public void TestStrategyResult_CodePeriod_MainContract()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
referedPeriods.UseTickData = true;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_15Minute);
StrategyArguments_CodePeriod arguments = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
arguments.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
//IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Simple));
MockStrategy_Results strategy = new MockStrategy_Results();
strategy.Name = "策略结果保存";
executor.Strategy = strategy;
executor.Run();
}
public void TestStrategyExecutorEvent_CodePeriod1()
{
string code = "RB";
int startDate = 20170101;
int endDate = 20180101;
ICodePeriod codePeriod = DataCenter.Default.CodePeriodFactory.CreateCodePeriod_MainContract(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
//StrategyArguments_DataPackage strategyCodePeriod = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Empty));
executor.Strategy = strategy;
executor.Run();
}
public void TestRunStrategy_Minute()
{
string code = "RB1710";
int startDate = 20170301;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage strategyDataPackage = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
//strategyDataPackage.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyDataPackage);
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Simple));
executor.Strategy = strategy;
executor.Run();
Console.WriteLine(executor.StrategyResult);
}
public void TestRunStrategy_Tick()
{
//data.reader.IDataReader dataReader = CommonData.GetDataReader();
string code = "RB1710";
int start = 20170601;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, start, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = true;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage arguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single runner = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
DateTime prevtime = DateTime.Now;
runner.Strategy = new MockStrategy(referedPeriods);
runner.Run();
DateTime time = DateTime.Now;
TimeSpan span = time.Subtract(prevtime);
Console.WriteLine(span.Minutes * 60 * 1000 + span.Seconds * 1000 + span.Milliseconds);
}
private void AddExecutingExecutor(IStrategyExecutor_Single executor)
{
lock (lockExecutingObj)
{
this.executingExecutors.Add(executor);
}
}
private void RemoveExecutingExecutor(IStrategyExecutor_Single executor)
{
lock (lockExecutingObj)
{
this.executingExecutors.Remove(executor);
}
}
public void TestTrade()
{
string code = "RB1710";
int startDate = 20170601;
int endDate = 20170603;
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, startDate, endDate, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
StrategyAbstract strategy = (StrategyAbstract)StrategyGetter.GetStrategy(typeof(MockStrategy_Trade));
executor.Strategy = strategy;
executor.Run();
StrategyTrader_History trader = ((StrategyTrader_History)strategy.StrategyHelper.Trader);
IList <TradeInfo> tradeInfos = trader.Account.CurrentTradeInfo;
AssertUtils.PrintLineList((IList)tradeInfos);
AssertUtils.AssertEqual_List("StrategyTrade", GetType(), tradeInfos);
Assert.AreEqual(96250, trader.Account.Asset);
//Assert.AreEqual(98870, trader.Account.Asset);
//IList<OrderInfo> orderInfos = strategy.StrategyOperator.Trader.CurrentOrderInfo;
//for (int i = 0; i < tradeInfos.Count; i++)
//{
// Console.WriteLine(tradeInfos[i]);
//}
//Console.WriteLine(strategy.StrategyOperator.Trader.OwnerTrader.Account.Asset);
}
public void TestExecuteStrategy()
{
string code = "RB1710";
int start = 20170601;
int endDate = 20170603;
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, start, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage arguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single runner = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(arguments);
DateTime prevtime = DateTime.Now;
runner.Strategy = new MockStrategy(null);
runner.OnFinished += Runner_OnFinished;
runner.Execute();
while (!isFinished)
{
}
DateTime time = DateTime.Now;
TimeSpan span = time.Subtract(prevtime);
Console.WriteLine(span.Minutes * 60 + span.Seconds);
}
public static IStrategyExecutor_Single CreateExecutor_CodePeriod(string code, int start, int end)
{
IStrategyExecutorFactory executorFactory = StrategyCenter.Default.GetStrategyExecutorFactory();
StrategyReferedPeriods referedPeriods = GetReferedPeriods();
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, start, end, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = executorFactory.CreateExecutor_History(strategyCodePeriod);
return(executor);
}
public void TestExecuteStrategy()
{
string code = "rb1710";
int start = 20170601;
int end = 20170603;
IStrategyExecutor_Single executor = StrategyTestUtils.CreateExecutor_CodePeriod(code, start, end);
MockStrategy strategy = new MockStrategy();
executor.Strategy = strategy;
executor.OnFinished += Executor_OnFinished;
executor.Execute();
//AssertUtils.AssertEqual_List("executorhistory", GetType(), strategy.PrintData);
}
public void Execute()
{
if (isRunning)
{
throw new ApplicationException("正在执行策略，不能加入新策略");
}
lock (lockExecutingObj)
{
if (isRunning)
{
throw new ApplicationException("正在执行策略，不能加入新策略");
}
isRunning = true;
try
{
ThreadPool.SetMaxThreads(threadCount, threadCount);
while (waitingQueue.Count > 0)
{
if (executingExecutors.Count >= maxExecutorCount)
{
continue;
}
lock (lockExecutingListObj)
{
IStrategyExecutor_Single executor = waitingQueue.Dequeue();
executor.OnStart += Executor_OnStart;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
ThreadPool.QueueUserWorkItem(new StrategyExecutorRuner(executor).Run, null);
ExecutingExecutors.Add(executor);
}
}
while (executingExecutors.Count > 0)
{
}
if (OnPoolFinished != null)
{
OnPoolFinished(this);
}
}
finally
{
isRunning = false;
}
}
}
public void TestExecuteStrategyExecutorPool()
{
try
{
StrategyExecutorPool pool = (StrategyExecutorPool)StrategyCenter.Default.GetStrategyExecutorPool();
pool.ThreadCount = 5;
pool.MaxExecutorCount = 10;
pool.OnStrategyStart += Pool_OnStart;
pool.OnStrategyDayFinished += Pool_OnDayFinished;
pool.OnStrategyFinished += Pool_OnFinished;
List <string> codes = new List <string>();
codes.Add("rb");
codes.Add("m");
codes.Add("ma");
codes.Add("i");
codes.Add("j");
codes.Add("jd");
codes.Add("jm");
codes.Add("p");
codes.Add("pp");
StrategyArguments_CodePeriodList strategyCodePeriodPackage = GetStrategyPackage(codes, 20170101, 20170601);
IList <IStrategyExecutor_Single> executors = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutors_History(strategyCodePeriodPackage);
for (int i = 0; i < executors.Count; i++)
{
IStrategyExecutor_Single executor = executors[i];
executor.Strategy = new MockStrategy_Empty();
pool.Queue(executor);
}
//pool.Run();
long startTick = DateTime.Now.Ticks;
pool.OnPoolFinished += Pool_OnPoolFinished;
pool.Execute();
//Thread.Sleep(20000);
while (!isFinished)
{
}
long endTick = DateTime.Now.Ticks;
Console.WriteLine(endTick - startTick);
}
catch (Exception e)
{
Console.WriteLine(e.StackTrace);
}
}
private void Executor_OnFinished(object sender, StrategyFinishedArguments arguments)
{
if (OnStrategyFinished != null)
{
OnStrategyFinished(sender, arguments);
}
if (sender != null && sender is IStrategyExecutor_Single)
{
IStrategyExecutor_Single executor = ((IStrategyExecutor_Single)sender);
executor.OnStart -= Executor_OnStart;
executor.OnDayFinished -= Executor_OnDayFinished;
executor.OnFinished -= Executor_OnFinished;
executingExecutors.Remove(executor);
}
}
public StrategyExecutor_Multi(IStrategyCenter strategyCenter, StrategyArguments_CodePeriodList arguments)
{
this.strategyCenter = strategyCenter;
this.arguments = arguments;
IList <ICodePeriod> codePeriods = this.arguments.CodePeriodPackage.CodePeriods;
for (int i = 0; i < codePeriods.Count; i++)
{
ICodePeriod codePeriod = codePeriods[i];
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, arguments.ReferedPeriods, arguments.ForwardPeriod);
IStrategyExecutor_Single executor = strategyCenter.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
this.executors.Add(executor);
}
}
public void TestStrategyResult_DataPackage()
{
//ICodePeriodFactory factory = DataCenter.Default.CodePeriodFactory;
//ICodePeriod codePeriod = factory.CreateCodePeriod("rb1801", 20170501, 20170801);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_15Minute);
referedPeriods.UseTickData = true;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(true, KLinePeriod.KLinePeriod_15Minute);
//StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(codePeriod, referedPeriods, forwardPeriod);
IDataPackage_Code dataPackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code("rb1801", 20170501, 20170801);
StrategyArguments_DataPackage strategyArguments = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
//自动保存结果
strategyArguments.IsSaveResult = true;
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyArguments);
MockStrategy_Results strategy = new MockStrategy_Results();
strategy.Name = "策略结果保存";
executor.Strategy = strategy;
executor.Run();
//IStrategyTrader trader = executor.StrategyHelper.Trader;
int day = int.Parse(DateTime.Now.ToString("yyyyMMdd"));
IStrategyResult result = executor.StrategyResult;
string resultName = executor.StrategyResult.Name;
IStrategyResultStore store = StrategyCenter.Default.StrategyResultStore;
IList <int> savedDays = store.GetAllSavedDays();
for (int i = 0; i < savedDays.Count; i++)
{
Console.Write(savedDays[i] + ",");
}
Console.WriteLine();
IStrategyResult result2 = store.LoadStrategyResult(day, resultName);
Console.WriteLine(result2);
Assert.AreEqual(result.ToString(), result2.ToString());
Assert.AreEqual(1, result2.StrategyResult_Codes.Count);
Assert.AreEqual(1, result2.StrategyQueryResultManager.GetQueryResults().Count);
Console.WriteLine(result2.StrategyResult_Codes[0]);
Assert.AreEqual(result.StrategyResult_Codes[0].ToString(), result2.StrategyResult_Codes[0].ToString());
}
/// <summary>
/// 运行
/// </summary>
public void Execute()
{
IStrategyExecutorPool pool = this.strategyCenter.GetStrategyExecutorPool();
for (int i = 0; i < executors.Count; i++)
{
IStrategyExecutor_Single executor = executors[i];
executor.OnStart += Executor_OnStart;
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnCanceled += Executor_OnCanceled;
executor.OnFinished += Executor_OnFinished;
executor.Strategy = strategy;
pool.Queue(executor);
}
}
public void TestParamter()
{
IStrategy strategy = new MockStrategy_Parameter();
strategy.Parameters.SetParameterValue("PERIOD", KLinePeriod.KLinePeriod_15Minute);
string code = "rb1710";
int start = 20170601;
int end = 20170603;
IStrategyExecutor_Single executor = StrategyTestUtils.CreateExecutor_CodePeriod(code, start, end);
executor.Strategy = strategy;
executor.Run();
//List<string> results = (List<string>)strategy.GetData("RESULT");
//AssertUtils.AssertEqual_List("StrategyParameter_15Minute", GetType(), results);
}
/// <summary>
/// 运行策略，并且将策略运行结果绑定到该
/// </summary>
public void Run()
{
if (this.strategyData == null || this.strategyData.Strategy == null)
{
return;
}
IStrategy strategy = this.strategyData.Strategy;
StrategyReferedPeriods referedPeriods = strategy.GetReferedPeriods();
if (referedPeriods == null)
{
referedPeriods = new StrategyReferedPeriods();
KLinePeriod currentPeriod = this.compChart.Controller.ChartComponentData.KlinePeriod;
referedPeriods.UsedKLinePeriods.Add(currentPeriod);
if (strategy is StrategyAbstract)
{
((StrategyAbstract)strategy).MainKLinePeriod = currentPeriod;
}
}
KLinePeriod mainPeriod = referedPeriods.MainPeriod;
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(referedPeriods.UseTickData, mainPeriod);
IStrategyExecutorFactory executorFactory = StrategyCenter.Default.GetStrategyExecutorFactory();
IDataPackage_Code dataPackage = this.compChart.Controller.CurrentNavigater.DataPackage;
Dictionary <KLinePeriod, int> dic_KLinePeriod_StartPos = new Dictionary <KLinePeriod, int>();
for (int i = 0; i < referedPeriods.UsedKLinePeriods.Count; i++)
{
KLinePeriod period = referedPeriods.UsedKLinePeriods[i];
dic_KLinePeriod_StartPos.Add(period, dataPackage.GetKLineData(period).BarPos);
}
drawOperator = new ChartComponentStrategyDrawer(this.compChart.Drawer, dic_KLinePeriod_StartPos, 0, 0);
StrategyArguments_DataPackage strategyDataPackage = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);;
StrategyHelper strategyOperator = new StrategyHelper();
strategyOperator.Drawer = drawOperator;
strategyExecutor = executorFactory.CreateExecutor_History(strategyDataPackage);
strategyExecutor.Strategy = strategy;
//strategyExecutor.Run();
//strategyExecutor.ExecuteFinished += StrategyExecutor_ExecuteFinished;
strategyExecutor.Execute();
}
private void InitByCodePeriod(IStrategyCenter strategyCenter, StrategyArguments_CodePeriod strategyArguments)
{
ICodePeriod codePeriod = strategyArguments.CodePeriod;
if (codePeriod.IsFromContracts)
{
this.strategyExecutor = new StrategyExecutor_CodePeriod_MainContract(strategyCenter, strategyArguments);
}
else
{
IDataPackage_Code dataPackage = strategyCenter.BelongDataCenter.DataPackageFactory.CreateDataPackage_Code(codePeriod.Code, codePeriod.StartDate, codePeriod.EndDate);
StrategyArguments_DataPackage strategyDataPackage = new StrategyArguments_DataPackage(dataPackage, strategyArguments.ReferedPeriods, strategyArguments.ForwardPeriod);
this.strategyExecutor = strategyCenter.GetStrategyExecutorFactory().CreateExecutor_History(strategyDataPackage);
}
this.strategyExecutor.OnStart += StrategyExecutor_OnStart;;
this.strategyExecutor.OnBarFinished += StrategyExecutor_OnBarFinished;
this.strategyExecutor.OnDayFinished += StrategyExecutor_OnDayFinished;
this.strategyExecutor.OnCanceled += StrategyExecutor_OnCanceled;
this.strategyExecutor.OnFinished += StrategyExecutor_OnFinished;
}
public void TestReferOtherStrategy()
{
string code = "RB1710";
int startDate = 20170601;
int endDate = 20170603;
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_CodePeriod strategyCodePeriod = new StrategyArguments_CodePeriod(code, startDate, endDate, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_ReferOtherStrategy));
executor.Strategy = strategy;
executor.Run();
}
public void TestExecuteStrategy_MA()
{
string code = "rb1710";
int start = 20170601;
int end = 20170603;
IStrategyExecutor_Single executor = StrategyTestUtils.CreateExecutor_CodePeriod(code, start, end);
MockStrategy_Ma strategy = new MockStrategy_Ma();
executor.Strategy = strategy;
executor.Run();
List <float> floats = strategy.MAList;
IDataPackage_Code dataPackage = DataCenter.Default.DataPackageFactory.CreateDataPackage_Code(code, start, end);
IKLineData_Extend klineData = dataPackage.GetKLineData(KLinePeriod.KLinePeriod_1Minute);
List <float> floats2 = KLineDataUtils.MaList(klineData, klineData.BarPos, klineData.Length - 1, 5);
for (int i = 0; i < floats.Count; i++)
{
Console.WriteLine(floats[i] + "," + floats2[i]);
}
AssertUtils.AssertEqual_List(floats2, floats);
}
private void ExecuteStrategy_Event(string code, int startDate, int endDate)
{
IDataPackage_Code dataPackage = CommonData.GetDataPackage(code, startDate, endDate);
StrategyReferedPeriods referedPeriods = new StrategyReferedPeriods();
referedPeriods.UseTickData = false;
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_1Minute);
referedPeriods.UsedKLinePeriods.Add(KLinePeriod.KLinePeriod_5Minute);
StrategyForwardPeriod forwardPeriod = new StrategyForwardPeriod(false, KLinePeriod.KLinePeriod_1Minute);
StrategyArguments_DataPackage strategyCodePeriod = new StrategyArguments_DataPackage(dataPackage, referedPeriods, forwardPeriod);
IStrategyExecutor_Single executor = StrategyCenter.Default.GetStrategyExecutorFactory().CreateExecutor_History(strategyCodePeriod);
executor.OnBarFinished += Executor_OnBarFinished;
executor.OnDayFinished += Executor_OnDayFinished;
executor.OnFinished += Executor_OnFinished;
IStrategy strategy = StrategyGetter.GetStrategy(typeof(MockStrategy_Empty));
executor.Strategy = strategy;
executor.Run();
}
public void Queue(IStrategyExecutor_Single strategyExecutor)
{
this.waitingQueue.Enqueue(strategyExecutor);
}
public StrategyExecutorRuner(IStrategyExecutor_Single executor)
{
this.executor = executor;
}