/// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        /// <seealso cref="QCAlgorithm.SetStartDate(System.DateTime)"/>
        /// <seealso cref="QCAlgorithm.SetEndDate(System.DateTime)"/>
        /// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
        public override void Initialize()
        {
            SetStartDate(2009, 01, 01);
            SetEndDate(2015, 01, 01);

            AddSecurity(SecurityType.Equity, Symbol, Resolution.Minute);

            int count = 6;
            int offset = 5;
            int period = 15;

            // define our sma as the base of the ribbon
            var sma = new SimpleMovingAverage(period);

            _ribbon = Enumerable.Range(0, count).Select(x =>
            {
                // define our offset to the zero sma, these various offsets will create our 'displaced' ribbon
                var delay = new Delay(offset*(x+1));

                // define an indicator that takes the output of the sma and pipes it into our delay indicator
                var delayedSma = delay.Of(sma);

                // register our new 'delayedSma' for automaic updates on a daily resolution
                RegisterIndicator(Symbol, delayedSma, Resolution.Daily, data => data.Value);

                return delayedSma;
            }).ToArray();
        }
Exemplo n.º 2
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		protected override void Initialize()
		{
			ema5 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 5);
			sma8 = Robot.Indicators.SimpleMovingAverage(Robot.MarketSeries.Open, 8);
			ema21 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 21);
			ema55 = Robot.Indicators.ExponentialMovingAverage(Robot.MarketSeries.Close, 55);
		}
Exemplo n.º 3
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 protected override void Initialize()
 {
     _deMax = CreateDataSeries();
     _deMin = CreateDataSeries();
     _deMaxSma = Indicators.SimpleMovingAverage(_deMax, Period);
     _deMinSma = Indicators.SimpleMovingAverage(_deMin, Period);
 }
Exemplo n.º 4
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		/// <summary>
		/// Создать <see cref="StochasticOscillator"/>.
		/// </summary>
		public StochasticOscillator()
		{
			InnerIndicators.Add(K = new StochasticK());
			InnerIndicators.Add(D = new SimpleMovingAverage { Length = 3 });

			Mode = ComplexIndicatorModes.Sequence;
		}
Exemplo n.º 5
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        public void PipesDataUsingOfFromFirstToSecond()
        {
            var first = new SimpleMovingAverage(2);
            var second = new Delay(1);
            
            // this is a configuration step, but returns the reference to the second for method chaining
            second.Of(first);

            var data1 = new IndicatorDataPoint(DateTime.UtcNow, 1m);
            var data2 = new IndicatorDataPoint(DateTime.UtcNow, 2m);
            var data3 = new IndicatorDataPoint(DateTime.UtcNow, 3m);
            var data4 = new IndicatorDataPoint(DateTime.UtcNow, 4m);

            // sma has one item
            first.Update(data1);
            Assert.IsFalse(first.IsReady);
            Assert.AreEqual(0m, second.Current.Value);

            // sma is ready, delay will repeat this value
            first.Update(data2);
            Assert.IsTrue(first.IsReady);
            Assert.IsFalse(second.IsReady);
            Assert.AreEqual(1.5m, second.Current.Value);

            // delay is ready, and repeats its first input
            first.Update(data3);
            Assert.IsTrue(second.IsReady);
            Assert.AreEqual(1.5m, second.Current.Value);

            // now getting the delayed data
            first.Update(data4);
            Assert.AreEqual(2.5m, second.Current.Value);
        }
Exemplo n.º 6
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        public void MultiChain()
        {
            var identity = new Identity("identity");
            var sma = new SimpleMovingAverage(2);
            var delay = new Delay(2);

            // create the SMA of the delay of the identity
            sma.Of(delay.Of(identity));

            identity.Update(DateTime.UtcNow, 1m);
            Assert.IsTrue(identity.IsReady);
            Assert.IsFalse(delay.IsReady);
            Assert.IsFalse(sma.IsReady);

            identity.Update(DateTime.UtcNow, 2m);
            Assert.IsTrue(identity.IsReady);
            Assert.IsFalse(delay.IsReady);
            Assert.IsFalse(sma.IsReady);

            identity.Update(DateTime.UtcNow, 3m);
            Assert.IsTrue(identity.IsReady);
            Assert.IsTrue(delay.IsReady);
            Assert.IsFalse(sma.IsReady);

            identity.Update(DateTime.UtcNow, 4m);
            Assert.IsTrue(identity.IsReady);
            Assert.IsTrue(delay.IsReady);
            Assert.IsTrue(sma.IsReady);

            Assert.AreEqual(1.5m, sma);
        }
Exemplo n.º 7
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        protected override void OnStart()
        {
            i_Moving_Average_200MA = Indicators.SimpleMovingAverage(MarketSeries.Close, (int)_Slow_SMA);
            i_Relative_Strength_Index = Indicators.RelativeStrengthIndex(MarketSeries.Close, (int)_RSI_Period);
            i_Moving_Average_5MA = Indicators.SimpleMovingAverage(MarketSeries.Close, (int)_Fast_SMA);

        }
Exemplo n.º 8
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 protected override void Initialize()
 {
     _StdDev = Indicators.StandardDeviation(MarketSeries.Close, Period, MovingAverageType.Simple);
     _LinReg = Indicators.LinearRegressionForecast(MarketSeries.Close, Period);
     _Range = CreateDataSeries();
     _Baseline = Indicators.SimpleMovingAverage(_Range, Period);
 }
Exemplo n.º 9
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        protected override void OnStart()
        {
            _SMA = Indicators.SimpleMovingAverage(Source_SMA, Periods_SMA);
            _SOC = Indicators.StochasticOscillator(KPeriods, K_Slowing, DPeriods, MaType);

            Positions.Closed += PositionsOnClosed;
        }
Exemplo n.º 10
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		public SmaStrategy(CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
		{
			_series = series;

			LongSma = longSma;
			ShortSma = shortSma;
		}
Exemplo n.º 11
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        protected override void OnStart()
        {
            i_Relative_Strength_Index = Indicators.RelativeStrengthIndex(MarketSeries.Close, 2);
            i_Moving_Average_200MA = Indicators.SimpleMovingAverage(MarketSeries.Close, 200);
            i_Moving_Average_5MA = Indicators.SimpleMovingAverage(MarketSeries.Close, 5);

        }
Exemplo n.º 12
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        public YangZhang(string name, int period)
            : base(name)
        {
            _period = period;
            MuClose = new SimpleMovingAverage("MuC", period);
            MuOpen = new SimpleMovingAverage("MuO", period);
            CloseVol = new Sum("CV", period);
            OpenVol = new Sum("OV", period);
            RSVol = new SimpleMovingAverage("OV", period);

            TradeBar previous = null;

            OcCp = new FunctionalIndicator<TradeBar>(name + "_e", currentBar =>
            {
                var nextValue = ComputeOcCp(previous, currentBar);
                previous = currentBar;
                return nextValue;
            }   // in our IsReady function we just need at least two sample
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period
            );

            CcOc = new FunctionalIndicator<TradeBar>(name + "_", currentBar => ComputeCcOc(currentBar)
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period);

            OHL = new FunctionalIndicator<TradeBar>(name + "_", currentBar => ComputeOHL(currentBar)
            , trueRangeIndicator => trueRangeIndicator.Samples >= _period);

        }
Exemplo n.º 13
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        protected override void Initialize()
        {
            iSeries1 = CreateDataSeries();
            iSeries4 = CreateDataSeries();

            _sma = Indicators.SimpleMovingAverage(MarketSeries.Close, Len1);
            _sma2 = Indicators.SimpleMovingAverage(_sma.Result, Len1);
            _sma3 = Indicators.SimpleMovingAverage(_sma2.Result, Len1);
            _sma4 = Indicators.SimpleMovingAverage(_sma3.Result, Len1);
            _sma5 = Indicators.SimpleMovingAverage(_sma4.Result, Len1);
            _sma6 = Indicators.SimpleMovingAverage(_sma5.Result, Len1);
            _sma7 = Indicators.SimpleMovingAverage(_sma6.Result, Len1);
            _sma8 = Indicators.SimpleMovingAverage(_sma7.Result, Len1);
            _sma9 = Indicators.SimpleMovingAverage(_sma8.Result, Len1);
            _sma10 = Indicators.SimpleMovingAverage(_sma9.Result, Len1);

            _ema1 = Indicators.ExponentialMovingAverage(iSeries1, Len3);
            _ema2 = Indicators.ExponentialMovingAverage(_ema1.Result, Len3);

            _ema3 = Indicators.ExponentialMovingAverage(ST2, Len3);
            _ema4 = Indicators.ExponentialMovingAverage(_ema3.Result, Len3);

            _ema5 = Indicators.ExponentialMovingAverage(iSeries1, Len4);
            _ema6 = Indicators.ExponentialMovingAverage(_ema3.Result, Len4);


        }
 protected override void Initialize()
 {
     _movingAverage5 = Indicators.SimpleMovingAverage(Source, 5);
     _movingAverage34 = Indicators.SimpleMovingAverage(Source, 34);
     _awesomeOsc = CreateDataSeries();
     _movingAverage = Indicators.SimpleMovingAverage(_awesomeOsc, 5);
     _extBuffer0 = CreateDataSeries();
 }
Exemplo n.º 15
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        public void PipesDataFromFirstToSecond()
        {
            var first = new SimpleMovingAverage(2);
            var second = new Delay(1);
            var sequential = new SequentialIndicator<IndicatorDataPoint>(first, second);

            TestPipesData(sequential);
        }
Exemplo n.º 16
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		public SmaStrategy(ICandleManager candleManager, CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
		{
			_candleManager = candleManager;
			_series = series;

			LongSma = longSma;
			ShortSma = shortSma;
		}
Exemplo n.º 17
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        public void PipesDataUsingOfFromFirstToSecond()
        {
            var first = new SimpleMovingAverage(2);
            var second = new Delay(1);
            var sequential = second.Of(first);

            TestPipesData(sequential);
        }
Exemplo n.º 18
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		public SmaStrategy()
		{
			_timeFrame = this.Param("TimeFrame", TimeSpan.FromMinutes(5));
			_longSmaPeriod = this.Param("LongSmaPeriod", 20).Optimize(15, 30);
			_shortSmaPeriod = this.Param("ShortSmaPeriod", 5).Optimize(3, 10);

			_shortSma = new SimpleMovingAverage();
			_longSma = new SimpleMovingAverage();
		}
Exemplo n.º 19
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        protected override void Initialize()
        {
            _highSeries = CreateDataSeries();
            _lowSeries = CreateDataSeries();

            _smaHigh = Indicators.SimpleMovingAverage(_highSeries, SmaPeriod);
            _smaLow = Indicators.SimpleMovingAverage(_lowSeries, SmaPeriod);

            _dms = Indicators.DirectionalMovementSystem(AdxPeriod);
        }
Exemplo n.º 20
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        protected override void Initialize()
        {
            _fastSma = Indicators.SimpleMovingAverage(Source, FastPeriod);
            _slowSma = Indicators.SimpleMovingAverage(Source, SlowPeriod);
            _sma100 = Indicators.SimpleMovingAverage(Source, 100);
            _sma200 = Indicators.SimpleMovingAverage(Source, 200);
            _sma20 = Indicators.SimpleMovingAverage(Source, 20);
            _elliot = CreateDataSeries();

        }
Exemplo n.º 21
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        public void IsReadyAfterPeriodUpdates()
        {
            var sma = new SimpleMovingAverage(3);

            sma.Update(DateTime.UtcNow, 1m);
            sma.Update(DateTime.UtcNow, 1m);
            Assert.IsFalse(sma.IsReady);
            sma.Update(DateTime.UtcNow, 1m);
            Assert.IsTrue(sma.IsReady);
        }
Exemplo n.º 22
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        protected override void OnStart()
        {
            i_MACD_main = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
            i_MCAD_signal = Indicators.MacdHistogram(MarketSeries.Close, (int)_Period_SlowEMA, (int)_Period_FastEMA, (int)_Period_MACD_SMA);
            i_MA_Close = Indicators.SimpleMovingAverage(MarketSeries.Close, 1);
            i_Parabolic_SAR = Indicators.ParabolicSAR(_Step_PrbSAR, 0.1);
            i_MA_Open = Indicators.SimpleMovingAverage(MarketSeries.Open, 1);
            i_EMAf = Indicators.ExponentialMovingAverage(MarketSeries.Close, (int)_Period_FastEMA);

        }
Exemplo n.º 23
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 public void TestSimpleNotFullStaticAverage()
 {
     var sma = new SimpleMovingAverage(5);
     sma.Add(3);
     sma.Add(4);
     sma.Add(2);
     sma.Add(3);
     var average = sma.Average();
     Assert.Equal(3, average);
 }
Exemplo n.º 24
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		public SmaStrategy(CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
		{
			_series = series;

			LongSma = longSma;
			ShortSma = shortSma;

			_longSmaPeriod = this.Param("LongSmaPeriod", longSma.Length);
			_shortSmaPeriod = this.Param("ShortSmaPeriod", shortSma.Length);
		}
Exemplo n.º 25
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		/// <summary>
		/// Создать <see cref="Acceleration"/>.
		/// </summary>
		/// <param name="ao">Чудесный осцилятор.</param>
		/// <param name="sma">Cкользящая средняя.</param>
		public Acceleration(AwesomeOscillator ao, SimpleMovingAverage sma)
		{
			if (ao == null)
				throw new ArgumentNullException("ao");

			if (sma == null)
				throw new ArgumentNullException("sma");

			Ao = ao;
			Sma = sma;
		}
Exemplo n.º 26
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        protected override void Initialize()
        {
            _stochastic5 = Indicators.StochasticOscillator(5, 3, 3, MaType);
            _stochastic14 = Indicators.StochasticOscillator(14, 3, 3, MaType);
            _stochastic45 = Indicators.StochasticOscillator(45, 3, 14, MaType);
            _stochastic75 = Indicators.StochasticOscillator(75, 3, 20, MaType);

            _stpmt = CreateDataSeries();
            _stpmtMa = Indicators.SimpleMovingAverage(_stpmt, 9);

        }
Exemplo n.º 27
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 public void TestSimpleMovingAverage()
 {
     var sma = new SimpleMovingAverage(5);
     sma.Add(10);
     sma.Add(55);
     sma.Add(33);
     sma.Add(56);
     sma.Add (88);
     sma.Add(23);
     var average = sma.Average();
     Assert.Equal(51, average);
 }
Exemplo n.º 28
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		/// <summary>
		/// Initializes a new instance of the <see cref="AwesomeOscillator"/>.
		/// </summary>
		/// <param name="longSma">Long moving average.</param>
		/// <param name="shortSma">Short moving average.</param>
		public AwesomeOscillator(SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
		{
			if (longSma == null)
				throw new ArgumentNullException(nameof(longSma));

			if (shortSma == null)
				throw new ArgumentNullException(nameof(shortSma));

			ShortMa = shortSma;
			LongMa = longSma;
			MedianPrice = new MedianPrice();
		}
Exemplo n.º 29
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 protected override void Initialize()
 {
     sma1 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period1);
     sma2 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period2);
     sma3 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period3);
     sma4 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period4);
     sma5 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period5);
     sma6 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period6);
     sma7 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period7);
     sma8 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period8);
     sma9 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period9);
     sma10 = Indicators.SimpleMovingAverage(MarketSeries.Close, Period10);
 }
Exemplo n.º 30
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        public TripleMovingAverageStrategy(Symbol sym, Indicator priceIdentity, MeanReversionAlgorithm algorithm, decimal minBarSize, decimal barDifferenceTolerance)
        {
            Algorithm = algorithm;
            symbol = sym;

            trend = new InstantaneousTrend(10).Of(_price);
            ema10 = new ExponentialMovingAverage(10).Of(_price);
            sma10 = new SimpleMovingAverage(10).Of(_price);

            Position = StockState.noInvested;
            EntryPrice = null;
            ActualSignal = OrderSignal.doNothing;
        }
        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 08);
            SetEndDate(2013, 10, 09);

            var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);

            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
            AddFutureContract(_symbol);

            // this collection will hold all indicators and at the end of the algorithm we will assert that all of them are ready
            _indicators = new List <IIndicator>();

            // Test the different APIs for IndicatorBase<QuoteBar> works correctly.
            // Should be able to determine the correct consolidator and not throw an exception
            var indicator = new CustomIndicator();

            RegisterIndicator(_symbol, indicator, Resolution.Minute);
            _indicators.Add(indicator);

            // specifying a selector and using resolution
            var indicator2 = new CustomIndicator();

            RegisterIndicator(_symbol, indicator2, Resolution.Minute, data => (QuoteBar)data);
            _indicators.Add(indicator2);

            // specifying a selector and using timeSpan
            var indicator3 = new CustomIndicator();

            RegisterIndicator(_symbol, indicator3, TimeSpan.FromMinutes(1), data => (QuoteBar)data);
            _indicators.Add(indicator3);

            // directly sending in the desired consolidator
            var indicator4   = new SimpleMovingAverage(10);
            var consolidator = ResolveConsolidator(_symbol, Resolution.Minute, typeof(QuoteBar));

            RegisterIndicator(_symbol, indicator4, consolidator);
            _indicators.Add(indicator4);

            // directly sending in the desired consolidator and specifying a selector
            var indicator5    = new SimpleMovingAverage(10);
            var consolidator2 = ResolveConsolidator(_symbol, Resolution.Minute, typeof(QuoteBar));

            RegisterIndicator(_symbol, indicator5, consolidator2,
                              data =>
            {
                var quoteBar = data as QuoteBar;
                return(quoteBar.High - quoteBar.Low);
            });
            _indicators.Add(indicator5);

            // Now make sure default data type TradeBar works correctly and does not throw an exception
            // Specifying resolution and selector
            var movingAverage = new SimpleMovingAverage(10);

            RegisterIndicator(_symbol, movingAverage, Resolution.Minute, data => data.Value);
            _indicators.Add(movingAverage);

            // Specifying resolution
            var movingAverage2 = new SimpleMovingAverage(10);

            RegisterIndicator(_symbol, movingAverage2, Resolution.Minute);
            _indicators.Add(movingAverage2);

            // Specifying TimeSpan
            var movingAverage3 = new SimpleMovingAverage(10);

            RegisterIndicator(_symbol, movingAverage3, TimeSpan.FromMinutes(1));
            _indicators.Add(movingAverage3);

            // Specifying TimeSpan and selector
            var movingAverage4 = new SimpleMovingAverage(10);

            RegisterIndicator(_symbol, movingAverage4, TimeSpan.FromMinutes(1), data => data.Value);
            _indicators.Add(movingAverage4);

            // Test custom data is able to register correctly and indicators updated
            var smaCustomData = new SimpleMovingAverage(1);
            var symbol        = AddData <CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute).Symbol;

            RegisterIndicator(symbol, smaCustomData, TimeSpan.FromMinutes(1), data => data.Value);
            _indicators.Add(smaCustomData);

            var smaCustomData2 = new SimpleMovingAverage(1);

            RegisterIndicator(symbol, smaCustomData2, Resolution.Minute);
            _indicators.Add(smaCustomData2);
        }
Exemplo n.º 32
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 protected override void Initialize()
 {
     _smaHigh = Indicators.SimpleMovingAverage(MarketSeries.High, Period);
     _smaLow  = Indicators.SimpleMovingAverage(MarketSeries.Low, Period);
 }
Exemplo n.º 33
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        public SmaStrategy(ICandleManager candleManager, CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
        {
            _candleManager = candleManager;
            _series        = series;

            LongSma  = longSma;
            ShortSma = shortSma;

            _longSmaPeriod  = this.Param("LongSmaPeriod", longSma.Length);
            _shortSmaPeriod = this.Param("ShortSmaPeriod", shortSma.Length);
        }
Exemplo n.º 34
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 protected override void OnStart()
 {
     i_Relative_Strength_Index = Indicators.RelativeStrengthIndex(MarketSeries.Close, 2);
     i_Moving_Average_200MA    = Indicators.SimpleMovingAverage(MarketSeries.Close, 200);
     i_Moving_Average_5MA      = Indicators.SimpleMovingAverage(MarketSeries.Close, 5);
 }
Exemplo n.º 35
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        //--------------------------------------

        protected override void OnStart()
        {
            Today = Server.Time.Day;

            sma = Indicators.SimpleMovingAverage(MarketData.GetSeries(TimeFrame.Minute5).Close, 30);
        }
Exemplo n.º 36
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        public static async Task <TimelineResponse> GetDuration(sc2dsstatsContext context, DsRequest request)
        {
            var replays = ReplayFilter.Filter(context, request);

            replays = replays.Where(x => x.Gametime >= request.StartTime);
            if (request.EndTime != DateTime.Today)
            {
                replays = replays.Where(x => x.Gametime <= request.EndTime);
            }

            var results = request.Player switch
            {
                true => from r in replays
                from p in r.Dsplayers
                where p.Race == (byte)DSData.GetCommander(request.Interest) && p.isPlayer
                select new
                {
                    r.Id,
                    r.Duration,
                    p.Win
                },
                false => from r in replays
                from p in r.Dsplayers
                where p.Race == (byte)DSData.GetCommander(request.Interest)
                select new
                {
                    r.Id,
                    r.Duration,
                    p.Win
                }
            };
            var lresults = await results.ToListAsync();

            TimelineResponse response = new TimelineResponse()
            {
                Interest    = request.Interest,
                Count       = lresults.Select(s => s.Id).Distinct().Count(),
                AvgDuration = lresults.Count == 0 ? 0 : (int)(lresults.Sum(s => s.Duration) / lresults.Count),
                Items       = new List <DsResponseItem>()
            };

            if (lresults.Any())
            {
                for (int i = 0; i < DSData.durations.Length; i++)
                {
                    int startd = 0;
                    if (i > 0)
                    {
                        Match m = d_rx.Match(DSData.durations[i]);
                        if (m.Success)
                        {
                            startd = int.Parse(m.Value);
                        }
                    }
                    int endd = startd + 3;
                    if (i == 0)
                    {
                        endd = 8;
                    }
                    if (i == DSData.durations.Length - 1)
                    {
                        endd = 200;
                    }
                    var ilresults = lresults.Where(x => x.Duration > startd * 60 && x.Duration < endd * 60).ToList();


                    response.Items.Add(new DsResponseItem()
                    {
                        Label = $"{DSData.durations[i]} min ({ilresults.Count})",
                        Count = ilresults.Count,
                        Wins  = ilresults.Where(x => x.Win == true).Count()
                    });
                }
            }
            var sma = new SimpleMovingAverage(4);

            response.SmaData = new List <double>();
            response.SmaData = TimelineService.GetNiceLineData(response.Items.Select(s => s.Count == 0 ? 0 : ((double)s.Wins * 100.0 / (double)s.Count)), 4);

            return(response);
        }
    }
Exemplo n.º 37
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 public IsAboveSimpleMovingAverage(IList <decimal> closes, int periodCount)
     : base(closes)
 {
     _sma = new SimpleMovingAverage(closes, periodCount);
 }
Exemplo n.º 38
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        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);

            // create backtesting modes
            var settings = new[]
            {
                Tuple.Create(
                    TicksCheckBox,
                    TicksTestingProcess,
                    TicksParameterGrid,
                    // ticks
                    new EmulationInfo {
                    UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
                }),

                Tuple.Create(
                    TicksAndDepthsCheckBox,
                    TicksAndDepthsTestingProcess,
                    TicksAndDepthsParameterGrid,
                    // ticks + order book
                    new EmulationInfo {
                    UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
                }),

                Tuple.Create(
                    DepthsCheckBox,
                    DepthsTestingProcess,
                    DepthsParameterGrid,
                    // order book
                    new EmulationInfo {
                    UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
                }),


                Tuple.Create(
                    CandlesCheckBox,
                    CandlesTestingProcess,
                    CandlesParameterGrid,
                    // candles
                    new EmulationInfo {
                    UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
                }),

                Tuple.Create(
                    CandlesAndDepthsCheckBox,
                    CandlesAndDepthsTestingProcess,
                    CandlesAndDepthsParameterGrid,
                    // candles + orderbook
                    new EmulationInfo {
                    UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
                }),

                Tuple.Create(
                    OrderLogCheckBox,
                    OrderLogTestingProcess,
                    OrderLogParameterGrid,
                    // order log
                    new EmulationInfo {
                    UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
                })
            };

            // storage to historical data
            var storageRegistry = new StorageRegistry
            {
                // set historical path
                DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
            };

            var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
            var stopTime  = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);

            // 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);
            }

            // 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 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;

                // 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,
                };

                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 connector = new HistoryEmulationConnector(
                    new[] { security },
                    new[] { portfolio })
                {
                    MarketEmulator =
                    {
                        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,

                        // set history range
                        StartDate = startTime,
                        StopDate  = stopTime,
                    },

                    // set market time freq as time frame
                    MarketTimeChangedInterval = timeFrame,
                };

                ((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;

                logManager.Sources.Add(connector);

                var candleManager = emulationInfo.UseCandleTimeFrame == null
                                        ? new CandleManager(new TradeCandleBuilderSourceEx(connector))
                                        : 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);

                // create strategy based on 80 5-min и 10 5-min
                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,

                    // 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);

                connector.NewSecurities += securities =>
                {
                    if (securities.All(s => s != security))
                    {
                        return;
                    }

                    // fill level1 values
                    connector.SendInMessage(level1Info);

                    if (emulationInfo.UseMarketDepth)
                    {
                        connector.RegisterMarketDepth(security);

                        if (
                            // if order book will be generated
                            generateDepths ||
                            // of 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.RegisterOrderLog(security);
                    }

                    if (emulationInfo.UseTicks)
                    {
                        connector.RegisterTrades(security);
                    }

                    // 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
                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;

                // 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)
                    {
                        candleManager.Stop(series);
                        strategy.Stop();

                        logManager.Dispose();
                        _connectors.Clear();

                        SetIsEnabled(false);

                        this.GuiAsync(() =>
                        {
                            if (connector.IsFinished)
                            {
                                progressBar.Value = progressBar.Maximum;
                                MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
                            }
                            else
                            {
                                MessageBox.Show(this, LocalizedStrings.cancelled);
                            }
                        });
                    }
                    else if (connector.State == EmulationStates.Started)
                    {
                        SetIsEnabled(true);
                    }
                };

                if (ShowDepth.IsChecked == true)
                {
                    MarketDepth.UpdateFormat(security);

                    connector.NewMessage += message =>
                    {
                        var quoteMsg = message as QuoteChangeMessage;

                        if (quoteMsg != null)
                        {
                            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;
        }
Exemplo n.º 39
0
        public static void AddIndicators(ref DataSet ds, List <Indicator> listofIndicators, string timeStampforRenko = "")
        {
            bool macdInd    = false;
            bool superTrend = false;
            bool rsi        = false;
            bool sma20      = false;
            bool sma50      = false;
            bool sma200     = false;

            bool sma10     = false;
            bool sma30     = false;
            bool sma100    = false;
            bool renko     = false;
            bool alligator = false;
            bool adx       = false;

            //add columns
            foreach (Indicator ind in listofIndicators)
            {
                if (ind.IndicatorName == "SuperTrend")
                {
                    superTrend = true;
                    ds.Tables[0].Columns.Add("ATR7", typeof(double));
                    ds.Tables[0].Columns.Add("FinalUpperBand", typeof(double));
                    ds.Tables[0].Columns.Add("FinalLowerBand", typeof(double));
                    ds.Tables[0].Columns.Add("Trend", typeof(double));
                    ds.Tables[0].Columns.Add("SuperTrend", typeof(double));
                    ds.Tables[0].Columns.Add("ATR14", typeof(string));
                }
                if (ind.IndicatorName == "MACD")
                {
                    macdInd = true;
                    ds.Tables[0].Columns.Add("macd", typeof(double));
                    ds.Tables[0].Columns.Add("macd9", typeof(double));
                    ds.Tables[0].Columns.Add("Histogram", typeof(double));
                }

                if (ind.IndicatorName == "RSI")
                {
                    rsi = true;
                    ds.Tables[0].Columns.Add("RSI14", typeof(double));
                }

                if (ind.IndicatorName == "SMA20")
                {
                    sma20 = true;
                    ds.Tables[0].Columns.Add("20", typeof(double));
                }

                if (ind.IndicatorName == "SMA50")
                {
                    sma50 = true;
                    ds.Tables[0].Columns.Add("50", typeof(double));
                }
                if (ind.IndicatorName == "SMA200")
                {
                    sma200 = true;
                    ds.Tables[0].Columns.Add("200", typeof(double));
                }
                if (ind.IndicatorName == "SMA30")
                {
                    sma30 = true;
                    ds.Tables[0].Columns.Add("30", typeof(double));
                }
                if (ind.IndicatorName == "SMA100")
                {
                    sma100 = true;
                    ds.Tables[0].Columns.Add("100", typeof(double));
                }
                if (ind.IndicatorName == "SMA10")
                {
                    sma10 = true;
                    ds.Tables[0].Columns.Add("10", typeof(double));
                }
                if (ind.IndicatorName == "RENKO")
                {
                    renko = true;
                    ds.Tables[0].Columns.Add("ATR", typeof(double));
                    ds.Tables[0].Columns.Add("RENKO", typeof(string));
                }
                if (ind.IndicatorName == "ALLIGATOR")
                {
                    alligator = true;
                    ds.Tables[0].Columns.Add("L", typeof(double));
                    ds.Tables[0].Columns.Add("LOffset", typeof(double));
                    ds.Tables[0].Columns.Add("M", typeof(double));
                    ds.Tables[0].Columns.Add("MOffset", typeof(double));
                    ds.Tables[0].Columns.Add("S", typeof(double));
                    ds.Tables[0].Columns.Add("SOffset", typeof(double));
                    ds.Tables[0].Columns.Add("AC", typeof(double));
                }
                if (ind.IndicatorName == "ADX")
                {
                    adx = true;
                    ds.Tables[0].Columns.Add("pDi", typeof(double));
                    ds.Tables[0].Columns.Add("mDi", typeof(double));
                    ds.Tables[0].Columns.Add("ADX", typeof(double));
                }
            }

            //general
            int ii = 0;
            //super trend
            double avgTR = 0;
            double avgTRenko = 0;
            double basicUpperBand = 0;
            double basicLowerBand = 0;
            double smma = 0, sma = 0;
            double smma8 = 0, sma8 = 0;
            double smma5 = 0, sma5 = 0;
            //macd
            double pEMA9 = 0, pEMA12 = 0, pEMA26 = 0, macd = 0;

            IMovingAverage avg20  = new SimpleMovingAverage(20);
            IMovingAverage avg50  = new SimpleMovingAverage(50);
            IMovingAverage avg200 = new SimpleMovingAverage(200);
            IMovingAverage avg10  = new SimpleMovingAverage(10);
            IMovingAverage avg30  = new SimpleMovingAverage(30);
            IMovingAverage avg100 = new SimpleMovingAverage(100);


            IMovingAverage avg9  = new SimpleMovingAverage(9);
            IMovingAverage avg12 = new SimpleMovingAverage(12);
            IMovingAverage avg26 = new SimpleMovingAverage(26);

            IMovingAverage rsiGain14 = new SimpleMovingAverage(14);
            IMovingAverage rsiLoss14 = new SimpleMovingAverage(14);

            IMovingAverage avg5   = new SimpleMovingAverage(5);
            IMovingAverage avg34  = new SimpleMovingAverage(34);
            IMovingAverage avgAO5 = new SimpleMovingAverage(5);

            //alligator
            IMovingAverage avg13 = new SimpleMovingAverage(13);
            IMovingAverage avg8  = new SimpleMovingAverage(8);

            double[] close = new double[ds.Tables[0].Rows.Count];
            double[] pDI   = new double[ds.Tables[0].Rows.Count];
            double[] mDI   = new double[ds.Tables[0].Rows.Count];
            double[] adxV  = new double[ds.Tables[0].Rows.Count];


            //calculate values
            foreach (DataRow dr in ds.Tables[0].Rows)
            {
                if (alligator)
                {
                    avg5.AddSample((float)(Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2);
                    avg34.AddSample((float)(Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2);
                    avgAO5.AddSample(avg5.Average - avg34.Average);
                    avg13.AddSample((float)(Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2);
                    avg8.AddSample((float)(Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2);

                    if (ii == 14)
                    {
                        sma     = avg13.Average;
                        dr["L"] = sma;
                    }
                    else if (ii > 14)
                    {
                        smma    = (sma * 12 + ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2)) / 13;
                        dr["L"] = smma;
                        sma     = smma;
                    }

                    if (ii == 9)
                    {
                        sma8    = avg8.Average;
                        dr["M"] = sma8;
                    }
                    else if (ii > 9)
                    {
                        smma8   = (sma8 * 7 + ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2)) / 8;
                        dr["M"] = smma8;
                        sma8    = smma8;
                    }

                    if (ii == 6)
                    {
                        sma5    = avg5.Average;
                        dr["S"] = sma5;
                    }
                    else if (ii > 6)
                    {
                        smma5   = (sma5 * 4 + ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2)) / 5;
                        dr["S"] = smma5;
                        sma5    = smma5;
                    }


                    if (ii >= 9)
                    {
                        dr["LOffset"] = ds.Tables[0].Rows[ii - 9]["L"];
                    }

                    if (ii >= 6)
                    {
                        dr["MOffset"] = ds.Tables[0].Rows[ii - 6]["M"];
                    }

                    if (ii >= 4)
                    {
                        dr["SOffset"] = ds.Tables[0].Rows[ii - 4]["S"];
                    }

                    dr["AC"] = (avg5.Average - avg34.Average) - avgAO5.Average;
                }
                if (renko)
                {
                    if (ii == 13)
                    {
                        avgTRenko = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        dr["ATR"] = avgTRenko / 14;
                    }
                    else if (ii > 13)
                    {
                        dr["ATR"] = (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["ATR"]) * 13 + avgTRenko) / 14;
                        avgTRenko = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                    }
                    else if (ii > 0)
                    {
                        avgTR = avgTR + Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                    }
                    else
                    {
                        avgTR = 0;
                    }
                }
                if (true)
                {
                    if (ii == 13)
                    {
                        avgTR       = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        dr["ATR14"] = avgTR / 14;
                    }
                    else if (ii > 13)
                    {
                        avgTR       = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        dr["ATR14"] = (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["ATR7"]) * 13 + avgTR) / 14;
                    }
                    else
                    {
                        dr["ATR14"] = 0;

                        if (ii > 0)
                        {
                            avgTR = avgTR + Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        }
                        else
                        {
                            avgTR = 0;
                        }
                    }
                }
                if (superTrend)
                {
                    if (ii == 6)
                    {
                        avgTR          = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        dr["ATR7"]     = avgTR / 7;
                        basicUpperBand = ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2) - (Convert.ToDouble(dr["ATR7"]) * 3);
                        basicLowerBand = ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2) + (Convert.ToDouble(dr["ATR7"]) * 3);
                        //basicUpperBand < Convert.ToDouble(ds.Tables[0].Rows[xI - 1]["FinalUpperBand"]) ||
                        if (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]) > Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalUpperBand"]))
                        {
                            dr["FinalUpperBand"] = Math.Max(basicUpperBand, Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalUpperBand"]));
                        }
                        else
                        {
                            dr["FinalUpperBand"] = basicUpperBand;
                        }
                        //basicLowerBand > Convert.ToDouble(ds.Tables[0].Rows[xI - 1]["FinalLowerBand"]) ||
                        if (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]) < Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalLowerBand"]))
                        {
                            dr["FinalLowerBand"] = Math.Min(basicLowerBand, Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalLowerBand"]));;
                        }
                        else
                        {
                            dr["FinalLowerBand"] = basicLowerBand;
                        }

                        double trend = Convert.ToDouble(ds.Tables[0].Rows[ii]["f2"]) > Convert.ToDouble(dr["FinalLowerBand"]) ? 1 : (Convert.ToDouble(ds.Tables[0].Rows[ii]["f2"]) < Convert.ToDouble(dr["FinalUpperBand"]) ? -1 : Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["Trend"]));
                        if (trend == 1)
                        {
                            dr["SuperTrend"] = dr["FinalUpperBand"];
                        }
                        else
                        {
                            dr["SuperTrend"] = dr["FinalLowerBand"];
                        }
                        dr["trend"] = trend;
                    }
                    else if (ii > 6)
                    {
                        avgTR          = Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        dr["ATR7"]     = (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["ATR7"]) * 6 + avgTR) / 7;
                        basicUpperBand = ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2) - (Convert.ToDouble(dr["ATR7"]) * 3);
                        basicLowerBand = ((Convert.ToDouble(dr["f3"]) + Convert.ToDouble(dr["f4"])) / 2) + (Convert.ToDouble(dr["ATR7"]) * 3);

                        //basicUpperBand < Convert.ToDouble(ds.Tables[0].Rows[xI - 1]["FinalUpperBand"]) ||
                        if (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]) > Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalUpperBand"]))
                        {
                            dr["FinalUpperBand"] = Math.Max(basicUpperBand, Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalUpperBand"]));
                        }
                        else
                        {
                            dr["FinalUpperBand"] = basicUpperBand;
                        }
                        //basicLowerBand > Convert.ToDouble(ds.Tables[0].Rows[xI - 1]["FinalLowerBand"]) ||
                        if (Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]) < Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalLowerBand"]))
                        {
                            dr["FinalLowerBand"] = Math.Min(basicLowerBand, Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["FinalLowerBand"]));;
                        }
                        else
                        {
                            dr["FinalLowerBand"] = basicLowerBand;
                        }


                        double trend = Convert.ToDouble(ds.Tables[0].Rows[ii]["f2"]) > Convert.ToDouble(dr["FinalLowerBand"]) ? 1 : (Convert.ToDouble(ds.Tables[0].Rows[ii]["f2"]) < Convert.ToDouble(dr["FinalUpperBand"]) ? -1 : Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["Trend"]));
                        if (trend == 1)
                        {
                            dr["SuperTrend"] = dr["FinalUpperBand"];
                        }
                        else
                        {
                            dr["SuperTrend"] = dr["FinalLowerBand"];
                        }
                        dr["trend"] = trend;
                    }
                    else
                    {
                        dr["ATR7"]           = 0;
                        dr["FinalUpperBand"] = 0;
                        dr["FinalLowerBand"] = 0;
                        dr["SuperTrend"]     = 0;
                        dr["Trend"]          = 1;
                        if (ii > 0)
                        {
                            avgTR = avgTR + Math.Max(Math.Max(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f3"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"]))), Math.Abs(Convert.ToDouble(ds.Tables[0].Rows[ii]["f4"]) - Convert.ToDouble(ds.Tables[0].Rows[ii - 1]["f2"])));
                        }
                        else
                        {
                            avgTR = 0;
                        }
                    }
                }
                ii++;
                if (macdInd)
                {
                    if (ii == 13)
                    {
                        pEMA12 = avg12.Average;
                    }
                    else if (ii > 13)
                    {
                        double ema = 0.153 * (Convert.ToDouble(dr["f2"]) - pEMA12) + pEMA12;
                        pEMA12 = ema;
                    }

                    if (ii == 27)
                    {
                        pEMA26 = avg26.Average;
                    }
                    else if (ii > 27)
                    {
                        double ema = 0.074 * (Convert.ToDouble(dr["f2"]) - pEMA26) + pEMA26;
                        pEMA26 = ema;
                        macd   = pEMA12 - pEMA26;
                    }



                    if (ii == 37)
                    {
                        pEMA9 = avg9.Average;
                    }
                    else if (ii > 37)
                    {
                        double ema = 0.2 * (macd - pEMA9) + pEMA9;
                        pEMA9 = ema;
                    }

                    if (ii > 27 && ii < 37)
                    {
                        avg9.AddSample((float)(macd));
                    }

                    avg12.AddSample((float)Convert.ToDouble(dr["f2"]));
                    avg26.AddSample((float)Convert.ToDouble(dr["f2"]));


                    dr["macd"]      = macd;
                    dr["macd9"]     = pEMA9;
                    dr["Histogram"] = macd - pEMA9;
                }
                if (rsi)
                {
                    dr["rsi14"] = 0;
                    if (ii > 1)
                    {
                        if ((double)dr["f2"] > (double)ds.Tables[0].Rows[ii - 2]["f2"])
                        {
                            rsiGain14.AddSample((float)((double)dr["f2"] - (double)ds.Tables[0].Rows[ii - 2]["f2"]));
                            rsiLoss14.AddSample(0);
                        }
                        else if ((double)ds.Tables[0].Rows[ii - 2]["f2"] > (double)dr["f2"])
                        {
                            rsiLoss14.AddSample((float)((double)ds.Tables[0].Rows[ii - 2]["f2"] - (double)dr["f2"]));
                            rsiGain14.AddSample(0);
                        }
                        else
                        {
                            rsiGain14.AddSample(0);
                            rsiLoss14.AddSample(0);
                        }

                        dr["rsi14"] = 100 - (100 / (1 + (rsiGain14.Average / rsiLoss14.Average)));
                    }
                }

                if (sma10)
                {
                    avg10.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["10"] = avg10.Average;
                }

                if (sma30)
                {
                    avg30.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["30"] = avg30.Average;
                }

                if (sma100)
                {
                    avg100.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["100"] = avg100.Average;
                }


                if (sma20)
                {
                    avg20.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["20"] = avg20.Average;
                }

                if (sma50)
                {
                    avg50.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["50"] = avg50.Average;
                }

                if (sma200)
                {
                    avg200.AddSample((float)Convert.ToDouble(dr["f2"]));
                    dr["200"] = avg200.Average;
                }
            }

            if (renko)
            {
                string Direction             = string.Empty;
                double renkoStartPrice       = 0;
                double negativeMovementValue = 0;
                double positiveMovementValue = 0;
                double boxSize = Convert.ToDouble(ds.Tables[0].Select("TimeStamp='" + timeStampforRenko + "'")[0]["ATR"]);
                foreach (DataRow dr in ds.Tables[0].Rows)
                {
                    if (Direction == string.Empty && dr["Candle"].ToString() == "R")
                    {
                        Direction       = "S";
                        renkoStartPrice = Convert.ToDouble(dr["f2"]);
                    }
                    if (Direction == string.Empty && dr["Candle"].ToString() == "G")
                    {
                        Direction       = "B";
                        renkoStartPrice = Convert.ToDouble(dr["f2"]);
                    }

                    if (Direction == "S")
                    {
                        if (negativeMovementValue == 0)
                        {
                            negativeMovementValue = renkoStartPrice + 2 * boxSize;
                            positiveMovementValue = renkoStartPrice - boxSize;
                        }
                    }
                    else if (Direction == "B")
                    {
                        if (positiveMovementValue == 0)
                        {
                            negativeMovementValue = renkoStartPrice - 2 * boxSize;
                            positiveMovementValue = renkoStartPrice + boxSize;
                        }
                    }

                    if (Direction == "S")
                    {
                        if (Convert.ToDouble(dr["f2"]) <= positiveMovementValue)
                        {
                            dr["RENKO"]           = "R";
                            negativeMovementValue = negativeMovementValue - boxSize;
                            positiveMovementValue = positiveMovementValue - boxSize;
                        }
                        else if (Convert.ToDouble(dr["f2"]) >= negativeMovementValue)
                        {
                            if (Convert.ToDouble(dr["f2"]) >= negativeMovementValue + boxSize)
                            {
                                dr["RENKO"] = "MG";
                            }
                            else
                            {
                                dr["RENKO"] = "G";
                            }

                            Direction             = "B";
                            negativeMovementValue = negativeMovementValue - boxSize - boxSize;
                            positiveMovementValue = positiveMovementValue + boxSize + boxSize + boxSize + boxSize;
                        }
                        else
                        {
                            dr["RENKO"] = "R";
                        }
                    }
                    else if (Direction == "B")
                    {
                        if (Convert.ToDouble(dr["f2"]) >= positiveMovementValue)
                        {
                            dr["RENKO"]           = "G";
                            negativeMovementValue = negativeMovementValue + boxSize;
                            positiveMovementValue = positiveMovementValue + boxSize;
                        }
                        else if (Convert.ToDouble(dr["f2"]) <= negativeMovementValue)
                        {
                            if (Convert.ToDouble(dr["f2"]) <= negativeMovementValue - boxSize)
                            {
                                dr["RENKO"] = "MR";
                            }
                            else
                            {
                                dr["RENKO"] = "R";
                            }
                            Direction             = "S";
                            dr["RENKO"]           = "R";
                            negativeMovementValue = negativeMovementValue + boxSize + boxSize;
                            positiveMovementValue = positiveMovementValue - boxSize - boxSize - boxSize - boxSize;
                        }
                        else
                        {
                            dr["RENKO"] = "G";
                        }
                    }
                }
            }
            //accept changes
            ds.Tables[0].AcceptChanges();
            //remove columns

            if (superTrend)
            {
                ds.Tables[0].Columns.Remove("ATR7");
                ds.Tables[0].Columns.Remove("FinalUpperBand");
                ds.Tables[0].Columns.Remove("FinalLowerBand");
            }
            if (macdInd)
            {
                //ds.Tables[0].Columns.Remove("macd");
                //ds.Tables[0].Columns.Remove("macd9");
            }
        }
Exemplo n.º 40
0
        public override void Initialize()
        {
            UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
            EnableAutomaticIndicatorWarmUp         = true;
            SetStartDate(2013, 10, 07);
            SetEndDate(2013, 10, 09);

            var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);

            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();

            // Test case: custom IndicatorBase<QuoteBar> indicator using Future unsubscribed symbol
            var indicator1 = new CustomIndicator();

            AssertIndicatorState(indicator1, isReady: false);
            WarmUpIndicator(_symbol, indicator1);
            AssertIndicatorState(indicator1, isReady: true);

            // Test case: SimpleMovingAverage<IndicatorDataPoint> using Future unsubscribed symbol (should use TradeBar)
            var sma1 = new SimpleMovingAverage(10);

            AssertIndicatorState(sma1, isReady: false);
            WarmUpIndicator(_symbol, sma1);
            AssertIndicatorState(sma1, isReady: true);

            // Test case: SimpleMovingAverage<IndicatorDataPoint> using Equity unsubscribed symbol
            var spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
            var sma = new SimpleMovingAverage(10);

            AssertIndicatorState(sma, isReady: false);
            WarmUpIndicator(spy, sma);
            AssertIndicatorState(sma, isReady: true);

            // We add the symbol
            AddFutureContract(_symbol);
            AddEquity("SPY");
            // force spy for use Raw data mode so that it matches the used when unsubscribed which uses the universe settings
            SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(spy).SetDataNormalizationMode(DataNormalizationMode.Raw);

            // Test case: custom IndicatorBase<QuoteBar> indicator using Future subscribed symbol
            var indicator    = new CustomIndicator();
            var consolidator = CreateConsolidator(TimeSpan.FromMinutes(1), typeof(QuoteBar));

            RegisterIndicator(_symbol, indicator, consolidator);

            AssertIndicatorState(indicator, isReady: false);
            WarmUpIndicator(_symbol, indicator);
            AssertIndicatorState(indicator, isReady: true);

            // Test case: SimpleMovingAverage<IndicatorDataPoint> using Future Subscribed symbol (should use TradeBar)
            var sma11 = new SimpleMovingAverage(10);

            AssertIndicatorState(sma11, isReady: false);
            WarmUpIndicator(_symbol, sma11);
            AssertIndicatorState(sma11, isReady: true);

            if (!sma11.Current.Equals(sma1.Current))
            {
                throw new Exception("Expected SMAs warmed up before and after adding the Future to the algorithm to have the same current value. " +
                                    "The result of 'WarmUpIndicator' shouldn't change if the symbol is or isn't subscribed");
            }

            // Test case: SimpleMovingAverage<IndicatorDataPoint> using Equity unsubscribed symbol
            var smaSpy = new SimpleMovingAverage(10);

            AssertIndicatorState(smaSpy, isReady: false);
            WarmUpIndicator(spy, smaSpy);
            AssertIndicatorState(smaSpy, isReady: true);

            if (!smaSpy.Current.Equals(sma.Current))
            {
                throw new Exception("Expected SMAs warmed up before and after adding the Equity to the algorithm to have the same current value. " +
                                    "The result of 'WarmUpIndicator' shouldn't change if the symbol is or isn't subscribed");
            }
        }
Exemplo n.º 41
0
        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 08);  //Set Start Date
            SetEndDate(2013, 10, 11);    //Set End Date
            SetCash(100000);             //Set Strategy Cash

            // Find more symbols here: http://quantconnect.com/data
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
            AddData <QuandlFuture>("CHRIS/CME_SP1", Resolution.Daily);
            // specifying the exchange will allow the history methods that accept a number of bars to return to work properly
            Securities["CHRIS/CME_SP1"].Exchange = new EquityExchange();

            // we can get history in initialize to set up indicators and such
            spyDailySma = new SimpleMovingAverage(14);

            // get the last calendar year's worth of SPY data at the configured resolution (daily)
            var tradeBarHistory = History <TradeBar>("SPY", TimeSpan.FromDays(365));

            AssertHistoryCount("History<TradeBar>(\"SPY\", TimeSpan.FromDays(365))", tradeBarHistory, 250);

            // get the last calendar day's worth of SPY data at the specified resolution
            tradeBarHistory = History <TradeBar>("SPY", TimeSpan.FromDays(1), Resolution.Minute);
            AssertHistoryCount("History<TradeBar>(\"SPY\", TimeSpan.FromDays(1), Resolution.Minute)", tradeBarHistory, 390);

            // get the last 14 bars of SPY at the configured resolution (daily)
            tradeBarHistory = History <TradeBar>("SPY", 14).ToList();
            AssertHistoryCount("History<TradeBar>(\"SPY\", 14)", tradeBarHistory, 14);

            // get the last 14 minute bars of SPY
            tradeBarHistory = History <TradeBar>("SPY", 14, Resolution.Minute);
            AssertHistoryCount("History<TradeBar>(\"SPY\", 14, Resolution.Minute)", tradeBarHistory, 14);

            // we can loop over the return value from these functions and we get TradeBars
            // we can use these TradeBars to initialize indicators or perform other math
            foreach (TradeBar tradeBar in tradeBarHistory)
            {
                spyDailySma.Update(tradeBar.EndTime, tradeBar.Close);
            }

            // get the last calendar year's worth of quandl data at the configured resolution (daily)
            var quandlHistory = History <QuandlFuture>("CHRIS/CME_SP1", TimeSpan.FromDays(365));

            AssertHistoryCount("History<Quandl>(\"CHRIS/CME_SP1\", TimeSpan.FromDays(365))", quandlHistory, 250);

            // get the last 14 bars of SPY at the configured resolution (daily)
            quandlHistory = History <QuandlFuture>("CHRIS/CME_SP1", 14);
            AssertHistoryCount("History<Quandl>(\"CHRIS/CME_SP1\", 14)", quandlHistory, 14);

            // get the last 14 minute bars of SPY

            // we can loop over the return values from these functions and we'll get Quandl data
            // this can be used in much the same way as the tradeBarHistory above
            spyDailySma.Reset();
            foreach (QuandlFuture quandl in quandlHistory)
            {
                spyDailySma.Update(quandl.EndTime, quandl.Value);
            }

            // get the last year's worth of all configured Quandl data at the configured resolution (daily)
            var allQuandlData = History <QuandlFuture>(TimeSpan.FromDays(365));

            AssertHistoryCount("History<QuandlFuture>(TimeSpan.FromDays(365))", allQuandlData, 250);

            // get the last 14 bars worth of Quandl data for the specified symbols at the configured resolution (daily)
            allQuandlData = History <QuandlFuture>(Securities.Keys, 14);
            AssertHistoryCount("History<QuandlFuture>(Securities.Keys, 14)", allQuandlData, 14);

            // NOTE: using different resolutions require that they are properly implemented in your data type, since
            //  Quandl doesn't support minute data, this won't actually work, but if your custom data source has
            //  different resolutions, it would need to be implemented in the GetSource and Reader methods properly
            //quandlHistory = History<QuandlFuture>("CHRIS/CME_SP1", TimeSpan.FromDays(7), Resolution.Minute);
            //quandlHistory = History<QuandlFuture>("CHRIS/CME_SP1", 14, Resolution.Minute);
            //allQuandlData = History<QuandlFuture>(TimeSpan.FromDays(365), Resolution.Minute);
            //allQuandlData = History<QuandlFuture>(Securities.Keys, 14, Resolution.Minute);
            //allQuandlData = History<QuandlFuture>(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
            //allQuandlData = History<QuandlFuture>(Securities.Keys, 14, Resolution.Minute);

            // get the last calendar year's worth of all quandl data
            allQuandlData = History <QuandlFuture>(Securities.Keys, TimeSpan.FromDays(365));
            AssertHistoryCount("History<QuandlFuture>(Securities.Keys, TimeSpan.FromDays(365))", allQuandlData, 250);

            // the return is a series of dictionaries containing all quandl data at each time
            // we can loop over it to get the individual dictionaries
            foreach (DataDictionary <QuandlFuture> quandlsDataDictionary in allQuandlData)
            {
                // we can access the dictionary to get the quandl data we want
                var quandl = quandlsDataDictionary["CHRIS/CME_SP1"];
            }

            // we can also access the return value from the multiple symbol functions to request a single
            // symbol and then loop over it
            var singleSymbolQuandl = allQuandlData.Get("CHRIS/CME_SP1");

            AssertHistoryCount("allQuandlData.Get(\"CHRIS/CME_SP1\")", singleSymbolQuandl, 250);
            foreach (QuandlFuture quandl in singleSymbolQuandl)
            {
                // do something with 'CHRIS/CME_SP1' quandl data
            }

            // we can also access individual properties on our data, this will
            // get the 'CHRIS/CME_SP1' quandls like above, but then only return the Low properties
            var quandlSpyLows = allQuandlData.Get("CHRIS/CME_SP1", "Low");

            AssertHistoryCount("allQuandlData.Get(\"CHRIS/CME_SP1\", \"Low\")", quandlSpyLows, 250);
            foreach (decimal low in quandlSpyLows)
            {
                // do something we each low value
            }

            // sometimes it's necessary to get the history for many configured symbols

            // request the last year's worth of history for all configured symbols at their configured resolutions
            var allHistory = History(TimeSpan.FromDays(365));

            AssertHistoryCount("History(TimeSpan.FromDays(365))", allHistory, 250);

            // request the last days's worth of history at the minute resolution
            allHistory = History(TimeSpan.FromDays(1), Resolution.Minute);
            AssertHistoryCount("History(TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391);

            // request the last 100 bars for the specified securities at the configured resolution
            allHistory = History(Securities.Keys, 100);
            AssertHistoryCount("History(Securities.Keys, 100)", allHistory, 100);

            // request the last 100 minute bars for the specified securities
            allHistory = History(Securities.Keys, 100, Resolution.Minute);
            AssertHistoryCount("History(Securities.Keys, 100, Resolution.Minute)", allHistory, 101);

            // request the last calendar years worth of history for the specified securities
            allHistory = History(Securities.Keys, TimeSpan.FromDays(365));
            AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(365))", allHistory, 250);
            // we can also specify the resolutin
            allHistory = History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute);
            AssertHistoryCount("History(Securities.Keys, TimeSpan.FromDays(1), Resolution.Minute)", allHistory, 391);

            // if we loop over this allHistory, we get Slice objects
            foreach (Slice slice in allHistory)
            {
                // do something with each slice, these will come in time order
                // and will NOT have auxilliary data, just price data and your custom data
                // if those symbols were specified
            }

            // we can access the history for individual symbols from the all history by specifying the symbol
            // the type must be a trade bar!
            tradeBarHistory = allHistory.Get <TradeBar>("SPY");
            AssertHistoryCount("allHistory.Get(\"SPY\")", tradeBarHistory, 390);

            // we can access all the closing prices in chronological order using this get function
            var closeHistory = allHistory.Get("SPY", Field.Close);

            AssertHistoryCount("allHistory.Get(\"SPY\", Field.Close)", closeHistory, 390);
            foreach (decimal close in closeHistory)
            {
                // do something with each closing value in order
            }

            // we can convert the close history into your normal double array (double[]) using the ToDoubleArray method
            double[] doubleArray = closeHistory.ToDoubleArray();
        }
Exemplo n.º 42
0
 protected override void OnStart()
 {
     i_Moving_Average_200MA    = Indicators.SimpleMovingAverage(MarketSeries.Close, (int)_Slow_SMA);
     i_Relative_Strength_Index = Indicators.RelativeStrengthIndex(MarketSeries.Close, (int)_RSI_Period);
     i_Moving_Average_5MA      = Indicators.SimpleMovingAverage(MarketSeries.Close, (int)_Fast_SMA);
 }
        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 08);
            SetEndDate(2013, 10, 09);

            var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.USA);

            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
            AddFutureContract(_symbol);

            _consolidationCount = new List <int> {
                0, 0, 0, 0, 0, 0, 0, 0
            };

            var sma = new SimpleMovingAverage(10);

            Consolidate <QuoteBar>(_symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
                                   bar => UpdateQuoteBar(sma, bar, 0));

            var sma2 = new SimpleMovingAverage(10);

            Consolidate <QuoteBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(sma2, bar, 1));

            var sma3 = new SimpleMovingAverage(10);

            Consolidate(_symbol, Resolution.Daily, TickType.Quote, (Action <QuoteBar>)(bar => UpdateQuoteBar(sma3, bar, 2)));

            var sma4 = new SimpleMovingAverage(10);

            Consolidate(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(sma4, bar, 3));

            var sma5 = new SimpleMovingAverage(10);

            Consolidate <TradeBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(sma5, bar, 4));

            // custom data
            var sma6   = new SimpleMovingAverage(10);
            var symbol = AddData <CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute).Symbol;

            Consolidate <TradeBar>(symbol, TimeSpan.FromDays(1), bar => _customDataConsolidator++);

            try
            {
                Consolidate <QuoteBar>(symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(sma6, bar, -1); });
                throw new Exception($"Expected {nameof(ArgumentException)} to be thrown");
            }
            catch (ArgumentException)
            {
                // will try to use BaseDataConsolidator for which input is TradeBars not QuoteBars
            }

            // Test using abstract T types, through defining a 'BaseData' handler
            var sma7 = new SimpleMovingAverage(10);

            Consolidate(_symbol, Resolution.Daily, null, (Action <BaseData>)(bar => UpdateBar(sma7, bar, 5)));

            var sma8 = new SimpleMovingAverage(10);

            Consolidate(_symbol, TimeSpan.FromDays(1), null, (Action <BaseData>)(bar => UpdateBar(sma8, bar, 6)));

            var sma9 = new SimpleMovingAverage(10);

            Consolidate(_symbol, TimeSpan.FromDays(1), (Action <BaseData>)(bar => UpdateBar(sma9, bar, 7)));
        }
 private void UpdateQuoteBar(SimpleMovingAverage sma, QuoteBar quoteBar, int position)
 {
     _consolidationCount[position]++;
     sma.Update(quoteBar.EndTime, quoteBar.High);
 }
Exemplo n.º 45
0
        protected override ISignal CreateIndicator(Symbol pair, int i, string entryOrExit)
        {
            var key          = entryOrExit + "Indicator" + i + "Direction";
            var intDirection = GetConfigValue(key);

            var direction = intDirection == 0 || intDirection == 1 ? Direction.LongOnly : Direction.ShortOnly;

            key = entryOrExit + "Indicator" + i;

            var     indicator = (TechnicalIndicator)GetConfigValue(key);
            ISignal signal    = null;

            switch (indicator)
            {
            case TechnicalIndicator.SimpleMovingAverage:
                var fast = _algorithm.SMA(pair, _ignorePeriod ? 50 : _period, _resolution);
                var slow = _algorithm.SMA(pair, _ignorePeriod ? 200 : _period, _resolution);
                signal = new CrossingMovingAverageSignal(fast, slow, direction);
                break;

            case TechnicalIndicator.MovingAverageConvergenceDivergence:
                var macd = _algorithm.MACD(pair, _ignorePeriod ? 12 : _fastPeriod, _ignorePeriod ? 26 : _slowPeriod, _ignorePeriod ? 9 : _signalPeriod, MovingAverageType.Simple, _resolution);
                signal = new CrossingMovingAverageSignal(macd, macd.Signal, direction);
                break;

            case TechnicalIndicator.Stochastic:
                var sto = _algorithm.STO(pair, _ignorePeriod ? 14 : _period, _resolution);
                signal = new OscillatorSignal(sto, direction, _enableSurvival ? 3 : 1);
                break;

            case TechnicalIndicator.RelativeStrengthIndex:
                var rsi = _algorithm.RSI(pair, _ignorePeriod ? 11 : _period);
                signal = new OscillatorSignal(rsi, new[] { 30, 70 }, direction);
                break;

            case TechnicalIndicator.CommodityChannelIndex:
                var cci = _algorithm.CCI(pair, _ignorePeriod ? 20 : _period, MovingAverageType.Simple, _resolution);
                signal = new OscillatorSignal(cci, new[] { -100, 100 }, direction);
                break;

            case TechnicalIndicator.MomentumPercent:
                var pm = _algorithm.MOMP(pair, _ignorePeriod ? 60 : _period, _resolution);
                signal = new OscillatorSignal(pm, new[] { -5, 5 }, direction);
                break;

            case TechnicalIndicator.WilliamsPercentR:
                var wr = _algorithm.WILR(pair, _ignorePeriod ? 14 : _period, _resolution);
                signal = new OscillatorSignal(wr, new[] { -20, -80 }, direction);
                break;

            case TechnicalIndicator.PercentagePriceOscillator:
                var ppo = _algorithm.MACD(pair, _ignorePeriod ? 12 : _fastPeriod, _ignorePeriod ? 26 : _slowPeriod, _ignorePeriod ? 9 : _signalPeriod, MovingAverageType.Simple, _resolution)
                          .Over(_algorithm.EMA(pair, _ignorePeriod ? 120 : _period, resolution: _resolution)).Plus(constant: 100m);
                var compound = new SimpleMovingAverage(_ignorePeriod ? 120 : _period).Of(ppo);
                signal = new CrossingMovingAverageSignal(ppo, compound, direction);
                break;

            case TechnicalIndicator.None:
                signal = new EmptySignal();
                break;

            case TechnicalIndicator.AverageDirectionalIndex:
                var adx = _algorithm.ADX(pair, _ignorePeriod ? 20 : _period, _resolution);
                signal = new OscillatorSignal(adx, new[] { 25, 25 }, direction);
                break;

            //todo:
            case TechnicalIndicator.NormalizedAverageTrueRange:
                var natr = _algorithm.NATR(pair, _ignorePeriod ? 20 : _period, _resolution);
                signal = new OscillatorSignal(natr, new[] { 1, 1 }, direction);
                break;

            case TechnicalIndicator.BollingerBands:
                var bb = _algorithm.BB(pair, _ignorePeriod ? 20 : _period, k: 2);
                signal = new BBOscillatorSignal(bb, direction, _enableSurvival ? 4 : 1);
                break;

            case TechnicalIndicator.ExponentialMovingAverage:
                var fastema = _algorithm.EMA(pair, _ignorePeriod ? 50 : _fastPeriod);
                var slowema = _algorithm.EMA(pair, _ignorePeriod ? 200 : _slowPeriod);
                signal = new CrossingMovingAverageSignal(fastema, slowema, direction);
                break;

            case TechnicalIndicator.ChannelBreakout:
                var delay = new Delay(5);
                var _max  = delay.Of(_algorithm.MAX(pair, _ignorePeriod ? 20 : _period));
                var _min  = delay.Of(_algorithm.MIN(pair, _ignorePeriod ? 20 : _period));
                var cur   = _algorithm.MAX(pair, 1);   //current value
                signal = new ChannelOscillatorSignal(cur, _max, _min, direction, _enableSurvival ? 4 : 1);
                break;

            case TechnicalIndicator.DonchianTrend:
                var donchian = _algorithm.DCH(pair, _ignorePeriod ? 20 : _period);
                var max      = _algorithm.MAX(pair, _ignorePeriod ? 1 : _period);
                signal = new DonchianSignal(max, donchian, 2, direction);
                break;
            }

            signal.Name = indicator.ToString();
            return(signal);
        }
Exemplo n.º 46
0
        public static TimelineResponse GetTimeline(TimelineRequest request, List <CmdrStats> cmdrstats)
        {
            if (request.Step < 3)
            {
                request.Step = 3;
            }

            if (request.smaK < 3)
            {
                request.smaK = 3;
            }

            var stats = GetTimeStats(request, cmdrstats);

            int tcount = stats.Sum(s => s.count);
            TimelineResponse response = new TimelineResponse()
            {
                Interest    = request.Interest,
                Count       = request.Player ? tcount : tcount / 6,
                Versus      = request.Versus,
                AvgDuration = tcount == 0 ? 0 : (int)(stats.Sum(s => s.duration) / tcount),
                Items       = new List <DsResponseItem>()
            };

            DateTime requestTime = request.StartTime;

            while (requestTime < request.EndTime)
            {
                var timeResults = stats.Where(f => f.year == requestTime.Year && f.month == requestTime.Month && f.RACE == (byte)DSData.GetCommander(request.Interest));

                if (!timeResults.Any())
                {
                    response.Items.Add(new TimelineResponseItem()
                    {
                        Label = $"{requestTime.ToString("yyyy-MM")} (0)",
                        Count = 0,
                        Wins  = 0
                    });
                }
                else
                {
                    int ccount = timeResults.Sum(s => s.count);
                    response.Items.Add(new TimelineResponseItem()
                    {
                        Label = $"{requestTime.ToString("yyyy-MM")} ({ccount})",
                        Count = ccount,
                        Wins  = timeResults.Sum(s => s.wins)
                    });
                }
                requestTime = requestTime.AddMonths(1);
            }

            if (response.Items.Any() && response.Items.Last().Count < 10)
            {
                response.Items.RemoveAt(response.Items.Count - 1);
            }

            var sma = new SimpleMovingAverage(request.smaK);

            response.SmaData = new List <double>();
            response.SmaData = GetNiceLineData(response.Items.Select(s => s.Count == 0 ? 0 : ((double)s.Wins * 100.0 / (double)s.Count)), request.smaK);

            return(response);
        }
Exemplo n.º 47
0
        /// <summary>
        /// Executes the Instant Trend strategy
        /// </summary>
        /// <param name="data">TradeBars - the current OnData</param>
        /// <param name="tradesize"></param>
        /// <param name="trendCurrent">IndicatorDataPoint - the current trend value trend</param>
        /// <param name="orderId">int - the orderId if one is placed, -1 if order has not filled and 0 if no order was placed</param>
        public string ExecuteStrategy(TradeBars data, int tradesize, IndicatorDataPoint max, IndicatorDataPoint min, RateOfChangePercent rocp, ref SimpleMovingAverage sma20, out int orderId)
        {
            maximum = max;
            minimum = min;
            Price.Add(idp(data[_symbol].EndTime, (data[_symbol].Close + data[_symbol].Open) / 2));
            orderId = 0;
            comment = string.Empty;



            if (_algorithm.Portfolio[_symbol].IsLong)
            {
                nStatus = 1;
            }
            if (_algorithm.Portfolio[_symbol].IsShort)
            {
                nStatus = -1;
            }


            #region "Strategy Execution"

            bReverseTrade = false;

            try
            {
                if (!_algorithm.Portfolio.Invested)
                {
                    if (PricePassedAValley() && rocp.Current.Value < 0)
                    {
                        ticket  = GetLong(tradesize);
                        orderId = ticket.OrderId;
                        comment = "Bot new position ppMin && rocp < 0";
                    }
                    if (PricePassedAPeak() && rocp.Current.Value > 0)
                    {
                        ticket  = GetShort(tradesize);
                        orderId = ticket.OrderId;
                        comment = "Sld new position ppMin && rocp < 0";
                    }
                }
                else
                {
                    if (PricePassedAValley() && _algorithm.Portfolio[_symbol].IsShort)
                    {
                        if (Price[0].Value > sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value) > .001m)
                        {
                            ticket  = ReverseToLong();
                            comment = "Rev2Long Passed a Valley";
                        }
                    }

                    if (PricePassedAPeak() && _algorithm.Portfolio[_symbol].IsLong)
                    {
                        if (Price[0].Value <sma20.Current.Value && (Math.Abs(sma20.Current.Value - Price[0].Value) / Price[0].Value)> .001m)
                        {
                            ticket  = ReverseToShort();
                            comment = "Rev2Short Passed a Peak";
                        }
                    }
                }
            }
            catch (Exception ex)
            {
                System.Diagnostics.Debug.WriteLine(ex.StackTrace);
            }
            #endregion

            return(comment);
        }
Exemplo n.º 48
0
        public void Generate(AudioTrack track)
        {
            IAudioStream audioStream = new ResamplingStream(
                new MonoStream(AudioStreamFactory.FromFileInfoIeee32(track.FileInfo)),
                ResamplingQuality.Medium, profile.SamplingRate);

            STFT stft            = new STFT(audioStream, profile.WindowSize, profile.HopSize, WindowType.Hann, STFT.OutputFormat.Decibel);
            int  index           = 0;
            int  indices         = stft.WindowCount;
            int  processedFrames = 0;

            float[] spectrum         = new float[profile.WindowSize / 2];
            float[] smoothedSpectrum = new float[spectrum.Length - profile.SpectrumSmoothingLength + 1]; // the smooved frequency spectrum of the current frame
            var     spectrumSmoother = new SimpleMovingAverage(profile.SpectrumSmoothingLength);

            float[] spectrumTemporalAverage = new float[spectrum.Length]; // a running average of each spectrum bin over time
            float[] spectrumResidual        = new float[spectrum.Length]; // the difference between the current spectrum and the moving average spectrum

            var peakHistory = new PeakHistory(1 + profile.TargetZoneDistance + profile.TargetZoneLength, spectrum.Length / 2);
            var peakPairs   = new List <PeakPair>(profile.PeaksPerFrame * profile.PeakFanout); // keep a single instance of the list to avoid instantiation overhead

            var subFingerprints = new List <SubFingerprint>();

            while (stft.HasNext())
            {
                // Get the FFT spectrum
                stft.ReadFrame(spectrum);

                // Skip frames whose average spectrum volume is below the threshold
                // This skips silent frames (zero samples) that only contain very low noise from the FFT
                // and that would screw up the temporal spectrum average below for the following frames.
                if (spectrum.Average() < spectrumMinThreshold)
                {
                    index++;
                    continue;
                }

                // Smooth the frequency spectrum to remove small peaks
                if (profile.SpectrumSmoothingLength > 0)
                {
                    spectrumSmoother.Clear();
                    for (int i = 0; i < spectrum.Length; i++)
                    {
                        var avg = spectrumSmoother.Add(spectrum[i]);
                        if (i >= profile.SpectrumSmoothingLength)
                        {
                            smoothedSpectrum[i - profile.SpectrumSmoothingLength] = avg;
                        }
                    }
                }

                // Update the temporal moving bin average
                if (processedFrames == 0)
                {
                    // Init averages on first frame
                    for (int i = 0; i < spectrum.Length; i++)
                    {
                        spectrumTemporalAverage[i] = spectrum[i];
                    }
                }
                else
                {
                    // Update averages on all subsequent frames
                    for (int i = 0; i < spectrum.Length; i++)
                    {
                        spectrumTemporalAverage[i] = ExponentialMovingAverage.UpdateMovingAverage(
                            spectrumTemporalAverage[i], profile.SpectrumTemporalSmoothingCoefficient, spectrum[i]);
                    }
                }

                // Calculate the residual
                // The residual is the difference of the current spectrum to the temporal average spectrum. The higher
                // a bin residual is, the steeper the increase in energy in that peak.
                for (int i = 0; i < spectrum.Length; i++)
                {
                    spectrumResidual[i] = spectrum[i] - spectrumTemporalAverage[i] - 90f;
                }

                // Find local peaks in the residual
                // The advantage of finding peaks in the residual instead of the spectrum is that spectrum energy is usually
                // concentrated in the low frequencies, resulting in a clustering of the highest peaks in the lows. Getting
                // peaks from the residual distributes the peaks more evenly across the spectrum.
                var peaks = peakHistory.List;             // take oldest list,
                peaks.Clear();                            // clear it, and
                FindLocalMaxima(spectrumResidual, peaks); // refill with new peaks

                // Pick the largest n peaks
                int numMaxima = Math.Min(peaks.Count, profile.PeaksPerFrame);
                if (numMaxima > 0)
                {
                    peaks.Sort((p1, p2) => p1.Value == p2.Value ? 0 : p1.Value < p2.Value ? 1 : -1); // order peaks by height
                    if (peaks.Count > numMaxima)
                    {
                        peaks.RemoveRange(numMaxima, peaks.Count - numMaxima);                       // select the n tallest peaks by deleting the rest
                    }
                    peaks.Sort((p1, p2) => p1.Index == p2.Index ? 0 : p1.Index < p2.Index ? -1 : 1); // sort peaks by index (not really necessary)
                }

                peakHistory.Add(index, peaks);

                if (FrameProcessed != null)
                {
                    // Mark peaks as 0dB for spectrogram display purposes
                    foreach (var peak in peaks)
                    {
                        spectrum[peak.Index]         = 0;
                        spectrumResidual[peak.Index] = 0;
                    }

                    FrameProcessed(this, new FrameProcessedEventArgs {
                        AudioTrack = track, Index = index, Indices = indices,
                        Spectrum   = spectrum, SpectrumResidual = spectrumResidual
                    });
                }

                processedFrames++;
                index++;

                if (processedFrames >= peakHistory.Length)
                {
                    peakPairs.Clear();
                    FindPairsWithMaxEnergy(peakHistory, peakPairs);
                    ConvertPairsToSubFingerprints(peakPairs, subFingerprints);
                }

                if (subFingerprints.Count > 512)
                {
                    FireFingerprintHashesGenerated(track, indices, subFingerprints);
                    subFingerprints.Clear();
                }
            }

            // Flush the remaining peaks of the last frames from the history to get all remaining pairs
            for (int i = 0; i < profile.TargetZoneLength; i++)
            {
                var peaks = peakHistory.List;
                peaks.Clear();
                peakHistory.Add(-1, peaks);
                peakPairs.Clear();
                FindPairsWithMaxEnergy(peakHistory, peakPairs);
                ConvertPairsToSubFingerprints(peakPairs, subFingerprints);
            }
            FireFingerprintHashesGenerated(track, indices, subFingerprints);

            audioStream.Close();
        }
        /// <summary>
        /// Initialize test
        /// </summary>
        public TestIndicatorSimpleMovingAverage()
        {
            DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);

            _sut = new SimpleMovingAverage(Period, stream.DefaultInterval, stream);
        }
Exemplo n.º 50
0
        private void Download_OnClick(object sender, RoutedEventArgs e)
        {
            var year     = SelectedYear;
            var from     = From.Value ?? year.Days.First();
            var to       = (To.Value ?? year.Days.Last()).EndOfDay();
            var trader   = SelectedTrader;
            var security = SelectedSecurity;
            var tf       = SelectedTimeFrame;
            var series   = new CandleSeries(typeof(TimeFrameCandle), security, tf);

            BusyIndicator.BusyContent = "Подготовка данных...";
            BusyIndicator.IsBusy      = true;

            Dictionary <DateTimeOffset, Tuple <MyTrade[], MyTrade> > trades = null;

            var worker = new BackgroundWorker {
                WorkerReportsProgress = true
            };

            worker.DoWork += (o, ea) =>
            {
                var candleStorage = _dataRegistry.GetCandleStorage(series, format: StorageFormats.Csv);

                _candles = candleStorage.Load(from, to);

                var candlesDatesCache = _candlesDates.SafeAdd(Tuple.Create(security, tf), k => new DatesCache(Path.Combine(((LocalMarketDataDrive)candleStorage.Drive.Drive).GetSecurityPath(security.ToSecurityId()), "{0}min_date.bin".Put((int)tf.TotalMinutes))));

                var minCandleDate = candlesDatesCache.MinValue;
                var maxCandleDate = candlesDatesCache.MaxValue;

                if (from < minCandleDate || to > maxCandleDate)
                {
                    var finamFrom = from;
                    var finamTo   = to;

                    if (maxCandleDate != default(DateTime) && finamFrom >= minCandleDate && finamFrom <= maxCandleDate)
                    {
                        finamFrom = maxCandleDate + TimeSpan.FromDays(1);
                    }

                    if (minCandleDate != default(DateTime) && finamTo >= minCandleDate && finamTo <= maxCandleDate)
                    {
                        finamTo = minCandleDate - TimeSpan.FromDays(1);
                    }

                    if (finamTo > finamFrom)
                    {
                        worker.ReportProgress(1);

                        var newCandles = (tf.Ticks == 1
                                                        ? finamFrom.Range(finamTo, TimeSpan.FromDays(1)).SelectMany(day => _finamHistorySource.GetTrades(security, day, day)).ToEx().ToCandles <TimeFrameCandle>(tf)
                                                        : _finamHistorySource.GetCandles(security, tf, finamFrom, finamTo)
                                          ).ToArray();

                        candleStorage.Save(newCandles);

                        foreach (var date in newCandles.Select(c => c.OpenTime.Date).Distinct())
                        {
                            candlesDatesCache.Add(date);
                        }

                        candlesDatesCache.Save();

                        _candles = _candles.Concat(newCandles);
                    }
                }

                var traderDrive   = new LocalMarketDataDrive(trader);
                var traderStorage = _traderStorages.SafeAdd(trader, key => new StorageRegistry {
                    DefaultDrive = traderDrive
                });

                var olStorage       = traderStorage.GetOrderLogStorage(security, format: StorageFormats.Csv);
                var tradeDatesCache = _tradesDates.SafeAdd(trader, k => new DatesCache(Path.Combine(traderDrive.Path, "dates.bin")));

                trades = from
                         .Range(to, TimeSpan.FromDays(1))
                         .Intersect(year.Days)
                         .SelectMany(date =>
                {
                    if (olStorage.Dates.Contains(date))
                    {
                        return(olStorage.Load(date));
                    }

                    if (tradeDatesCache.Contains(date))
                    {
                        return(Enumerable.Empty <OrderLogItem>());
                    }

                    worker.ReportProgress(2, date);

                    var loadedTrades = year.GetTrades(_securityStorage, trader, date);

                    var secTrades = Enumerable.Empty <OrderLogItem>();

                    foreach (var group in loadedTrades.GroupBy(t => t.Order.Security))
                    {
                        var sec = group.Key;

                        traderStorage
                        .GetOrderLogStorage(sec, format: StorageFormats.Csv)
                        .Save(group.OrderBy(i => i.Order.Time));

                        if (group.Key == security)
                        {
                            secTrades = group;
                        }
                    }

                    tradeDatesCache.Add(date);
                    tradeDatesCache.Save();

                    return(secTrades);
                })
                         .GroupBy(ol =>
                {
                    var time = ol.Order.Time;

                    var period = security.Board.WorkingTime.GetPeriod(time.DateTime);
                    if (period != null && period.Times.Length > 0)
                    {
                        var last = period.Times.Last().Max;

                        if (time.TimeOfDay >= last)
                        {
                            time = time.AddTicks(-1);
                        }
                    }

                    return(time.Truncate(tf));
                })
                         .ToDictionary(g => g.Key, g =>
                {
                    var candleTrades = g
                                       .Select(order => new MyTrade
                    {
                        Order = order.Order,
                        Trade = order.Trade
                    })
                                       .ToArray();

                    if (candleTrades.Length > 0)
                    {
                        var order  = candleTrades[0].Order;
                        var volume = candleTrades.Sum(t1 => t1.Trade.Volume * (t1.Order.Direction == Sides.Buy ? 1 : -1));

                        if (volume == 0)
                        {
                            return(Tuple.Create(candleTrades, (MyTrade)null));
                        }

                        var side = volume > 0 ? Sides.Buy : Sides.Sell;

                        volume = volume.Abs();

                        var availableVolume = volume;
                        var avgPrice        = 0m;

                        foreach (var trade in candleTrades.Where(t1 => t1.Order.Direction == side))
                        {
                            var tradeVol = trade.Trade.Volume.Min(availableVolume);
                            avgPrice    += trade.Trade.Price * tradeVol;

                            availableVolume -= tradeVol;

                            if (availableVolume <= 0)
                            {
                                break;
                            }
                        }

                        avgPrice = avgPrice / volume;

                        return(Tuple.Create(candleTrades, new MyTrade
                        {
                            Order = new Order
                            {
                                Security = order.Security,
                                Direction = side,
                                Time = g.Key,
                                Portfolio = order.Portfolio,
                                Price = avgPrice,
                                Volume = volume,
                            },
                            Trade = new Trade
                            {
                                Security = order.Security,
                                Time = g.Key,
                                Volume = volume,
                                Price = avgPrice
                            }
                        }));
                    }

                    return(null);
                });
            };

            worker.ProgressChanged += (o, ea) =>
            {
                switch (ea.ProgressPercentage)
                {
                case 1:
                    BusyIndicator.BusyContent = "Скачивание свечей...";
                    break;

                default:
                    BusyIndicator.BusyContent = "Скачивание сделок за {0:yyyy-MM-dd}...".Put(ea.UserState);
                    break;
                }
            };

            worker.RunWorkerCompleted += (o, ea) =>
            {
                BusyIndicator.IsBusy = false;

                if (ea.Error == null)
                {
                    Chart.ClearAreas();
                    _statisticManager.Reset();

                    var area = new ChartArea();
                    area.YAxises.Add(new ChartAxis
                    {
                        Id            = "equity",
                        AutoRange     = true,
                        AxisType      = ChartAxisType.Numeric,
                        AxisAlignment = ChartAxisAlignment.Left,
                    });
                    Chart.AddArea(area);

                    var candlesElem = new ChartCandleElement {
                        ShowAxisMarker = false
                    };
                    Chart.AddElement(area, candlesElem, series);

                    var tradesElem = new ChartTradeElement
                    {
                        BuyStrokeColor  = Colors.Black,
                        SellStrokeColor = Colors.Black,
                        FullTitle       = "trades",
                    };
                    Chart.AddElement(area, tradesElem);

                    var equityElem = new ChartIndicatorElement {
                        YAxisId = "equity", FullTitle = "equity", IndicatorPainter = new PnlPainter()
                    };
                    var equityInd = new SimpleMovingAverage {
                        Length = 1
                    };
                    Chart.AddElement(area, equityElem);

                    var positionArea = new ChartArea {
                        Height = 200
                    };
                    Chart.AddArea(positionArea);

                    var positionElem = new ChartIndicatorElement {
                        FullTitle = "position"
                    };
                    var positionInd = new SimpleMovingAverage {
                        Length = 1
                    };
                    Chart.AddElement(positionArea, positionElem);

                    Chart.IsAutoRange = true;

                    var pnlQueue = new PnLQueue(security.ToSecurityId());
                    //var level1Info = new Level1ChangeMessage
                    //{
                    //	SecurityId = pnlQueue.SecurityId,
                    //}
                    //.TryAdd(Level1Fields.PriceStep, security.PriceStep)
                    //.TryAdd(Level1Fields.StepPrice, security.StepPrice);

                    //pnlQueue.ProcessLevel1(level1Info);

                    var pos = 0m;

                    var chartValues = _candles
                                      .Select(c =>
                    {
                        c.State = CandleStates.Finished;

                        pnlQueue.ProcessLevel1(new Level1ChangeMessage
                        {
                            SecurityId = security.ToSecurityId(),
                        }.TryAdd(Level1Fields.LastTradePrice, c.ClosePrice));

                        var values = new Dictionary <IChartElement, object>
                        {
                            { candlesElem, c },
                        };

                        var candleTrade = trades.TryGetValue(c.OpenTime);

                        if (candleTrade != null)
                        {
                            if (candleTrade.Item2 != null)
                            {
                                values.Add(tradesElem, candleTrade.Item2);
                            }

                            foreach (var myTrade in candleTrade.Item1)
                            {
                                pos    += myTrade.Order.Direction == Sides.Buy ? myTrade.Trade.Volume : -myTrade.Trade.Volume;
                                var pnl = pnlQueue.Process(myTrade.ToMessage());

                                _statisticManager.AddMyTrade(pnl);
                            }

                            _statisticManager.AddPosition(c.OpenTime, pos);
                            _statisticManager.AddPnL(c.OpenTime, pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL);
                        }

                        values.Add(equityElem, equityInd.Process(pnlQueue.RealizedPnL + pnlQueue.UnrealizedPnL));
                        values.Add(positionElem, positionInd.Process(pos));

                        return(new RefPair <DateTimeOffset, IDictionary <IChartElement, object> >
                        {
                            First = c.OpenTime,
                            Second = values
                        });
                    })
                                      .ToArray();

                    Chart.Draw(chartValues);

                    Chart.IsAutoRange = false;
                }
                else
                {
                    new MessageBoxBuilder()
                    .Error()
                    .Owner(this)
                    .Text(ea.Error.ToString())
                    .Show();
                }
            };

            worker.RunWorkerAsync();
        }
Exemplo n.º 51
0
        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,
            };

            if (FinamCandlesCheckBox.IsChecked == true)
            {
                _finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
            }

            // 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, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
                },
                    FinamCandlesChart,
                    FinamCandlesEquity,
                    FinamCandlesPosition),

                Tuple.Create(
                    YahooCandlesCheckBox,
                    YahooCandlesProgress,
                    YahooCandlesParameterGrid,
                    // candles
                    new EmulationInfo {
                    UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_nativeIdStorage, _exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), 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,

                        // set history range
                        StartDate = startTime,
                        StopDate  = stopTime,

                        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);

                connector.Connected += () =>
                {
                    if (emulationInfo.HistorySource != null)
                    {
                        // passing null value as security to register the source for all securities

                        if (emulationInfo.UseCandleTimeFrame != null)
                        {
                            connector.RegisterHistorySource(null, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
                        }

                        if (emulationInfo.UseTicks)
                        {
                            connector.RegisterHistorySource(null, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
                        }

                        if (emulationInfo.UseLevel1)
                        {
                            connector.RegisterHistorySource(null, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
                        }

                        if (emulationInfo.UseMarketDepth)
                        {
                            connector.RegisterHistorySource(null, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
                        }
                    }
                };

                connector.NewSecurity += s =>
                {
                    if (s != security)
                    {
                        return;
                    }

                    // fill level1 values
                    connector.HistoryMessageAdapter.SendOutMessage(level1Info);

                    if (emulationInfo.HistorySource == null)
                    {
                        if (emulationInfo.UseMarketDepth)
                        {
                            connector.RegisterMarketDepth(security);

                            if (
                                // if order book will be generated
                                generateDepths ||
                                // of 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.RegisterOrderLog(security);
                        }

                        if (emulationInfo.UseTicks)
                        {
                            connector.RegisterTrades(security);
                        }

                        if (emulationInfo.UseLevel1)
                        {
                            connector.RegisterSecurity(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;
        }
        private void StartBtnClick(object sender, RoutedEventArgs e)
        {
            InitChart();

            if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
            {
                MessageBox.Show(this, LocalizedStrings.Str3014);
                return;
            }

            var secGen     = new SecurityIdGenerator();
            var secIdParts = secGen.Split(SecId.Text);

            var storageRegistry = new StorageRegistry()
            {
                DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
            };

            var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
            var stopTime  = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);

            //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 maxDepth  = 5;
            var maxVolume = 5;

            var secCode = secIdParts.Item1;
            var board   = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2);

            var progressBar  = TicksTestingProcess;
            var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();

            progressBar.Value   = 0;
            progressBar.Maximum = 100;

            var statistic = TicksParameterGrid;
            var security  = new Security()
            {
                Id    = SecId.Text,
                Code  = secCode,
                Board = board,
            };

            var portfolio = new Portfolio()
            {
                Name       = "test account",
                BeginValue = 1000000,
            };

            var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio })
            {
                EmulationAdapter =
                {
                    Emulator     =
                    {
                        Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, },
                        LogLevel = LogLevels.Debug,
                    },
                    LogLevel     = LogLevels.Debug,
                },
                HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), },
            };

            //logManager.Sources.Add(connector);

            var candleManager = new CandleManager(connector);
            var series        = new CandleSeries(typeof(RangeCandle), security, new Unit(100));

            shortMa = new SimpleMovingAverage {
                Length = 10
            };
            shortElem = new ChartIndicatorElement
            {
                Color          = Colors.Coral,
                ShowAxisMarker = false,
                FullTitle      = shortMa.ToString()
            };
            bufferedChart.AddElement(area, shortElem);

            longMa = new SimpleMovingAverage {
                Length = 30
            };
            longElem = new ChartIndicatorElement
            {
                ShowAxisMarker = false,
                FullTitle      = longMa.ToString()
            };

            bufferedChart.AddElement(area, longElem);

            var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series)
            {
                Volume                = 1,
                Portfolio             = portfolio,
                Security              = security,
                Connector             = connector,
                LogLevel              = LogLevels.Debug,
                UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
            };

            //logManager.Sources.Add(strategy);

            connector.NewSecurities += securities =>
            {
                if (securities.All(s => s != security))
                {
                    return;
                }

                connector.RegisterMarketDepth(security);
                connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
                {
                    Interval           = TimeSpan.FromMilliseconds(100),       // order book freq refresh is 1 sec
                    MaxAsksDepth       = maxDepth,
                    MaxBidsDepth       = maxDepth,
                    UseTradeVolume     = true,
                    MaxVolume          = maxVolume,
                    MinSpreadStepCount = 1,     // min spread generation is 2 pips
                    MaxSpreadStepCount = 1,     // max spread generation size (prevent extremely size)
                    MaxPriceStepCount  = 3      // pips size,
                });

                connector.RegisterTrades(security);
                connector.RegisterSecurity(security);

                strategy.Start();
                candleManager.Start(series);

                connector.Start();
            };

            statistic.Parameters.Clear();
            statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);

            var pnlCurve           = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area);
            var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black);
            var commissionCurve    = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
            var posItems           = PositionCurve.CreateCurve(StrategyName, Colors.Crimson);

            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;

            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();

                    SetIsEnabled(false);

                    this.GuiAsync(() =>
                    {
                        if (connector.IsFinished)
                        {
                            progressBar.Value = progressBar.Maximum;
                            MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - startEmulationTime));
                        }
                        else
                        {
                            MessageBox.Show(this, LocalizedStrings.cancelled);
                        }
                    });
                }
                else if (connector.State == EmulationStates.Started)
                {
                    SetIsEnabled(true);
                }
            };

            progressBar.Value  = 0;
            startEmulationTime = DateTime.Now;

            connector.Connect();
            connector.SendInMessage(new CommissionRuleMessage()
            {
                Rule = new CommissionPerTradeRule {
                    Value = 0.01m
                }
            });
        }
Exemplo n.º 53
0
 protected override void Initialize()
 {
     imafast = Indicators.SimpleMovingAverage(DataSource, FastSMA);
     imaslow = Indicators.SimpleMovingAverage(DataSource, SlowSMA);
 }
Exemplo n.º 54
0
        public void CompareAgainstExternalData()
        {
            var sma = new SimpleMovingAverage(14);

            TestHelper.TestIndicator(sma, "SMA14", 1e-2); // test file only has
        }
Exemplo n.º 55
0
        private void StartClick(object sender, RoutedEventArgs e)
        {
            // если были получены и инструмент, и портфель
            if (_strategy == null)
            {
                if (Portfolios.SelectedPortfolio == null)
                {
                    MessageBox.Show(this, LocalizedStrings.Str3009);
                    return;
                }

                // создаем скользящие средние, на 80 5-минуток и 10 5-минуток
                var longSma = new SimpleMovingAverage {
                    Length = 80
                };
                var shortSma = new SimpleMovingAverage {
                    Length = 10
                };

                // регистрируем наш тайм-фрейм
                var series = new CandleSeries(typeof(TimeFrameCandle), _lkoh, _timeFrame);

                // создаем торговую стратегию
                _strategy = new SmaStrategy(_candleManager, series, longSma, shortSma)
                {
                    Volume    = 1,
                    Security  = _lkoh,
                    Portfolio = Portfolios.SelectedPortfolio,
                    Connector = _trader,
                };
                _logManager.Sources.Add(_strategy);
                //_strategy.Log += OnLog;
                _strategy.PropertyChanged += OnStrategyPropertyChanged;

                _candlesElem = new ChartCandleElement();
                _area.Elements.Add(_candlesElem);

                _longMaElem = new ChartIndicatorElement
                {
                    Title = LocalizedStrings.Long,
                    Color = Colors.OrangeRed
                };
                _area.Elements.Add(_longMaElem);

                _shortMaElem = new ChartIndicatorElement
                {
                    Title = LocalizedStrings.Short,
                    Color = Colors.RoyalBlue
                };
                _area.Elements.Add(_shortMaElem);

                var marketTime = _trader.CurrentTime;

                // начинаем получать свечи за период в 5 дней
                _candleManager.Start(series, DateTime.Today - TimeSpan.FromDays(5), marketTime);

                _lastHistoryCandle = _timeFrame.GetCandleBounds(marketTime).Min;

                Report.IsEnabled = true;
            }

            if (_strategy.ProcessState == ProcessStates.Stopped)
            {
                // запускаем процесс получения стакана, необходимый для работы алгоритма котирования
                _trader.RegisterMarketDepth(_strategy.Security);
                _strategy.Start();
                Start.Content = LocalizedStrings.Str242;
            }
            else
            {
                _trader.UnRegisterMarketDepth(_strategy.Security);
                _strategy.Stop();
                Start.Content = LocalizedStrings.Str2421;
            }
        }
Exemplo n.º 56
0
 public VolatilityAdjustedMovingAverage(string name, int period) : base(name)
 {
     _sma = new SimpleMovingAverage(400);
     _rsi = new RelativeStrengthIndex(6, MovingAverageType.Simple);
     _sd  = new StandardDeviation(100);
 }
Exemplo n.º 57
0
 public SimpleMovingAverageTrend(Equity equity, int periodCount)
     : base(equity, periodCount)
 {
     _smaIndicator = new SimpleMovingAverage(equity, periodCount);
 }
Exemplo n.º 58
0
        public static bool FillSimpleMovingAvg(ref Stock stk, int periodShort = 0, int periodLong = 0)
        {
            //get defaults if zero
            if (periodShort == 0)
            {
                periodShort = stk.indicators.SMAPeriodShort;
            }
            if (periodLong == 0)
            {
                periodLong = stk.indicators.SMAPeriodLong;
            }

            //int valuesAdded = 0;

            IIndicator SMAShort = new SimpleMovingAverage(periodShort);
            IIndicator SMALong  = new SimpleMovingAverage(periodLong);

            stk.indicators.SMAShort = SMAShort.CalculateIndicator(stk.MarketHistory);
            stk.indicators.SMALong  = SMALong.CalculateIndicator(stk.MarketHistory);

            return(true);

            //Dictionary<string, decimal> tempLong = new Dictionary<string, decimal>();
            //Dictionary<string, decimal> tempShort = new Dictionary<string, decimal>();

            //foreach (MarketData m in stk.MarketHistory)
            //{
            //    var lastClosesShort = stk.MarketHistory.GetLastNClosingPrices(periodShort, m.dateStr);
            //    var lastMClosesLong = stk.MarketHistory.GetLastNClosingPrices(periodLong, m.dateStr);

            //    decimal avgShort = lastClosesShort.Average();
            //    decimal avgLong = lastMClosesLong.Average();

            //    //short eval
            //    if (lastClosesShort.Count() == periodShort)
            //    {
            //        try
            //        {
            //            stk.indicators.SMAShort.Add(m.dateStr, avgShort);
            //        }
            //        catch (Exception)
            //        {
            //            stk.indicators.SMAShort[m.dateStr] = avgShort;
            //        }
            //    }
            //    else
            //    {
            //        try
            //        {
            //            stk.indicators.SMAShort.Add(m.dateStr, 0m);
            //        }
            //        catch
            //        {
            //            stk.indicators.SMAShort[m.dateStr] = 0m;
            //        }
            //    }

            //    //long eval
            //    if (lastMClosesLong.Count() == periodLong)
            //    {
            //        try
            //        {
            //            stk.indicators.SMALong.Add(m.dateStr, avgLong);
            //        }
            //        catch (Exception)
            //        {
            //            stk.indicators.SMALong[m.dateStr] = avgLong;
            //        }
            //    }
            //    else
            //    {
            //        try
            //        {
            //            stk.indicators.SMALong.Add(m.dateStr, 0m);
            //        }
            //        catch
            //        {
            //            stk.indicators.SMALong[m.dateStr] = 0m;

            //        }
            //    }

            //    tempLong.Add(m.dateStr, avgLong);
            //    tempShort.Add(m.dateStr, avgShort);

            //    valuesAdded += 2;
            //}

            //return valuesAdded > 0;
        }
Exemplo n.º 59
0
        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.Put(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 UpdateTradeBar(SimpleMovingAverage sma, TradeBar tradeBar, int position)
 {
     _consolidationCount[position]++;
     sma.Update(tradeBar.EndTime, tradeBar.High);
 }