public virtual ICollection <ShoutedStory> GetPostedByTag(string tag, int start, int max)
{
Check.Argument.IsNotEmpty(tag, "tag");
Check.Argument.IsNotNegative(start, "start");
Check.Argument.IsNotNegative(max, "max");
return(CurrentDataSource.GetStoriesByTag(tag, start, max));
}
public override object Clone()
{
var p = new BacktestingProject()
{
Name = Name,
Memo = Memo,
IsUnlimited = IsUnlimited,
AnalyseGrade = AnalyseGrade,
AnalyseStartTime = AnalyseStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
CurrentTradeGate = CurrentTradeGate,
Fine = Fine,
Grade = Grade,
ProjectStartTime = ProjectStartTime,
RiskPolicy = RiskPolicy.Clone() as IRiskControl,
Status = Status,
TargetPortfolio = TargetPortfolio.Clone() as IPortfolio,
TestStrategy = TestStrategy.Clone() as IStrategy,
TestCurrentTime = TestCurrentTime,
TestEndTime = TestEndTime,
TestStartTime = TestStartTime,
TestStepDelayMS = TestStepDelayMS,
};
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
return(p);
}
public virtual ICollection <ShoutedStory> GetPublishedByCategory(string category, int start, int max)
{
Check.Argument.IsNotEmpty(category, "category");
Check.Argument.IsNotNegative(start, "start");
Check.Argument.IsNotNegative(max, "max");
return(CurrentDataSource.GetStoriesByCategory(category, start, max));
}
public override object Clone()
{
var p = new AnalyseProject()
{
AnalyseEndTime = AnalyseEndTime,
AnalyseStartTime = AnalyseStartTime,
ProjectStartTime = ProjectStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
DefaultFilterNumber = DefaultFilterNumber,
Fine = Fine,
Grade = Grade,
Memo = Memo,
Name = Name,
TestStepDelayMS = TestStepDelayMS,
Status = Status
};
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
ResultList.ForEach(v => p.ResultList.Add(v.Clone() as IInstrument));
BlockList.ForEach(v => p.BlockList.Add(v.Clone() as IInstrument));
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
PredicateList.ForEach(v => p.PredicateList.Add(v.Clone() as ICondition));
return(p);
}
public void AddToVertexGraveyard(int buildingId, int vertexId)
{
//string errorMsg = "ERROR: Could not delete Vertex w. ID = " + vertexId + " from building w. ID = " + buildingId;
//string succesMsg = "SUCCES: Deleted Vertex w. ID = " + vertexId + " from building w. ID = " + buildingId;
//Check buildings exist
Building graveyardBuilding = CurrentDataSource.Buildings.SingleOrDefault(b => b.ID == 18); //graveyard
Building sourceBuilding = CurrentDataSource.Buildings.SingleOrDefault(b => b.ID == buildingId);
if (graveyardBuilding == null || sourceBuilding == null)
{
return; // errorMsg;
}
//Check vertex exists
Vertex targetVertex = CurrentDataSource.Vertices.SingleOrDefault(v => v.ID == vertexId && v.Building_ID == buildingId);
if (targetVertex == null)
{
return; // errorMsg;
}
//delete the vertex's edges
IQueryable <Edge> targetEdges = CurrentDataSource.Edges.Where(e => e.vertexOrigin == vertexId || e.vertexDestination == vertexId);
foreach (Edge e in targetEdges)
{
CurrentDataSource.Edges.DeleteObject(e);
}
//move the vertex from the original building to the VertexGraveyard building (the one with ID = 18)
graveyardBuilding.Vertices.Add(targetVertex);
sourceBuilding.Vertices.Remove(targetVertex);
CurrentDataSource.SaveChanges();
}
public virtual ICollection <ShoutedStory> GetShoutedByUser(string userName, int start, int max)
{
Check.Argument.IsNotEmpty(userName, "userName");
Check.Argument.IsNotNegative(start, "start");
Check.Argument.IsNotNegative(max, "max");
return(CurrentDataSource.GetStoriesShoutedByUser(userName, start, max));
}
private void RefreshDataSource()
{
if (null != CurrentDataSource)
{
CurrentDataSource.Refresh();
}
}
private void RefreshDataSource()
{
if (null != CurrentDataSource)
{
CurrentDataSource.RefreshAsync(DataSourceRefreshComplete, this);
}
}
public bool RatePolicy(int policyID)
{
IPolicyRater rater = AIMS.Services.IoC.Container.Resolve <IPolicyRater>();
var policy = CurrentDataSource.Policies.Find(policyID);
var result = rater.Rate(policy, CurrentDataSource);
CurrentDataSource.SaveChanges();
return(result.Success);
}
public override void SaveOriginalStatus()
{
CurrentDataSource.SaveOriginalStatus();
ConditionList.ForEach(v => v.SaveOriginalStatus());
TargetPortfolio.SaveOriginalStatus();
TestStrategy.SaveOriginalStatus();
CurrentTradeGate.SaveOriginalStatus();
RiskPolicy.SaveOriginalStatus();
}
public override void LoadOriginalStatus()
{
if (Status != ProjectStatus.Stopped)
{
Stop();
}
CurrentDataSource.LoadOriginalStatus();
ConditionList.ForEach(v => v.LoadOriginalStatus());
PredicateList.ForEach(v => v.LoadOriginalStatus());
}
public override void PrepareWork()
{
CurrentDataSource.PrepareWork();
ProjectStartTime = DateTime.Now;
ResultList.Clear();
ConditionList.ForEach(v => v.PrepareWork());
PredicateList.ForEach(v => v.PrepareWork());
current = 0;
CurrentDataSource.CacheSize = 5;
}
public override void FinishWork()
{
TestCurrentTime = TestEndTime;
TargetPortfolio.FinishWork();
ConditionList.ForEach(v => v.FinishWork());
//SensorList.ForEach(v => v.FinishWork());
CurrentTradeGate.FinishWork();
CurrentDataSource.FinishWork();
TestStrategy.FinishWork();
RiskPolicy.FinishWork();
}
public void UpdatePerson(Person person, UpdateOperations op)
{
if (op.HasFlag(UpdateOperations.Delete))
{
CurrentDataSource.AddToDeletedItems(new DeletedItem {
Id = person.Id, EntitySet = "People", Ts = DateTime.Now
});
}
else
{
person.Ts = DateTime.Now;
}
}
public void UpdateCompany(Company company, UpdateOperations op)
{
if (op.HasFlag(UpdateOperations.Delete))
{
CurrentDataSource.AddToDeletedItems(new DeletedItem {
Id = company.Id, EntitySet = "Companies", Ts = DateTime.Now
});
}
else
{
company.Ts = DateTime.Now;
}
}
public override void LoadOriginalStatus()
{
if (Status != ProjectStatus.Stopped)
{
Stop();
}
CurrentDataSource.LoadOriginalStatus();
ConditionList.ForEach(v => v.LoadOriginalStatus());
TargetPortfolio.LoadOriginalStatus();
TestStrategy.LoadOriginalStatus();
CurrentTradeGate.LoadOriginalStatus();
RiskPolicy.LoadOriginalStatus();
}
void Save()
{
TargetObject.InstrumentList.Clear();
foreach (var inst in InstrumentList)
{
TargetObject.InstrumentList.Add(inst);
}
TargetObject.SectorList.Clear();
foreach (var v in SectorList)
{
TargetObject.SectorList.Add(v);
}
TargetObject.CurrentDataSource = CurrentDataSource.Clone() as IDataSource;
}
public void RemoveFromGroup(string pid, string gid)
{
var _pid = Int32.Parse(pid);
var _gid = Int32.Parse(gid);
var _person = CurrentDataSource.GoupMail_Person.Where(x => x.ItemID == _pid).FirstOrDefault();
var _group = CurrentDataSource.GroupMail_Groups.Where(x => x.ItemID == _gid).FirstOrDefault();
if (_person != null && _group != null)
{
_person.Lists.Remove(_group);
CurrentDataSource.SaveChanges();
}
}
/// <summary>
/// 加载完成时
/// </summary>
protected void LoadComplete()
{
State = LoaderState.complete;
if (debug)
{
DebugConsole.Info("Loader", "加载完成", this.url, CurrentDataSource.ToString());
}
OnLoadCompleteHandler();
onLoadComplete.Dispatch(this);
onLoadComplete.Clear();
if (CurrentDataSource.source != DownLoadAgent.DataSourceType.Cache)
{
SaveToLocal();
}
}
public void LoadCurrentInstrumentMarketData(DateTime start, DateTime end)
{
if (CurrentInstrument == null)
{
return;
}
else
{
MarketDataList.Clear();
var ml = CurrentDataSource.GetDataList(new List <IInstrument>()
{
CurrentInstrument
}, start, end, Grade);
ml.ForEach(v => MarketDataList.Add(v));
}
}
public List <IMarketData> GetMarketDataList()
{
if (CurrentDataSource == null)
{
return(null);
}
if (AnalyseType != DistributeAnalyseType.Instrument)
{
InstrumentList.Clear();
SectorList.ForEach(s =>
{
InstrumentList.AddRange(Instrument.GetInstrumentBySector(s, AnalyseType));
});
}
return(CurrentDataSource.GetDataList(InstrumentList, StartTime, EndTime, Grade));
}
public bool AddAttendee(string name, string email, string company, string registrationCode, int eventId)
{
if (!(from rc in this.CurrentDataSource.RegistrationCodes
where rc.RegistrationCode1 == registrationCode
select rc).Any())
{
return(false);
}
var attendee = new Attendee
{
Name = name,
Email = email,
Company = company,
RegistrationCode = registrationCode,
EventId = eventId
};
CurrentDataSource.Attendees.AddObject(attendee);
return(!(CurrentDataSource.SaveChanges() < 1));
}
protected virtual void InterceptChange(TenantEntity entity, UpdateOperations operations)
{
if (TenantFilter.AppTenantID == 0)
{
throw new HttpRequestValidationException();
}
if (operations == UpdateOperations.Add)
{
entity.AppTenantID = TenantFilter.AppTenantID;
}
if (operations == UpdateOperations.Change)
{
int originalTenant = CurrentDataSource.Entry(entity).OriginalValues.GetValue <int>("AppTenantID");
if (originalTenant != TenantFilter.AppTenantID)
{
throw new HttpRequestValidationException();
}
if (originalTenant != entity.AppTenantID)
{
throw new Exception("Entity cannot move across tenants");
}
}
if (operations == UpdateOperations.Delete)
{
int originalTenant = CurrentDataSource.Entry(entity).OriginalValues.GetValue <int>("AppTenantID");
if (originalTenant != TenantFilter.AppTenantID)
{
throw new HttpRequestValidationException();
}
}
}
public List <Tuple <double, double> > GetDimentionAnalyse(IInstrument inst, bool isAbsolute = false, int n = 20)
{
var ml = CurrentDataSource.GetDataList(inst, StartTime, EndTime, Grade);
return(GetDimentionAnalyse(GetDistributeDataList(ml), isAbsolute, n));
}
public List <Tuple <double, double, double> > Get3DCurve(IInstrument inst)
{
var ml = CurrentDataSource.GetDataList(inst, StartTime, EndTime, Grade);
return(Get3DCurve(GetDistributeDataList(ml)));
}
public override void FinishWork()
{
CurrentDataSource.FinishWork();
ConditionList.ForEach(v => v.FinishWork());
PredicateList.ForEach(v => v.FinishWork());
}
IEnumerator LoadingSequence()
{
int i = 0;
while (i < config.dataSources.Count)
{
CurrentDataSource = config.dataSources[i];
if (debug)
{
DebugConsole.Info("Loader", "加载URl", url, CurrentDataSource.ToString() + id.ToString());
}
switch (CurrentDataSource.source)
{
case DownLoadAgent.DataSourceType.Cache:
if (this.HasLocal())
{
Coroutine async = this.LoadFromLocal();
if (debug)
{
DebugConsole.Info("Loader", "本地缓存", (async == null).ToString(), id.ToString());
}
//异步加载中
if (async != null)
{
yield return(async);
}
if (this.State == LoaderState.complete)
{
this.LoadComplete();
yield break;
}
else
{
i++;
continue;
}
}
else
{
i++;
continue;
}
case DownLoadAgent.DataSourceType.Resource:
Coroutine Resasync = this.LoadFromResource();
if (debug)
{
DebugConsole.Info("Loader", "资源文件", (Resasync == null).ToString(), id.ToString());
}
//异步加载中
if (Resasync != null)
{
yield return(Resasync);
}
if (this.State == LoaderState.complete)
{
this.LoadComplete();
yield break;
}
else
{
i++;
continue;
}
case DownLoadAgent.DataSourceType.StreamAsset:
try
{
www = new WWW(url);
}
catch (Exception e)
{
if (debug)
{
DebugConsole.Info("Loader", "StreamAsset", "加载失败", id.ToString());
}
i++;
continue;
}
yield return(www);
if (!String.IsNullOrEmpty(www.error)) //出错
{
DebugConsole.Warning("Loader", "Server", this.url, www.error);
www = null; //直接释放
i++;
continue;
}
else if (www.isDone)
{
LoadComplete();
yield break;
}
i++;
continue;
case DownLoadAgent.DataSourceType.Server:
if (this.HasNewVersion())
{
try
{
www = new WWW(url);
}
catch (Exception e)
{
if (debug)
{
DebugConsole.Info("Loader", "Server", "加载失败", id.ToString());
}
i++;
continue;
}
yield return(www);
if (!String.IsNullOrEmpty(www.error)) //出错
{
DebugConsole.Warning("Loader", "Server", this.url, www.error);
www = null; //直接释放
i++;
continue;
}
else if (www.isDone)
{
LoadComplete();
yield break;
}
}
i++;
continue;
}
}
this.LoadError();
}
public virtual ICollection <ShoutedStory> GetUpcoming(int start, int max)
{
Check.Argument.IsNotNegative(start, "start");
Check.Argument.IsNotNegative(max, "max");
return(CurrentDataSource.GetUpcomingStories(start, max));
}
void TestStep(DateTime start, DateTime end)
{
TestStrategy.CurrentTime = end;
AddInfo("test step, start:" + start.ToString() + ",end:" + end.ToString());
var dl = CurrentDataSource.GetDataList(InstrumentList, start, end, Grade);
AddInfo("got market data ,count is:" + dl.Count.ToString());
if (dl == null || dl.Count == 0)
{
return;
}
TestStrategy.CurrentTime = dl.Max(d => d.Time);
dl.ForEach(v =>
{
var inst = InstrumentList.FirstOrDefault(i => i.Ticker == v.InstrumentTicker);
if (inst != null)
{
AddInfo("update " + inst.Name + " price, value is:" + v.Close.ToString() + "(" + v.Time.ToString() + ")");
inst.CurrentPrice = v.Close;
}
});
MarketDataList.AddRange(dl);
AddInfo("portfolio process market data!");
TargetPortfolio.ProcessMarketData(dl);
AddInfo("standard portfolio process market data!");
standardPortfolio.ProcessMarketData(dl);
AddInfo("strategy process market data!");
TestStrategy.ProcessMarketData(dl);
if (analyseTime <= end)
{
AddInfo("prepare analyse, analyse time is:" + analyseTime.ToString());
AnalyseStep();
analyseTime = MarketData.GetNextTime(end, AnalyseGrade);
var cl = new List <ISignal>();
foreach (var condition in ConditionList)
{
var rl = condition.GetResult();
if (rl != null && rl.Count > 0)
{
cl.AddRange(rl);
}
}
if (cl.Count > 0)
{
AddInfo("got signal, count is " + cl.Count.ToString());
TestStrategy.ProcessSignal(cl);
}
}
AddInfo("strategy process portfolio");
TestStrategy.ProcessPortfolio();
var ol = TestStrategy.GetOrderList();
if (ol.Count > 0)
{
AddInfo("strategy generate order, count is :" + ol.Count.ToString());
List <IOrder> col = new List <IOrder>();
foreach (var o in ol)
{
if (o != null && RiskPolicy.PredictOrder(o, TargetPortfolio))
{
col.Add(o);
}
}
OrderList.AddRange(col);
AddInfo("trade gate process order");
CurrentTradeGate.ProcessorOrder(col);
AddInfo("portfolio info before process order is" + GetPortfolioMemo(TargetPortfolio));
TargetPortfolio.ProcessOrderList(col);
AddInfo("portfolio info after process order is" + GetPortfolioMemo(TargetPortfolio));
}
if (!IsUnlimited)//adjust risk
{
AddInfo("adjust risk");
ol = RiskPolicy.AdjustRisk(TargetPortfolio);
if (ol.Count > 0)
{
AddInfo("risk order generate, count is:" + ol.Count.ToString());
OrderList.AddRange(ol);
List <IOrder> col = ol.Where(v => v != null).ToList();
CurrentTradeGate.ProcessorOrder(col);
TargetPortfolio.ProcessOrderList(col);
}
}
CurrentValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = CurrentValue, Memo = GetPortfolioMemo(TargetPortfolio)
});
StandardValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = StandardValue, Memo = GetPortfolioMemo(standardPortfolio)
});
if (_MaxLost.Number > Pnl.Number)
{
_MaxLost.Number = Pnl.Number;
}
if (TestStepDelayMS > 0)
{
Thread.Sleep(TestStepDelayMS);
}
}
public override void PrepareWork()
{
TargetPortfolio.PrepareWork();
MarketDataList.Clear();
CurrentDataSource.DataList.Clear();
CurrentValueList.Clear();
StandardValueList.Clear();
OrderList.Clear();
DateTime st = TestStartTime;
if (TestStartTime > AnalyseStartTime)
{
st = AnalyseStartTime;
}
CurrentDataSource.CacheStartTime = st;
CurrentDataSource.CacheEndTime = TestEndTime;
TestCurrentTime = TestStartTime;
analyseTime = MarketData.GetNextTime(TestCurrentTime, AnalyseGrade);
_MaxLost = new Money()
{
FxCode = Pnl.FxCode, Number = 0
};
if (UseFirstMarketDataInit)
{
var fdl = new List <IMarketData>();
InstrumentList.ForEach(v =>
{
var d = CurrentDataSource.GetFirstData(v, TestStartTime, TestEndTime, Grade);
if (d != null)
{
fdl.Add(d);
}
});
TargetPortfolio.ProcessMarketData(fdl);
TargetPortfolio.PositionList.ForEach(v =>
{
var d = fdl.FirstOrDefault(m => m.InstrumentTicker == v.InstrumentTicker);
if (d != null)
{
v.Cost = d.Close;
}
});
}
if (IsUnlimited)
{
TargetPortfolio.IsUnlimited = true;
}
standardPortfolio = TargetPortfolio.Clone() as IPortfolio;
testStartValue = TargetPortfolio.CurrentValue;
CurrentDataSource.PrepareWork();
CurrentTradeGate.PrepareWork();
foreach (var condition in ConditionList)
{
condition.PrepareWork();
condition.GetInstrumentList = () => { return(InstrumentList); };
condition.AnalyseDataSource = CurrentDataSource;
}
TestStrategy.CurrentPortfolio = TargetPortfolio;
TestStrategy.PrepareWork();
RiskPolicy.PrepareWork();
}
