public void ExecuteStrategySingleIteration()
{
LoadAssembly(@"StockTraderStrategy\StockTrader.Common.dll");
if (_strategyType != null)
{
// Initialize executor
_strategyExecutor = new StrategyExecutor(_strategyType, _ctorArguments);
// Execute single iteration of the strategy
_strategyExecutor.ExecuteStrategy(1.5, 0.006, 0.2, 0.005);
}
}
/// <summary>
/// Function to optimize.
/// </summary>
/// <param name="w">Function W input value.</param>
/// <param name="x">Function X input value.</param>
/// <param name="y">Function Y input value.</param>
/// <param name="z">Function Z input value.</param>
/// <returns>Returns function output value.</returns>
/// <remarks>The method should be overloaded by inherited class to
/// specify the optimization function.</remarks>
public override double OptimizationFunction(double w, double x, double y, double z)
{
double result = 0;
// Calculate result
result = _strategyExecutor.ExecuteStrategy(w, x, y, z);
Logger.Info("ALPHA: " + w, "Optimization", "FitnessFunction");
Logger.Info("BETA: " + x, "Optimization", "FitnessFunction");
Logger.Info("GAMMA: " + y, "Optimization", "FitnessFunction");
Logger.Info("EPSILON: " + z, "Optimization", "FitnessFunction");
Logger.Info("PNL: " + result, "Optimization", "FitnessFunction");
// Return result
return(result);
}
public void ExecuteStrategy()
{
LoadAssembly(@"C:\Users\Muhammad Bilal\Desktop\StockTrader - Copy\StockTrader.Common.dll");
List <string> data = new List <string>();
_strategyExecutor = new StrategyExecutor(_strategyType, _ctorArguments);
string[] file = File.ReadAllLines(@"C:\Users\Muhammad Bilal\Downloads\matlab_singlepoint_data.csv");
for (int i = 0; i < file.Length; i++)
{
string[] param = file[i].Split(',');
double alpha = double.Parse(param[0]);
double beta = double.Parse(param[1]);
double gamma = double.Parse(param[2]);
double espilon = double.Parse(param[3]);
//_ctorArguments = new object[]
//{
// // Chelen Len, ALPHA , Shares , Symbol, EMA ,GAMMA, EPSILON
// (Int32) 100, alpha, (uint) 40, "ERX", (decimal) 45, gamma, espilon,
// // Profit Take, Tolerance, StartTime, EndTime, HTB Thresh, OPG Thresh , OPG Venue, BETA
// (float) 0.005, (decimal) 0.005, "9:30", "9:30", (decimal) 10, (decimal) 0.04, "SDOT", beta,
// // Entry Slippage, Exit Slippage
// (decimal) 0.01, (decimal) 0.01,
// "SimulatedExchange", "SimulatedExchange"
//};
if (_strategyType != null)
{
// Initialize executor
// Execute single iteration of the strategy
double risk = _strategyExecutor.ExecuteStrategy(alpha, beta, gamma, espilon);
string[] lines = new string[1];
lines[0] = string.Format("{0},{1},{2},{3},{4},{5}", param[0], param[1], param[2], param[3], param[4],
risk);
data.Add(lines[0]);
Console.WriteLine(i);
}
}
File.WriteAllLines(@"D:\matlabvsSr.csv", data);
}