public Context(CurrencyDataSource currencyDataSource, PredefinedDataContainer collectionDataContainer, ValuesTable valuesTable, DateTime startTime)
{
_predefinedDataContainer = collectionDataContainer;
_valuesTable = valuesTable;
_currentTime = startTime;
_currencyDataSource = currencyDataSource;
}
/// <summary>
/// The method for executing the trading strategy.
/// The result are the position records that located in the position sets
/// </summary>
/// <param name="tradingStrategy">the trading strategy</param>
/// <param name="startDate">start date of back-testing</param>
/// <param name="endDate">end date of back-testing</param>
public void Execute(TradingStrategy tradingStrategy, DateTime startDate, DateTime endDate)
{
Currency baseCurrency = _currencyTable[tradingStrategy.Portfolio.HomeCurrency];
// initialize evaluation context
var collectionDataContainer = new PredefinedDataContainer();
collectionDataContainer.Add(new Top3Currencies(_currencyDataSource, baseCurrency)); // predefined data set "Top3Currencies"
collectionDataContainer.Add(new Bottom3Currencies(_currencyDataSource, baseCurrency)); // predefine data set "Bottom3Currencies"
_evaluationContext = new Context(_currencyDataSource, collectionDataContainer, new ValuesTable(10), startDate);
// Add the current date of execution into values table
_evaluationContext.ValuesTable.Add(TODAY_STR, startDate);
// Add base currency as a variable
_evaluationContext.ValuesTable.Add(BASE_CURRENCY_STR, baseCurrency.Name);
// put all the paramter definitions into the table
foreach (var param in tradingStrategy.ConstantVariableDefinitions)
{
_evaluationContext.ValuesTable.Add(param.Variable.Name, param.Constant.Eval(_evaluationContext));
}
// initialize position set
foreach (var positionDef in tradingStrategy.Portfolio.PositionSets)
{
PositionType type = (positionDef.PositionType == FXStrategy.MetaModel.PositionType.Long)?PositionType.Long:PositionType.Short;
CreatePositionSet(positionDef.Name, baseCurrency, (int)positionDef.Number.Eval(_evaluationContext), type);
}
// initialize execute frequency
tradingStrategy.TradingRules.ForEach(t => t.ExecuteFrequency.Initialize(startDate, endDate,_evaluationContext));
// add predefined data set into collection data container
for(DateTime currentDate = startDate; currentDate <= endDate; currentDate = currentDate.AddDays(1))
{
// No activities on weekend
if (DateTimeHelper.IsWeekEnd(currentDate))
continue;
_evaluationContext.ValuesTable[TODAY_STR] = currentDate;
_evaluationContext.CurrentDate = currentDate;
foreach (TradingRule rule in tradingStrategy.TradingRules)
{
// evaluate the rule inner statement
// only if current date fit to its execution frequency
if (rule.ExecuteFrequency.CanExecute(currentDate))
EvaluateStatement(rule.InnerStatement);
}
}
}