Exemple #1
0
        public override void Run()
        {
            MulticoreOptimizer optimizer = new MulticoreOptimizer(this.framework);


            OptimizationUniverse universe = new OptimizationUniverse();

            for (decimal Delta = 1; Delta < 8; Delta++)
            {
                OptimizationParameterSet parameter = new OptimizationParameterSet();

                parameter.Add("Delta", Delta);

                universe.Add(parameter);
            }
            Instrument spreadInsturment = InstrumentManager.Get("*NG 01-15 vs *NG 02-15");

            // Add spread instrument if needed.
            if (spreadInsturment == null)
            {
                spreadInsturment = new Instrument(InstrumentType.Future, "*NG 01-15 vs *NG 02-15");

                InstrumentManager.Add(spreadInsturment);
            }

            spreadInsturment.Legs.Clear();

            // Add legs for spread instrument if needed.
            if (spreadInsturment.Legs.Count == 0)
            {
                spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 01-15"), 1));
                spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 02-15"), 1));
            }

            // Main strategy.
            strategy = new Strategy(framework, "SpreadTrading");

            // Create BuySide strategy and add trading instrument.
            MyStrategy buySide = new MyStrategy(framework, "BuySide");

            buySide.Instruments.Add(spreadInsturment);

            // Create SellSide strategy.
            SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");

            //sellSide.Global[SpreadSellSide.barSizeCode] = barSize;

            // Set SellSide as data and execution provider for BuySide strategy.
            buySide.DataProvider      = sellSide;
            buySide.ExecutionProvider = sellSide;

            // Add strategies to main.
            strategy.AddStrategy(buySide);
            strategy.AddStrategy(sellSide);

            // Set DataSimulator's dates.
            DataSimulator.DateTime1 = new DateTime(2014, 11, 18);            // 1 day before real start
            DataSimulator.DateTime2 = new DateTime(2014, 12, 30);            // 1 day after real end

            InstrumentList instruments = new InstrumentList();

            instruments.Add(spreadInsturment);

            strategy.AddInstruments(instruments);

            //You can choose an optimization method from the "Optimizers" window
            //and observe the optimization results in the "Optimization Results" window.

            //Optimization can use either of two ways to declare parameters:

            //1. Optimization using [OptimizationParameter] atrributes from Strategy

            //Optimize(strategy);

            //2. Optimization via OptimizationUniverse
            optimizer.Optimize(strategy, universe);
        }