//[SetUp]
public void InitContext()
{
// подготовить тестовые котировки
// подготовить тестовый контекст
context = new RobotContextBacktest((tickers, end) => { });
}
public StatInfoForm(RobotContextBacktest robotContext)
: this()
{
this.robotContext = robotContext;
var orderTags = robotContext.PosHistory.ToList();
orderTags.AddRange(robotContext.Positions.ToList());
AccountHistoryCtrl.historyGrid.DataBind(orderTags);
SetupGrids();
SetupCharts();
BuildEquityCurve();
CalculateStatistics();
ShowLog();
}
public void TestSetup()
{
TradeSharpDictionary.Initialize(MoqTradeSharpDictionary.Mock);
context = TestRobotUtil.GetRobotContextBacktest(new DateTime(2013, 12, 25), new DateTime(2013, 12, 25).AddDays(30));
bot = new VoidRobot();
bot.Graphics.Add(new Cortege2<string, BarSettings>("EURUSD", new BarSettings
{
StartMinute = 0,
Intervals = new List<int> { 30 }
}));
bot.Initialize(context, CurrentProtectedContext.Instance);
ExecutablePath.InitializeFake(string.Empty);
context.SubscribeRobot(bot);
context.InitiateTest();
// Инициализация дополнительных объектом, MOCK-и
QuoteMaker.FillQuoteStorageWithDefaultValues();
}
public void InitContext()
{
TradeSharpDictionary.Initialize(MoqTradeSharpDictionary.Mock);
context = TestRobotUtil.GetRobotContextBacktest(new DateTime(2013, 9, 30), new DateTime(2014, 1, 30), currency : "IND");
bot = new IchimokuRobot();
bot.Graphics.Clear();
bot.Graphics.Add(new Cortege2<string, BarSettings>("INDUSD", new BarSettings
{
StartMinute = 0,
Intervals = new List<int> { 30 }
}));
bot.Initialize(context, CurrentProtectedContext.Instance);
ExecutablePath.InitializeFake(string.Empty);
}
private RobotContextBacktest MakeRobotContext(ACCOUNT accountData, List<BaseRobot> robots)
{
var timeFrom = testOnly
? accountData.TimeCreated
: accountData.TimeCreated.AddMinutes(rand.Next(60*24*9));
try
{
var context = new RobotContextBacktest((tickers, end) => { })
{
TimeFrom = timeFrom
};
context.TimeFrom = timeFrom;
context.TimeTo = endTime;
context.AccountInfo = new Account
{
Currency = accountData.Currency,
Group = accountData.AccountGroup,
Balance = accountData.Balance,
Equity = accountData.Balance,
ID = accountData.ID
};
foreach (var robot in robots)
{
context.SubscribeRobot(robot);
robot.Initialize(context, CurrentProtectedContext.Instance);
}
context.InitiateTest();
return context;
}
catch (Exception ex)
{
Logger.Error("Error in MakeRobotContext()", ex);
throw;
}
}
private void InvertLossDeal(RobotContextBacktest context, MarketOrder lastClosedDeal)
{
if (rand.Next(100) >= reverseClosedDealProb)
return;
lastClosedDeal.ResultDepo = -lastClosedDeal.ResultDepo;
lastClosedDeal.Side = -lastClosedDeal.Side;
lastClosedDeal.ResultPoints = -lastClosedDeal.ResultPoints;
var delta = lastClosedDeal.ResultDepo * 2;
context.AccountInfo.Balance += (decimal) delta;
context.AccountInfo.Equity += (decimal) delta;
}
private void CheckDepositWithdraw(RobotContextBacktest context, List<BalanceChange> transfers, DateTime curTime)
{
const int minMinutesSinceLastTransfer = 60;
var lastTrans = transfers[transfers.Count - 1];
var minutesSinceLastTransfer = (curTime - lastTrans.ValueDate).TotalMinutes;
if (minutesSinceLastTransfer < minMinutesSinceLastTransfer)
return;
// не выводить слишком часто
if (rand.Next(withdrawProb) > 0)
return;
// не выводить вне рабочих часов
if (curTime.Hour < 8 || curTime.Hour > 19)
if (rand.Next(100) < 85)
return;
// ввод / вывод
var initBalance = transfers[0].Amount;
var lessThanInit = context.AccountInfo.Equity < initBalance;
var probWdth = lessThanInit ? probWithdrawWhenLoss : probWithdrawWhenProfit;
var sign = rand.Next(100) < probWdth ? BalanceChangeType.Withdrawal : BalanceChangeType.Deposit;
// объем
var amount = Math.Ceiling(rand.Next(1, 90) * context.AccountInfo.Equity / 100);
if (rand.Next(100) < 70)
{
var amount10 = (int)Math.Ceiling(amount / 10);
amount = amount10 * 10;
}
var amountSigned = sign == BalanceChangeType.Deposit ? amount : -amount;
var moneyLeft = context.AccountInfo.Equity + amountSigned;
if (moneyLeft < 100)
{
return;
sign = BalanceChangeType.Deposit;
amountSigned = Math.Abs(amount);
}
// добавить в список
transfers.Add(new BalanceChange
{
AccountID = lastTrans.AccountID,
Amount = amount,
ChangeType = sign,
ValueDate = curTime
});
context.AccountInfo.Balance += amountSigned;
context.AccountInfo.Equity += amountSigned;
//Logger.InfoFormat("Счет #{0}, средства {1}: {2} {3} USD",
// lastTrans.AccountID, context.AccountInfo.Equity.ToStringUniformMoneyFormat(),
// sign, amount);
}
private void AddAccountPerformanceRecord(RobotContextBacktest context)
{
try
{
performance.Add(new AccountPerformance
{
AccountId = context.AccountInfo.ID,
DealsCount = context.PosHistory.Count + context.Positions.Count,
SummaryResult = (decimal)context.PosHistory.Sum(p => p.ResultDepo)
+ context.AccountInfo.Equity - context.AccountInfo.Balance,
SummaryVolume = (long)context.PosHistory.Sum(p => p.VolumeInDepoCurrency)
});
}
catch (Exception ex)
{
Logger.Error("Error in AddAccountPerformanceRecord()", ex);
}
}
private static void SaveTrackInDatabase(RobotContextBacktest context, int accountId,
List<BalanceChange> transfers,
int transfersInDbCount)
{
try
{
Logger.InfoFormat("Сохранение изменений в БД для счета {0}", accountId);
int nextPosId;
using (var conn = DatabaseContext.Instance.Make())
{
nextPosId = Math.Max(conn.POSITION.Max(p => p.ID), conn.POSITION_CLOSED.Max(p => p.ID)) + 1;
}
Logger.InfoFormat("Запись {0} позиций для счета {1}",
context.PosHistory.Count, accountId);
// закрытые ордера
var listPos = new List<POSITION_CLOSED>();
foreach (var pos in context.PosHistory)
{
var orderClosed = LinqToEntity.UndecorateClosedPosition(pos);
orderClosed.ID = ++nextPosId;
listPos.Add(orderClosed);
}
using (var conn = DatabaseContext.Instance.Make())
{
conn.BulkInsert(listPos);
conn.SaveChanges();
}
// трансферы...
var listTrans =
transfers.Skip(transfersInDbCount).Select(t =>
new BALANCE_CHANGE
{
AccountID = accountId,
Amount = t.Amount,
ChangeType = (int) t.ChangeType,
ValueDate = t.ValueDate,
}).ToList();
// + трансферы по закрытым ордерам
foreach (var pos in listPos)
{
var transfer = new BALANCE_CHANGE
{
AccountID = accountId,
Amount = Math.Abs(pos.ResultDepo),
ChangeType = (int) (pos.ResultDepo >= 0
? BalanceChangeType.Profit
: BalanceChangeType.Loss),
ValueDate = pos.TimeExit,
Position = pos.ID,
};
listTrans.Add(transfer);
}
using (var conn = DatabaseContext.Instance.Make())
{
conn.BulkInsert(listTrans);
conn.SaveChanges();
}
// открытые сделки - как есть
using (var conn = DatabaseContext.Instance.Make())
{
foreach (var pos in context.Positions)
{
var orderOpened = LinqToEntity.UndecorateOpenedPosition(pos);
orderOpened.ID = ++nextPosId;
conn.POSITION.Add(orderOpened);
}
conn.SaveChanges();
}
Logger.InfoFormat("Сохранение успешно для счета {0}: {1} сделок сохранено",
accountId, context.PosHistory.Count + context.Positions.Count);
}
catch (Exception ex)
{
Logger.Error("Ошибка сохранения трека пользователя в БД", ex);
}
}