[Test] public void fullRun()
{
O.freezeNow("2009/01/15"); // so that params don't change out from under us
var args = new SystemArguments(
symbol(),
new Parameters {
{ "systemId", 188387 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "maType", 2 },
{ "maLength", 8 },
{ "stDevLength", 10 },
{ "regressionProjectionBars", 5 },
{ "regressionBars", 8 },
{ "ZEntry", 2 },
{ "minPnLMultTC", 5 },
{ "stopMultiple", 3 },
{ "RiskDollars", 100000000 },
{ "ZExit", 1 },
{ "MaxBarsHeld", 999 },
{ "LeadBars", leadBars() }
});
BarLoader barLoader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol()), date("2004/11/26"));
var simulator = new Simulator.Simulator(args, barLoader, OrderTable.prefix);
simulator.processBars();
// using slippage for RE.TEST.TY.1C: 0.015625
// Date range: 11/26/04 - 4/18/08
// Parameter set from the parameters() method below.
AlmostEqual(-149665265.63, simulator.pnl(), 0.01);
}
[Test] public void fullRun()
{
O.freezeNow("2009/01/15"); // so that params don't change out from under us
var args = new SystemArguments(
symbol(),
new Parameters {
{ "systemId", 63234 },
{ "RunMode", (double)RunMode.LIVE }
});
var simulator = new Simulator.Simulator(args, OrderTable.prefix);
simulator.processBars(300);
// using slippage for RE.TEST.TY.1C: 0.015625
// Full run AlmostEqual(-1975093.75, simulator.pnl(), 0.01);
AlmostEqual(-184296.88, simulator.pnl(), 0.01);
}
void runOneLocal()
{
LogC.info("running run " + start + " local to populate S3 cache");
S3Cache.saveAllQueryResultsToS3(true);
var s3Cache = runner.s3Cache();
s3Cache.createBucket();
S3Cache.setS3Cache(s3Cache);
var runParameters = parameters(start);
var symbolRanges = dictionary(symbols, symbol => MsivBacktestTable.BACKTEST.range(systemId, symbol.name));
var data = new SystemDbBarLoader(details.interval(), symbols, symbolRanges);
var simulator = new Simulator.Simulator(new SystemArguments(symbols, portfolios, runParameters), data, "QUEDGE");
simulator.processBars();
simulator.shutdown();
S3Cache.saveAllQueryResultsToS3(false);
}
void runSystem(Producer <SystemRunInfo> info, bool goLive)
{
try {
gui.disableRunButton();
runInfo = info();
simulator = runInfo.newSimulator((symbol, definition) => plots.get(symbol).Add(definition));
each(simulator.symbols, symbol => simulator.addCollectible(symbol));
simulator.addNewTradeListener(addTrade);
simulator.processBars();
} catch (Exception e) {
gui.logAndAlert("failed during simulation run", e);
return;
} finally {
runThread = null;
gui.enableRunButton();
}
gui.reportResults(this);
if (goLive)
{
simulator.goLive();
}
}
static int processNextMessage(EC2Runner runner, int lastRunTime, out STORequest request)
{
var message = runner.nextMessage(Math.Min(7200, 2 * lastRunTime));
var start = now();
request = new STORequest(message.@object());
info("received " + request);
if (symbols == null || barData == null)
{
cacheSymbolData(request);
}
else
{
request.requireMatch(symbols);
}
var simulator = new Simulator.Simulator(new SystemArguments(symbols, request.portfolios, request.parameters), barData, "QUEDGE");
simulator.processBars();
simulator.shutdown();
lastRunTime = Math.Max((int)now().Subtract(start).TotalSeconds, 10);
runner.responseQueue().send(request.response(EC2Runner.instanceId(), start, now(), processId()));
message.delete();
return(lastRunTime);
}
