private static void RunRegression()
{
currentProcessIndex++;
while (isRun)
{
//get the batch of jobs to be processed
var jobs = _dataManager.GetPendingRegressionJobs();
foreach (var job in jobs)
{
Console.WriteLine("Staring to process regression job with id: {0}", job.RegressionJobId);
//process the new job
currentJob = job;
m_RegressionEndFlagEvent.Reset();
runners = new List <TradingModelRunner>();
pnl = 0;
m_JobStat = new RegressionJobStat();
m_JobStat.InstrumentCode = currentJob.InstrumentCode;
m_JobStat.JobId = currentJob.RegressionJobId;
//set up consumers
tickDataSubscriber = new TickDataSubscriber();
tickDataHandler = new TickDataHandler(tickDataSubscriber);
moneyManager = new MoneyManager.MoneyManager(100000, .01);
barDataHandler = new BarDataHandler(tickDataHandler, job.RegressionBarInterval.Value);
dailyPriceBarDataHandler = new DailyPriceBarDataHandler(job.InstrumentCode,
job.RegressionStartDate.Value, job.RegressionEndDate.Value, tickDataHandler);
dailyPriceBarDataHandler.Fill();
//creates new instance of runner
StartTradeModelRunner(currentJobIndex, job.InstrumentCode, job.RegressionEndDate.Value);
//start feeder
historicalDataFeeder.Start(mktTickDataPublisher,
new FeederProperties
{
InstrumentCode = job.InstrumentCode,
StartDate = job.RegressionStartDate,
EndDate = job.RegressionEndDate
}, () => { });
currentProcessIndex++;
//setting 30 minutes timeout
m_RegressionEndFlagEvent.WaitOne(TimeSpan.FromMinutes(30));
}
}
//get regression from db and run them synchronously
}
public TradingModelRunner(
int reference,
ITradeModel tradeModel,
int jobId,
string instrumentCode,
DateTime regressionEndDate,
BarDataHandler barDataHandler,
TickDataHandler tickDataHandler,
DailyPriceBarDataHandler dailyPriceBarDataHandler,
BarCompleted callBackBarCompleted,
EntrySignalReceived callBackEntrySignalReceived,
TradePositionCloseReceived callBackTradePositionCloseReceived,
RegressionJobFinished callbackRegressionJobFinished,
TickDataUpdateReceived callbackTickDataUpdateReceived,
IMoneyManager moneyManager)
{
m_ref = reference;
m_TradingModel = tradeModel;
m_BarDataHandler = barDataHandler;
m_TickDataHandler = tickDataHandler;
m_DailyBarDataHandler = dailyPriceBarDataHandler;
m_jobId = jobId;
m_instrumentCode = instrumentCode;
m_RegressionEndDate = regressionEndDate;
m_moneyMgr = moneyManager;
CallbackOnEntrySignalReceived = callBackEntrySignalReceived;
CallbackTradePositionCloseReceived = callBackTradePositionCloseReceived;
CallbackRegressionJobFinished = callbackRegressionJobFinished;
CallbackBarCompleted = callBackBarCompleted;
CallbackTickDataUpdateReceived = callbackTickDataUpdateReceived;
m_SignalState = TradingModelSignalState.TradeSignal;
m_TradingModel.SetHandlers(barDataHandler, tickDataHandler, dailyPriceBarDataHandler, moneyManager);
m_BarDataHandler.BarDataCreatedCompleted += OnBarDataCreatedCompleted;
m_TickDataHandler.OnRealTimeTickDataUpdate += OnRealTimeTickDataUpdate;
m_TickDataHandler.OnRealTimeTickDataDateChange += OnRealTimeTickDataDateChange;
}
