public EmulationService(StrategyContainer strategy)
{
if (strategy == null)
{
throw new ArgumentNullException(nameof(strategy));
}
Strategy = strategy;
Strategies = new[] { strategy }.ToEx(1);
var storageRegistry = new StudioStorageRegistry {
MarketDataSettings = Strategy.MarketDataSettings
};
_basketEmulation = new BatchEmulation(new StudioSecurityProvider(), new Portfolio[0], storageRegistry);
_basketEmulation.StateChanged += BasketEmulationOnStateChanged;
_basketEmulation.ProgressChanged += (curr, total) =>
{
Progress = total;
_basketEmulation
.BatchStrategies
.OfType <StrategyContainer>()
.ForEach(s => ProgressChanged.SafeInvoke((StrategyContainer)s.Strategy, curr));
};
ConfigManager.GetService <LogManager>().Sources.Add(EmulationConnector);
EmulationConnector.HistoryMessageAdapter.StorageRegistry = storageRegistry;
CanStart = true;
}
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);
}
});
};
// 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 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 StartBtnClick(object sender, RoutedEventArgs e)
{
if (_batchEmulation != null)
{
_batchEmulation.Resume();
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
TestingProcess.Value = 0;
Curve.Clear();
Stat.Clear();
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new List <(int longMa, int shortMa, Color color)>();
for (var l = 100; l >= 50; l -= 10)
{
for (var s = 10; s >= 5; s -= 1)
{
periods.Add((l, s, Color.FromRgb((byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255))));
}
}
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(1);
// create test security
var security = new Security
{
Id = "SBER@TQBR", // sec id has the same name as folder with historical data
Code = "SBER",
Name = "SBER",
Board = ExchangeBoard.Micex,
};
var startTime = new DateTime(2020, 4, 1);
var stopTime = new DateTime(2020, 4, 20);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 0.01m)
.TryAdd(Level1Fields.StepPrice, 0.01m)
.TryAdd(Level1Fields.MinPrice, 0.01m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
// create backtesting connector
_batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
// if not set, then CPU count * 2
//BatchSize = 3,
}
};
// handle historical time for update ProgressBar
_batchEmulation.TotalProgressChanged += (currBatch, total) => this.GuiAsync(() => TestingProcess.Value = total);
_batchEmulation.StateChanged += (oldState, newState) =>
{
var isFinished = _batchEmulation.IsFinished;
if (_batchEmulation.State == ChannelStates.Stopped)
{
_batchEmulation = null;
}
this.GuiAsync(() =>
{
switch (newState)
{
case ChannelStates.Stopping:
case ChannelStates.Starting:
case ChannelStates.Suspending:
SetIsEnabled(false, false, false);
break;
case ChannelStates.Stopped:
SetIsEnabled(true, false, false);
if (isFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
break;
case ChannelStates.Started:
SetIsEnabled(false, true, true);
break;
case ChannelStates.Suspended:
SetIsEnabled(true, false, true);
break;
default:
throw new ArgumentOutOfRangeException(newState.ToString());
}
});
};
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SampleHistoryTesting.SmaStrategy(series)
{
ShortSma = { Length = period.shortMa },
LongSma = { Length = period.longMa },
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>()
};
this.GuiSync(() =>
{
var curveElem = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3, ChartIndicatorDrawStyles.Line);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(curveElem, strategy.PnL);
Curve.Draw(data);
};
Stat.AddStrategies(new[] { strategy });
});
return(strategy);
});
// start emulation
_batchEmulation.Start(strategies, periods.Count);
}
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);
// создаем длины скользящих средник
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)
};
// 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 timeFrame = TimeSpan.FromMinutes(5);
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = "RIZ2@FORTS", // по идентификатору инструмента будет искаться папка с историческими маркет данными
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);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// кол-во одновременно тестируемых стратегий
BatchSize = periods.Length,
}
};
// и подписываемся на событие изменения прогресса тестирования, чтобы обновить 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(LocalizedStrings.Str3024 + (DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
};
// получаем подключение для эмуляции
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
// подписываемся на получение данных после получения инструмента
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// стакан для инструмента в истории обновляется раз в секунду
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);
// создаем торговую стратегию
var strategy = new SmaStrategy(series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
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);
// запускаем эмуляцию
batchEmulation.Start(strategies);
}