private IResultsProvider Simulate(IEnumerable <IStrategy> strategies)
{
SimulationState[] SimulateStrategy(IStrategy strategy, ProgressBar progress)
{
var description = strategy.StrategyType.GetDescription();
Log.Information($"Simulating strategy: {description}");
var simulator = _simulatorFactory.Create <BacktestingSimulator>();
var result = simulator.Evaluate(strategy, _investorProvider.Current, progress: progress);
return(result.ToArray());
}
var(sequential, parallelisable) = strategies.Split(x => x is IAggregateStrategy);
foreach (var investor in _investorProvider)
{
_resultsProvider.Initialise();
var histories = new ConcurrentDictionary <IStrategy, SimulationState[]>();
using var progress = ProgressBarProvider.Create(0, "Evaluating...");
Parallel.ForEach(parallelisable, strategy =>
{
histories[strategy] = SimulateStrategy(strategy, progress);
});
foreach (var strategy in sequential)
{
histories[strategy] = SimulateStrategy(strategy, progress);
}
_resultsProvider.AddResults(investor, histories);
}
return(_resultsProvider);
}
public void Setup()
{
ConfigurationManager.AppSettings["BacktestingDate"] = "2010-07-01";
ConfigurationManager.AppSettings["CacheSize"] = "2000";
ConfigurationManager.AppSettings["DataPath"] = "MarketData.csv";
ConfigurationManager.AppSettings["RelativePath"] = @"../../../";
var marketData = CreateMarketData();
var marketDataCache = CreateMarketDataCache(marketData);
var investor = new Investor {
DailyFunds = 10, OrderDelayDays = 3
};
var investorProvider = CreateInvestorProvider();
var simulationCache = new SimulationCache();
var simulationFactory = new SimulatorFactory(marketDataCache, simulationCache);
var ratingService = new RatingService(
marketDataCache,
simulationFactory,
investorProvider);
var strategyFactory = CreateStrategyFactory(
marketDataCache,
simulationCache,
investorProvider,
ratingService);
var marketDataRepository = new Mock <IRepository <MarketData> >();
var simulationResultsRepository = new Mock <IRepository <SimulationResult> >();
_target = new ResultsProvider(
marketDataCache,
marketDataRepository.Object,
ratingService,
simulationResultsRepository.Object);
_target.Initialise();
var strategy = strategyFactory.Create(new HolidayEffectParameters());
var stateJson = File.ReadAllText(@"HolidayEffectSimulationState.json");
var simulationState = JsonConvert.DeserializeObject <SimulationState[]>(stateJson);
var resultsToAdd = new ConcurrentDictionary <IStrategy, SimulationState[]>();
resultsToAdd.TryAdd(strategy, simulationState);
_target.AddResults(investor, resultsToAdd);
}
