/// <summary>
/// Simulates a given scenario and calculates profit / loss that would be made if scenario happened on each second in history of captured market order books.
/// Profit/losses are output to a file given in scenario description.
/// </summary>
/// <param name="scenario">Scenario to simulate.</param>
/// <param name="historyLoader">Loader to be used to access history of market order books.</param>
public ProfitSimulator(SimulationScenario scenario, BitstampHistoryLoader historyLoader)
{
_historyEnumerator = new HistoryEnumerator(historyLoader);
var firstEntry = _historyEnumerator.PeekNext();
if (firstEntry == null)
{
return;
}
_engine = new SimulationEngine(firstEntry.AcqTime);
_engine.AfterEventSimulation += LoadOrderBookHistoryEventsIntoEngine;
_dependencyFactory = new SimulationDependencyFactory(_engine);
_scenario = scenario;
_dependencyFactory.HedgingEngine.WhenStrategy.Delay = _scenario.HedgingDelay * 1000;
_dependencyFactory.PricingEngine.PricingStrategy.SellSpread = _scenario.SellSpread / 100;
_dependencyFactory.PricingEngine.PricingStrategy.BuySpread = _scenario.BuySpread / 100;
_dependencyFactory.SolarisBank.InfiniteBalance = true;
_dependencyFactory.SolarisBank.TransferDelay = 10;
_resultWriter = new CsvProfitSimulationWriter(_scenario.OutputFilename);
_resultWriter.Initialize();
_isSimulationDone = false;
_liquidityEngine = new SimulationLiquidityEngineMoq(_dependencyFactory);
}
public MarketAnalyzer(BitstampHistoryLoader historyLoader)
{
MinTimespan = TimeSpan.FromMinutes(1);
_bidStat = new Lazy <Statistic>(() => new Statistic(_priceHistory.Select(entry => entry.BidPrice)));
_askStat = new Lazy <Statistic>(() => new Statistic(_priceHistory.Select(entry => entry.AskPrice)));
_priceHistory = new LinkedList <Entry>();
_history = new HistoryQueue(historyLoader);
}
/// <summary>
/// Iterates over order book history and loads new data using given history loader when needed.
/// </summary>
/// <param name="loader">Order book history loader which is then used to load historical data.</param>
public HistoryEnumerator(BitstampHistoryLoader loader)
{
_loader = loader;
_loader.RegisterHistoryProvider(this);
}
public HistoryQueue(BitstampHistoryLoader loader)
{
_loader = loader;
_loader.RegisterHistoryProvider(this);
}