public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("NGF 01-15 vs NGG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Synthetic, "NGF 01-15 vs NGG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGF17after"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGG17after"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 23); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 11, 29); // 1 day after real end
BarFactory.Clear();
// Run.
StartStrategy();
}
public OrderProcessor(SpreadSellSide strategy, ExecutionCommand command)
{
strategy.processors.AddLast(this);
// Init OrderProcessor fields.
this.strategy = strategy;
this.command = command;
order = command.Order;
spreadInstrument = order.Instrument;
orders = new Dictionary <Order, Leg>();
// Send leg orders if order type is market.
if (order.Type == OrderType.Market)
{
SendLegOrders();
}
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", StrategyManager.Mode);
// Get spread instrument.
Instrument spreadInsturment = InstrumentManager.Get("NG 01-15 vs NG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "NG 01-15 vs NG 02-15");
InstrumentManager.Add(spreadInsturment);
}
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NG 01-15"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NG 02-15"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
//sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
sellSide.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
sellSide.DataProvider = quantRouter as IDataProvider;
sellSide.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Set null for event filter.
EventManager.Filter = null;
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Clear();
// BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
Console.WriteLine("Run in {0} mode.", StrategyManager.Mode);
StartStrategy(StrategyManager.Mode);
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer(this.framework);
OptimizationUniverse universe = new OptimizationUniverse();
for (decimal Delta = 1; Delta < 8; Delta++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Delta", Delta);
universe.Add(parameter);
}
Instrument spreadInsturment = InstrumentManager.Get("*NG 01-15 vs *NG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Future, "*NG 01-15 vs *NG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 01-15"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 02-15"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
//sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 18); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 12, 30); // 1 day after real end
InstrumentList instruments = new InstrumentList();
instruments.Add(spreadInsturment);
strategy.AddInstruments(instruments);
//You can choose an optimization method from the "Optimizers" window
//and observe the optimization results in the "Optimization Results" window.
//Optimization can use either of two ways to declare parameters:
//1. Optimization using [OptimizationParameter] atrributes from Strategy
//Optimize(strategy);
//2. Optimization via OptimizationUniverse
optimizer.Optimize(strategy, universe);
}