static void generateCurves(LiveSystem system, IEnumerable <JMarket> markets, QDirectory directory, DateTime start, DateTime end, DataSource metricSource)
{
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var parameters = new Parameters {
{ "systemId", system.id() },
{ "RunMode", (double)RunMode.LIVE }
};
var startLoading = DateTime.Now;
Bomb.when(system.details().runInNativeCurrency(), () => "portfolio optimization requires systems to run in dollars, not native currency");
var bars = new SystemDbBarLoader(system.details().interval(), symbols, start, end);
var simulator = new Simulator(new SystemArguments(symbols, parameters), bars, "QUEDGE");
var startProcessing = DateTime.Now;
var perSecond = simulator.processBars();
saveMetric(system, "marketBarsPerSecond", metricSource, perSecond);
var startMetricCalc = DateTime.Now;
simulator.metrics();
saveMetric(system, "metricCalculationSeconds", metricSource, secondsSince(startMetricCalc));
saveMetric(system, "totalRunSeconds", metricSource, secondsSince(startProcessing));
simulator.writeCurveFiles(directory);
saveMetric(system, "totaSeconds", metricSource, secondsSince(startLoading));
Db.commit();
}
public static Simulator run(int systemId, IEnumerable <Symbol> symbols, IEnumerable <QPortfolio> portfolios, int runNumber, BarLoader data, bool dumpParamsOnly, bool shutdown)
{
var parameters = new Parameters {
{ "systemId", systemId },
{ "RunMode", (double)RunMode.STO },
{ "RunNumber", runNumber }
};
try {
parameters.runNumber();
LogC.err("" + parameters);
if (dumpParamsOnly)
{
return(null);
}
var simulator = new Simulator(new SystemArguments(symbols, portfolios, parameters), data, "QUEDGE");
simulator.processBars();
if (shutdown)
{
simulator.shutdown();
}
else
{
var metrics = simulator.metrics();
LogC.verbose(() => "skipping shutdown based on noShutdown parameter.");
LogC.verbose(() => toShortString(metrics["ALL"]));
}
return(simulator);
} catch (Exception e) {
throw Bomb.toss("\nFailed in run " + runNumber + "\nUsing:\n" + parameters + "\n", e);
}
}
public void testCanRunSystem()
{
var className = "Q.Systems.NDayBreak";
var parameters = new Parameters(className)
{
{ "ATRLen", 10 },
{ "ATRlong", 100 },
{ "BreakDays", 30 },
{ "FirstDayATR", 1 },
{ "FixEquity", 1 },
{ "InitEquity", 6000000 },
{ "LeadBars", 50 },
{ "MaxPyramid", 1 },
{ "Risk", 0.02 },
{ "nATR", 2 },
{ "upATR", 2 },
{ "systemId", 39 }
};
var markets = O.list(new Symbol(new Market("RE.TEST.TY.1C")));
var arguments = new SystemArguments(markets, parameters);
var simulator = new Simulator(arguments, "NOSENDMESSAGES");
simulator.processBars(300);
AlmostEqual(293099.30, simulator.pnl(), 0.01);
}
public static void Main(string[] args)
{
var arguments = Arguments.arguments(args, jStrings("system", "prefix"));
var system = arguments.get("system");
var prefix = arguments.get("prefix", PREFIX_DEFAULT);
LogC.setOut("Tomahawk", Systematic.logsDir().file("Tomahawk." + system + ".log").path(), true);
LogC.useJavaLog = true;
LogC.info("running system " + system + ", process " + processId());
var liveSystems = accept(list <LiveSystem>(MsivLiveHistory.LIVE.liveSystems()), ls => ls.siv().system().Equals(system));
each(liveSystems, liveSystem => {
Bomb.when(liveSystem.details().runInNativeCurrency(), () => "not allowed to run live systems in native currency");
var markets = list <Market>(liveSystem.markets());
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var systemId = liveSystem.id();
var parameters = new Parameters {
{ "systemId", systemId },
{ "RunMode", (double)RunMode.LIVE }
};
Bomb.when(isEmpty(symbols), () => "No markets for " + systemId);
var systemArguments = new SystemArguments(symbols, parameters);
var start = date(systemArguments.interval().isDaily() ? BloombergSecurity.BBG_START_HISTORICAL : BloombergSecurity.BBG_START_INTRADAY);
if (parameters.has("DaysBack"))
{
start = now().AddDays(-parameters.get <int>("DaysBack"));
}
var loader = new SystemDbBarLoader(liveSystem.details().interval(), symbols, start);
var simulator = new Simulator(systemArguments, loader, prefix);
simulator.processBars();
simulator.goLive();
});
sleep(Int32.MaxValue);
}
public void testNBarFade()
{
O.freezeNow("2009/03/10");
var symbol = new Symbol("RE.TEST.TY.1C", 1000);
var args = new SystemArguments(symbol, new Parameters {
{ "systemId", 133486 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "LeadBars", 50 },
{ "ATRLen", 5 },
{ "nDays", 6 },
{ "nATRentry", 1.5 },
{ "exitATRmultiple", 1 },
{ "stopAfStep", 0.02 },
{ "stopAfMax", 0.2 },
{ "entryBarWindow", 2 },
{ "closeBetter", 1 },
{ "riskDollars", 100000000 }
});
var loader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol), date("2003/01/01"));
var simulator = new Simulator(args, loader, OrderTable.prefix);
simulator.processBars();
}
