public StrategyConnector(StrategyContainer strategy, DateTimeOffset startDate, DateTimeOffset stopDate, TimeSpan useCandlesTimeFrame, bool onlyInitialize)
{
if (strategy == null)
throw new ArgumentNullException("strategy");
UpdateSecurityLastQuotes = false;
UpdateSecurityByLevel1 = false;
var entityRegistry = ConfigManager.GetService<IStudioEntityRegistry>();
_strategy = strategy;
_useCandlesTimeFrame = useCandlesTimeFrame;
_onlyInitialize = onlyInitialize;
_sessionStrategy = entityRegistry.ReadSessionStrategyById(strategy.Strategy.Id);
if (_sessionStrategy == null)
throw new InvalidOperationException("sessionStrategy = null");
Id = strategy.Id;
Name = strategy.Name + " Connector";
_realConnector = (StudioConnector)ConfigManager.GetService<IStudioConnector>();
_realConnector.NewMessage += RealConnectorNewMessage;
EntityFactory = new StudioConnectorEntityFactory();
_securityProvider = new StudioSecurityProvider();
var storageRegistry = new StudioStorageRegistry { MarketDataSettings = strategy.MarketDataSettings };
Adapter.InnerAdapters.Add(_historyMessageAdapter = new HistoryMessageAdapter(TransactionIdGenerator, _securityProvider)
{
StartDate = startDate,
StopDate = stopDate,
StorageRegistry = storageRegistry
});
//_historyMessageAdapter.UpdateCurrentTime(startDate);
var transactionAdapter = new PassThroughMessageAdapter(TransactionIdGenerator);
transactionAdapter.AddTransactionalSupport();
Adapter.InnerAdapters.Add(transactionAdapter);
_historyMessageAdapter.MarketTimeChangedInterval = useCandlesTimeFrame;
// при инициализации по свечкам, время меняется быстрее и таймаут должен быть больше 30с.
ReConnectionSettings.TimeOutInterval = TimeSpan.MaxValue;
_historyMessageAdapter.BasketStorage.InnerStorages.AddRange(GetExecutionStorages());
this.LookupById(strategy.Security.Id);
new ChartAutoRangeCommand(true).Process(_strategy);
}
private void SettingsChanged(MarketDataSettings settings)
{
if (settings == null)
{
SettingsPanel.IsEnabled = false;
MarketDataGrid.IsEnabled = false;
return;
}
SettingsPanel.IsEnabled = true;
MarketDataGrid.IsEnabled = true;
SettingsPanel.IsLocal = settings.UseLocal;
//SettingsPanel.IsAlphabetic = settings.IsAlphabetic;
if (settings.UseLocal)
SettingsPanel.Path = settings.Path;
else
SettingsPanel.Address = settings.Path;
SetCredentials(settings.IsStockSharpStorage, settings.Credentials);
_storageRegistry = new StudioStorageRegistry { MarketDataSettings = settings };
RefreshGrid();
}
public EmulationService(StrategyContainer strategy)
{
if (strategy == null)
throw new ArgumentNullException("strategy");
Strategy = strategy;
Strategies = new[] { strategy }.ToEx(1);
var storageRegistry = new StudioStorageRegistry { MarketDataSettings = Strategy.MarketDataSettings };
_basketEmulation = new BatchEmulation(new StudioSecurityProvider(), new Portfolio[0], storageRegistry);
_basketEmulation.StateChanged += BasketEmulationOnStateChanged;
_basketEmulation.ProgressChanged += (curr, total) =>
{
Progress = total;
_basketEmulation
.BatchStrategies
.OfType<StrategyContainer>()
.ForEach(s => ProgressChanged.SafeInvoke((StrategyContainer)s.Strategy, curr));
};
ConfigManager.GetService<LogManager>().Sources.Add(EmulationConnector);
EmulationConnector.HistoryMessageAdapter.StorageRegistry = storageRegistry;
CanStart = true;
}
private void SettingsChanged(MarketDataSettings settings)
{
if (settings != null)
{
MarketDataGrid.IsEnabled = true;
SecurityPicker.SelectedSecurity = null;
_storageRegistry = new StudioStorageRegistry
{
MarketDataSettings = settings
};
RefreshGrid();
}
else
MarketDataGrid.IsEnabled = false;
}
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.MarketDataSettings == null)
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 StudioStorageRegistry
{
MarketDataSettings = strategy.MarketDataSettings
};
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 = strategy.MatchOnTouch,
IsSupportAtomicReRegister = strategy.IsSupportAtomicReRegister,
Latency = strategy.EmulatoinLatency,
}
}
},
UseExternalCandleSource = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
StorageFormat = strategy.StorageFormat,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)_connector).LogLevel = strategy.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 = strategy.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 (strategy.UseMarketDepths)
{
_connector.RegisterMarketDepth(security);
if (
// if order book will be generated
strategy.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 = strategy.MaxDepths,
MaxBidsDepth = strategy.MaxDepths,
UseTradeVolume = true,
MaxVolume = strategy.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;
}
};
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
}
});
}
