public override object Clone()
{
var p = new BacktestingProject()
{
Name = Name,
Memo = Memo,
IsUnlimited = IsUnlimited,
AnalyseGrade = AnalyseGrade,
AnalyseStartTime = AnalyseStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
CurrentTradeGate = CurrentTradeGate,
Fine = Fine,
Grade = Grade,
ProjectStartTime = ProjectStartTime,
RiskPolicy = RiskPolicy.Clone() as IRiskControl,
Status = Status,
TargetPortfolio = TargetPortfolio.Clone() as IPortfolio,
TestStrategy = TestStrategy.Clone() as IStrategy,
TestCurrentTime = TestCurrentTime,
TestEndTime = TestEndTime,
TestStartTime = TestStartTime,
TestStepDelayMS = TestStepDelayMS,
};
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
return(p);
}
public override object Clone()
{
var p = new AnalyseProject()
{
AnalyseEndTime = AnalyseEndTime,
AnalyseStartTime = AnalyseStartTime,
ProjectStartTime = ProjectStartTime,
CurrentDataSource = CurrentDataSource.Clone() as IDataSource,
DefaultFilterNumber = DefaultFilterNumber,
Fine = Fine,
Grade = Grade,
Memo = Memo,
Name = Name,
TestStepDelayMS = TestStepDelayMS,
Status = Status
};
InstrumentList.ForEach(v => p.InstrumentList.Add(v.Clone() as IInstrument));
ResultList.ForEach(v => p.ResultList.Add(v.Clone() as IInstrument));
BlockList.ForEach(v => p.BlockList.Add(v.Clone() as IInstrument));
ConditionList.ForEach(v => p.ConditionList.Add(v.Clone() as ICondition));
PredicateList.ForEach(v => p.PredicateList.Add(v.Clone() as ICondition));
return(p);
}
//相邻的三元组
public Dictionary <string, List <Tuple <double, double, double> > > Get3DCurve()
{
var r = new Dictionary <string, List <Tuple <double, double, double> > >();
InstrumentList.ForEach(v =>
{
var l = Get3DCurve(v);
r.Add(v.Name, l);
});
return(r);
}
//得到序列里面所有差值的分布
public Dictionary <string, Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > > > GetDimentionAnalyse(int n = 20)
{
var r = new Dictionary <string, Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > > >();
InstrumentList.ForEach(v =>
{
var l = GetDimentionAnalyse(v, false, n);
var al = GetDimentionAnalyse(v, true, n);
r.Add(v.Name, new Tuple <List <Tuple <double, double> >, List <Tuple <double, double> > >(l, al));
});
return(r);
}
void AnalyseStep()
{
InstrumentList.ForEach(v => v.Memo = "");
ConditionList.ForEach(v => v.ClearResult());
foreach (var inst in InstrumentList)
{
foreach (var condition in ConditionList)
{
condition.GenerateResult(inst, AnalyseStartTime, analyseTime, AnalyseGrade);
}
}
}
public override void PrepareWork()
{
TargetPortfolio.PrepareWork();
MarketDataList.Clear();
CurrentDataSource.DataList.Clear();
CurrentValueList.Clear();
StandardValueList.Clear();
OrderList.Clear();
DateTime st = TestStartTime;
if (TestStartTime > AnalyseStartTime)
{
st = AnalyseStartTime;
}
CurrentDataSource.CacheStartTime = st;
CurrentDataSource.CacheEndTime = TestEndTime;
TestCurrentTime = TestStartTime;
analyseTime = MarketData.GetNextTime(TestCurrentTime, AnalyseGrade);
_MaxLost = new Money()
{
FxCode = Pnl.FxCode, Number = 0
};
if (UseFirstMarketDataInit)
{
var fdl = new List <IMarketData>();
InstrumentList.ForEach(v =>
{
var d = CurrentDataSource.GetFirstData(v, TestStartTime, TestEndTime, Grade);
if (d != null)
{
fdl.Add(d);
}
});
TargetPortfolio.ProcessMarketData(fdl);
TargetPortfolio.PositionList.ForEach(v =>
{
var d = fdl.FirstOrDefault(m => m.InstrumentTicker == v.InstrumentTicker);
if (d != null)
{
v.Cost = d.Close;
}
});
}
if (IsUnlimited)
{
TargetPortfolio.IsUnlimited = true;
}
standardPortfolio = TargetPortfolio.Clone() as IPortfolio;
testStartValue = TargetPortfolio.CurrentValue;
CurrentDataSource.PrepareWork();
CurrentTradeGate.PrepareWork();
foreach (var condition in ConditionList)
{
condition.PrepareWork();
condition.GetInstrumentList = () => { return(InstrumentList); };
condition.AnalyseDataSource = CurrentDataSource;
}
TestStrategy.CurrentPortfolio = TargetPortfolio;
TestStrategy.PrepareWork();
RiskPolicy.PrepareWork();
}