public override void PrepareWork()
{
TargetPortfolio.PrepareWork();
MarketDataList.Clear();
CurrentDataSource.DataList.Clear();
CurrentValueList.Clear();
StandardValueList.Clear();
OrderList.Clear();
DateTime st = TestStartTime;
if (TestStartTime > AnalyseStartTime)
{
st = AnalyseStartTime;
}
CurrentDataSource.CacheStartTime = st;
CurrentDataSource.CacheEndTime = TestEndTime;
TestCurrentTime = TestStartTime;
analyseTime = MarketData.GetNextTime(TestCurrentTime, AnalyseGrade);
_MaxLost = new Money()
{
FxCode = Pnl.FxCode, Number = 0
};
if (UseFirstMarketDataInit)
{
var fdl = new List <IMarketData>();
InstrumentList.ForEach(v =>
{
var d = CurrentDataSource.GetFirstData(v, TestStartTime, TestEndTime, Grade);
if (d != null)
{
fdl.Add(d);
}
});
TargetPortfolio.ProcessMarketData(fdl);
TargetPortfolio.PositionList.ForEach(v =>
{
var d = fdl.FirstOrDefault(m => m.InstrumentTicker == v.InstrumentTicker);
if (d != null)
{
v.Cost = d.Close;
}
});
}
if (IsUnlimited)
{
TargetPortfolio.IsUnlimited = true;
}
standardPortfolio = TargetPortfolio.Clone() as IPortfolio;
testStartValue = TargetPortfolio.CurrentValue;
CurrentDataSource.PrepareWork();
CurrentTradeGate.PrepareWork();
foreach (var condition in ConditionList)
{
condition.PrepareWork();
condition.GetInstrumentList = () => { return(InstrumentList); };
condition.AnalyseDataSource = CurrentDataSource;
}
TestStrategy.CurrentPortfolio = TargetPortfolio;
TestStrategy.PrepareWork();
RiskPolicy.PrepareWork();
}
void New()
{
var obj = new BackTestingCommonLib.MarketData();
MarketDataList.Add(obj);
}
void TestStep(DateTime start, DateTime end)
{
TestStrategy.CurrentTime = end;
AddInfo("test step, start:" + start.ToString() + ",end:" + end.ToString());
var dl = CurrentDataSource.GetDataList(InstrumentList, start, end, Grade);
AddInfo("got market data ,count is:" + dl.Count.ToString());
if (dl == null || dl.Count == 0)
{
return;
}
TestStrategy.CurrentTime = dl.Max(d => d.Time);
dl.ForEach(v =>
{
var inst = InstrumentList.FirstOrDefault(i => i.Ticker == v.InstrumentTicker);
if (inst != null)
{
AddInfo("update " + inst.Name + " price, value is:" + v.Close.ToString() + "(" + v.Time.ToString() + ")");
inst.CurrentPrice = v.Close;
}
});
MarketDataList.AddRange(dl);
AddInfo("portfolio process market data!");
TargetPortfolio.ProcessMarketData(dl);
AddInfo("standard portfolio process market data!");
standardPortfolio.ProcessMarketData(dl);
AddInfo("strategy process market data!");
TestStrategy.ProcessMarketData(dl);
if (analyseTime <= end)
{
AddInfo("prepare analyse, analyse time is:" + analyseTime.ToString());
AnalyseStep();
analyseTime = MarketData.GetNextTime(end, AnalyseGrade);
var cl = new List <ISignal>();
foreach (var condition in ConditionList)
{
var rl = condition.GetResult();
if (rl != null && rl.Count > 0)
{
cl.AddRange(rl);
}
}
if (cl.Count > 0)
{
AddInfo("got signal, count is " + cl.Count.ToString());
TestStrategy.ProcessSignal(cl);
}
}
AddInfo("strategy process portfolio");
TestStrategy.ProcessPortfolio();
var ol = TestStrategy.GetOrderList();
if (ol.Count > 0)
{
AddInfo("strategy generate order, count is :" + ol.Count.ToString());
List <IOrder> col = new List <IOrder>();
foreach (var o in ol)
{
if (o != null && RiskPolicy.PredictOrder(o, TargetPortfolio))
{
col.Add(o);
}
}
OrderList.AddRange(col);
AddInfo("trade gate process order");
CurrentTradeGate.ProcessorOrder(col);
AddInfo("portfolio info before process order is" + GetPortfolioMemo(TargetPortfolio));
TargetPortfolio.ProcessOrderList(col);
AddInfo("portfolio info after process order is" + GetPortfolioMemo(TargetPortfolio));
}
if (!IsUnlimited)//adjust risk
{
AddInfo("adjust risk");
ol = RiskPolicy.AdjustRisk(TargetPortfolio);
if (ol.Count > 0)
{
AddInfo("risk order generate, count is:" + ol.Count.ToString());
OrderList.AddRange(ol);
List <IOrder> col = ol.Where(v => v != null).ToList();
CurrentTradeGate.ProcessorOrder(col);
TargetPortfolio.ProcessOrderList(col);
}
}
CurrentValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = CurrentValue, Memo = GetPortfolioMemo(TargetPortfolio)
});
StandardValueList.Add(new TimeValueObject()
{
Time = dl.Max(v => v.Time), Value = StandardValue, Memo = GetPortfolioMemo(standardPortfolio)
});
if (_MaxLost.Number > Pnl.Number)
{
_MaxLost.Number = Pnl.Number;
}
if (TestStepDelayMS > 0)
{
Thread.Sleep(TestStepDelayMS);
}
}
