public override void Run()
{
StatisticsManager.Add(new DailyNumOfLossTrades());
StatisticsManager.Add(new DailyNumOfWinTrades());
StatisticsManager.Add(new DailyConsecutiveLossTrades());
Instrument instrument1 = InstrumentManager.Instruments["IF999"];
Instrument instrument2 = InstrumentManager.Instruments["IC999"];
// Create SMA Crossover strategy
//DualThrust_RangeBreak_Strategy strategy = new DualThrust_RangeBreak_Strategy(framework, "DualThrust & RangeBreak");
//RBreaker_Strategy strategy = new RBreaker_Strategy(framework, "RBreaker");
//DynamicBreakOut2 strategy = new DynamicBreakOut2(framework, "DynamicBreakOut2");
DoubleMA_Crossover strategy = new DoubleMA_Crossover(framework, "DoubleMA Crossover");
strategy.MaxBarSize = MaxBarSize;
// Add instruments
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
// Set simulation interval
DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 16, 9, 36, 0);
DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
BarFactory.Add(instrument1, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument2, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument1, SmartQuant.BarType.Time, MaxBarSize);
BarFactory.Add(instrument2, SmartQuant.BarType.Time, MaxBarSize);
this.strategy = strategy;
// Run the strategy
StartStrategy();
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["IF1612"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
DoubleMA_Crossover smaCrossoverLOS = new DoubleMA_Crossover(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// 开始时间是前一个交易日，这个地方要按自己策略的实际情况进行调整
DateTime startDate = DateTime.Now.DayOfWeek == DayOfWeek.Monday ? DateTime.Now.AddDays(-3).Date : DateTime.Now.AddDays(-1).Date;
DateTime historicalData1EndTime = startDate;
// 取本地的数据的最后时间
DataSeries ins1DataSeries = framework.DataManager.GetDataSeries(ins1, DataObjectType.Trade);
if (ins1DataSeries != null && ins1DataSeries.Count > 0)
{
historicalData1EndTime = ins1DataSeries.DateTime2;
}
// 以两个时间的最大值为起点
historicalData1EndTime = new DateTime(Math.Max(historicalData1EndTime.Ticks, startDate.Ticks));
// Load and save historical trades from QuantBase provider.
IHistoricalDataProvider quantBase = framework.ProviderManager.GetHistoricalDataProvider(94);
if (quantBase.Status == ProviderStatus.Disconnected)
{
quantBase.Connect();
}
// 等待连接成功，订阅太快了不行
while (!quantBase.IsConnected)
{
Thread.Sleep(1000);
}
// Load historical trades.
Console.WriteLine("Load historical data.");
TickSeries ins1TickSeries = framework.DataManager.GetHistoricalTrades(quantBase, ins1, historicalData1EndTime, DateTime.Now);
Console.WriteLine("Save historical data.");
// Save historical trades.
foreach (Trade trade in ins1TickSeries)
{
framework.DataManager.Save(ins1, trade);
}
// Set DataSimulator's dates.
DataSimulator.DateTime1 = startDate;
DataSimulator.DateTime2 = DateTime.Now;
// Set null for event filter.
framework.EventManager.Filter = null;
// Set property for suspend trading during simulation.
DoubleMA_Crossover.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
// Run in simulation.
Console.WriteLine("Run in Backtest mode.");
// Save current strategy mode.
StrategyMode mode = framework.StrategyManager.Mode;
// Set backtest mode.
framework.StrategyManager.Mode = StrategyMode.Backtest;
StartStrategy(StrategyMode.Backtest);
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
// Restore strategy mode.
framework.StrategyManager.Mode = mode;
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
// Set property for trading.
DoubleMA_Crossover.SuspendTrading = false;
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
StartStrategy(framework.StrategyManager.Mode);
}
public override void Run()
{
StatisticsManager.Add(new DailyNumOfLossTrades());
StatisticsManager.Add(new DailyNumOfWinTrades());
StatisticsManager.Add(new DailyConsecutiveLossTrades());
Instrument instrument1 = InstrumentManager.Instruments["IF999"];
Instrument instrument2 = InstrumentManager.Instruments["IC999"];
// Create SMA Crossover strategy
//DualThrust_RangeBreak_Strategy strategy = new DualThrust_RangeBreak_Strategy(framework, "DualThrust & RangeBreak");
//RBreaker_Strategy strategy = new RBreaker_Strategy(framework, "RBreaker");
//DynamicBreakOut2 strategy = new DynamicBreakOut2(framework, "DynamicBreakOut2");
DoubleMA_Crossover strategy = new DoubleMA_Crossover(framework, "DoubleMA Crossover");
strategy.MaxBarSize = MaxBarSize;
// Add instruments
strategy.AddInstrument(instrument1);
//strategy.AddInstrument(instrument2);
// Set simulation interval
DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 16, 9, 36, 0);
DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
BarFactory.Add(instrument1, SmartQuant.BarType.Time, barSize);
//BarFactory.Add(instrument2, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument1, SmartQuant.BarType.Time, MaxBarSize);
//BarFactory.Add(instrument2, SmartQuant.BarType.Time, MaxBarSize);
this.strategy = strategy;
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Run the strategy
StartStrategy();
}
