public CandleChartPanel() { InitializeComponent(); var cmdSvc = ConfigManager.GetService <IStudioCommandService>(); cmdSvc.Register <ChartDrawCommand>(this, false, cmd => _bufferedChart.Draw(cmd.Values)); cmdSvc.Register <ChartAddAreaCommand>(this, false, cmd => _bufferedChart.AddArea(cmd.Area)); cmdSvc.Register <ChartRemoveAreaCommand>(this, false, cmd => _bufferedChart.RemoveArea(cmd.Area)); cmdSvc.Register <ChartAddElementCommand>(this, false, cmd => _bufferedChart.AddElement(cmd.Area, cmd.Element)); cmdSvc.Register <ChartRemoveElementCommand>(this, false, cmd => _bufferedChart.RemoveElement(cmd.Area, cmd.Element)); cmdSvc.Register <ChartClearAreasCommand>(this, false, cmd => _bufferedChart.ClearAreas()); cmdSvc.Register <ChartResetElementsCommand>(this, false, cmd => _bufferedChart.Reset(cmd.Elements)); cmdSvc.Register <ChartAutoRangeCommand>(this, false, cmd => _bufferedChart.IsAutoRange = cmd.AutoRange); cmdSvc.Register <ResetedCommand>(this, true, cmd => OnReseted()); cmdSvc.Register <BindStrategyCommand>(this, true, cmd => { if (!cmd.CheckControl(this)) { return; } if (_strategy == cmd.Source) { return; } _strategy = cmd.Source; SetChart(true); ChartPanel.IsInteracted = _strategy != null && _strategy.GetIsInteracted(); if (_settingsStorage != null) { ChartPanel.Load(_settingsStorage); } TryCreateDefaultSeries(); }); ChartPanel.SettingsChanged += () => new ControlChangedCommand(this).Process(this); ChartPanel.RegisterOrder += order => new RegisterOrderCommand(order).Process(this); ChartPanel.SubscribeCandleElement += OnChartPanelSubscribeCandleElement; ChartPanel.SubscribeIndicatorElement += OnChartPanelSubscribeIndicatorElement; ChartPanel.SubscribeOrderElement += OnChartPanelSubscribeOrderElement; ChartPanel.SubscribeTradeElement += OnChartPanelSubscribeTradeElement; ChartPanel.UnSubscribeElement += OnChartPanelUnSubscribeElement; var indicatorTypes = ConfigManager .GetService <IAlgoService>() .IndicatorTypes; ChartPanel.MinimumRange = 200; ChartPanel.IndicatorTypes.AddRange(indicatorTypes); _bufferedChart = new BufferedChart(ChartPanel); WhenLoaded(() => new RequestBindSource(this).SyncProcess(this)); }
private void OnLoaded() { SecurityPicker.SecurityProvider = ConfigManager.GetService <FilterableSecurityProvider>(); _mainArea = ChartPanel.Areas.FirstOrDefault(); if (_mainArea == null) { _bufferedChart.AddArea(_mainArea = new ChartArea { Title = LocalizedStrings.Panel + " 1" }); } _candleElement = _mainArea.Elements.OfType <ChartCandleElement>().FirstOrDefault(); if (_candleElement == null) { _bufferedChart.AddElement(_mainArea, _candleElement = new ChartCandleElement(), CreateSeries()); } _mainArea .Elements .OfType <ChartIndicatorElement>() .Where(e => _indicators.TryGetValue(e) is CandlePartIndicator) .ForEach(e => _sourceElements.Add(((CandleSeries)_bufferedChart.GetSource(e)).Security, e)); _bufferedChart.AddAction(() => { _isLoaded = true; if (!HasError) { StartSeries(); } }); }
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; }
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 } }); }
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; }