/// <inheritdoc /> public void LookupSecurities(Security criteria, IMessageAdapter adapter = null, MessageOfflineModes offlineMode = MessageOfflineModes.None) { if (criteria == null) { throw new ArgumentNullException(nameof(criteria)); } var boardCode = criteria.Board?.Code; var securityCode = criteria.Code; if (!criteria.Id.IsEmpty()) { var id = SecurityIdGenerator.Split(criteria.Id); if (boardCode.IsEmpty()) { boardCode = GetBoardCode(id.BoardCode); } if (securityCode.IsEmpty()) { securityCode = id.SecurityCode; } } var msg = criteria.ToLookupMessage(criteria.ExternalId.ToSecurityId(securityCode, boardCode)); msg.Adapter = adapter; msg.OfflineMode = offlineMode; LookupSecurities(msg); }
private void MainWindow_OnLoaded(object sender, RoutedEventArgs e) { Year.ItemsSource = Competition.AllYears; Year.SelectedItem = Competition.AllYears.Last(); var ns = typeof(IIndicator).Namespace; var rendererTypes = typeof(Chart).Assembly .GetTypes() .Where(t => !t.IsAbstract && typeof(BaseChartIndicatorPainter).IsAssignableFrom(t)) .ToDictionary(t => t.Name); var indicators = typeof(IIndicator).Assembly .GetTypes() .Where(t => t.Namespace == ns && !t.IsAbstract && typeof(IIndicator).IsAssignableFrom(t)) .Select(t => new IndicatorType(t, rendererTypes.TryGetValue(t.Name + "Painter"))); Chart.IndicatorTypes.AddRange(indicators); const string finamSecurities = "finam.csv"; if (File.Exists(finamSecurities)) { var idGen = new SecurityIdGenerator(); var securities = File.ReadAllLines(finamSecurities).Select(line => { var cells = line.SplitByComma(); var idParts = idGen.Split(cells[0]); return new Security { Id = cells[0], Code = idParts.Item1, Board = ExchangeBoard.GetOrCreateBoard(idParts.Item2), ExtensionInfo = new Dictionary<object, object> { { FinamHistorySource.MarketIdField, cells[1].To<long>() }, { FinamHistorySource.SecurityIdField, cells[2].To<long>() }, } }; }); foreach (var security in securities) { _securityProvider.Securities.Add(security); _securityStorage.Save(security); } } else { _finamHistorySource.Refresh(_securityStorage, new Security(), s => { }, () => false); var securities = _securityStorage.LookupAll().ToArray(); foreach (var security in securities) _securityProvider.Securities.Add(security); File.WriteAllLines(finamSecurities, securities.Where(s => !s.Id.Contains(',')).Select(s => "{0},{1},{2}" .Put(s.Id, s.ExtensionInfo[FinamHistorySource.MarketIdField], s.ExtensionInfo[FinamHistorySource.SecurityIdField]))); } if (File.Exists(_settingsFile)) { var settings = CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer<SettingsStorage>().Deserialize(_settingsFile).Load<Settings>()); Year.SelectedItem = settings.Year; Trader.Text = settings.Trader; From.Value = settings.From; To.Value = settings.To; Security1.Text = settings.Security1; Security2.Text = settings.Security2; Security3.Text = settings.Security3; Security4.Text = settings.Security4; TimeFrame.SelectedItem = settings.TimeFrame; } else { Trader.Text = "Vasya"; Security1.Text = "RIZ5@FORTS"; //Trader.Text = "iZotov"; //Security1.Text = "SPZ5@FORTS"; //Security2.Text = "SIZ5@FORTS"; //From.Value = new DateTime(2014, 09, 16); } }
private void Sync_Click(object sender, RoutedEventArgs e) { if (_token != null) { StopSync(); return; } Sync.Content = LocalizedStrings.Str2890; _token = new CancellationTokenSource(); Task.Factory.StartNew(() => { var securityPaths = new List<string>(); foreach (var dir in DriveCache.Instance.AllDrives .OfType<LocalMarketDataDrive>() .Select(drive => drive.Path) .Distinct()) { foreach (var letterDir in InteropHelper.GetDirectories(dir)) { if (_token.IsCancellationRequested) break; var name = Path.GetFileName(letterDir); if (name == null || name.Length != 1) continue; securityPaths.AddRange(InteropHelper.GetDirectories(letterDir)); } if (_token.IsCancellationRequested) break; } if (_token.IsCancellationRequested) return; var iterCount = securityPaths.Count + // кол-во проходов по директории для создания инструмента DriveCache.Instance.AllDrives.Count() * (EntityRegistry.Securities.Count + securityPaths.Count); // кол-во сбросов кэша дат this.GuiSync(() => Progress.Maximum = iterCount); var logSource = ConfigManager.GetService<LogManager>().Application; var securityIdGenerator = new SecurityIdGenerator(); var securities = EntityRegistry.Securities.ToDictionary(s => s.Id, s => new KeyValuePair<Security, bool>(s, true), StringComparer.InvariantCultureIgnoreCase); foreach (var securityPath in securityPaths) { if (_token.IsCancellationRequested) break; var securityId = Path.GetFileName(securityPath).FolderNameToSecurityId(); var isNew = false; var security = securities.TryGetValue(securityId).Key; if (security == null) { var firstDataFile = Directory.EnumerateDirectories(securityPath) .SelectMany(d => Directory.EnumerateFiles(d, "*.bin") .Concat(Directory.EnumerateFiles(d, "*.csv")) .OrderBy(f => Path.GetExtension(f).CompareIgnoreCase(".bin") ? 0 : 1)) .FirstOrDefault(); if (firstDataFile != null) { var info = securityIdGenerator.Split(securityId); decimal priceStep; if (Path.GetExtension(firstDataFile).CompareIgnoreCase(".bin")) { try { priceStep = File.ReadAllBytes(firstDataFile).Range(6, 16).To<decimal>(); } catch (Exception ex) { throw new InvalidOperationException(LocalizedStrings.Str2929Params.Put(firstDataFile), ex); } } else priceStep = 0.01m; security = new Security { Id = securityId, PriceStep = priceStep, Name = info.Item1, Code = info.Item1, Board = ExchangeBoard.GetOrCreateBoard(info.Item2), ExtensionInfo = new Dictionary<object, object>() }; securities.Add(securityId, new KeyValuePair<Security, bool>(security, false)); isNew = true; } } this.GuiSync(() => { Progress.Value++; if (isNew) Logs.Messages.Add(new LogMessage(logSource, TimeHelper.Now, LogLevels.Info, LocalizedStrings.Str2930Params.Put(security))); }); } EntityRegistry.Securities.AddRange(securities.Values.Where(p => !p.Value).Select(p => p.Key)); if (_token.IsCancellationRequested) return; var dataTypes = new[] { Tuple.Create(typeof(ExecutionMessage), (object)ExecutionTypes.Tick), Tuple.Create(typeof(ExecutionMessage), (object)ExecutionTypes.OrderLog), Tuple.Create(typeof(ExecutionMessage), (object)ExecutionTypes.Order), Tuple.Create(typeof(ExecutionMessage), (object)ExecutionTypes.Trade), Tuple.Create(typeof(QuoteChangeMessage), (object)null), Tuple.Create(typeof(Level1ChangeMessage), (object)null), Tuple.Create(typeof(NewsMessage), (object)null) }; var formats = Enumerator.GetValues<StorageFormats>().ToArray(); foreach (var drive in DriveCache.Instance.AllDrives) { foreach (var security in EntityRegistry.Securities) { foreach (var dataType in dataTypes) { foreach (var format in formats) { if (_token.IsCancellationRequested) break; var secId = security.ToSecurityId(); drive .GetStorageDrive(secId, dataType.Item1, dataType.Item2, format) .ClearDatesCache(); foreach (var candleType in drive.GetCandleTypes(security.ToSecurityId(), format)) { drive .GetStorageDrive(secId, candleType.Item1, candleType.Item2, format) .ClearDatesCache(); } } } if (_token.IsCancellationRequested) break; this.GuiSync(() => { Progress.Value++; Logs.Messages.Add(new LogMessage(logSource, TimeHelper.Now, LogLevels.Info, LocalizedStrings.Str2931Params.Put(security, drive.Path))); }); } if (_token.IsCancellationRequested) break; } }, _token.Token) .ContinueWithExceptionHandling(this, res => { Sync.Content = LocalizedStrings.Str2932; Sync.IsEnabled = true; Progress.Value = 0; _token = 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 OkClick(object sender, RoutedEventArgs e) { var volumeStep = VolumeStep.Value; var priceStep = PriceStep.Value; var decimals = Decimals.Value; var type = TypeCtrl.SelectedType; if (Securities == null) { if (Code.Text.IsEmpty()) { ShowError(LocalizedStrings.Str2923); return; } if (decimals == null) { ShowError(LocalizedStrings.DecimalsNotFilled); return; } if (priceStep == null || priceStep == 0) { ShowError(LocalizedStrings.Str2925); return; } if (volumeStep == null || volumeStep == 0) { ShowError(LocalizedStrings.Str2924); return; } if (ExchangeCtrl.SelectedBoard == null) { ShowError(LocalizedStrings.Str2926); return; } var security = Security; security.Code = Code.Text; if (!SecName.Text.IsEmpty()) security.Name = SecName.Text; security.VolumeStep = volumeStep; security.PriceStep = priceStep; security.Decimals = decimals; security.Board = ExchangeCtrl.SelectedBoard; security.Type = TypeCtrl.SelectedType; if (security.Id.IsEmpty()) { var id = new SecurityIdGenerator().GenerateId(security.Code, security.Board); var isExist = _entityRegistry.Securities.ReadById(id) != null; if (isExist) { new MessageBoxBuilder() .Text(LocalizedStrings.Str2927Params.Put(id)) .Owner(this) .Warning() .Show(); return; } security.Id = id; security.ExtensionInfo = new Dictionary<object, object>(); } _entityRegistry.Securities.Save(security); } else { if (priceStep == 0) { ShowError(LocalizedStrings.Str2925); return; } if (volumeStep == 0) { ShowError(LocalizedStrings.Str2924); return; } foreach (var security in Securities) { if (volumeStep != null) security.VolumeStep = volumeStep.Value; if (priceStep != null) security.PriceStep = priceStep.Value; if (decimals != null) security.Decimals = decimals.Value; if (type != null) security.Type = type.Value; _entityRegistry.Securities.Save(security); } } DialogResult = true; }
private void ExecutedSaveSecurityCommand(object sender, ExecutedRoutedEventArgs e) { var entityRegistry = ConfigManager.GetService<IEntityRegistry>(); var security = (Security)PropertyGrid.SelectedObject; if (_isNew) { var mbBuilder = new MessageBoxBuilder() .Owner(this) .Error(); if (security.Code.IsEmpty()) { mbBuilder.Text(LocalizedStrings.Str2923).Show(); return; } if (security.Board == null) { mbBuilder.Text(LocalizedStrings.Str2926).Show(); return; } if (security.PriceStep == null || security.PriceStep == 0) { mbBuilder.Text(LocalizedStrings.Str2925).Show(); return; } if (security.VolumeStep == null || security.VolumeStep == 0) { mbBuilder.Text(LocalizedStrings.Str2924).Show(); return; } var id = new SecurityIdGenerator().GenerateId(security.Code, security.Board); if (entityRegistry.Securities.ReadById(id) != null) { mbBuilder.Text(LocalizedStrings.Str2927Params.Put(id)).Show(); return; } security.Id = id; } else { security.CopyTo(SecurityPicker.SelectedSecurity); security = SecurityPicker.SelectedSecurity; } entityRegistry.Securities.Save(security); _isNew = false; _changed = false; }
private void StartBtnClick(object sender, RoutedEventArgs e) { InitChart(); 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 secGen = new SecurityIdGenerator(); var id = secGen.Split(SecId.Text); //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 = ExchangeBoard.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}), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsProgress, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757}), Tuple.Create( DepthsCheckBox, DepthsProgress, DepthsParameterGrid, // order book new EmulationInfo {UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths}), Tuple.Create( CandlesCheckBox, CandlesProgress, CandlesParameterGrid, // candles new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles}), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsProgress, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635}), Tuple.Create( OrderLogCheckBox, OrderLogProgress, OrderLogParameterGrid, // order log new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog}), Tuple.Create( Level1CheckBox, Level1Progress, Level1ParameterGrid, // order log new EmulationInfo {UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1}), 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}), Tuple.Create( YahooCandlesCheckBox, YahooCandlesProgress, YahooCandlesParameterGrid, // candles new EmulationInfo {UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource().GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles}), }; // 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(); foreach (var set in settings) { if (set.Item1.IsChecked == false) continue; 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 = 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, 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.NewSecurities += securities => { if (securities.All(s => s != security)) return; // fill level1 values connector.SendInMessage(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 pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + 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; }
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 LoadData() { _candle = null; _lastPrice = 0m; _allCandles.Clear(); var id = new SecurityIdGenerator().Split(SecurityId.Text); _security = new Security { Id = SecurityId.Text, PriceStep = 5, Board = ExchangeBoard.GetBoard(id.BoardCode) }; Chart.Reset(new IChartElement[] { _candleElement1 }); var storage = new StorageRegistry(); var maxDays = 2; BusyIndicator.IsBusy = true; var path = HistoryPath.Folder; Task.Factory.StartNew(() => { var date = DateTime.MinValue; foreach (var tick in storage.GetTickMessageStorage(_security, new LocalMarketDataDrive(path)).Load()) { AppendTick(_security, tick); _lastTime = tick.ServerTime; if (date != tick.ServerTime.Date) { date = tick.ServerTime.Date; this.GuiAsync(() => { BusyIndicator.BusyContent = date.ToString(); }); maxDays--; if (maxDays == 0) break; } } }) .ContinueWith(t => { if (t.Exception != null) Error(t.Exception.Message); BusyIndicator.IsBusy = false; }, TaskScheduler.FromCurrentSynchronizationContext()); }
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 MainWindow_OnLoaded(object sender, RoutedEventArgs e) { Year.ItemsSource = Competition.AllYears; Year.SelectedItem = Competition.AllYears.Last(); Directory.CreateDirectory(_settingsDir); var ns = typeof(IIndicator).Namespace; var rendererTypes = typeof(Chart).Assembly .GetTypes() .Where(t => !t.IsAbstract && typeof(BaseChartIndicatorPainter).IsAssignableFrom(t)) .ToDictionary(t => t.Name); var indicators = typeof(IIndicator).Assembly .GetTypes() .Where(t => t.Namespace == ns && !t.IsAbstract && typeof(IIndicator).IsAssignableFrom(t)) .Select(t => new IndicatorType(t, rendererTypes.TryGetValue(t.Name + "Painter"))); Chart.IndicatorTypes.AddRange(indicators); var finamSecurities = Path.Combine(_settingsDir, "finam2.csv"); BusyIndicator.BusyContent = "Обновление инструментов..."; BusyIndicator.IsBusy = true; Task.Factory.StartNew(() => { File.Delete("finam.csv"); if (File.Exists(finamSecurities)) { CultureInfo.InvariantCulture.DoInCulture(() => { var idGen = new SecurityIdGenerator(); var securities = File.ReadAllLines(finamSecurities).Select(line => { var cells = line.SplitByComma(); var idParts = idGen.Split(cells[0]); return new Security { Id = cells[0], Code = idParts.Item1, Board = ExchangeBoard.GetOrCreateBoard(idParts.Item2), ExtensionInfo = new Dictionary<object, object> { { FinamHistorySource.MarketIdField, cells[1].To<long>() }, { FinamHistorySource.SecurityIdField, cells[2].To<long>() }, }, PriceStep = cells[3].To<decimal?>(), Decimals = cells[4].To<int?>(), Currency = cells[5].To<CurrencyTypes?>(), }; }); foreach (var security in securities) { _securityProvider.Securities.Add(security); _securityStorage.Save(security); } }); } else { _finamHistorySource.Refresh(_securityStorage, new Security(), s => { }, () => false); var securities = _securityStorage.LookupAll().ToArray(); foreach (var security in securities) _securityProvider.Securities.Add(security); File.WriteAllLines(finamSecurities, securities.Where(s => !s.Id.Contains(',')).Select(s => "{0},{1},{2},{3},{4},{5}" .Put(s.Id, s.ExtensionInfo[FinamHistorySource.MarketIdField], s.ExtensionInfo[FinamHistorySource.SecurityIdField], s.PriceStep, s.Decimals, s.Currency))); } }) .ContinueWith(res => { BusyIndicator.IsBusy = false; if (res.Exception != null) { new MessageBoxBuilder() .Error() .Owner(this) .Text(res.Exception.ToString()) .Show(); } if (File.Exists(_settingsFile)) { var settings = CultureInfo.InvariantCulture.DoInCulture(() => new XmlSerializer<SettingsStorage>().Deserialize(_settingsFile).Load<Settings>()); Year.SelectedItem = settings.Year; Trader.Text = settings.Trader; From.Value = settings.From; To.Value = settings.To; Security1.Text = settings.Security1; Security2.Text = settings.Security2; Security3.Text = settings.Security3; Security4.Text = settings.Security4; TimeFrame.SelectedItem = settings.TimeFrame; Apart.IsChecked = settings.Apart; } else { Trader.Text = "Vasya"; Security1.Text = "RIZ5@FORTS"; //Trader.Text = "iZotov"; //Security1.Text = "SPZ5@FORTS"; //Security2.Text = "SIZ5@FORTS"; //From.Value = new DateTime(2014, 09, 16); Apart.IsChecked = true; } }, TaskScheduler.FromCurrentSynchronizationContext()); }