public void ExecutionPerformance()
{
execute.GotTick += new TradeLink.API.TickDelegate(execute_GotTick);
execute.SimBroker.GotFill += new TradeLink.API.FillDelegate(SimBroker_GotFill);
execute.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(execute.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTEX *= 2.5;
}
DateTime start = DateTime.Now;
execute.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.AreEqual(desiredfills, fillcount);
Assert.LessOrEqual(time, EXPECTEX);
Console.WriteLine("Execution runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTEX + "sec expected.");
Console.WriteLine("Execution " + ((double)tickcount / time).ToString("N0") + " ticks/sec. " + ((double)fillcount / time).ToString("N0") + " fills/sec");
}
protected override void OnDoWork(DoWorkEventArgs e)
{
if (e.Cancel)
{
return;
}
PlayBackArgs args = (PlayBackArgs)e.Argument;
DateTime prevtime = DateTime.MinValue;
DateTime playto = h.NextTickTime;
while (h.NextTickTime != HistSim.ENDSIM)
{
if (CancellationPending)
{
e.Cancel = true;
return;
}
// if we're past user specified DayStart, use user-specified delay otherwise no delay
int delay = (h.NextTickTime.TimeOfDay >= args.DayStart.TimeOfDay) ?
(int)h.NextTickTime.Subtract(prevtime).TotalMilliseconds *args.DELAYSCALE : 0;
if (prevtime != DateTime.MinValue) // if it's not first time doing this
{
System.Threading.Thread.CurrentThread.Join(delay); // wait realistic time
}
prevtime = new DateTime(h.NextTickTime.Ticks); // save last time mark
double progress = 100.0 * ((h.TickCount + h.IndexCount) / (double)h.ApproxTotalTicks);
ReportProgress((int)progress); // report progress
h.PlayTo(h.NextTickTime); // this will throw tick/idx events and get next time mark
}
base.OnDoWork(e);
}
public void BarPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory + "\\");
h.GotTick += new TradeLink.API.TickDelegate(h_GotTick);
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTBARS *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.GreaterOrEqual(tickcount, 50000);
Assert.AreEqual(3, bt.SymbolCount);
Assert.LessOrEqual(time, EXPECTBARS);
Console.WriteLine("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
Console.WriteLine("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
void play(object sender, DoWorkEventArgs e)
{
PlayTo type = (PlayTo)e.Argument;
if (e.Cancel)
{
return;
}
int time = (int)(_historicalSimulator.NextTickTime % 100000);
long date = (_historicalSimulator.NextTickTime / 100000) * 100000;
int t = (int)type;
long val = 0;
_playTo = type;
switch (type)
{
case PlayTo.End:
val = MultiSimImpl.ENDSIM;
break;
case PlayTo.FiveMin:
case PlayTo.OneMin:
case PlayTo.TenMin:
case PlayTo.HalfHour:
val = date + Util.FTADD(time, (t / 10) * 60);
break;
case PlayTo.Hour:
val = date + Util.FTADD(time, (t / 1000) * 3600);
break;
case PlayTo.TwoHour:
val = date + Util.FTADD(time, 2 * 60 * 60);
break;
case PlayTo.FourHour:
val = date + Util.FTADD(time, 4 * 60 * 60);
break;
case PlayTo.OneSec:
case PlayTo.ThirtySec:
val = date + Util.FTADD(time, t);
break;
//case PlayTo.Custom:
// ctime = getcusttime();
// if (ctime == 0)
// {
// _playTo = PlayTo.OneSec;
// val = 0;
// status("Invalid custom time, playing to next second.");
// }
// else
// val = date + ctime;
// break;
}
_historicalSimulator.PlayTo(val);
}
private void play(object sender, DoWorkEventArgs e)
{
PlayTo type = (PlayTo)e.Argument;
if (e.Cancel)
{
return;
}
int time = (int)(_historicalSimulator.NextTickTime % 100000);
long date = (_historicalSimulator.NextTickTime / 100000) * 100000;
int t = (int)type;
long val = 0;
_playTo = type;
switch (type)
{
case PlayTo.End:
val = MultiSimImpl.ENDSIM;
break;
case PlayTo.FiveMin:
case PlayTo.OneMin:
case PlayTo.TenMin:
case PlayTo.HalfHour:
val = date + Util.FTADD(time, (t / 10) * 60);
break;
case PlayTo.Hour:
val = date + Util.FTADD(time, (t / 1000) * 3600);
break;
case PlayTo.TwoHour:
val = date + Util.FTADD(time, 2 * 60 * 60);
break;
case PlayTo.FourHour:
val = date + Util.FTADD(time, 4 * 60 * 60);
break;
case PlayTo.OneSec:
case PlayTo.ThirtySec:
val = date + Util.FTADD(time, t);
break;
}
_historicalSimulator.PlayTo(val);
}
public void RawPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory + "\\");
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(raw_GotTick);
tickcount = 0;
syms.Clear();
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTRAW *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
// make sure ticks arrived in order
Assert.IsTrue(GOODTIME, "Tick arrived out-of-order.");
// check running time
Assert.LessOrEqual(time, EXPECTRAW, "may fail on slow machines");
Assert.AreEqual(3, syms.Count);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// variance from approximate count should be less than 1%
Assert.Less((tickcount - h.TicksPresent) / h.TicksPresent, .01);
// actual count should equal simulation count
Assert.AreEqual(h.TicksProcessed, tickcount);
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
// printout simulation runtime
Console.WriteLine("Raw runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTRAW + "sec expected.");
Console.WriteLine("Raw speed: " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
void Play(object sender, DoWorkEventArgs e)
{
PlayTo type = (PlayTo)e.Argument;
if (e.Cancel)
{
return;
}
int t = (int)type;
h.Initialize();
int maxmin = (t > 127) && (t < 450) ? t - 127 : 0;
long firsttime = h.NextTickTime % 1000000;
long rem = h.NextTickTime - firsttime;
int stop = Util.FTADD((int)firsttime, maxmin * 60);
rem += stop;
h.PlayTo(rem);
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
// prepare simulator
h = new HistSim(ga.Folder, ga.Filter);
h.GotDebug += new DebugDelegate(h_GotDebug);
h.GotTick += new TickDelegate(h_GotTick);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = h.FillCount;
// save result
e.Result = ga;
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
FillCount = 0;
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
status("Started: " + ga.ResponseName);
// prepare simulator
if (prepsim_needsbind(ref h, ga))
{
bindsim(ref h);
}
// prep broker
SimBroker = new Broker();
SimBroker.UseBidAskFills = _usebidask.Checked;
SimBroker.UseHighLiquidityFillsEOD = _usehighliquidityEOD.Checked;
SimBroker.GotFill += new FillDelegate(SimBroker_GotFill);
SimBroker.GotOrder += new OrderDelegate(SimBroker_GotOrder);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
// start simulation
try
{
h.PlayTo(ga.PlayTo);
}
catch (DirectoryNotFoundException ex)
{
debug("Error locating tick files, err: " + ex.Message + ex.StackTrace);
debug("You may want to ensure your tick files are in the TradeLinkTicks folder.");
}
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = FillCount;
// save result
e.Result = ga;
}
protected override void OnDoWork(DoWorkEventArgs e)
{
if (e.Cancel)
{
return;
}
PlayBackArgs args = (PlayBackArgs)e.Argument;
long prevtime = 0;
do
{
// if cancel was requested, quit
if (CancellationPending)
{
e.Cancel = true;
return;
}
// play first tick
long next = h.NextTickTime;
h.PlayTo(next);
// adjust delay, based on user's setting of 'speed'
// as well as daystart (no delay before daystart)
int delay = next >= args.DayStart ?
Util.FTDIFF((int)prevtime, (int)next) * 1000 * args.DELAYSCALE : 0;
// if not first tick, wait realistic time between ticks
if (prevtime != 0)
{
System.Threading.Thread.CurrentThread.Join(delay);
}
// save time for calculating next day
prevtime = next;
// calculate progress
double progress = 100.0 * (h.TicksProcessed / (double)h.TicksPresent);
// report progress
ReportProgress((int)progress);
}while (h.NextTickTime != HistSim.ENDSIM);
base.OnDoWork(e);
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
FillCount = 0;
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
status("Started: " + ga.ResponseName);
// prepare simulator
bool portreal = _portfoliosim.Checked;
if (_portfoliosim.Checked)
{
debug("Using portfolio simulation. (realistic)");
h = new MultiSimImpl(ga.Folder, ga.Filter);
}
else
{
debug("Using sequential symbol simulation. (faster)");
h = new SingleSimImpl(ga.Folder, ga.Filter);
}
h.GotDebug += new DebugDelegate(h_GotDebug);
SimBroker.UseBidAskFills = _usebidask.Checked;
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.GotFill += new FillDelegate(SimBroker_GotFill);
SimBroker.GotOrder += new OrderDelegate(args.Response.GotOrder);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = FillCount;
// save result
e.Result = ga;
}
void Play(object sender, DoWorkEventArgs e)
{
PlayTo type = (PlayTo)e.Argument;
if (e.Cancel)
{
return;
}
int time = (int)(h.NextTickTime % 100000);
long date = (h.NextTickTime / 100000) * 100000;
int t = (int)type;
long val = 0;
pt = type;
switch (type)
{
case PlayTo.End:
val = MultiSimImpl.ENDSIM;
break;
case PlayTo.FiveMin:
case PlayTo.OneMin:
case PlayTo.TenMin:
case PlayTo.HalfHour:
val = date + Util.FTADD(time, (t / 10) * 60);
break;
case PlayTo.Hour:
val = date + Util.FTADD(time, (t / 1000) * 3600);
break;
case PlayTo.TwoHour:
val = date + Util.FTADD(time, 2 * 60 * 60);
break;
case PlayTo.FourHour:
val = date + Util.FTADD(time, 4 * 60 * 60);
break;
case PlayTo.OneSec:
case PlayTo.ThirtySec:
val = date + Util.FTADD(time, t);
break;
case PlayTo.Custom:
ctime = getcusttime();
if (ctime == 0)
{
pt = PlayTo.OneSec;
val = 0;
status("Invalid custom time, playing to next second.");
}
else
{
val = date + ctime;
}
break;
}
cleardebugs(); // clear the message box on first box run
h.PlayTo(val);
}
public SimpleBacktester(PortfolioManager nsystem, string folder, int cpunr, string[] filter = null)
{
try
{
//Set start time
Started = DateTime.Now;
var transactioncosts = new GenericBrokerModel()
{
CommPerLot = 0M, SlippageInPips = 0M, LatencyInMS = 0, SpreadInPips = 0M
};
SimBroker = new SimBroker((SimAccount)nsystem.Account, transactioncosts);
//Initialize
nsystem.Initialize();
foreach (var stream in nsystem.Streams)
{
((OHLCBarStream)stream.Value).Initialize();
}
//set response
portfolio = nsystem;
//Set progress
if (OnProgress != null)
{
OnProgress(this, "Starting...", cpunr);
}
//Set simulator
if (filter == null || nsystem.Streams.Count == 1)
{
histsim = new SingleSimImpl(filter);
}
else
{
histsim = new MultiSimImpl(filter);
}
//Set events
histsim.GotTick += histsim_GotTick;
SimBroker.GotFill += SimBroker_GotFill;
SimBroker.GotOrder += SimBroker_GotOrder;
SimBroker.GotOrderCancel += SimBroker_GotOrderCancel;
SimBroker.GotOrderUpdate += SimBroker_GotOrderChanged;
BindPortfolioEvents();
//Start simulation
histsim.PlayTo(SingleSimImpl.Endsim);
//Notify Complete
if (OnProgress != null)
{
OnProgress(this, "Finished!", cpunr);
}
Stopped = DateTime.Now;
if (OnMessage != null)
{
OnMessage(this, string.Format("SystemID: {0} - CPU: {1} - Finished in: {2} seconds - Tick p/s: {3} - Trades - {4}",
0,
cpunr,
Math.Round((Stopped - Started).TotalSeconds, 2),
Math.Round(TicksSecond),
SimBroker.GetTradeList().Count
));
}
Thread.Sleep(1000);
WriteResults();
}
catch (Exception exc)
{
if (OnProgress != null)
{
OnProgress(this, "FAILED: Exception!", cpunr);
}
if (OnMessage != null)
{
OnMessage(this, string.Format("Error (cpu {0}) Message: {1} Stacktrace: {2}", cpunr, exc.Message, exc.StackTrace));
}
}
}