public BackgroundSignal(TickerType tickerType, BarItemType barType, object dataStreamSource)
{
this.dataStreamSource = dataStreamSource;
this.tickerType = tickerType;
this.barType = barType;
this.registeredAnalytics = new List <AnalyticsItem>();
}
public void Initialize(string identityCode, BarItemType barType, Guid cacheId, CacheTypeOption cacheType)
{
if (cacheMode == CacheModeOption.Read || cacheMode == CacheModeOption.ReadWrite)
{
cache = SharedCacheFactory.Instance.LoadTimeKeyedCache(identityCode, barType, cacheId, cacheType);
}
}
private void RaiseBarGapEvent(BarItemType barItemType, DateTime dateTime)
{
if (BarGap != null)
{
BarGap(barItemType, dateTime);
}
}
public BacktestSession CreateSession(Guid accountId, TickerType tickerType, BarItemType barType, string barDataFile, Guid cacheId)
{
if (backtestSessions == null)
{
backtestSessions = new Dictionary <Guid, BacktestSession>();
}
this.cacheId = cacheId;
//this line should raise an exception if file is invalid
BarItemFile.ValidateFile(barDataFile);
BacktestSession backtestSession = new BacktestSession(accountId, tickerType, barDataFile, cacheId);
//backtestSession.SignalClosePosition += OnSignalClosePosition;
//backtestSession.SignalOpenPosition += OnSignalOpenPosition;
backtestSession.StrategyClosePosition += OnStrategyClosePosition;
backtestSession.StrategyOpenPosition += OnStrategyOpenPosition;
backtestSessions.Add(backtestSession.SessionId, backtestSession);
brokerAccounts[accountId].Orders.Initialize(barType, backtestSession.SessionId);
return(backtestSession);
}
public void Initialize(int maxBars, int barsViewable, string cacheFolder, BarItemType barType, Guid cacheId, string strategyIdentityCode)
{
multiChart1.Initialize(maxBars, barsViewable);
this.SelectedTimeframe = barType;
pricebarCache = new PricebarCache(barType, cacheId, CacheModeOption.Read);
this.strategyDataFrame = new StrategyDataFrame(strategyIdentityCode, 300, pricebarCache);
timeNavigator1.Initialize(pricebarCache.StartBarDate, pricebarCache.EndBarDate);
strategyFrameReader = strategyDataFrame.GetFrameReader(pricebarCache.StartBarDate);
IPriceActionChart priceChart = this.PriceActionChart;
priceChart.Show();
priceChart.SetDataPoints(strategyFrameReader.PriceBars);
List <ChartSignalItem> signalItems = new List <ChartSignalItem>();
foreach (BarItem barItem in strategyFrameReader.PriceBars)
{
MarketOrderState marketOrderState = strategyFrameReader.Read(barItem.Time);
if (marketOrderState != MarketOrderState.NoOrder)
{
signalItems.Add(new ChartSignalItem(marketOrderState == MarketOrderState.Long ? SignalState.Long : marketOrderState == MarketOrderState.Short ? SignalState.Short : SignalState.NoSignal, barItem.Time));
}
}
priceChart.PlotSignal(signalItems.ToArray());
//foreach (IndicatorChartingInfo chartingInfo in strategyDataFrame.GetIndicatorChartingInfo())
//{
// ChartIndicatorItem[] chartIndicators = strategyDataFrame.GetIndicators(chartingInfo.IdentityCode, chartingInfo.SeriesLabel);
// if (chartingInfo.ChartRange == ChartRangeOption.PriceActionRange)
// {
// priceChart.PlotIndicator(GetSeriesLabel(chartingInfo), chartIndicators, chartingInfo.ChartType);
// }
// else if (chartingInfo.ChartRange == ChartRangeOption.PositiveHundredRange)
// {
// if (!PercentageChart.Visible)
// {
// PercentageChart.Show();
// }
// PercentageChart.PlotIndicator(GetSeriesLabel(chartingInfo), chartIndicators, chartingInfo.ChartType);
// }
// else if (chartingInfo.ChartRange == ChartRangeOption.PipRange)
// {
// if (!OscillatorChart.Visible)
// {
// OscillatorChart.Show();
// }
// OscillatorChart.PlotIndicator(GetSeriesLabel(chartingInfo), chartIndicators, chartingInfo.ChartType);
// }
//}
}
public SequenceKeyedCaching LoadSequenceKeyedCache(string identityCode, BarItemType barType, Guid cacheId, CacheTypeOption cacheType)
{
CacheHeaderInfo header = cacheReader.RequestHeader(identityCode, barType, cacheId, cacheType);
cacheReader.RegisterHeader(header);
return(new SequenceKeyedCaching(header, cacheWriter, cacheReader));
}
protected override void OutPosition(PriceBars priceBar, BarItemType barType)
{
if (bouncedOff)
{
if (lastPosition == PositionMode.Short)
{
Enter(PositionMode.Long);
}
else
{
Enter(PositionMode.Short);
}
}
else
{
if (IsLongSetup(priceBar))
{
Enter(PositionMode.Long);
}
else if (IsShortSetup(priceBar))
{
Enter(PositionMode.Short);
}
}
}
public MACD(BarItemType barType, int fastEMAPeriod, int slowEMAPeriod, int signalLinePeriod) : base(barType)
{
this.fastEMAPeriod = fastEMAPeriod;
this.slowEMAPeriod = slowEMAPeriod;
this.signalLinePeriod = signalLinePeriod;
this.barType = barType;
}
public SignalCharting(ISignalChart chartControl, TickerType tickerType, BarItemType barType, object dataStreamSource)
{
this.dataStreamSource = dataStreamSource;
this.tickerType = tickerType;
this.barType = barType;
this.chartControl = chartControl;
this.registeredAnalytics = new List <AnalyticsItem>();
SharedCacheFactory.Instance.CacheWriter = new FileCacheWriter("cache");
SharedCacheFactory.Instance.CacheReader = new FileCacheReader("cache");
if (dataStreamSource is string)
{
FileInfo file = new FileInfo(dataStreamSource.ToString());
long fileHash = file.Attributes.GetHashCode() ^ file.CreationTime.Ticks ^ file.LastWriteTime.Ticks ^ file.Length;
CacheConfig cacheConfig = new CacheConfig("cache");
cacheConfig.Initialize();
cacheConfig.Open(CachingModeOption.Reading);
CacheRow row = cacheConfig.Read(fileHash);
cacheConfig.Close();
if (row == null)
{
cacheConfig.Open(CachingModeOption.Writing);
cacheId = Guid.NewGuid();
cacheConfig.Append(fileHash, cacheId, SessionModeOption.Backtesting);
cacheConfig.Close();
}
else
{
cacheId = new Guid((byte[])row["SessionId"]);
}
}
}
public void ReceivePriceAction(BarItemType barType, PriceBars priceAction)
{
foreach (CoreIndicator indicator in indicators[barType.Code].CoreIndicators.Values)
{
RecurseCalculationDependencies(indicator, priceAction);
}
}
public StrategyDataFrame(string strategyIdentityCode, int frameSize, PricebarCache pricebarCache)
{
this.pricebarCache = pricebarCache;
this.frameSize = frameSize;
this.barType = pricebarCache.BarType;
this.cacheId = pricebarCache.CacheId;
this.strategyCache = new StrategyCache(strategyIdentityCode, this.barType, this.cacheId);
}
public MarketOrderCache(BarItemType barType, Guid sessionId, Guid cacheId)
: base(CacheModeOption.Write)
{
this.identityCode = sessionId.ToString();
this.barType = barType;
this.cacheId = cacheId;
this.cacheMode = CacheModeOption.Write;
}
private void OnNewBar(BarItemType barItemType, BarItem barItem)
{
barCount++;
if (barCount == barsPause)
{
backtestSession.Pause();
}
}
//Full stochastics
private StochasticsCore(BarItemType barItemType, int periods, int smoothedPercentKPeriods, int smoothedPercentDPeriods, PriceChangeCore priceChangeCore, HighsAndLowsCore highsAndLowsCore, IndicatorDelegates.CalculationCompletedHandler onCalculationCompleted = null)
: base(DISPLAY_NAME, SHORT_NAME, DESCRIPTION, barItemType)
{
this.smoothedPercentK = true;
this.smoothedPercentKPeriods = smoothedPercentKPeriods;
this.smoothedPercentDPeriods = smoothedPercentDPeriods;
Init(barItemType, periods, priceChangeCore, highsAndLowsCore, onCalculationCompleted);
}
public BarItems(BarItemType type, int quantity, string itemName, double price)
: base(itemName, price) // This is the overloaded constractor of the BarItems with the values below.
{
this.type = type;
this.ItemName = itemName;
this.Price = price;
this.quantity = quantity;
}
public Stochastics(BarItemType barType, int periods, bool smoothedPercentK = false)
: base(barType)
{
this.periods = periods;
this.barType = barType;
this.smoothedPercentK = smoothedPercentK;
this.smoothedPercentKPeriods = 3;
this.smoothedPercentDPeriods = 3;
}
public BarItemFile(string barItemFile, BarItemType timeFrame, TimeBarItemType bookmarkTimeFrame)
{
this.barItemFile = barItemFile;
this.bookmarkTimeFrame = bookmarkTimeFrame;
this.bookmarkFile = Path.Combine(Path.GetDirectoryName(barItemFile), Path.GetFileNameWithoutExtension(barItemFile) + ".bmk");
this.bookMark = new BookmarkFile(bookmarkFile, bookmarkTimeFrame);
Initialize();
}
public StrategyCache(object signalInstance, Guid cacheId)
: base(CacheModeOption.Write)
{
this.barType = ((IStrategy)signalInstance).BarType;
this.identityCode = ((IStrategy)signalInstance).IdentityCode;
this.cacheId = cacheId;
this.signalInstance = signalInstance;
this.cacheMode = CacheModeOption.Write;
}
public BollingerTopsAndBottoms(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public EMABreakthrough(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
ema = new EMA(barType, 50);
Register(ema);
}
public MultiIndicator(string displayName, string shortName, string description, BarItemType barItemType)
: base(new DateTimeKeyedMultiIndicator(), 300)
{
this.displayName = displayName;
this.shortName = shortName;
this.description = description;
this.barItemType = barItemType;
dependencies = new Dictionary <string, CalculationDependencyItem>();
}
public StochasticLinesCrossover(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
stoch = new Stochastics(barType, 14, 3, 3);
Register(stoch);
}
public WhiteSoldiersBlackCrows(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
bb = new BollingerBands(barType, 20);
Register(bb);
}
public StupidGuySystem(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
macd = new MACD(barType, 35, 45, 30);
Register(macd);
}
public NewYorkBreakout(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public RSIHighLow(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
rsi = new RSI(barType, 14);
Register(rsi);
}
public H4BollingerBandStrategy(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
bb = new BollingerBands(barType, 20);
Register(bb);
}
public SwingRSIandMACd(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public SimpleSteppingIntoPosition(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
public TradingOffDailyChart(BarItemType barType)
{
this.barType = barType;
this.identityCode = string.Format("{0}({1})", IDENTITY_CODE, barType.Code);
sma = new SMA(barType, 30);
Register(sma);
}
