private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
if (IsRealtime.IsChecked == true && _lastPrice != 0m)
{
var step = _priceStep;
var price = Round(_lastPrice + (decimal)((RandomGen.GetDouble() - 0.5) * 5 * (double)step), step);
AppendTick(_security, new ExecutionMessage
{
ServerTime = _lastTime,
TradePrice = price,
TradeVolume = RandomGen.GetInt(50) + 1,
OriginSide = Sides.Buy,
});
_lastTime += TimeSpan.FromSeconds(10);
}
TimeFrameCandle[] candlesToUpdate;
lock (_updatedCandles.SyncRoot)
{
candlesToUpdate = _updatedCandles.OrderBy(p => p.Key).Select(p => p.Value).ToArray();
_updatedCandles.Clear();
}
var lastCandle = _allCandles.LastOrDefault();
_allCandles.AddRange(candlesToUpdate.Where(c => lastCandle == null || c.OpenTime != lastCandle.OpenTime));
var hasValue = false;
var chartData = new ChartDrawData();
foreach (var candle in candlesToUpdate)
{
chartData.Group(candle.OpenTime).Add(_candleElement1, candle);
hasValue = true;
}
if (hasValue)
{
Chart.Draw(chartData);
}
}
private void CustomColors2_Changed(object sender, RoutedEventArgs e)
{
var colored = CustomColors2.IsChecked == true;
_drawWithColor = colored;
_dataThreadActions.Add(() =>
{
if (_allCandles.IsEmpty())
{
return;
}
var dd = new ChartDrawData();
foreach (var c in _allCandles)
{
dd.Group(c.Value.OpenTime).Add(_candleElement, colored ? GetRandomColor() : (Color?)null);
}
Chart.Draw(dd);
});
}
private void ChartUpdateTimerOnTick(object sender, EventArgs eventArgs)
{
TimeFrameCandle[] candlesToUpdate;
lock (_updatedCandles.SyncRoot)
{
candlesToUpdate = _updatedCandles.OrderBy(p => p.Key).Select(p => p.Value).ToArray();
_updatedCandles.Clear();
}
var lastCandle = _allCandles.LastOrDefault();
_allCandles.AddRange(candlesToUpdate.Where(c => lastCandle == null || c.OpenTime != lastCandle.OpenTime));
var data = new ChartDrawData();
foreach (var candle in candlesToUpdate)
{
data.Group(candle.OpenTime).Add(_candleElement, candle);
}
Chart.Draw(data);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo
{
UseTicks = true,
CurveColor = Colors.DarkGreen,
StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo
{
UseTicks = true,
UseMarketDepth = true,
CurveColor = Colors.Red,
StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo
{
UseMarketDepth = true,
CurveColor = Colors.OrangeRed,
StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo
{
UseMarketDepth = true,
UseCandleTimeFrame = timeFrame,
CurveColor = Colors.Cyan,
StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo
{
UseOrderLog = true,
CurveColor = Colors.CornflowerBlue,
StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo
{
UseLevel1 = true,
CurveColor = Colors.Aquamarine,
StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new FinamMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new YahooMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
Tuple.Create(
RandomCheckBox,
RandomProgress,
RandomParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new OwnMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.Custom
},
RandomChart,
RandomEquity,
RandomPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.EditValue).UtcKind();
var stopTime = ((DateTime)To.EditValue).UtcKind();
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
var secProvider = (ISecurityProvider) new CollectionSecurityProvider(new[] { security });
// create backtesting connector
var connector = new HistoryEmulationConnector(
secProvider, new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
//CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
//CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
OrderLogMarketDepthBuilders =
{
{
secId,
new OrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? MarketDataBuildModes.Build : MarketDataBuildModes.Load,
BuildCandlesFrom = emulationInfo.UseOrderLog ? (MarketDataTypes?)MarketDataTypes.OrderLog : null,
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
if (emulationInfo.CustomHistoryAdapter != null)
{
connector.Adapter.InnerAdapters.Remove(connector.MarketDataAdapter);
connector.Adapter.InnerAdapters.Add(new CustomHistoryMessageAdapter(emulationInfo.CustomHistoryAdapter(connector.TransactionIdGenerator), secProvider));
}
// set history range
connector.HistoryMessageAdapterEx.StartDate = startTime;
connector.HistoryMessageAdapterEx.StopDate = stopTime;
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapterEx.SendOutMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.SubscribeMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// or backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.SubscribeOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.SubscribeTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.SubscribeLevel1(security);
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, Colors.Green, Colors.Red, ChartIndicatorDrawStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black, ChartIndicatorDrawStyles.Line);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, ChartIndicatorDrawStyles.DashedLine);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(pnlCurve, strategy.PnL - strategy.Commission ?? 0)
.Add(unrealizedPnLCurve, strategy.PnLManager.UnrealizedPnL ?? 0)
.Add(commissionCurve, strategy.Commission ?? 0);
equity.Draw(data);
};
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor, ChartIndicatorDrawStyles.Line);
strategy.PositionChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(posItems, strategy.Position);
set.Item7.Draw(data);
};
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
if (message is QuoteChangeMessage quoteMsg)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_batchEmulation != null)
{
_batchEmulation.Resume();
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
TestingProcess.Value = 0;
Curve.Clear();
Stat.Clear();
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new List <(int longMa, int shortMa, Color color)>();
for (var l = 100; l >= 50; l -= 10)
{
for (var s = 10; s >= 5; s -= 1)
{
periods.Add((l, s, Color.FromRgb((byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255), (byte)RandomGen.GetInt(255))));
}
}
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(1);
// create test security
var security = new Security
{
Id = "SBER@TQBR", // sec id has the same name as folder with historical data
Code = "SBER",
Name = "SBER",
Board = ExchangeBoard.Micex,
};
var startTime = new DateTime(2020, 4, 1);
var stopTime = new DateTime(2020, 4, 20);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 0.01m)
.TryAdd(Level1Fields.StepPrice, 0.01m)
.TryAdd(Level1Fields.MinPrice, 0.01m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
// create backtesting connector
_batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
// if not set, then CPU count * 2
//BatchSize = 3,
}
};
// handle historical time for update ProgressBar
_batchEmulation.TotalProgressChanged += (currBatch, total) => this.GuiAsync(() => TestingProcess.Value = total);
_batchEmulation.StateChanged += (oldState, newState) =>
{
var isFinished = _batchEmulation.IsFinished;
if (_batchEmulation.State == ChannelStates.Stopped)
{
_batchEmulation = null;
}
this.GuiAsync(() =>
{
switch (newState)
{
case ChannelStates.Stopping:
case ChannelStates.Starting:
case ChannelStates.Suspending:
SetIsEnabled(false, false, false);
break;
case ChannelStates.Stopped:
SetIsEnabled(true, false, false);
if (isFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
break;
case ChannelStates.Started:
SetIsEnabled(false, true, true);
break;
case ChannelStates.Suspended:
SetIsEnabled(true, false, true);
break;
default:
throw new ArgumentOutOfRangeException(newState.ToString());
}
});
};
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SampleHistoryTesting.SmaStrategy(series)
{
ShortSma = { Length = period.shortMa },
LongSma = { Length = period.longMa },
Volume = 1,
Security = security,
Portfolio = portfolio,
//Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
this.GuiSync(() =>
{
var curveElem = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3, ChartIndicatorDrawStyles.Line);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(curveElem, strategy.PnL);
Curve.Draw(data);
};
Stat.AddStrategies(new[] { strategy });
});
return(strategy);
});
// start emulation
_batchEmulation.Start(strategies, periods.Count);
}
private void LoadData()
{
_lastPrice = 0m;
_candles.Clear();
var id = _securityId.ToSecurityId();
_security = new Security
{
Id = _securityId,
PriceStep = _priceStep,
Board = _exchangeInfoProvider.GetExchangeBoard(id.BoardCode) ?? ExchangeBoard.Associated
};
Chart.Reset(new IChartElement[] { _candleElement });
var storage = new StorageRegistry();
var maxDays = 50;
//BusyIndicator.IsBusy = true;
var path = _historyPath;
_curCandleNum = 0;
Task.Factory.StartNew(() =>
{
var date = DateTime.MinValue;
foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load())
{
if (date != tick.ServerTime.Date)
{
date = tick.ServerTime.Date;
//var str = $"Loading ticks for {date:dd MMM yyyy}...";
//this.GuiAsync(() => BusyIndicator.BusyContent = str);
if (--maxDays == 0)
{
break;
}
}
AppendTick(tick);
}
})
.ContinueWith(t =>
{
//this.GuiAsync(() => BusyIndicator.IsBusy = false);
for (var i = 0; i < _candles.Count; i += _candlesPacketSize)
{
var data = new ChartDrawData();
var candles = _candles.GetRange(i, Math.Min(_candlesPacketSize, _candles.Count - i)).Select(c => c.ToCandle(_tfSpan, _security));
foreach (var candle in candles)
{
candle.State = CandleStates.Finished;
var group = data.Group(candle.OpenTime);
group.Add(_candleElement, candle);
if (_indicatorElement != null)
{
group.Add(_indicatorElement, _indicator.Process((double)candle.ClosePrice));
}
}
Chart.Draw(data);
}
})
.ContinueWith(t =>
{
if (t.Exception != null)
{
Error(t.Exception.Message);
}
_dataIsLoaded = true;
//this.GuiAsync(() => BusyIndicator.IsBusy = false);
Chart.IsAutoRange = false;
//_area.YAxises.FirstOrDefault().Do(a => a.AutoRange = false);
}, TaskScheduler.FromCurrentSynchronizationContext());
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
// if process was already started, will stop it now
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
_strategy.Stop();
_connector.Disconnect();
_logManager.Sources.Clear();
_connector = null;
return;
}
// create test security
var security = new Security
{
Id = "AAPL@NASDAQ",
Code = "AAPL",
Name = "AAPL Inc",
Board = ExchangeBoard.Nasdaq,
};
var startTime = new DateTime(2009, 6, 1);
var stopTime = new DateTime(2009, 9, 1);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
HistoryMessageAdapter =
{
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
_logManager.Sources.Add(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based on 80 5-min и 10 5-min
_strategy = new SmaStrategy(_connector, series, new SimpleMovingAverage {
Length = 80
}, new SimpleMovingAverage {
Length = 10
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
_connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security))
{
GenerateDepthOnEachTrade = false
});
// start strategy before emulation started
_strategy.Start();
_connector.SubscribeCandles(series);
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
// fill parameters panel
ParameterGrid.Parameters.Clear();
ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);
_strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(_strategy.CurrentTime)
.Add(_curveElem, _strategy.PnL);
Curve.Draw(data);
};
_logManager.Sources.Add(_strategy);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
var nextTime = startTime + progressStep;
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
// handle historical time for update ProgressBar
_connector.MarketTimeChanged += diff =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
{
return;
}
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => TestingProcess.Value = steps);
};
_connector.StateChanged += () =>
{
if (_connector.State == EmulationStates.Stopped)
{
this.GuiAsync(() =>
{
Report.IsEnabled = true;
if (_connector.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
};
Curve.Reset(new[] { _curveElem });
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
}
private void ProcessCandle(Candle candle)
{
// strategy are stopping
if (ProcessState == ProcessStates.Stopping)
{
CancelActiveOrders();
return;
}
this.AddInfoLog(LocalizedStrings.Str3634Params.Put(candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume, candle.Security));
// process new candle
var longValue = LongSma.Process(candle);
var shortValue = ShortSma.Process(candle);
if (LongSma.IsFormed && ShortSma.IsFormed)
{
// calc new values for short and long
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
if (_isShortLessThenLong == null)
{
_isShortLessThenLong = isShortLessThenLong;
}
else if (_isShortLessThenLong != isShortLessThenLong) // crossing happened
{
// if short less than long, the sale, otherwise buy
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// calc size for open position or revert
var volume = Position == 0 ? Volume : Position.Abs().Min(Volume) * 2;
// calc order price as a close price + offset
var price = candle.ClosePrice + ((direction == Sides.Buy ? Security.PriceStep : -Security.PriceStep) ?? 1);
RegisterOrder(this.CreateOrder(direction, price, volume));
// or revert position via market quoting
//var strategy = new MarketQuotingStrategy(direction, volume);
//ChildStrategies.Add(strategy);
// store current values for short and long
_isShortLessThenLong = isShortLessThenLong;
}
}
if (_chart == null)
{
return;
}
var trade = _myTrades.FirstOrDefault();
_myTrades.Clear();
var data = new ChartDrawData();
data
.Group(candle.OpenTime)
.Add(_candlesElem, candle)
.Add(_shortElem, shortValue)
.Add(_longElem, longValue)
.Add(_tradesElem, trade);
_chart.Draw(data);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
};
// get emulation connector
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.SendInMessage(level1Info);
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(candleManager);
var curveElem = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3, ChartIndicatorDrawStyles.Line);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(curveElem, strategy.PnL);
Curve.Draw(data);
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
});
// start emulation
batchEmulation.Start(strategies, periods.Length);
}
private void ProcessCandle(Candle candle)
{
// strategy are stopping
if (ProcessState == ProcessStates.Stopping)
{
CancelActiveOrders();
return;
}
this.AddInfoLog(LocalizedStrings.Str3634Params.Put(candle.OpenTime, candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice, candle.TotalVolume, candle.Security));
// process new candle
var longValue = LongSma.Process(candle);
var shortValue = ShortSma.Process(candle);
// calc new values for short and long
var isShortLessThenLong = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
// crossing happened
if (_isShortLessThenLong != isShortLessThenLong)
{
// if short less than long, the sale, otherwise buy
var direction = isShortLessThenLong ? Sides.Sell : Sides.Buy;
// calc size for open position or revert
var volume = Position == 0 ? Volume : Position.Abs().Min(Volume) * 2;
if (!SafeGetConnector().RegisteredMarketDepths.Contains(Security))
{
var price = Security.GetMarketPrice(Connector, direction);
// register "market" order (limit order with guaranteed execution price)
if (price != null)
{
RegisterOrder(this.CreateOrder(direction, price.Value, volume));
}
}
else
{
// register order (limit order)
RegisterOrder(this.CreateOrder(direction, (decimal)(Security.GetCurrentPrice(this, direction) ?? 0), volume));
// or revert position via market quoting
//var strategy = new MarketQuotingStrategy(direction, volume)
//{
// WaitAllTrades = true,
//};
//ChildStrategies.Add(strategy);
}
// store current values for short and long
_isShortLessThenLong = isShortLessThenLong;
}
var trade = _myTrades.FirstOrDefault();
_myTrades.Clear();
var data = new ChartDrawData();
data
.Group(candle.OpenTime)
.Add(_candlesElem, candle)
.Add(_shortElem, shortValue)
.Add(_longElem, longValue)
.Add(_tradesElem, trade);
_chart.Draw(data);
}