private void OnOptimizeClick(object sender, RoutedEventArgs e)
{
btnOptimize.IsEnabled = false;
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info, "Optimization is beginning.."));
this.InitGrids();
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = this.txtSecurityId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = this.txtSecurityCode.Text,
Name = this.txtSecurityCode.Text,
MinStepSize = 1,
MinStepPrice = 1,
ExchangeBoard = ExchangeBoard.Forts,
};
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { Name = "test account", BeginValue = 30000m };
DateTime startTime;
DateTime stopTime;
if (!DateTime.TryParse(txtHistoryRangeEnd.Text, out stopTime))
{
stopTime = DateTime.Now;
txtHistoryRangeEnd.Text = stopTime.ToString();
}
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = stopTime.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
Stopwatch sw = new Stopwatch();
EMAStrategyOptimizer optimizer = new EMAStrategyOptimizer(security, storageRegistry, portfolio, startTime, stopTime)
{
Volume = this.Volume,
Log = _log
};
optimizer.StateChanged += () =>
{
if (optimizer.State == OptimizationState.Finished)
{
sw.Stop();
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info,
String.Format("Opt done ({0}). The best startegy: PnL: {1}, {2}",
sw.Elapsed,
optimizer.BestResult.Value.PnLManager.PnL,
optimizer.BestResult.Key
)));
optimizer.BestResult.Value.Trader.Orders.ForEach(OnOrderRegistered);
OnNewTrades(optimizer.BestResult.Value.Trader.MyTrades);
this.GuiAsync(() =>
{
this.UpdateStrategyStat(optimizer.BestResult.Value);
this.InitChart(optimizer.BestResult.Value);
optimizer.BestResult.Value.CandleSeries.GetCandles<TimeFrameCandle>().ForEach(DrawCandleAndEma);
optimizer.BestResult.Value.Trader.MyTrades.ForEach(DrawTrade);
// Replace MainOptVarItem with optimized one
this.MainOptVarItem = optimizer.BestResult.Key;
btnOptimize.IsEnabled = true;
});
}
};
sw.Start();
optimizer.Optimize();
}
private void OnHistoryStartClick(object sender, RoutedEventArgs e)
{
btnHistoryStart.IsEnabled = false;
this.InitGrids();
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = this.txtSecurityId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = this.txtSecurityCode.Text,
Name = this.txtSecurityCode.Text,
MinPrice = 1,
MaxPrice = 99999,
MinStepSize = 1,
MinStepPrice = 1,
ExchangeBoard = ExchangeBoard.Forts,
};
security.ExchangeBoard.IsSupportAtomicReRegister = false; // fixed quoting reregister error
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { Name = "test account", BeginValue = 30000m };
DateTime startTime;
DateTime stopTime;
if (!DateTime.TryParse(txtHistoryRangeEnd.Text, out stopTime))
{
stopTime = DateTime.Now;
txtHistoryRangeEnd.Text = stopTime.ToString();
}
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = stopTime.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
EMAStrategyOptimizer optimizer = new EMAStrategyOptimizer(security, storageRegistry, portfolio, startTime, stopTime)
{
Volume = this.Volume,
Log = _log
};
var context = optimizer.GetOptContext(this.MainOptVarItem);
_trader = context.Value.Trader;
_strategy = context.Value;
this.InitChart(_strategy);
_strategy.Trader.NewOrders += orders => orders.ForEach(OnOrderRegistered);
_strategy.Trader.NewMyTrades += OnNewTrades;
_logManager.Sources.Add(_strategy);
// устанавливаем в визуальный элемент ProgressBar максимальное количество итераций)
this.pbHistoryTestProgress.Maximum = 10;
this.pbHistoryTestProgress.Value = 0;
var totalMinutes = (stopTime - startTime).TotalMinutes;
var segment = Math.Floor(totalMinutes / 10);
var nSegment = 1;
var sSegment = segment;
_trader.MarketTimeChanged += span =>
{
var currentMinute = (_trader.CurrentTime - startTime).TotalMinutes;
if (currentMinute >= sSegment || _trader.CurrentTime >= stopTime)
{
nSegment += 1;
sSegment = segment * nSegment;
this.GuiAsync(() =>
{
this.pbHistoryTestProgress.Value = nSegment;
this.UpdateStrategyStat(_strategy);
});
}
};
Stopwatch sw = new Stopwatch();
((EmulationTrader)_trader).StateChanged += (states, emulationStates) =>
{
if (((EmulationTrader)_trader).State == EmulationStates.Stopped)
{
sw.Stop();
this.GuiAsync(() =>
{
this.UpdateStrategyStat(_strategy);
_strategy.CandleSeries.GetCandles<TimeFrameCandle>().ForEach(DrawCandleAndEma);
_strategy.Trader.MyTrades.ForEach(DrawTrade);
this.pbHistoryTestProgress.Value = 0;
btnHistoryStart.IsEnabled = true;
});
// clean stupid dictionary
//var value = _trader.GetType().GetField("#=qUTBJ0c9uFmGWYx4a3_oZjOoV9pJDtArCh9oL5k$U8DQ=", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(_trader);
//value.GetType().GetMethod("Clear").Invoke(value, null);
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info,
String.Format("History testing done ({0}). Result: PnL: {1}, {2}",
sw.Elapsed,
_strategy.PnLManager.PnL,
this.MainOptVarItem
)));
}
else if (((EmulationTrader)_trader).State == EmulationStates.Started)
{
sw.Start();
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
_trader.Connect();
_trader.StartExport();
// запускаем эмуляцию, задавая период тестирования (startTime, stopTime).
((EmulationTrader)_trader).Start(startTime, stopTime);
}