/// <summary>
/// Initializes necessary fields and parameters
/// </summary>
/// <param name="strategyType">User Strategy Type</param>
/// <param name="ctorArguments">Constructor arguments to initialize strategy</param>
private void Initialize(Type strategyType, object[] ctorArguments)
{
_manualReset = new ManualResetEvent(false);
_logger = new AsyncClassLogger("StrategyExecutorGeneticAlgo");
// Save Strategy Type
_strategyType = strategyType;
//Save Arguments
_ctorArguments = ctorArguments;
// Set Logging levels
_logger.SetLoggingLevel();
// Get new strategy instance
var strategyInstance = LoadCustomStrategy.CreateStrategyInstance(_strategyType, _ctorArguments);
if (strategyInstance != null)
{
// Cast to TradeHubStrategy Instance
_tradeHubStrategy = strategyInstance as TradeHubStrategy;
InitializeStrategyListeners();
OverrideMarketRequestCalls();
OverrideOrderRequestCalls();
}
}
/// <summary>
/// Starts custom strategy execution
/// </summary>
public void ExecuteStrategy()
{
try
{
// Verify Strategy Instance
if (_tradeHubStrategy == null)
{
//create DB strategy
Strategy strategy = new Strategy();
strategy.Name = _strategyType.Name;
strategy.StartDateTime = DateTime.Now;
// Get new strategy instance
var strategyInstance = LoadCustomStrategy.CreateStrategyInstance(_strategyType, CtorArguments);
if (strategyInstance != null)
{
// Cast to TradeHubStrategy Instance
_tradeHubStrategy = strategyInstance as TradeHubStrategy;
}
if (_tradeHubStrategy == null)
{
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Unable to initialize Custom Strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
// Skip execution of further actions
return;
}
// Set Strategy Name
_tradeHubStrategy.StrategyName = LoadCustomStrategy.GetCustomClassSummary(_strategyType);
// Register Events
_tradeHubStrategy.OnStrategyStatusChanged += OnStrategyStatusChanged;
_tradeHubStrategy.OnNewExecutionReceived += OnNewExecutionReceived;
}
if (_asyncClassLogger.IsInfoEnabled)
{
_asyncClassLogger.Info("Executing user strategy: " + _strategyType.FullName, _type.FullName, "ExecuteStrategy");
}
//Overriding if running on simulated exchange
ManageBackTestingStrategy();
// Start Executing the strategy
_tradeHubStrategy.Run();
}
catch (Exception exception)
{
_asyncClassLogger.Error(exception, _type.FullName, "ExecuteStrategy");
}
}
/// <summary>
/// Create instance of strategy
/// </summary>
/// <param name="type"></param>
/// <param name="ctrArgs"></param>
/// <returns></returns>
public static object CreateStrategyInstance(Type type, object[] ctrArgs)
{
return(LoadCustomStrategy.CreateStrategyInstance(type, ctrArgs));
}
static void Main(string[] args)
{
//IList<string> namesOfFiles = new List<string>();
//DateTime startTime = new DateTime(2013,8,25);
//DateTime endTime = new DateTime(2013,8,30);
//string specificFolder = @"C:\aurora\ATS\Saved Data";
//string providerName = "InteractiveBrokers";
//string[] directoryNames = new string[3];
//// Get possible directory path for bars created with BID Price
//directoryNames[0] = specificFolder + "\\" + providerName + "\\" + "AAPL" + "\\Bar\\" +
// TradeHubConstants.BarFormat.TIME + "\\" + TradeHubConstants.BarPriceType.BID;
//// Get possible directory path for bars created with ASK Price
//directoryNames[1] = specificFolder + "\\" + providerName + "\\" + "AAPL" + "\\Bar\\" +
// TradeHubConstants.BarFormat.TIME + "\\" + TradeHubConstants.BarPriceType.ASK;
//// Get possible directory path for bars created with LAST Price
//directoryNames[2] = specificFolder + "\\" + providerName + "\\" + "AAPL" + "\\Bar\\" +
// TradeHubConstants.BarFormat.TIME + "\\" + TradeHubConstants.BarPriceType.LAST;
//// Traverse all possible directories
//foreach (string directoryName in directoryNames)
//{
// var directory = new DirectoryInfo(directoryName);
// // Find required files if the path exists
// if (directory.Exists)
// {
// // Find all possible subfolders in the given directory
// IEnumerable<string> subFolders = directory.GetDirectories().Select(subDirectory => subDirectory.Name);
// // Use all sub-directories to find files with required info
// foreach (string subFolder in subFolders)
// {
// DateTime tempStartTime = new DateTime(startTime.Ticks);
// while (tempStartTime.Date <= endTime.Date)
// {
// var filename = tempStartTime.ToString("yyyyMMdd") + ".txt";
// // Get the File paths of required date.
// string[] path = Directory.GetFiles(directoryName + "\\" + subFolder,
// filename, SearchOption.AllDirectories);
// if (path.Any())
// {
// namesOfFiles.Add(path[0]);
// }
// tempStartTime = tempStartTime.AddDays(1);
// }
// }
// }
//}
//foreach (string namesOfFile in namesOfFiles)
//{
// System.Console.WriteLine(namesOfFile);
//}
var strategyDetails = LoadCustomStrategy.GetConstructorDetails("TradeHub.StrategyRunner.SampleStrategy.dll");
if (strategyDetails != null)
{
var strategyType = strategyDetails.Item1;
var ctorDetails = strategyDetails.Item2;
object[] ctrArgs = new object[ctorDetails.Length];
foreach (ParameterInfo parameterInfo in ctorDetails)
{
object value;
do
{
System.Console.WriteLine("Enter " + parameterInfo.ParameterType.Name + " value for: " +
parameterInfo.Name);
var input = System.Console.ReadLine();
value = LoadCustomStrategy.GetParametereValue(input, parameterInfo.ParameterType.Name);
} while (value == null);
ctrArgs[parameterInfo.Position] = value;
}
LoadCustomStrategy.CreateStrategyInstance(strategyType, ctrArgs);
}
while (true)
{
}
}