public override bool onStart(int ticks)
{
spreadAnalyzer = new SpreadAnalyzer(100);
strategyTime = new StrategyTime(param["ProhibitedStartHour"], param["ProhibitedStartMinute"], param["ProhibitedDuration"], (param.Keys.Contains("GMT") ? param["GMT"] : 0), 31);
return(true);
}
public override bool onStart(int ticks)
{
spreadAnalyzer = new SpreadAnalyzer(100);
int maxCountParam = 1000;
//history simulator initialize only first parameter.
if (this.TestingMode)
{
maxCountParam = 1;
}
for (int i = 1; i <= maxCountParam; i++)
{
string paramName = string.Format("P{0}String", i);
if (this.param.ContainsString(paramName))
{
BuyLimitAndWaitParam cparam = new BuyLimitAndWaitParam();
cparam.RawStrategyParam = this.param.GetStringParameter(paramName);
string[] paramStr = cparam.RawStrategyParam.Split(new char[] { ',' });
cparam.Symbol = paramStr[0];
cparam.TP = Int32.Parse(paramStr[1]);
cparam.OpenOrderShift = Int32.Parse(paramStr[2]);
cparam.BasicVolume = Int32.Parse(paramStr[3]);
cparam.OpenMode = (OpenMode)Int32.Parse(paramStr[4]);
cparam.StartDate = new DateTime(Int32.Parse(paramStr[5]), Int32.Parse(paramStr[6]), 1);
cparam.ID = i;
cparam.InitHistoryMinutes = this.TestingMode ? 0 : Int32.Parse(paramStr[7]);
cparam.ReadOnly = Int32.Parse(paramStr[8]);
cparam.MinTradeVolume = Int32.Parse(paramStr[9]);
customParams.Add(cparam);
}
}
if (this.customParams.Count == 0)
{
BuyLimitAndWaitParam cparam = new BuyLimitAndWaitParam();
cparam.Symbol = base.Symbol;
cparam.TP = param["TP"];
cparam.OpenOrderShift = param["OpenOrderShift"];
cparam.BasicVolume = param["BasicVolume"];
cparam.OpenMode = (OpenMode)this.param["OpenMode"];
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
cparam.StartDate = new DateTime(this.param["StartYear"], this.param["StartMonth"], 1);
cparam.MinTradeVolume = this.param["MinTradeVolume"];
cparam.ID = 0;
cparam.ReadOnly = this.param[ReadOnlyParamName];
customParams.Add(cparam);
}
foreach (BuyLimitAndWaitParam cparam in customParams)
{
cparam.TralTP = (cparam.TP + cparam.OpenOrderShift) * 5;
}
return(true);
}
public void AnalyzeTest()
{
var mConfigRepository = new Mock <IConfigStore>();
var mPositionService = new Mock <IPositionService>();
var config = new ConfigRoot {
MaxSize = 0.5m
};
mConfigRepository.Setup(x => x.Config).Returns(config);
mPositionService.Setup(x => x.PositionMap).Returns(new Dictionary <Broker, BrokerPosition>
{
{
Broker.Coincheck,
new BrokerPosition
{
AllowedLongSize = 10,
AllowedShortSize = 10,
LongAllowed = true,
ShortAllowed = true
}
},
{
Broker.Quoine,
new BrokerPosition
{
AllowedLongSize = 10,
AllowedShortSize = 10,
LongAllowed = true,
ShortAllowed = true
}
}
});
var configStore = mConfigRepository.Object;
var positionService = mPositionService.Object;
var quotes = new List <Quote>
{
new Quote(Broker.Coincheck, QuoteSide.Ask, 3, 1),
new Quote(Broker.Coincheck, QuoteSide.Bid, 2, 2),
new Quote(Broker.Quoine, QuoteSide.Ask, 3.5m, 3),
new Quote(Broker.Quoine, QuoteSide.Bid, 2.5m, 4)
};
var target = new SpreadAnalyzer(configStore, positionService);
var result = target.Analyze(quotes);
Assert.AreEqual(Broker.Coincheck, result.BestAsk.Broker);
Assert.AreEqual(3, result.BestAsk.Price);
Assert.AreEqual(1, result.BestAsk.Volume);
Assert.AreEqual(Broker.Quoine, result.BestBid.Broker);
Assert.AreEqual(2.5m, result.BestBid.Price);
Assert.AreEqual(4, result.BestBid.Volume);
Assert.AreEqual(-0.5m, result.InvertedSpread);
Assert.AreEqual(0.5m, result.TargetVolume);
}
public override bool onStart(int ticks)
{
ExtremumPoint = new ExtremumPointStrategy((param["TP"] * param["TPCoefExtremum"]) / 10);
ExtremumPoint2 = new ExtremumPointStrategy((param["TP"] * param["TPCoefExtremum2"]) / 10);
strategyTime = new StrategyTime(param["ProhibitedStartHour"], param["ProhibitedStartMinute"], param["ProhibitedDuration"], (param.Keys.Contains("GMT") ? param["GMT"] : 0), 31);
spreadAnalyzer = new SpreadAnalyzer(100);
InitExtremum(1000);
if (logger != null)
{
this.logger.AddMessage("Start strategy with parameter {0}", param.ToString());
}
return(true);
}
public override bool onStart(int ticks)
{
ExtremumPoint = new ExtremumPointStrategy(param["TP"]);
InitExtremum(param["NumberInitPeriods"]);
if (ExtremumPoint.Count <= param["NumberEndFluctuation"])
{
logger.AddMessage("onStart error. Number of extremums in history is too low = " + ExtremumPoint.Count.ToString());
return(false);
}
fluctuationList = new FluctuationCollection(param["NumberStartFluctuation"], param["NumberEndFluctuation"]);
for (int i = fluctuationList.StartIndex; i < fluctuationList.EndIndex; i++)
{
Meta.ObjectCreate(GetHLineName(i), MetaObjectType.OBJ_HLINE, 0, DateTime.Now, 148000, FxAdvisorCore.Convertor.startTime, 0, FxAdvisorCore.Convertor.startTime, 0).ToString();
Meta.ObjectSetText(GetHLineName(i), i.ToString(), 10, "", 0);
}
newsPeriod = new NewsPeriods(param.NewsFilePath, 300, 600, base.Symbol, base.TestingMode, (param.Keys.Contains("GMT") ? param["GMT"] : 0), this.logger);
spreadAnalyzer = new SpreadAnalyzer(100);
strategyTime = new StrategyTime(param["ProhibitedStartHour"], param["ProhibitedStartMinute"], param["ProhibitedDuration"], (param.Keys.Contains("GMT") ? param["GMT"] : 0), 31);
return(true);
}
public override bool onStart(int ticks)
{
spreadAnalyzer = new SpreadAnalyzer(100);
for (int i = 0; i < 1000; i++)
{
string paramName = string.Format("P{0}String", i);
if (this.param.ContainsString(paramName))
{
string[] paramStr = this.param.GetStringParameter(paramName).Split(new char[] { ',' });
BuyLimitAndWaitParam cparam = new BuyLimitAndWaitParam();
cparam.Symbol = paramStr[0];
cparam.TP = Int32.Parse(paramStr[1]);
cparam.OpenOrderShift = Int32.Parse(paramStr[2]);
cparam.BasicVolume = Int32.Parse(paramStr[3]);
cparam.ID = i;
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
customParams.Add(cparam);
}
}
if (this.customParams.Count == 0)
{
BuyLimitAndWaitParam cparam = new BuyLimitAndWaitParam();
cparam.ID = 0;
cparam.TP = param["TP"];
cparam.OpenOrderShift = param["OpenOrderShift"];
cparam.Symbol = base.Symbol;
cparam.BasicVolume = param["BasicVolume"];
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
customParams.Add(cparam);
}
foreach (BuyLimitAndWaitParam cparam in customParams)
{
TralTP = cparam.OpenOrderShift * cparam.TralTP;
}
return(true);
}
public override bool onStart(int ticks)
{
spreadAnalyzer = new SpreadAnalyzer(100);
return(true);
}
public override bool onStart(int ticks)
{
for (int i = 0; i < 1000; i++)
{
string paramName = string.Format("P{0}String", i);
if (this.param.ContainsString(paramName))
{
string[] paramStr = this.param.GetStringParameter(paramName).Split(new char[] { ',' });
MartinGaleParam cparam = new MartinGaleParam();
cparam.Symbol = paramStr[0];
cparam.TP = Int32.Parse(paramStr[1]);
cparam.MaxSteps = Int32.Parse(paramStr[2]);
cparam.StartShift = Int32.Parse(paramStr[3]) * cparam.TP / 10;
cparam.CoefVolume = Int32.Parse(paramStr[4]);
cparam.BasicVolume = Int32.Parse(paramStr[5]);
cparam.ID = i;
if (this.param.Contains("InitHistoryMinutes"))
{
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
}
else
{
cparam.InitHistoryMinutes = 0;
}
if (this.param.Contains(ReadOnlyParamName))
{
cparam.ReadOnly = this.param[ReadOnlyParamName];
}
else
{
cparam.ReadOnly = 0;
}
customParams.Add(cparam);
}
}
if (this.customParams.Count == 0)
{
MartinGaleParam cparam = new MartinGaleParam();
cparam.Symbol = base.Symbol;
cparam.TP = param["TP"];
cparam.MaxSteps = param["MaxSteps"];
cparam.StartShift = param["StartShift"] * cparam.TP / 10;
cparam.CoefVolume = param["CoefVolume"];
cparam.BasicVolume = param["BasicVolume"];
cparam.ID = 0;
if (this.param.Contains("InitHistoryMinutes"))
{
cparam.InitHistoryMinutes = this.param["InitHistoryMinutes"];
}
else
{
cparam.InitHistoryMinutes = 0;
}
if (this.param.Contains(ReadOnlyParamName))
{
cparam.ReadOnly = this.param[ReadOnlyParamName];
}
else
{
cparam.ReadOnly = 0;
}
customParams.Add(cparam);
}
this.logger.AddMessage("Start strategy with parameter {0}", param.ToString());
foreach (MartinGaleParam cParam in customParams)
{
ExtremumPoints.Add(new ExtremumPointStrategy(cParam.TP));
}
//this.logger.AddMessage("Init Extremums 1000");
//InitExtremum(1000);
spreadAnalyzer = new SpreadAnalyzer(100);
return(true);
}
