Exemplo n.º 1
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);

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

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

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


				Tuple.Create(
					CandlesCheckBox,
					CandlesTestingProcess,
					CandlesParameterGrid,
					// candles
					new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles}),
				
				Tuple.Create(
					CandlesAndDepthsCheckBox,
					CandlesAndDepthsTestingProcess,
					CandlesAndDepthsParameterGrid,
					// candles + orderbook
					new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635}),
			
				Tuple.Create(
					OrderLogCheckBox,
					OrderLogTestingProcess,
					OrderLogParameterGrid,
					// order log
					new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog})
			};

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

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

			// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
			if (OrderLogCheckBox.IsChecked == true)
				startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);

			// ProgressBar refresh step
			var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();

			// set ProgressBar bounds
			_progressBars.ForEach(p =>
			{
				p.Value = 0;
				p.Maximum = 100;
			});
			
			var logManager = new LogManager();
			var fileLogListener = new FileLogListener("sample.log");
			logManager.Listeners.Add(fileLogListener);
			//logManager.Listeners.Add(new DebugLogListener());	// for track logs in output window in Vusial Studio (poor performance).

			var generateDepths = GenDepthsCheckBox.IsChecked == true;
			var maxDepth = MaxDepth.Text.To<int>();
			var maxVolume = MaxVolume.Text.To<int>();

			var secCode = secIdParts[0];
			var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);

			foreach (var set in settings)
			{
				if (set.Item1.IsChecked == false)
					continue;

				var progressBar = set.Item2;
				var statistic = set.Item3;
				var emulationInfo = set.Item4;

				// create test security
				var security = new Security
				{
					Id = SecId.Text, // sec id has the same name as folder with historical data
					Code = secCode,
					Board = board,
				};

				var level1Info = new Level1ChangeMessage
				{
					SecurityId = security.ToSecurityId(),
					ServerTime = startTime,
				}
				.TryAdd(Level1Fields.PriceStep, 10m)
				.TryAdd(Level1Fields.StepPrice, 6m)
				.TryAdd(Level1Fields.MinPrice, 10m)
				.TryAdd(Level1Fields.MaxPrice, 1000000m)
				.TryAdd(Level1Fields.MarginBuy, 10000m)
				.TryAdd(Level1Fields.MarginSell, 10000m);

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

				// create backtesting connector
				var connector = new HistoryEmulationConnector(
					new[] { security },
					new[] { portfolio })
				{
					MarketEmulator =
					{
						Settings =
						{
							// match order if historical price touched our limit order price. 
							// It is terned off, and price should go through limit order price level
							// (more "severe" test mode)
							MatchOnTouch = false,
						}
					},

					UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,

					CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
					CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,

					HistoryMessageAdapter =
					{
						StorageRegistry = storageRegistry,

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

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

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

				logManager.Sources.Add(connector);

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

				var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);

				_shortMa = new SimpleMovingAverage { Length = 10 };
				_shortElem = new ChartIndicatorElement
				{
					Color = Colors.Coral,
					ShowAxisMarker = false,
					FullTitle = _shortMa.ToString()
				};
				_bufferedChart.AddElement(_area, _shortElem);

				_longMa = new SimpleMovingAverage { Length = 80 };
				_longElem = new ChartIndicatorElement
				{
					ShowAxisMarker = false,
					FullTitle = _longMa.ToString()
				};
				_bufferedChart.AddElement(_area, _longElem);

				// create strategy based on 80 5-min и 10 5-min
				var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
				{
					Volume = 1,
					Portfolio = portfolio,
					Security = security,
					Connector = connector,
					LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,

					// by default interval is 1 min,
					// it is excessively for time range with several months
					UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
				};

				logManager.Sources.Add(strategy);

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

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

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

						if (
								// if order book will be generated
								generateDepths ||
								// of backtesting will be on candles
								emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
							)
						{
							// if no have order book historical data, but strategy is required,
							// use generator based on last prices
							connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
							{
								Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
								MaxAsksDepth = maxDepth,
								MaxBidsDepth = maxDepth,
								UseTradeVolume = true,
								MaxVolume = maxVolume,
								MinSpreadStepCount = 2,	// min spread generation is 2 pips
								MaxSpreadStepCount = 5,	// max spread generation size (prevent extremely size)
								MaxPriceStepCount = 3	// pips size,
							});
						}
					}

					if (emulationInfo.UseOrderLog)
					{
						connector.RegisterOrderLog(security);
					}

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

					// start strategy before emulation started
					strategy.Start();
					candleManager.Start(series);

					// start historical data loading when connection established successfully and all data subscribed
					connector.Start();
				};

				// fill parameters panel
				statistic.Parameters.Clear();
				statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);

				var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
				var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
				var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
				var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
				strategy.PnLChanged += () =>
				{
					var pnl = new EquityData
					{
						Time = strategy.CurrentTime,
						Value = strategy.PnL - strategy.Commission ?? 0
					};

					var unrealizedPnL = new EquityData
					{
						Time = strategy.CurrentTime,
						Value = strategy.PnLManager.UnrealizedPnL
					};

					var commission = new EquityData
					{
						Time = strategy.CurrentTime,
						Value = strategy.Commission ?? 0
					};

					pnlCurve.Add(pnl);
					unrealizedPnLCurve.Add(unrealizedPnL);
					commissionCurve.Add(commission);
				};

				strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position });

				var nextTime = startTime + progressStep;

				// handle historical time for update ProgressBar
				connector.MarketTimeChanged += d =>
				{
					if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
						return;

					var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
					nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
					this.GuiAsync(() => progressBar.Value = steps);
				};

				connector.StateChanged += () =>
				{
					if (connector.State == EmulationStates.Stopped)
					{
						candleManager.Stop(series);
						strategy.Stop();

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

						SetIsEnabled(false);

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

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

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

						if (quoteMsg != null)
							MarketDepth.UpdateDepth(quoteMsg);
					};
				}

				_connectors.Add(connector);

				progressBar.Value = 0;
			}

			_startEmulationTime = DateTime.Now;

			// start emulation
			foreach (var connector in _connectors)
			{
				// raise NewSecurities and NewPortfolio for full fill strategy properties
				connector.Connect();

				// 1 cent commission for trade
				connector.SendInMessage(new CommissionRuleMessage
				{
					Rule = new CommissionPerTradeRule { Value = 0.01m }
				});
			}

			TabControl.Items.Cast<TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
		}
Exemplo n.º 2
0
		private void StartBtnClick(object sender, RoutedEventArgs e)
		{
			// if process was already started, will stop it now
			if (_connector != null && _connector.State != EmulationStates.Stopped)
			{
				_strategy.Stop();
				_connector.Disconnect();
				_logManager.Sources.Clear();

				_connector = null;
				return;
			}

			// create test security
			var security = new Security
			{
				Id = "AAPL@NASDAQ",
				Code = "AAPL",
				Name = "AAPL Inc",
				Board = ExchangeBoard.Nasdaq,
			};

			var startTime = new DateTime(2009, 6, 1);
			var stopTime = new DateTime(2009, 9, 1);

			var level1Info = new Level1ChangeMessage
			{
				SecurityId = security.ToSecurityId(),
				ServerTime = startTime,
			}
			.TryAdd(Level1Fields.PriceStep, 10m)
			.TryAdd(Level1Fields.StepPrice, 6m)
			.TryAdd(Level1Fields.MinPrice, 10m)
			.TryAdd(Level1Fields.MaxPrice, 1000000m)
			.TryAdd(Level1Fields.MarginBuy, 10000m)
			.TryAdd(Level1Fields.MarginSell, 10000m);

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

			var timeFrame = TimeSpan.FromMinutes(5);

			// create backtesting connector
			_connector = new HistoryEmulationConnector(
				new[] { security },
				new[] { portfolio })
			{
				HistoryMessageAdapter =
				{
					// set history range
					StartDate = startTime,
					StopDate = stopTime,
				},

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

			_logManager.Sources.Add(_connector);

			var candleManager = new CandleManager(_connector);

			var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);

			// create strategy based on 80 5-min и 10 5-min
			_strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
			{
				Volume = 1,
				Security = security,
				Portfolio = portfolio,
				Connector = _connector,
			};

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

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

				_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
				_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security)) { GenerateDepthOnEachTrade = false });

				// start strategy before emulation started
				_strategy.Start();
				candleManager.Start(series);

				// start historical data loading when connection established successfully and all data subscribed
				_connector.Start();
			};

			// fill parameters panel
			ParameterGrid.Parameters.Clear();
			ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);

			_strategy.PnLChanged += () =>
			{
				var data = new EquityData
				{
					Time = _strategy.CurrentTime,
					Value = _strategy.PnL,
				};

				this.GuiAsync(() => _curveItems.Add(data));
			};

			_logManager.Sources.Add(_strategy);

			// ProgressBar refresh step
			var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
			var nextTime = startTime + progressStep;

			TestingProcess.Maximum = 100;
			TestingProcess.Value = 0;

			// handle historical time for update ProgressBar
			_connector.MarketTimeChanged += diff =>
			{
				if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
					return;

				var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
				nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
				this.GuiAsync(() => TestingProcess.Value = steps);
			};

			_connector.StateChanged += () =>
			{
				if (_connector.State == EmulationStates.Stopped)
				{
					this.GuiAsync(() =>
					{
						Report.IsEnabled = true;

						if (_connector.IsFinished)
						{
							TestingProcess.Value = TestingProcess.Maximum;
							MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
						}
						else
							MessageBox.Show(this, LocalizedStrings.cancelled);
					});
				}
			};

			_curveItems.Clear();

			Report.IsEnabled = false;

			_startEmulationTime = DateTime.Now;

			// raise NewSecurities and NewPortfolio for full fill strategy properties
			_connector.Connect();
		}
Exemplo n.º 3
0
		private void StartEmulation()
		{
			if (_connector != null && _connector.State != EmulationStates.Stopped)
				throw new InvalidOperationException(LocalizedStrings.Str3015);

			if (Strategy == null)
				throw new InvalidOperationException("Strategy not selected.");

			var strategy = (EmulationDiagramStrategy)Strategy;

			if (strategy.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
				throw new InvalidOperationException(LocalizedStrings.Str3014);

			strategy
				.Composition
				.Parameters
				.ForEach(p =>
				{
					if (p.Type == typeof(Security) && p.Value == null)
						throw new InvalidOperationException(LocalizedStrings.Str1380);
				});

			strategy.Reset();
			Reset();

			var securityId = "empty@empty";
			var secGen = new SecurityIdGenerator();
			var secIdParts = secGen.Split(securityId);
			var secCode = secIdParts.SecurityCode;
			var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
			var timeFrame = strategy.CandlesTimeFrame;
			var useCandles = strategy.MarketDataSource == MarketDataSource.Candles;

			// create test security
			var security = new Security
			{
				Id = securityId, // sec id has the same name as folder with historical data
				Code = secCode,
				Board = board,
			};

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

			var startTime = strategy.StartDate.ChangeKind(DateTimeKind.Utc);
			var stopTime = strategy.StopDate.ChangeKind(DateTimeKind.Utc);

			// ProgressBar refresh step
			var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();

			// set ProgressBar bounds
			TicksAndDepthsProgress.Value = 0;
			TicksAndDepthsProgress.Maximum = 100;

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

			var securityProvider = ConfigManager.GetService<ISecurityProvider>();

			// create backtesting connector
			_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
			{
				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 = strategy.MatchOnTouch, 
							IsSupportAtomicReRegister = strategy.IsSupportAtomicReRegister,
							Latency = strategy.EmulatoinLatency,
						}
					}
				},

				UseExternalCandleSource = useCandles,

				HistoryMessageAdapter =
				{
					StorageRegistry = storageRegistry,

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

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

			((ILogSource)_connector).LogLevel = strategy.DebugLog ? LogLevels.Debug : LogLevels.Info;

			ConfigManager.GetService<LogManager>().Sources.Add(_connector);

			strategy.Volume = 1;
			strategy.Portfolio = portfolio;
			strategy.Security = security;
			strategy.Connector = _connector;
			strategy.LogLevel = strategy.DebugLog ? LogLevels.Debug : LogLevels.Info;

			// by default interval is 1 min,
			// it is excessively for time range with several months
			strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>();

			strategy.SetCandleManager(new CandleManager(_connector));

			_connector.NewSecurity += s =>
			{
				//TODO send real level1 message
				var level1Info = new Level1ChangeMessage
				{
					SecurityId = s.ToSecurityId(),
					ServerTime = startTime,
				}
					.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1)
					.TryAdd(Level1Fields.StepPrice, 6m)
					.TryAdd(Level1Fields.MinPrice, 10m)
					.TryAdd(Level1Fields.MaxPrice, 1000000m)
					.TryAdd(Level1Fields.MarginBuy, 10000m)
					.TryAdd(Level1Fields.MarginSell, 10000m);

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

				if (strategy.UseMarketDepths)
				{
					_connector.RegisterMarketDepth(security);

					if (
							// if order book will be generated
							strategy.GenerateDepths ||
							// of backtesting will be on candles
							useCandles
						)
					{
						// if no have order book historical data, but strategy is required,
						// use generator based on last prices
						_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(s))
						{
							Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
							MaxAsksDepth = strategy.MaxDepths,
							MaxBidsDepth = strategy.MaxDepths,
							UseTradeVolume = true,
							MaxVolume = strategy.MaxVolume,
							MinSpreadStepCount = 2, // min spread generation is 2 pips
							MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
							MaxPriceStepCount = 3   // pips size,
						});
					}
				}
			};

			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(() => TicksAndDepthsProgress.Value = steps);
			};

			_connector.LookupSecuritiesResult += (ss) =>
			{
				if (strategy.ProcessState != ProcessStates.Stopped)
					return;

				// start strategy before emulation started
				strategy.Start();

				// start historical data loading when connection established successfully and all data subscribed
				_connector.Start();
			};

			_connector.StateChanged += () =>
			{
				switch (_connector.State)
				{
					case EmulationStates.Stopped:
						strategy.Stop();

						this.GuiAsync(() =>
						{
							if (_connector.IsFinished)
								TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
						});
						break;
					case EmulationStates.Started:
						break;
				}
			};

			TicksAndDepthsProgress.Value = 0;

			DiagramDebuggerControl.Debugger.IsEnabled = true;

			// 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
				}
			});
		}