/// <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();
}
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);
}
protected override void Initialize()
{
_deMax = CreateDataSeries();
_deMin = CreateDataSeries();
_deMaxSma = Indicators.SimpleMovingAverage(_deMax, Period);
_deMinSma = Indicators.SimpleMovingAverage(_deMin, Period);
}
/// <summary>
/// Создать <see cref="StochasticOscillator"/>.
/// </summary>
public StochasticOscillator()
{
InnerIndicators.Add(K = new StochasticK());
InnerIndicators.Add(D = new SimpleMovingAverage { Length = 3 });
Mode = ComplexIndicatorModes.Sequence;
}
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);
}
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);
}
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);
}
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);
}
protected override void OnStart()
{
_SMA = Indicators.SimpleMovingAverage(Source_SMA, Periods_SMA);
_SOC = Indicators.StochasticOscillator(KPeriods, K_Slowing, DPeriods, MaType);
Positions.Closed += PositionsOnClosed;
}
public SmaStrategy(CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
{
_series = series;
LongSma = longSma;
ShortSma = shortSma;
}
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);
}
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);
}
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();
}
public void PipesDataFromFirstToSecond()
{
var first = new SimpleMovingAverage(2);
var second = new Delay(1);
var sequential = new SequentialIndicator<IndicatorDataPoint>(first, second);
TestPipesData(sequential);
}
public SmaStrategy(ICandleManager candleManager, CandleSeries series, SimpleMovingAverage longSma, SimpleMovingAverage shortSma)
{
_candleManager = candleManager;
_series = series;
LongSma = longSma;
ShortSma = shortSma;
}
public void PipesDataUsingOfFromFirstToSecond()
{
var first = new SimpleMovingAverage(2);
var second = new Delay(1);
var sequential = second.Of(first);
TestPipesData(sequential);
}
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();
}
protected override void Initialize()
{
_highSeries = CreateDataSeries();
_lowSeries = CreateDataSeries();
_smaHigh = Indicators.SimpleMovingAverage(_highSeries, SmaPeriod);
_smaLow = Indicators.SimpleMovingAverage(_lowSeries, SmaPeriod);
_dms = Indicators.DirectionalMovementSystem(AdxPeriod);
}
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();
}
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);
}
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);
}
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);
}
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);
}
/// <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;
}
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);
}
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);
}
/// <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();
}
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);
}
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);
}
protected override void Initialize()
{
_smaHigh = Indicators.SimpleMovingAverage(MarketSeries.High, Period);
_smaLow = Indicators.SimpleMovingAverage(MarketSeries.Low, Period);
}
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);
}
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);
}
//--------------------------------------
protected override void OnStart()
{
Today = Server.Time.Day;
sma = Indicators.SimpleMovingAverage(MarketData.GetSeries(TimeFrame.Minute5).Close, 30);
}
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);
}
}
public IsAboveSimpleMovingAverage(IList <decimal> closes, int periodCount)
: base(closes)
{
_sma = new SimpleMovingAverage(closes, periodCount);
}
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;
}
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");
}
}
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");
}
}
/// <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();
}
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);
}
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);
}
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);
}
/// <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);
}
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);
}
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();
}
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
}
});
}
protected override void Initialize()
{
imafast = Indicators.SimpleMovingAverage(DataSource, FastSMA);
imaslow = Indicators.SimpleMovingAverage(DataSource, SlowSMA);
}
public void CompareAgainstExternalData()
{
var sma = new SimpleMovingAverage(14);
TestHelper.TestIndicator(sma, "SMA14", 1e-2); // test file only has
}
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;
}
}
public VolatilityAdjustedMovingAverage(string name, int period) : base(name)
{
_sma = new SimpleMovingAverage(400);
_rsi = new RelativeStrengthIndex(6, MovingAverageType.Simple);
_sd = new StandardDeviation(100);
}
public SimpleMovingAverageTrend(Equity equity, int periodCount)
: base(equity, periodCount)
{
_smaIndicator = new SimpleMovingAverage(equity, periodCount);
}
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;
}
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);
}