public Backtester(ScriptExecutor executor) {
this.backtestQuoteBarConsumer = new BacktestQuoteBarConsumer(this);
this.Executor = executor;
if (this.Executor.Strategy == null) return;
if (this.Executor.Strategy.Script == null) return;
this.Initialize(this.Executor.Strategy.Script.BacktestMode);
}
public SystemPerformance(ScriptExecutor scriptExecutor) {
if (scriptExecutor == null) {
string msg = "we shouldn't execute strategy when this.Executor == null";
throw new Exception(msg);
}
this.Executor = scriptExecutor;
this.SliceLong = new SystemPerformanceSlice(this, PositionLongShort.Long, "StatsForLongPositionsOnly");
this.SliceShort = new SystemPerformanceSlice(this, PositionLongShort.Short, "StatsForShortPositionsOnly");
this.SlicesShortAndLong = new SystemPerformanceSlice(this, PositionLongShort.Unknown, "StatsForShortAndLongPositions");
this.SliceBuyHold = new SystemPerformanceSlice(this, PositionLongShort.Unknown, "StatsForBuyHold");
}
public ExecutionDataSnapshot(ScriptExecutor strategyExecutor) {
this.executor = strategyExecutor;
this.PositionsOpenNow = new List<Position>();
this.AlertsPending = new List<Alert>();
this.AlertsPendingHistoryByBar = new Dictionary<int, List<Alert>>();
this.AlertsMaster = new List<Alert>();
this.AlertsNewAfterExec = new List<Alert>();
this.PositionsMaster = new List<Position>();
this.PositionsMasterByEntryBar = new Dictionary<int, List<Position>>();
this.PositionsMasterByExitBar = new Dictionary<int, List<Position>>();
this.positionSernoAbs = 0;
this.PositionsOpenedAfterExec = new List<Position>();
this.PositionsClosedAfterExec = new List<Position>();
this.Indicators = new Dictionary<string, Indicator>();
}
public ChartFormManager(int charSernoDeserialized = -1) {
// deserialization: ChartSerno will be restored; never use this constructor in your app!
this.ScriptEditedNeedsSaving = false;
// this.Executor = new ScriptExecutor(Assembler.InstanceInitialized.ScriptExecutorConfig
// , this.ChartForm.ChartControl, null, Assembler.InstanceInitialized.OrderProcessor, Assembler.InstanceInitialized.StatusReporter);
this.Executor = new ScriptExecutor();
this.ReportersFormsManager = new ReportersFormsManager(this, Assembler.InstanceInitialized.RepositoryDllReporters);
this.ChartStreamingConsumer = new ChartFormStreamingConsumer(this);
this.DataSnapshotSerializer = new Serializer<ChartFormDataSnapshot>();
if (charSernoDeserialized == -1) {
this.DataSnapshot = new ChartFormDataSnapshot();
return;
}
bool createdNewFile = this.DataSnapshotSerializer.Initialize(Assembler.InstanceInitialized.AppDataPath,
"ChartFormDataSnapshot-" + charSernoDeserialized + ".json", "Workspaces",
Assembler.InstanceInitialized.AssemblerDataSnapshot.CurrentWorkspaceName, true, true);
this.DataSnapshot = this.DataSnapshotSerializer.Deserialize();
this.DataSnapshot.ChartSerno = charSernoDeserialized;
this.DataSnapshotSerializer.Serialize();
}
public MarketRealStreaming(ScriptExecutor executor) {
this.executor = executor;
}
public ScriptExecutorEventGenerator(ScriptExecutor scriptExecutor) {
this.scriptExecutor = scriptExecutor;
}
public PositionPrototypeActivator(ScriptExecutor strategyExecutor) {
this.executor = strategyExecutor;
}
public void Initialize(ScriptExecutor scriptExecutor) {
this.Executor = scriptExecutor;
}
public virtual void AbsorbFromExecutor(ScriptExecutor executor) {
}
public MarketSimStreaming(ScriptExecutor executor) {
this.executor = executor;
this.stopLossesActivatedOnPreviousQuotes = new List<Alert>();
}
public CommissionCalculatorZero(ScriptExecutor scriptExecutor) : base(scriptExecutor) { }
public NotOnChartBarsHelper(ScriptExecutor scriptExecutor) {
this.ScriptExecutor = scriptExecutor;
this.Registry = new Dictionary<NotOnChartBarsKey, Bars>();
}
public bool BacktestStarting(ScriptExecutor executor) {
this.Executor = executor;
string msig = " Indicator[" + this.NameWithParameters + "].BacktestStarting()";
// HACK new Indicator will be Initialize()d with an Executor having Bars generated by BacktestDataSource;
// HACK so that this.NotOnChartBarsKey won't help to pick up the Registered from NotOnChartBarsHelper;
// HACK I want the this.NotOnChartDataSourceName be the same as before backtest, from a real datasource ("MOCK")
this.NotOnChartDataSourceName = executor.Bars.DataSource.Name;
NotOnChartBarsKey key = this.NotOnChartBarsKey;
if (string.IsNullOrEmpty(this.NotOnChartSymbol) == false) {
this.Executor.NotOnChartBarsHelper.FindNonChartBarsSubscribeRegisterForIndicator(key);
if (this.BarsEffective == null) {
string msg = "NOT_ON_CHART_BARS_HELPER_DOESNT_HAVE_BARS_REGISTERED[" + this.NotOnChartSymbol + "]";
this.IndicatorErrorsOnBacktestStartingAppend(msg);
Assembler.PopupException(msg + msig);
}
} else {
if (this.NotOnChartBarScaleInterval != null) {
if (this.NotOnChartBarScaleInterval.Scale == BarScale.Unknown
&& this.NotOnChartBarScaleInterval == this.Executor.Bars.ScaleInterval) {
string msg = "SET_TO_NULL_IF_SAME_AS_EXECUTORS_BARS";
this.IndicatorErrorsOnBacktestStartingAppend(msg);
Assembler.PopupException(msg + msig);
}
// v2 self-registered earlier
Bars rescaled = this.Executor.NotOnChartBarsHelper.RescaledBarsGetRegisteredFor(key);
if (rescaled == null) {
// v1
rescaled = this.Executor.NotOnChartBarsHelper.RescaleBarsAndRegister(key);
}
if (rescaled == null) {
string msg = "BARS_NOT_RESCALABLE[" + this.Executor.Bars.SymbolIntervalScale + "]>[" + key + "]";
this.IndicatorErrorsOnBacktestStartingAppend(msg);
Assembler.PopupException(msg + msig);
}
}
}
string paramerersAllValidatedErrors = this.ParametersAllValidate();
this.IndicatorErrorsOnBacktestStartingAppend(paramerersAllValidatedErrors);
string indicatorSelfValidationErrors = this.BacktestStartingPreCheckErrors();
this.IndicatorErrorsOnBacktestStartingAppend(indicatorSelfValidationErrors);
if (string.IsNullOrEmpty(indicatorSelfValidationErrors) == false) {
string msig2 = " Indicator[" + this.NameWithParameters + "].BacktestStartingPreCheck()";
Assembler.PopupException(indicatorSelfValidationErrors + msig2);
}
bool backtestCanStart = string.IsNullOrEmpty(paramerersAllValidatedErrors)
&& string.IsNullOrEmpty(indicatorSelfValidationErrors);
return backtestCanStart;
}
public CommissionCalculator(ScriptExecutor scriptExecutor) {
this.ScriptExecutor = scriptExecutor;
}
public MarketSimStatic(ScriptExecutor executor) {
this.executor = executor;
this.stopLossesActivatedOnPreviousBars = new List<Alert>();
}