public Instrument (Ticker ticker, TimeFrame timeFrame)
{
this.Ticker = ticker;
this.TimeFrame = timeFrame;
Candles = new List<Candle>();
}
public void BeginTest_HttpPost()
{
SessionHelper.session = new SessionStateMock();
StrategyInfo strategyInfo = new StrategyInfo { Id = 1, Name = "Mock", TypeName = "RMarket.Examples.Strategies.StrategyMock, RMarket.Examples" };
Ticker ticker = new Ticker { Id = 1, Code = "SBER" };
TimeFrame timeFrame = new TimeFrame { Id = 11, Name = "1 day" };
Instance instance = new Instance
{
Id = 1,
GroupID = new Guid("a76dc9b4-8816-438e-aed3-c123374c2e3e"),
StrParams = "[{\"FieldName\":\"withSleep\",\"FieldValue\":true}]",
StrategyInfoId = strategyInfo.Id,
StrategyInfo = strategyInfo,
TickerId=ticker.Id,
Ticker = ticker,
TimeFrameId=timeFrame.Id,
TimeFrame=timeFrame
};
Mock<IInstanceRepository> instanceRepoMock = new Mock<IInstanceRepository>();
instanceRepoMock.Setup(m => m.Instances).Returns(new List<Instance>
{
instance
}.AsQueryable());
instanceRepoMock.Setup(m => m.Find(1)).Returns(instance);
Mock<ICandleRepository> candleRepoMock = new Mock<ICandleRepository>();
candleRepoMock.Setup(m => m.Candles).Returns(new List<Candle>
{
new Candle(ticker.Id,timeFrame.Id,new DateTime(2015,1,1),10m,15m,8m,11m,0),
new Candle(ticker.Id,timeFrame.Id,new DateTime(2015,1,2),11m,15m,8m,11m,0),
new Candle(ticker.Id,timeFrame.Id,new DateTime(2015,1,3),11m,16m,10m,15m,0),
}.AsQueryable());
TesterModel model = new TesterModel
{
InstanceId = 1,
DateFrom=new DateTime(2015,1,1),
DateTo=new DateTime(2015,2,1)
};
TesterController controller = CreateTestManagerController(instanceRepoMock.Object, candleRepoMock.Object);
//Действие
ActionResult result = controller.BeginTest(model);
// Утверждение
//1. В сесии есть объект результата
List<TestResult> testResultCollection = (List<TestResult>)SessionHelper.session["TestResultCollection"];
Assert.AreNotEqual(null, testResultCollection);
//2. Проверка реквизитов сформированной стратегии
IStrategy strategy = testResultCollection.FirstOrDefault(t => t.Id == 1).Strategy;
Assert.AreEqual(ticker, strategy.Instr.Ticker);
Assert.AreEqual(timeFrame, strategy.Instr.TimeFrame);
//3. Стратегия стартована
Assert.AreEqual(true, strategy.Manager.IsStarted);
}
public ICandleRepository candleRepository;//!!! = CurrentRepository.CandleRepository;
public virtual int DownloadAndSave(DateTime dateFrom, DateTime dateTo, Ticker ticker, TimeFrame timeFrame)
{
int res = 0;
IEnumerable<Candle> newCandles = DownloadCandles(dateFrom, dateTo, ticker, timeFrame);
if (newCandles != null && newCandles.Count()>0)
{
//Удалить из базы данные
IEnumerable<Candle> oldCandles = from c in candleRepository.Get()
where c.TickerId == ticker.Id && c.TimeFrameId == timeFrame.Id && c.DateOpen >= dateFrom.Date && c.DateOpen < dateTo
select c;
candleRepository.RemoveRange(oldCandles);
//
candleRepository.AddRange(newCandles);
res = newCandles.Count();
}
return res;
}
public override IEnumerable<Candle> DownloadCandles(DateTime dateFrom, DateTime dateTo, Ticker ticker, TimeFrame timeFrame)
{
List<Candle> listCandles = new List<Candle>();
//Пример: http://195.128.78.52/SBER_141008_141008.txt?market=1&em=3&code=SBER&df=8&mf=9&yf=2014&from=08.10.2014&dt=8&mt=9&yt=2014&to=08.10.2014&p=7&f=SBER_141008_141008&e=.txt&cn=SBER&dtf=1&tmf=1&MSOR=1&mstime=on&mstimever=1&sep=1&sep2=1&datf=1&at=1
StringBuilder sb = new StringBuilder("http://195.128.78.52/SBER_141008_141008.txt?market=1");
sb.Append("&em=" + ticker.CodeFinam); //Код тикера Финам
sb.Append("&code=" + ticker.Code);
sb.Append("&df=" + dateFrom.Day);
sb.Append("&mf=" + (dateFrom.Month - 1));
sb.Append("&yf=" + dateFrom.Year);
sb.Append("&from=" + dateFrom.ToString("dd.MM.yyyy"));
sb.Append("&dt=" + dateTo.Day);
sb.Append("&mt=" + (dateTo.Month - 1));
sb.Append("&yt=" + dateTo.Year);
sb.Append("&to=" + dateTo.ToString("dd.MM.yyyy"));
sb.Append("&p=" + timeFrame.CodeFinam); //Код интервала Финам
sb.Append("&f=SBER_141008_141008"); //название выходного файла
sb.Append("&e=.csv"); //.txt .csv
sb.Append("&cn=" + ticker.Code);
sb.Append("&dtf=1&tmf=1");
sb.Append("&MSOR=0"); //0 - Время начало свечи, 1-окончания
sb.Append("&mstime=on&mstimever=1&sep=1&sep2=1&datf=1&at=1");
sb.Append("&fsp=1"); //Заполнять периоды без сделок
WebRequest reqGet = WebRequest.Create(sb.ToString());
WebResponse resp = reqGet.GetResponse();
Stream stream = resp.GetResponseStream();
StreamReader sr = new StreamReader(stream);
if (sr.Peek() >= 0)
{
Dictionary<string, int> head = new Dictionary<string, int>();
string strLine;
int count = 0;
while ((strLine = sr.ReadLine()) != null)
{
string[] strArray = strLine.Split(new char[] { ',' });
count++;
if (count == 1) //Шапка
{
//Заполнить шапку
for (int i = 0; i < strArray.Length; i++)
{
//<TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
strArray[i] = Regex.Replace(strArray[i], "[<>]", "");
head.Add(strArray[i], i);
}
continue;
}
if (strArray.Length != head.Count)
continue; //бывают траблы(
//Сформировать свечу
DateTime dateOpen = DateTime.ParseExact(strArray[head["DATE"]] + strArray[head["TIME"]], "yyyyMMddHHmmss", null);
decimal OpenPrice = Convert.ToDecimal(strArray[head["OPEN"]], new CultureInfo("en-US"));
decimal HighPrice = Convert.ToDecimal(strArray[head["HIGH"]], new CultureInfo("en-US"));
decimal LowPrise = Convert.ToDecimal(strArray[head["LOW"]], new CultureInfo("en-US"));
decimal ClosePrice = Convert.ToDecimal(strArray[head["CLOSE"]], new CultureInfo("en-US"));
int Volume = Convert.ToInt32(strArray[head["VOL"]]);
//!!!Создает ticker и timeFrame
Candle candle = new Candle(ticker.Id, timeFrame.Id, dateOpen, OpenPrice, HighPrice, LowPrise, ClosePrice, Volume);
listCandles.Add(candle);
}
}
return listCandles;
}
public void CreateFirstGeneration()
{
//!!! Долго
Ticker ticker = new Ticker
{
Id = 1,
Name = "sber",
Code = "sber",
};
TimeFrame timeFrame = new TimeFrame
{
Id = 10,
Name = "10",
ToMinute = 10
};
StrategyInfo strategyInfo = new StrategyInfo
{
Id = 20,
Name = "Mock",
TypeName = "RMarket.Examples.Strategies.StrategyMock, RMarket.Examples"
};
SelectionModel selection = new SelectionModel
{
Id = 30,
Name = "TestSelection",
TickerId = ticker.Id,
Ticker = ticker,
TimeFrameId = timeFrame.Id,
TimeFrame=timeFrame,
StrategyInfoId = strategyInfo.Id,
StrategyInfo=strategyInfo,
AmountResults = 10,
Balance = 1000,
CreateDate = new DateTime(2016, 1, 1),
DateFrom = new DateTime(2016, 1, 1),
DateTo = new DateTime(2016, 1, 10),
Description = "for test",
GroupID = new Guid("7ada9499-cb8e-44ad-862a-a93920ff4760"),
Slippage = 0.01M,
Rent = 0.1M,
SelectionParams = new List<ParamSelection>
{
new ParamSelection
{
FieldName="Param1",
TypeName = "System.Int32",
ValueMin = 6,
ValueMax=10
},
new ParamSelection
{
FieldName="Param2",
ValueMin = (byte)1,
TypeName = "System.Byte",
ValueMax=(byte)5
},
new ParamSelection
{
FieldName="OtherParam",
TypeName = "System.Boolean",
ValueMin = true,
ValueMax=true
}
//Добавить вещественный
}
};
List<InstanceModel> instances1 = OptimizationHelper.CreateFirstGeneration(selection);
Assert.AreEqual(10, instances1.Count);
Assert.AreEqual(1, instances1[0].TickerId);
Assert.AreEqual(10, instances1[0].TimeFrameId);
Assert.AreEqual(20, instances1[0].StrategyInfoId);
Assert.AreEqual(30, instances1[0].SelectionId);
Assert.AreEqual(true, instances1[0].StrategyParams.Any(p=>p.FieldName== "OtherParam" && (bool)p.FieldValue==true));
Assert.AreEqual(true, instances1[0].StrategyParams.Any(p=>p.FieldName== "Param1" && (int)p.FieldValue >= 6 && (int)p.FieldValue <= 10));
Assert.AreEqual(true, instances1[0].StrategyParams.Where(p=>p.FieldName == "Param2").Single().FieldValue.GetType() == typeof(byte));
}
public void GetIndicatorList()
{
IStrategy strategy = new StrategyMock();
Ticker ticker = new Ticker { Id = 1, Code = "SBER" };
TimeFrame timeFrame = new TimeFrame { Id = 11, Name = "1 day" };
strategy.Instr = new Instrument(ticker, timeFrame);
strategy.Initialize();
//Действие - Получение Коллекции индикаторов
Dictionary<string, IIndicator> indicatorsDict = StrategyHelper.ExtractIndicatorsInStrategy(strategy);
//Утверждение
//1. количество индикаторов
Assert.AreEqual(2, indicatorsDict.Count);
//2. Имена индикаторов
Assert.IsTrue(indicatorsDict.ContainsKey("Индикатор1"));
Assert.IsTrue(indicatorsDict.ContainsKey("ind2"));
}
/// <summary> /// /// </summary> /// <param name="dateFrom">Учитывается дата</param> /// <param name="dateTo">Не включая!</param> /// <param name="ticker"></param> /// <param name="timeFrame"></param> /// <returns></returns> public abstract IEnumerable<Candle> DownloadCandles(DateTime dateFrom, DateTime dateTo, Ticker ticker, TimeFrame timeFrame);