public Position(Portfolio portfolio, Instrument instrument)
{
Portfolio = portfolio;
Instrument = instrument;
PortfolioId = portfolio.Id;
InstrumentId = instrument.Id;
}
public static Portfolio GenerateDefaultPortfolio()
{
Security goog = new Security {Symbol = "goog"};
Security msft = new Security {Symbol = "msft"};
Security aapl = new Security {Symbol = "aapl"};
Portfolio portfolio = new Portfolio
{
Name = "po' boy"
};
Account mandingo = new Account
{
Name = "mandingo",
Portfolio = portfolio
};
AddPosition(mandingo, goog, 100M, 12.34M);
AddPosition(mandingo, aapl, 200M, 23.45M);
portfolio.Accounts.Add(mandingo);
Account took = new Account
{
Name = "took",
Portfolio = portfolio
};
AddPosition(took, msft, 100M, 34.56M);
portfolio.Accounts.Add(took);
return portfolio;
}
private static IDictionary<DateTime, IDictionary<IDomainEntity, decimal>> GetValues(Portfolio portfolio, IDictionary<DateTime, IDictionary<string, decimal>> priceDates)
{
var results = new Dictionary<DateTime, IDictionary<IDomainEntity, decimal>>();
foreach (var date in priceDates.Keys)
{
var values = new Dictionary<IDomainEntity, decimal>();
results[date] = values;
var prices = priceDates[date];
foreach (var account in portfolio.Accounts)
{
foreach (var position in account.Positions)
{
try
{
var price = prices[position.Security.Symbol];
var value = price*position.Shares;
values.Add(position, value);
}
catch (KeyNotFoundException)
{
values.Add(position, -1M);
}
}
}
}
return results;
}
public VMEditingPortfolio(Portfolio portfolio, int userId, List<Project> projectCatalog = null)
{
Title = portfolio.Title;
Description = portfolio.Description;
Projects = new List<VMProject>();
if (portfolio.Projects != null && portfolio.Projects.Count > 0)
{
foreach (Project u in portfolio.Projects)
{
Projects.Add(new VMProject(u, portfolio.UserId));
}
}
ProjectCatalog = new List<VMProject>();
if (projectCatalog != null && projectCatalog.Count > 0)
{
foreach (Project u in projectCatalog)
{
//Projects.Add(new VMProject(u, userId));
ProjectCatalog.Add(new VMProject(u, userId));
}
}
Visibility = (VisibilityType)portfolio.Visibility;
UserId = portfolio.UserId;
Id = portfolio.Id;
IsMainPortfolio = portfolio.IsMainPortfolio;
}
private static IDictionary<string, decimal> CalculateValues(Portfolio portfolio, IDictionary<string, decimal> quotes)
{
var results = new Dictionary<string, decimal>();
foreach (var account in portfolio.Accounts)
{
foreach (var position in account.Positions)
{
try
{
var price = quotes[position.Security.Symbol];
var value = price * position.Shares;
if (results.ContainsKey(position.Security.Symbol))
results[position.Security.Symbol] += value;
else
results.Add(position.Security.Symbol, value);
}
catch (KeyNotFoundException)
{
results.Add(position.Security.Symbol, -1M);
}
}
}
return results;
}
public void LoadPortfolio(int pPortfolioId)
{
Portfolio portfolio = new Portfolio(pPortfolioId);
txtProjectName.Text = portfolio.ProjectName;
txtProjectDescription.Text = portfolio.ProjectDescription;
String toolsAndTechnique = portfolio.ToolsAndTechniques;
String[] toolsAndTechniquesArr = toolsAndTechnique.Split(new Char[] {','}, StringSplitOptions.RemoveEmptyEntries);
//Int32[] tools = toolsAndTechniquesArr.ToArray<Int32>();
//for (int i = 0; i < toolsAndTechnique.Length; i++)
//{
// tools[i] = Int32.Parse(toolsAndTechniquesArr[i]);
//}
BindToolsAndTechniques();
ArrayList l = new ArrayList();
for (int i = 0; i < toolsAndTechniquesArr.Length; i++)
{
l.Add(Int32.Parse(toolsAndTechniquesArr[i]));
}
foreach (ListItem item in chkBoxList1.Items)
{
if(l.Contains(Int32.Parse(item.Value)))
{
item.Selected = true;
}
}
txtProjectURL.Text = portfolio.ProjectURL;
}
public string GetReport(Portfolio portfolio, IEnumerable<Category> categories, IEnumerable<CategoryWeight> weights)
{
var reportBuilder = new StringBuilder();
var quotes = GetQuotes(portfolio);
var valuesDict = CalculateValues(portfolio, quotes);
var weightsList = weights.ToList();
//DebugPrint(reportBuilder, valuesDict);
var total = valuesDict.Values.Where(v => v > 0M).Sum();
reportBuilder.AppendLine(string.Format("Portfolio: {0}", portfolio.Name));
foreach (var category in categories)
{
Dictionary<string, decimal> calculations = new Dictionary<string, decimal>();
foreach (var kvpair in valuesDict)
{
var weight = weightsList.Single(w => w.Security.Symbol.Equals(kvpair.Key) && w.Value.Category == category);
if (calculations.ContainsKey(weight.Value.Name))
calculations[weight.Value.Name] += kvpair.Value;
else
calculations.Add(weight.Value.Name, kvpair.Value);
}
reportBuilder.AppendLine(string.Format("\r\n{0}", category.Name));
foreach (var kvpair in calculations.OrderByDescending(kv => kv.Value))
{
reportBuilder.AppendLine(String.Format("{0}: {1:N1}%", kvpair.Key, kvpair.Value / total * 100M));
}
}
return reportBuilder.ToString();
}
public void UpdatePortfolio(Portfolio.Portfolio portfolio, Ranking[] previousRankings, Ranking[] currentRankings)
{
// check whether we should sell the stock
Ranking previousTop = previousRankings.First();
Ranking currentTop = currentRankings.First();
// let's give ourselves some money
portfolio.Cash += portfolio.MonthlyIncrease;
if (String.Equals(previousTop.Stock.Ticker, currentTop.Stock.Ticker, StringComparison.OrdinalIgnoreCase))
{
// same stock so just buy
portfolio.BuyStock(currentTop.Stock, portfolio.MonthlyIncrease);
}
else
{
// have to sell first
// we look for the stock to sell
Stock previousTopRightNow = currentRankings.
First(ranking => String.Equals(ranking.Stock.Ticker, previousTop.Stock.Ticker, StringComparison.OrdinalIgnoreCase))
.Stock;
// sell all of it
portfolio.SellStock(previousTopRightNow, portfolio.GetStockShares(previousTopRightNow));
// time to buy all
portfolio.BuyStock(currentTop.Stock, portfolio.TotalValue);
}
}
private TradingResult PerformBackTesting( SystemResult systemResult )
{
if ( systemResult.Prices.Empty() || systemResult.Signals.Empty() )
{
return null;
}
const int InitialCash = 10000;
var tradingLog = new TradingLog();
var portfolio = new Portfolio( InitialCash, Broker, tradingLog );
foreach ( var signal in systemResult.Signals )
{
if ( signal.Value.Type == SignalType.Buy )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Buy( signal.Time, price.Value );
}
else if ( signal.Value.Type == SignalType.Sell )
{
var price = systemResult.Prices[ signal.Time ];
portfolio.Sell( signal.Time, price.Value );
}
}
return new TradingResult( systemResult )
{
TradingTimeSpan = systemResult.Prices.Last().Time - systemResult.Prices.First().Time,
TradingLog = tradingLog,
InitialCash = InitialCash,
PortfolioValue = portfolio.GetValue( systemResult.Prices.Last().Value )
};
}
public ActionResult PortfolioCreateEdit(int id = -1)
{
if (RouteData.Values["id"] != null)
{
if (int.TryParse(RouteData.Values["id"].ToString(), out id)) { }
}
Portfolio p = new Portfolio();
if (id != -1)
{
p = db.retrievePortfolio(id);
if (p == null)
{
string error1 = "The Portfolio you tried to edit either does not exist or could not be found.";
string error2 = "Portfolio Id: " + id;
TempData["ErrorMessages"] = new string[] { error1, error2 };
return RedirectToAction("Http404", "Error");
}
}
int userId = WebSecurity.CurrentUserId;
List<Project> projects = db.retrieveAllProjectsByUserID(userId);
VMEditingPortfolio vmEdit;
if (projects != null)
{
vmEdit = new VMEditingPortfolio(p, userId, projects);
}
else
{
vmEdit = new VMEditingPortfolio(p, userId);
}
return View(vmEdit);
}
private void Init(string name, Portfolio portfolio, bool reportEnabled, List<Parameter> parameters)
{
this.Name = name;
this.Portfolio = portfolio;
this.Performance = new Performance(portfolio);
this.ReportEnabled = reportEnabled;
this.Parameters = new ParameterSet(parameters);
}
public void OnPositionOpened(Portfolio portfolio, Position position, bool queued)
{
var e = new OnPositionOpened(portfolio, position);
if (queued)
this.queue.Enqueue(e);
else
OnEvent(e);
}
/// <summary>
/// Just buy stock that ranks first
/// </summary>
/// <param name="portfolio"></param>
/// <param name="rankings"></param>
public void SetUpPortFolio(Portfolio.Portfolio portfolio, Ranking[] rankings)
{
// top ranked
Ranking topRanked = rankings.First();
// buy the stock that rank first
portfolio.BuyStock(topRanked.Stock, portfolio.Cash);
}
public Portfolio getDeltaPortfolio(DateTime t)
{
List<IAsset> list_asset = new List<IAsset>();
list_asset.Add(underlying);
Portfolio port = new Portfolio(list_asset);
port.addAsset(underlying, this.getDelta(t));
return port;
}
private IDictionary<string, decimal> GetQuotes(Portfolio portfolio)
{
var securities = new List<Security>();
foreach (var account in portfolio.Accounts)
{
securities.AddRange(account.Positions.Select(p => p.Security));
}
return _quoter.GetQuotes(securities.Distinct());
}
void Download13F(object args)
{
this.portfolio = new Portfolio();
foreach (Form13F form in Edgar.FetchForm13Fs(args as string, 6))
{
portfolio.Add(form);
}
this.Invoke(new EnableDelegate(this.Enable));
}
private void Init(Portfolio portfolio)
{
portfolio.IsLoaded = true;
portfolio.Init(this.framework);
this.framework.PortfolioManager.Add(portfolio, true);
foreach (Portfolio p in portfolio.Children)
{
Init(p);
p.Parent = portfolio;
}
}
public string Get2DReport(Portfolio portfolio, Category x, Category y, IEnumerable<CategoryWeight> weights)
{
var reportBuilder = new StringBuilder();
var quotes = GetQuotes(portfolio);
var valuesDict = CalculateValues(portfolio, quotes);
var weightsList = weights.ToList();
var total = valuesDict.Values.Where(v => v > 0M).Sum();
return reportBuilder.ToString();
}
private void Init(string name, Portfolio portfolio, DateTime startDate, DateTime stopDate, double cash, bool reportEnabled, List<Project> projects)
{
this.Name = name;
this.Portfolio = portfolio;
this.Performance = new Performance(portfolio);
this.StartDate = startDate;
this.StopDate = stopDate;
this.Cash = cash;
this.ReportEnabled = reportEnabled;
this.Projects = new ProjectList(projects);
}
public static void LoadOMSTrades(object[,] objArray, Portfolio pf)
{
Dictionary<string, OMSTrade> omsTrades = new Dictionary<string, OMSTrade>();
ReflectionFactory.LoadObjArrayByReflection<OMSTrade>(objArray, omsTrades);
foreach (OMSTrade omsTrade in omsTrades.Values)
{
omsTrade.PostConstruct();
pf.Trades.Add(omsTrade.Dnum, omsTrade); // you cannot do List<ParentClass> x = new List<DerivedClassA> bec. then you cannot add any DerivedClassB objects anymore... makes sense
}
}
public static Portfolio GetOrCreatePortfolio(this Framework framework, string name, bool emitEvent = true)
{
Portfolio portfolio;
if (framework.PortfolioManager.Portfolios.Contains(name))
portfolio = framework.PortfolioManager.Portfolios.GetByName(name);
else
{
portfolio = new Portfolio(framework, name);
framework.PortfolioManager.Add(portfolio, emitEvent);
}
return portfolio;
}
public void OnInit(string name, Portfolio portfolioControl)
{
this.name = name;
this.portfolioControl = portfolioControl;
this.portfolio = Framework.Current.PortfolioManager[name];
this.PositionViewItems.Clear();
this.ltvPositions.Items.Clear();
this.TransactionsViewItems.Clear();
this.ltvTransactions.VirtualListSize = this.TransactionsViewItems.Count;
this.ltvPortfolio.Items.Clear();
this.ltvPortfolio.Items.Add(new ListViewItem(new string[this.ltvPortfolio.Columns.Count]));
}
public ActionResult AddDummyPortfolio()
{
int ID = int.Parse(RouteData.Values["id"].ToString());
Portfolio p = new Portfolio
{
Title = RandomTitle(),
Visibility = (int)VisibilityType.Public,
Description = RandomDescription(),
};
data.addPortfolio(p, ID);
return RedirectToAction("AllUsers", "Admin");
}
public Portfolio.Portfolio BackTest(Indicator.GenericIndicator indicator, HistoricalDataSet dataSet, Portfolio.Portfolio portfolio)
{
Ranking[][] rankingTable = dataSet.GetRankingTable(indicator);
SetUpPortFolio(portfolio, rankingTable[0]);
for(int i = 1; i < rankingTable.Length; i += 1)
{
UpdatePortfolio(portfolio, rankingTable[i-1], rankingTable[i]);
}
return portfolio;
}
public TradeDetector(TradeDetectionType type, Portfolio portfolio)
{
this.portfolio_0 = portfolio;
if (type == TradeDetectionType.FIFO)
{
this.interface0_0 = new QueueFillSet();
}
else
{
this.interface0_0 = new StackFillSet();
}
this.list_0 = new List<TradeInfo>();
this.timeSeries_0 = new TimeSeries();
}
public VMPortfolio(Portfolio portfolio)
{
Title = portfolio.Title;
Description = portfolio.Description;
Projects = new List<VMProject>();
if (portfolio.Projects != null && portfolio.Projects.Count > 0)
{
foreach (Project u in portfolio.Projects)
{
Projects.Add(new VMProject(u, portfolio.UserId));
}
}
Visibility = (VisibilityType)portfolio.Visibility;
Id = portfolio.Id;
UserId = portfolio.UserId;
}
public void Add(Portfolio portfolio, bool emitEvent = true)
{
if (portfolio.Id == -1)
portfolio.Id = this.counter++;
else
{
if (Portfolios.Contains(portfolio.Id))
Console.WriteLine($"PortfolioManager::Add portfolio {portfolio.Name} error. Portfolio with Id {portfolio.Id} already added.");
if (portfolio.Id >= this.counter)
this.counter = portfolio.Id + 1;
}
Portfolios.Add(portfolio);
if (emitEvent)
this.framework.EventServer.OnPortfolioAdded(portfolio);
}
public ActionResult Portfolio(int id=-1)
{
if (RouteData.Values["id"] != null)
{
if (int.TryParse(RouteData.Values["id"].ToString(), out id)) { }
}
Portfolio p = new Portfolio();
if (id != -1)
{
p = db.retrievePortfolio(id);
if (p == null)
{
string error1 = "The Portfolio you tried to view either does not exist or could not be found.";
string error2 = "Portfolio Id: " + id;
TempData["ErrorMessages"] = new string[] { error1, error2 };
return RedirectToAction("Http404", "Error");
}
}
VMPortfolio portfolio = new VMPortfolio(p);
return View(model: portfolio);
}
public string GetReport(Portfolio portfolio, DateTime start, DateTime end, Period period)
{
var reportBuilder = new StringBuilder();
var prices = GetPrices(portfolio, start, end, period);
var values = GetValues(portfolio, prices);
var columnOrder = values.Keys.OrderBy(d => d.Date);
// print header
reportBuilder.Append("\t\t");
foreach (var date in columnOrder)
{
reportBuilder.AppendFormat("| {0} ", date.ToString("d"));
}
reportBuilder.AppendLine();
reportBuilder.Append("----------------");
for (var i = 0; i < columnOrder.Count(); ++i)
reportBuilder.Append("-------------");
reportBuilder.AppendLine();
foreach (var account in portfolio.Accounts)
{
reportBuilder.AppendLine(string.Format("{0,-16}", account.Name));
foreach (var position in account.Positions)
{
reportBuilder.AppendFormat("{0,-16}", position.Security.Symbol);
foreach (var date in columnOrder)
{
var rowValues = values[date];
var value = rowValues[position];
if (value < 0M)
reportBuilder.AppendFormat("| {0,10} ", " !*v*! ");
else
reportBuilder.AppendFormat("| {0,10} ", value.ToString("##.00"));
}
reportBuilder.AppendLine();
}
}
return reportBuilder.ToString();
}
public static Portfolio GenerateEmptyPortfolio()
{
Portfolio portfolio = new Portfolio
{
Name = "po' boy"
};
Account mandingo = new Account
{
Name = "mandingo",
Portfolio = portfolio
};
portfolio.Accounts.Add(mandingo);
Account took = new Account
{
Name = "took",
Portfolio = portfolio
};
portfolio.Accounts.Add(took);
return portfolio;
}
/// <inheritdoc />
public Position GetPosition(Portfolio portfolio, Security security, string strategyId, Sides?side, string clientCode = "", string depoName = "", TPlusLimits?limitType = null)
{
return(_positions.TryGetValue(CreateKey(portfolio, security, strategyId, side, clientCode, depoName, limitType)));
}
private void NewPortfolioHandler(Portfolio portfolio)
{
AddGuiAction(() => NewPortfolio.SafeInvoke(portfolio));
}
static void Main()
{
try
{
Console.Write(LocalizedStrings.Str2992);
var account1 = Console.ReadLine();
Console.Write(LocalizedStrings.Str2993);
var account2 = Console.ReadLine();
using (var quikTrader1 = new QuikTrader {
LuaFixServerAddress = "127.0.0.1:5001".To <EndPoint>()
})
using (var quikTrader2 = new QuikTrader {
LuaFixServerAddress = "127.0.0.1:5002".To <EndPoint>()
})
{
// подписываемся на событие ошибок обработки данных и разрыва соединения
//
quikTrader1.Error += OnError;
quikTrader2.Error += OnError;
quikTrader1.ConnectionError += OnError;
quikTrader2.ConnectionError += OnError;
var portfoliosWait = new ManualResetEvent(false);
Action <Portfolio> newPortfolio = portfolio =>
{
if (_portfolio1 == null && portfolio.Name == account1)
{
_portfolio1 = portfolio;
}
if (_portfolio2 == null && portfolio.Name == account2)
{
_portfolio2 = portfolio;
}
// если оба инструмента появились
if (_portfolio1 != null && _portfolio2 != null)
{
portfoliosWait.Set();
}
};
// подписываемся на события новых портфелей
quikTrader1.NewPortfolio += newPortfolio;
quikTrader2.NewPortfolio += newPortfolio;
var securitiesWait = new ManualResetEvent(false);
// подписываемся на события новых инструментов
quikTrader1.NewSecurity += security =>
{
if (_lkoh == null && security.Code == "LKOH")
{
_lkoh = security;
}
// если оба инструмента появились
if (_lkoh != null && _ri != null)
{
securitiesWait.Set();
}
};
quikTrader2.NewSecurity += security =>
{
if (_ri == null && security.Code == "RIZ7")
{
_ri = security;
}
// если оба инструмента появились
if (_lkoh != null && _ri != null)
{
securitiesWait.Set();
}
};
// запускаем экспорты в Quik-ах, когда получим событие об успешном соединении
//
quikTrader1.Connected += () =>
{
Console.WriteLine(LocalizedStrings.Str2994Params.Put(quikTrader1.LuaFixServerAddress));
};
quikTrader2.Connected += () =>
{
Console.WriteLine(LocalizedStrings.Str2994Params.Put(quikTrader2.LuaFixServerAddress));
};
// производим подключение каждого из QuikTrader-а
//
quikTrader1.Connect();
quikTrader2.Connect();
Console.WriteLine(LocalizedStrings.Str2995);
portfoliosWait.WaitOne();
securitiesWait.WaitOne();
Console.WriteLine(LocalizedStrings.Str2996);
if (_lkoh.BestBid == null || _ri.BestBid == null)
{
throw new Exception(LocalizedStrings.Str2990);
}
quikTrader1.RegisterOrder(new Order
{
Portfolio = _portfolio1,
Volume = 1,
Security = _lkoh,
Price = _lkoh.BestBid.Price
});
Console.WriteLine(LocalizedStrings.Str2997);
quikTrader2.RegisterOrder(new Order
{
Portfolio = _portfolio2,
Volume = 1,
Security = _ri,
Price = _ri.BestBid.Price
});
Console.WriteLine(LocalizedStrings.Str2998);
}
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
/// <summary>
/// Получить позицию по портфелю и инструменту.
/// </summary>
/// <param name="portfolio">Портфель, по которому нужно найти позицию.</param>
/// <param name="security">Инструмент, по которому нужно найти позицию.</param>
/// <param name="depoName">Название депозитария, где находится физически ценная бумага.
/// По-умолчанию передается пустая строка, что означает суммарную позицию по всем депозитариям.</param>
/// <returns>Позиция.</returns>
public Position GetPosition(Portfolio portfolio, Security security, string depoName = "")
{
return(Connector.GetPosition(portfolio, security, depoName));
}
public EmulationEntityFactory(Portfolio portfolio, Connector connector)
{
_portfolio = portfolio;
_connector = connector;
}
/// <summary>
/// Отменить группу заявок на бирже по фильтру.
/// </summary>
/// <param name="transactionId">Идентификатор транзакции отмены.</param>
/// <param name="isStopOrder"><see langword="true"/>, если нужно отменить только стоп-заявки, false - если только обычный и null - если оба типа.</param>
/// <param name="portfolio">Портфель. Если значение равно null, то портфель не попадает в фильтр снятия заявок.</param>
/// <param name="direction">Направление заявки. Если значение равно null, то направление не попадает в фильтр снятия заявок.</param>
/// <param name="board">Торговая площадка. Если значение равно null, то площадка не попадает в фильтр снятия заявок.</param>
/// <param name="security">Инструмент. Если значение равно null, то инструмент не попадает в фильтр снятия заявок.</param>
protected override void OnCancelOrders(long transactionId, bool?isStopOrder = null, Portfolio portfolio = null, Sides?direction = null, ExchangeBoard board = null, Security security = null)
{
if (security != null && portfolio != null && security.Type == SecurityTypes.Future && !security.UnderlyingSecurityId.IsEmpty())
{
base.OnCancelOrders(transactionId, isStopOrder, portfolio, direction, board, security);
}
else
{
this.CancelOrders(Orders, isStopOrder, portfolio, direction, board);
}
}
public async Task UpdatePortfolio()
{
var lowRiskStocks = new Category
{
Name = "Low Risk Stocks",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "DIS", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 2m, CurrentShares = 2
}, //1.75
new StockAllocation {
Symbol = "MSFT", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 2m, CurrentShares = 2
}, //1.75
new StockAllocation {
Symbol = "V", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 1.75m, CurrentShares = 1
} //1.75
}
};
var mediumRiskStocks = new Category
{
Name = "Medium Risk Stocks",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "SQ", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 1m, CurrentShares = 2
}, //1
new StockAllocation {
Symbol = "PTON", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .5m, CurrentShares = 2
}, //1
new StockAllocation {
Symbol = "QCOM", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 1m, CurrentShares = 2
} //1
}
};
var techEtFs = new Category
{
Name = "Tech",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "SOXL", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 5m, CurrentShares = 3
}, //5
new StockAllocation {
Symbol = "CIBR", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 3m, CurrentShares = 14
}, //3
new StockAllocation {
Symbol = "LIT", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 2.9m, CurrentShares = 16
} //2.5
}
};
var cannabisEtFs = new Category
{
Name = "Cannabis",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "MJ", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 2.95m, CurrentShares = 25
} //3
}
};
var energyEtFs = new Category
{
Name = "Energy",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "TAN", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 4m, CurrentShares = 20
}, //4
new StockAllocation {
Symbol = "ICLN", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 4.1m, CurrentShares = 53
} //4
}
};
var bioEtFs = new Category
{
Name = "BioTech",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "XBI", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 3.2m, CurrentShares = 5
}, //4
new StockAllocation {
Symbol = "ARKG", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 3.2m, CurrentShares = 13
} //4
}
};
var financeEtFs = new Category
{
Name = "Finance",
Stocks = new List <StockAllocation>
{
new StockAllocation
{
Symbol = "XLF", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 4m, CurrentShares = 19 //4
}
}
};
var indexes = new Category
{
Name = "Indexes",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "SPY", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 14m, CurrentShares = 6
}, //14
new StockAllocation {
Symbol = "QQQ", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 14m, CurrentShares = 9
}, //14
new StockAllocation {
Symbol = "DIA", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 12m, CurrentShares = 5
}, //12
new StockAllocation {
Symbol = "VIXY", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 3.95m, CurrentShares = 40
} //3
}
};
var bonds = new Category
{
Name = "Bonds",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "TLT", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = 14.2m, CurrentShares = 14
} //14
}
};
var highRisk = new Category
{
Name = "High Risk Stocks",
Stocks = new List <StockAllocation>
{
new StockAllocation {
Symbol = "I", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .21m, CurrentShares = 10
}, //.25
new StockAllocation {
Symbol = "SLRX", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .26m, CurrentShares = 14
}, //.25
new StockAllocation {
Symbol = "TRXC", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .26m, CurrentShares = 413
}, //.25
new StockAllocation {
Symbol = "EROS", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .26m, CurrentShares = 23
}, //.25
new StockAllocation {
Symbol = "TRNX", DesiredAmountType = AllocationTypeEnum.Percentage, DesiredAmount = .26m, CurrentShares = 46
} //.25
}
};
Portfolio portfolio = new Portfolio
{
Id = "5d80d0587d2d4657d8e1fe8f",
Name = "Default",
CashOnHand = .18m,
Categories = new List <Category>
{
lowRiskStocks,
mediumRiskStocks,
new Category
{
Name = "ETFs",
Categories = new List <Category>
{
techEtFs,
cannabisEtFs,
energyEtFs,
bioEtFs,
financeEtFs
}
},
indexes,
bonds,
highRisk
}
};
var result = await _portfolioDataAccess.SavePortfolios(new List <Portfolio> {
portfolio
});
Console.WriteLine($"Portfolio Id: {result.First().Id}");
Console.WriteLine($"Portfolio Percent: {portfolio.AllStocks.Sum(s => s.DesiredAmount)}%");
}
private void RaisePortfolioChanged(Portfolio portfolio)
{
PortfolioChanged?.Invoke(portfolio);
PortfoliosChanged?.Invoke(new[] { portfolio });
}
public void StepOneQE(string locators)
{
CacheHelper.CreateTCRegion_Pool <object, object>(QERegionName, true, true,
null, locators, "__TESTPOOL1_", true);
IRegion <object, object> region = CacheHelper.GetVerifyRegion <object, object>(QERegionName);
string[] /*sta*/ cnm = { "C#aaa", "C#bbb", "C#ccc", "C#ddd" };
//CacheableStringArray cnm = CacheableStringArray.Create(sta);
Portfolio p1 = new Portfolio(1, 2, cnm);
Portfolio p2 = new Portfolio(2, 2, cnm);
Portfolio p3 = new Portfolio(3, 2, cnm);
Portfolio p4 = new Portfolio(4, 2, cnm);
region["1"] = p1;
region["2"] = p2;
region["3"] = p3;
region["4"] = p4;
QueryService <object, object> qs = null;
qs = PoolManager /*<object, object>*/.Find("__TESTPOOL1_").GetQueryService <object, object>();
Query <object> qry = qs.NewQuery("select * from /" + QERegionName + " p where p.ID!=3");
ISelectResults <object> results = qry.Execute();
Util.Log("Results size {0}.", results.Size);
SelectResultsIterator <object> iter = results.GetIterator();
while (iter.HasNext)
{
/*IGFSerializable*/ object item = iter.Next();
Portfolio port = item as Portfolio;
if (port == null)
{
Position pos = item as Position;
if (pos == null)
{
//CacheableString cs = item as CacheableString;
string cs = item as string;
if (cs == null)
{
Util.Log("Query got other/unknown object.");
}
else
{
Util.Log("Query got string : {0}.", cs);
}
}
else
{
Util.Log("Query got Position object with secId {0}, shares {1}.", pos.SecId, pos.SharesOutstanding);
}
}
else
{
Util.Log("Query got Portfolio object with ID {0}, pkid {1}.", port.ID, port.Pkid);
}
}
// Bring down the region
region.GetLocalView().DestroyRegion();
}
/// <summary>
/// It creates a portfolio from the transactions.
/// First line of fileStream has to be the initial balance.
/// </summary>
/// <param name="userid"></param>
/// <param name="portfolioname"></param>
/// <param name="fileStream">It expects a CSV file. First line has to be the initial balance</param>
/// <returns></returns>
public bool CreatePortfolio(string userName, string portfolioname, Stream fileStream, bool firstRowIsInitalBalance, bool overrideIfExists, out Portfolio portfolio, out string message)
{
List <string[]> transactionsList = new List <string[]>();
User user = portfoliosContext.GetUser(userName);
if (user == null)
{
portfolio = null;
message = $"User '{userName}' doesn't exist.";
return(false);
}
portfolio = portfoliosContext.GetPortfoliosByUserNameAndPortfolioName(userName, portfolioname);
int portfolioId;
if (overrideIfExists && portfolio != null)
{
portfoliosContext.DeletePortfolio(portfolio);
portfolio = null;
}
if (portfolio == null)
{
portfolio = portfoliosContext.CreatePortfolio(user, portfolioname);
portfolioId = portfolio.Id;
}
else
{
portfolioId = portfolio.Id;
}
fileStream.Position = 0;
using (StreamReader reader = new StreamReader(fileStream, System.Text.Encoding.UTF8, true))
{
//First row is Header
if (reader.Peek() >= 0)
{
string line = reader.ReadLine();
}
if (firstRowIsInitalBalance)
{
if (reader.Peek() >= 0)
{
string line = reader.ReadLine();
string[] fields = line.Split(',');
PortfolioBalance pb = PortfolioBalance.From(fields);
if (portfolio.Balances.Where(b => b.TransactionCode == pb.TransactionCode).Any() == false)
{
pb.PortfolioId = portfolioId;
portfoliosContext.AddBalance(pb);//And it also adds the balance to the balances collection of the portfolio
portfolio.InitialBalance = pb.NetCashBalance;
}
}
}
else
{
//TODO: Get InitialBalance from DataBase
}
//Second to end row are the transactions
while (reader.Peek() >= 0)
{
string line = reader.ReadLine();
string[] fields = line.Split(',');
transactionsList.Add(fields);
Transaction newTransaction = Transaction.From(fields);
if (newTransaction != null && portfolio.Transactions.Where(t => t.TransactionCode == newTransaction.TransactionCode).Any() == false)
{
newTransaction.UserId = user.Id;
newTransaction.PortfolioId = portfolioId;
if (TryGetAsset(newTransaction.Symbol, out AssetBase asset))
{
if (string.IsNullOrEmpty(newTransaction.Symbol))
{
newTransaction.Symbol = asset.Ticker;
}
newTransaction.Asset = asset;
}
else
{
newTransaction.Asset = null;
}
portfolio.Transactions.Add(newTransaction);
//portfoliosContext.AddTransaction(newTransaction);//And it also adds the transaction to the transactions collection of the portfolio
}
else
{
//TODO: Inform to user that transaction wasn't saved
}
}
}
CalculateAssetAllocations(portfolio);
portfoliosContext.Update(portfolio);
message = $"Portfilio '{portfolioname}' created successfuly.";
return(true);
}
/// <summary>
/// прорисовать портфель
/// </summary>
private static void PaintPortfolio(Portfolio portfolio)
{
try
{
DataGridViewRow secondRow = new DataGridViewRow();
secondRow.Cells.Add(new DataGridViewTextBoxCell());
secondRow.Cells[0].Value = portfolio.Number;
secondRow.Cells.Add(new DataGridViewTextBoxCell());
secondRow.Cells[1].Value = portfolio.ValueBegin;
secondRow.Cells.Add(new DataGridViewTextBoxCell());
secondRow.Cells[2].Value = portfolio.ValueCurrent;
secondRow.Cells.Add(new DataGridViewTextBoxCell());
secondRow.Cells[3].Value = portfolio.ValueBlocked;
_gridPosition.Rows.Add(secondRow);
List <PositionOnBoard> positionsOnBoard = portfolio.GetPositionOnBoard();
if (positionsOnBoard == null || positionsOnBoard.Count == 0)
{
DataGridViewRow nRow = new DataGridViewRow();
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells[nRow.Cells.Count - 1].Value = "Нет позиций";
_gridPosition.Rows.Add(nRow);
}
else
{
for (int i = 0; i < positionsOnBoard.Count; i++)
{
DataGridViewRow nRow = new DataGridViewRow();
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells[4].Value = positionsOnBoard[i].SecurityNameCode;
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells[5].Value = positionsOnBoard[i].ValueBegin;
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells[6].Value = positionsOnBoard[i].ValueCurrent;
nRow.Cells.Add(new DataGridViewTextBoxCell());
nRow.Cells[7].Value = positionsOnBoard[i].ValueBlocked;
_gridPosition.Rows.Add(nRow);
}
}
}
catch (Exception error)
{
SendNewLogMessage(error.ToString(), LogMessageType.Error);
}
}
private void ClientOnUpdatePortfolio(BalanceResponse portf)
{
try
{
if (portf == null ||
portf.eur_balance == null)
{
return;
}
if (_portfolios == null)
{
_portfolios = new List <Portfolio>();
}
Portfolio osPortEur = _portfolios.Find(p => p.Number == "eurPortfolio");
if (osPortEur == null)
{
osPortEur = new Portfolio();
osPortEur.Number = "eurPortfolio";
_portfolios.Add(osPortEur);
}
osPortEur.ValueBegin = Convert.ToDecimal(portf.eur_balance.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
osPortEur.ValueBlocked = Convert.ToDecimal(portf.eur_reserved.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
Portfolio osPortUsd = _portfolios.Find(p => p.Number == "usdPortfolio");
if (osPortUsd == null)
{
osPortUsd = new Portfolio();
osPortUsd.Number = "usdPortfolio";
_portfolios.Add(osPortUsd);
}
osPortUsd.ValueBegin = Convert.ToDecimal(portf.usd_balance.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
osPortUsd.ValueBlocked = Convert.ToDecimal(portf.usd_reserved.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
Portfolio osPortBtc = _portfolios.Find(p => p.Number == "btcPortfolio");
if (osPortBtc == null)
{
osPortBtc = new Portfolio();
osPortBtc.Number = "btcPortfolio";
_portfolios.Add(osPortBtc);
}
osPortBtc.ValueBegin = Convert.ToDecimal(portf.btc_balance.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
osPortBtc.ValueBlocked = Convert.ToDecimal(portf.btc_reserved.Replace(",", CultureInfo.InvariantCulture.NumberFormat.NumberDecimalSeparator), CultureInfo.InvariantCulture);
if (PortfolioEvent != null)
{
PortfolioEvent(_portfolios);
}
}
catch (Exception error)
{
SendLogMessage(error.ToString(), LogMessageType.Error);
}
}
public PortfolioDetailPage(Portfolio portfolio)
{
InitializeComponent();
BindingContext = portfolio;
}
/// <summary>
/// Остановить получение новой информации по портфелю.
/// </summary>
/// <param name="portfolio">Портфель, по которому необходимо остановить получение новой информации.</param>
public void UnRegisterPortfolio(Portfolio portfolio)
{
Connector.UnRegisterPortfolio(portfolio);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// создаем настройки для тестирования
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// тест только на тиках
new EmulationInfo {
CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// тест на тиках + стаканы
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// тест на свечах
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// тест на свечах + стаканы
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// тест на логе заявок
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// в реальности период может быть другим, и это зависит от объема данных,
// хранящихся по пути HistoryPath,
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно.
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// использовать свечи
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки.
// Если выключено - требуется "прохождение цены сквозь уровень"
// (более "суровый" режим тестирования.)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
//подписываемся на получение данных после получения инструмента
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
// тест подразумевает наличие стаканов
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// если выбрана генерация стаканов вместо реальных стаканов
generateDepths ||
// для свечей генерируем стаканы всегда
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// если история по стаканам отсутствует, но стаканы необходимы для стратегии,
// то их можно сгенерировать на основании цен последних сделок или свечек.
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены
MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда.
MaxPriceStepCount = 3 // максимальное количество шагов между ценами,
});
}
}
else if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
connector.Connect();
connector.StartExport();
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
// комиссия в 1 копейку за сделку
connector.MarketEmulator.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
logManager.Sources.Add(strategy);
// копируем параметры на визуальную панель
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// и подписываемся на событие изменения времени, чтобы обновить ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(LocalizedStrings.Str3024 + (DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// запускаем стратегию когда эмулятор запустился
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
foreach (var connector in _connectors)
{
// указываем даты начала и конца тестирования
connector.Start(startTime, stopTime);
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo
{
UseTicks = true,
CurveColor = Colors.DarkGreen,
StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo
{
UseTicks = true,
UseMarketDepth = true,
CurveColor = Colors.Red,
StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo
{
UseMarketDepth = true,
CurveColor = Colors.OrangeRed,
StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo
{
UseMarketDepth = true,
UseCandleTimeFrame = timeFrame,
CurveColor = Colors.Cyan,
StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo
{
UseOrderLog = true,
CurveColor = Colors.CornflowerBlue,
StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo
{
UseLevel1 = true,
CurveColor = Colors.Aquamarine,
StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new FinamMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo
{
UseCandleTimeFrame = timeFrame,
CustomHistoryAdapter = g => new YahooMessageAdapter(g),
CurveColor = Colors.DarkBlue,
StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.EditValue).UtcKind();
var stopTime = ((DateTime)To.EditValue).UtcKind();
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = Portfolio.CreateSimulator();
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
//CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
//CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
OrderLogMarketDepthBuilders =
{
{
secId,
new OrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? MarketDataBuildModes.Build : MarketDataBuildModes.Load,
BuildCandlesFrom = emulationInfo.UseOrderLog ? (MarketDataTypes?)MarketDataTypes.OrderLog : null,
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
if (emulationInfo.CustomHistoryAdapter != null)
{
connector.Adapter.InnerAdapters.Remove(connector.MarketDataAdapter);
connector.Adapter.InnerAdapters.Add(new CustomHistoryMessageAdapter(emulationInfo.CustomHistoryAdapter(connector.TransactionIdGenerator)));
}
// set history range
connector.HistoryMessageAdapterEx.StartDate = startTime;
connector.HistoryMessageAdapterEx.StopDate = stopTime;
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapterEx.SendOutMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.SubscribeMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// or backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.SubscribeOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.SubscribeTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.SubscribeLevel1(security);
}
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, Colors.Green, Colors.Red, ChartIndicatorDrawStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black, ChartIndicatorDrawStyles.Line);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, ChartIndicatorDrawStyles.DashedLine);
strategy.PnLChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(pnlCurve, strategy.PnL - strategy.Commission ?? 0)
.Add(unrealizedPnLCurve, strategy.PnLManager.UnrealizedPnL ?? 0)
.Add(commissionCurve, strategy.Commission ?? 0);
equity.Draw(data);
};
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor, ChartIndicatorDrawStyles.Line);
strategy.PositionChanged += () =>
{
var data = new ChartDrawData();
data
.Group(strategy.CurrentTime)
.Add(posItems, strategy.Position);
set.Item7.Draw(data);
};
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
if (message is QuoteChangeMessage quoteMsg)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
public PortfolioModel(Portfolio portfolio)
{
Id = portfolio.Id;
UserId = portfolio.UserId;
Equities = EquityModelHelpers.MapToModelCollection(portfolio.Equities);
}
/// <summary>
/// Unsubscribe from the portfolio changes.
/// </summary>
/// <param name="portfolio">Portfolio for unsubscription.</param>
public void UnRegisterPortfolio(Portfolio portfolio)
{
_subscriptionManager.UnRegisterPortfolio(portfolio);
}
public PositionEventArgs(Portfolio portfolio, Position position) : base(portfolio)
{
this.Position = position;
}
static void Main()
{
try
{
// для теста выбираем бумагу Лукойл
const string secCode = "LKOH";
var quikPath = QuikTerminal.GetDefaultPath();
if (quikPath.IsEmpty())
{
Console.WriteLine(LocalizedStrings.Str2984);
return;
}
Console.WriteLine(LocalizedStrings.Str2985 + quikPath);
Console.Write(LocalizedStrings.Str2986);
var account = Console.ReadLine();
using (var waitHandle = new AutoResetEvent(false))
{
// создаем подключение к Quik-у
using (var trader = new QuikTrader(quikPath)
{
IsDde = true
})
{
// необходимо раскомментировать, если идет работа с РТС Стандарт
//trader.FormatTransaction += builder => builder.RemoveInstruction(Transaction.TimeInForce);
// подписываемся на событие успешного подключения
// все действия необходимо производить только после подключения
trader.Connected += () =>
{
Console.WriteLine(LocalizedStrings.Str2169);
// извещаем об успешном соединени
waitHandle.Set();
};
Console.WriteLine(LocalizedStrings.Str2170);
trader.DdeTables = new[] { trader.SecuritiesTable, trader.MyTradesTable, trader.EquityPositionsTable,
trader.EquityPortfoliosTable, trader.OrdersTable };
trader.Connect();
// дожидаемся события об успешном соединении
waitHandle.WaitOne();
trader.NewPortfolios += portfolios =>
{
if (_portfolio == null)
{
// находим нужный портфель и присваиваем его переменной _portfolio
_portfolio = portfolios.FirstOrDefault(p => p.Name == account);
if (_portfolio != null)
{
Console.WriteLine(LocalizedStrings.Str2171Params, account);
// если инструмент и стакан уже появились,
// то извещаем об этом основной поток для выставления заявки
if (_lkoh != null && _depth != null)
{
waitHandle.Set();
}
}
}
};
// подписываемся на событие появление инструментов
trader.NewSecurities += securities =>
{
if (_lkoh == null)
{
// находим Лукойл и присваиваем ее переменной lkoh
_lkoh = securities.FirstOrDefault(sec => sec.Code == secCode);
if (_lkoh != null)
{
Console.WriteLine(LocalizedStrings.Str2987);
// запускаем экспорт стакана
trader.RegisterMarketDepth(_lkoh);
if (_portfolio != null && _depth != null)
{
waitHandle.Set();
}
}
}
};
// подписываемся на событие появления моих новых сделок
trader.NewMyTrades += myTrades =>
{
foreach (var myTrade in myTrades)
{
var trade = myTrade.Trade;
Console.WriteLine(LocalizedStrings.Str2173Params, trade.Id, trade.Price, trade.Security.Code, trade.Volume, trade.Time);
}
};
// подписываемся на событие обновления стакана
trader.MarketDepthsChanged += depths =>
{
if (_depth == null && _lkoh != null)
{
_depth = depths.FirstOrDefault(d => d.Security == _lkoh);
if (_depth != null)
{
Console.WriteLine(LocalizedStrings.Str2988);
// если портфель и инструмент уже появился, то извещаем об этом основной поток для выставления заявки
if (_portfolio != null && _lkoh != null)
{
waitHandle.Set();
}
}
}
};
Console.WriteLine(LocalizedStrings.Str2989Params.Put(account));
// дожидаемся появления портфеля и инструмента
waitHandle.WaitOne();
// 0.1% от изменения цены
const decimal delta = 0.001m;
// запоминаем первоначальное значение середины спреда
var firstMid = _lkoh.BestPair.SpreadPrice / 2;
if (_lkoh.BestBid == null || firstMid == null)
{
throw new Exception(LocalizedStrings.Str2990);
}
Console.WriteLine(LocalizedStrings.Str2991Params, _lkoh.BestBid.Price + firstMid);
while (true)
{
var mid = _lkoh.BestPair.SpreadPrice / 2;
// если спред вышел за пределы нашего диапазона
if (mid != null &&
((firstMid + firstMid * delta) <= mid ||
(firstMid - firstMid * delta) >= mid)
)
{
var order = new Order
{
Portfolio = _portfolio,
Price = _lkoh.ShrinkPrice(_lkoh.BestBid.Price + mid.Value),
Security = _lkoh,
Volume = 1,
Direction = Sides.Buy,
};
trader.RegisterOrder(order);
Console.WriteLine(LocalizedStrings.Str1157Params, order.Id);
break;
}
else
{
Console.WriteLine(LocalizedStrings.Str2176Params, _lkoh.BestBid.Price + mid);
}
// ждем 1 секунду
Thread.Sleep(1000);
}
// останавливаем подключение
trader.Disconnect();
}
}
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
public IList <Entities.PortfolioSecurity> GetPortfolioSecurityList(ISession session, Portfolio portfolio)
{
return(session.QueryOver <Entities.PortfolioSecurity>()
.Fetch(SelectMode.ChildFetch, p => p.Portfolio)
.Fetch(SelectMode.ChildFetch, p => p.Security)
.Where(p => p.Portfolio.PortfolioId == portfolio.PortfolioId)
.List());
}
/// <summary>
/// Отменить группу заявок на бирже по фильтру.
/// </summary>
/// <param name="isStopOrder"><see langword="true"/>, если нужно отменить только стоп-заявки, false - если только обычный и null - если оба типа.</param>
/// <param name="portfolio">Портфель. Если значение равно null, то портфель не попадает в фильтр снятия заявок.</param>
/// <param name="direction">Направление заявки. Если значение равно null, то направление не попадает в фильтр снятия заявок.</param>
/// <param name="board">Торговая площадка. Если значение равно null, то площадка не попадает в фильтр снятия заявок.</param>
/// <param name="security">Инструмент. Если значение равно null, то инструмент не попадает в фильтр снятия заявок.</param>
public void CancelOrders(bool?isStopOrder = null, Portfolio portfolio = null, Sides?direction = null, ExchangeBoard board = null, Security security = null)
{
Connector.CancelOrders(isStopOrder, portfolio, direction, board, security);
}
public override void LookupPortfolios(Portfolio criteria)
{
_realConnector.LookupPortfolios(criteria);
}
/// <summary>
/// Runs after algorithm, used to check our portfolio and orders
/// </summary>
public override void OnEndOfAlgorithm()
{
if (!Portfolio.ContainsKey(_optionBuy.Symbol) || !Portfolio.ContainsKey(_optionBuy.Symbol.Underlying) || !Portfolio.ContainsKey(_equityBuy.Symbol))
{
throw new Exception("Portfolio does not contain the Symbols we purchased");
}
//Check option holding, should not be invested since it expired, profit should be -400
var optionHolding = Portfolio[_optionBuy.Symbol];
if (optionHolding.Invested || optionHolding.Profit != -400)
{
throw new Exception("Options holding does not match expected outcome");
}
//Check the option underlying symbol since we should have bought it at exercise
//Quantity should be 100, AveragePrice should be option strike price
var optionExerciseHolding = Portfolio[_optionBuy.Symbol.Underlying];
if (!optionExerciseHolding.Invested || optionExerciseHolding.Quantity != 100 || optionExerciseHolding.AveragePrice != _optionBuy.Symbol.ID.StrikePrice)
{
throw new Exception("Equity holding for exercised option does not match expected outcome");
}
//Check equity holding, should be invested, profit should be
//Quantity should be 50, AveragePrice should be ticket AverageFillPrice
var equityHolding = Portfolio[_equityBuy.Symbol];
if (!equityHolding.Invested || equityHolding.Quantity != 50 || equityHolding.AveragePrice != _equityBuy.AverageFillPrice)
{
throw new Exception("Equity holding does not match expected outcome");
}
}
private void RaiseNewPortfolio(Portfolio portfolio)
{
NewPortfolio?.Invoke(portfolio);
NewPortfolios?.Invoke(new[] { portfolio });
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
// if process was already started, will stop it now
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
_strategy.Stop();
_connector.Disconnect();
_logManager.Sources.Clear();
_connector = null;
return;
}
// create test security
var security = new Security
{
Id = "AAPL@NASDAQ",
Code = "AAPL",
Name = "AAPL Inc",
Board = ExchangeBoard.Nasdaq,
};
var startTime = new DateTime(2009, 6, 1);
var stopTime = new DateTime(2009, 9, 1);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
HistoryMessageAdapter =
{
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
_logManager.Sources.Add(_connector);
var candleManager = new CandleManager(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based on 80 5-min и 10 5-min
_strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage {
Length = 80
}, new SimpleMovingAverage {
Length = 10
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security))
{
GenerateDepthOnEachTrade = false
});
// start strategy before emulation started
_strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
// fill parameters panel
ParameterGrid.Parameters.Clear();
ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);
_strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = _strategy.CurrentTime,
Value = _strategy.PnL,
};
this.GuiAsync(() => _curveItems.Add(data));
};
_logManager.Sources.Add(_strategy);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
var nextTime = startTime + progressStep;
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
// handle historical time for update ProgressBar
_connector.MarketTimeChanged += diff =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
{
return;
}
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => TestingProcess.Value = steps);
};
_connector.StateChanged += () =>
{
if (_connector.State == EmulationStates.Stopped)
{
this.GuiAsync(() =>
{
Report.IsEnabled = true;
if (_connector.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
};
_curveItems.Clear();
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
}
public RootObject GetAccountView(int memberId)
{
RootObject rootObject = new RootObject();
var member = _context.Members.Select(item => item).Where(item => item.Id == memberId).SingleOrDefault();
rootObject.MemberId = member.Id;
rootObject.LastLogin = member.LastLogin;
rootObject.MemberName = member.MemberName;
rootObject.loanEligibility = member.LoanEligibility;
member.LastLogin = DateTime.Now.ToString();
_context.SaveChanges();
rootObject.AccountView = new List <Portfolio>();
Portfolio accountView = null;
var result = _context.AccountDetails.Select(item => item).Where(item => item.MembersId == memberId);
if (result.Any())
{
var resultList = result.ToList();
foreach (AccountDetails detail in resultList)
{
var primaryMemberId = _context.AccountDetails.Select(item => item).Where(item => item.AccountsId == detail.AccountsId && item.AccountTypesId == 1).SingleOrDefault().MembersId;
var primaryMemberName = _context.Members.Select(item => item).Where(item => item.Id == primaryMemberId).SingleOrDefault().MemberName;
var memberLoanEligibility = _context.Members.Select(item => item).Where(item => item.Id == primaryMemberId).SingleOrDefault().LoanEligibility;
var jointMember = _context.AccountDetails.Select(item => item).Where(item => item.AccountsId == detail.AccountsId && item.AccountTypesId == 2).SingleOrDefault();
string jointMemberName = null;
if (jointMember != null)
{
jointMemberName = _context.Members.Select(item => item).Where(item => item.Id == jointMember.MembersId).SingleOrDefault().MemberName;
}
var accountNumbers = _context.Accounts.Select(item => item).Where(item => item.Id == detail.AccountsId).ToList();
accountView = new Portfolio();
/* fixing response format */
// accountView.loanEligibility = memberLoanEligibility;
accountView.account = accountNumbers[0].AccountNumber;
accountView.Primary = primaryMemberName;
accountView.Joint = jointMemberName;
var shareList = _context.Shares.Select(item => item).Where(item => item.AccountsId == detail.AccountsId).ToList();
var loanList = _context.Loans.Select(item => item).Where(item => item.AccountsId == detail.AccountsId).ToList();
accountView.shares = new List <Share>();
accountView.loans = new List <Loan>();
foreach (Shares share in shareList)
{
accountView.shares.Add(new Share()
{
id = share.ShareNumber, balance = Convert.ToDouble(share.Balance), description = share.Description
});
accountView.shares_total = accountView.shares_total + Convert.ToDouble(share.Balance);
}
foreach (Loans loan in loanList)
{
accountView.loans.Add(new Loan()
{
id = loan.Id, balance = Convert.ToDouble(loan.Balance), description = loan.Description, emiDue = loan.EmiDue, emiDueDate = loan.EmiDueDate
});
accountView.loans_total = accountView.loans_total + Convert.ToDouble(loan.Balance);
}
/* get transactions */
accountView.transactionList = new List <TransactionList>();
accountView.transactionList = GetTransactions(accountNumbers[0].Id);
/* get transactions */
/*get cards */
var cardDetails = _context.Cards.Select(item => item).Where(item => item.AccountsId == detail.AccountsId).ToList();
accountView.card = new Card();
accountView.card.Account = accountNumbers[0].AccountNumber;
accountView.card.CardNumber = cardDetails[0].CardNumber;
accountView.card.PaymentDue = cardDetails[0].PaymentDue;
accountView.card.PaymentDueDate = cardDetails[0].PaymentDueDate;
accountView.card.Type = cardDetails[0].Type;
/*get cards*/
rootObject.AccountView.Add(accountView);
accountView.message = accountView.shares.Count + " shares and " + accountView.loans.Count + " loans";
}
}
return(rootObject);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
};
// получаем подключение для эмуляции
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendOutMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(new CandleManager(connector));
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
/// <summary>
/// Найти портфели, соответствующие фильтру <paramref name="criteria"/>.
/// Найденные портфели будут переданы через событие <see cref="LookupPortfoliosResult"/>.
/// </summary>
/// <param name="criteria">Портфель, поля которого будут использоваться в качестве фильтра.</param>
public void LookupPortfolios(Portfolio criteria)
{
Connector.LookupPortfolios(criteria);
}
private void PortfolioChangedHandler(Portfolio portfolio)
{
AddGuiAction(() => PortfolioChanged.SafeInvoke(portfolio));
}