private static void PredicateStrategy(
PredicationContext context,
ITradingStrategy strategy,
IDictionary <ParameterAttribute, object> parameterValues,
DateTime startDate,
double initialCapital,
double currentCapital,
IEnumerable <Position> activePositions,
ITradingDataProvider dataProvider,
StockBlockRelationshipManager relationshipManager,
int positionFrozenDays)
{
var predicator = new TradingStrategyPredicator(
initialCapital,
currentCapital,
strategy,
parameterValues,
dataProvider,
relationshipManager,
positionFrozenDays,
activePositions,
context.Logger);
try
{
predicator.Predicate();
var auxiliaryData = predicator.PredicatedTransactions
.Select(
transaction =>
{
var codeIndex = dataProvider.GetIndexOfTradingObject(transaction.Code);
Bar lastBar;
if (!dataProvider.GetLastEffectiveBar(codeIndex, transaction.SubmissionTime, out lastBar))
{
lastBar.OpenPrice = 0.0;
lastBar.HighestPrice = 0.0;
lastBar.LowestPrice = 0.0;
lastBar.ClosePrice = 0.0;
}
return(new AuxiliaryData()
{
Code = transaction.Code,
Name = transaction.Name,
OpenPrice = lastBar.OpenPrice,
ClosePrice = lastBar.ClosePrice,
HighestPrice = lastBar.HighestPrice,
LowestPrice = lastBar.LowestPrice
});
});
context.SaveResults(
dataProvider,
parameterValues,
predicator.ActivePositions,
predicator.PredicatedTransactions,
auxiliaryData);
}
catch (Exception ex)
{
Console.WriteLine();
Console.WriteLine("{0}", ex);
return;
}
}
static void Run(Options options)
{
// check the validation of options
CheckOptions(options);
// load settings from files
var combinedStrategySettings = CombinedStrategySettings.LoadFromFile(options.CombinedStrategySettingsFile);
var stockDataSettings = ChinaStockDataSettings.LoadFromFile(options.StockDataSettingsFile);
var positions = LoadPositions(options.PositionFile);
// load codes and stock name table
var stockNameTable = new StockNameTable(stockDataSettings.StockNameTableFile);
var codes = LoadCodeOfStocks(options.CodeFile);
// load stock block relationship if necessary, and filter codes
StockBlockRelationshipManager stockBlockRelationshipManager = null;
if (!string.IsNullOrWhiteSpace(options.StockBlockRelationshipFile))
{
stockBlockRelationshipManager = LoadStockBlockRelationship(options.StockBlockRelationshipFile);
// filter stock block relationship for loaded codes only
stockBlockRelationshipManager = stockBlockRelationshipManager.CreateSubsetForStocks(codes);
// codes will be updated according to stock-block relationships
codes = stockBlockRelationshipManager.Stocks;
}
var allDataFiles = codes
.Select(stockDataSettings.BuildActualDataFilePathAndName)
.ToArray();
// initialize data provider
var dataProvider
= new ChinaStockDataProvider(
stockNameTable,
allDataFiles,
options.StartDate,
options.EndDate,
options.WarmupPeriods);
var finalCodes = dataProvider.GetAllTradingObjects().Select(to => to.Code);
var filteredStockBlockRelationshipManager = stockBlockRelationshipManager == null
? null
: stockBlockRelationshipManager.CreateSubsetForStocks(finalCodes);
if (filteredStockBlockRelationshipManager != null)
{
var filteredCodes = filteredStockBlockRelationshipManager.Stocks;
var filteredDataFiles = filteredCodes
.Select(stockDataSettings.BuildActualDataFilePathAndName)
.ToArray();
// rebuild data provider according to filtered codes
dataProvider = new ChinaStockDataProvider(
stockNameTable,
filteredDataFiles,
options.StartDate,
options.EndDate,
options.WarmupPeriods);
}
// initialize combined strategy assembler
var combinedStrategyAssembler = new CombinedStrategyAssembler(combinedStrategySettings, false);
var strategyInstances
= new List <Tuple <CombinedStrategy, IDictionary <ParameterAttribute, object> > >();
IDictionary <ParameterAttribute, object> values;
while ((values = combinedStrategyAssembler.GetNextSetOfParameterValues()) != null)
{
var strategy = combinedStrategyAssembler.NewStrategy();
strategyInstances.Add(Tuple.Create(strategy, values));
}
if (strategyInstances.Count != 1)
{
throw new InvalidDataException("Strategy has more or less than one instance, please check strategy settings");
}
string predictionContextDirectory = options.PredicationName + "_" + DateTime.Now.ToString("yyyyMMddTHHmmss");
if (!Directory.Exists(predictionContextDirectory))
{
Directory.CreateDirectory(predictionContextDirectory);
}
using (PredicationContext context = new PredicationContext(predictionContextDirectory))
{
PredicateStrategy(
context,
strategyInstances.First().Item1,
strategyInstances.First().Item2,
options.StartDate,
options.InitialCapital,
options.CurrentCapital,
positions,
dataProvider,
filteredStockBlockRelationshipManager,
options.PositionFrozenDays);
}
Console.WriteLine();
Console.WriteLine("Done.");
}
