private void OnChartPanelUnSubscribeElement(IChartElement element) { if (!_isLoaded) { return; } var series = (CandleSeries)_bufferedChart.GetSource(element); if (series == null) { return; } element.DoIf <IChartElement, ChartCandleElement>(e => _candleManager.Stop(series)); }
protected override void OnClosing(System.ComponentModel.CancelEventArgs e) { _candleManager.Processing -= ProcessNewCandle; _candleManager.Stop(_candleSeries); base.OnClosing(e); }
private void DrawButtom_Click(object sender, RoutedEventArgs e) { if (DrawButtom.Content.ToString() == "Построить") { _series = new CandleSeries(typeof(TimeFrameCandle), SecurityEditor.SelectedSecurity, TimeSpanEditor.Value); InitChart(_series); _candleManager.Start(_series); DrawButtom.Content = "Остановить"; } else { _candleManager.Stop(_series); DrawButtom.Content = "Построить"; } }
private void SecurityPicker_OnSecuritySelected(Security security) { if (security == null) { return; } if (_candleSeries != null) { _candleManager.Stop(_candleSeries); // give back series memory } _security = security; Chart.Reset(new[] { _candlesElem }); _connector.RegisterMarketDepth(security); _connector.RegisterTrades(security); _candleSeries = new CandleSeries(CandleSettingsEditor.Settings.CandleType, security, CandleSettingsEditor.Settings.Arg); _candleManager.Start(_candleSeries); }
private void StartBtnClick(object sender, RoutedEventArgs e) { if (_connectors.Count > 0) { foreach (var connector in _connectors) { connector.Start(); } return; } if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder)) { MessageBox.Show(this, LocalizedStrings.Str3014); return; } if (_connectors.Any(t => t.State != EmulationStates.Stopped)) { MessageBox.Show(this, LocalizedStrings.Str3015); return; } var id = SecId.Text.ToSecurityId(); //if (secIdParts.Length != 2) //{ // MessageBox.Show(this, LocalizedStrings.Str3016); // return; //} var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5); var secCode = id.SecurityCode; var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode); // 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, }; if (FinamCandlesCheckBox.IsChecked == true) { _finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false); } // create backtesting modes var settings = new[] { Tuple.Create( TicksCheckBox, TicksProgress, TicksParameterGrid, // ticks new EmulationInfo { UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks }, TicksChart, TicksEquity, TicksPosition), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsProgress, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo { UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757 }, TicksAndDepthsChart, TicksAndDepthsEquity, TicksAndDepthsPosition), Tuple.Create( DepthsCheckBox, DepthsProgress, DepthsParameterGrid, // order book new EmulationInfo { UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths }, DepthsChart, DepthsEquity, DepthsPosition), Tuple.Create( CandlesCheckBox, CandlesProgress, CandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles }, CandlesChart, CandlesEquity, CandlesPosition), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsProgress, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo { UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635 }, CandlesAndDepthsChart, CandlesAndDepthsEquity, CandlesAndDepthsPosition), Tuple.Create( OrderLogCheckBox, OrderLogProgress, OrderLogParameterGrid, // order log new EmulationInfo { UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog }, OrderLogChart, OrderLogEquity, OrderLogPosition), Tuple.Create( Level1CheckBox, Level1Progress, Level1ParameterGrid, // order log new EmulationInfo { UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1 }, Level1Chart, Level1Equity, Level1Position), Tuple.Create( FinamCandlesCheckBox, FinamCandlesProgress, FinamCandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles }, FinamCandlesChart, FinamCandlesEquity, FinamCandlesPosition), Tuple.Create( YahooCandlesCheckBox, YahooCandlesProgress, YahooCandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles }, YahooCandlesChart, YahooCandlesEquity, YahooCandlesPosition), }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder) }; var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc); var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc); // (ru only) 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).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime; } // 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 secId = security.ToSecurityId(); SetIsEnabled(false, false, false); foreach (var set in settings) { if (set.Item1.IsChecked == false) { continue; } var title = (string)set.Item1.Content; InitChart(set.Item5, set.Item6, set.Item7); var progressBar = set.Item2; var statistic = set.Item3; var emulationInfo = set.Item4; var level1Info = new Level1ChangeMessage { SecurityId = secId, ServerTime = startTime, } .TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1) .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 }) { 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 = false, } } }, //UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null, CreateDepthFromOrdersLog = emulationInfo.UseOrderLog, CreateTradesFromOrdersLog = emulationInfo.UseOrderLog, HistoryMessageAdapter = { StorageRegistry = storageRegistry, // set history range StartDate = startTime, StopDate = stopTime, OrderLogMarketDepthBuilders = { { secId, LocalizedStrings.ActiveLanguage == Languages.Russian ? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId) : new ItchOrderLogMarketDepthBuilder(secId) } } }, // 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 = new CandleManager(connector); var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame) { BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load }; _shortMa = new SimpleMovingAverage { Length = 10 }; _shortElem = new ChartIndicatorElement { Color = Colors.Coral, ShowAxisMarker = false, FullTitle = _shortMa.ToString() }; var chart = set.Item5; chart.AddElement(_area, _shortElem); _longMa = new SimpleMovingAverage { Length = 80 }; _longElem = new ChartIndicatorElement { ShowAxisMarker = false, FullTitle = _longMa.ToString() }; chart.AddElement(_area, _longElem); // create strategy based on 80 5-min и 10 5-min var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, candleManager, 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.NewSecurity += s => { if (s != security) { return; } // fill level1 values connector.HistoryMessageAdapter.SendOutMessage(level1Info); if (emulationInfo.HistorySource != null) { if (emulationInfo.UseCandleTimeFrame != null) { connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource); } if (emulationInfo.UseTicks) { connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource); } if (emulationInfo.UseLevel1) { connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource); } if (emulationInfo.UseMarketDepth) { connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource); } } else { 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); } if (emulationInfo.UseLevel1) { connector.RegisterSecurity(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 equity = set.Item6; var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area); var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black); var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine); var posItems = set.Item7.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 ?? 0 }; 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(); SetIsChartEnabled(chart, false); if (_connectors.All(c => c.State == EmulationStates.Stopped)) { logManager.Dispose(); _connectors.Clear(); SetIsEnabled(true, false, false); } this.GuiAsync(() => { if (connector.IsFinished) { progressBar.Value = progressBar.Maximum; MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title); } else { MessageBox.Show(this, LocalizedStrings.cancelled, title); } }); } else if (connector.State == EmulationStates.Started) { if (_connectors.All(c => c.State == EmulationStates.Started)) { SetIsEnabled(false, true, true); } SetIsChartEnabled(chart, true); } else if (connector.State == EmulationStates.Suspended) { if (_connectors.All(c => c.State == EmulationStates.Suspended)) { SetIsEnabled(true, false, 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; }
static void Main(string[] args) { _handler = new AutoResetEvent(false); _connector = new QuikTrader(); // Создается andleManager, который будет использовать данные из коннектора _candleManager = new CandleManager(_connector); // Также можно создать СandleManager, который использует произвольную коллекцию данных. // В контексте этого примера этот способ следует использовать, когда получен инстумент и выполнена подписка на сделки // по инструменту //_candleManager = CreateCandleManager(_connector, _security); _connector.Connected += () => { Console.WriteLine("Соединение установлено!"); }; _connector.Disconnected += () => { Console.WriteLine("Соединение разорвано!"); Console.WriteLine("Для выхода нажмите Q и Enter."); }; _connector.NewSecurities += securities => { securities.ForEach(s => { if (s.Id == _securityId) { _security = s; _handler.Set(); } }); }; _candleManager.Processing += (series, candle) => { if (_series == null || _series != series) { return; } // Используем только завершенные свечи if (candle.State != CandleStates.Finished) { return; } if (candle.OpenTime < (DateTimeOffset.Now - TimeSpan.FromMinutes(6))) { // В эту ветку попадает исторические свечи, которые вычленяются при помощи текущего времени. // Обратите внимание, что из текущего времени вычитается тайм-фрейм свечи, увеличенный на 1 минуту //(чтобы учесть разность между локальным времемем и временем сервера).. // Debug.WriteLine(string.Format("История. {0}", candle)); } else { Debug.WriteLine(string.Format("Текущая. {0}", candle)); } }; _connector.Connect(); _handler.WaitOne(); // создаем серию _series = new CandleSeries(typeof(TimeFrameCandle), _security, TimeSpan.FromMinutes(5)); // стартуем серию _candleManager.Start(_series); Console.Read(); // останавливаем серию _candleManager.Stop(_series); _connector.Disconnect(); // Ждет, пока последовательно не будут нажаты клаваши Q и Enter, // после чего программа завершит работу while (Console.ReadLine().ToUpper() != "Q") { ; } }
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; }
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.Str3017}), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsTestingProcess, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018}), Tuple.Create( CandlesCheckBox, CandlesTestingProcess, CandlesParameterGrid, // candles new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019}), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsTestingProcess, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020}), Tuple.Create( OrderLogCheckBox, OrderLogTestingProcess, OrderLogParameterGrid, // order log new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021}) }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path 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); // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>(); // set ProgressBar bounds 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()); // 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 }) { StorageRegistry = storageRegistry, MarketEmulator = { Settings = { // set time frame is backtesting on candles UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame, // 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 = true, CreateDepthFromOrdersLog = emulationInfo.UseOrderLog, CreateTradesFromOrdersLog = emulationInfo.UseOrderLog, // 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 = 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; }
static void Main(string[] args) { var security = new Security() { Id = "RIH7@FORTS", Board = ExchangeBoard.Forts }; StorageRegistry storage = new StorageRegistry(); string path = @"../../../Data/Quik"; //Для работы будем использовать готовое локальное файловое хранилище, в которое данные были предварительно записаны при помощи Гидры. //Создаем экземпляр LocalMarketDataDrive. LocalMarketDataDrive drive = new LocalMarketDataDrive() { Path = path }; //Передаем в StorageRegistry ссылку на локальное файловое хранилище storage.DefaultDrive = drive; DateTime from = new DateTime(2017, 02, 14, 10, 0, 0); DateTime to = new DateTime(2017, 02, 15, 23, 50, 0); // Создаем простой индикатор - простая скользяшая средняя. Простой индикатор - индикатор, которые состоит из одного индикатора. var ma = new SimpleMovingAverage() { Length = 11 }; // Событие генерируется при изменении текущего значения индикатора.. Событие имеет два параметра: входное и выходное значение. ma.Changed += (input, output) => { //TODO }; // Создаем комплексный индикатор - полосы Боллинджера. Комплексный индикатор - индикатор, которые состоит из нескольких простых или комплексных // индикаторов. В состав полос Боллинджера входят три простых индикатора: верхняя и нижняя полоса BollingerBand, а также простая скользящая средняя. var bb = new BollingerBands() { Length = 11, Width = 1.5m }; // Событие генерируется при изменении текущего значения индикатора.. Событие имеет два параметра: входное и выходное значение. bb.Changed += (input, output) => { //TODO }; // Создаем кандлеменеджер, который в качестве источника свечек использует сделки из хранилища. CandleManager candleManager = new CandleManager(new TradeStorageCandleBuilderSource() { StorageRegistry = storage }); candleManager.Processing += (series, candle) => { if (candle.State != CandleStates.Finished) { return; } // передаем в метод Process значение для обработки... // Передаваемый параметр должен реализовывать интерфейс IIndicatorValue. // В нашем случае используется метод расширения, который преобразует // свечу в класс CandleIndicatorValue, который реализует требуемый интерфейс. // Функция возвращается тип, который также реализует интерфейс IIndicatorValue // Такой подход обладает следующими преимуществами: // 1. IIndicatorValue используется при построении графиков // 2. Значение одного индикторы, можно сразу передавать на вход другого индикатра. var maValue = ma.Process(candle); // Свойство IsFormed становится true, когда текущее значение индикатора становится валидным // Наример, в скользящих средних, если число значений поступивших на вход больше или равно // периоду индикатора if (ma.IsFormed) { // Так можно вернуть "нормальное" значение из IIndicatorValue var maCur = ma.GetCurrentValue(); // Это другой способ получения "нормальное" текущего значения индикатора maCur = maValue.GetValue <decimal>(); } // Здесь мы используем комплексный индикатор. Также передаем в метод Process значение для обработки... // На выходе мы получаем тип ComplexIndicatorValue (тоже реализует IIndicatorValue). // Главная особенность типа ComplexIndicatorValue в наличии свойства InnerValues, где // хранятся текущие значения всех простых индикаторов, входящих в состав комплексного индикатора. var bbValue = (ComplexIndicatorValue)bb.Process(candle); if (bb.IsFormed) { // Так можно получить значения из InnerValues var upBandValue = bbValue.InnerValues[bb.UpBand]; var lowBandValue = bbValue.InnerValues[bb.LowBand]; var upBand = bb.UpBand.GetCurrentValue(); var lowBand = bb.LowBand.GetCurrentValue(); upBand = upBandValue.GetValue <decimal>(); lowBand = lowBandValue.GetValue <decimal>(); } }; var srs = new CandleSeries(typeof(TimeFrameCandle), security, TimeSpan.FromMinutes(1)); candleManager.Start(srs, from, to); Console.Read(); candleManager.Stop(srs); }
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.Str3017 }), Tuple.Create( TicksAndDepthsCheckBox, TicksAndDepthsTestingProcess, TicksAndDepthsParameterGrid, // ticks + order book new EmulationInfo { UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018 }), Tuple.Create( CandlesCheckBox, CandlesTestingProcess, CandlesParameterGrid, // candles new EmulationInfo { UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019 }), Tuple.Create( CandlesAndDepthsCheckBox, CandlesAndDepthsTestingProcess, CandlesAndDepthsParameterGrid, // candles + orderbook new EmulationInfo { UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020 }), Tuple.Create( OrderLogCheckBox, OrderLogTestingProcess, OrderLogParameterGrid, // order log new EmulationInfo { UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021 }) }; // storage to historical data var storageRegistry = new StorageRegistry { // set historical path 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); } // ProgressBar refresh step var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>(); // set ProgressBar bounds 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()); // 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 }) { StorageRegistry = storageRegistry, MarketEmulator = { Settings = { // set time frame is backtesting on candles UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame, // 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 = true, CreateDepthFromOrdersLog = emulationInfo.UseOrderLog, CreateTradesFromOrdersLog = emulationInfo.UseOrderLog, }; connector.StartDate = startTime; connector.StopDate = stopTime; connector.MarketTimeChangedInterval = timeFrame; ((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; logManager.Sources.Add(connector); connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // fill level1 values connector.SendOutMessage(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 historical data loading when connection established successfully and all data subscribed connector.Start(); }; 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); // 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); // 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(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (connector.State == EmulationStates.Started) { SetIsEnabled(true); // start strategy when emulation started 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; // 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; }