = candlesDatesCache.MaxValue;
if (from < minCandleDate || to > maxCandleDate)
{
var finamFrom = from;
var finamTo = to;
if (maxCandleDate != default(DateTime) && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
{
finamFrom = maxCandleDate + TimeSpan.FromDays(1);
}
if (minCandleDate != default(DateTime) && finamTo >= minCandleDate && finamTo <= maxCandleDate)
{
finamTo = minCandleDate - TimeSpan.FromDays(1);
}
if (finamTo > finamFrom)
{
worker.ReportProgress(1);
var newCandles = (tf.Ticks == 1
? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles <TimeFrameCandle>(tf)
: _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
).ToArray();
candleStorage.Save(newCandles);
foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
{
candlesDatesCache.Add(date);
}
candlesDatesCache.Save();
_candles = _candles.Concat(newCandles);
}
}
var traderDrive = new LocalMarketDataDrive(trader);
var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
DefaultDrive = traderDrive
});
var olStorage = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));
trades = from
.Range(to, TimeSpan.FromDays(1))
.Intersect(year.Days)
.SelectMany(date =>
{
if (olStorage.Dates.Contains(date))
{
return(olStorage.Load(date));
}
if (tradeDatesCache.Contains(date))
{
return(Enumerable.Empty <OrderLogItem>());
}
worker.ReportProgress(2, date);
var loadedTrades = year.GetTrades(_securityStorage, trader, date);
var secTrades = Enumerable.Empty <OrderLogItem>();
foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
{
var sec = group.Key;
traderStorage
.GetOrderLogStorage(sec, format: StorageFormats.Csv)
.Save(group.OrderBy(i => i.Order.Time));
if (group.Key == security)
{
secTrades = group;
}
}
tradeDatesCache.Add(date);
tradeDatesCache.Save();
return(secTrades);
})
.GroupBy(ol =>
{
var time = ol.Order.Time;
var period = security.Board.WorkingTime.GetPeriod(time.DateTime);
if (period != null && period.Times.Length > 0)
{
var last = period.Times.Last().Max;
if (time.TimeOfDay >= last)
{
time = time.AddTicks(-1);
}
}
return(time.Truncate(tf));
})
.ToDictionary(g => g.Key, g =>
{
var candleTrades = g
.Select(order => new MyTrade
{
Order = order.Order,
Trade = order.Trade
})
.ToArray();
if (candleTrades.Length > 0)
{
var order = candleTrades[0].Order;
var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));
if (volume == 0)
{
return(Tuple.Create(candleTrades, (MyTrade)null));
}
var side = volume > 0 ? Sides.Buy : Sides.Sell;
volume = volume.Abs();
var availableVolume = volume;
var avgPrice = 0m;
foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
{
var tradeVol = trade.Trade.Volume.Min(availableVolume);
avgPrice += trade.Trade.Price * tradeVol;
availableVolume -= tradeVol;
if (availableVolume <= 0)
{
break;
}
}
avgPrice = avgPrice / volume;
return(Tuple.Create(candleTrades, new MyTrade
{
Order = new Order
{
Security = order.Security,
Direction = side,
Time = g.Key,
Portfolio = order.Portfolio,
Price = avgPrice,
Volume = volume,
},
Trade = new Trade
{
Security = order.Security,
Time = g.Key,
Volume = volume,
Price = avgPrice
}
}));
}
return(null);
});
};
worker.ProgressChanged += (o, ea) =>
{
switch (ea.ProgressPercentage)
{
case 1:
BusyIndicator.BusyContent = "Скачивание свечей...";
break;
default:
BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
break;
}
};
worker.RunWorkerCompleted += (o, ea) =>
{
BusyIndicator.IsBusy = false;
if (ea.Error == null)
{
Chart.ClearAreas();
_statisticManager.Reset();
var area = new ChartArea();
area.YAxises.Add(new ChartAxis
{
Id = "equity",
AutoRange = true,
AxisType = ChartAxisType.Numeric,
AxisAlignment = ChartAxisAlignment.Left,
});
Chart.AddArea(area);
var candlesElem = new ChartCandleElement {
ShowAxisMarker = false
};
Chart.AddElement(area, candlesElem, series);
var tradesElem = new ChartTradeElement
{
BuyStrokeColor = Colors.Black,
SellStrokeColor = Colors.Black,
FullTitle = "trades",
};
Chart.AddElement(area, tradesElem);
var equityElem = new ChartIndicatorElement {
YAxisId = "equity", FullTitle = "equity", IndicatorPainter = new PnlPainter()
};
var equityInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(area, equityElem);
var positionArea = new ChartArea {
Height = 200
};
Chart.AddArea(positionArea);
var positionElem = new ChartIndicatorElement {
FullTitle = "position"
};
var positionInd = new SimpleMovingAverage {
Length = 1
};
Chart.AddElement(positionArea, positionElem);
Chart.IsAutoRange = true;
var pnlQueue = new PnLQueue(security.ToSecurityId());
//var level1Info = new Level1ChangeMessage
//{
// SecurityId = pnlQueue.SecurityId,
//}
//.TryAdd(Level1Fields.PriceStep, security.PriceStep)
//.TryAdd(Level1Fields.StepPrice, security.StepPrice);
//pnlQueue.ProcessLevel1(level1Info);
var pos = 0m;
var chartValues = _candles
.Select(c =>
{
c.State = CandleStates.Finished;
pnlQueue.ProcessLevel1(new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
}.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));
var values = new Dictionary <IChartElement, object>
{
{ candlesElem, c },
};
var candleTrade = trades.TryGetValue(c.OpenTime);
if (candleTrade != null)
{
if (candleTrade.Item2 != null)
{
values.Add(tradesElem, candleTrade.Item2);
}
foreach (var myTrade in candleTrade.Item1)
{
pos += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
var pnl = pnlQueue.Process(myTrade.ToMessage());
_statisticManager.AddMyTrade(pnl);
}
_statisticManager.AddPosition(c.OpenTime, pos);
_statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
}
values.Add(equityElem, equityInd.Process(pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL));
values.Add(positionElem, positionInd.Process(pos));
return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
{
First = c.OpenTime,
Second = values
});
})
.ToArray();
Chart.Draw(chartValues);
Chart.IsAutoRange = false;
}
else
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(ea.Error.ToString())
.Show();
}
};
worker.RunWorkerAsync();
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
if (FinamCandlesCheckBox.IsChecked == true)
{
_finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
}
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo {
UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
OrderLogMarketDepthBuilders =
{
{
secId,
LocalizedStrings.ActiveLanguage == Languages.Russian
? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId)
: new ItchOrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, candleManager, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapter.SendOutMessage(level1Info);
if (emulationInfo.HistorySource != null)
{
if (emulationInfo.UseCandleTimeFrame != null)
{
connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
}
if (emulationInfo.UseTicks)
{
connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseMarketDepth)
{
connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
}
}
else
{
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterSecurity(security);
}
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine);
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL ?? 0
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecId.Text);
var storageRegistry = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
//var logManager = new LogManager();
//var fileLogListener = new FileLogListener("sample.log");
//logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var maxDepth = 5;
var maxVolume = 5;
var secCode = secIdParts.Item1;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2);
var progressBar = TicksTestingProcess;
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
progressBar.Value = 0;
progressBar.Maximum = 100;
var statistic = TicksParameterGrid;
var security = new Security()
{
Id = SecId.Text,
Code = secCode,
Board = board,
};
var portfolio = new Portfolio()
{
Name = "test account",
BeginValue = 1000000,
};
var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, },
LogLevel = LogLevels.Debug,
},
LogLevel = LogLevels.Debug,
},
HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), },
};
//logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(RangeCandle), security, new Unit(100));
shortMa = new SimpleMovingAverage {
Length = 10
};
shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = shortMa.ToString()
};
bufferedChart.AddElement(area, shortElem);
longMa = new SimpleMovingAverage {
Length = 30
};
longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = longMa.ToString()
};
bufferedChart.AddElement(area, longElem);
var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = LogLevels.Debug,
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
//logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
connector.RegisterMarketDepth(security);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromMilliseconds(100), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 1, // min spread generation is 2 pips
MaxSpreadStepCount = 1, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
connector.RegisterTrades(security);
connector.RegisterSecurity(security);
strategy.Start();
candleManager.Start(series);
connector.Start();
};
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(StrategyName, Colors.Crimson);
strategy.PnLChanged += () =>
{
var pnl = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
//logManager.Dispose();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
progressBar.Value = 0;
startEmulationTime = DateTime.Now;
connector.Connect();
connector.SendInMessage(new CommissionRuleMessage()
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
private void InitChart(EMAEventModelStrategy strategy)
{
_longMA = new ExponentialMovingAverage { Length = strategy.LongMA.Length};
_shortMA = new ExponentialMovingAverage { Length = strategy.ShortMA.Length };
_filterMA = new ExponentialMovingAverage { Length = strategy.FilterMA.Length };
_area.Elements.Clear();
_candlesElem = new ChartCandleElement()
{
DownBodyColor = Color.FromRgb(133, 133, 133),
UpBodyColor = Color.FromRgb(255, 255, 255)
};
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = "LongMA",
Indicator = _longMA,
Color = Color.FromRgb(120, 199, 130)
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = "ShortMA",
Indicator = _shortMA,
Color = Color.FromRgb(193, 53, 45)
};
_area.Elements.Add(_shortMaElem);
_filterMaElem = new ChartIndicatorElement
{
Title = "FilterMA",
Indicator = _filterMA,
Color = Color.FromRgb(0, 124, 207)
};
_area.Elements.Add(_filterMaElem);
_tradeElem = new ChartTradeElement()
{
BuyColor = Color.FromRgb(255, 0, 0),
SellColor = Color.FromRgb(0, 0, 255),
IsLegend = true
};
_area.Elements.Add(_tradeElem);
}
