public override void Run()
{
Strategy metaStrategy = new Strategy(framework, "MetaStrategy");
Instrument instrument1 = InstrumentManager.Instruments["CSCO"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
MyStrategy strategy = new MyStrategy(framework, "BuySell");
strategy.Instruments.Add(instrument1);
strategy.Instruments.Add(instrument2);
VWAP_SellSide sellSideStrategy = new VWAP_SellSide(framework, "VWAP SellSide");
strategy.ExecutionProvider = sellSideStrategy;
strategy.DataProvider = sellSideStrategy;
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, 60);
BarFactory.Add(instrument2, BarType.Time, 60);
metaStrategy.AddStrategy(strategy);
metaStrategy.AddStrategy(sellSideStrategy);
this.strategy = metaStrategy;
StartStrategy();
}
public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("NGF 01-15 vs NGG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Synthetic, "NGF 01-15 vs NGG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGF17after"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("NGG17after"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 23); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 11, 29); // 1 day after real end
BarFactory.Clear();
// Run.
StartStrategy();
}
public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -12));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Get synthetic trading instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 4 hours bars (14400 seconds) for ins1.
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public void add_strategy_to_collection_expect_retrieval_as_version()
{
var searchStrategy = new MockStringSearch();
Strategy.AddStrategy <IStringSearch>(searchStrategy, As.v1);
Assert.AreEqual(searchStrategy, Strategy.For <IStringSearch>(As.v1));
}
public static void AssemblyInit(TestContext context)
{
// Forces the default registration of the IStringSearch Strategy //
Strategy.AddStrategy <IStringSearch>(new StringSearch());
Strategy.AddStrategy <ITree>(new Tree());
Strategy.AddStrategy <IBranch>(new BranchA());
Strategy.AddStrategy <ILeaf>(new LeafA());
}
public void using_tree_with_different_branch_expect_explicit_response()
{
Strategy.AddStrategy <ITree>(new Tree(), As.v2);
// NOTE the BRANCH C use //
Strategy.AddStrategy <IBranch>(new BranchC(), As.v2);
Strategy.AddStrategy <ILeaf>(new LeafA(), As.v2);
var response = Strategy.For <ITree>(As.v2).Navigate(As.v2);
// Should be the default response because it was placed back into the Strategy //
// after the TestInitialize //
Assert.AreEqual("This is not the branch you are looking for...", response);
}
public void using_tree_with_leaf_C_expect_response()
{
Strategy.AddStrategy <ITree>(new Tree(), As.v1);
Strategy.AddStrategy <IBranch>(new BranchA(), As.v1);
// NOTE the BRANCH C use //
Strategy.AddStrategy <ILeaf>(new LeafC(), As.v1);
var response = Strategy.For <ITree>(As.v1).Navigate(As.v1);
// this will be the "Read Leaf C" because of the injection //
// of the LeafC strategy in this method //
Assert.AreEqual("Read Leaf C", response);
}
public void string_search_implementation_expect_results()
{
// search for a string that is not properly cased //
var searchFor = "move Along";
bool contains = Strategy.For <IStringSearch>().HasWithin(searchFor, searchWithin);
Assert.IsFalse(contains);
//switch the strategy to case insensitive, to show the injection potential //
Strategy.AddStrategy <IStringSearch>(new StringSearchCI(), As.v2);
contains = Strategy.For <IStringSearch>(As.v2).HasWithin(searchFor, searchWithin);
Assert.IsTrue(contains);
// search for a string the is a partial //
searchFor = "ident";
contains = Strategy.For <IStringSearch>().HasWithin(searchFor, searchWithin);
Assert.IsTrue(contains);
// search for a string that does not exist //
searchFor = "?";
contains = Strategy.For <IStringSearch>().HasWithin(searchFor, searchWithin);
Assert.IsFalse(contains);
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", StrategyManager.Mode);
// Get spread instrument.
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
sellSide.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
sellSide.DataProvider = quantRouter as IDataProvider;
sellSide.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Set null for event filter.
EventManager.Filter = null;
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
Console.WriteLine("Run in {0} mode.", StrategyManager.Mode);
StartStrategy(StrategyManager.Mode);
}
public override void Run()
{
// Synthetic instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List <RollInfo> rollInfo = new List <RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
{
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
}
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", StrategyManager.Mode);
// Get spread instrument.
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
quantRouter.Connect();
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
sellSide.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
sellSide.DataProvider = quantRouter as IDataProvider;
sellSide.ExecutionProvider = quantRouter as IExecutionProvider;
}
// Set null for event filter.
EventManager.Filter = null;
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
Console.WriteLine("Run in {0} mode.", StrategyManager.Mode);
StartStrategy(StrategyManager.Mode);
}
public override void Run()
{
Instrument spreadInsturment = InstrumentManager.Get("AAPL vs MSFT");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Stock, "AAPL vs MSFT");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("AAPL"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("MSFT"), -12));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 1 minute bars (60 seconds) for spread instrument.
BarFactory.Add(spreadInsturment, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
Strategy metaStrategy = new Strategy(framework, "MetaStrategy");
Instrument instrument1 = InstrumentManager.Instruments["CSCO"];
Instrument instrument2 = InstrumentManager.Instruments["MSFT"];
MyStrategy strategy = new MyStrategy(framework, "BuySell");
strategy.Instruments.Add(instrument1);
strategy.Instruments.Add(instrument2);
VWAP_SellSide sellSideStrategy = new VWAP_SellSide(framework, "VWAP SellSide");
strategy.ExecutionProvider = sellSideStrategy;
strategy.DataProvider = sellSideStrategy;
DataSimulator.DateTime1 = new DateTime(2013, 12, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
BarFactory.Add(instrument1, BarType.Time, 60);
BarFactory.Add(instrument2, BarType.Time, 60);
metaStrategy.AddStrategy(strategy);
metaStrategy.AddStrategy(sellSideStrategy);
this.strategy = metaStrategy;
StartStrategy();
}
public override void Run()
{
// Synthetic instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List<RollInfo> rollInfo = new List<RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.Providers["QuantRouter"] as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
quantRouter.Connect();
if (StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public override void Run()
{
// Get synthetic trading instrument.
Instrument instrument1 = InstrumentManager.Instruments["NQ"];
// Init roll info - leg index, symbol and maturity date.
List<RollInfo> rollInfo = new List<RollInfo>()
{
new RollInfo(0, "NQZ3", new DateTime(2013, 12, 20)),
new RollInfo(1, "NQH4", new DateTime(2014, 03, 21)),
};
// Add legs.
for (var i = 0; i < rollInfo.Count; i++)
instrument1.Legs.Add(new Leg(InstrumentManager.Instruments[rollInfo[i].Symbol]));
// Main strategy.
strategy = new Strategy(framework, "Roll");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(instrument1);
// Create SellSide strategy.
RollSellSide sellSide = new RollSellSide(framework, "SellSide");
sellSide.Global[RollSellSide.barSizeCode] = barSize;
sellSide.Global[RollSellSide.rollInfoCode] = rollInfo;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2013, 01, 01);
DataSimulator.DateTime2 = new DateTime(2013, 12, 31);
// Add 4 hours bars (14400 seconds) for ins1.
BarFactory.Add(instrument1, BarType.Time, barSize);
// Run.
StartStrategy();
}
public void add_default_strategy_expect_exception_due_to_existing_registration()
{
// This is a BOMB, it go BOOM //
Strategy.AddStrategy <IStringSearch>(new StringSearch(), As.Default);
}
public override void Run()
{
MulticoreOptimizer optimizer = new MulticoreOptimizer(this.framework);
OptimizationUniverse universe = new OptimizationUniverse();
for (decimal Delta = 1; Delta < 8; Delta++)
{
OptimizationParameterSet parameter = new OptimizationParameterSet();
parameter.Add("Delta", Delta);
universe.Add(parameter);
}
Instrument spreadInsturment = InstrumentManager.Get("*NG 01-15 vs *NG 02-15");
// Add spread instrument if needed.
if (spreadInsturment == null)
{
spreadInsturment = new Instrument(InstrumentType.Future, "*NG 01-15 vs *NG 02-15");
InstrumentManager.Add(spreadInsturment);
}
spreadInsturment.Legs.Clear();
// Add legs for spread instrument if needed.
if (spreadInsturment.Legs.Count == 0)
{
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 01-15"), 1));
spreadInsturment.Legs.Add(new Leg(InstrumentManager.Get("*NG 02-15"), 1));
}
// Main strategy.
strategy = new Strategy(framework, "SpreadTrading");
// Create BuySide strategy and add trading instrument.
MyStrategy buySide = new MyStrategy(framework, "BuySide");
buySide.Instruments.Add(spreadInsturment);
// Create SellSide strategy.
SpreadSellSide sellSide = new SpreadSellSide(framework, "SellSide");
//sellSide.Global[SpreadSellSide.barSizeCode] = barSize;
// Set SellSide as data and execution provider for BuySide strategy.
buySide.DataProvider = sellSide;
buySide.ExecutionProvider = sellSide;
// Add strategies to main.
strategy.AddStrategy(buySide);
strategy.AddStrategy(sellSide);
// Set DataSimulator's dates.
DataSimulator.DateTime1 = new DateTime(2014, 11, 18); // 1 day before real start
DataSimulator.DateTime2 = new DateTime(2014, 12, 30); // 1 day after real end
InstrumentList instruments = new InstrumentList();
instruments.Add(spreadInsturment);
strategy.AddInstruments(instruments);
//You can choose an optimization method from the "Optimizers" window
//and observe the optimization results in the "Optimization Results" window.
//Optimization can use either of two ways to declare parameters:
//1. Optimization using [OptimizationParameter] atrributes from Strategy
//Optimize(strategy);
//2. Optimization via OptimizationUniverse
optimizer.Optimize(strategy, universe);
}