static void Main(string[] args)
{
_candleManager = new CandleManager();
if (!GetSetings())
return;
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive)storageRegistry.DefaultDrive).Path = _historyPath;
var cbs = new TradeStorageCandleBuilderSource { StorageRegistry = storageRegistry };
_candleManager.Sources.OfType<TimeFrameCandleBuilder>().Single().Sources.Add(cbs);
_candleManager.Processing += GetCandles;
foreach (var Sec in listOfName)
{
foreach (var timeFrame in listOfTimeFrame)
{
_series = new CandleSeries(typeof(TimeFrameCandle), Sec, timeFrame);
LisfStreamWriters.Add(_series.ToString(), new StreamWriter(GetFileName(_series), false));
_candleManager.Start(_series, _startTime, _endTime);
}
}
Console.ReadKey();
// Закроем все потоки которые мы записывали
foreach (var strim in LisfStreamWriters)
{
strim.Value.Close();
}
}
public EMAStrategyOptimizer(Security security, StorageRegistry storage, Portfolio portfolio, DateTime startTime, DateTime stopTime)
{
_startTime = startTime;
_stopTime = stopTime;
_security = security;
_portfolio = portfolio;
_storage = storage;
this.Volume = 1;
this.UseQuoting = true;
}
static void Main()
{
// создаем тестовый инструмент
var security = new Security
{
Id = "TestId",
PriceStep = 0.1m,
Decimals = 1,
};
var trades = new List<Trade>();
// генерируем 1000 произвольных сделок
//
for (var i = 0; i < 1000; i++)
{
var t = new Trade
{
Time = DateTime.Today + TimeSpan.FromMinutes(i),
Id = i + 1,
Security = security,
Volume = RandomGen.GetInt(1, 10),
Price = RandomGen.GetInt(1, 100) * security.PriceStep ?? 1m + 99
};
trades.Add(t);
}
var storage = new StorageRegistry();
// получаем хранилище для тиковых сделок
var tradeStorage = storage.GetTradeStorage(security);
// сохраняем сделки
tradeStorage.Save(trades);
// загружаем сделки
var loadedTrades = tradeStorage.Load(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
foreach (var trade in loadedTrades)
{
Console.WriteLine(LocalizedStrings.Str2968Params, trade.Id, trade);
}
Console.ReadLine();
// удаляем сделки (очищаем файл)
tradeStorage.Delete(DateTime.Today, DateTime.Today + TimeSpan.FromMinutes(1000));
}
public MainWindow()
{
InitializeComponent();
this.LayoutManager = new LayoutManager(this, ProgrammaticDockSite);
LayoutManager._layoutFile = Path.Combine(_settingsFolder, "layout.xml");
ConnectCommand = new DelegateCommand(Connect, CanConnect);
SettingsCommand = new DelegateCommand(Settings, CanSettings);
Directory.CreateDirectory(_settingsFolder);
var storageRegistry = new StorageRegistry {DefaultDrive = new LocalMarketDataDrive(_settingsFolder)};
var securityStorage = storageRegistry.GetSecurityStorage();
Connector = new Connector {EntityFactory = new StorageEntityFactory(securityStorage)};
ConfigManager.RegisterService(new FilterableSecurityProvider(securityStorage));
ConfigManager.RegisterService<IConnector>(Connector);
ConfigManager.RegisterService<IMarketDataProvider>(Connector);
_connectionFile = Path.Combine(_settingsFolder, "connection.xml");
if (File.Exists(_connectionFile))
Connector.Adapter.Load(new XmlSerializer<SettingsStorage>().Deserialize(_connectionFile));
_secView = new SecuritiesView(this) {SecurityGrid = {MarketDataProvider = Connector}};
Connector.NewSecurities += _secView.SecurityGrid.Securities.AddRange;
Connector.MarketDepthsChanged += depths =>
{
foreach (var depth in depths)
{
var ctrl = _depths.TryGetValue(depth.Security);
if (ctrl != null)
ctrl.UpdateDepth(depth);
}
};
}
public KeyValuePair<OptVarItem, EMAEventModelStrategy> GetOptContext(OptVarItem optVarItem)
{
// clone doesn't work for some reason
var security = new Security
{
Id = _security.Id,
Code = _security.Code,
Name = _security.Name,
MinStepSize = _security.MinStepSize,
MinStepPrice = _security.MinStepPrice,
ExchangeBoard = _security.ExchangeBoard,
MaxPrice = 99999,
MinPrice = 1
};
// Create local Storage to make it disposable after optimization
var storage = new StorageRegistry();
((LocalMarketDataDrive) storage.DefaultDrive).Path = ((LocalMarketDataDrive) _storage.DefaultDrive).Path;
((LocalMarketDataDrive) storage.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { BeginValue = _portfolio.BeginValue };
EmulationTrader trader = new EmulationTrader(
new[] { security },
new[] { portfolio })
{
MarketTimeChangedInterval = optVarItem.TimeFrame,
StorageRegistry = storage,
UseMarketDepth = true,
//UseCandlesTimeFrame = optVarItem.TimeFrame
};
if (trader.UseMarketDepth)
{
trader.MarketEmulator.Settings.DepthExpirationTime = TimeSpan.FromMinutes(5); // Default: TimeSpan.FromDays(1);
var marketDepthGenerator = new TrendMarketDepthGenerator(security)
{
// стакан для инструмента в истории обновляется раз в 10 секунд
Interval = TimeSpan.FromSeconds(10),
//MaxAsksDepth = 5,
//MaxBidsDepth = 5
};
trader.RegisterMarketDepth(marketDepthGenerator);
trader.StateChanged += (oldState, newState) =>
{
if (trader.State == EmulationStates.Stopped)
{
trader.UnRegisterMarketDepth(marketDepthGenerator);
marketDepthGenerator = null;
}
};
}
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
trader.Connect();
trader.StartExport();
var series = new CandleSeries(typeof(TimeFrameCandle), trader.Securities.First(), optVarItem.TimeFrame);
var candleManager = new CandleManager(trader);
candleManager.Start(series);
var strategy = new EMAEventModelStrategy(series,
new ExponentialMovingAverage { Length = optVarItem.FilterOptPeriod },
new ExponentialMovingAverage { Length = optVarItem.LongOptPeriods },
new ExponentialMovingAverage { Length = optVarItem.ShortOptPeriods },
optVarItem.TakeProfitUnit, optVarItem.StopLossUnit)
{
Volume = this.Volume,
Portfolio = portfolio,
Security = security,
Trader = trader,
UseQuoting = this.UseQuoting
};
trader.StateChanged += (oldState, newState) =>
{
if (trader.State == EmulationStates.Started)
{
strategy.Start();
}
else if (trader.State == EmulationStates.Stopped)
{
strategy.Stop();
candleManager = null;
storage = null;
}
};
var result = new KeyValuePair<OptVarItem, EMAEventModelStrategy>(optVarItem, strategy);
return result;
}
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);
// создаем настройки для тестирования
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// тест только на тиках
new EmulationInfo {
CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// тест на тиках + стаканы
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// тест на свечах
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// тест на свечах + стаканы
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// тест на логе заявок
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// 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);
}
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// в реальности период может быть другим, и это зависит от объема данных,
// хранящихся по пути HistoryPath,
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно.
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;
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
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);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// использовать свечи
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки.
// Если выключено - требуется "прохождение цены сквозь уровень"
// (более "суровый" режим тестирования.)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
//подписываемся на получение данных после получения инструмента
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
// тест подразумевает наличие стаканов
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// если выбрана генерация стаканов вместо реальных стаканов
generateDepths ||
// для свечей генерируем стаканы всегда
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// если история по стаканам отсутствует, но стаканы необходимы для стратегии,
// то их можно сгенерировать на основании цен последних сделок или свечек.
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены
MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда.
MaxPriceStepCount = 3 // максимальное количество шагов между ценами,
});
}
}
else if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
connector.Connect();
connector.StartExport();
var candleManager = 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);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
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,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
// комиссия в 1 копейку за сделку
connector.MarketEmulator.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
logManager.Sources.Add(strategy);
// копируем параметры на визуальную панель
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;
// и подписываемся на событие изменения времени, чтобы обновить 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(LocalizedStrings.Str3024 + (DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// запускаем стратегию когда эмулятор запустился
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
foreach (var connector in _connectors)
{
// указываем даты начала и конца тестирования
connector.Start(startTime, stopTime);
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
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.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
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 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;
// 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 = 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 = 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.SetCandleManager(candleManager);
_connector.NewSecurity += s =>
{
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);
//_connector.RegisterMarketDepth(security);
//if (!useCandles)
// _connector.RegisterTrades(s);
};
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 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 OnHistoryStartClick(object sender, RoutedEventArgs e)
{
btnHistoryStart.IsEnabled = false;
this.InitGrids();
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = this.txtSecurityId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = this.txtSecurityCode.Text,
Name = this.txtSecurityCode.Text,
MinPrice = 1,
MaxPrice = 99999,
MinStepSize = 1,
MinStepPrice = 1,
ExchangeBoard = ExchangeBoard.Forts,
};
security.ExchangeBoard.IsSupportAtomicReRegister = false; // fixed quoting reregister error
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { Name = "test account", BeginValue = 30000m };
DateTime startTime;
DateTime stopTime;
if (!DateTime.TryParse(txtHistoryRangeEnd.Text, out stopTime))
{
stopTime = DateTime.Now;
txtHistoryRangeEnd.Text = stopTime.ToString();
}
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = stopTime.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
EMAStrategyOptimizer optimizer = new EMAStrategyOptimizer(security, storageRegistry, portfolio, startTime, stopTime)
{
Volume = this.Volume,
Log = _log
};
var context = optimizer.GetOptContext(this.MainOptVarItem);
_trader = context.Value.Trader;
_strategy = context.Value;
this.InitChart(_strategy);
_strategy.Trader.NewOrders += orders => orders.ForEach(OnOrderRegistered);
_strategy.Trader.NewMyTrades += OnNewTrades;
_logManager.Sources.Add(_strategy);
// устанавливаем в визуальный элемент ProgressBar максимальное количество итераций)
this.pbHistoryTestProgress.Maximum = 10;
this.pbHistoryTestProgress.Value = 0;
var totalMinutes = (stopTime - startTime).TotalMinutes;
var segment = Math.Floor(totalMinutes / 10);
var nSegment = 1;
var sSegment = segment;
_trader.MarketTimeChanged += span =>
{
var currentMinute = (_trader.CurrentTime - startTime).TotalMinutes;
if (currentMinute >= sSegment || _trader.CurrentTime >= stopTime)
{
nSegment += 1;
sSegment = segment * nSegment;
this.GuiAsync(() =>
{
this.pbHistoryTestProgress.Value = nSegment;
this.UpdateStrategyStat(_strategy);
});
}
};
Stopwatch sw = new Stopwatch();
((EmulationTrader)_trader).StateChanged += (states, emulationStates) =>
{
if (((EmulationTrader)_trader).State == EmulationStates.Stopped)
{
sw.Stop();
this.GuiAsync(() =>
{
this.UpdateStrategyStat(_strategy);
_strategy.CandleSeries.GetCandles<TimeFrameCandle>().ForEach(DrawCandleAndEma);
_strategy.Trader.MyTrades.ForEach(DrawTrade);
this.pbHistoryTestProgress.Value = 0;
btnHistoryStart.IsEnabled = true;
});
// clean stupid dictionary
//var value = _trader.GetType().GetField("#=qUTBJ0c9uFmGWYx4a3_oZjOoV9pJDtArCh9oL5k$U8DQ=", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(_trader);
//value.GetType().GetMethod("Clear").Invoke(value, null);
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info,
String.Format("History testing done ({0}). Result: PnL: {1}, {2}",
sw.Elapsed,
_strategy.PnLManager.PnL,
this.MainOptVarItem
)));
}
else if (((EmulationTrader)_trader).State == EmulationStates.Started)
{
sw.Start();
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
_trader.Connect();
_trader.StartExport();
// запускаем эмуляцию, задавая период тестирования (startTime, stopTime).
((EmulationTrader)_trader).Start(startTime, stopTime);
}
protected override TimeSpan OnProcess()
{
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
if (this.GetAllSecurity() != null)
{
//throw new InvalidOperationException("Источник не поддерживает закачку данных по всем инструментам.");
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var source = new AlorHistorySource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.Offset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in GetWorkingSecurities())
{
if (!CanProcess())
{
break;
}
#region LoadCandles
if (security.CandleSeries.Any())
{
foreach (var series in security.CandleSeries)
{
if (!CanProcess())
{
break;
}
if (series.CandleType != typeof(TimeFrameCandle))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, series);
continue;
}
var storage = StorageRegistry.GetCandleStorage(series.CandleType, security.Security, series.Arg, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, series.Arg, security.Security.Id);
continue;
}
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(emptyDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, emptyDate);
continue;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2298Params, series.Arg, emptyDate, security.Security.Id);
var candles = source.GetCandles(security.Security, (TimeSpan)series.Arg, emptyDate, emptyDate);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(TimeFrameCandle), series.Arg));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(series.Arg, emptyDate, security.Security.Id), ex));
}
}
}
}
#endregion
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors.Cache)
{
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,
};
// 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,
CustomHistoryAdapter = g => new FinamMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new YahooMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
Tuple.Create(
RandomCheckBox,
RandomProgress,
RandomParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new OwnMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.Custom
},
RandomChart,
RandomEquity,
RandomPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.EditValue).UtcKind();
var stopTime = ((DateTime)To.EditValue).UtcKind();
// (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).ApplyMoscow().UtcDateTime;
}
// 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 : 0.05m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
var secProvider = (ISecurityProvider) new CollectionSecurityProvider(new[] { security });
// create backtesting connector
var connector = new HistoryEmulationConnector(
secProvider, new[] { portfolio })
{
EmulationAdapter =
{
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,
OrderLogMarketDepthBuilders =
{
{
secId,
new OrderLogMarketDepthBuilder(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 series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? MarketDataBuildModes.Build : MarketDataBuildModes.Load,
BuildCandlesFrom2 = emulationInfo.UseOrderLog ? DataType.OrderLog : null,
};
_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(series, _longMa, _shortMa, chart, _candlesElem, _tradesElem, _longElem, _shortElem)
{
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);
if (emulationInfo.CustomHistoryAdapter != null)
{
connector.Adapter.InnerAdapters.Remove(connector.MarketDataAdapter);
connector.Adapter.InnerAdapters.Add(new EmulationMessageAdapter(emulationInfo.CustomHistoryAdapter(connector.TransactionIdGenerator), new InMemoryMessageChannel(new MessageByLocalTimeQueue(), "History out", err => err.LogError()), true, connector.EmulationAdapter.Emulator.SecurityProvider, connector.EmulationAdapter.Emulator.PortfolioProvider));
}
// set history range
connector.HistoryMessageAdapter.StartDate = startTime;
connector.HistoryMessageAdapter.StopDate = stopTime;
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.EmulationAdapter.SendInMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.SubscribeMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// or 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.SubscribeOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.SubscribeTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.SubscribeLevel1(security);
}
// start strategy before emulation started
strategy.Start();
// 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, Colors.Green, Colors.Red, ChartIndicatorDrawStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black, ChartIndicatorDrawStyles.Line);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, ChartIndicatorDrawStyles.DashedLine);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(pnlCurve, strategy.PnL - strategy.Commission ?? 0)
.Add(unrealizedPnLCurve, strategy.PnLManager.UnrealizedPnL ?? 0)
.Add(commissionCurve, strategy.Commission ?? 0);
equity.Draw(data);
};
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor, ChartIndicatorDrawStyles.Line);
strategy.PositionChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(posItems, strategy.Position);
set.Item7.Draw(data);
};
connector.ProgressChanged += steps => this.GuiAsync(() => progressBar.Value = steps);
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
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 =>
{
if (message is QuoteChangeMessage quoteMsg)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors.Cache)
{
// 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)
{
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
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 batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
};
// get emulation connector
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(candleManager);
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
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.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
{
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 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;
// 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,
// 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
}
});
}
protected override TimeSpan OnProcess()
{
var allSecurity = this.GetAllSecurity();
var source = new GoogleHistorySource();
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
var hasSecurities = false;
foreach (var security in GetWorkingSecurities())
{
hasSecurities = true;
if (!CanProcess())
{
break;
}
foreach (var pair in (allSecurity ?? security).GetCandleSeries())
{
if (!CanProcess())
{
break;
}
if (pair.MessageType != typeof(TimeFrameCandleMessage))
{
this.AddWarningLog(LocalizedStrings.Str2296Params, pair);
continue;
}
var tf = (TimeSpan)pair.Arg;
var storage = StorageRegistry.GetCandleMessageStorage(pair.MessageType, security.Security, tf, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2297Params, tf, security.Security.Id);
continue;
}
var currDate = emptyDates.First();
var lastDate = emptyDates.Last();
while (currDate <= lastDate)
{
if (!CanProcess())
{
break;
}
if (_settings.IgnoreWeekends && !security.IsTradeDate(currDate))
{
this.AddDebugLog(LocalizedStrings.WeekEndDate, currDate);
currDate = currDate.AddDays(1);
continue;
}
try
{
var till = currDate + TimeSpan.FromDays(_settings.CandleDayStep).Max(tf);
this.AddInfoLog(LocalizedStrings.Str2298Params, tf, currDate, till, security.Security.Id);
var candles = source.GetCandles(security.Security, tf, currDate, till);
if (candles.Any())
{
SaveCandles(security, candles);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2299Params
.Put(tf, currDate, security.Security.Id), ex));
}
currDate = currDate.AddDays(_settings.CandleDayStep);
}
}
}
if (!hasSecurities)
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
private void LoadData(CandleSeries series)
{
var msgType = series.CandleType.ToCandleMessageType();
_transactionId = _transactionIdGenerator.GetNextId();
_holder.Clear();
_holder.CreateCandleSeries(_transactionId, series);
_candleTransform.Process(new ResetMessage());
_candleBuilder = _builderProvider.Get(msgType);
var storage = new StorageRegistry();
//BusyIndicator.IsBusy = true;
var path = HistoryPath.Folder;
var isBuild = BuildFromTicks.IsChecked == true;
var format = Format.SelectedFormat;
var maxDays = (isBuild || series.CandleType != typeof(TimeFrameCandle))
? 2
: 30 * (int)((TimeSpan)series.Arg).TotalMinutes;
_mdMsg = series.ToMarketDataMessage(true);
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
if (isBuild)
{
foreach (var tick in storage.GetTickMessageStorage(series.Security.ToSecurityId(), new LocalMarketDataDrive(path), format).Load())
{
_tradeGenerator.Process(tick);
if (_candleTransform.Process(tick))
{
var candles = _candleBuilder.Process(_mdMsg, _currCandle, _candleTransform);
foreach (var candle in candles)
{
_currCandle = candle;
_updatedCandles.Add((CandleMessage)candle.Clone());
}
}
_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;
}
}
}
}
else
{
foreach (var candleMsg in storage.GetCandleMessageStorage(msgType, series.Security.ToSecurityId(), series.Arg, new LocalMarketDataDrive(path), format).Load())
{
if (candleMsg.State != CandleStates.Finished)
{
candleMsg.State = CandleStates.Finished;
}
_currCandle = candleMsg;
_updatedCandles.Add(candleMsg);
_lastTime = candleMsg.OpenTime;
if (candleMsg is TimeFrameCandleMessage)
{
_lastTime += (TimeSpan)series.Arg;
}
_tradeGenerator.Process(new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = series.Security.ToSecurityId(),
ServerTime = _lastTime,
TradePrice = candleMsg.ClosePrice,
});
if (date != candleMsg.OpenTime.Date)
{
date = candleMsg.OpenTime.Date;
//var str = date.To<string>();
//this.GuiAsync(() => BusyIndicator.BusyContent = str);
maxDays--;
if (maxDays == 0)
{
break;
}
}
}
}
_historyLoaded = true;
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
//BusyIndicator.IsBusy = false;
Chart.IsAutoRange = false;
ModifyAnnotationBtn.IsEnabled = true;
NewAnnotationBtn.IsEnabled = true;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple<int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple<int, int, Color>(70, 8, Colors.Red),
new Tuple<int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
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 batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
return;
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
};
// получаем подключение для эмуляции
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = period.Item1 }, new SimpleMovingAverage { Length = period.Item2 })
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
};
strategy.SetCandleManager(new CandleManager(connector));
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return strategy;
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
private void OnOptimizeClick(object sender, RoutedEventArgs e)
{
btnOptimize.IsEnabled = false;
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info, "Optimization is beginning.."));
this.InitGrids();
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = this.txtSecurityId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = this.txtSecurityCode.Text,
Name = this.txtSecurityCode.Text,
MinStepSize = 1,
MinStepPrice = 1,
ExchangeBoard = ExchangeBoard.Forts,
};
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { Name = "test account", BeginValue = 30000m };
DateTime startTime;
DateTime stopTime;
if (!DateTime.TryParse(txtHistoryRangeEnd.Text, out stopTime))
{
stopTime = DateTime.Now;
txtHistoryRangeEnd.Text = stopTime.ToString();
}
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = stopTime.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
Stopwatch sw = new Stopwatch();
EMAStrategyOptimizer optimizer = new EMAStrategyOptimizer(security, storageRegistry, portfolio, startTime, stopTime)
{
Volume = this.Volume,
Log = _log
};
optimizer.StateChanged += () =>
{
if (optimizer.State == OptimizationState.Finished)
{
sw.Stop();
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info,
String.Format("Opt done ({0}). The best startegy: PnL: {1}, {2}",
sw.Elapsed,
optimizer.BestResult.Value.PnLManager.PnL,
optimizer.BestResult.Key
)));
optimizer.BestResult.Value.Trader.Orders.ForEach(OnOrderRegistered);
OnNewTrades(optimizer.BestResult.Value.Trader.MyTrades);
this.GuiAsync(() =>
{
this.UpdateStrategyStat(optimizer.BestResult.Value);
this.InitChart(optimizer.BestResult.Value);
optimizer.BestResult.Value.CandleSeries.GetCandles<TimeFrameCandle>().ForEach(DrawCandleAndEma);
optimizer.BestResult.Value.Trader.MyTrades.ForEach(DrawTrade);
// Replace MainOptVarItem with optimized one
this.MainOptVarItem = optimizer.BestResult.Key;
btnOptimize.IsEnabled = true;
});
}
};
sw.Start();
optimizer.Optimize();
}
private void OnStartClick(object sender, RoutedEventArgs e)
{
if (_strategy != null && _strategy.ProcessState != ProcessStates.Stopped)
{
_strategy.Stop();
return;
}
if (this.Portfolios.SelectedPortfolio == null)
{
this.Portfolios.SelectedIndex = this.Portfolios.Items.Count - 1;
}
this.InitGrids();
_candleManager = new CandleManager(_trader);
// Добавление в источник свечек TimeFrameCandleBuilder источник данных в виде файлов гидры
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var cbs = new TradeStorageCandleBuilderSource { StorageRegistry = storageRegistry };
_candleManager.Sources.OfType<TimeFrameCandleBuilder>().Single().Sources.Add(cbs);
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _security, this.MainOptVarItem.TimeFrame);
_strategy = new EMAEventModelStrategy(series,
new ExponentialMovingAverage { Length = this.MainOptVarItem.FilterOptPeriod},
new ExponentialMovingAverage { Length = this.MainOptVarItem.LongOptPeriods },
new ExponentialMovingAverage { Length = this.MainOptVarItem.ShortOptPeriods },
this.MainOptVarItem.TakeProfitUnit, this.MainOptVarItem.StopLossUnit)
{
Volume = this.Volume,
Security = _security,
Portfolio = this.Portfolios.SelectedPortfolio,
Trader = _trader,
UseQuoting = true //_trader is QuikTrader // hack to turn quoting off for RealTimeEmulationTrader
};
DateTime startTime;
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = DateTime.Now.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
this.InitChart(_strategy);
_candleManager.Processing += (candleSeries, candle) =>
{
if (candle.State == CandleStates.Finished)
{
this.GuiAsync(() => DrawCandleAndEma(candle));
}
};
_candleManager.Start(series, startTime, DateTime.MaxValue);
// Subscribe UI to all strategy actions
_strategy.Trader.NewOrders += orders => orders.ForEach(OnOrderRegistered);
_strategy.Trader.NewMyTrades += OnNewTrades;
_strategy.Trader.NewMyTrades += trades => this.GuiAsync(() => trades.ForEach(DrawTrade));
_strategy.PropertyChanged += (o, args) => this.GuiAsync(() => OnStrategyPropertyChanged(o, args));
_strategy.ProcessStateChanged += strategy =>
{
if (strategy.ProcessState == ProcessStates.Started)
{
this.Start.Content = "Stop";
}
else if (strategy.ProcessState == ProcessStates.Stopped)
{
this.Start.Content = "Start";
}
};
_logManager.Sources.Add(_strategy);
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_strategy.Start();
this.Start.Content = "Stop";
}
private void LoadData(string path)
{
var storage = new StorageRegistry();
var maxDays = 2;
BusyIndicator.IsBusy = true;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
AppendTick(tick.ServerTime, tick.TradePrice.Value, tick.Volume.Value);
_lastTime = tick.ServerTime;
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
break;
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
Error(t.Exception.Message);
BusyIndicator.IsBusy = 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 Convert_OnClick(object sender, RoutedEventArgs e)
{
Convert.IsEnabled = false;
if (_isStarted)
{
_logManager.Application.AddInfoLog("Остановка конвертации.");
_isStarted = false;
return;
}
QshFolder.IsEnabled = StockSharpFolder.IsEnabled = Format.IsEnabled = false;
_logManager.Application.AddInfoLog("Запуск конвертации.");
_isStarted = true;
var settings = new Settings
{
QshFolder = QshFolder.Folder,
StockSharpFolder = StockSharpFolder.Folder,
Format = Format.GetSelectedValue<StorageFormats>() ?? StorageFormats.Binary
};
try
{
new XmlSerializer<Settings>().Serialize(settings, _settingsFile);
}
catch (Exception ex)
{
ex.LogError();
}
Task.Factory.StartNew(() =>
{
var registry = new StorageRegistry();
((LocalMarketDataDrive)registry.DefaultDrive).Path = settings.StockSharpFolder;
this.GuiAsync(() =>
{
Convert.Content = "Остановить";
Convert.IsEnabled = true;
});
ConvertDirectory(settings.QshFolder, registry, settings.Format, ExchangeBoard.Forts /* TODO надо сделать выбор в GUI */);
})
.ContinueWith(t =>
{
Convert.Content = "Запустить";
Convert.IsEnabled = true;
QshFolder.IsEnabled = StockSharpFolder.IsEnabled = Format.IsEnabled = true;
if (t.IsFaulted)
{
t.Exception.LogError();
new MessageBoxBuilder()
.Text("В процессе конвертации произошла ошибка. Ошибка записана в лог.")
.Error()
.Owner(this)
.Show();
return;
}
new MessageBoxBuilder()
.Text("Конвертация {0}.".Put(_isStarted ? "выполнена" : "остановлена"))
.Owner(this)
.Show();
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void LoadData()
{
_candle = null;
_lastPrice = 0m;
_allCandles.Clear();
var id = new SecurityIdGenerator().Split(SecurityId.Text);
_security = new Security
{
Id = SecurityId.Text,
PriceStep = 5,
Board = ExchangeBoard.GetBoard(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;
this.GuiAsync(() =>
{
BusyIndicator.BusyContent = date.ToString();
});
maxDays--;
if (maxDays == 0)
break;
}
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
Error(t.Exception.Message);
BusyIndicator.IsBusy = false;
}, TaskScheduler.FromCurrentSynchronizationContext());
}
/// <summary>
/// The method is called when the <see cref="Strategy.Start"/> method has been called and the <see cref="Strategy.ProcessState"/> state has been taken the <see cref="ProcessStates.Started"/> value.
/// </summary>
protected override void OnStarted()
{
var storateRegistry = new StorageRegistry();
var drive = Environment.GetValue<IMarketDataDrive>("Drive");
if (drive != null)
storateRegistry.DefaultDrive = drive;
StorateRegistry = storateRegistry;
ThreadingHelper
.Thread(() =>
{
try
{
OnAnalyze();
}
catch (Exception ex)
{
this.AddErrorLog(ex);
ex.LogError();
}
})
.Name("{0} analyze thread.".Put(Name))
.Culture(CultureInfo.InvariantCulture)
.Launch();
}
protected override TimeSpan OnProcess()
{
var source = new TrueFXSource();
if (_settings.UseTemporaryFiles != TempFiles.NotUse)
{
source.DumpFolder = GetTempPath();
}
var allSecurity = this.GetAllSecurity();
// если фильтр по инструментам выключен (выбран инструмент все инструменты)
IEnumerable <HydraTaskSecurity> selectedSecurities = (allSecurity != null
? this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.TrueFX))
: Settings.Securities
).ToArray();
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2289);
source.Refresh(EntityRegistry.Securities, new Security(), SaveSecurity, () => !CanProcess(false));
selectedSecurities = this.ToHydraSecurities(EntityRegistry.Securities.Filter(ExchangeBoard.TrueFX));
}
if (selectedSecurities.IsEmpty())
{
this.AddWarningLog(LocalizedStrings.Str2292);
return(TimeSpan.MaxValue);
}
var startDate = _settings.StartFrom;
var endDate = DateTime.Today - TimeSpan.FromDays(_settings.DayOffset);
var allDates = startDate.Range(endDate, TimeSpan.FromDays(1)).ToArray();
foreach (var security in selectedSecurities)
{
if (!CanProcess())
{
break;
}
if ((allSecurity ?? security).IsLevel1Enabled())
{
var storage = StorageRegistry.GetLevel1MessageStorage(security.Security, _settings.Drive, _settings.StorageFormat);
var emptyDates = allDates.Except(storage.Dates).ToArray();
if (emptyDates.IsEmpty())
{
this.AddInfoLog(LocalizedStrings.Str2293Params, security.Security.Id);
}
else
{
var secId = security.Security.ToSecurityId();
foreach (var emptyDate in emptyDates)
{
if (!CanProcess())
{
break;
}
try
{
this.AddInfoLog(LocalizedStrings.Str2294Params, emptyDate, security.Security.Id);
var ticks = source.LoadTickMessages(secId, emptyDate);
if (ticks.Any())
{
SaveLevel1Changes(security, ticks);
}
else
{
this.AddDebugLog(LocalizedStrings.NoData);
}
if (_settings.UseTemporaryFiles == TempFiles.UseAndDelete)
{
File.Delete(source.GetDumpFile(security.Security, emptyDate, emptyDate, typeof(Level1ChangeMessage), null));
}
}
catch (Exception ex)
{
HandleError(new InvalidOperationException(LocalizedStrings.Str2295Params
.Put(emptyDate, security.Security.Id), ex));
}
}
}
}
else
{
this.AddDebugLog(LocalizedStrings.MarketDataNotEnabled, security.Security.Id, typeof(Level1ChangeMessage).Name);
}
if (!CanProcess())
{
break;
}
}
if (CanProcess())
{
this.AddInfoLog(LocalizedStrings.Str2300);
}
return(base.OnProcess());
}
