public void Inputs_open_short_position()
{
BarSettings barSettings = new BarSettings(this.strategyHeader, "RTS-9.13_FT", 60, 10);
this.tradingData.Get <ICollection <BarSettings> >().Add(barSettings);
SMASettings smaSettings = new SMASettings(this.strategyHeader, 5, 10);
this.tradingData.Get <ICollection <SMASettings> >().Add(smaSettings);
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 0, 0), 120, 125, 119, 124, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 5, 0), 119, 124, 118, 123, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 10, 0), 118, 123, 117, 122, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 15, 0), 117, 122, 116, 121, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 20, 0), 116, 121, 115, 120, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 25, 0), 115, 110, 114, 119, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 30, 0), 114, 119, 113, 118, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 35, 0), 113, 118, 112, 117, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 40, 0), 112, 117, 111, 116, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 45, 0), 111, 116, 110, 115, 10));
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar("RTS-9.13_FT", barSettings.Interval, new DateTime(2013, 8, 8, 10, 50, 0), 110, 115, 109, 114, 10));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick("RTS-9.13_FT", new DateTime(2013, 8, 8, 10, 50, 0), 114, 10, TradeAction.Sell));
Assert.AreEqual(1, this.signalQueue.Count);
Signal signal = this.signalQueue.Dequeue();
Assert.AreEqual(this.strategyHeader, signal.Strategy);
Assert.AreEqual(this.strategyHeader.Id, signal.StrategyId);
Assert.AreEqual(TradeAction.Sell, signal.TradeAction);
Assert.AreEqual(OrderType.Limit, signal.OrderType);
Assert.AreEqual(114, signal.Price);
Assert.AreEqual(114, signal.Limit);
Assert.AreEqual(0, signal.Stop);
}
private string GetCommentForChart(string ticker, BarSettings timeframe, List <BaseRobot> robots)
{
var robotStates = robots.Where(r => r.Graphics.Any(g => g.a == ticker && g.b == timeframe)).Select(s =>
"Робот \"" + s.GetUniqueName() + "\"\n" + s.ReportState());
return(string.Join("\n\n", robotStates));
}
public static bool PutForecast(int categoryId, string ticker, BarSettings timeframe, string xmlForecast)
{
var wc = new WebClient();
if (!string.IsNullOrEmpty(username))
{
wc.Credentials = new NetworkCredential(username, pass);
}
var requestParams = new NameValueCollection
{
{ TradeSignalXml.ReqPtrForecastCategory, categoryId.ToString() },
{ TradeSignalXml.ReqPtrForecastTicker, ticker },
{ TradeSignalXml.ReqPtrForecastTimeframe, timeframe.ToString(TradeSignalXml.TimeframeSeparator) }
};
wc.QueryString = requestParams;
try
{
var responseBytes = wc.UploadData(url, "PUT", TradeSignalXml.DefaultEncoding.GetBytes(xmlForecast));
var respString = TradeSignalXml.DefaultEncoding.GetString(responseBytes);
return(respString == "OK");
}
catch (Exception ex)
{
Logger.Error("Ошибка в PutForecast()", ex);
return(false);
}
}
public override void Initialize(BacktestServerProxy.RobotContext grobotContext, CurrentProtectedContext xprotectedContext)
{
base.Initialize(grobotContext, xprotectedContext);
// проверка настроек графиков
if (Graphics.Count == 0)
{
Logger.DebugFormat("MultiIndexRobot: настройки графиков не заданы");
return;
}
if (Graphics.Count > 1)
{
Logger.DebugFormat("MultiIndexRobot: настройки графиков должны описывать один тикер / один ТФ");
return;
}
ticker = Graphics[0].a;
timeframe = Graphics[0].b;
lastBids = new Dictionary <string, double>();
foreach (var ind in IndexList)
{
ind.Initialize();
ind.lastIndicies = new List <double>();
ind.indexPeaks = new List <Cortege3 <decimal, int, decimal> >();
}
candles = new List <CandleData>();
packer = new CandlePacker(Graphics[0].b);
tickerNames = DalSpot.Instance.GetTickerNames();
randomGener = new Random(DateTime.Now.Millisecond);
lastBidLists = new Dictionary <string, List <double> >();
// по каждой валютной паре найти макс. количество отсчетов (из формулы индекса)
InitLastBidLists();
}
public string GetTradeSignalXml(int signalCatId, string ticker, BarSettings timeframe)
{
return(GetTradeSignalXml(new SignalStorageKey
{
categoryId = signalCatId, ticker = ticker, timeframe = timeframe
}));
}
public void Handlers_Make_Fifteen_Minutes_Bars()
{
DateTime start = new DateTime(2013, 5, 15, 0, 0, 0);
DateTime end = new DateTime(2013, 5, 16, 11, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, end);
StrategyHeader s = new StrategyHeader(1, "Strategy 2", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings settings = new BarSettings(s, "RTS-12.12_FT", 900, 10);
MakeBarsOnTick updateBars = new MakeBarsOnTick(settings, tt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = start, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = end, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
Assert.AreEqual(2, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < settings.Interval * 4; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(6, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual("RTS-12.12_FT", this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Symbol);
Assert.AreEqual(end.AddHours(1), this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).DateTime);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Low);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).High);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Open);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Close);
Assert.AreEqual(90000, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Volume);
}
/// <summary>
/// Обработчик появления нового бара
/// </summary>
/// <param name="item">Bar</param>
//public override void OnItemAdded(Bar item)
public void OnItemAdded(Bar item)
{
//bar = item;
if (item.Symbol != this.strategyHeader.Symbol)
{
return;
}
bs = this.tradingData.Get <IEnumerable <BarSettings> >().SingleOrDefault(s => s.StrategyId == this.strategyHeader.Id);
if (bs == null)
{
throw new System.Exception("BarSettings bs == null");
//return;
}
//barsSet <= bars
//IEnumerable<Bar> bars = this.tradingData.Get<IEnumerable<Bar>>().GetNewestBars(bs.Symbol, bs.Interval);
IEnumerable <Bar> barsSet = this.tradingData.Get <IEnumerable <Bar> >().GetNewestBars(bs.Symbol, bs.Interval, bs.Period + 1);
//int barsCount = bars.Count();
int barsCount = this.tradingData.Get <IEnumerable <Bar> >().GetNewestBars(bs.Symbol, bs.Interval).Count();
if (barsSet == null || barsSet.Count() == 0)
{
return;
}
IEnumerable <double> close = from b in barsSet
select b.Close;
IEnumerable <double> volume = from b in barsSet
select b.Volume;
Close = close.ToList <double>();
Volume = volume.ToList <double>();
}
public bool PutTextMessage(int signalCatId,
string message, string ticker, BarSettings timeFrame)
{
if (!AccountStatus.Instance.isAuthorized)
{
return(false);
}
try
{
var acEvent = new UserEvent
{
Code = AccountEventCode.TradeSignal,
Action = AccountEventAction.DefaultAction,
Title = Localizer.GetString("TitleTradeSignal"),
Text = string.Join("#-#", ticker, timeFrame, message)
};
serverProxyTrade.proxy.SendTradeSignalEvent(CurrentProtectedContext.Instance.MakeProtectedContext(),
AccountStatus.Instance.accountID, signalCatId, acEvent);
// показать окно - пресигнал отправлен
var signalTitle =
string.Format(Localizer.GetString("MessageTradeSignalSentFmt"),
ticker, BarSettingsStorage.Instance.GetBarSettingsFriendlyName(timeFrame));
AddMessageToStatusPanelSafe(DateTime.Now, signalTitle);
return(true);
}
catch (Exception ex)
{
Logger.Error("Ошибка в PutTextMessage()", ex);
return(false);
}
}
public ActionResult EditSection(long?sectionId = null)
{
pageResourceManager.InsertTitlePart("帖吧设置");
if (sectionId.HasValue)
{
BarSection section = barSectionService.Get(sectionId ?? 0);
if (section == null)
{
return(HttpNotFound());
}
ViewData["UserId"] = section.UserId;
ViewData["ManagerUserIds"] = barSectionService.GetSectionManagers(sectionId ?? 0).Select(n => n.UserId);
ISettingsManager <BarSettings> manager = DIContainer.Resolve <ISettingsManager <BarSettings> >();
BarSettings settings = manager.Get();
ViewData["SectionManagerMaxCount"] = settings.SectionManagerMaxCount;
BarSectionEditModel model = section.AsEditModel();
IEnumerable <Category> categories = categoryService.GetCategoriesOfItem(section.SectionId, 0, TenantTypeIds.Instance().BarSection());
if (categories != null && categories.Count() > 0)
{
model.CategoryId = categories.ElementAt(0).CategoryId;
}
return(View(model));
}
else
{
ViewData["UserId"] = UserContext.CurrentUser.UserId;
}
return(View(new BarSectionEditModel()));
}
public ForecastQueueItem(string forecastXml, int categoryId, string ticker, BarSettings timeframe)
{
this.forecastXml = forecastXml;
this.categoryId = categoryId;
this.ticker = ticker;
this.timeframe = timeframe;
}
public TradeSignalUpdate(int serviceId, string ticker, BarSettings timeframe, DateTime timeUpdated)
{
ServiceId = serviceId;
Ticker = ticker;
Timeframe = timeframe;
TimeUpdated = timeUpdated;
}
private static TradeSignalUpdate ParseFileName(string fileName)
{
var parts = fileName.Split(new[] { '_' }, StringSplitOptions.RemoveEmptyEntries);
if (parts.Length != 3)
{
return(null);
}
var catId = parts[0].ToIntSafe();
if (!catId.HasValue)
{
return(null);
}
var ticker = parts[1];
if (string.IsNullOrEmpty(ticker))
{
return(null);
}
if (!DalSpot.Instance.GetTickerNames().Contains(ticker))
{
return(null);
}
var timeframe = BarSettings.TryParseString(parts[2]);
if (timeframe == null)
{
return(null);
}
return(new TradeSignalUpdate(catId.Value, ticker, timeframe, DateTime.Now));
}
private static SignalStorageKey GetKeyFromFilePath(int catId, string filePath)
{
var fileName = Path.GetFileNameWithoutExtension(filePath);
var nameParts = fileName.Split('_');
if (nameParts.Length != 2)
{
return(default(SignalStorageKey));
}
if (string.IsNullOrEmpty(nameParts[0]) || string.IsNullOrEmpty(nameParts[1]))
{
return(default(SignalStorageKey));
}
if (!DalSpot.Instance.GetTickerNames().Contains(nameParts[0]))
{
return(default(SignalStorageKey));
}
var ticker = nameParts[0];
try
{
var timeframe = new BarSettings(nameParts[1]);
return(new SignalStorageKey {
categoryId = catId, ticker = ticker, timeframe = timeframe
});
}
catch
{
return(default(SignalStorageKey));
}
}
public void Handlers_Do_Nothing_If_Bar_With_Same_Date_Exists()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = barSettings.Symbol, DateTime = start.AddHours(1), Open = 100, High = 100, Low = 100, Close = 100, Volume = 100
});
MakeBarsOnTick updateBars = new MakeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
IEnumerable <Tick> ticks = this.tradingData.Get <ObservableCollection <Tick> >().Where(t => t.DateTime >= start && t.DateTime < start.AddSeconds(3600));
Assert.AreEqual(3602, ticks.Count());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(100, bar.Low);
Assert.AreEqual(100, bar.High);
Assert.AreEqual(100, bar.Open);
Assert.AreEqual(100, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
/// <summary>
/// пример переопределения
/// Program.Sample1.SetupStrategy()
/// </summary>
/// <param name="args"></param>
override public void SetupStrategy(string[] args)
{
Console.WriteLine("BackTest.Converter.SetupStrategy()");
// инициализация обработчиков стратегии
//strategySample1 = new Strategy.Sample1(args);
//strategyHeader = strategySample1.strategyHeader;
//AppSettings.GetStringValue("Symbol")
string symbol = System.Configuration.ConfigurationManager.AppSettings["Symbol"];
//Console.WriteLine(String.Format("Sybol: {0}", symbol));
if (symbol == "")
{
symbol = null;
}
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", null, symbol, 1);
BarSettings barSettings = new BarSettings(
strategyHeader,
strategyHeader.Symbol,
//null,
AppSettings.GetValue <int>("Interval"),
AppSettings.GetValue <int>("Period"));
TradingData.Instance.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
//BarSettings barSettings = new BarSettings(strategyHeader, "RIH4", 3600, 3);
//BarSettings barSettings = new BarSettings(strategyHeader, "SPFB.RTS-3.14", 3600, 3);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
}
public UpdateBarsOnTick(BarSettings barSettings, ITimeTrackable timeTracker, IDataContext tradingData, ILogger logger)
: base(tradingData.Get <ObservableCollection <Tick> >())
{
this.tradingData = tradingData;
this.barSettings = barSettings;
this.timeTracker = timeTracker;
this.logger = logger;
}
static void Main(string[] args)
{
TradingData.Instance.Get <ICollection <Strategy> >().Add(strategy);
//BarSettings barSettings = new BarSettings(strategy, "RIH4", 3600, 3);
BarSettings barSettings = new BarSettings(strategy, "SPFB.RTS-3.14", 3600, 3);
TradingData.Instance.Get <ICollection <BarSettings> >().Add(barSettings);
BreakOutOnBar breakOnBar =
new BreakOutOnBar(strategy,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
StopLossOnBar stopLossOnBar =
new StopLossOnBar(strategy,
100,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
TakeProfitOnBar takeProfitOnBar =
new TakeProfitOnBar(strategy,
100,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
ITransaction importBars =
new ImportBarsTransaction(TradingData.Instance.Get <ObservableCollection <Bar> >(),
"bars.txt");
importBars.Execute();
while (true)
{
try
{
string command = Console.ReadLine();
if (command == "stop")
{
break;
}
if (command == "pnl")
{
Console.WriteLine(String.Format("Реализованный профит и лосс составляет {0} пунктов",
TradingData.Instance.GetProfitAndLossPoints(strategy)));
}
}
catch (System.Runtime.InteropServices.COMException e)
{
DefaultLogger.Instance.Log(e.Message);
}
}
}
public DiversByTimeframe(DiversByTimeframe div)
{
timeframe = new BarSettings(div.timeframe);
foreach (var ind in div.IndexList)
{
var cpy = new IndexDivergencyInfo(ind);
indexList.Add(cpy);
}
}
//[TestMethod]
public void Handlers_Do_Nothing_When_MarketData_Already_Contains_Bar_For_This_Date()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
DateTime stop = start.AddSeconds(3600);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeRangeBarsOnTick updateBars = new MakeRangeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = stop, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(140000, bar.Low);
Assert.AreEqual(160000, bar.High);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(145000, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
private static int Bar(CommandContext context, BarSettings settings)
{
for (var index = 0; index < settings.Count; index++)
{
AnsiConsole.WriteLine("Bar");
}
return(0);
}
public BreakOutOnTick(StrategyHeader strategyHeader, IDataContext tradingData, ObservableQueue <Signal> signalQueue, ILogger logger)
: base(tradingData.Get <ObservableCollection <Tick> >())
{
this.strategyHeader = strategyHeader;
this.tradingData = tradingData;
this.signalQueue = signalQueue;
this.logger = logger;
this.barSettings = this.tradingData.Get <IEnumerable <BarSettings> >().SingleOrDefault(s => s.StrategyId == this.strategyHeader.Id);
}
public void Setup()
{
var barSettings = new BarSettings {
Intervals = new List <int> {
60
}, Title = "H1"
};
packer = new CandlePacker(barSettings);
}
public static void MakeOrderComments(MarketOrder order, BarSettings timeframe,
decimal priceA, decimal priceB, int sequence = 1)
{
order.ExpertComment = RobotNamePreffix;
order.Comment = string.Join(";",
BarSettingsStorage.Instance.GetBarSettingsFriendlyName(timeframe),
priceA.ToStringUniformPriceFormat(),
priceB.ToStringUniformPriceFormat(),
sequence);
}
public void Handlers_Make_First_Bar_For_Hour()
{
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
barSettings.DateTimeStart = start;
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeTimeBarsOnTick updateBars = new MakeTimeBarsOnTick(barSettings, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
// приход тика до начала торгов
//this.tradingData.Get<ObservableCollection<Tick>>().Add(new Tick { DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100 });
//Assert.AreEqual(0, this.tradingData.Get<ObservableCollection<Bar>>().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(154500, bar.High);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(153599, bar.Close);
Assert.AreEqual(360200, bar.Volume);
}
public ActionResult SectionSettings()
{
IEnumerable <PointCategory> pointCategories = pointService.GetPointCategories();
ViewData["prePoint"] = pointCategories.FirstOrDefault(n => n.CategoryKey.Equals("ReputationPoints")).CategoryName;
ISettingsManager <BarSettings> manager = DIContainer.Resolve <ISettingsManager <BarSettings> >();
BarSettings settings = manager.Get();
return(View(settings.AsEditModel()));
}
private static void MakeForecastResponseString(Dictionary <string, string> queryParams, StringBuilder response)
{
if (!queryParams.ContainsKey(TradeSignalXml.ReqPtrForecastCategory) ||
string.IsNullOrEmpty(queryParams[TradeSignalXml.ReqPtrForecastCategory]))
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastCategory + "\" is missed");
return;
}
if (!queryParams.ContainsKey(TradeSignalXml.ReqPtrForecastTicker) ||
string.IsNullOrEmpty(queryParams[TradeSignalXml.ReqPtrForecastTicker]))
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastTicker + "\" is missed");
return;
}
if (!queryParams.ContainsKey(TradeSignalXml.ReqPtrForecastTimeframe) ||
string.IsNullOrEmpty(queryParams[TradeSignalXml.ReqPtrForecastTimeframe]))
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastTimeframe + "\" is missed");
return;
}
var catId = queryParams[TradeSignalXml.ReqPtrForecastCategory].ToIntSafe();
if (!catId.HasValue)
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastCategory + "\" should be a number");
return;
}
var ticker = queryParams[TradeSignalXml.ReqPtrForecastTicker];
if (!DalSpot.Instance.GetTickerNames().Contains(ticker))
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastTicker + "\" refers to a wrong symbol");
return;
}
BarSettings timeframeSets;
try
{
timeframeSets = new BarSettings(queryParams[TradeSignalXml.ReqPtrForecastTimeframe], TradeSignalXml.TimeframeSeparator);
}
catch
{
response.Append("error:param \"" + TradeSignalXml.ReqPtrForecastTimeframe + "\" was not recognized");
return;
}
var respXml = SignalStorage.Instance.GetTradeSignalXml(catId.Value, ticker, timeframeSets);
if (string.IsNullOrEmpty(respXml))
{
response.Append("error:not found");
return;
}
response.Append(respXml);
}
public void BarSettingsParse()
{
Assert.AreEqual(BarSettings.TryParseString("30;#60"), new BarSettings
{
Intervals = new List <int> {
60
},
StartMinute = 30
});
Assert.IsNull(BarSettings.TryParseString("-30#60"));
Assert.IsNotNull(BarSettings.TryParseString("5#180;240;180"));
}
public SendItemOnBar(BarSettings barSettings, IDataContext tradingData)
: base(tradingData.Get <ObservableCollection <Bar> >())
{
this.tradingData = tradingData;
this.barSettings = barSettings;
//подменяем тип бара на RangeBar
if (this.barSettings.BarType != Enums.DataModelType.RangeBar)
{
this.barSettings.BarType = Enums.DataModelType.RangeBar;
}
this.Handlers = new List <ItemAddedNotification <Bar> >();
}
public void Handlers_make_bar_for_one_strategy_test()
{
StrategyHeader strategyHeader = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ObservableHashSet <StrategyHeader> >().Add(strategyHeader);
DateTime start = new DateTime(2013, 7, 10, 10, 0, 0, 0);
BarSettings barSettings = new BarSettings(strategyHeader, strategyHeader.Symbol, 60, 0);
barSettings.DateTimeStart = start;
this.tradingData.Get <ObservableHashSet <BarSettings> >().Add(barSettings);
FakeTimeTracker ftt = new FakeTimeTracker(start, start);
MakeTimeBarsOnTick handler = new MakeTimeBarsOnTick(barSettings, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// приход тика до начала торгов
//this.tradingData.Get<ObservableCollection<Tick>>().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(-500), 150000, 25));
for (int i = 0; i < barSettings.Interval * 2; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(i * 500), 150000, 25));
}
ftt.IncrementStopDate(barSettings.Interval);
Assert.AreEqual(120, this.tradingData.Get <ObservableCollection <Tick> >().Count);
Assert.AreEqual(new DateTime(2013, 7, 10, 10, 0, 59, 500), this.tradingData.Get <ObservableCollection <Tick> >().Last().DateTime);
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 600), 151000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 700), 149000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 800), 150000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 900), 149500, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// Обработчик генерирует новый бар, только когда время пришедшего тика располагается в диапазоне следующего бара.
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 1, 0, 0), 150000, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(start.AddSeconds(60), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(151000, bar.High);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(149500, bar.Close);
Assert.AreEqual(3100, bar.Volume);
}
/// <summary>
/// Создаем екземпляр построителя баров
/// </summary>
/// <param name="barSettings"></param>
/// <param name="barType"></param>
/// <returns></returns>
private static BarBuilderRangeBar CreateBarBuilderRangeBar(out BarSettings barSettings, out Common.Enums.DataModelType barType)
{
string symbol = "SBER";
StrategyHeader strategyHeader = new StrategyHeader(1, "Break out strategyHeader", "BP12345-RF-01", symbol, 10);
int interval = 50;
barType = Common.Enums.DataModelType.RangeBar;
barSettings = new BarSettings(strategyHeader, symbol, interval, 0, barType);
return(new BarBuilderRangeBar(barSettings));
}
