public void Optimize()
{
if (true)
{
IComponentBase ic;
meta = new ATSMetaStrategy("metagp");
strat = new ATSStrategy("ATS", "Test ATS Strategy");
//StrategyComponentManager.RegisterDefaultComponent(typeof(atscQT));
//ic = StrategyComponentManager.GetComponent("{1bffce05-3830-484b-aabc-21297ab3fc2a}", this);
//strat.SetComponent(ComponentType.ATSComponent, ic);
StrategyComponentManager.RegisterDefaultComponent(typeof(atscPivot));
ic = StrategyComponentManager.GetComponent("{55e7fcd2-3e34-4218-8d01-571c6c54fb4d}", this);
strat.SetComponent(ComponentType.ATSComponent, ic);
StrategyComponentManager.RegisterDefaultComponent(typeof(mktSingle));
ic = StrategyComponentManager.GetComponent("{0c19f913-f3e5-4c53-9908-4b87403f0616}", this);
strat.SetComponent(ComponentType.MarketManager, ic);
//StrategyComponentManager.RegisterDefaultComponent(typeof(mktToTrade));
//ic = StrategyComponentManager.GetComponent("{f6e7b160-1d92-4f46-af68-8d451783addc}", this);
//strat.SetComponent(ComponentType.MarketManager, ic);
meta.Add(strat);
Console.WriteLine("meta.strategies.count {0}", meta.Strategies.Count);
StrategyComponentManager.RegisterDefaultComponent(typeof(simQuotesAndTicks));
ic = StrategyComponentManager.GetComponent("{52728743-527f-4e40-a128-dd37387e6304}", this);
meta.SetComponent(ComponentType.SimulationManager, ic);
meta.MetaStrategyMode = MetaStrategyMode.Simulation;
meta.SimulationManager.Init();
meta.OptimizationManager = new optimizer();
//meta.Optimizer = new BruteForceTest(meta);
meta.Optimizer = new GPOptimizer(meta);
meta.OptimizerType = EOptimizerType.GeneticAlgorithm;
meta.Optimizer.UpdateCalled += new EventHandler(Optimizer_UpdateCalled);
meta.Optimizer.StepCalled += new EventHandler(Optimizer_StepCalled);
meta.Optimizer.ObjectiveCalled += new EventHandler(Optimizer_ObjectiveCalled);
meta.Optimizer.Inited += new EventHandler(Optimizer_Inited);
meta.Optimizer.BestObjectiveReceived += new EventHandler(Optimizer_BestObjectiveRecieved);
meta.Optimizer.CircleCalled += new EventHandler(Optimizer_CircleCalled);
meta.GetOptimizationParameters();
meta.Started += new EventHandler(meta_Started);
meta.Stopped += new EventHandler(meta_Stopped);
//meta.DesignMode = false;
meta.Optimize();
}
}
public override void Init()
{
//Console.WriteLine("We are in atscQT init.");
//if (null == instrument) return;
strat = base.Strategy;
ms = strat.ATSMetaStrategy;
mm = strat.MarketManager;
dsZero = new DoubleSeries("Zero");
dsZero.Color = Color.Black;
//individual = (Individual) strat.Global[ "Individual" ];
GPOptimizer gpo = (GPOptimizer)ms.Optimizer;
individual = gpo.curIndividual;
//gpstrategy.EmitSignalInit(this);
bars = new BarSeries("Bars");
dsTrade = new DoubleSeries("Trades");
smaTrades = new SMA(dsTrade, intTradeSmoothing);
dsTradeVolume = new DoubleSeries("Trade Volume");
dsBid = new DoubleSeries("Bid");
dsAsk = new DoubleSeries("Ask");
dsBidAskSpread = new DoubleSeries("Bid Ask Spread");
smaBidAskSpread = new SMA(dsBidAskSpread, intBidAskSpreadSmoothing);
dsBidAskMidPoint = new DoubleSeries("Bid Ask Midpoint");
smaBidAskMidPoint = new SMA(dsBidAskMidPoint, intBidAskSmoothing);
dsBidAskKama0 = new DoubleSeries("Bid Ask Kama 0");
dsBidAskKama1 = new DoubleSeries("Bid Ask Kama 1");
dsTradeER0 = new DoubleSeries("Trade ER 0");
dsTradeER1 = new DoubleSeries("Trade ER 1");
//dsBidAskER0 = new DoubleSeries("Bid Ask ER 0");
//dsBidAskER1 = new DoubleSeries("Bid Ask ER 1");
dsReturns = new DoubleSeries("Trade Returns");
stats = new Statistics(dsTrade);
dsKurtosis = new DoubleSeries("Kurtosis");
dsSkew = new DoubleSeries("Skew");
/*
* dtCurrentDay = new DateTime(0);
* try {
* daily = DataManager.GetDailySeries(this.instrument);
* }
* catch {
* new Exception("couldn't load ds for instrument " + instrument.Symbol);
* }
*/
DateTime dtStartingDate;
if (MetaStrategyMode.Live == strat.ATSMetaStrategy.MetaStrategyMode)
{
dtStartingDate = DateTime.Today;
string prov = "IQFeed";
IBarFactory factory = ProviderManager.MarketDataProviders[prov].BarFactory;
factory.Items.Clear();
factory.Items.Add(new BarFactoryItem(BarType.Time, 60, true));
instrument.RequestMarketData(
ProviderManager.MarketDataProviders[prov], MarketDataType.Quote);
instrument.RequestMarketData(
ProviderManager.MarketDataProviders[prov], MarketDataType.Trade);
tsStart = new TimeSpan(10, 30, 0);
tsStop = new TimeSpan(16, 55, 0);
}
else
{
dtStartingDate = strat.MetaStrategyBase.SimulationManager.EntryDate;
IBarFactory factory = ProviderManager.MarketDataProviders[1].BarFactory;
factory.Items.Clear();
factory.Items.Add(new BarFactoryItem(BarType.Time, 60, true));
tsStart = new TimeSpan(9, 30, 0);
tsStop = new TimeSpan(15, 55, 0);
}
//Console.WriteLine( "StartingDate {0}", dtStartingDate );
dtCurrentDay = dtStartingDate.Date;
/*
* Bar barDay1;
*
* int i = daily.GetIndex(dtStartingDate.Date, EIndexOption.Prev);
* barDay1 = daily[i];
* if (barDay1.DateTime.Date == dtStartingDate.Date) {
* i--; // realtime will come up with different one from simulation, depending upon what is dateset
* // ie, there is no bar or information for today, only the previous trading day
* barDay1 = daily[i];
* }
*/
}