private Security GetSecurity(AlorTable table, object[] values, AlorColumn codeColumn, AlorColumn boardColumn)
{
if (table == null)
{
throw new ArgumentNullException(nameof(table));
}
if (values == null)
{
throw new ArgumentNullException(nameof(values));
}
if (codeColumn == null)
{
throw new ArgumentNullException(nameof(codeColumn));
}
if (boardColumn == null)
{
throw new ArgumentNullException(nameof(boardColumn));
}
var secCode = table.GetValue <string>(values, codeColumn);
var secBoard = ExchangeBoard.GetBoard(table.GetValue <string>(values, boardColumn));
var id = SecurityIdGenerator.GenerateId(secCode, secBoard);
return(GetSecurity(id, name =>
{
var security = EntityFactory.CreateSecurity(name);
security.Board = secBoard;
security.Code = secCode;
return security;
}, security => false));
}
public AllSecurityMarketDataStorage(Security security, object arg, Func <T, DateTimeOffset> getTime, Func <T, Security> getSecurity, Func <Security, IMarketDataDrive, IMarketDataStorage <T> > getStorage, IMarketDataStorageDrive drive)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (getTime == null)
{
throw new ArgumentNullException("getTime");
}
if (getSecurity == null)
{
throw new ArgumentNullException("getSecurity");
}
if (getStorage == null)
{
throw new ArgumentNullException("getStorage");
}
if (drive == null)
{
throw new ArgumentNullException("drive");
}
_security = security;
_getTime = getTime;
_arg = arg;
Drive = drive;
_basket = new BasketMarketDataStorage <T>();
var idGenerator = new SecurityIdGenerator();
var parts = idGenerator.Split(security.Id);
var code = parts.Item1;
var securities = InteropHelper
.GetDirectories(Path.Combine(Drive.Drive.Path, code.Substring(0, 1)), code + "*")
.Select(p => Path.GetFileName(p).FolderNameToSecurityId())
.Select(s =>
{
var id = idGenerator.Split(s);
var clone = security.Clone();
clone.Id = s;
clone.Board = ExchangeBoard.GetOrCreateBoard(id.Item2);
return(clone);
});
foreach (var sec in securities)
{
_basket.InnerStorages.Add(getStorage(sec, Drive.Drive));
}
}
public void Init()
{
if (!File.Exists(_fileName))
{
return;
}
CultureInfo.InvariantCulture.DoInCulture(() =>
{
using (var stream = new FileStream(_fileName, FileMode.Open, FileAccess.Read))
{
var reader = new FastCsvReader(stream, Encoding.UTF8);
reader.NextLine();
reader.Skip();
var fields = new string[reader.ColumnCount - 1];
for (var i = 0; i < reader.ColumnCount - 1; i++)
{
fields[i] = reader.ReadString();
}
reader.NextLine();
reader.Skip();
var types = new Type[reader.ColumnCount - 1];
for (var i = 0; i < reader.ColumnCount - 1; i++)
{
types[i] = reader.ReadString().To <Type>();
_fieldTypes.Add(fields[i], types[i]);
}
var idGenerator = new SecurityIdGenerator();
while (reader.NextLine())
{
var secId = idGenerator.Split(reader.ReadString());
var values = new Dictionary <object, object>();
for (var i = 0; i < fields.Length; i++)
{
values[fields[i]] = reader.ReadString().To(types[i]);
}
_cache.Add(secId, values);
}
}
});
}
private void ExecutedSaveSecurityCommand(object sender, ExecutedRoutedEventArgs e)
{
var entityRegistry = ConfigManager.GetService <IStudioEntityRegistry>();
var security = (Security)PropertyGrid.SelectedObject;
if (_isNew)
{
var mbBuilder = new MessageBoxBuilder()
.Owner(this)
.Error();
if (security.Code.IsEmpty())
{
mbBuilder.Text(LocalizedStrings.Str1551).Show();
return;
}
if (security.Board == null)
{
mbBuilder.Text(LocalizedStrings.Str1547).Show();
return;
}
if (security.PriceStep == null)
{
mbBuilder.Text(LocalizedStrings.Str1546).Show();
return;
}
var id = new SecurityIdGenerator().GenerateId(security.Code, security.Board);
if (entityRegistry.Securities.ReadById(id) != null)
{
mbBuilder.Text(LocalizedStrings.Str3275Params.Put(id)).Show();
return;
}
security.Id = id;
}
else
{
security.CopyTo(SecurityPicker.SelectedSecurity);
security = SecurityPicker.SelectedSecurity;
}
entityRegistry.Securities.Save(security);
_isNew = false;
_changed = false;
}
private Security GetSecurityBySecCode(string secCode)
{
var sfxSecurity = new SfxSecurity
{
SlotID = _slot.ID,
SecCode = secCode
};
sfxSecurity.Load().ThrowIfNeed(LocalizedStrings.Str3704);
secCode = sfxSecurity.SecCode;
var secBoard = ExchangeBoard.GetBoard(sfxSecurity.SecBoard);
var id = SecurityIdGenerator.GenerateId(secCode, secBoard);
return(GetSecurity(id, name =>
{
var security = EntityFactory.CreateSecurity(name);
security.Board = secBoard;
security.Code = secCode;
return security;
}, security => false));
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
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 secGen = new SecurityIdGenerator();
var id = secGen.Split(SecId.Text);
//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 = ExchangeBoard.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
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
}),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
}),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
}),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo {
UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1
}),
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
}),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource().GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
}),
};
// 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();
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
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 = 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, 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.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendInMessage(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 pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + 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 LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = _priceStep,
Board = _exchangeInfoProvider.GetExchangeBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement1 });
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(_security, tick);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
var str = date.To <string>();
this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
this.GuiAsync(() =>
{
BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
_areaComb.YAxises.First().AutoRange = false;
});
}, TaskScheduler.FromCurrentSynchronizationContext());
}
/// <summary>
/// Synchronize securities with storage.
/// </summary>
/// <param name="drives">Storage drives.</param>
/// <param name="entityRegistry">The storage of trade objects.</param>
/// <param name="newSecurity">The handler through which a new instrument will be passed.</param>
/// <param name="updateProgress">The handler through which a progress change will be passed.</param>
/// <param name="addLog">The handler through which a new log message be passed.</param>
/// <param name="isCancelled">The handler which returns an attribute of search cancel.</param>
public static void SynchronizeSecurities(this IEnumerable <IMarketDataDrive> drives, IEntityRegistry entityRegistry, Action <Security> newSecurity,
Action <int, int> updateProgress, Action <LogMessage> addLog, Func <bool> isCancelled)
{
if (drives == null)
{
throw new ArgumentNullException(nameof(drives));
}
if (entityRegistry == null)
{
throw new ArgumentNullException(nameof(entityRegistry));
}
if (newSecurity == null)
{
throw new ArgumentNullException(nameof(newSecurity));
}
if (updateProgress == null)
{
throw new ArgumentNullException(nameof(updateProgress));
}
if (addLog == null)
{
throw new ArgumentNullException(nameof(addLog));
}
if (isCancelled == null)
{
throw new ArgumentNullException(nameof(isCancelled));
}
var securityPaths = new List <string>();
var progress = 0;
foreach (var dir in drives.Select(drive => drive.Path).Distinct())
{
foreach (var letterDir in InteropHelper.GetDirectories(dir))
{
if (isCancelled())
{
break;
}
var name = Path.GetFileName(letterDir);
if (name == null || name.Length != 1)
{
continue;
}
securityPaths.AddRange(InteropHelper.GetDirectories(letterDir));
}
if (isCancelled())
{
break;
}
}
if (isCancelled())
{
return;
}
// кол-во проходов по директории для создания инструмента
var iterCount = securityPaths.Count;
updateProgress(0, iterCount);
var logSource = ConfigManager.GetService <LogManager>().Application;
var securityIdGenerator = new SecurityIdGenerator();
var securities = entityRegistry.Securities.ToDictionary(s => s.Id, s => s, StringComparer.InvariantCultureIgnoreCase);
foreach (var securityPath in securityPaths)
{
if (isCancelled())
{
break;
}
var securityId = Path.GetFileName(securityPath).FolderNameToSecurityId();
var isNew = false;
var security = securities.TryGetValue(securityId);
if (security == null)
{
var firstDataFile =
Directory.EnumerateDirectories(securityPath)
.SelectMany(d => Directory.EnumerateFiles(d, "*.bin")
.Concat(Directory.EnumerateFiles(d, "*.csv"))
.OrderBy(f => Path.GetExtension(f).CompareIgnoreCase(".bin") ? 0 : 1))
.FirstOrDefault();
if (firstDataFile != null)
{
var id = securityIdGenerator.Split(securityId);
decimal priceStep;
if (Path.GetExtension(firstDataFile).CompareIgnoreCase(".bin"))
{
try
{
priceStep = File.ReadAllBytes(firstDataFile).Range(6, 16).To <decimal>();
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2929Params.Put(firstDataFile), ex);
}
}
else
{
priceStep = 0.01m;
}
security = new Security
{
Id = securityId,
PriceStep = priceStep,
Name = id.SecurityCode,
Code = id.SecurityCode,
Board = ExchangeBoard.GetOrCreateBoard(id.BoardCode),
};
securities.Add(securityId, security);
entityRegistry.Securities.Save(security);
newSecurity(security);
isNew = true;
}
}
updateProgress(progress++, iterCount);
if (isNew)
{
addLog(new LogMessage(logSource, TimeHelper.NowWithOffset, LogLevels.Info, LocalizedStrings.Str2930Params.Put(security)));
}
}
}
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 InitOrderLogBuilders(DateTime loadDate)
//{
// if (StorageRegistry == null || !MarketEmulator.Settings.UseMarketDepth)
// return;
// foreach (var security in RegisteredMarketDepths)
// {
// var builder = _orderLogBuilders.TryGetValue(security);
// if (builder == null)
// continue;
// // стакан из ОЛ строиться начиная с 18.45 предыдущей торговой сессии
// var olDate = loadDate.Date;
// do
// {
// olDate -= TimeSpan.FromDays(1);
// }
// while (!ExchangeBoard.Forts.WorkingTime.IsTradeDate(olDate));
// olDate += new TimeSpan(18, 45, 0);
// foreach (var item in StorageRegistry.GetOrderLogStorage(security, Drive).Load(olDate, loadDate - TimeSpan.FromTicks(1)))
// {
// builder.Update(item);
// }
// }
//}
private Security FindSecurity(SecurityId secId)
{
return(this.LookupById(SecurityIdGenerator.GenerateId(secId.SecurityCode, secId.BoardCode)));
}
private void OnSecurity(int tableId, object[] values)
{
var table = SecuritiesTable;
var secCode = table.GetValue <string>(values, AlorSecurityColumns.Code);
var secBoard = ExchangeBoard.GetBoard(table.GetValue <string>(values, AlorSecurityColumns.Board));
var id = SecurityIdGenerator.GenerateId(secCode, secBoard);
GetSecurity(id, name =>
{
var security = EntityFactory.CreateSecurity(name);
security.Code = table.GetValue <string>(values, AlorSecurityColumns.Code);
security.Name = table.GetValue <string>(values, AlorSecurityColumns.Name);
security.ShortName = table.GetValue <string>(values, AlorSecurityColumns.ShortName);
security.Board = secBoard;
security.ExpiryDate = table.GetValue <DateTime>(values, AlorSecurityColumns.ExecutionDate);
security.Decimals = table.GetValue <int>(values, AlorSecurityColumns.Decimals);
security.Multiplier = table.GetValue <int>(values, AlorSecurityColumns.MinLotSize);
security.MinStepPrice = table.GetValue <decimal>(values, AlorSecurityColumns.MinStepPrice);
security.PriceStep = table.GetValue <decimal>(values, AlorSecurityColumns.MinStep);
return(security);
}, security =>
{
using (security.BeginUpdate())
{
security.BestBid = new Quote
{
OrderDirection = OrderDirections.Buy,
Price = table.GetValue <decimal>(values, AlorSecurityColumns.BestBidPrice),
Volume = table.GetValue <int>(values, AlorSecurityColumns.BestBidVolume),
Security = security,
};
security.BestAsk = new Quote
{
OrderDirection = OrderDirections.Sell,
Price = table.GetValue <decimal>(values, AlorSecurityColumns.BestAskPrice),
Volume = table.GetValue <int>(values, AlorSecurityColumns.BestBidVolume),
Security = security,
};
security.OpenPrice = table.GetValue <decimal>(values, AlorSecurityColumns.OpenPrice);
security.HighPrice = table.GetValue <decimal>(values, AlorSecurityColumns.HighPrice);
security.LowPrice = table.GetValue <decimal>(values, AlorSecurityColumns.LowPrice);
// NOTE:
security.SettlementDate = table.GetValue <DateTime>(values, AlorSecurityColumns.CancellationDate);
if (table.GetValue <string>(values, AlorSecurityColumns.OptionType).Trim().IsEmpty() ||
table.GetValue <string>(values, AlorSecurityColumns.OptionType) == "F")
{
if (table.GetValue <string>(values, AlorSecurityColumns.FutureCode).Trim().IsEmpty())
{
security.Type = SecurityTypes.Stock;
}
else
{
security.Type = SecurityTypes.Future;
security.ExtensionInfo[AlorSecurityColumns.FutureCode] = table.GetValue <string>(values, AlorSecurityColumns.FutureCode);
}
}
else
{
security.Type = SecurityTypes.Option;
security.ExtensionInfo[AlorSecurityColumns.OptionType] = table.GetValue <string>(values, AlorSecurityColumns.OptionType);
}
security.LastTrade = new Trade
{
Security = security,
Time = table.GetValue <DateTime>(values, AlorSecurityColumns.LastTradeTime),
Price = table.GetValue <decimal>(values, AlorSecurityColumns.LastTradePrice),
Volume = table.GetValue <int>(values, AlorSecurityColumns.LastTradeVolume),
};
security.MinPrice = table.GetValue <decimal>(values, AlorSecurityColumns.LowPriceLimit);
security.MaxPrice = table.GetValue <decimal>(values, AlorSecurityColumns.HighPriceLimit);
security.MarginBuy = table.GetValue <decimal>(values, AlorSecurityColumns.BuyDeposit);
security.MarginSell = table.GetValue <decimal>(values, AlorSecurityColumns.SellDeposit);
security.State = table.GetValue <string>(values, AlorSecurityColumns.TradingStatus) == "O" ? SecurityStates.Trading : SecurityStates.Stoped;
table.FillNonMandatoryInfo(security, values);
}
return(true);
});
}
private void LoadData()
{
_lastPrice = 0m;
_candles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId);
_security = new Security
{
Id = SecurityId,
PriceStep = PriceStep,
Board = ExchangeBoard.GetBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
var maxDays = 50;
BusyIndicator.IsBusy = true;
var path = HistoryPath;
_curCandleNum = 0;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() => BusyIndicator.BusyContent = $"Loading ticks for {date:dd MMM yyyy}...");
if (--maxDays == 0)
{
break;
}
}
AppendTick(tick);
}
})
.ContinueWith(t =>
{
this.GuiAsync(() => BusyIndicator.IsBusy = false);
for (var i = 0; i < _candles.Count; i += CandlesPacketSize)
{
var data = new ChartDrawData();
var candles = _candles.GetRange(i, Math.Min(CandlesPacketSize, _candles.Count - i)).Select(c => c.ToCandle(TFSpan));
foreach (var candle in candles)
{
candle.State = CandleStates.Finished;
var group = data.Group(candle.OpenTime);
group.Add(_candleElement, candle);
if (_indicatorElement != null)
{
group.Add(_indicatorElement, _indicator.Process((double)candle.ClosePrice));
}
}
Chart.Draw(data);
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
_dataIsLoaded = true;
this.GuiAsync(() => BusyIndicator.IsBusy = false);
Chart.IsAutoRange = false;
//_area.YAxises.FirstOrDefault().Do(a => a.AutoRange = false);
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void StartButtonOnClick(object sender, RoutedEventArgs e)
{
_logManager.Sources.Clear();
_bufferedChart.ClearAreas();
Curve.Clear();
PositionCurve.Clear();
if (HistoryPathTextBox.Text.IsEmpty() || !Directory.Exists(HistoryPathTextBox.Text))
{
MessageBox.Show("Wrong path.");
return;
}
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
MessageBox.Show("Already launched.");
return;
}
if (Composition == null)
{
MessageBox.Show("No strategy selected.");
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecusityTextBox.Text);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = (TimeSpan)TimeFrameComboBox.SelectedItem;
var useCandles = (string)MarketDataTypeComboBox.SelectedItem != "Ticks";
// create test security
var security = new Security
{
Id = SecusityTextBox.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPathTextBox.Text)
};
var startTime = ((DateTime)FromDatePicker.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)ToDatePicke.Value).ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "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
_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 = useCandles,
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 = !useCandles
? new CandleManager(new TradeCandleBuilderSourceEx(_connector))
: new CandleManager(_connector);
// create strategy based on 80 5-min и 10 5-min
var strategy = new DiagramStrategy
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = _connector,
//LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
Composition = Composition,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetChart(_bufferedChart);
strategy.SetCandleManager(candleManager);
_logManager.Sources.Add(strategy);
strategy.OrderRegistering += OnStrategyOrderRegistering;
strategy.OrderReRegistering += OnStrategyOrderReRegistering;
strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.StopOrderRegistering += OnStrategyOrderRegistering;
strategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.NewMyTrades += OnStrategyNewMyTrade;
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + strategy.Name, Colors.DarkGreen, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + strategy.Name, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + strategy.Name, Colors.Red, EquityCurveChartStyles.DashedLine);
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);
};
var posItems = PositionCurve.CreateCurve(strategy.Name, Colors.DarkGreen);
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
if (!useCandles)
{
_connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
MessageBox.Show("Done.");
}
else
{
MessageBox.Show("Cancelled.");
}
});
break;
case EmulationStates.Started:
SetIsEnabled(true);
break;
}
};
TicksAndDepthsProgress.Value = 0;
// 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
}
});
}
private void MainWindow_OnLoaded(object sender, RoutedEventArgs e)
{
Year.ItemsSource = Competition.AllYears;
Year.SelectedItem = Competition.AllYears.Last();
Directory.CreateDirectory(_settingsDir);
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 => new IndicatorType(t, rendererTypes.TryGetValue(t.Name + "Painter")));
Chart.IndicatorTypes.AddRange(indicators);
var finamSecurities = Path.Combine(_settingsDir, "finam2.csv");
BusyIndicator.BusyContent = "Обновление инструментов...";
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
File.Delete("finam.csv");
if (File.Exists(finamSecurities))
{
CultureInfo.InvariantCulture.DoInCulture(() =>
{
var idGen = new SecurityIdGenerator();
var securities = File.ReadAllLines(finamSecurities).Select(line =>
{
var cells = line.SplitByComma();
var idParts = idGen.Split(cells[0]);
return(new Security
{
Id = cells[0],
Code = idParts.Item1,
Board = ExchangeBoard.GetOrCreateBoard(idParts.Item2),
ExtensionInfo = new Dictionary <object, object>
{
{ FinamHistorySource.MarketIdField, cells[1].To <long>() },
{ FinamHistorySource.SecurityIdField, cells[2].To <long>() },
},
PriceStep = cells[3].To <decimal?>(),
Decimals = cells[4].To <int?>(),
Currency = cells[5].To <CurrencyTypes?>(),
});
});
foreach (var security in securities)
{
_securityProvider.Securities.Add(security);
_securityStorage.Save(security);
}
});
}
else
{
_finamHistorySource.Refresh(_securityStorage, new Security(), s => { }, () => false);
var securities = _securityStorage.LookupAll().ToArray();
foreach (var security in securities)
{
_securityProvider.Securities.Add(security);
}
File.WriteAllLines(finamSecurities, securities.Where(s => !s.Id.Contains(',')).Select(s => "{0},{1},{2},{3},{4},{5}"
.Put(s.Id, s.ExtensionInfo[FinamHistorySource.MarketIdField], s.ExtensionInfo[FinamHistorySource.SecurityIdField], s.PriceStep, s.Decimals, s.Currency)));
}
})
.ContinueWith(res =>
{
BusyIndicator.IsBusy = false;
if (res.Exception != null)
{
new MessageBoxBuilder()
.Error()
.Owner(this)
.Text(res.Exception.ToString())
.Show();
}
if (File.Exists(_settingsFile))
{
var settings = CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer <SettingsStorage>().Deserialize(_settingsFile).Load <Settings>());
Year.SelectedItem = settings.Year;
Trader.Text = settings.Trader;
From.Value = settings.From;
To.Value = settings.To;
Security1.Text = settings.Security1;
Security2.Text = settings.Security2;
Security3.Text = settings.Security3;
Security4.Text = settings.Security4;
TimeFrame.SelectedItem = settings.TimeFrame;
Apart.IsChecked = settings.Apart;
}
else
{
Trader.Text = "Vasya";
Security1.Text = "RIZ5@FORTS";
//Trader.Text = "iZotov";
//Security1.Text = "SPZ5@FORTS";
//Security2.Text = "SIZ5@FORTS";
//From.Value = new DateTime(2014, 09, 16);
Apart.IsChecked = true;
}
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
throw new InvalidOperationException(LocalizedStrings.Str3015);
}
if (Strategy == null)
{
throw new InvalidOperationException("Strategy not selected.");
}
var strategy = (EmulationDiagramStrategy)Strategy;
if (strategy.MarketDataSettings == null)
{
throw new InvalidOperationException(LocalizedStrings.Str3014);
}
strategy
.Composition
.Parameters
.ForEach(p =>
{
if (p.Type == typeof(Security) && p.Value == null)
{
throw new InvalidOperationException(LocalizedStrings.Str1380);
}
});
strategy.Reset();
Reset();
var securityId = "empty@empty";
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(securityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = strategy.CandlesTimeFrame;
var useCandles = strategy.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = securityId, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StudioStorageRegistry
{
MarketDataSettings = strategy.MarketDataSettings
};
var startTime = strategy.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = strategy.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var securityProvider = ConfigManager.GetService <ISecurityProvider>();
// create backtesting connector
_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
{
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 = strategy.MatchOnTouch,
IsSupportAtomicReRegister = strategy.IsSupportAtomicReRegister,
Latency = strategy.EmulatoinLatency,
}
}
},
UseExternalCandleSource = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
StorageFormat = strategy.StorageFormat,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)_connector).LogLevel = strategy.DebugLog ? LogLevels.Debug : LogLevels.Info;
ConfigManager.GetService <LogManager>().Sources.Add(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.Connector = _connector;
strategy.LogLevel = strategy.DebugLog ? LogLevels.Debug : LogLevels.Info;
// by default interval is 1 min,
// it is excessively for time range with several months
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>();
strategy.SetCandleManager(new CandleManager(_connector));
_connector.NewSecurity += s =>
{
//TODO send real level1 message
var level1Info = new Level1ChangeMessage
{
SecurityId = s.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// fill level1 values
_connector.SendInMessage(level1Info);
if (strategy.UseMarketDepths)
{
_connector.RegisterMarketDepth(security);
if (
// if order book will be generated
strategy.GenerateDepths ||
// of backtesting will be on candles
useCandles
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(s))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = strategy.MaxDepths,
MaxBidsDepth = strategy.MaxDepths,
UseTradeVolume = true,
MaxVolume = strategy.MaxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.LookupSecuritiesResult += (ss) =>
{
if (strategy.ProcessState != ProcessStates.Stopped)
{
return;
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
}
});
break;
case EmulationStates.Started:
break;
}
};
TicksAndDepthsProgress.Value = 0;
DiagramDebuggerControl.Debugger.IsEnabled = true;
// 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
}
});
}
private void LoadData()
{
_lastPrice = 0m;
_candles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId);
_security = new Security
{
Id = SecurityId,
PriceStep = PriceStep,
Board = ExchangeBoard.GetBoard(id.BoardCode)
};
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
var maxDays = 1;
BusyIndicator.IsBusy = true;
var path = HistoryPath;
_curCandleNum = 0;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() => BusyIndicator.BusyContent = $"Loading ticks for {date:dd MMM yyyy}...");
if (maxDays-- == 0)
{
break;
}
}
AppendTick(tick);
}
})
.ContinueWith(t =>
{
this.GuiAsync(() => BusyIndicator.IsBusy = false);
for (var i = 0; i < _candles.Count; i += CandlesPacketSize)
{
var candles = _candles.GetRange(i, Math.Min(CandlesPacketSize, _candles.Count - i)).Select(c => c.ToCandle(TFSpan));
Chart.Draw(candles.Select(c =>
{
c.State = CandleStates.Finished;
var dict = (IDictionary <IChartElement, object>) new Dictionary <IChartElement, object>
{
{ _candleElement, c }
};
if (_indicatorElement != null)
{
dict.Add(_indicatorElement, _indicator.Process((double)c.ClosePrice));
}
if (_tradeElement != null && _curCandleNum++ % TradeEveryNCandles == 0)
{
dict.Add(_tradeElement, new MyTrade
{
Trade = new Trade
{
Security = _security,
Volume = 1,
Price = c.LowPrice,
OrderDirection = Sides.Buy,
Time = c.OpenTime
},
Order = new Order {
Security = _security, Direction = Sides.Buy
}
});
}
return(RefTuple.Create(c.OpenTime, dict));
}).ToArray());
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
_dataIsLoaded = true;
this.GuiAsync(() => BusyIndicator.IsBusy = false);
Chart.IsAutoRange = false;
//_area.YAxises.FirstOrDefault().Do(a => a.AutoRange = false);
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void OkClick(object sender, RoutedEventArgs e)
{
var volumeStep = VolumeStep.Text.To <decimal?>();
var priceStep = PriceStep.Text.To <decimal?>();
var type = TypeCtrl.SelectedType;
if (Securities == null)
{
if (Code.Text.IsEmpty())
{
ShowError(LocalizedStrings.Str2923);
return;
}
//if (SecName.Text.IsEmpty())
//{
// ShowError("Не заполнено название инструмента.");
// return;
//}
if (volumeStep == null)
{
ShowError(LocalizedStrings.Str2924);
return;
}
if (priceStep == null)
{
ShowError(LocalizedStrings.Str2925);
return;
}
if (ExchangeCtrl.SelectedBoard == null)
{
ShowError(LocalizedStrings.Str2926);
return;
}
var security = Security;
security.Code = Code.Text;
if (!SecName.Text.IsEmpty())
{
security.Name = SecName.Text;
}
security.VolumeStep = volumeStep.Value;
security.PriceStep = priceStep.Value;
security.Board = ExchangeCtrl.SelectedBoard;
security.Type = TypeCtrl.SelectedType;
if (security.Id.IsEmpty())
{
var id = new SecurityIdGenerator().GenerateId(security.Code, security.Board);
var isExist = _entityRegistry.Securities.ReadById(id) != null;
if (isExist)
{
new MessageBoxBuilder()
.Text(LocalizedStrings.Str2927Params.Put(id))
.Owner(this)
.Warning()
.Show();
return;
}
security.Id = id;
security.ExtensionInfo = new Dictionary <object, object>();
}
_entityRegistry.Securities.Save(security);
}
else
{
foreach (var security in Securities)
{
if (volumeStep != null)
{
security.VolumeStep = volumeStep.Value;
}
if (priceStep != null)
{
security.PriceStep = priceStep.Value;
}
if (type != null)
{
security.Type = type.Value;
}
_entityRegistry.Securities.Save(security);
}
}
DialogResult = true;
}
private void MainWindow_OnLoaded(object sender, RoutedEventArgs e)
{
Year.ItemsSource = Competition.AllYears;
Year.SelectedItem = Competition.AllYears.Last();
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 => new IndicatorType(t, rendererTypes.TryGetValue(t.Name + "Painter")));
Chart.IndicatorTypes.AddRange(indicators);
const string finamSecurities = "finam.csv";
if (File.Exists(finamSecurities))
{
var idGen = new SecurityIdGenerator();
var securities = File.ReadAllLines(finamSecurities).Select(line =>
{
var cells = line.SplitByComma();
var idParts = idGen.Split(cells[0]);
return(new Security
{
Id = cells[0],
Code = idParts.Item1,
Board = ExchangeBoard.GetOrCreateBoard(idParts.Item2),
ExtensionInfo = new Dictionary <object, object>
{
{ FinamHistorySource.MarketIdField, cells[1].To <long>() },
{ FinamHistorySource.SecurityIdField, cells[2].To <long>() },
}
});
});
foreach (var security in securities)
{
_securities.Add(security);
_securityStorage.Save(security);
}
}
else
{
_finamHistorySource.Refresh(_securityStorage, new Security(), s => { }, () => false);
var securities = _securityStorage.LookupAll().ToArray();
foreach (var security in securities)
{
_securities.Add(security);
}
File.WriteAllLines(finamSecurities, securities.Where(s => !s.Id.Contains(',')).Select(s => "{0},{1},{2}"
.Put(s.Id, s.ExtensionInfo[FinamHistorySource.MarketIdField], s.ExtensionInfo[FinamHistorySource.SecurityIdField])));
}
Trader.Text = "Bull";
Security.Text = "SIZ4@FORTS";
From.Value = new DateTime(2014, 09, 16);
}
private void Sync_Click(object sender, RoutedEventArgs e)
{
if (_token != null)
{
StopSync();
return;
}
Sync.Content = LocalizedStrings.Str2890;
_token = new CancellationTokenSource();
Task.Factory.StartNew(() =>
{
var securityPaths = new List <string>();
foreach (var dir in DriveCache.Instance.AllDrives
.OfType <LocalMarketDataDrive>()
.Select(drive => drive.Path)
.Distinct())
{
foreach (var letterDir in InteropHelper.GetDirectories(dir))
{
if (_token.IsCancellationRequested)
{
break;
}
var name = Path.GetFileName(letterDir);
if (name == null || name.Length != 1)
{
continue;
}
securityPaths.AddRange(InteropHelper.GetDirectories(letterDir));
}
if (_token.IsCancellationRequested)
{
break;
}
}
if (_token.IsCancellationRequested)
{
return;
}
var iterCount =
securityPaths.Count + // кол-во проходов по директории для создания инструмента
DriveCache.Instance.AllDrives.Count() * (EntityRegistry.Securities.Count + securityPaths.Count); // кол-во сбросов кэша дат
this.GuiSync(() => Progress.Maximum = iterCount);
var logSource = ConfigManager.GetService <LogManager>().Application;
var securityIdGenerator = new SecurityIdGenerator();
var securities = EntityRegistry.Securities.ToDictionary(s => s.Id, s => new KeyValuePair <Security, bool>(s, true), StringComparer.InvariantCultureIgnoreCase);
foreach (var securityPath in securityPaths)
{
if (_token.IsCancellationRequested)
{
break;
}
var securityId = Path.GetFileName(securityPath).FolderNameToSecurityId();
var isNew = false;
var security = securities.TryGetValue(securityId).Key;
if (security == null)
{
var firstDataFile =
Directory.EnumerateDirectories(securityPath)
.SelectMany(d => Directory.EnumerateFiles(d, "*.bin")
.Concat(Directory.EnumerateFiles(d, "*.csv"))
.OrderBy(f => Path.GetExtension(f).CompareIgnoreCase(".bin") ? 0 : 1))
.FirstOrDefault();
if (firstDataFile != null)
{
var info = securityIdGenerator.Split(securityId);
decimal priceStep;
if (Path.GetExtension(firstDataFile).CompareIgnoreCase(".bin"))
{
try
{
priceStep = File.ReadAllBytes(firstDataFile).Range(6, 16).To <decimal>();
}
catch (Exception ex)
{
throw new InvalidOperationException(LocalizedStrings.Str2929Params.Put(firstDataFile), ex);
}
}
else
{
priceStep = 0.01m;
}
security = new Security
{
Id = securityId,
PriceStep = priceStep,
Name = info.Item1,
Code = info.Item1,
Board = ExchangeBoard.GetOrCreateBoard(info.Item2),
ExtensionInfo = new Dictionary <object, object>()
};
securities.Add(securityId, new KeyValuePair <Security, bool>(security, false));
isNew = true;
}
}
this.GuiSync(() =>
{
Progress.Value++;
if (isNew)
{
Logs.Messages.Add(new LogMessage(logSource, TimeHelper.Now, LogLevels.Info, LocalizedStrings.Str2930Params.Put(security)));
}
});
}
EntityRegistry.Securities.AddRange(securities.Values.Where(p => !p.Value).Select(p => p.Key));
if (_token.IsCancellationRequested)
{
return;
}
var dataTypes = new Dictionary <Type, object>
{
{ typeof(ExecutionMessage), ExecutionTypes.Tick },
{ typeof(ExecutionMessage), ExecutionTypes.OrderLog },
{ typeof(ExecutionMessage), ExecutionTypes.Order },
{ typeof(ExecutionMessage), ExecutionTypes.Trade },
{ typeof(QuoteChangeMessage), null },
{ typeof(Level1ChangeMessage), null },
{ typeof(NewsMessage), null }
};
var formats = Enumerator.GetValues <StorageFormats>();
foreach (var drive in DriveCache.Instance.AllDrives)
{
foreach (var security in EntityRegistry.Securities)
{
foreach (var dataType in dataTypes)
{
foreach (var format in formats)
{
if (_token.IsCancellationRequested)
{
break;
}
drive.GetStorageDrive(security.ToSecurityId(), dataType.Key, dataType.Value, format).ClearDatesCache();
}
}
if (_token.IsCancellationRequested)
{
break;
}
this.GuiSync(() =>
{
Progress.Value++;
Logs.Messages.Add(new LogMessage(logSource, TimeHelper.Now, LogLevels.Info,
LocalizedStrings.Str2931Params.Put(security, drive.Path)));
});
}
if (_token.IsCancellationRequested)
{
break;
}
}
}, _token.Token)
.ContinueWithExceptionHandling(this, res =>
{
Sync.Content = LocalizedStrings.Str2932;
Sync.IsEnabled = true;
Progress.Value = 0;
_token = null;
});
}
private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
throw new InvalidOperationException(LocalizedStrings.Str3015);
}
if (Strategy == null)
{
throw new InvalidOperationException("Strategy not selected.");
}
var strategy = Strategy;
if (strategy.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
{
throw new InvalidOperationException(LocalizedStrings.Str3014);
}
strategy.Reset();
OrderGrid.Orders.Clear();
MyTradeGrid.Trades.Clear();
_pnlCurve.Clear();
_unrealizedPnLCurve.Clear();
_commissionCurve.Clear();
_posItems.Clear();
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(strategy.SecurityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = strategy.CandlesTimeFrame;
var useCandles = strategy.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = strategy.SecurityId, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(strategy.DataPath)
};
var startTime = strategy.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = strategy.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "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
_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 = useCandles,
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;
ConfigManager.GetService <LogManager>().Sources.Add(_connector);
var candleManager = !useCandles
? new CandleManager(new TradeCandleBuilderSourceEx(_connector))
: new CandleManager(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.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
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>();
strategy.SetChart(_bufferedChart);
strategy.SetCandleManager(candleManager);
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
if (!useCandles)
{
_connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
}
});
break;
case EmulationStates.Started:
break;
}
};
TicksAndDepthsProgress.Value = 0;
// 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
}
});
}
