private static void InitializeLogging()
{
// Delete all log files older than 1 week
try
{
var applicationDataDirectory = Catel.IO.Path.GetApplicationDataDirectory();
if (Directory.Exists(applicationDataDirectory))
{
var logFiles = Directory.GetFiles(applicationDataDirectory, "*.log");
foreach (var logFile in logFiles)
{
var lastWriteTime = File.GetLastWriteTime(logFile);
if (lastWriteTime < DateTime.Now.AddDays(-7))
{
File.Delete(logFile);
}
}
}
}
catch (Exception)
{
// Ignore
}
var fileLogListener = new FileLogListener()
{
IgnoreCatelLogging = true,
IsDebugEnabled = false,
IsInfoEnabled = true,
IsWarningEnabled = true,
IsErrorEnabled = true
};
LogManager.AddListener(fileLogListener);
}
static void Main(string[] args)
{
_trader = new QuikTrader();
// объкт, управляющий логгированием
_logManager = new LogManager();
// слушатель - устройство вывода, куда будут записываться сообщения
// слушатели:
// консоль
_logManager.Listeners.Add(new ConsoleLogListener());
// окно вывода
_logManager.Listeners.Add(new DebugLogListener());
// файл
var fileListener = new FileLogListener
{
Append = false, // true - добавляет сообщения в конец существующего файла, false - перезаписывает существующий файл
Extension = "log", // расширение файла лога
FileName = "FirstLog", // имя файла лога
MaxLength = 1000000, // максимальная длинна файла лога в байтах / в данном случае 1мб
LogDirectory = "Logs", // максимальная длинна файла лога
SeparateByDates = SeparateByDateModes.FileName // режим разделения логов по датам
};
_logManager.Listeners.Add(fileListener);
// добавляем источник логов. В данном случае это коннектор.
// Роль истоника логов может выполнять любой класс, наследующий от BaseLogReceiver, или реализующий интерфейс ILogSource
_logManager.Sources.Add(_trader);
_connection = new Connection(_trader, "NL0011100043", "SBER@QJSIM");
// Уровни логирования
// Off - логи не выводятся
// Error - выводятся только сообщения об ошибках
// Warning - выводятся предупреждения и сообщения об ошибках
// Info - выводятся информационные сообщения, предупреждения и сообщения об ошибках
// Debug - выводятся все сообщения
_connection.LogLevel = LogLevels.Debug;
// добавляем еще один источник логов.
_logManager.Sources.Add(_connection);
_connection.Connect();
Console.Read();
_connection.Disconnect();
}
/// <summary>
/// This is where the work is done.
/// </summary>
protected override void ExecuteTask()
{
IRecorder recorder = _recorders[LogName.FullName];
switch (Action)
{
case ActionType.Start:
if (recorder == null)
{
recorder = new FileLogListener(LogName.FullName);
Recorders.Add(recorder);
}
recorder.AutoFlush = AutoFlush;
recorder.Logger.Threshold = ThresholdLevel;
recorder.Start();
AttachRecorder(recorder);
break;
case ActionType.Stop:
if (recorder == null)
{
throw new BuildException(string.Format(CultureInfo.InvariantCulture,
"Tried to stop non-existent recorder '{0}'", LogName.FullName),
Location);
}
recorder.Stop();
break;
case ActionType.Close:
if (recorder == null)
{
throw new BuildException(string.Format(CultureInfo.InvariantCulture,
"Tried to close non-existent recorder '{0}'", LogName.FullName),
Location);
}
DetachRecorder(recorder);
recorder.Close();
Recorders.Remove(recorder.Name);
break;
case ActionType.Flush:
if (recorder == null)
{
throw new BuildException(string.Format(CultureInfo.InvariantCulture,
"Tried to flush non-existent recorder '{0}'", LogName.FullName),
Location);
}
recorder.Flush();
break;
}
}
private static void AddFileLogListener(string prefix)
{
Argument.IsNotNull(() => prefix);
var fileName = Path.Combine(Path.GetApplicationDataDirectory(), string.Format("{0}_{1}.txt", prefix, DateTime.Now.ToString("yyyyMMdd_HHmm")));
var fileLogListener = new FileLogListener(fileName, 10 * 1024);
//fileLogger.IgnoreCatelLogging = true;
LogManager.AddListener(fileLogListener);
Log.LogProductInfo();
Log.LogDeviceInfo();
}
public void ReturnsRightFullPath(string path, string expectedPath)
{
var assembly = GetType().Assembly;
var fileLogListener = new FileLogListener(path, 25000, assembly);
fileLogListener.FilePath = path;
var returnedPath = fileLogListener.FilePath;
var appDataPath = Environment.GetFolderPath(Environment.SpecialFolder.ApplicationData);
returnedPath = returnedPath.Replace(appDataPath, "{AppData}");
Assert.AreEqual(expectedPath, returnedPath);
}
public static ILogListener CreateFileLogListener(string prefix)
{
Argument.IsNotNull(() => prefix);
var directory = Path.Combine(Path.GetApplicationDataDirectory(), "log");
if (!Directory.Exists(directory))
{
Directory.CreateDirectory(directory);
}
var fileName = Path.Combine(directory, prefix + "_{Date}_{Time}_{ProcessId}");
var fileLogListener = new FileLogListener(fileName, 10 * 1024);
return(fileLogListener);
}
protected override void OnStartup(StartupEventArgs e)
{
#if DEBUG
LogManager.AddDebugListener();
#endif
var fileLogListener = new FileLogListener();
fileLogListener.FilePath = "{AppDir}/{AssemblyName}";
fileLogListener.IgnoreCatelLogging = true;
LogManager.AddListener(fileLogListener);
Log.Info("Starting application");
// To force the loading of all assemblies at startup, uncomment the lines below:
//Log.Info("Preloading assemblies");
//AppDomain.CurrentDomain.PreloadAssemblies();
// Want to improve performance? Uncomment the lines below. Note though that this will disable
// some features.
//
// For more information, see https://catelproject.atlassian.net/wiki/display/CTL/Performance+considerations
// Log.Info("Improving performance");
// Catel.Data.ModelBase.DefaultSuspendValidationValue = true;
// Catel.Windows.Controls.UserControl.DefaultCreateWarningAndErrorValidatorForViewModelValue = false;
// Catel.Windows.Controls.UserControl.DefaultSkipSearchingForInfoBarMessageControlValue = true;
// TODO: Register custom types in the ServiceLocator
//Log.Info("Registering custom types");
//var serviceLocator = ServiceLocator.Default;
//serviceLocator.RegisterType<IMyInterface, IMyClass>();
StyleHelper.CreateStyleForwardersForDefaultStyles();
Log.Info("Calling base.OnStartup");
base.OnStartup(e);
}
private CommandHandler(IConnector connector)
{
_connector = connector;
var logger = new FileLogListener
{
Append = true,
MaxLength = 2048000,
FileName = "{0:00}_{1:00}_{2:00}_log.txt".Put(DateTime.Now.Hour, DateTime.Now.Minute, DateTime.Now.Second),
SeparateByDates = SeparateByDateModes.FileName,
LogDirectory = "logs"
};
_logManager = new LogManager();
_userPositions = new Dictionary <string, UserPosition>();
_messageManager = new MessageManager();
_messageManager.AutoMessage += DoAutoGeneralInfo;
UserPosition.LoadFromXml()?.ForEach(up => { _userPositions.Add(up.SecCode, up); });
_logManager.Listeners.Add(logger);
_logManager.Sources.Add(_connector);
}
public void Log_logs_an_entry_to_a_file()
{
DateTime testTime = DateTime.Now;
Logger logger = new Logger(LogLevel.Message);
FileLogListener listener = new FileLogListener(AppDomain.CurrentDomain.BaseDirectory);
listener.TestTime = testTime;
logger.Listeners.Add(listener);
string message = Guid.NewGuid().ToString();
string expectedText = string.Format("{0} {1} {2}", testTime.ToString("s"), "Warning", message);
string expectedFileName = "LogFile_" + testTime.ToString("yyyy-MM-dd") + ".txt";
string expectedFilePath = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, expectedFileName);
logger.LogWarning(message);
Assert.IsTrue(File.Exists(expectedFilePath));
string actual = File.ReadAllText(expectedFilePath);
Assert.IsTrue(actual.Contains(expectedText));
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
if (FinamCandlesCheckBox.IsChecked == true)
{
_finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
}
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo {
UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
OrderLogMarketDepthBuilders =
{
{
secId,
LocalizedStrings.ActiveLanguage == Languages.Russian
? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId)
: new ItchOrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, candleManager, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapter.SendOutMessage(level1Info);
if (emulationInfo.HistorySource != null)
{
if (emulationInfo.UseCandleTimeFrame != null)
{
connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
}
if (emulationInfo.UseTicks)
{
connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseMarketDepth)
{
connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
}
}
else
{
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterSecurity(security);
}
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine);
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL ?? 0
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
};
// get emulation connector
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(new CandleManager(connector));
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
protected override async void OnStartup(StartupEventArgs e)
{
var languageService = ServiceLocator.Default.ResolveType <ILanguageService>();
languageService.PreferredCulture = new CultureInfo("en-US");
languageService.FallbackCulture = new CultureInfo("en-US");
#if DEBUG
_debugListener = LogManager.AddDebugListener(true);
#endif
var fileLogListener = new FileLogListener
{
IgnoreCatelLogging = true,
FilePath = FileLocations.LogFile,
TimeDisplay = TimeDisplay.DateTime
};
LogManager.IgnoreDuplicateExceptionLogging = false;
LogManager.AddListener(fileLogListener);
LogManager.GetCurrentClassLogger().Debug($"Started with command line {Environment.CommandLine}");
var serviceLocator = ServiceLocator.Default;
var updateService = serviceLocator.ResolveType <IUpdateService>();
updateService.Initialize(Settings.Application.AutomaticUpdates.AvailableChannels,
Settings.Application.AutomaticUpdates.DefaultChannel,
Settings.Application.AutomaticUpdates.CheckForUpdatesDefaultValue);
if (updateService.IsUpdateSystemAvailable)
{
LogManager.GetCurrentClassLogger().Debug("Update system available, processing squirrel events");
using (var mgr = new UpdateManager(updateService.CurrentChannel.DefaultUrl))
{
// Note, in most of these scenarios, the app exits after this method
// completes!
SquirrelAwareApp.HandleEvents(
onInitialInstall: v =>
{
LogManager.GetCurrentClassLogger().Debug("Installing shortcuts");
mgr.CreateShortcutForThisExe();
Environment.Exit(0);
},
onAppUpdate: v =>
{
LogManager.GetCurrentClassLogger().Debug("Update: Installing shortcuts");
mgr.CreateShortcutForThisExe();
Environment.Exit(0);
},
onAppUninstall: v =>
{
mgr.RemoveShortcutForThisExe();
Environment.Exit(0);
});
}
}
LogManager.GetCurrentClassLogger().Debug("Startup");
try
{
RotateLogFile(fileLogListener.FilePath);
}
catch (Exception exception)
{
LogManager.GetCurrentClassLogger().Error("Tried to rotate the log file, but it failed.");
LogManager.GetCurrentClassLogger().Error(exception);
MessageBox.Show(
$"Unable to rotate the log file {fileLogListener.FilePath}. Please verify that you have access to that file. " +
$"We will continue, but no logging will be available. Additional information: {Environment.NewLine}{Environment.NewLine}{exception}",
"Log File Error",
MessageBoxButton.OK,
MessageBoxImage.Error);
}
// Clean up old RemoteVstHost logs
VstUtils.CleanupVstWorkerLogDirectory();
await StartShell();
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// создаем длины скользящих средник
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var timeFrame = TimeSpan.FromMinutes(5);
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = "RIZ2@FORTS", // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// кол-во одновременно тестируемых стратегий
BatchSize = periods.Length,
}
};
// и подписываемся на событие изменения прогресса тестирования, чтобы обновить ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(LocalizedStrings.Str3024 + (DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
};
// получаем подключение для эмуляции
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
// подписываемся на получение данных после получения инструмента
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// стакан для инструмента в истории обновляется раз в секунду
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// создаем торговую стратегию
var strategy = new SmaStrategy(series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(new CandleManager(connector));
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
})
.ToEx(periods.Length);
// запускаем эмуляцию
batchEmulation.Start(strategies);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_batchEmulation != null)
{
_batchEmulation.Resume();
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
TestingProcess.Value = 0;
Curve.Clear();
Stat.Clear();
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new List <(int longMa, int shortMa, Color color)>();
for (var l = 100; l >= 50; l -= 10)
{
for (var s = 10; s >= 5; s -= 1)
{
periods.Add((l, s, Color.FromRgb((byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255))));
}
}
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(1);
// create test security
var security = new Security
{
Id = "SBER@TQBR", // sec id has the same name as folder with historical data
Code = "SBER",
Name = "SBER",
Board = ExchangeBoard.Micex,
};
var startTime = new DateTime(2020, 4, 1);
var stopTime = new DateTime(2020, 4, 20);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 0.01m)
.TryAdd(Level1Fields.StepPrice, 0.01m)
.TryAdd(Level1Fields.MinPrice, 0.01m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
// create backtesting connector
_batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
// if not set, then CPU count * 2
//BatchSize = 3,
}
};
// handle historical time for update ProgressBar
_batchEmulation.TotalProgressChanged += (currBatch, total) => this.GuiAsync(() => TestingProcess.Value = total);
_batchEmulation.StateChanged += (oldState, newState) =>
{
var isFinished = _batchEmulation.IsFinished;
if (_batchEmulation.State == ChannelStates.Stopped)
{
_batchEmulation = null;
}
this.GuiAsync(() =>
{
switch (newState)
{
case ChannelStates.Stopping:
case ChannelStates.Starting:
case ChannelStates.Suspending:
SetIsEnabled(false, false, false);
break;
case ChannelStates.Stopped:
SetIsEnabled(true, false, false);
if (isFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
break;
case ChannelStates.Started:
SetIsEnabled(false, true, true);
break;
case ChannelStates.Suspended:
SetIsEnabled(true, false, true);
break;
default:
throw new ArgumentOutOfRangeException(newState.ToString());
}
});
};
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SampleHistoryTesting.SmaStrategy(series)
{
ShortSma = { Length = period.shortMa },
LongSma = { Length = period.longMa },
Volume = 1,
Security = security,
Portfolio = portfolio,
//Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
this.GuiSync(() =>
{
var curveElem = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3, ChartIndicatorDrawStyles.Line);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(curveElem, strategy.PnL);
Curve.Draw(data);
};
Stat.AddStrategies(new[] { strategy });
});
return(strategy);
});
// start emulation
_batchEmulation.Start(strategies, periods.Count);
}
public static int Link(Context context)
{
int?exitCode = null;
var stopWatch = new Stopwatch();
stopWatch.Start();
context.ValidateContext();
if (!string.IsNullOrEmpty(context.LogFile))
{
var fileLogListener = new FileLogListener(context.LogFile, 25 * 1024);
fileLogListener.IsDebugEnabled = context.IsDebug;
fileLogListener.IgnoreCatelLogging = true;
LogManager.AddListener(fileLogListener);
}
if (!PdbStrHelper.IsPdbStrAvailable())
{
Log.Error("PdbStr is not found on the computer, please install 'Debugging Tools for Windows'");
return(-1);
}
try
{
var projects = new List <Project>();
string[] solutionFiles;
if (string.IsNullOrEmpty(context.SolutionFile))
{
solutionFiles = Directory.GetFiles(context.SolutionDirectory, "*.sln", SearchOption.AllDirectories);
}
else
{
var pathToSolutionFile = Path.Combine(context.SolutionDirectory, context.SolutionFile);
if (!File.Exists(pathToSolutionFile))
{
Log.Error("Could not find solution file: " + pathToSolutionFile);
return(-1);
}
solutionFiles = new[] { pathToSolutionFile };
}
foreach (var solutionFile in solutionFiles)
{
var solutionProjects = ProjectHelper.GetProjects(solutionFile, context.ConfigurationName, context.PlatformName);
projects.AddRange(solutionProjects);
}
var provider = context.Provider;
if (provider == null)
{
Log.ErrorAndThrowException <GitLinkException>("Cannot find a matching provider for '{0}'", context.TargetUrl);
}
Log.Info("Using provider '{0}'", provider.GetType().Name);
var shaHash = context.Provider.GetShaHashOfCurrentBranch(context);
Log.Info("Using commit sha '{0}' as version stamp", shaHash);
var projectCount = projects.Count();
var failedProjects = new List <Project>();
Log.Info("Found '{0}' project(s)", projectCount);
Log.Info(string.Empty);
foreach (var project in projects)
{
try
{
if (project.ShouldBeIgnored(context.IgnoredProjects))
{
Log.Info("Ignoring '{0}'", project.GetProjectName());
Log.Info(string.Empty);
continue;
}
if (context.IsDebug)
{
project.DumpProperties();
}
if (!LinkProject(context, project, shaHash))
{
failedProjects.Add(project);
}
}
catch (Exception)
{
failedProjects.Add(project);
}
}
Log.Info("All projects are done. {0} of {1} succeeded", projectCount - failedProjects.Count, projectCount);
if (failedProjects.Count > 0)
{
Log.Info(string.Empty);
Log.Info("The following projects have failed:");
Log.Indent();
foreach (var failedProject in failedProjects)
{
Log.Info("* {0}", context.GetRelativePath(failedProject.GetProjectName()));
}
Log.Unindent();
}
exitCode = (failedProjects.Count == 0) ? 0 : -1;
}
catch (GitLinkException ex)
{
Log.Error(ex, "An error occurred");
}
catch (Exception ex)
{
Log.Error(ex, "An unexpected error occurred");
}
stopWatch.Stop();
Log.Info(string.Empty);
Log.Info("Completed in '{0}'", stopWatch.Elapsed);
return(exitCode ?? -1);
}
public static int Link(Context context)
{
int?exitCode = null;
var stopWatch = new Stopwatch();
stopWatch.Start();
context.ValidateContext();
if (!string.IsNullOrEmpty(context.LogFile))
{
var fileLogListener = new FileLogListener(context.LogFile, 25 * 1024);
fileLogListener.IsDebugEnabled = context.IsDebug;
fileLogListener.IgnoreCatelLogging = true;
LogManager.AddListener(fileLogListener);
}
using (var temporaryFilesContext = new TemporaryFilesContext())
{
Log.Info("Extracting embedded pdbstr.exe");
var pdbStrFile = temporaryFilesContext.GetFile("pdbstr.exe");
ResourceHelper.ExtractEmbeddedResource("GitLink.Resources.Files.pdbstr.exe", pdbStrFile);
try
{
var projects = new List <Project>();
string[] solutionFiles;
if (string.IsNullOrEmpty(context.SolutionFile))
{
solutionFiles = Directory.GetFiles(context.SolutionDirectory, "*.sln", SearchOption.AllDirectories);
}
else
{
var pathToSolutionFile = Path.Combine(context.SolutionDirectory, context.SolutionFile);
if (!File.Exists(pathToSolutionFile))
{
Log.Error("Could not find solution file: {0}", pathToSolutionFile);
return(-1);
}
solutionFiles = new[] { pathToSolutionFile };
}
foreach (var solutionFile in solutionFiles)
{
var solutionProjects = ProjectHelper.GetProjects(solutionFile, context.ConfigurationName, context.PlatformName);
projects.AddRange(solutionProjects);
}
var provider = context.Provider;
if (provider == null)
{
throw Log.ErrorAndCreateException <GitLinkException>("Cannot find a matching provider for '{0}'", context.TargetUrl);
}
Log.Info("Using provider '{0}'", provider.GetType().Name);
var shaHash = context.Provider.GetShaHashOfCurrentBranch(context, temporaryFilesContext);
Log.Info("Using commit sha '{0}' as version stamp", shaHash);
var projectCount = projects.Count();
var failedProjects = new List <Project>();
Log.Info("Found '{0}' project(s)", projectCount);
Log.Info(string.Empty);
foreach (var project in projects)
{
try
{
var projectName = project.GetProjectName();
if (ProjectHelper.ShouldBeIgnored(projectName, context.IncludedProjects, context.IgnoredProjects))
{
Log.Info("Ignoring '{0}'", project.GetProjectName());
Log.Info(string.Empty);
continue;
}
if (context.IsDebug)
{
project.DumpProperties();
}
if (!LinkProject(context, project, pdbStrFile, shaHash, context.PdbFilesDirectory))
{
failedProjects.Add(project);
}
}
catch (Exception)
{
failedProjects.Add(project);
}
}
Log.Info("All projects are done. {0} of {1} succeeded", projectCount - failedProjects.Count, projectCount);
if (failedProjects.Count > 0)
{
Log.Info(string.Empty);
Log.Info("The following projects have failed:");
Log.Indent();
foreach (var failedProject in failedProjects)
{
Log.Info("* {0}", context.GetRelativePath(failedProject.GetProjectName()));
}
Log.Unindent();
}
exitCode = (failedProjects.Count == 0) ? 0 : -1;
}
catch (GitLinkException ex)
{
Log.Error(ex, "An error occurred");
}
catch (Exception ex)
{
Log.Error(ex, "An unexpected error occurred");
}
stopWatch.Stop();
}
Log.Info(string.Empty);
Log.Info("Completed in '{0}'", stopWatch.Elapsed);
exitCode = exitCode ?? -1;
if (context.ErrorsAsWarnings && exitCode != 0)
{
Log.Info("One or more errors occurred, but treating it as warning instead");
exitCode = 0;
}
return(exitCode.Value);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// создаем настройки для тестирования
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// тест только на тиках
new EmulationInfo {
CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// тест на тиках + стаканы
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// тест на свечах
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// тест на свечах + стаканы
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// тест на логе заявок
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// в реальности период может быть другим, и это зависит от объема данных,
// хранящихся по пути HistoryPath,
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно.
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// использовать свечи
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки.
// Если выключено - требуется "прохождение цены сквозь уровень"
// (более "суровый" режим тестирования.)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
//подписываемся на получение данных после получения инструмента
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
// тест подразумевает наличие стаканов
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// если выбрана генерация стаканов вместо реальных стаканов
generateDepths ||
// для свечей генерируем стаканы всегда
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// если история по стаканам отсутствует, но стаканы необходимы для стратегии,
// то их можно сгенерировать на основании цен последних сделок или свечек.
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены
MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда.
MaxPriceStepCount = 3 // максимальное количество шагов между ценами,
});
}
}
else if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
connector.Connect();
connector.StartExport();
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
// комиссия в 1 копейку за сделку
connector.MarketEmulator.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
logManager.Sources.Add(strategy);
// копируем параметры на визуальную панель
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// и подписываемся на событие изменения времени, чтобы обновить ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// запускаем стратегию когда эмулятор запустился
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
foreach (var connector in _connectors)
{
// указываем даты начала и конца тестирования
connector.Start(startTime, stopTime);
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
/// <summary>
/// Initializes a new instance of the <see cref="ShellWindow"/> class.
/// </summary>
/// <remarks>This method is required for design time support.</remarks>
public ShellWindow()
: base(DataWindowMode.Custom, setOwnerAndFocus: false)
{
var currentLogFileName = TaskRunnerEnvironment.CurrentLogFileName;
if (File.Exists(currentLogFileName))
{
File.Delete(currentLogFileName);
}
var fileLogListener = new FileLogListener(currentLogFileName, 25 * 1000)
{
IgnoreCatelLogging = true,
IsDebugEnabled = false
};
LogManager.AddListener(fileLogListener);
var serviceLocator = this.GetServiceLocator();
var taskRunnerService = serviceLocator.ResolveType <ITaskRunnerService>();
var commandManager = serviceLocator.ResolveType <ICommandManager>();
var uiVisualizerService = serviceLocator.ResolveType <IUIVisualizerService>();
if (taskRunnerService.ShowCustomizeShortcutsButton)
{
AddCustomButton(DataWindowButton.FromAsync("Keyboard shortcuts", () => uiVisualizerService.ShowDialogAsync <KeyboardMappingsOverviewViewModel>(), null));
}
serviceLocator.RegisterInstance <IAboutInfoService>(taskRunnerService);
if (taskRunnerService.GetAboutInfo() != null)
{
var aboutService = serviceLocator.ResolveType <IAboutService>();
#pragma warning disable AvoidAsyncVoid // Avoid async void
commandManager.RegisterAction("Help.About", async() => await aboutService.ShowAboutAsync());
#pragma warning restore AvoidAsyncVoid // Avoid async void
AddCustomButton(new DataWindowButton("About", commandManager.GetCommand("Help.About")));
}
ThemeHelper.EnsureApplicationThemes(GetType().Assembly, true);
InitializeComponent();
serviceLocator.RegisterInstance <ILogControlService>(new LogControlService(traceOutputControl));
ConfigurationContext = taskRunnerService.GetViewDataContext();
var startupSize = taskRunnerService.GetInitialWindowSize();
if (startupSize != null && !startupSize.IsEmpty)
{
var setWidth = startupSize.Width > 0d;
var setHeight = startupSize.Height > 0d;
if (setHeight && setWidth)
{
SetCurrentValue(SizeToContentProperty, SizeToContent.Manual);
}
else if (setHeight)
{
SetCurrentValue(SizeToContentProperty, SizeToContent.Width);
}
else if (setWidth)
{
SetCurrentValue(SizeToContentProperty, SizeToContent.Height);
}
else
{
SetCurrentValue(SizeToContentProperty, SizeToContent.WidthAndHeight);
}
if (setWidth)
{
SetCurrentValue(MinWidthProperty, startupSize.Width);
SetCurrentValue(WidthProperty, startupSize.Width);
}
if (setHeight)
{
SetCurrentValue(MinHeightProperty, startupSize.Height);
SetCurrentValue(HeightProperty, startupSize.Height);
}
}
var view = taskRunnerService.GetView();
contentControl.Content = view;
}
/// <summary>
/// Initializes a new instance of the <see cref="ShellWindow"/> class.
/// </summary>
/// <remarks>This method is required for design time support.</remarks>
public ShellWindow()
: base(DataWindowMode.Custom, setOwnerAndFocus: false)
{
var currentLogFileName = TaskRunnerEnvironment.CurrentLogFileName;
if (File.Exists(currentLogFileName))
{
File.Delete(currentLogFileName);
}
var fileLogListener = new FileLogListener(currentLogFileName, 25 * 1000)
{
IgnoreCatelLogging = true,
IsDebugEnabled = false
};
LogManager.AddListener(fileLogListener);
var serviceLocator = this.GetServiceLocator();
var processService = serviceLocator.ResolveType <IProcessService>();
var taskRunnerService = serviceLocator.ResolveType <ITaskRunnerService>();
var commandManager = serviceLocator.ResolveType <ICommandManager>();
var uiVisualizerService = serviceLocator.ResolveType <IUIVisualizerService>();
AddCustomButton(new DataWindowButton("Open log...", () =>
{
LogManager.FlushAll();
processService.StartProcess(currentLogFileName);
}));
if (taskRunnerService.ShowCustomizeShortcutsButton)
{
AddCustomButton(new DataWindowButton("Keyboard shortcuts", () => uiVisualizerService.ShowDialog <KeyboardMappingsOverviewViewModel>()));
}
serviceLocator.RegisterInstance <IAboutInfoService>(taskRunnerService);
if (taskRunnerService.GetAboutInfo() != null)
{
var aboutService = serviceLocator.ResolveType <IAboutService>();
commandManager.RegisterAction("Help.About", aboutService.ShowAbout);
AddCustomButton(new DataWindowButton("About", commandManager.GetCommand("Help.About")));
}
ThemeHelper.EnsureApplicationThemes(GetType().Assembly, true);
InitializeComponent();
serviceLocator.RegisterInstance <ILogControlService>(new LogControlService(traceOutputControl));
var task = taskRunnerService.GetViewDataContext();
task.Wait();
ConfigurationContext = task.Result;
var startupSize = taskRunnerService.GetInitialWindowSize();
if (startupSize != null && !startupSize.IsEmpty)
{
bool setWidth = startupSize.Width > 0d;
bool setHeight = startupSize.Height > 0d;
if (setHeight && setWidth)
{
SizeToContent = SizeToContent.Manual;
}
else if (setHeight)
{
SizeToContent = SizeToContent.Width;
}
else if (setWidth)
{
SizeToContent = SizeToContent.Height;
}
else
{
SizeToContent = SizeToContent.WidthAndHeight;
}
if (setWidth)
{
MinWidth = startupSize.Width;
Width = startupSize.Width;
}
if (setHeight)
{
MinHeight = startupSize.Height;
Height = startupSize.Height;
}
}
var view = taskRunnerService.GetView();
contentControl.Content = view;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// set time frame is backtesting on candles
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.StartDate = startTime;
connector.StopDate = stopTime;
connector.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendOutMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// start strategy when emulation started
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
public DynamicPluginClient()
{
FileLogListener.AddFileLogListener(this);
}
