/// <summary>
/// This is executed at the start of the application.
/// It getts all Strategies in AlgoTraderStrategies namespace.
/// It will hash the code and store it in the DB and return the usable strategies that can be used in trading
/// </summary>
/// <returns></returns>
public static Dictionary <string, string> RefreshStrategyNamesAndIds()
{
Dictionary <string, string> result = new Dictionary <string, string>();
Type[] types = UC.GetTypesInNamespace(Assembly.GetExecutingAssembly(), "AT.AlgoTraderStrategies");
string baseStrategyText = UC.NormalizeSourceCode(File.ReadAllText(Global.Constants.BaseStrategyPath));
string baseStrategyMD5 = UC.MD5Hash(baseStrategyText);
string baseStrategyId = baseStrategyMD5.Substring(baseStrategyMD5.Length - 6);
for (int n = 0; n < types.Length; n++)
{
string strategyText = UC.NormalizeSourceCode(File.ReadAllText(Global.Constants.StrategiesFolder + types[n].Name + ".cs"));
string strategyMD5 = UC.MD5Hash(strategyText);
string strategyId = strategyMD5.Substring(strategyMD5.Length - 6) + baseStrategyId;
result.Add(strategyId, types[n].Name);
DBMethods.InsertStrategyName(strategyId, types[n].Name, UCDT.GetCurrentNanoUnix());
}
return(result);
}
/// <summary>
/// Checks and configures Days.
/// Will remove any testing days if the mode can't have testing days.
/// If not simulating, will limit the days to just today.
/// </summary>
/// <param name="days"></param>
private void PrepDays(List <FD> days)
{
Days = new List <FD>();
// prep days (forces today when not sim, removes testing days if sim GatherStats)
if (AlgoTraderState.IsSim)
{
if (CannotHaveTestingDays())
{
List <FD> testingDays = DBMethods.GetTestingDays();
int daysCount = days.Count;
// remove all testing days from days
days.RemoveAll(d => testingDays.Exists(t => t.Equals(d)));
TC.Log.AddLine("Removed " + (daysCount - days.Count) + " testing days because we cannot have testing days", Verbosity.Normal);
}
else
{
TC.Log.AddLine("Testing days are totally fine. Will add all " + days.Count + " day(s)", Verbosity.Normal);
}
Days.AddRange(days);
// make sure it's ordered chronologically for tiddyness sake
Days = Days.OrderBy(d => d.StartNano).ToList();
}
else
{
ZonedDateTime zdt = UCDT.GetCurrentEastCoastTime();
FD fd = new FD(zdt.Year, zdt.Month, zdt.Day);
TC.Log.AddLine("Added only today because it's not a simulation: " + fd.ToString(), Verbosity.Normal);
Days.Add(fd);
}
}
public long GetDateTimeNano()
{
long nano = 0;
lock (LockObj)
{
nano = UCDT.DateTimeToNanoUnix(Time.ToDateTimeUtc());
}
return(nano);
}
/// <summary>
/// Starts ticking the timer.
/// For simulations, current time will be set to 12am current day.
/// For non-simulations, current time will be current east coast time.
/// </summary>
private void PrepareTimer()
{
if (AlgoTraderState.IsSim)
{
DateTime dt = new DateTime(AlgoTraderState.CurrentDay.DT.Year, AlgoTraderState.CurrentDay.DT.Month, AlgoTraderState.CurrentDay.DT.Day, 0, 0, 0, DateTimeKind.Unspecified);
ZonedDateTime initial = UCDT.UTCDateTimeToZonedDateTime(UCDT.ZonedDateTimetoUTCDateTime(dt, UCDT.TimeZones.Eastern), UCDT.TimeZones.Eastern);
AlgoTraderState.CurrentTime = new CurrentTime(AlgoTraderState.IsSim, initial);
}
else
{
AlgoTraderState.CurrentTime = new CurrentTime(AlgoTraderState.IsSim, UCDT.GetCurrentEastCoastTime());
}
SimulationTimer = new Timer(TimerCallback, null, TimerInterval, TimerInterval);
}
public void RefreshTime()
{
// lock is set in wrapping calling code (AlgoTraderProcess.TimerCallback)
lock (LockObj)
{
if (!AlgoTraderState.PauseSim)
{
if (IsSim)
{
if (AlgoTraderState.TradingManagerRunning)
{
AlgoTraderMethods.Pause();
}
Time = Time.PlusMinutes(IncrementMinutes);
}
else
{
Time = UCDT.GetCurrentEastCoastTime();
}
CurrentMinute = Time.Minute;
}
}
}
private string GetKey()
{
ZonedDateTime dt = UCDT.GetCurrentEastCoastTime();
return(KeyPrefix + "_" + dt.Year + "-" + dt.Month + "-" + dt.Day);
}
public void Run(ThreadControl tc)
{
PTC = tc;
BuildSchedule(ScheduleJSON);
NewDay();
ZonedDateTime dt = UCDT.GetCurrentEastCoastTime();
int currentSecond = -1;
int lastSecond = -1;
int currentDay = dt.Day;
int lastDay = dt.Day;
while (PTC.CheckNotStopped())
{
dt = UCDT.GetCurrentEastCoastTime();
if (dt.Day != lastDay)
{
// reset for new day
NewDay();
}
lastDay = dt.Day;
string currentKey = GetKey();
currentSecond = dt.Second;
if (currentSecond != lastSecond)
{
lastSecond = currentSecond;
// check any items that have finished and mark them complete
List <SchedulerItem> CompletedNotMarkedItems = SchedulerItems.FindAll(i => !i.MarkedComplete && i.TC != null && i.TC.State == ThreadControlState.Complete);
for (int n = 0; n < CompletedNotMarkedItems.Count; n++)
{
PTC.Log.AddLine("Marking " + CompletedNotMarkedItems[n].Id + " as completed");
CompletedNotMarkedItems[n].MarkedComplete = true;
DBMethods.MarkSchedulerItem(currentKey, CompletedNotMarkedItems[n].Id);
}
// stop any that are running and it's after their "endAt" date
List <SchedulerItem> ItemsNeedStopped = SchedulerItems.FindAll(i => !i.MarkedComplete && i.TC != null && i.TC.CanBeStopped() && i.EndAt != null && CurrentTimeAfterOrEqualSchedulerItemTime(dt, i.EndAt));
for (int n = 0; n < ItemsNeedStopped.Count; n++)
{
PTC.Log.AddLine("Stopping " + ItemsNeedStopped[n].Id + " because on or after EndAt. Will wait for stop before marking completed.");
PurposedlyStoppedIds.Add(ItemsNeedStopped[n].TC.Id);
ItemsNeedStopped[n].TC.AddSignalForChild(Signal.Stop);
}
// find all recently stopped items BY SCHEDULER
List <SchedulerItem> ItemsThatHaveStopped = SchedulerItems.FindAll(i => !i.MarkedComplete && i.TC != null && i.TC.State == ThreadControlState.Done && PurposedlyStoppedIds.Exists(p => p == i.TC.Id));
for (int n = 0; n < ItemsThatHaveStopped.Count; n++)
{
PTC.Log.AddLine("Found a Done. Marking it as complete.");
PurposedlyStoppedIds.Remove(ItemsThatHaveStopped[n].TC.Id);
ItemsThatHaveStopped[n].MarkedComplete = true;
DBMethods.MarkSchedulerItem(currentKey, ItemsThatHaveStopped[n].Id);
}
// start any that are within the current time and not running
List <SchedulerItem> ItemsThatNeedStarted = SchedulerItems.FindAll(i => !i.MarkedComplete && i.TC == null && ItemIsWithinCurrentTime(dt, i));
for (int n = 0; n < ItemsThatNeedStarted.Count; n++)
{
PTC.Log.AddLine("Starting " + ItemsThatNeedStarted[n].Id + " because current time is between [At, EndAt]");
string typeName = ItemsThatNeedStarted[n].Class + ", " + ItemsThatNeedStarted[n].Assembly;
string methodName = ItemsThatNeedStarted[n].Call;
ThreadControl childTc = new ThreadControl(ItemsThatNeedStarted[n].Id, ItemsThatNeedStarted[n].ObjectId);
PTC.Children.Add(childTc);
ItemsThatNeedStarted[n].TC = childTc;
Task.Factory.StartNew(() => Methods.ThreadRun(typeName, methodName, childTc, null, null), CancellationToken.None, TaskCreationOptions.LongRunning, TaskScheduler.Default);
}
}
else
{
Thread.Sleep(250);
}
}
}
public void Run(AlgoTraderModes mode, List <FD> days, ThreadControl tc)
{
TC = tc;
ResetData();
AlgoTraderState.Mode = mode;
SetIntervalBasedOnMode();
AlgoTraderState.IsSim =
AlgoTraderState.Mode == AlgoTraderModes.GatherStats ||
AlgoTraderState.Mode == AlgoTraderModes.Simulating ||
AlgoTraderState.Mode == AlgoTraderModes.Backtesting;
AlgoTraderState.UseSimOrdering = AlgoTraderState.IsSim || AlgoTraderState.Mode == AlgoTraderModes.FakeLive;
PrepDays(days);
bool allowToRun = true;
if (!AlgoTraderState.IsSim)
{
ZonedDateTime zdt = UCDT.GetCurrentEastCoastTime();
if (AlgoTraderState.Mode == AlgoTraderModes.Live && zdt.Hour >= 4)
{
allowToRun = false;
}
}
if (allowToRun)
{
// live or paper only has one day
for (int n = 0; n < Days.Count; n++)
{
ResetDayData();
AlgoTraderState.CurrentDay = Days[n];
// AlgoTraderUI.SelectedSymbol = Global.State.AllSymbols[UC.GetRandomInteger(0, Global.State.AllSymbols.Count - 1)];
// init the list where nodes, trend lines, etc are stored
// AlgoTraderShared.NodesData = new Dictionary<string, NodesData>();
for (int m = 0; m < Global.State.AllSymbols.Count; m++)
{
AlgoTraderShared.NodesData.Add(Global.State.AllSymbols[m], null);
}
CollectGarbage();
// this will take a while only when simulating
PrepareSimDayNodes();
// starts incrementing CurrentTime immediatly when this is called
PrepareTimer();
// waits for 3:55am
AlgoTraderMethods.WaitFor(AlgoTraderConfig.TicksStreamManagerAtHour, AlgoTraderConfig.TicksStreamManagerAtMinute, TC);
RunStocksDataUpdater();
RunOrdersDataUpdater();
RunTradingManager();
CollectGarbage();
// waits for trading manager to finish
WaitToContinue();
TC.StopAllChildrenAndWait();
if (!TC.CheckNotStopped())
{
break;
}
}
}
TC.Log.AddLine("AlgoTraderProcess Run() complete", Verbosity.Minimal);
// it will also set Ended = true
ResetData();
}
