private void EmulationConnectorOnNewSecurity(Security security)
{
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = EmulationSettings.StartTime
};
if (security.PriceStep != null)
{
level1Info.TryAdd(Level1Fields.PriceStep, security.PriceStep.Value);
}
if (security.StepPrice != null)
{
level1Info.TryAdd(Level1Fields.StepPrice, security.StepPrice.Value);
}
level1Info.TryAdd(Level1Fields.MinPrice, security.MinPrice ?? 1m);
level1Info.TryAdd(Level1Fields.MaxPrice, security.MaxPrice ?? 1000000m);
if (security.MarginBuy != null)
{
level1Info.TryAdd(Level1Fields.MarginBuy, security.MarginBuy.Value);
}
if (security.MarginSell != null)
{
level1Info.TryAdd(Level1Fields.MarginSell, security.MarginSell.Value);
}
// fill level1 values
EmulationConnector.SendInMessage(level1Info);
}
public void UpdateData(Security sec, decimal price)
{
var ps = sec.PriceStep ?? 1;
var msg = new Level1ChangeMessage
{
SecurityId = sec.ToSecurityId(),
ServerTime = DateTimeOffset.Now,
};
if (RandomGen.GetBool())
{
msg.Changes.TryAdd(Level1Fields.BestBidPrice, price - RandomGen.GetInt(1, 10) * ps);
}
if (RandomGen.GetBool())
{
msg.Changes.TryAdd(Level1Fields.BestAskPrice, price + RandomGen.GetInt(1, 10) * ps);
}
foreach (var l1Subscriptions in _l1Subscriptions)
{
_level1Received?.Invoke(l1Subscriptions, msg);
}
}
private void OnConnectorLevel1Received(Subscription subscription, Level1ChangeMessage message)
{
if (_subscriptions.ContainsKey(subscription))
{
Level1Received?.Invoke(subscription, message);
}
}
public QuoteChangeMessage Process(Level1ChangeMessage message)
{
var bidPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidPrice);
var askPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (bidPrice == null && askPrice == null)
{
return(null);
}
var bidVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidVolume);
var askVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskVolume);
if (_bidPrice == bidPrice && _askPrice == askPrice && _bidVolume == bidVolume && _askVolume == askVolume)
{
return(null);
}
_bidPrice = bidPrice;
_askPrice = askPrice;
_bidVolume = bidVolume;
_askVolume = askVolume;
return(new QuoteChangeMessage
{
SecurityId = SecurityId,
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
BuildFrom = DataType.Level1,
Bids = bidPrice == null?ArrayHelper.Empty <QuoteChange>() : new[] { new QuoteChange(bidPrice.Value, bidVolume ?? 0) },
Asks = askPrice == null?ArrayHelper.Empty <QuoteChange>() : new[] { new QuoteChange(askPrice.Value, askVolume ?? 0) },
});
}
private void ProcessLevel1Depth(Level1ChangeMessage message, decimal bestBidPrice, decimal bestBidVolume, decimal bestAskPrice, decimal bestAskVolume, List <ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastDepthDate)
{
return;
}
QuoteChange ask = null;
QuoteChange bid = null;
if (bestAskPrice != 0 && bestAskVolume != 0)
{
ask = new QuoteChange(Sides.Sell, bestAskPrice, bestAskVolume);
}
if (bestBidPrice != 0 && bestBidVolume != 0)
{
bid = new QuoteChange(Sides.Buy, bestBidPrice, bestBidVolume);
}
if (ask == null && bid == null)
{
return;
}
retVal.AddRange(ProcessQuoteChange(message.LocalTime,
bid != null ? new[] { bid } : ArrayHelper <QuoteChange> .EmptyArray,
ask != null ? new[] { ask } : ArrayHelper <QuoteChange> .EmptyArray));
}
/// <summary>
/// Добавить первый уровень маркет-данных.
/// </summary>
/// <param name="security">Инструмент.</param>
/// <param name="message">Первый уровень маркет-данных.</param>
protected virtual void AddLevel1Change(Security security, Level1ChangeMessage message)
{
if (security == null)
{
throw new ArgumentNullException("security");
}
if (message == null)
{
throw new ArgumentNullException("message");
}
message = (Level1ChangeMessage)message.Clone();
foreach (var change in message.Changes.ToArray())
{
if (!_task.Settings.SupportedLevel1Fields.Contains(change.Key))
{
message.Changes.Remove(change.Key);
}
}
if (message.Changes.Count > 0)
{
_level1Buffer.Add(security, message);
}
}
public QuoteChangeMessage Process(Level1ChangeMessage message)
{
if (HasDepth)
{
return(null);
}
var bidPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidPrice);
var askPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (bidPrice == null && askPrice == null)
{
return(null);
}
var bidVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidVolume);
var askVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskVolume);
return(new QuoteChangeMessage
{
SecurityId = _securityId,
ServerTime = message.ServerTime,
LocalTime = message.LocalTime,
IsByLevel1 = true,
Bids = bidPrice == null?Enumerable.Empty <QuoteChange>() : new[] { new QuoteChange(Sides.Buy, bidPrice.Value, bidVolume ?? 0) },
Asks = askPrice == null?Enumerable.Empty <QuoteChange>() : new[] { new QuoteChange(Sides.Sell, askPrice.Value, askVolume ?? 0) },
});
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId {
Native = paperNo
};
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = quote.SecId
},
ServerTime = SessionHolder.CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
{
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
}
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
{
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ApplyTimeZone(TimeHelper.Moscow));
}
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
protected override void AddLevel1Change(Security security, Level1ChangeMessage message)
{
if (_settings.IsDownloadSecurityChangesHistory)
{
return;
}
base.AddLevel1Change(security, message);
}
private static string Level1ToString(Level1ChangeMessage level)
{
var sb = new StringBuilder();
foreach (var kvp in level.Changes)
{
sb.Append($"{kvp.Key}:{kvp.Value};");
}
return($"{level.ServerTime};{level.SecurityId.SecurityCode};{sb}");
}
private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
{
return(null);
}
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To <decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To <decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To <TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
{
l1Msg.ServerTime = bidTime;
}
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To <decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To <decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return(l1Msg);
}
private void OnValuesChanged(Security security, IEnumerable <KeyValuePair <Level1Fields, object> > changes, DateTimeOffset serverTime, DateTime localTime)
{
var msg = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = serverTime,
LocalTime = localTime,
};
msg.Changes.AddRange(changes);
AddLevel1Change(security, msg);
}
/// <summary>
/// Преобразовать первый уровень маркет-данных.
/// </summary>
/// <param name="message">Первый уровень маркет-данных.</param>
/// <returns>Поток <see cref="ExecutionMessage"/>.</returns>
public IEnumerable <ExecutionMessage> ToExecutionLog(Level1ChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException("message");
}
var retVal = new List <ExecutionMessage>();
var bestBidPrice = 0m;
var bestBidVolume = 0m;
var bestAskPrice = 0m;
var bestAskVolume = 0m;
var lastTradePrice = 0m;
var lastTradeVolume = 0m;
foreach (var change in message.Changes)
{
switch (change.Key)
{
case Level1Fields.LastTradePrice:
lastTradePrice = (decimal)change.Value;
break;
case Level1Fields.LastTradeVolume:
lastTradeVolume = (decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
bestBidPrice = (decimal)change.Value;
break;
case Level1Fields.BestBidVolume:
bestBidVolume = (decimal)change.Value;
break;
case Level1Fields.BestAskPrice:
bestAskPrice = (decimal)change.Value;
break;
case Level1Fields.BestAskVolume:
bestAskVolume = (decimal)change.Value;
break;
}
}
ProcessLevel1Depth(message, bestBidPrice, bestBidVolume, bestAskPrice, bestAskVolume, retVal);
ProcessLevel1Trade(message, lastTradePrice, lastTradeVolume, retVal);
return(retVal);
}
/// <summary>
/// To process the message, containing market data.
/// </summary>
/// <param name="levelMsg">The message, containing market data.</param>
public void ProcessLevel1(Level1ChangeMessage levelMsg)
{
var priceStep = levelMsg.Changes.TryGetValue(Level1Fields.PriceStep);
if (priceStep != null)
{
PriceStep = (decimal)priceStep;
_recalcUnrealizedPnL = true;
}
var stepPrice = levelMsg.Changes.TryGetValue(Level1Fields.StepPrice);
if (stepPrice != null)
{
StepPrice = (decimal)stepPrice;
_recalcUnrealizedPnL = true;
}
var lotMultiplier = levelMsg.Changes.TryGetValue(Level1Fields.Multiplier);
if (lotMultiplier != null)
{
LotMultiplier = (decimal)lotMultiplier;
_recalcUnrealizedPnL = true;
}
var tradePrice = levelMsg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (tradePrice != null)
{
TradePrice = (decimal)tradePrice;
_recalcUnrealizedPnL = true;
}
var bidPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestBidPrice);
if (bidPrice != null)
{
BidPrice = (decimal)bidPrice;
_recalcUnrealizedPnL = true;
}
var askPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (askPrice != null)
{
AskPrice = (decimal)askPrice;
_recalcUnrealizedPnL = true;
}
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fAskPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // цена закрытия прошлого дня.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId {
SecurityCode = structQuoteSnap.bstrSymbol, BoardCode = structQuoteSnap.bstrExch
},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
Volume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
/// <summary>
/// To convert first level of market data.
/// </summary>
/// <param name="message">Level 1.</param>
/// <returns>Stream <see cref="Message"/>.</returns>
public IEnumerable <Message> ToExecutionLog(Level1ChangeMessage message)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
if (message.IsContainsTick())
{
yield return(message.ToTick());
}
if (message.IsContainsQuotes() && !HasDepth(message.LocalTime))
{
var prevBidPrice = _prevBidPrice;
var prevBidVolume = _prevBidVolume;
var prevAskPrice = _prevAskPrice;
var prevAskVolume = _prevAskVolume;
_prevBidPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidPrice) ?? _prevBidPrice;
_prevBidVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidVolume) ?? _prevBidVolume;
_prevAskPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskPrice) ?? _prevAskPrice;
_prevAskVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskVolume) ?? _prevAskVolume;
if (_prevBidPrice == 0)
{
_prevBidPrice = null;
}
if (_prevAskPrice == 0)
{
_prevAskPrice = null;
}
if (prevBidPrice == _prevBidPrice && prevBidVolume == _prevBidVolume && prevAskPrice == _prevAskPrice && prevAskVolume == _prevAskVolume)
{
yield break;
}
yield return(new QuoteChangeMessage
{
SecurityId = message.SecurityId,
LocalTime = message.LocalTime,
ServerTime = message.ServerTime,
Bids = _prevBidPrice == null?ArrayHelper.Empty <QuoteChange>() : new[] { new QuoteChange(_prevBidPrice.Value, _prevBidVolume ?? 0) },
Asks = _prevAskPrice == null?ArrayHelper.Empty <QuoteChange>() : new[] { new QuoteChange(_prevAskPrice.Value, _prevAskVolume ?? 0) },
});
}
}
private static string Level1ToString(Level1ChangeMessage level)
{
var sb = new StringBuilder();
foreach (var kvp in level.Changes)
{
sb.Append(string.Format("{0}:{1};", kvp.Key, kvp.Value));
}
return(string.Format("{0};{1};{2}",
level.ServerTime,
level.SecurityId.SecurityCode,
sb
));
}
private void OnSecInfoResponse(SecInfoResponse response)
{
var securityId = new SecurityId
{
Native = response.SecId,
SecurityCode = response.SecCode,
BoardCode = _boards[response.Market],
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
ExpiryDate = response.MatDate == null ? (DateTimeOffset?)null : response.MatDate.Value.ApplyTimeZone(TimeHelper.Moscow),
OptionType = response.PutCall == null ? (OptionTypes?)null : response.PutCall.Value.FromTransaq(),
});
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId {
Native = response.SecId
},
ServerTime = SessionHolder.CurrentTime.Convert(TimeHelper.Moscow),
};
l1Msg.TryAdd(Level1Fields.MinPrice, response.MinPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, response.MaxPrice);
var marginBuy = response.BuyDeposit;
if (marginBuy == null || marginBuy == 0m)
{
marginBuy = response.BgoBuy;
}
var marginSell = response.SellDeposit;
if (marginSell == null || marginSell == 0m)
{
marginSell = response.BgoC;
}
l1Msg.TryAdd(Level1Fields.MarginBuy, marginBuy);
l1Msg.TryAdd(Level1Fields.MarginSell, marginSell);
SendOutMessage(l1Msg);
}
/// <summary>
/// Initializes a new instance of the <see cref="Level1ChangeCandleBuilderSourceValue"/>.
/// </summary>
/// <param name="message">The message containing the level1 market data.</param>
/// <param name="field">Level one market-data field, which is used as an candle value.</param>
public Level1ChangeCandleBuilderSourceValue(Level1ChangeMessage message, Level1Fields field)
{
if (message == null)
{
throw new ArgumentNullException(nameof(message));
}
Level1Change = message;
Field = field;
_volume = null;
switch (field)
{
case Level1Fields.BestBidPrice:
case Level1Fields.BestAskPrice:
{
var price = GetValue(message, field);
if (price != null)
{
_price = price.Value;
}
break;
}
case Level1Fields.SpreadMiddle:
{
var bid = GetValue(message, Level1Fields.BestBidPrice);
var ask = GetValue(message, Level1Fields.BestAskPrice);
if (bid != null && ask != null)
{
_price = (ask.Value + bid.Value) / 2;
}
break;
}
default:
throw new ArgumentOutOfRangeException();
}
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId {
Native = orderBookEvent.InstrumentId
};
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
{
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
}
if (orderBookEvent.HasDailyHighestTradedPrice)
{
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
}
if (orderBookEvent.HasDailyLowestTradedPrice)
{
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
}
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
private void TraderOnValuesChanged(Security security, IEnumerable <KeyValuePair <Level1Fields, object> > changes, DateTimeOffset serverTime, DateTime localTime)
{
var wnd = _level1Windows.TryGetValue(security);
if (wnd == null)
{
return;
}
var msg = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = serverTime,
LocalTime = localTime
};
msg.Changes.AddRange(changes);
wnd.Level1Grid.Messages.Add(msg);
}
/// <summary>
/// To process the message, containing market data.
/// </summary>
/// <param name="levelMsg">The message, containing market data.</param>
public void ProcessLevel1(Level1ChangeMessage levelMsg)
{
var priceStep = levelMsg.Changes.TryGetValue(Level1Fields.PriceStep);
if (priceStep != null)
{
PriceStep = (decimal)priceStep;
_unrealizedPnL = null;
}
var stepPrice = levelMsg.Changes.TryGetValue(Level1Fields.StepPrice);
if (stepPrice != null)
{
StepPrice = (decimal)stepPrice;
_unrealizedPnL = null;
}
var tradePrice = levelMsg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (tradePrice != null)
{
TradePrice = (decimal)tradePrice;
_unrealizedPnL = null;
}
var bidPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestBidPrice);
if (bidPrice != null)
{
BidPrice = (decimal)bidPrice;
_unrealizedPnL = null;
}
var askPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (askPrice != null)
{
AskPrice = (decimal)askPrice;
_unrealizedPnL = null;
}
}
private void ProcessLevel1ChangeMessage(Level1ChangeMessage message)
{
var security = LookupSecurity(message.SecurityId);
if (UpdateSecurityByLevel1)
{
security.ApplyChanges(message);
RaiseSecurityChanged(security);
}
var values = GetSecurityValues(security);
lock (values.SyncRoot)
{
foreach (var change in message.Changes)
values[(int)change.Key] = change.Value;
}
RaiseValuesChanged(security, message.Changes, message.ServerTime, message.LocalTime);
}
private void ProcessLevel1ChangeMessage(Level1ChangeMessage message)
{
var security = LookupSecurity(message.SecurityId);
if (UpdateSecurityByLevel1)
{
security.ApplyChanges(message);
RaiseSecurityChanged(security);
}
var values = GetSecurityValues(security);
lock (values.SyncRoot)
{
foreach (var change in message.Changes)
values[(int)change.Key] = change.Value;
}
RaiseValuesChanged(security, message.Changes, message.ServerTime, message.LocalTime);
if (CreateDepthFromLevel1)
{
// генерация стакана из Level1
var quoteMsg = GetBuilder(message.SecurityId).Process(message);
if (quoteMsg != null)
{
ProcessQuotesMessage(security, quoteMsg, true);
CreateAssociatedSecurityQuotes(quoteMsg);
}
}
if (CreateAssociatedSecurity && !IsAssociated(message.SecurityId.BoardCode))
{
// обновление BestXXX для ALL из конкретных тикеров
var clone = (Level1ChangeMessage)message.Clone();
clone.SecurityId = CreateAssociatedId(clone.SecurityId);
ProcessLevel1ChangeMessage(clone);
}
}
private void FlushQuotes(SecurityId secId)
{
var quotes = _quotes.TryGetValue(secId);
if (quotes == null)
{
return;
}
_quotes.Remove(secId);
foreach (var pair in quotes.CachedPairs)
{
var message = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = pair.Key
};
var bid = pair.Value.First;
if (bid != null)
{
message
.TryAdd(Level1Fields.BestBidPrice, bid.Price.ToDecimal())
.TryAdd(Level1Fields.BestBidVolume, (decimal)bid.Size);
}
var ask = pair.Value.Second;
if (ask != null)
{
message
.TryAdd(Level1Fields.BestAskPrice, ask.Price.ToDecimal())
.TryAdd(Level1Fields.BestAskVolume, (decimal)ask.Size);
}
SendOutMessage(message);
}
}
private void SessionOnStiGreeksUpdate(ref structSTIGreeksUpdate structGreeksUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structGreeksUpdate.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
ServerTime = CurrentTime,
};
message.TryAdd(Level1Fields.Delta, (decimal)structGreeksUpdate.fDelta);
message.TryAdd(Level1Fields.Gamma, (decimal)structGreeksUpdate.fGamma);
message.TryAdd(Level1Fields.Theta, (decimal)structGreeksUpdate.fTheta);
message.TryAdd(Level1Fields.Vega, (decimal)structGreeksUpdate.fVega);
message.TryAdd(Level1Fields.Rho, (decimal)structGreeksUpdate.fRho);
message.TryAdd(Level1Fields.TheorPrice, (decimal)structGreeksUpdate.fTheoPrice);
message.TryAdd(Level1Fields.ImpliedVolatility, (decimal)structGreeksUpdate.fImpVol);
SendOutMessage(message);
}
private void ProcessLevel1Trade(Level1ChangeMessage message, decimal lastTradePrice, decimal lastTradeVolume, List <ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastTradeDate)
{
return;
}
if (lastTradePrice == 0 || lastTradeVolume == 0)
{
return;
}
var exec = new ExecutionMessage
{
LocalTime = message.LocalTime,
ServerTime = message.ServerTime,
SecurityId = message.SecurityId,
ExecutionType = ExecutionTypes.Tick,
TradePrice = lastTradePrice,
Volume = lastTradeVolume,
};
retVal.AddRange(ProcessExecution(exec));
}
private void OnQuotationsResponse(QuotationsResponse response)
{
foreach (var quote in response.Quotations)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId { Native = quote.SecId },
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.AccruedCouponIncome, quote.AccruedIntValue);
message.TryAdd(Level1Fields.OpenPrice, quote.Open);
message.TryAdd(Level1Fields.HighPrice, quote.High);
message.TryAdd(Level1Fields.LowPrice, quote.Low);
message.TryAdd(Level1Fields.ClosePrice, quote.ClosePrice);
message.TryAdd(Level1Fields.BidsCount, quote.BidsCount);
message.TryAdd(Level1Fields.BidsVolume, (decimal?)quote.BidsVolume);
message.TryAdd(Level1Fields.AsksCount, quote.AsksCount);
message.TryAdd(Level1Fields.AsksVolume, (decimal?)quote.AsksVolume);
message.TryAdd(Level1Fields.HighBidPrice, quote.HighBid);
message.TryAdd(Level1Fields.LowAskPrice, quote.LowAsk);
message.TryAdd(Level1Fields.Yield, quote.Yield);
message.TryAdd(Level1Fields.MarginBuy, quote.BuyDeposit);
message.TryAdd(Level1Fields.MarginSell, quote.SellDeposit);
message.TryAdd(Level1Fields.HistoricalVolatility, quote.Volatility);
message.TryAdd(Level1Fields.TheorPrice, quote.TheoreticalPrice);
message.TryAdd(Level1Fields.Change, quote.Change);
message.TryAdd(Level1Fields.Volume, (decimal?)quote.VolToday);
message.TryAdd(Level1Fields.StepPrice, quote.PointCost);
message.TryAdd(Level1Fields.OpenInterest, (decimal?)quote.OpenInterest);
message.TryAdd(Level1Fields.TradesCount, quote.TradesCount);
if (quote.Status != null)
message.Add(Level1Fields.State, quote.Status.Value.FromTransaq());
// Transaq передает только изменения (например, передать только цену сделки, если объем при этом не изменился)
message.TryAdd(Level1Fields.LastTradePrice, quote.LastTradePrice);
message.TryAdd(Level1Fields.LastTradeVolume, (decimal?)quote.LastTradeVolume);
if (quote.LastTradeTime != null)
message.Add(Level1Fields.LastTradeTime, quote.LastTradeTime.Value.ToDto());
message.TryAdd(Level1Fields.BestBidPrice, quote.BestBidPrice);
message.TryAdd(Level1Fields.BestBidVolume, (decimal?)quote.BestBidVolume);
message.TryAdd(Level1Fields.BestAskPrice, quote.BestAskPrice);
message.TryAdd(Level1Fields.BestAskVolume, (decimal?)quote.BestAskVolume);
SendOutMessage(message);
}
}
private void OnProcessSecurities(long transactionId, string[] data)
{
var f = Wrapper.FieldsSecurities;
var secMessages = new List<Tuple<int, SecurityMessage>>();
var level1Messages = new List<Level1ChangeMessage>();
foreach (var row in data)
{
var cols = row.ToColumns();
var secType = f.ATCode.GetValue(cols);
if(secType == null)
continue;
var paperNo = f.PaperNo.GetValue(cols);
var code = f.PaperCode.GetValue(cols);
var name = f.AnsiName.GetValue(cols);
var time = f.ILastUpdate.GetValue(cols);
_securityCodes[paperNo] = code;
var secId = new SecurityId
{
Native = paperNo,
SecurityCode = code,
BoardCode = this.GetBoardCode(f.PlaceCode.GetValue(cols))
};
var msg = new SecurityMessage
{
SecurityId = secId,
Name = name,
ShortName = name,
SecurityType = secType,
Multiplier = f.LotSize.GetValue(cols),
PriceStep = f.PriceStep.GetValue(cols),
//LocalTime = time,
Currency = f.CurrCode.GetValue(cols),
Strike = f.Strike.GetValue(cols)
};
if(msg.SecurityType == SecurityTypes.Option || msg.SecurityType == SecurityTypes.Future)
msg.ExpiryDate = f.MatDate.GetValue(cols).ApplyTimeZone(TimeHelper.Moscow);
if (msg.SecurityType == SecurityTypes.Option)
{
msg.OptionType = f.ATCode.GetStrValue(cols).ATCodeToOptionType();
msg.Strike = f.Strike.GetValue(cols);
}
secMessages.Add(Tuple.Create(f.BasePaperNo.GetValue(cols), msg));
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = time.ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.StepPrice, f.PriceStepCost.GetValue(cols));
level1Messages.Add(l1Msg);
}
secMessages.Where(t => t.Item2.SecurityType == SecurityTypes.Option).ForEach(t =>
t.Item2.UnderlyingSecurityCode = _securityCodes.TryGetValue(t.Item1));
secMessages.ForEach(t => SendOutMessage(t.Item2));
level1Messages.ForEach(SendOutMessage);
if (transactionId > 0)
{
SendOutMessage(new SecurityLookupResultMessage
{
OriginalTransactionId = transactionId,
});
}
}
private static Level1ChangeMessage ToLevel2(string value)
{
var parts = value.SplitByComma();
var isBidValid = parts[10] == "T";
var isAskValid = parts[11] == "T";
if (!isBidValid && !isAskValid)
return null;
var date = parts[7].ToDateTime("yyyy-MM-dd");
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = parts[0],
BoardCode = parts[1]
},
};
// http://www.iqfeed.net/dev/api/docs/ConditionCodes.cfm
l1Msg.Add(Level1Fields.IsSystem, parts[8] == "52");
if (isAskValid)
{
l1Msg.ServerTime = date.Add(parts[9].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
l1Msg
.TryAdd(Level1Fields.BestAskPrice, parts[3].To<decimal>())
.TryAdd(Level1Fields.BestAskVolume, parts[5].To<decimal>())
.Add(Level1Fields.BestAskTime, l1Msg.ServerTime);
}
if (isBidValid)
{
var bidTime = date.Add(parts[6].To<TimeSpan>()).ApplyTimeZone(TimeHelper.Est);
if (bidTime > l1Msg.ServerTime)
l1Msg.ServerTime = bidTime;
l1Msg
.TryAdd(Level1Fields.BestBidPrice, parts[2].To<decimal>())
.TryAdd(Level1Fields.BestBidVolume, parts[4].To<decimal>())
.Add(Level1Fields.BestBidTime, bidTime);
}
return l1Msg;
}
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 OnSecInfoResponse(SecInfoResponse response)
{
var securityId = new SecurityId
{
Native = response.SecId,
SecurityCode = response.SecCode,
BoardCode = _boards[response.Market],
};
SendOutMessage(new SecurityMessage
{
SecurityId = securityId,
ExpiryDate = response.MatDate?.ApplyTimeZone(TimeHelper.Moscow),
OptionType = response.PutCall?.FromTransaq(),
});
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId { Native = response.SecId },
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
l1Msg.TryAdd(Level1Fields.MinPrice, response.MinPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, response.MaxPrice);
var marginBuy = response.BuyDeposit;
if (marginBuy == null || marginBuy == 0m)
marginBuy = response.BgoBuy;
var marginSell = response.SellDeposit;
if (marginSell == null || marginSell == 0m)
marginSell = response.BgoC;
l1Msg.TryAdd(Level1Fields.MarginBuy, marginBuy);
l1Msg.TryAdd(Level1Fields.MarginSell, marginSell);
SendOutMessage(l1Msg);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
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.Text)
};
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);
});
};
// получаем подключение для эмуляции
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(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(new CandleManager(connector));
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return strategy;
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
private static string Level1ToString(Level1ChangeMessage level)
{
var sb = new StringBuilder();
foreach (var kvp in level.Changes)
sb.Append(string.Format("{0}:{1};", kvp.Key, kvp.Value));
return string.Format("{0};{1};{2}",
level.ServerTime,
level.SecurityId.SecurityCode,
sb
);
}
private void FlushQuotes(SecurityId secId)
{
var quotes = _quotes.TryGetValue(secId);
if (quotes == null)
return;
_quotes.Remove(secId);
foreach (var pair in quotes.CachedPairs)
{
var message = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = pair.Key
};
var bid = pair.Value.First;
if (bid != null)
{
message
.TryAdd(Level1Fields.BestBidPrice, bid.Price.ToDecimal())
.TryAdd(Level1Fields.BestBidVolume, (decimal)bid.Size);
}
var ask = pair.Value.Second;
if (ask != null)
{
message
.TryAdd(Level1Fields.BestAskPrice, ask.Price.ToDecimal())
.TryAdd(Level1Fields.BestAskVolume, (decimal)ask.Size);
}
SendOutMessage(message);
}
}
private void SessionOnStiQuoteSnap(ref structSTIQuoteSnap structQuoteSnap)
{
var l1CngMsg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structQuoteSnap.bstrSymbol,
BoardCode = structQuoteSnap.bstrExch
},
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime(),
};
if (structQuoteSnap.bAskPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestAskPrice, (decimal)structQuoteSnap.fAskPrice);
if (structQuoteSnap.bBidPrice != 0)
l1CngMsg.TryAdd(Level1Fields.BestBidPrice, (decimal)structQuoteSnap.fBidPrice);
l1CngMsg.TryAdd(Level1Fields.BestAskVolume, (decimal)structQuoteSnap.nAskSize);
l1CngMsg.TryAdd(Level1Fields.BestBidVolume, (decimal)structQuoteSnap.nBidSize);
if (structQuoteSnap.bOpenPrice != 0)
l1CngMsg.TryAdd(Level1Fields.OpenPrice, (decimal)structQuoteSnap.fOpenPrice);
if (structQuoteSnap.bHighPrice != 0)
l1CngMsg.TryAdd(Level1Fields.HighPrice, (decimal)structQuoteSnap.fHighPrice);
if (structQuoteSnap.bLowPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LowPrice, (decimal)structQuoteSnap.fLowPrice);
if (structQuoteSnap.bLastPrice != 0)
l1CngMsg.TryAdd(Level1Fields.LastTradePrice, (decimal)structQuoteSnap.fLastPrice);
l1CngMsg.TryAdd(Level1Fields.LastTradeVolume, (decimal)structQuoteSnap.nLastSize);
l1CngMsg.TryAdd(Level1Fields.OpenInterest, (decimal)structQuoteSnap.nOpenInterest);
l1CngMsg.TryAdd(Level1Fields.Volume, (decimal)structQuoteSnap.nCumVolume);
l1CngMsg.TryAdd(Level1Fields.VWAP, (decimal)structQuoteSnap.fVwap);
l1CngMsg.TryAdd(Level1Fields.ClosePrice, (decimal)structQuoteSnap.fClosePrice); // öåíà çàêðûòèÿ ïðîøëîãî äíÿ.
SendOutMessage(l1CngMsg);
if (_subscribedSecuritiesToTrade.Cache.Contains(structQuoteSnap.bstrSymbol) && structQuoteSnap.fLastPrice != 0)
{
var tickMsg= new ExecutionMessage
{
ExecutionType = ExecutionTypes.Tick,
SecurityId = new SecurityId{SecurityCode = structQuoteSnap.bstrSymbol,BoardCode = structQuoteSnap.bstrExch},
//TradeId = structQuoteSnap.,
TradePrice = (decimal)structQuoteSnap.fLastPrice,
TradeVolume = structQuoteSnap.nLastSize,
//OriginSide = action.ToSide(),
ServerTime = structQuoteSnap.bstrUpdateTime.StrToTime()
};
SendOutMessage(tickMsg);
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// ticks
new EmulationInfo {UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757}),
Tuple.Create(
DepthsCheckBox,
DepthsTestingProcess,
DepthsParameterGrid,
// order book
new EmulationInfo {UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// candles
new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// order log
new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog})
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// 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);
// 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 secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
continue;
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// 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,
};
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 connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
MarketEmulator =
{
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,
// 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 = emulationInfo.UseCandleTimeFrame == null
? new CandleManager(new TradeCandleBuilderSourceEx(connector))
: new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage { Length = 10 };
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage { Length = 80 };
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(_bufferedChart, _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);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of 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.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// 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 pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
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);
};
strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position });
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)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
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;
}
/// <summary>
/// To convert first level of market data.
/// </summary>
/// <param name="message">Level 1.</param>
/// <returns>Stream <see cref="Message"/>.</returns>
public IEnumerable<Message> ToExecutionLog(Level1ChangeMessage message)
{
if (message == null)
throw new ArgumentNullException(nameof(message));
if (message.IsContainsTick())
yield return message.ToTick();
if (message.IsContainsQuotes())
{
var prevBidPrice = _prevBidPrice;
var prevBidVolume = _prevBidVolume;
var prevAskPrice = _prevAskPrice;
var prevAskVolume = _prevAskVolume;
_prevBidPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidPrice) ?? _prevBidPrice;
_prevBidVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestBidVolume) ?? _prevBidVolume;
_prevAskPrice = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskPrice) ?? _prevAskPrice;
_prevAskVolume = (decimal?)message.Changes.TryGetValue(Level1Fields.BestAskVolume) ?? _prevAskVolume;
if (_prevBidPrice == 0)
_prevBidPrice = null;
if (_prevAskPrice == 0)
_prevAskPrice = null;
if (prevBidPrice == _prevBidPrice && prevBidVolume == _prevBidVolume && prevAskPrice == _prevAskPrice && prevAskVolume == _prevAskVolume)
yield break;
yield return new QuoteChangeMessage
{
SecurityId = message.SecurityId,
LocalTime = message.LocalTime,
ServerTime = message.ServerTime,
Bids = _prevBidPrice == null ? Enumerable.Empty<QuoteChange>() : new[] { new QuoteChange(Sides.Buy, _prevBidPrice.Value, _prevBidVolume ?? 0) },
Asks = _prevAskPrice == null ? Enumerable.Empty<QuoteChange>() : new[] { new QuoteChange(Sides.Sell, _prevAskPrice.Value, _prevAskVolume ?? 0) },
};
}
}
private void SessionOnStiGreeksUpdate(ref structSTIGreeksUpdate structGreeksUpdate)
{
var message = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = structGreeksUpdate.bstrSymbol,
BoardCode = AssociatedBoardCode,
},
ServerTime = CurrentTime,
};
message.TryAdd(Level1Fields.Delta, (decimal)structGreeksUpdate.fDelta);
message.TryAdd(Level1Fields.Gamma, (decimal)structGreeksUpdate.fGamma);
message.TryAdd(Level1Fields.Theta, (decimal)structGreeksUpdate.fTheta);
message.TryAdd(Level1Fields.Vega, (decimal)structGreeksUpdate.fVega);
message.TryAdd(Level1Fields.Rho, (decimal)structGreeksUpdate.fRho);
message.TryAdd(Level1Fields.TheorPrice, (decimal)structGreeksUpdate.fTheoPrice);
message.TryAdd(Level1Fields.ImpliedVolatility, (decimal)structGreeksUpdate.fImpVol);
SendOutMessage(message);
}
/// <summary>
/// To process the message, containing market data.
/// </summary>
/// <param name="levelMsg">The message, containing market data.</param>
public void ProcessLevel1(Level1ChangeMessage levelMsg)
{
var priceStep = levelMsg.Changes.TryGetValue(Level1Fields.PriceStep);
if (priceStep != null)
{
PriceStep = (decimal)priceStep;
_unrealizedPnL = null;
}
var stepPrice = levelMsg.Changes.TryGetValue(Level1Fields.StepPrice);
if (stepPrice != null)
{
StepPrice = (decimal)stepPrice;
_unrealizedPnL = null;
}
var tradePrice = levelMsg.Changes.TryGetValue(Level1Fields.LastTradePrice);
if (tradePrice != null)
{
TradePrice = (decimal)tradePrice;
_unrealizedPnL = null;
}
var bidPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestBidPrice);
if (bidPrice != null)
{
BidPrice = (decimal)bidPrice;
_unrealizedPnL = null;
}
var askPrice = levelMsg.Changes.TryGetValue(Level1Fields.BestAskPrice);
if (askPrice != null)
{
AskPrice = (decimal)askPrice;
_unrealizedPnL = null;
}
}
private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
throw new InvalidOperationException(LocalizedStrings.Str3015);
if (Strategy == null)
throw new InvalidOperationException("Strategy not selected.");
var strategy = (EmulationDiagramStrategy)Strategy;
if (strategy.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
throw new InvalidOperationException(LocalizedStrings.Str3014);
strategy
.Composition
.Parameters
.ForEach(p =>
{
if (p.Type == typeof(Security) && p.Value == null)
throw new InvalidOperationException(LocalizedStrings.Str1380);
});
strategy.Reset();
Reset();
var securityId = "empty@empty";
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(securityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = strategy.CandlesTimeFrame;
var useCandles = strategy.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = securityId, // 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(strategy.DataPath)
};
var startTime = strategy.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = strategy.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var securityProvider = ConfigManager.GetService<ISecurityProvider>();
// create backtesting connector
_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
{
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;
ConfigManager.GetService<LogManager>().Sources.Add(_connector);
var candleManager = new CandleManager(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.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
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>();
strategy.SetCandleManager(candleManager);
_connector.NewSecurity += s =>
{
var level1Info = new Level1ChangeMessage
{
SecurityId = s.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);
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
//if (!useCandles)
// _connector.RegisterTrades(s);
};
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.LookupSecuritiesResult += (ss) =>
{
if (strategy.ProcessState != ProcessStates.Stopped)
return;
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
});
break;
case EmulationStates.Started:
break;
}
};
TicksAndDepthsProgress.Value = 0;
DiagramDebuggerControl.Debugger.IsEnabled = true;
// 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 OnSecurityChanged(string smartId, Tuple<decimal, decimal, DateTime> lastTrade, decimal open, decimal high, decimal low, decimal close, decimal volume, QuoteChange bid, QuoteChange ask,
decimal openInt, Tuple<decimal, decimal> goBuySell, Tuple<decimal, decimal> goBase, Tuple<decimal, decimal> limits, int tradingStatus, Tuple<decimal, decimal> volatTheorPrice)
{
var secId = new SecurityId { Native = smartId };
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary<object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private static string Level1ToString(Level1ChangeMessage level)
{
var sb = new StringBuilder();
foreach (var kvp in level.Changes)
sb.Append($"{kvp.Key}:{kvp.Value};");
return $"{level.ServerTime};{level.SecurityId.SecurityCode};{sb}";
}
private void ProcessLevel1Trade(Level1ChangeMessage message, decimal lastTradePrice, decimal lastTradeVolume, List<ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastTradeDate)
return;
if (lastTradePrice == 0 || lastTradeVolume == 0)
return;
var exec = new ExecutionMessage
{
LocalTime = message.LocalTime,
ServerTime = message.ServerTime,
SecurityId = message.SecurityId,
ExecutionType = ExecutionTypes.Tick,
TradePrice = lastTradePrice,
Volume = lastTradeVolume,
};
retVal.AddRange(ProcessExecution(exec));
}
private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
throw new InvalidOperationException(LocalizedStrings.Str3015);
if (Strategy == null)
throw new InvalidOperationException("Strategy not selected.");
var strategy = (EmulationDiagramStrategy)Strategy;
var settings = strategy.EmulationSettings;
if (settings.MarketDataSettings == null)
throw new InvalidOperationException(LocalizedStrings.Str3014);
new SetDefaultEmulationSettingsCommand(settings).Process(this);
strategy
.Composition
.Parameters
.ForEach(p =>
{
if (p.Type == typeof(Security) && p.Value == null)
throw new InvalidOperationException(LocalizedStrings.Str1380);
});
strategy.Reset();
Reset();
var securityId = "empty@empty";
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(securityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = settings.CandlesTimeFrame;
var useCandles = settings.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = securityId, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StudioStorageRegistry
{
MarketDataSettings = settings.MarketDataSettings
};
var startTime = settings.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = settings.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var securityProvider = ConfigManager.GetService<ISecurityProvider>();
// create backtesting connector
_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
{
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 = settings.MatchOnTouch,
IsSupportAtomicReRegister = settings.IsSupportAtomicReRegister,
Latency = settings.EmulatoinLatency,
}
}
},
UseExternalCandleSource = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
StorageFormat = settings.StorageFormat,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)_connector).LogLevel = settings.DebugLog ? LogLevels.Debug : LogLevels.Info;
ConfigManager.GetService<LogManager>().Sources.Add(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.Connector = _connector;
strategy.LogLevel = settings.DebugLog ? LogLevels.Debug : LogLevels.Info;
// by default interval is 1 min,
// it is excessively for time range with several months
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>();
strategy.SetCandleManager(new CandleManager(_connector));
_connector.NewSecurity += s =>
{
//TODO send real level1 message
var level1Info = new Level1ChangeMessage
{
SecurityId = s.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);
// fill level1 values
_connector.SendInMessage(level1Info);
if (settings.UseMarketDepths)
{
_connector.RegisterMarketDepth(security);
if (
// if order book will be generated
settings.GenerateDepths ||
// of backtesting will be on candles
useCandles
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(s))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = settings.MaxDepths,
MaxBidsDepth = settings.MaxDepths,
UseTradeVolume = true,
MaxVolume = settings.MaxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
};
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.LookupSecuritiesResult += (ss) =>
{
if (strategy.ProcessState != ProcessStates.Stopped)
return;
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
});
break;
case EmulationStates.Started:
break;
}
};
_connector.Disconnected += () =>
{
this.GuiAsync(() => _connector.Dispose());
};
TicksAndDepthsProgress.Value = 0;
DiagramDebuggerControl.Debugger.IsEnabled = true;
// 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 ProcessLevel1Depth(Level1ChangeMessage message, decimal bestBidPrice, decimal bestBidVolume, decimal bestAskPrice, decimal bestAskVolume, List<ExecutionMessage> retVal)
{
if (message.LocalTime.Date == _lastDepthDate)
return;
QuoteChange ask = null;
QuoteChange bid = null;
if (bestAskPrice != 0 && bestAskVolume != 0)
ask = new QuoteChange(Sides.Sell, bestAskPrice, bestAskVolume);
if (bestBidPrice != 0 && bestBidVolume != 0)
bid = new QuoteChange(Sides.Buy, bestBidPrice, bestBidVolume);
if (ask == null && bid == null)
return;
retVal.AddRange(ProcessQuoteChange(message.LocalTime, message.ServerTime,
bid != null ? new[] { bid } : ArrayHelper.Empty<QuoteChange>(),
ask != null ? new[] { ask } : ArrayHelper.Empty<QuoteChange>()));
}
private void TraderOnValuesChanged(Security security, IEnumerable<KeyValuePair<Level1Fields, object>> changes, DateTimeOffset serverTime, DateTime localTime)
{
var wnd = _level1Windows.TryGetValue(security);
if (wnd == null)
return;
var msg = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = serverTime,
LocalTime = localTime
};
msg.Changes.AddRange(changes);
wnd.Level1Grid.Messages.Add(msg);
}
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 candleManager = new CandleManager(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based on 80 5-min и 10 5-min
_strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
_connector.NewSecurities += securities =>
{
if (securities.All(s => 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();
candleManager.Start(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 EquityData
{
Time = _strategy.CurrentTime,
Value = _strategy.PnL,
};
this.GuiAsync(() => _curveItems.Add(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);
});
}
};
_curveItems.Clear();
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
}
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,
};
if (FinamCandlesCheckBox.IsChecked == true)
{
_finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
}
// 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, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// (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 = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var 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 = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
OrderLogMarketDepthBuilders =
{
{
secId,
LocalizedStrings.ActiveLanguage == Languages.Russian
? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId)
: new ItchOrderLogMarketDepthBuilder(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 candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load
};
_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, candleManager, 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);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapter.SendOutMessage(level1Info);
if (emulationInfo.HistorySource != null)
{
if (emulationInfo.UseCandleTimeFrame != null)
{
connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
}
if (emulationInfo.UseTicks)
{
connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseMarketDepth)
{
connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
}
}
else
{
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of 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.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterSecurity(security);
}
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// 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, emulationInfo.CurveColor, LineChartStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine);
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
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 ?? 0
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
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)
{
candleManager.Stop(series);
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 =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
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;
}
/// <summary>
/// Преобразовать первый уровень маркет-данных.
/// </summary>
/// <param name="message">Первый уровень маркет-данных.</param>
/// <returns>Поток <see cref="ExecutionMessage"/>.</returns>
public IEnumerable<ExecutionMessage> ToExecutionLog(Level1ChangeMessage message)
{
if (message == null)
throw new ArgumentNullException("message");
var retVal = new List<ExecutionMessage>();
var bestBidPrice = 0m;
var bestBidVolume = 0m;
var bestAskPrice = 0m;
var bestAskVolume = 0m;
var lastTradePrice = 0m;
var lastTradeVolume = 0m;
foreach (var change in message.Changes)
{
switch (change.Key)
{
case Level1Fields.LastTradePrice:
lastTradePrice = (decimal)change.Value;
break;
case Level1Fields.LastTradeVolume:
lastTradeVolume = (decimal)change.Value;
break;
case Level1Fields.BestBidPrice:
bestBidPrice = (decimal)change.Value;
break;
case Level1Fields.BestBidVolume:
bestBidVolume = (decimal)change.Value;
break;
case Level1Fields.BestAskPrice:
bestAskPrice = (decimal)change.Value;
break;
case Level1Fields.BestAskVolume:
bestAskVolume = (decimal)change.Value;
break;
}
}
ProcessLevel1Depth(message, bestBidPrice, bestBidVolume, bestAskPrice, bestAskVolume, retVal);
ProcessLevel1Trade(message, lastTradePrice, lastTradeVolume, retVal);
return retVal;
}
private void ProcessSubscriptions()
{
if (_subscribedLevel1.Count > 0)
{
var tickerReply = _client.GetTickers(_subscribedLevel1.Cache.Select(id => id.SecurityCode.ToBtceCode()));
foreach (var ticker in tickerReply.Items.Values)
{
var l1Msg = new Level1ChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = ticker.Instrument.ToStockSharpCode(),
BoardCode = _boardCode,
},
ServerTime = ticker.Timestamp.ApplyTimeZone(TimeHelper.Moscow)
}
.TryAdd(Level1Fields.Volume, (decimal)ticker.Volume)
.TryAdd(Level1Fields.HighPrice, (decimal)ticker.HighPrice)
.TryAdd(Level1Fields.LowPrice, (decimal)ticker.LowPrice)
.TryAdd(Level1Fields.LastTradePrice, (decimal)ticker.LastPrice)
// BTCE транслирует потенциальные цену для покупки и продажи
.TryAdd(Level1Fields.BestBidPrice, (decimal)ticker.Ask)
.TryAdd(Level1Fields.BestAskPrice, (decimal)ticker.Bid)
.TryAdd(Level1Fields.AveragePrice, (decimal)ticker.AveragePrice);
if (l1Msg.Changes.Count > 0)
SendOutMessage(l1Msg);
}
}
if (_subscribedDepths.Count > 0)
{
foreach (var group in _subscribedDepths.CachedPairs.GroupBy(p => p.Value))
{
var depthReply = _client.GetDepths(group.Key, group.Select(p => p.Key).Select(id => id.SecurityCode.ToBtceCode()));
foreach (var pair in depthReply.Items)
{
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = pair.Key.ToStockSharpCode(),
BoardCode = _boardCode,
},
Bids = pair.Value.Bids.Select(vp => vp.ToStockSharp(Sides.Buy)).ToArray(),
Asks = pair.Value.Asks.Select(vp => vp.ToStockSharp(Sides.Sell)).ToArray(),
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
});
}
}
}
if (_subscribedTicks.Count > 0)
{
var tradeReply = _client.GetTrades(_tickCount, _subscribedTicks.Cache.Select(id => id.SecurityCode.ToBtceCode()));
// меняем на глубину 50
_tickCount = 50;
foreach (var pair in tradeReply.Items)
{
foreach (var trade in pair.Value.OrderBy(t => t.Id))
{
if (_lastTickId >= trade.Id)
continue;
_lastTickId = trade.Id;
SendOutMessage(new ExecutionMessage
{
SecurityId = new SecurityId
{
SecurityCode = pair.Key.ToStockSharpCode(),
BoardCode = _boardCode,
},
ExecutionType = ExecutionTypes.Tick,
TradePrice = (decimal)trade.Price,
Volume = (decimal)trade.Volume,
TradeId = trade.Id,
ServerTime = trade.Timestamp.ApplyTimeZone(TimeHelper.Moscow),
OriginSide = trade.Side.ToStockSharp()
});
}
}
}
}
private void OnProcessLevel1(string[] data)
{
var f = Wrapper.FieldsLevel1;
foreach (var row in data)
{
var cols = row.ToColumns();
var paperNo = f.PaperNo.GetValue(cols);
var secId = new SecurityId { Native = paperNo };
var l1Msg = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = (f.LastUpdateDate.GetValue(cols).Date + f.LastUpdateTime.GetValue(cols).TimeOfDay).ApplyTimeZone(TimeHelper.Moscow)
};
l1Msg.Add(Level1Fields.State, f.TradingStatus.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginBuy, f.GoBuy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MarginSell, f.GoSell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.OpenInterest, (decimal)f.OpenPosQty.GetValue(cols));
var minPrice = f.MinDeal.GetValue(cols);
var maxPrice = f.MaxDeal.GetValue(cols);
l1Msg.TryAdd(Level1Fields.OpenPrice, f.OpenPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ClosePrice, f.ClosePrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.HighPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.LowPrice, minPrice);
l1Msg.TryAdd(Level1Fields.BestBidPrice, f.Buy.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestBidVolume, (decimal)f.BuyQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskPrice, f.Sell.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BestAskVolume, (decimal)f.SellQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.MinPrice, minPrice);
l1Msg.TryAdd(Level1Fields.MaxPrice, maxPrice);
l1Msg.TryAdd(Level1Fields.Multiplier, (decimal)f.LotSize.GetValue(cols));
l1Msg.TryAdd(Level1Fields.ImpliedVolatility, f.Volatility.GetValue(cols));
l1Msg.TryAdd(Level1Fields.TheorPrice, f.TheorPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradePrice, f.LastPrice.GetValue(cols));
l1Msg.TryAdd(Level1Fields.LastTradeVolume, (decimal)f.LastQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.PriceStep, f.PriceStep.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsVolume, (decimal)f.BuySQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.BidsCount, f.BuyCount.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksVolume, (decimal)f.SellSQty.GetValue(cols));
l1Msg.TryAdd(Level1Fields.AsksCount, f.SellCount.GetValue(cols));
SendOutMessage(l1Msg);
}
}
private void OnSecurityChanged(string smartId, Tuple <decimal?, decimal?, DateTime> lastTrade, decimal?open, decimal?high, decimal?low, decimal?close, decimal?volume, QuoteChange bid, QuoteChange ask,
decimal?openInt, Tuple <decimal?, decimal?> goBuySell, Tuple <decimal?, decimal?> goBase, Tuple <decimal?, decimal?> limits, int tradingStatus, Tuple <decimal?, decimal?> volatTheorPrice)
{
var secId = new SecurityId {
Native = smartId
};
var message = new Level1ChangeMessage
{
SecurityId = secId,
ExtensionInfo = new Dictionary <object, object>
{
{ SmartComExtensionInfoHelper.SecurityOptionsMargin, goBase.Item1 },
{ SmartComExtensionInfoHelper.SecurityOptionsSyntheticMargin, goBase.Item2 }
},
ServerTime = CurrentTime.Convert(TimeHelper.Moscow),
};
message.TryAdd(Level1Fields.LastTradePrice, lastTrade.Item1);
message.TryAdd(Level1Fields.LastTradeVolume, lastTrade.Item2);
message.Add(Level1Fields.LastTradeTime, lastTrade.Item3.ApplyTimeZone(TimeHelper.Moscow));
var prevQuotes = _bestQuotes.TryGetValue(secId);
if (bid.Price != 0)
{
message.Add(Level1Fields.BestBidPrice, bid.Price);
if (prevQuotes != null && prevQuotes.First != null && prevQuotes.First.Item1 == bid.Price)
{
message.Add(Level1Fields.BestBidVolume, prevQuotes.First.Item2);
}
}
if (ask.Price != 0)
{
message.Add(Level1Fields.BestAskPrice, ask.Price);
if (prevQuotes != null && prevQuotes.Second != null && prevQuotes.Second.Item1 == ask.Price)
{
message.Add(Level1Fields.BestAskVolume, prevQuotes.Second.Item2);
}
}
message.TryAdd(Level1Fields.BidsVolume, bid.Volume);
message.TryAdd(Level1Fields.AsksVolume, ask.Volume);
message.TryAdd(Level1Fields.OpenPrice, open);
message.TryAdd(Level1Fields.LowPrice, low);
message.TryAdd(Level1Fields.HighPrice, high);
message.TryAdd(Level1Fields.ClosePrice, close);
message.TryAdd(Level1Fields.MinPrice, limits.Item1);
message.TryAdd(Level1Fields.MaxPrice, limits.Item2);
message.TryAdd(Level1Fields.MarginBuy, goBuySell.Item1);
message.TryAdd(Level1Fields.MarginSell, goBuySell.Item2);
message.TryAdd(Level1Fields.OpenInterest, openInt);
message.TryAdd(Level1Fields.ImpliedVolatility, volatTheorPrice.Item1);
message.TryAdd(Level1Fields.TheorPrice, volatTheorPrice.Item2);
message.TryAdd(Level1Fields.Volume, volume);
message.Add(Level1Fields.State, tradingStatus == 0 ? SecurityStates.Trading : SecurityStates.Stoped);
SendOutMessage(message);
}
private void OnSessionMarketDataChanged(OrderBookEvent orderBookEvent)
{
var time = TimeHelper.GregorianStart.AddMilliseconds(orderBookEvent.Timestamp).ApplyTimeZone(TimeZoneInfo.Utc);
var secId = new SecurityId { Native = orderBookEvent.InstrumentId };
var l1Msg = new Level1ChangeMessage
{
ServerTime = time,
SecurityId = secId,
};
if (orderBookEvent.HasMarketClosePrice)
l1Msg.Add(Level1Fields.ClosePrice, orderBookEvent.MktClosePrice);
if (orderBookEvent.HasDailyHighestTradedPrice)
l1Msg.Add(Level1Fields.HighPrice, orderBookEvent.DailyHighestTradedPrice);
if (orderBookEvent.HasDailyLowestTradedPrice)
l1Msg.Add(Level1Fields.LowPrice, orderBookEvent.DailyLowestTradedPrice);
if (orderBookEvent.HasLastTradedPrice)
{
l1Msg.Add(Level1Fields.LastTradePrice, orderBookEvent.LastTradedPrice);
}
SendOutMessage(l1Msg);
SendOutMessage(new QuoteChangeMessage
{
SecurityId = secId,
Bids = orderBookEvent.BidPrices.Select(p => new QuoteChange(Sides.Buy, p.Price, p.Quantity)),
Asks = orderBookEvent.AskPrices.Select(p => new QuoteChange(Sides.Sell, p.Price, p.Quantity)),
ServerTime = time
});
}
