private static void TryCloseOpenTrades(TradeWithIndexingCollection trades, Candle m1Candle)
{
if (!trades.AnyOpen)
{
return;
}
foreach (var trade in trades.OpenTrades)
{
if (trade.Trade.EntryDateTime != null && m1Candle.OpenTimeTicks >= trade.Trade.EntryDateTime.Value.Ticks)
{
trade.Trade.SimulateTrade(m1Candle, out _);
}
if (trade.Trade.CloseDateTime != null)
{
trades.MoveOpenToClose(trade);
}
}
}
private void LogProgress(TradeWithIndexingCollection trades, long currentDateTimeTicks)
{
var closedTrades = new List <Trade>(5000);
closedTrades.AddRange(trades.ClosedTrades.Select(x => x.Trade));
var orderTrades = new List <Trade>(5000);
orderTrades.AddRange(trades.OrderTradesAsc.Select(x => x.Trade));
var tradesForExpectancy = closedTrades.Where(x => x.RMultiple != null).ToList();
var expectancy = TradingCalculator.CalculateExpectancy(tradesForExpectancy);
Log.Info(
$"{_market.Name} Up to: {new DateTime(currentDateTimeTicks): dd-MM-yy HH:mm} "// /* {r.PercentComplete:0.00}% */. Running: {r.SecondsRunning}s. "
+ $"Created: {orderTrades.Count() + closedTrades.Count + trades.OpenTrades.Count()} "
+ $"Open: {trades.OpenTrades.Count()}. Orders: {orderTrades.Count()} "
+ $"Closed: {closedTrades.Count} (Hit stop: {closedTrades.Count(x => x.CloseReason == TradeCloseReason.HitStop)} "
+ $"Hit limit: {closedTrades.Count(x => x.CloseReason == TradeCloseReason.HitLimit)} "
+ $"Hit expiry: {closedTrades.Count(x => x.CloseReason == TradeCloseReason.HitExpiry)} "
+ $"Cached trades: {trades.CachedTradesCount}) "
+ $"Expectancy: {expectancy:0.00}");
}
private static void FillOrders(TradeWithIndexingCollection trades, Candle m1Candle)
{
foreach (var order in trades.OrderTradesAsc)
{
var candleCloseTimeTicks = m1Candle.CloseTimeTicks;
if (order.Trade.OrderDateTime != null && candleCloseTimeTicks < order.Trade.OrderDateTime.Value.Ticks)
{
break;
}
order.Trade.SimulateTrade(m1Candle, out _);
if (order.Trade.EntryDateTime != null)
{
trades.MoveOrderToOpen(order);
}
else if (order.Trade.CloseDateTime != null)
{
trades.MoveOrderToClosed(order);
}
}
}
public List <Trade> Run(StrategyBase strategy, Func <bool> getShouldStopFunc, DateTime?startTime = null, DateTime?endTime = null)
{
var logIntervalSeconds = 5;
var candleTimeframes = strategy.Timeframes;
var smallestNonM1Timeframe = candleTimeframes.First();
var candleTimeframesExcSmallest = candleTimeframes.Where(x => x != smallestNonM1Timeframe).ToList();
var m1Candles = _candleService.GetCandles(_broker, _market.Name, Timeframe.M1, false);
var allCandles = GetCandles(candleTimeframes);
var timeframeCandleIndexes = new TimeframeLookup <int>();
var currentCandles = new TimeframeLookup <List <Candle> >();
var trades = new TradeWithIndexingCollection();
var nextLogTime = DateTime.UtcNow.AddSeconds(logIntervalSeconds);
var calls = 0;
strategy.SetSimulationParameters(trades, currentCandles, _market);
foreach (var tf in candleTimeframes)
{
currentCandles[tf] = new List <Candle>(10000);
}
var smallestNonM1TimeframeCount = allCandles[smallestNonM1Timeframe].Count;
var m1CandleIndex = 0;
Candle smallestNonM1Candle;
var startTimeTicks = startTime != null ? (long?)startTime.Value.Ticks : null;
var endTimeTicks = endTime != null ? (long?)endTime.Value.Ticks : null;
strategy.SetInitialised();
// Ignore M1 candles
for (var smallestNonM1TfIndex = 0;
smallestNonM1TfIndex < smallestNonM1TimeframeCount;
smallestNonM1TfIndex++)
{
if (getShouldStopFunc != null && getShouldStopFunc())
{
return(null);
}
// Progress smallest non-M1 candle
smallestNonM1Candle = allCandles[smallestNonM1Timeframe][smallestNonM1TfIndex];
currentCandles[smallestNonM1Timeframe].Add(smallestNonM1Candle);
var newCandleTimeframes = new List <Timeframe> {
smallestNonM1Timeframe
};
if (DateTime.UtcNow > nextLogTime)
{
LogProgress(trades, smallestNonM1Candle.CloseTimeTicks);
nextLogTime = DateTime.UtcNow.AddSeconds(logIntervalSeconds);
}
// Progress other timeframes
foreach (var tf in candleTimeframesExcSmallest)
{
for (var i = timeframeCandleIndexes[tf]; i < allCandles[tf].Count; i++)
{
var c = allCandles[tf][i];
if (c.CloseTimeTicks <= smallestNonM1Candle.CloseTimeTicks)
{
currentCandles[tf].Add(c);
newCandleTimeframes.Add(tf);
timeframeCandleIndexes[tf] = i + 1;
}
else
{
break;
}
}
}
// Process M1 candles if any trades are open or and orders
if ((trades.AnyOpen || trades.AnyOrders) && m1CandleIndex < m1Candles.Count)
{
// Include M1 candles
var nextIndex = m1Candles.BinarySearchGetItem(
i => m1Candles[i].CloseTimeTicks,
m1CandleIndex,
smallestNonM1TfIndex > 0 ? allCandles[smallestNonM1Timeframe][smallestNonM1TfIndex - 1].CloseTimeTicks : smallestNonM1Candle.OpenTimeTicks,
BinarySearchMethod.NextHigherValue);
if (nextIndex != -1 && m1Candles[nextIndex].CloseTimeTicks <= m1Candles[m1CandleIndex].CloseTimeTicks)
{
throw new ApplicationException("M1 candles are not running in order");
}
if (nextIndex != -1 && m1Candles[nextIndex].CloseTimeTicks <= smallestNonM1Candle.CloseTimeTicks)
{
m1CandleIndex = nextIndex;
for (var i = m1CandleIndex; i < m1Candles.Count; i++)
{
var m1 = m1Candles[i];
if (m1.CloseTimeTicks > smallestNonM1Candle.CloseTimeTicks)
{
break;
}
m1CandleIndex = i;
if (!trades.AnyOpen && !trades.AnyOrders)
{
break;
}
if (trades.AnyOrders)
{
FillOrders(trades, m1);
}
if (trades.AnyOpen)
{
TryCloseOpenTrades(trades, m1);
calls++;
}
}
}
}
// Process new completed candles in strategy
try
{
strategy.UpdateIndicators(newCandleTimeframes);
strategy.NewTrades.Clear();
if (startTimeTicks == null || (smallestNonM1Candle.CloseTimeTicks >= startTimeTicks && smallestNonM1Candle.CloseTimeTicks <= endTimeTicks))
{
strategy.ProcessCandles(newCandleTimeframes);
}
}
catch (Exception ex)
{
Log.Error("Error processing new candles", ex);
return(null);
}
RemoveInvalidTrades(strategy.NewTrades, smallestNonM1Candle.CloseBid, smallestNonM1Candle.CloseAsk);
// Add new trades
foreach (var t in strategy.NewTrades)
{
if (t.CloseDateTime != null)
{
trades.AddClosedTrade(t);
}
else if (t.EntryDateTime == null && t.OrderDateTime != null)
{
trades.AddOrderTrade(t);
}
else if (t.EntryDateTime != null)
{
trades.AddOpenTrade(t);
}
}
}
LogProgress(trades, allCandles[smallestNonM1Timeframe][allCandles[smallestNonM1Timeframe].Count - 1].CloseTimeTicks);
var ret = trades.AllTrades.Select(x => x.Trade).ToList();
foreach (var t in ret)
{
TradeCalculator.UpdateInitialStopPips(t);
TradeCalculator.UpdateInitialLimitPips(t);
TradeCalculator.UpdateRMultiple(t);
}
return(ret);
}
public ReadOnlyTradeCollection(TradeWithIndexingCollection trades)
{
_trades = trades;
}
