Esempio n. 1
0
        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)
        {
            InitChart();

            if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
            {
                MessageBox.Show(this, LocalizedStrings.Str3014);
                return;
            }

            var secGen     = new SecurityIdGenerator();
            var secIdParts = secGen.Split(SecId.Text);

            var storageRegistry = new StorageRegistry()
            {
                DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
            };

            var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
            var stopTime  = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);

            //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 maxDepth  = 5;
            var maxVolume = 5;

            var secCode = secIdParts.Item1;
            var board   = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2);

            var progressBar  = TicksTestingProcess;
            var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();

            progressBar.Value   = 0;
            progressBar.Maximum = 100;

            var statistic = TicksParameterGrid;
            var security  = new Security()
            {
                Id    = SecId.Text,
                Code  = secCode,
                Board = board,
            };

            var portfolio = new Portfolio()
            {
                Name       = "test account",
                BeginValue = 1000000,
            };

            var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio })
            {
                EmulationAdapter =
                {
                    Emulator     =
                    {
                        Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, },
                        LogLevel = LogLevels.Debug,
                    },
                    LogLevel     = LogLevels.Debug,
                },
                HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), },
            };

            //logManager.Sources.Add(connector);

            var candleManager = new CandleManager(connector);
            var series        = new CandleSeries(typeof(RangeCandle), security, new Unit(100));

            shortMa = new SimpleMovingAverage {
                Length = 10
            };
            shortElem = new ChartIndicatorElement
            {
                Color          = Colors.Coral,
                ShowAxisMarker = false,
                FullTitle      = shortMa.ToString()
            };
            bufferedChart.AddElement(area, shortElem);

            longMa = new SimpleMovingAverage {
                Length = 30
            };
            longElem = new ChartIndicatorElement
            {
                ShowAxisMarker = false,
                FullTitle      = longMa.ToString()
            };

            bufferedChart.AddElement(area, longElem);

            var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series)
            {
                Volume                = 1,
                Portfolio             = portfolio,
                Security              = security,
                Connector             = connector,
                LogLevel              = LogLevels.Debug,
                UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
            };

            //logManager.Sources.Add(strategy);

            connector.NewSecurities += securities =>
            {
                if (securities.All(s => s != security))
                {
                    return;
                }

                connector.RegisterMarketDepth(security);
                connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
                {
                    Interval           = TimeSpan.FromMilliseconds(100),       // order book freq refresh is 1 sec
                    MaxAsksDepth       = maxDepth,
                    MaxBidsDepth       = maxDepth,
                    UseTradeVolume     = true,
                    MaxVolume          = maxVolume,
                    MinSpreadStepCount = 1,     // min spread generation is 2 pips
                    MaxSpreadStepCount = 1,     // max spread generation size (prevent extremely size)
                    MaxPriceStepCount  = 3      // pips size,
                });

                connector.RegisterTrades(security);
                connector.RegisterSecurity(security);

                strategy.Start();
                candleManager.Start(series);

                connector.Start();
            };

            statistic.Parameters.Clear();
            statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);

            var pnlCurve           = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area);
            var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black);
            var commissionCurve    = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
            var posItems           = PositionCurve.CreateCurve(StrategyName, Colors.Crimson);

            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;

            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();

                    SetIsEnabled(false);

                    this.GuiAsync(() =>
                    {
                        if (connector.IsFinished)
                        {
                            progressBar.Value = progressBar.Maximum;
                            MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - startEmulationTime));
                        }
                        else
                        {
                            MessageBox.Show(this, LocalizedStrings.cancelled);
                        }
                    });
                }
                else if (connector.State == EmulationStates.Started)
                {
                    SetIsEnabled(true);
                }
            };

            progressBar.Value  = 0;
            startEmulationTime = DateTime.Now;

            connector.Connect();
            connector.SendInMessage(new CommissionRuleMessage()
            {
                Rule = new CommissionPerTradeRule {
                    Value = 0.01m
                }
            });
        }
Esempio n. 3
0
		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.Ticks}),

				Tuple.Create(
					TicksAndDepthsCheckBox,
					TicksAndDepthsTestingProcess,
					TicksAndDepthsParameterGrid,
					// ticks + order book
					new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757}),

				Tuple.Create(
					DepthsCheckBox,
					DepthsTestingProcess,
					DepthsParameterGrid,
					// order book
					new EmulationInfo {UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths}),


				Tuple.Create(
					CandlesCheckBox,
					CandlesTestingProcess,
					CandlesParameterGrid,
					// candles
					new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles}),
				
				Tuple.Create(
					CandlesAndDepthsCheckBox,
					CandlesAndDepthsTestingProcess,
					CandlesAndDepthsParameterGrid,
					// candles + orderbook
					new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635}),
			
				Tuple.Create(
					OrderLogCheckBox,
					OrderLogTestingProcess,
					OrderLogParameterGrid,
					// order log
					new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog})
			};

			// storage to historical data
			var storageRegistry = new StorageRegistry
			{
				// set historical path
				DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
			};

			var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
			var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);

			// 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
			_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 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 })
				{
					MarketEmulator =
					{
						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,
					},

					// 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 = emulationInfo.UseCandleTimeFrame == null
					? new CandleManager(new TradeCandleBuilderSourceEx(connector))
					: 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);

				connector.NewSecurities += securities =>
				{
					if (securities.All(s => s != security))
						return;

					// fill level1 values
					connector.SendInMessage(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 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 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(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
							}
							else
								MessageBox.Show(this, LocalizedStrings.cancelled);
						});
					}
					else if (connector.State == EmulationStates.Started)
					{
						SetIsEnabled(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;
		}
Esempio n. 4
0
        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;
        }
Esempio n. 5
0
        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;
        }