/// <summary>
/// constructor
/// </summary>
/// <param name="strategy">strategy has to be initiated by property setter</param>
/// <param name="tickfiles"></param>
public BacktestEngine(StrategyBase strategy, List<string> tickfiles)
{
_tickfiles = tickfiles;
_strategy = strategy;
_playthread.DoWork += new DoWorkEventHandler(Play);
_playthread.WorkerReportsProgress = false;
_playthread.WorkerSupportsCancellation = true;
_playthread.RunWorkerCompleted += new RunWorkerCompletedEventHandler(PlayComplete);
Reset();
}
/// <summary>
/// return
/// </summary>
public StrategySetterWindow(StrategyBase strategy)
{
InitializeComponent();
_StrategyPropertyGrid.DataContext = strategy;
}
public bool LoadStrategy()
{
Microsoft.Win32.OpenFileDialog openFileDialog1 = new Microsoft.Win32.OpenFileDialog();
openFileDialog1.InitialDirectory = _rootpath+_config.StrategyPath;
openFileDialog1.Filter = "dll files (*.dll)|*.dll|All files (*.*)|*.*";
openFileDialog1.Title = "Select strategy dll";
openFileDialog1.RestoreDirectory = true;
Nullable<bool> result = openFileDialog1.ShowDialog();
if (result == true)
{
string f = openFileDialog1.FileName;
if (Util.isStrategyFile(f))
{
// Select specifc strategy in the dll
BackTestWindow.UI.StrategySelectorWindow strategyselector = new BackTestWindow.UI.StrategySelectorWindow(f);
Nullable<bool> sresult = strategyselector.ShowDialog();
if (sresult == true)
{
Reset();
// load first strategy, ignore multi-selection
_dllname = f;
_strategyname = strategyselector.StrategySelected[0];
_strategy = Util.GetSingleStrategyFromDLL(_strategyname, _dllname);
_strategy.Reset();
_strategy.SetIdTracker(_idtracker);
// set strategy parameters
BackTestWindow.UI.StrategySetterWindow strategysetter = new BackTestWindow.UI.StrategySetterWindow(_strategy);
sresult = strategysetter.ShowDialog(); // ignore sresult. User can assume default parameters.
// status
DllStatus(_strategyname);
// set up optimizable variable list
_optimvariablelist = OptimizeEngine.GetOptimizeable(_dllname, _strategyname);
OptimizerStatusUpdates("OptimVariable");
}
}
}
bool success = CheckPrerequisite();
return success;
}
public void Reset(bool reloadstrategy)
{
try
{
_tradelist.Clear();
_positionlist.Clear();
if (_createnewengine == false) // already have an egine
{
if (_backtestengine != null) // could be optimize engine
{
try
{
_backtestengine.Stop();
_backtestengine.Reset();
}
catch { }
}
}
_ticktable.Clear();
_indicatortable.Clear();
_positiontable.Clear();
_ordertable.Clear();
_filltable.Clear();
_resultstable.Clear();
if (reloadstrategy)
{
_strategy = null;
_strategyname = "";
_dllname = "";
DllStatus("");
if (_createnewengine == false) // already have an egine
UnbindBacktestEngine(ref _backtestengine);
_createnewengine = true;
}
}
catch (Exception ex)
{
Status("An error occured, try again.");
Debug("reset error: " + ex.Message + ex.StackTrace);
}
}
void UnBindStrategy(ref StrategyBase tmp)
{
// handle all the outgoing events from the strategy
tmp.SendDebugEvent -= _strategy_GotDebug;
tmp.SendOrderEvent -= _strategy_SendOrder;
tmp.SendCancelEvent -= _strategy_CancelOrderSource;
tmp.SendBasketEvent -= _strategy_SendBasket;
tmp.SendReqHistBarEvent -= _strategy_SendReqHistBar;
tmp.SendChartLabelEvent -= _strategy_SendChartLabel;
tmp.SendIndicatorsEvent -= _strategy_SendIndicators;
}
public OptimizeEngine(StrategyBase s, List <string> tickfiles) : base(s, tickfiles)
{
}
public OptimizeEngine(StrategyBase s, List<string> tickfiles) : base(s, tickfiles) { }
/// <summary>
/// change parameter of a strategy
/// </summary>
bool ChangeValue(ref StrategyBase s, decimal v)
{
try
{
var t = s.GetType();
foreach (var pi in t.GetProperties())
if (pi.Name == OptimizeName)
{
if (pi.PropertyType == typeof(int))
{
pi.SetValue(s, (int)v, null);
}
else
pi.SetValue(s, v, null);
return true;
}
}
catch (Exception ex)
{
Debug("error setting parameter " + OptimizeName + " on strategy: " + s.FullName + " to: " + v + " err: " + ex.Message + ex.StackTrace);
}
return false;
}
void UnbindStrategy(ref StrategyBase s)
{
try
{
s.SendOrderEvent -= _strategy_SendOrder;
s.SendCancelEvent -= _strategy_SendCancel;
s.SendDebugEvent -= _strategy_SendDebugEvent;
s.SendIndicatorsEvent -= _strategy_SendIndicatorsEvent;
s.SendChartLabelEvent -= _strategy_SendChartLabelEvent;
s.SendBasketEvent -= _strategy_SendBasketEvent;
}
catch { }
}
void BindStrategy(ref StrategyBase s)
{
s.SendOrderEvent += _strategy_SendOrder;
s.SendCancelEvent += _strategy_SendCancel;
s.SendDebugEvent += _strategy_SendDebugEvent;
s.SendIndicatorsEvent += _strategy_SendIndicatorsEvent;
s.SendChartLabelEvent += _strategy_SendChartLabelEvent;
s.SendBasketEvent += _strategy_SendBasketEvent;
}