public override void Run()
{
Strategy metaStrategy = new Strategy(framework, "MetaStrategy");
Instrument instrument1 = InstrumentManager.Instruments["CSCO"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
MyStrategy strategy = new MyStrategy(framework, "BuySell");
strategy.Instruments.Add(instrument1);
strategy.Instruments.Add(instrument2);
VWAP_SellSide sellSideStrategy = new VWAP_SellSide(framework, "VWAP SellSide");
strategy.ExecutionProvider = sellSideStrategy;
strategy.DataProvider = sellSideStrategy;
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, 60);
BarFactory.Add(instrument2, BarType.Time, 60);
metaStrategy.AddStrategy(strategy);
metaStrategy.AddStrategy(sellSideStrategy);
this.strategy = metaStrategy;
StartStrategy();
}
protected override void OnSubscribe(InstrumentList instruments)
{
// Get size of bar.
barSize = (long)Global[barSizeCode];
// Get roll info.
rollInfo = (List <RollInfo>)Global[rollInfoCode];
// Get root instrument.
rootInstrument = instruments.GetByIndex(0);
// Get current futures contract.
currentFuturesContract = rootInstrument.Legs[legIndex].Instrument;
// Add current futures contract to bar factory.
BarFactory.Add(currentFuturesContract, BarType.Time, barSize);
// Add current futures contract to strategy.
AddInstrument(currentFuturesContract);
// Add reminder to maturity date and roll time.
AddReminder(rollInfo[legIndex].Maturity.Date + TimeOfRoll);
AddGroups();
}
protected override void OnSubscribe(Instrument instrument)
{
// Get size of bar.
barSize = (long)Global[barSizeCode];
// Get spread instrument.
spread = instrument;
// Add legs instruments to bar factory.
foreach (Leg leg in spread.Legs)
{
BarFactory.Add(leg.Instrument, BarType.Time, barSize);
}
// Remove instruments from strategy.
Instruments.Clear();
// Add legs instruments to strategy.
foreach (Leg leg in spread.Legs)
{
AddInstrument(leg.Instrument);
}
processors = new System.Collections.Generic.LinkedList <OrderProcessor>();
groups = new Dictionary <Instrument, Group[]>();
AddGroups();
}
protected override void OnReminder(DateTime dateTime, object data)
{
legIndex++;
Position position = Portfolio.GetPosition(currentFuturesContract);
double rollAmount = 0;
if (position != null)
{
rollAmount = position.Amount;
}
if (legIndex > rollInfo.Count - 1)
{
return;
}
Instrument prevFuturesContract = currentFuturesContract;
// Get new current futures contract.
currentFuturesContract = rootInstrument.Legs[legIndex].Instrument;
// Add current futures contract to bar factory.
BarFactory.Add(currentFuturesContract, BarType.Time, barSize);
// Add current futures contract to strategy.
AddInstrument(currentFuturesContract);
// Add reminder to maturity date and roll time.
AddReminder(rollInfo[legIndex].Maturity.AddDays(-1).Date + TimeOfRoll);
AddGroups();
// Roll from previous contract to current contract if needed.
if (rollAmount > 0)
{
Order order1 = SellOrder(prevFuturesContract, Math.Abs(rollAmount), "Roll");
Order order2 = BuyOrder(currentFuturesContract, Math.Abs(rollAmount), "Roll");
rollOrders.Add(order1);
rollOrders.Add(order2);
Send(order1);
Send(order2);
}
else if (rollAmount < 0)
{
Order order1 = BuyOrder(prevFuturesContract, Math.Abs(rollAmount), "Roll");
Order order2 = SellOrder(currentFuturesContract, Math.Abs(rollAmount), "Roll");
rollOrders.Add(order1);
rollOrders.Add(order2);
Send(order1);
Send(order2);
}
}
public void SetupDI()
{
var builder = new ContainerBuilder();
builder.RegisterType <BarDependency>().As <IBarDependency>();
container = builder.Build();
// Tell the factory to resolve all IBarDependencies through our IContainer.
BarFactory.SetFactory(() => container.Resolve <IBarDependency>());
}
public override void Run()
{
var instrument = InstrumentManager.Instruments [symbol];
strategy = new MyStrategy(framework, "SMACrossoverTPSL");
strategy.AddInstrument(instrument);
DataSimulator.DateTime1 = new DateTime(2015, 01, 01);
DataSimulator.DateTime2 = new DateTime(2015, 12, 31);
BarFactory.Add(instrument, BarType.Time, barSize);
StartStrategy();
}
public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("NGF 01-15 vs NGG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Synthetic, "NGF 01-15 vs NGG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGF17after"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGG17after"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 23); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 11, 29); // 1 day after real end
BarFactory.Clear();
// Run.
StartStrategy();
}
public override void Run()
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
//Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
//Instrument instrument3 = InstrumentManager.Instruments["CSCO_2001"];
//Instrument instrument4 = InstrumentManager.Instruments["IF1409"];
//Instrument instrument5 = InstrumentManager.Instruments["IF999"];
// Create SMA Crossover strategy
strategy = new SMACrossoverLoadOnStart_Strategy(framework, "SMACrossover");
//strategy = new DynamicBreakOut2(framework, "DynamicBreakOut2");
//strategy = new DualThrust_RangeBreak_Strategy(framework, "DualThrust_RangeBreak_Strategy");
// Add instruments
strategy.AddInstrument(instrument1);
//strategy.AddInstrument(instrument2);
//strategy.AddInstrument(instrument3);
//strategy.AddInstrument(instrument4);
//strategy.AddInstrument(instrument5);
PbTickDataImport ptdi = new PbTickDataImport();
ptdi.ReadFile(instrument1.Id, @"D:\1.data");
DataSimulator.Series.Add(ptdi.Trades);
DataSimulator.SubscribeAll = false;
ExecutionSimulator.FillOnBar = true;
// Set simulation interval
//DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime1 = new DateTime(2001, 01, 01);
//DataSimulator.DateTime1 = new DateTime(2014, 06, 01);
DataSimulator.DateTime1 = new DateTime(2013, 12, 16, 9, 30, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 20, 16, 00, 0);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
//DataSimulator.DateTime2 = new DateTime(2001, 12, 31);
//DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
BarFactory.Add(instrument1, BarType.Time, barSize60);
BarFactory.Add(instrument1, BarType.Time, barSize86400);
//BarFactory.Add(instrument2, BarType.Time, barSize);
//BarFactory.Add(instrument3, BarType.Time, barSize);
//BarFactory.Add(instrument4, BarType.Time, barSize60);
//BarFactory.Add(instrument4, BarType.Time, barSize86400);
//BarFactory.Add(instrument5, SmartQuant.BarType.Time, barSize60);
//BarFactory.Add(instrument5, SmartQuant.BarType.Time, barSize86400);
// Run the strategy
StartStrategy();
}
public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -12));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
StartStrategy();
}
public QBProvider()
{
timerConnect.Elapsed += new System.Timers.ElapsedEventHandler(timerConnect_Elapsed);
timerAccount.Elapsed += new System.Timers.ElapsedEventHandler(timerAccount_Elapsed);
timerPonstion.Elapsed += new System.Timers.ElapsedEventHandler(timerPonstion_Elapsed);
InitCallbacks();
InitSettings();
BarFactory = new BarFactory();
status = ProviderStatus.Unknown;
ProviderManager.Add(this);
}
public override void Run()
{
// Get synthetic trading instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 4 hours bars (14400 seconds) for ins1.
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public IQFeedProvider()
{
iqf = new IQFeed();
//iqf.IQ32DLLPath = "H:\\Program Files\\trading\\DTN\\DTN.IQ\\";
iqf.Messages += new MessageEventHandler(EmitMessage);
iqfl2 = new IQFeedLevelII();
BarFactory = new BarFactory();
htL1WatchedSymbols = new Hashtable();
htL2WatchedSymbols = new Hashtable();
ProviderManager.Add(this);
}
public override void Run()
{
strategy = new MyStrategy(framework, "ComponentStrategy");
Instrument instrument = InstrumentManager.Instruments["AAPL"];
strategy.AddInstrument(instrument);
//DataSimulator.DateTime1 = new DateTime(2012, 12, 03);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 04);
BarFactory.Add(instrument, BarType.Time, 60);
StartStrategy();
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["AAPL"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
SMACrossoverLoadOnStart_Strategy smaCrossoverLOS = new SMACrossoverLoadOnStart_Strategy(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 18);
// Set property for suspend trading during simulation.
SMACrossoverLoadOnStart_Strategy.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
StartStrategy(StrategyMode.Backtest);
DataSimulator.DateTime1 = new DateTime(2013, 12, 18);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Set property for trading.
SMACrossoverLoadOnStart_Strategy.SuspendTrading = false;
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
StartStrategy(StrategyMode.Backtest);
return;
}
public override void Run()
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new MyStrategy(framework, "BollingerBands");
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
strategy.DataProvider = ProviderManager.GetDataProvider("QuantRouter");
strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantRouter");
BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
StartStrategy();
}
public override void Run()
{
// Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new MyStrategy(framework, "BollingerBands");
// strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 17);
// BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
StartStrategy();
}
public override void Run()
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new Turtles(framework, "Turtles");
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
StartStrategy();
}
public override void Run()
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new MyStrategy(framework, "RSI");
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
strategy.DataProvider = ProviderManager.GetDataProvider("QuantRouter");
strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantRouter");
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
StartStrategy();
}
public override void Run()
{
//Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
//Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
//Instrument instrument3 = InstrumentManager.Instruments["IF1412_TB"];
Instrument instrument4 = InstrumentManager.Instruments["IF999"];
// Create SMA Crossover strategy
strategy = new BIAS_Strategy(framework, "BIAS");
//strategy = new KaufmanAMA_Strategy(framework, "KaufmanAMA");
//strategy = new KDJ_Strategy(framework, "KDJ");
//strategy = new LookBackDays_Strategy(framework, "LookBackDays");
//strategy = new DPO1_Strategy(framework, "DPO1");
//strategy = new PC_Strategy(framework, "PC");
// Add instruments
//strategy.AddInstrument(instrument1);
//strategy.AddInstrument(instrument2);
//strategy.AddInstrument(instrument3);
strategy.AddInstrument(instrument4);
// Set simulation interval
//DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
//DataSimulator.DateTime1 = new DateTime(2014, 11, 27);
DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 16, 9, 36, 0);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
//DataSimulator.DateTime2 = new DateTime(2014, 11, 28);
DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
//BarFactory.Add(instrument1, BarType.Time, barSize);
//BarFactory.Add(instrument2, BarType.Time, barSize);
//BarFactory.Add(instrument3, BarType.Time, barSize);
BarFactory.Add(instrument4, SmartQuant.BarType.Time, barSize);
// Run the strategy
StartStrategy();
}
public void ReturnInstanceOfType()
{
var name = "Bar";
var imageUrl = "www.test.com";
var phoneNum = "33333";
var address = new AddressDTO
{
CityId = 1,
Name = "Address",
Latitude = 1.0,
Longitude = 1.0,
};
var sut = new BarFactory();
var bar = sut.Create(name, imageUrl, phoneNum, address);
Assert.IsInstanceOfType(bar, typeof(Bar));
Assert.AreEqual(name, bar.Name);
Assert.AreEqual(imageUrl, bar.ImagePath);
Assert.AreEqual(phoneNum, bar.PhoneNumber);
}
public override void Run()
{
StatisticsManager.Add(new DailyNumOfLossTrades());
StatisticsManager.Add(new DailyNumOfWinTrades());
StatisticsManager.Add(new DailyConsecutiveLossTrades());
Instrument instrument1 = InstrumentManager.Instruments["IF999"];
Instrument instrument2 = InstrumentManager.Instruments["IC999"];
// Create SMA Crossover strategy
//DualThrust_RangeBreak_Strategy strategy = new DualThrust_RangeBreak_Strategy(framework, "DualThrust & RangeBreak");
//RBreaker_Strategy strategy = new RBreaker_Strategy(framework, "RBreaker");
//DynamicBreakOut2 strategy = new DynamicBreakOut2(framework, "DynamicBreakOut2");
DoubleMA_Crossover strategy = new DoubleMA_Crossover(framework, "DoubleMA Crossover");
strategy.MaxBarSize = MaxBarSize;
// Add instruments
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
// Set simulation interval
DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 16, 9, 36, 0);
DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
BarFactory.Add(instrument1, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument2, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument1, SmartQuant.BarType.Time, MaxBarSize);
BarFactory.Add(instrument2, SmartQuant.BarType.Time, MaxBarSize);
this.strategy = strategy;
// Run the strategy
StartStrategy();
}
public override void Run()
{
StrategyMode sm = StrategyMode.Backtest;
bool isTest = false;
if (isTest)
{
Instrument instrument1 = InstrumentManager.Instruments["AAPL"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
strategy = new Strategy_BB(framework, "BollingerBands");
sm = StrategyMode.Backtest;
strategy.AddInstrument(instrument1);
strategy.AddInstrument(instrument2);
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, barSize);
BarFactory.Add(instrument2, BarType.Time, barSize);
}
else
{
IDataProvider dataProvider = null;
IExecutionProvider executionProvider = null;
OQFunc.UserInputProviderId(out dataProvider, out executionProvider, this.ProviderManager);
Instrument instrument3 = OQFunc.UserInputInstrument(this.InstrumentManager);
strategy = new Strategy_BB(framework, "BollingerBands");
sm = StrategyMode.Live;
strategy.DataProvider = dataProvider;
strategy.ExecutionProvider = executionProvider;
strategy.AddInstrument(instrument3);
}
StartStrategy(sm);
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", StrategyManager.Mode);
// Get spread instrument.
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
sellSide.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
sellSide.DataProvider = quantRouter as IDataProvider;
sellSide.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Set null for event filter.
EventManager.Filter = null;
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
Console.WriteLine("Run in {0} mode.", StrategyManager.Mode);
StartStrategy(StrategyManager.Mode);
}
public override void Run()
{
StatisticsManager.Add(new DailyNumOfLossTrades());
StatisticsManager.Add(new DailyNumOfWinTrades());
StatisticsManager.Add(new DailyConsecutiveLossTrades());
Instrument instrument1 = InstrumentManager.Instruments["IF999"];
Instrument instrument2 = InstrumentManager.Instruments["IC999"];
// Create SMA Crossover strategy
//DualThrust_RangeBreak_Strategy strategy = new DualThrust_RangeBreak_Strategy(framework, "DualThrust & RangeBreak");
//RBreaker_Strategy strategy = new RBreaker_Strategy(framework, "RBreaker");
//DynamicBreakOut2 strategy = new DynamicBreakOut2(framework, "DynamicBreakOut2");
DoubleMA_Crossover strategy = new DoubleMA_Crossover(framework, "DoubleMA Crossover");
strategy.MaxBarSize = MaxBarSize;
// Add instruments
strategy.AddInstrument(instrument1);
//strategy.AddInstrument(instrument2);
// Set simulation interval
DataSimulator.DateTime1 = new DateTime(2015, 04, 16);
//DataSimulator.DateTime2 = new DateTime(2013, 12, 16, 9, 36, 0);
DataSimulator.DateTime2 = new DateTime(2016, 11, 02);
// Add 1 minute bars
BarFactory.Add(instrument1, SmartQuant.BarType.Time, barSize);
//BarFactory.Add(instrument2, SmartQuant.BarType.Time, barSize);
BarFactory.Add(instrument1, SmartQuant.BarType.Time, MaxBarSize);
//BarFactory.Add(instrument2, SmartQuant.BarType.Time, MaxBarSize);
this.strategy = strategy;
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Run the strategy
StartStrategy();
}
public static void AddQBTimeBar(this BarFactory factory, Instrument inst, long barSize)
{
var barItem = new QBTimeBarFactoryItem(inst, barSize);
factory.Add(barItem);
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["IF1612"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
DoubleMA_Crossover smaCrossoverLOS = new DoubleMA_Crossover(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// 开始时间是前一个交易日，这个地方要按自己策略的实际情况进行调整
DateTime startDate = DateTime.Now.DayOfWeek == DayOfWeek.Monday ? DateTime.Now.AddDays(-3).Date : DateTime.Now.AddDays(-1).Date;
DateTime historicalData1EndTime = startDate;
// 取本地的数据的最后时间
DataSeries ins1DataSeries = framework.DataManager.GetDataSeries(ins1, DataObjectType.Trade);
if (ins1DataSeries != null && ins1DataSeries.Count > 0)
{
historicalData1EndTime = ins1DataSeries.DateTime2;
}
// 以两个时间的最大值为起点
historicalData1EndTime = new DateTime(Math.Max(historicalData1EndTime.Ticks, startDate.Ticks));
// Load and save historical trades from QuantBase provider.
IHistoricalDataProvider quantBase = framework.ProviderManager.GetHistoricalDataProvider(94);
if (quantBase.Status == ProviderStatus.Disconnected)
{
quantBase.Connect();
}
// 等待连接成功，订阅太快了不行
while (!quantBase.IsConnected)
{
Thread.Sleep(1000);
}
// Load historical trades.
Console.WriteLine("Load historical data.");
TickSeries ins1TickSeries = framework.DataManager.GetHistoricalTrades(quantBase, ins1, historicalData1EndTime, DateTime.Now);
Console.WriteLine("Save historical data.");
// Save historical trades.
foreach (Trade trade in ins1TickSeries)
{
framework.DataManager.Save(ins1, trade);
}
// Set DataSimulator's dates.
DataSimulator.DateTime1 = startDate;
DataSimulator.DateTime2 = DateTime.Now;
// Set null for event filter.
framework.EventManager.Filter = null;
// Set property for suspend trading during simulation.
DoubleMA_Crossover.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
// Run in simulation.
Console.WriteLine("Run in Backtest mode.");
// Save current strategy mode.
StrategyMode mode = framework.StrategyManager.Mode;
// Set backtest mode.
framework.StrategyManager.Mode = StrategyMode.Backtest;
StartStrategy(StrategyMode.Backtest);
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
// Restore strategy mode.
framework.StrategyManager.Mode = mode;
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
// Set property for trading.
DoubleMA_Crossover.SuspendTrading = false;
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
StartStrategy(framework.StrategyManager.Mode);
}
public void ExecuteSave()
{
var barFactory = new BarFactory();
IBarDependency bar = barFactory.CreateBar();
}
public override void Run()
{
// Synthetic instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
