public void CancelOrder(string orderId, AccountInfo account)
{
if (State == SignalState.Backtesting)
{
SimulationBroker.CancelOrder(orderId, account);
}
else
{
Broker?.CancelOrder(orderId, account);
}
}
public void PlaceOrder(OrderParams order, AccountInfo account, bool skipAnalyzer = false)
{
var processed = skipAnalyzer ? order : AnalyzePreTrade(order);
if (processed == null || processed.Quantity == 0M)
{
return;
}
if (State == SignalState.Backtesting)
{
SimulationBroker.PlaceOrder(order, account);
}
else
{
Broker?.PlaceOrder(order, account);
}
}
public List <Order> GetOrders(AccountInfo account) => State == SignalState.Backtesting
? SimulationBroker.GetOrders(account).ToList()
: Broker?.GetOrders(account);
public List <Position> GetPositions(AccountInfo account, string symbol) => State == SignalState.Backtesting
? SimulationBroker.GetPositions(account, symbol).ToList()
: Broker?.GetPositions(account, symbol);
/// <summary>
/// Runs backtest for single instrument and a set of parameter values
/// </summary>
/// <param name="instruments">Instruments to be backtested</param>
/// <param name="parameters">Set of parameter values to use for backtest</param>
/// <returns>List of generated trades</returns>
protected override List <TradeSignal> BacktestSlotItem(IEnumerable <Selection> instruments,
IEnumerable <object> parameters)
{
// Get data for all provided instruments
var data = new Dictionary <Selection, List <Bar> >(instruments.Count());
if (BacktestSettings == null)
{
BacktestSettings = new BacktestSettings();
}
if (BacktestSettings?.BarData != null && BacktestSettings.BarData.Any()) //provided with backtest settings
{
foreach (var item in instruments)
{
var bars = BacktestSettings.BarData
.FirstOrDefault(b => b.Key.Symbol == item.Symbol &&
b.Key.TimeFactor == item.TimeFactor &&
b.Key.Timeframe == item.Timeframe).Value;
if (bars != null && bars.Count > 0)
{
data.Add(item, bars);
}
}
}
else //need to request from data provider
{
foreach (var item in instruments)
{
var btInstrument = (Selection)item.Clone();
if (BacktestSettings.BarsBack > 0)
{
btInstrument.BarCount = BacktestSettings.BarsBack;
}
if (BacktestSettings.StartDate.Year > 2000)
{
btInstrument.From = BacktestSettings.StartDate;
}
if (BacktestSettings.EndDate > BacktestSettings.StartDate)
{
btInstrument.To = BacktestSettings.EndDate;
}
var bars = DataProvider.GetBars(btInstrument);
if (bars != null && bars.Count > 0)
{
data.Add(btInstrument, bars);
}
}
}
int batchSize = GetBacktestBatchSize(parameters);
if (data.Count == 0 || batchSize < 1)
{
return(new List <TradeSignal>(0));
}
// Scan all data collections
var result = new List <TradeSignal>();
var indices = data.ToDictionary(k => k.Key, v => 0);
while (true)
{
// Get instrument with oldest/earliest data
var time = DateTime.MaxValue;
foreach (var item in data)
{
var idx = indices[item.Key];
if (idx >= 0 && idx < item.Value.Count && item.Value[idx].Date < time)
{
time = item.Value[idx].Date;
}
}
if (time == DateTime.MaxValue)
{
break;
}
var selectionsToUse = new List <Selection>();
foreach (var item in data)
{
var idx = indices[item.Key];
if (idx >= 0 && idx < item.Value.Count && item.Value[idx].Date == time)
{
selectionsToUse.Add(item.Key);
}
}
// Get necessary data frame to scan
var dataFrames = new Dictionary <Selection, IEnumerable <Bar> >(selectionsToUse.Count);
foreach (var item in data)
{
if (selectionsToUse.Contains(item.Key))
{
dataFrames.Add(item.Key, item.Value.GetRange(indices[item.Key], batchSize));
indices[item.Key]++;
}
}
// Evaluate current batch
if (dataFrames.Count > 0)
{
var trades = Evaluate(dataFrames, parameters);
var barData = dataFrames.Keys.FirstOrDefault();
var barToProccess = dataFrames.Values.FirstOrDefault()?.FirstOrDefault();
SimulationBroker.ProcessBar(barData?.Symbol, barToProccess);
foreach (var account in BrokerAccounts)
{
foreach (var orderInfo in GenerateOrderParams(trades))
{
PlaceOrder(orderInfo, account);
}
}
if (trades != null && trades.Count > 0)
{
result.AddRange(trades);
}
}
// Break if backtest has been aborted
if (State != SignalState.Backtesting && State != SignalState.BacktestingPaused)
{
break;
}
}
return(result);
}
