public void Fill_RegularLiquidity()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl limitBuy = new OrderImpl(tsec, Direction.Long, 1, 133m);
OrderImpl limitSell = new OrderImpl(tsec, Direction.Short, 1, 133.5m);
OrderImpl stopBuy = new OrderImpl(tsec, Direction.Long, 3, 0, 135.70m);
OrderImpl stopSell = new OrderImpl(tsec, Direction.Short, 4, 0, 135.75m);
PendingOrderImpl plimitBuy = new PendingOrderImpl(limitBuy);
PendingOrderImpl plimitSell = new PendingOrderImpl(limitSell);
PendingOrderImpl pstopBuy = new PendingOrderImpl(stopBuy);
PendingOrderImpl pstopSell = new PendingOrderImpl(stopSell);
broker.SendOrderStatus(plimitBuy);
broker.SendOrderStatus(plimitSell);
broker.SendOrderStatus(pstopBuy);
broker.SendOrderStatus(pstopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List <Trade> trades = broker.GetTradeList();
Assert.True(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.Xsize == 1)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 2)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 3)
{
Assert.Equal(135.78m, trade.Xprice);
}
else if (trade.Xsize == 4)
{
Assert.Equal(135.78m, trade.Xprice);
}
}
}
void runopt()
{
isRunning = true;
while (isNextAvail)
{
gauntletArgs ga = new gauntletArgs(DLL, RNAME, SIM);
ga.value = NextParam;
ga.id = id;
Response r = ResponseLoader.FromDLL(ga.response, ga.dll);
if (changeVars(ref r, ga.value))
{
//GauntletEngine ge = new GauntletEngine(r, ga.hsim);
//Thread.SpinWait(1000);
//debugControl1.GotDebug("Starting a Gauntlet instance");
debug("Started Gauntlet Engine: " + ga.id);
Go();
List <Trade> trades = SimBroker.GetTradeList();
Results results = Results.ResultsFromTradeList(trades, 0, .01m, new DebugDelegate(debug));
GauntletOptimizationResults gor = new GauntletOptimizationResults();
gor.parameter = ga.value;
gor.results = results;
gor.resultsCalculated = true;
allResults.Add(gor);
decimal rv = 0;
getresult(results, out rv);
debug("optimize " + ga.id + " finished. Used: " + gor.parameter + " -> " + OptimizeDecisionsName + ": " + rv + " trades: " + gor.results.Trades + " SimsRemaining: " + OptimizeRemain);
progress(id, OptimizeCount);
}
else
{
debug("Unable to start gauntlet engine: " + ga.id + " with: " + ga.value);
}
}
debug("All optimization runs complete, computing optimum...");
var sorted = calculateBest(allResults);
// unbind
UnbindEvents();
if (SendOptimizationCompleteEvent != null)
{
SendOptimizationCompleteEvent(sorted);
}
isRunning = false;
}
public SimpleBacktester(PortfolioManager nsystem, string folder, int cpunr, string[] filter = null)
{
try
{
//Set start time
Started = DateTime.Now;
var transactioncosts = new GenericBrokerModel()
{
CommPerLot = 0M, SlippageInPips = 0M, LatencyInMS = 0, SpreadInPips = 0M
};
SimBroker = new SimBroker((SimAccount)nsystem.Account, transactioncosts);
//Initialize
nsystem.Initialize();
foreach (var stream in nsystem.Streams)
{
((OHLCBarStream)stream.Value).Initialize();
}
//set response
portfolio = nsystem;
//Set progress
if (OnProgress != null)
{
OnProgress(this, "Starting...", cpunr);
}
//Set simulator
if (filter == null || nsystem.Streams.Count == 1)
{
histsim = new SingleSimImpl(filter);
}
else
{
histsim = new MultiSimImpl(filter);
}
//Set events
histsim.GotTick += histsim_GotTick;
SimBroker.GotFill += SimBroker_GotFill;
SimBroker.GotOrder += SimBroker_GotOrder;
SimBroker.GotOrderCancel += SimBroker_GotOrderCancel;
SimBroker.GotOrderUpdate += SimBroker_GotOrderChanged;
BindPortfolioEvents();
//Start simulation
histsim.PlayTo(SingleSimImpl.Endsim);
//Notify Complete
if (OnProgress != null)
{
OnProgress(this, "Finished!", cpunr);
}
Stopped = DateTime.Now;
if (OnMessage != null)
{
OnMessage(this, string.Format("SystemID: {0} - CPU: {1} - Finished in: {2} seconds - Tick p/s: {3} - Trades - {4}",
0,
cpunr,
Math.Round((Stopped - Started).TotalSeconds, 2),
Math.Round(TicksSecond),
SimBroker.GetTradeList().Count
));
}
Thread.Sleep(1000);
WriteResults();
}
catch (Exception exc)
{
if (OnProgress != null)
{
OnProgress(this, "FAILED: Exception!", cpunr);
}
if (OnMessage != null)
{
OnMessage(this, string.Format("Error (cpu {0}) Message: {1} Stacktrace: {2}", cpunr, exc.Message, exc.StackTrace));
}
}
}