private void OnStrategyChanged(DiagramStrategy strategy)
{
_strategy = strategy;
_strategy.OrderRegistering += OnStrategyOrderRegistering;
_strategy.OrderReRegistering += OnStrategyOrderReRegistering;
_strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
_strategy.StopOrderRegistering += OnStrategyOrderRegistering;
_strategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
_strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
_strategy.NewMyTrades += OnStrategyNewMyTrade;
_strategy.PositionManager.NewPosition += OnStrategyNewPosition;
_strategy.PositionManager.Positions.ForEach(OnStrategyNewPosition);
_strategy.PnLChanged += OnStrategyPnLChanged;
_strategy.Reseted += OnStrategyReseted;
_strategy.SetChart(ChartPanel);
PropertyGrid.SelectedObject = _strategy;
StatisticParameterGrid.StatisticManager = _strategy.StatisticManager;
}
private void OnStrategyChanged(DiagramStrategy strategy)
{
_strategy = strategy;
_strategy.OrderRegistering += OnStrategyOrderRegistering;
_strategy.OrderReRegistering += OnStrategyOrderReRegistering;
_strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
_strategy.StopOrderRegistering += OnStrategyOrderRegistering;
_strategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
_strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
_strategy.NewMyTrades += OnStrategyNewMyTrade;
_strategy.PositionManager.NewPosition += OnStrategyNewPosition;
_strategy.PositionManager.Positions.ForEach(OnStrategyNewPosition);
_strategy.PnLChanged += OnStrategyPnLChanged;
_strategy.Reseted += OnStrategyReseted;
_strategy.SetChart(ChartPanel);
PropertyGrid.SelectedObject = _strategy;
StatisticParameterGrid.StatisticManager = _strategy.StatisticManager;
}
private void OnStrategyChanged(DiagramStrategy oldStrategy, DiagramStrategy newStrategy)
{
if (oldStrategy != null)
{
StatisticsGrid.StatisticManager = null;
ConfigManager
.GetService <LogManager>()
.Sources
.Remove(oldStrategy);
oldStrategy.Composition = null;
oldStrategy.ParametersChanged -= RaiseChanged;
oldStrategy.OrderRegistering += OnStrategyOrderRegistering;
oldStrategy.OrderReRegistering += OnStrategyOrderReRegistering;
oldStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
oldStrategy.StopOrderRegistering += OnStrategyOrderRegistering;
oldStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
oldStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
oldStrategy.NewMyTrades += OnStrategyNewMyTrade;
}
DiagramDebuggerControl.Strategy = newStrategy;
if (newStrategy == null)
{
return;
}
StatisticsGrid.StatisticManager = newStrategy.StatisticManager;
ConfigManager
.GetService <LogManager>()
.Sources
.Add(newStrategy);
newStrategy.ParametersChanged += RaiseChanged;
newStrategy.OrderRegistering += OnStrategyOrderRegistering;
newStrategy.OrderReRegistering += OnStrategyOrderReRegistering;
newStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
newStrategy.StopOrderRegistering += OnStrategyOrderRegistering;
newStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
newStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
newStrategy.NewMyTrades += OnStrategyNewMyTrade;
newStrategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.PnL - newStrategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.Commission ?? 0
};
_pnlCurve.Add(pnl);
_unrealizedPnLCurve.Add(unrealizedPnL);
_commissionCurve.Add(commission);
};
newStrategy.PositionChanged += () => _posItems.Add(new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.Position
});
newStrategy.SetChart(_bufferedChart);
}
private void OnStrategyChanged(DiagramStrategy oldStrategy, DiagramStrategy newStrategy)
{
if (oldStrategy != null)
{
ConfigManager
.GetService<LogManager>()
.Sources
.Remove(oldStrategy);
oldStrategy.ParametersChanged -= RaiseChanged;
oldStrategy.OrderRegistering += OnStrategyOrderRegistering;
oldStrategy.OrderReRegistering += OnStrategyOrderReRegistering;
oldStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
oldStrategy.StopOrderRegistering += OnStrategyOrderRegistering;
oldStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
oldStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
oldStrategy.NewMyTrades += OnStrategyNewMyTrade;
}
DiagramDebuggerControl.Strategy = newStrategy;
if (newStrategy == null)
return;
ConfigManager
.GetService<LogManager>()
.Sources
.Add(newStrategy);
newStrategy.ParametersChanged += RaiseChanged;
newStrategy.OrderRegistering += OnStrategyOrderRegistering;
newStrategy.OrderReRegistering += OnStrategyOrderReRegistering;
newStrategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
newStrategy.StopOrderRegistering += OnStrategyOrderRegistering;
newStrategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
newStrategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
newStrategy.NewMyTrades += OnStrategyNewMyTrade;
newStrategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.PnL - newStrategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.Commission ?? 0
};
_pnlCurve.Add(pnl);
_unrealizedPnLCurve.Add(unrealizedPnL);
_commissionCurve.Add(commission);
};
newStrategy.PositionChanged += () => _posItems.Add(new EquityData
{
Time = newStrategy.CurrentTime,
Value = newStrategy.Position
});
newStrategy.SetChart(_bufferedChart);
}
private void StartButtonOnClick(object sender, RoutedEventArgs e)
{
_logManager.Sources.Clear();
_bufferedChart.ClearAreas();
Curve.Clear();
PositionCurve.Clear();
if (HistoryPathTextBox.Text.IsEmpty() || !Directory.Exists(HistoryPathTextBox.Text))
{
MessageBox.Show("Wrong path.");
return;
}
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
MessageBox.Show("Already launched.");
return;
}
if (Composition == null)
{
MessageBox.Show("No strategy selected.");
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecusityTextBox.Text);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = (TimeSpan)TimeFrameComboBox.SelectedItem;
var useCandles = (string)MarketDataTypeComboBox.SelectedItem != "Ticks";
// create test security
var security = new Security
{
Id = SecusityTextBox.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPathTextBox.Text)
};
var startTime = ((DateTime)FromDatePicker.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)ToDatePicke.Value).ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "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 = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
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 = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
//((ILogSource)_connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
_logManager.Sources.Add(_connector);
var candleManager = !useCandles
? new CandleManager(new TradeCandleBuilderSourceEx(_connector))
: new CandleManager(_connector);
// create strategy based on 80 5-min и 10 5-min
var strategy = new DiagramStrategy
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = _connector,
//LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
Composition = Composition,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetChart(_bufferedChart);
strategy.SetCandleManager(candleManager);
_logManager.Sources.Add(strategy);
strategy.OrderRegistering += OnStrategyOrderRegistering;
strategy.OrderReRegistering += OnStrategyOrderReRegistering;
strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.StopOrderRegistering += OnStrategyOrderRegistering;
strategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.NewMyTrades += OnStrategyNewMyTrade;
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + strategy.Name, Colors.DarkGreen, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + strategy.Name, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + strategy.Name, Colors.Red, EquityCurveChartStyles.DashedLine);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
var posItems = PositionCurve.CreateCurve(strategy.Name, Colors.DarkGreen);
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
if (!useCandles)
{
_connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
MessageBox.Show("Done.");
}
else
{
MessageBox.Show("Cancelled.");
}
});
break;
case EmulationStates.Started:
SetIsEnabled(true);
break;
}
};
TicksAndDepthsProgress.Value = 0;
// 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
}
});
}
private void StartButtonOnClick(object sender, RoutedEventArgs e)
{
_logManager.Sources.Clear();
_bufferedChart.ClearAreas();
Curve.Clear();
PositionCurve.Clear();
if (HistoryPathTextBox.Text.IsEmpty() || !Directory.Exists(HistoryPathTextBox.Text))
{
MessageBox.Show("Wrong path.");
return;
}
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
MessageBox.Show("Already launched.");
return;
}
if (Composition == null)
{
MessageBox.Show("No strategy selected.");
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecusityTextBox.Text);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = (TimeSpan)TimeFrameComboBox.SelectedItem;
var useCandles = (string)MarketDataTypeComboBox.SelectedItem != "Ticks";
// create test security
var security = new Security
{
Id = SecusityTextBox.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPathTextBox.Text)
};
var startTime = ((DateTime)FromDatePicker.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)ToDatePicke.Value).ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "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 = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
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 = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
//((ILogSource)_connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
_logManager.Sources.Add(_connector);
var candleManager = !useCandles
? new CandleManager(new TradeCandleBuilderSourceEx(_connector))
: new CandleManager(_connector);
// create strategy based on 80 5-min и 10 5-min
var strategy = new DiagramStrategy
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = _connector,
//LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
Composition = Composition,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
};
strategy.SetChart(_bufferedChart);
strategy.SetCandleManager(candleManager);
_logManager.Sources.Add(strategy);
strategy.OrderRegistering += OnStrategyOrderRegistering;
strategy.OrderReRegistering += OnStrategyOrderReRegistering;
strategy.OrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.StopOrderRegistering += OnStrategyOrderRegistering;
strategy.StopOrderReRegistering += OnStrategyOrderReRegistering;
strategy.StopOrderRegisterFailed += OnStrategyOrderRegisterFailed;
strategy.NewMyTrades += OnStrategyNewMyTrade;
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + strategy.Name, Colors.DarkGreen, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + strategy.Name, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + strategy.Name, Colors.Red, EquityCurveChartStyles.DashedLine);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
var posItems = PositionCurve.CreateCurve(strategy.Name, Colors.DarkGreen);
strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position });
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
if (!useCandles)
_connector.RegisterTrades(security);
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
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(() => TicksAndDepthsProgress.Value = steps);
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (_connector.IsFinished)
{
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
MessageBox.Show("Done.");
}
else
MessageBox.Show("Cancelled.");
});
break;
case EmulationStates.Started:
SetIsEnabled(true);
break;
}
};
TicksAndDepthsProgress.Value = 0;
// 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 }
});
}