public override void OnConfigure()
{
changeActiveNow.OnInitialize();
changeNextBar.OnInitialize();
reverseActiveNow.OnInitialize();
reverseNextBar.OnInitialize();
exitActiveNow.OnInitialize();
enterActiveNow.OnInitialize();
exitNextBar.OnInitialize();
enterNextBar.OnInitialize();
exitNextBar.OnInitialize();
base.OnConfigure();
BreakPoint.TrySetStrategy(this);
AddInterceptor(preFillManager);
AddInterceptor(performance.Equity);
AddInterceptor(performance);
AddInterceptor(exitStrategy);
AddInterceptor(postFillManager);
}
public sealed override void OnConfigure()
{
BreakPoint.TrySetStrategy(this);
base.OnConfigure();
AddInterceptor(performance.Equity);
AddInterceptor(performance);
do
{
// Count all the unique symbols used by dependencies and
// get a list of all the strategies.
strategies = new List <Strategy>();
portfolios = new List <Portfolio>();
Dictionary <string, List <Model> > symbolMap = new Dictionary <string, List <Model> >();
for (int i = 0; i < Chain.Dependencies.Count; i++)
{
Chain chain = Chain.Dependencies[i];
if (chain.Model is Strategy || chain.Model is Portfolio)
{
Model model = (Model)chain.Model;
List <Model> tempModels;
if (symbolMap.TryGetValue(model.SymbolDefault, out tempModels))
{
tempModels.Add(model);
}
else
{
tempModels = new List <Model>();
tempModels.Add(model);
symbolMap[model.SymbolDefault] = tempModels;
}
if (model is Strategy)
{
strategies.Add((Strategy)model);
}
else if (model is Portfolio)
{
portfolios.Add((Portfolio)model);
}
}
}
if (symbolMap.Count == 1)
{
portfolioType = PortfolioType.SingleSymbol;
}
else if (symbolMap.Count == (strategies.Count + portfolios.Count))
{
portfolioType = PortfolioType.MultiSymbol;
}
else
{
// Remove all dependencies which have more than one obect.
for (int i = Chain.Dependencies.Count - 1; i >= 0; i--)
{
Chain chain = Chain.Dependencies[i];
Chain.Dependencies.RemoveAt(i);
}
// There is a mixture of multi symbols and multi strategies per symbol.
// Insert additional Portfolios for each symbol.
foreach (var kvp in symbolMap)
{
string symbol = kvp.Key;
List <Model> tempStrategies = kvp.Value;
if (tempStrategies.Count > 1)
{
Portfolio portfolio = new Portfolio();
portfolio.Name = "AutoGen-Portfolio-" + symbol;
portfolio.SymbolDefault = symbol;
portfolio.IntervalDefault = IntervalDefault;
portfolio.Performance.Equity.EnableDailyStats = Performance.Equity.EnableDailyStats;
portfolio.Performance.Equity.EnableWeeklyStats = Performance.Equity.EnableWeeklyStats;
portfolio.Performance.Equity.EnableMonthlyStats = Performance.Equity.EnableMonthlyStats;
portfolio.Performance.Equity.EnableYearlyStats = Performance.Equity.EnableYearlyStats;
foreach (var strategy in tempStrategies)
{
portfolio.Chain.Dependencies.Add(strategy.Chain);
}
Chain.Dependencies.Add(portfolio.Chain);
}
else
{
Model model = tempStrategies[0];
Chain.Dependencies.Add(model.Chain);
}
}
}
} while(portfolioType == PortfolioType.None);
if (debug)
{
log.Debug("Configuring Portfolio " + Name + " for sub strategies/portfolios..");
}
// Create strategy watchers
foreach (var strategy in strategies)
{
SetupWatcher(strategy);
}
foreach (var portfolio in portfolios)
{
SetupWatcher(portfolio);
}
}