private void Connector_RxNewSecurity(Security security) { _connector.RegisterTrades(security); _candleManager = new CandleManager(_connector); _candleManager.RxWhenCandlesChanged(_candleSeries).Subscribe(CandleManager_RxWhenCandlesChanged); _strategy = new MyRxStrategy(_candleSeries) { Security = _security, Connector = _connector, Portfolio = _portfolio, }; _strategy.SetCandleManager(_candleManager); _strategy.RxNewMyTrade().Subscribe(MyTradeGrid.Trades.Add); _strategy.RxNewMyTrade().Subscribe(FirstStrategy_NewMyTrade); _strategy.Start(); _candleManager.Start(_candleSeries); _connector.Start(); }
private void StartBtnClick(object sender, RoutedEventArgs e) { if (_connectors.Count > 0) { foreach (var connector in _connectors) { connector.Start(); } return; } 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 id = SecId.Text.ToSecurityId(); //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 = _exchangeInfoProvider.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 }, TicksChart, TicksEquity, TicksPosition), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsProgress, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo { UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757 }, TicksAndDepthsChart, TicksAndDepthsEquity, TicksAndDepthsPosition), Tuple.Create( DepthsCheckBox, DepthsProgress, DepthsParameterGrid, // order book new EmulationInfo { UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths }, DepthsChart, DepthsEquity, DepthsPosition), Tuple.Create( CandlesCheckBox, CandlesProgress, CandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles }, CandlesChart, CandlesEquity, CandlesPosition), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsProgress, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo { UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635 }, CandlesAndDepthsChart, CandlesAndDepthsEquity, CandlesAndDepthsPosition), Tuple.Create( OrderLogCheckBox, OrderLogProgress, OrderLogParameterGrid, // order log new EmulationInfo { UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog }, OrderLogChart, OrderLogEquity, OrderLogPosition), Tuple.Create( Level1CheckBox, Level1Progress, Level1ParameterGrid, // order log new EmulationInfo { UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1 }, Level1Chart, Level1Equity, Level1Position), 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 }, FinamCandlesChart, FinamCandlesEquity, FinamCandlesPosition), Tuple.Create( YahooCandlesCheckBox, YahooCandlesProgress, YahooCandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles }, YahooCandlesChart, YahooCandlesEquity, YahooCandlesPosition), }; // 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(); SetIsEnabled(false, false, false); foreach (var set in settings) { if (set.Item1.IsChecked == false) { continue; } var title = (string)set.Item1.Content; InitChart(set.Item5, set.Item6, set.Item7); 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 = new CandleManager(connector); var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame) { BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load }; _shortMa = new SimpleMovingAverage { Length = 10 }; _shortElem = new ChartIndicatorElement { Color = Colors.Coral, ShowAxisMarker = false, FullTitle = _shortMa.ToString() }; var chart = set.Item5; chart.AddElement(_area, _shortElem); _longMa = new SimpleMovingAverage { Length = 80 }; _longElem = new ChartIndicatorElement { ShowAxisMarker = false, FullTitle = _longMa.ToString() }; chart.AddElement(_area, _longElem); // create strategy based on 80 5-min и 10 5-min var strategy = new SmaStrategy(chart, _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.NewSecurity += s => { if (s != security) { return; } // fill level1 values connector.HistoryMessageAdapter.SendOutMessage(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 equity = set.Item6; var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area); var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black); var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine); var posItems = set.Item7.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 ?? 0 }; 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(); SetIsChartEnabled(chart, false); if (_connectors.All(c => c.State == EmulationStates.Stopped)) { logManager.Dispose(); _connectors.Clear(); SetIsEnabled(true, false, false); } this.GuiAsync(() => { if (connector.IsFinished) { progressBar.Value = progressBar.Maximum; MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title); } else { MessageBox.Show(this, LocalizedStrings.cancelled, title); } }); } else if (connector.State == EmulationStates.Started) { if (_connectors.All(c => c.State == EmulationStates.Started)) { SetIsEnabled(false, true, true); } SetIsChartEnabled(chart, true); } else if (connector.State == EmulationStates.Suspended) { if (_connectors.All(c => c.State == EmulationStates.Suspended)) { SetIsEnabled(true, false, 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; 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 } }); }
private void StartBtnClick(object sender, RoutedEventArgs e) { // if process was already started, will stop it now if (_connector != null && _connector.State != EmulationStates.Stopped) { _strategy.Stop(); _connector.Disconnect(); _logManager.Sources.Clear(); _connector = null; return; } // create test security var security = new Security { Id = "AAPL@NASDAQ", Code = "AAPL", Name = "AAPL Inc", Board = ExchangeBoard.Nasdaq, }; var startTime = new DateTime(2009, 6, 1); var stopTime = new DateTime(2009, 9, 1); var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, 10m) .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, }; var timeFrame = TimeSpan.FromMinutes(5); // create backtesting connector _connector = new HistoryEmulationConnector( new[] { security }, new[] { portfolio }) { HistoryMessageAdapter = { // set history range StartDate = startTime, StopDate = stopTime, }, // set market time freq as time frame MarketTimeChangedInterval = timeFrame, }; _logManager.Sources.Add(_connector); var candleManager = new CandleManager(_connector); var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame); // create strategy based on 80 5-min и 10 5-min _strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 }) { Volume = 1, Security = security, Portfolio = portfolio, Connector = _connector, }; _connector.NewSecurity += s => { if (s != security) { return; } // fill level1 values _connector.SendInMessage(level1Info); _connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security))); _connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security)) { GenerateDepthOnEachTrade = false }); // 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 ParameterGrid.Parameters.Clear(); ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters); _strategy.PnLChanged += () => { var data = new EquityData { Time = _strategy.CurrentTime, Value = _strategy.PnL, }; this.GuiAsync(() => _curveItems.Add(data)); }; _logManager.Sources.Add(_strategy); // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); var nextTime = startTime + progressStep; TestingProcess.Maximum = 100; TestingProcess.Value = 0; // handle historical time for update ProgressBar _connector.MarketTimeChanged += diff => { 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(() => TestingProcess.Value = steps); }; _connector.StateChanged += () => { if (_connector.State == EmulationStates.Stopped) { this.GuiAsync(() => { Report.IsEnabled = true; if (_connector.IsFinished) { TestingProcess.Value = TestingProcess.Maximum; MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(this, LocalizedStrings.cancelled); } }); } }; _curveItems.Clear(); Report.IsEnabled = false; _startEmulationTime = DateTime.Now; // raise NewSecurities and NewPortfolio for full fill strategy properties _connector.Connect(); }
private void StartBtnClick(object sender, RoutedEventArgs e) { InitChart(); if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text)) { MessageBox.Show(this, LocalizedStrings.Str3014); return; } var secGen = new SecurityIdGenerator(); var secIdParts = secGen.Split(SecId.Text); var storageRegistry = new StorageRegistry() { DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text) }; var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc); var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc); //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 maxDepth = 5; var maxVolume = 5; var secCode = secIdParts.Item1; var board = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2); var progressBar = TicksTestingProcess; var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); progressBar.Value = 0; progressBar.Maximum = 100; var statistic = TicksParameterGrid; var security = new Security() { Id = SecId.Text, Code = secCode, Board = board, }; var portfolio = new Portfolio() { Name = "test account", BeginValue = 1000000, }; var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio }) { EmulationAdapter = { Emulator = { Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, }, LogLevel = LogLevels.Debug, }, LogLevel = LogLevels.Debug, }, HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), }, }; //logManager.Sources.Add(connector); var candleManager = new CandleManager(connector); var series = new CandleSeries(typeof(RangeCandle), security, new Unit(100)); shortMa = new SimpleMovingAverage { Length = 10 }; shortElem = new ChartIndicatorElement { Color = Colors.Coral, ShowAxisMarker = false, FullTitle = shortMa.ToString() }; bufferedChart.AddElement(area, shortElem); longMa = new SimpleMovingAverage { Length = 30 }; longElem = new ChartIndicatorElement { ShowAxisMarker = false, FullTitle = longMa.ToString() }; bufferedChart.AddElement(area, longElem); var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series) { Volume = 1, Portfolio = portfolio, Security = security, Connector = connector, LogLevel = LogLevels.Debug, UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>() }; //logManager.Sources.Add(strategy); connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } connector.RegisterMarketDepth(security); connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security)) { Interval = TimeSpan.FromMilliseconds(100), // order book freq refresh is 1 sec MaxAsksDepth = maxDepth, MaxBidsDepth = maxDepth, UseTradeVolume = true, MaxVolume = maxVolume, MinSpreadStepCount = 1, // min spread generation is 2 pips MaxSpreadStepCount = 1, // max spread generation size (prevent extremely size) MaxPriceStepCount = 3 // pips size, }); connector.RegisterTrades(security); connector.RegisterSecurity(security); strategy.Start(); candleManager.Start(series); connector.Start(); }; statistic.Parameters.Clear(); statistic.Parameters.AddRange(strategy.StatisticManager.Parameters); var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area); var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black); var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine); var posItems = PositionCurve.CreateCurve(StrategyName, Colors.Crimson); 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; 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(); 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); } }; progressBar.Value = 0; startEmulationTime = DateTime.Now; connector.Connect(); connector.SendInMessage(new CommissionRuleMessage() { Rule = new CommissionPerTradeRule { Value = 0.01m } }); }
private void StartBtnClick(object sender, RoutedEventArgs e) { // если процесс был запущен, то его останавливаем if (_connector != null) { _strategy.Stop(); _connector.Stop(); _logManager.Sources.Clear(); _connector = null; return; } // создаем тестовый инструмент, на котором будет производится тестирование var security = new Security { Id = "RIU9@FORTS", Code = "RIU9", Name = "RTS-9.09", Board = ExchangeBoard.Forts, }; var startTime = new DateTime(2009, 6, 1); var stopTime = new DateTime(2009, 9, 1); var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, 10m) .TryAdd(Level1Fields.StepPrice, 6m) .TryAdd(Level1Fields.MinPrice, 10m) .TryAdd(Level1Fields.MaxPrice, 1000000m) .TryAdd(Level1Fields.MarginBuy, 10000m) .TryAdd(Level1Fields.MarginSell, 10000m); // тестовый портфель var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000, }; var timeFrame = TimeSpan.FromMinutes(5); // создаем подключение для эмуляции _connector = new HistoryEmulationConnector( new[] { security }, new[] { portfolio }); _connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame; _logManager.Sources.Add(_connector); _connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // отправляем данные Level1 для инструмента _connector.MarketDataAdapter.SendOutMessage(level1Info); _connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security))); _connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security)) { GenerateDepthOnEachTrade = false }); }; // соединяемся с трейдером и запускаем экспорт, // чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader _connector.Connect(); _connector.StartExport(); var candleManager = new CandleManager(_connector); var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame); // создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток _strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 }) { Volume = 1, Security = security, Portfolio = portfolio, Connector = _connector, }; // копируем параметры на визуальную панель ParameterGrid.Parameters.Clear(); ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters); _strategy.PnLChanged += () => { var data = new EquityData { Time = _strategy.CurrentTime, Value = _strategy.PnL, }; this.GuiAsync(() => _curveItems.Add(data)); }; _logManager.Sources.Add(_strategy); // задаем шаг ProgressBar var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); var nextTime = startTime + progressStep; TestingProcess.Maximum = 100; TestingProcess.Value = 0; // и подписываемся на событие изменения времени, чтобы обновить ProgressBar _connector.MarketTimeChanged += diff => { 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(() => TestingProcess.Value = steps); }; _connector.StateChanged += () => { if (_connector.State == EmulationStates.Stopped) { this.GuiAsync(() => { Report.IsEnabled = true; if (_connector.IsFinished) { TestingProcess.Value = TestingProcess.Maximum; MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (_connector.State == EmulationStates.Started) { // запускаем стратегию когда эмулятор запустился _strategy.Start(); candleManager.Start(series); } }; if (_curveItems == null) { _curveItems = Curve.CreateCurve(_strategy.Name, Colors.DarkGreen); } else { _curveItems.Clear(); } Report.IsEnabled = false; _startEmulationTime = DateTime.Now; // запускаем эмуляцию _connector.Start(new DateTime(2009, 6, 1), new DateTime(2009, 9, 1)); }
private void StartBtnClick(object sender, RoutedEventArgs e) { InitChart(); if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text)) { MessageBox.Show(this, LocalizedStrings.Str3014); return; } if (_connectors.Any(t => t.State != EmulationStates.Stopped)) { MessageBox.Show(this, LocalizedStrings.Str3015); return; } var secIdParts = SecId.Text.Split('@'); if (secIdParts.Length != 2) { MessageBox.Show(this, LocalizedStrings.Str3016); return; } var timeFrame = TimeSpan.FromMinutes(5); // создаем настройки для тестирования var settings = new[] { Tuple.Create( TicksCheckBox, TicksTestingProcess, TicksParameterGrid, // тест только на тиках new EmulationInfo { CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017 }), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsTestingProcess, TicksAndDepthsParameterGrid, // тест на тиках + стаканы new EmulationInfo { UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018 }), Tuple.Create( CandlesCheckBox, CandlesTestingProcess, CandlesParameterGrid, // тест на свечах new EmulationInfo { UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019 }), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsTestingProcess, CandlesAndDepthsParameterGrid, // тест на свечах + стаканы new EmulationInfo { UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020 }), Tuple.Create( OrderLogCheckBox, OrderLogTestingProcess, OrderLogParameterGrid, // тест на логе заявок new EmulationInfo { UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021 }) }; // хранилище, через которое будет производиться доступ к тиковой и котировочной базе var storageRegistry = new StorageRegistry { // изменяем путь, используемый по умолчанию DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text) }; var startTime = (DateTime)From.Value; var stopTime = (DateTime)To.Value; // 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); } // задаем шаг ProgressBar var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); // в реальности период может быть другим, и это зависит от объема данных, // хранящихся по пути HistoryPath, TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100; TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0; var logManager = new LogManager(); var fileLogListener = new FileLogListener("sample.log"); logManager.Listeners.Add(fileLogListener); //logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно. var generateDepths = GenDepthsCheckBox.IsChecked == true; var maxDepth = MaxDepth.Text.To <int>(); var maxVolume = MaxVolume.Text.To <int>(); var secCode = secIdParts[0]; var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]); foreach (var set in settings) { if (set.Item1.IsChecked == false) { continue; } var progressBar = set.Item2; var statistic = set.Item3; var emulationInfo = set.Item4; // создаем тестовый инструмент, на котором будет производится тестирование var security = new Security { Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными Code = secCode, Board = board, }; var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, 10m) .TryAdd(Level1Fields.StepPrice, 6m) .TryAdd(Level1Fields.MinPrice, 10m) .TryAdd(Level1Fields.MaxPrice, 1000000m) .TryAdd(Level1Fields.MarginBuy, 10000m) .TryAdd(Level1Fields.MarginSell, 10000m); // тестовый портфель var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000, }; // создаем подключение для эмуляции // инициализируем настройки (инструмент в истории обновляется раз в секунду) var connector = new HistoryEmulationConnector( new[] { security }, new[] { portfolio }) { StorageRegistry = storageRegistry, MarketEmulator = { Settings = { // использовать свечи UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame, // сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки. // Если выключено - требуется "прохождение цены сквозь уровень" // (более "суровый" режим тестирования.) MatchOnTouch = false, } }, //UseExternalCandleSource = true, CreateDepthFromOrdersLog = emulationInfo.UseOrderLog, CreateTradesFromOrdersLog = emulationInfo.UseOrderLog, }; connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame; ((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; logManager.Sources.Add(connector); connector.NewSecurities += securities => { //подписываемся на получение данных после получения инструмента if (securities.All(s => s != security)) { return; } // отправляем данные Level1 для инструмента connector.MarketDataAdapter.SendOutMessage(level1Info); // тест подразумевает наличие стаканов if (emulationInfo.UseMarketDepth) { connector.RegisterMarketDepth(security); if ( // если выбрана генерация стаканов вместо реальных стаканов generateDepths || // для свечей генерируем стаканы всегда emulationInfo.UseCandleTimeFrame != TimeSpan.Zero ) { // если история по стаканам отсутствует, но стаканы необходимы для стратегии, // то их можно сгенерировать на основании цен последних сделок или свечек. connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security)) { Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду MaxAsksDepth = maxDepth, MaxBidsDepth = maxDepth, UseTradeVolume = true, MaxVolume = maxVolume, MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда. MaxPriceStepCount = 3 // максимальное количество шагов между ценами, }); } } else if (emulationInfo.UseOrderLog) { connector.RegisterOrderLog(security); } }; // соединяемся с трейдером и запускаем экспорт, // чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader connector.Connect(); connector.StartExport(); var candleManager = 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); // создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series) { Volume = 1, Portfolio = portfolio, Security = security, Connector = connector, LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info, // по-умолчанию интервал равен 1 минут, // что для истории в диапазон от нескольких месяцев излишне UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>() }; // комиссия в 1 копейку за сделку connector.MarketEmulator.SendInMessage(new CommissionRuleMessage { Rule = new CommissionPerTradeRule { Value = 0.01m } }); logManager.Sources.Add(strategy); // копируем параметры на визуальную панель statistic.Parameters.Clear(); statistic.Parameters.AddRange(strategy.StatisticManager.Parameters); var pnlCurve = Curve.CreateCurve("P&L " + 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; // и подписываемся на событие изменения времени, чтобы обновить 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(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (connector.State == EmulationStates.Started) { SetIsEnabled(true); // запускаем стратегию когда эмулятор запустился strategy.Start(); candleManager.Start(series); } }; if (ShowDepth.IsChecked == true) { MarketDepth.UpdateFormat(security); connector.NewMessage += (message, dir) => { var quoteMsg = message as QuoteChangeMessage; if (quoteMsg != null) { MarketDepth.UpdateDepth(quoteMsg); } }; } _connectors.Add(connector); } _startEmulationTime = DateTime.Now; // запускаем эмуляцию foreach (var connector in _connectors) { // указываем даты начала и конца тестирования connector.Start(startTime, stopTime); } TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true; }
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 StartEmulation() { if (_connector != null && _connector.State != EmulationStates.Stopped) { throw new InvalidOperationException(LocalizedStrings.Str3015); } if (Strategy == null) { throw new InvalidOperationException("Strategy not selected."); } var strategy = Strategy; if (strategy.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath)) { throw new InvalidOperationException(LocalizedStrings.Str3014); } strategy.Reset(); OrderGrid.Orders.Clear(); MyTradeGrid.Trades.Clear(); _pnlCurve.Clear(); _unrealizedPnLCurve.Clear(); _commissionCurve.Clear(); _posItems.Clear(); var secGen = new SecurityIdGenerator(); var secIdParts = secGen.Split(strategy.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 = strategy.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; 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; ConfigManager.GetService <LogManager>().Sources.Add(_connector); var candleManager = !useCandles ? new CandleManager(new TradeCandleBuilderSourceEx(_connector)) : 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.SetChart(_bufferedChart); strategy.SetCandleManager(candleManager); _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(); this.GuiAsync(() => { if (_connector.IsFinished) { TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum; } }); break; case EmulationStates.Started: 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 StartBtnClick(object sender, RoutedEventArgs e) { InitChart(); if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text)) { MessageBox.Show(this, LocalizedStrings.Str3014); return; } if (_connectors.Any(t => t.State != EmulationStates.Stopped)) { MessageBox.Show(this, LocalizedStrings.Str3015); return; } var secIdParts = SecId.Text.Split('@'); if (secIdParts.Length != 2) { MessageBox.Show(this, LocalizedStrings.Str3016); return; } var timeFrame = TimeSpan.FromMinutes(5); // create backtesting modes var settings = new[] { Tuple.Create( TicksCheckBox, TicksTestingProcess, TicksParameterGrid, // ticks new EmulationInfo { UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017 }), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsTestingProcess, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo { UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018 }), Tuple.Create( CandlesCheckBox, CandlesTestingProcess, CandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019 }), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsTestingProcess, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo { UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020 }), Tuple.Create( OrderLogCheckBox, OrderLogTestingProcess, OrderLogParameterGrid, // order log new EmulationInfo { UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021 }) }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text) }; var startTime = (DateTime)From.Value; var stopTime = (DateTime)To.Value; // 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); } // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); // set ProgressBar bounds TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100; TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0; 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 secCode = secIdParts[0]; var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]); foreach (var set in settings) { if (set.Item1.IsChecked == false) { continue; } var progressBar = set.Item2; var statistic = set.Item3; var emulationInfo = set.Item4; // 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, }; var level1Info = new Level1ChangeMessage { SecurityId = security.ToSecurityId(), ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, 10m) .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 }) { StorageRegistry = storageRegistry, MarketEmulator = { Settings = { // set time frame is backtesting on candles UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame, // 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 = true, CreateDepthFromOrdersLog = emulationInfo.UseOrderLog, CreateTradesFromOrdersLog = emulationInfo.UseOrderLog, }; connector.StartDate = startTime; connector.StopDate = stopTime; connector.MarketTimeChangedInterval = timeFrame; ((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; logManager.Sources.Add(connector); connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // fill level1 values connector.SendOutMessage(level1Info); 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); } // start historical data loading when connection established successfully and all data subscribed connector.Start(); }; var candleManager = 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, 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); // fill parameters panel statistic.Parameters.Clear(); statistic.Parameters.AddRange(strategy.StatisticManager.Parameters); var pnlCurve = Curve.CreateCurve("P&L " + 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(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (connector.State == EmulationStates.Started) { SetIsEnabled(true); // start strategy when emulation started strategy.Start(); candleManager.Start(series); } }; if (ShowDepth.IsChecked == true) { MarketDepth.UpdateFormat(security); connector.NewMessage += (message, dir) => { var quoteMsg = message as QuoteChangeMessage; if (quoteMsg != null) { MarketDepth.UpdateDepth(quoteMsg); } }; } _connectors.Add(connector); } _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; }