public void OverRideTickEventTestCase()
{
_tradeHubStrategy.InitializeMarketDataServiceDisruptor(new IEventHandler <RabbitMqRequestMessage>[] { this });
_tickArrived = false;
_manualTickEvent = new ManualResetEvent(false);
Thread.Sleep(5000);
_tradeHubStrategy.Run();
_manualTickEvent.WaitOne(300000, false);
Assert.AreEqual(true, _tickArrived, "Tick Arrived");
}
/// <summary>
/// Executes single iteration of the given strategy instance
/// </summary>
public double ExecuteStrategy(double alpha, double beta, double gemma, double epsilon)
{
//SetStrategyParameters(alpha, beta, gemma, epsilon);
_manualReset = new ManualResetEvent(false);
// Update Strategy Parameters
_tradeHubStrategy.SetParameters(new object[] { alpha, beta, gemma, epsilon });
// Reset Statistics for current iteration
_statistics.ResetAllValues();
// Start Strategy Execution
_tradeHubStrategy.Run();
// Wait for the strategy to execute
_manualReset.WaitOne();
////Dispose Object
//_tradeHubStrategy.Dispose();
//// Force garbage collector to free memory
//GC.Collect();
//GC.WaitForPendingFinalizers();
//ExecuteStrategy(alpha, beta, gemma, epsilon);
// return current iterations PnL
return((double)_statistics.GetRisk());
}
/// <summary>
/// Starts custom strategy execution
/// </summary>
public void ExecuteStrategy()
{
try
{
// Verify Strategy Instance
if (_tradeHubStrategy == null)
{
//create DB strategy
Strategy strategy = new Strategy();
strategy.Name = _strategyType.Name;
strategy.StartDateTime = DateTime.Now;
// Get new strategy instance
var strategyInstance = LoadCustomStrategy.CreateStrategyInstance(_strategyType, CtorArguments);
if (strategyInstance != null)
{
// Cast to TradeHubStrategy Instance
_tradeHubStrategy = strategyInstance as TradeHubStrategy;
}
if (_tradeHubStrategy == null)
{
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Unable to initialize Custom Strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
// Skip execution of further actions
return;
}
// Set Strategy Name
_tradeHubStrategy.StrategyName = LoadCustomStrategy.GetCustomClassSummary(_strategyType);
// Register Events
_tradeHubStrategy.OnStrategyStatusChanged += OnStrategyStatusChanged;
_tradeHubStrategy.OnNewExecutionReceived += OnNewExecutionReceived;
}
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Executing user strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
//Overriding if running on simulated exchange
ManageBackTestingStrategy();
// Start Executing the strategy
_tradeHubStrategy.Run();
}
catch (Exception exception)
{
_asyncClassLogger.Error(exception, _type.FullName, "ExecuteStrategy");
}
}
/// <summary>
/// Execute Strategy iteration to calculate Fitness
/// </summary>
/// <returns>Return Strategy's Fitness for current execution</returns>
public double ExecuteStrategy(double[] values)
{
try
{
_manualReset = new ManualResetEvent(false);
//convert all parameters to object.
object[] array = new object[values.Length];
for (int i = 0; i < values.Length; i++)
{
array[i] = values[i];
}
// Update Strategy Parameters
_tradeHubStrategy.SetParameters(array);
// Reset Statistics for current iteration
_statistics.ResetAllValues();
_orderExecutor.Clear();
// Start Strategy Execution
_tradeHubStrategy.Run();
// Wait for the strategy to execute
_manualReset.WaitOne();
// Clear subscription maps
_dataHandler.ClearMaps();
_tradeHubStrategy.ClearOrderMap();
// return current iterations risk
return(-1 * (double)_tradeHubStrategy.GetObjectiveFunctionValue());
}
catch (Exception exception)
{
_logger.Error(exception, _type.FullName, "ExecuteStrategy");
return(default(double));
}
}
/// <summary>
/// Starts custom strategy execution
/// </summary>
public void ExecuteStrategy()
{
try
{
bool parameterChanged = true;
// Check if any strategy parameter was changed
if (_ctorArguments != null)
{
parameterChanged = _strategyInstance.ParametersChanged(_ctorArguments);
// Get updated values to be used
if (parameterChanged)
{
// Get parameter values to be used
_ctorArguments = _strategyInstance.GetParameterValues();
}
}
// Verify Strategy Instance
if (_tradeHubStrategy == null || parameterChanged)
{
//create DB strategy
Strategy strategy = new Strategy();
strategy.Name = _strategyType.Name;
strategy.StartDateTime = DateTime.Now;
// Get parameter values to be used
_ctorArguments = _strategyInstance.GetParameterValues();
// Get new strategy instance
var strategyInstance = StrategyHelper.CreateStrategyInstance(_strategyType, _ctorArguments);
if (strategyInstance != null)
{
// Cast to TradeHubStrategy Instance
_tradeHubStrategy = strategyInstance as TradeHubStrategy;
}
if (_tradeHubStrategy == null)
{
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Unable to initialize Custom Strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
// Skip execution of further actions
return;
}
// Set Strategy Name
_tradeHubStrategy.StrategyName = StrategyHelper.GetCustomClassSummary(_strategyType);
// Set notificaitons preference
_tradeHubStrategy.SetNewOrderNotification(_newOrderNotification);
_tradeHubStrategy.SetAcceptedOrderNotification(_acceptedOrderNotification);
_tradeHubStrategy.SetExecutionNotification(_executionNotification);
_tradeHubStrategy.SetRejectionNotification(_rejectionNotification);
// Register Events
RegisterTradeHubStrategyEvent();
}
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Executing user strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
//Overriding if running on simulated exchange
ManageBackTestingStrategy();
_stopInstanceRequested = false;
// Start Executing the strategy
_tradeHubStrategy.Run();
}
catch (Exception exception)
{
_asyncClassLogger.Error(exception, _type.FullName, "ExecuteStrategy");
}
}
