/// <summary>
/// Start the process of analysing the strategy from source code
/// </summary>
/// <param name="startDate">start date of back-testing</param>
/// <param name="endDate">end date of back-testing</param>
/// <param name="monthsInTerm">length of forward contract in months</param>
/// <param name="fxCode">source code for a strategy</param>
/// <returns>Profit Index over time</returns>
public IEnumerable<DateIndex> Execute(DateTime startDate, DateTime endDate, int monthsInTerm, string fxCode)
{
// these objects are created for each execution
// it is to support multi-threading
var fxParser = new StrategyLanguageParser();
var modelTransformer = new ASTToModelTransform.AstTreeToModelTransformer();
var calculationEngine = new ProfitCalculationEngine(_currencyDataSource);
var strategyRunTime = new StrategyInterpreter(_currencyDataSource);
// parse the source code into abstract syntax tree
var strategyAstNode = fxParser.Parse(fxCode);
// transform the abstract syntax tree to the model
var strategyModel = modelTransformer.Transform(strategyAstNode);
// execute the model
strategyRunTime.Clear();
strategyRunTime.Execute(strategyModel, startDate, endDate);
// calculate profit based on the position records
calculationEngine.Evaluate(
strategyRunTime.PositionSetTable.Values.SelectMany(v => v.Positions).ToList(),
startDate,endDate,
new PeriodicTimeDefinition(monthsInTerm, PeriodicType.Month));
return calculationEngine.IndexOverTime.Select(
i => new DateIndex(){
Date = i.Time,
Index = i.Value
});
}
public void ExecutionTimeTest()
{
TradingStrategy tradingStratgy = ConstructTradingStrategy();
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
currencyDataSource.PreLoad();
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
DateTime startExecutionTime;
DateTime endExecutionTime;
DateTime startDate = new DateTime(2000, 1, 1);
List<List<double>> results = new List<List<double>>();
StringBuilder output = new StringBuilder();
for (int j = 0; j < 10; j++)
{
results.Add(new List<double>());
output.AppendLine("Run no.: " + j);
for (int i = 0; i < 11; i++)
{
startExecutionTime = DateTime.Now;
target.Execute(tradingStratgy, startDate, startDate.AddYears(i + 1));
endExecutionTime = DateTime.Now;
results[j].Add((endExecutionTime - startExecutionTime).TotalMilliseconds);
output.AppendLine(String.Format("Execution time: {0}ms, Number of positionRecord: {1} ",
(endExecutionTime - startExecutionTime).TotalMilliseconds,
target.PositionSetTable.Sum(p => p.Value.Positions.SelectMany(pos => pos.PositionRecords).Count()
)
));
target.Clear();
//results.Add(endExecutionTime - startExecutionTime);
}
output.AppendLine();
}
output.AppendLine("Average: ");
for (int i = 0; i < 10; i++)
{
output.AppendLine( (i+1) + " Year: \t" + results.Select(r => r.ElementAt(i)).Average());
}
using (StreamWriter writer = new StreamWriter(@"D:\Documents\Study Materials\Master Thesis\Main Thesis\executionTime.txt"))
{
//for (int i = 1; i <= 10; i++)
//{
// output += String.Format(results[i - 1].Milliseconds + " ms \n");
//}
writer.WriteLine(output);
}
}
public void ExecuteTest()
{
StrategyInterpreter target = new StrategyInterpreter();
TradingStrategy tradingStrategy = ConstructTradingStrategy();
DateTime startDate = new DateTime(2000,1,7);
DateTime endDate = new DateTime(2000,2,25);
target.Execute(tradingStrategy, startDate, endDate);
PositionSetRuntime longPositions = target.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any( p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any( p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any( p => p.CurrencyInPosition.Name == "NOK"));
target.Clear();
target.Execute(tradingStrategy, startDate, new DateTime(2000,3,10));
longPositions = target.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
target.Clear();
target.Execute(tradingStrategy, startDate, new DateTime(2000, 4, 14));
longPositions = target.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
}
public void TransformerTest()
{
StrategyLanguageParser fxParser = new StrategyLanguageParser();
TradingStrategyAstNode strategyAst = fxParser.Parse(ExampleCode);
AstTreeToModelTransformer transformer = new AstTreeToModelTransformer();
TradingStrategy strategy = transformer.Transform(strategyAst);
Assert.IsTrue(strategy.TradingRules.Count > 0);
StrategyInterpreter strategyRunTime = new StrategyInterpreter();
DateTime startDate = new DateTime(2000, 1, 7);
DateTime endDate = new DateTime(2000, 2, 25);
Assert.IsTrue(strategy.ConstantVariableDefinitions.Count == 3);
strategyRunTime.Execute(strategy, startDate, endDate);
PositionSetRuntime longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
strategyRunTime.Clear();
strategyRunTime.Execute(strategy, startDate, new DateTime(2000, 3, 10));
longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "GBP"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
strategyRunTime.Clear();
strategyRunTime.Execute(strategy, startDate, new DateTime(2000, 4, 14));
longPositions = strategyRunTime.PositionSetTable["LongPositions"];
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "USD"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NOK"));
Assert.IsTrue(longPositions.Positions.Any(p => p.CurrencyInPosition.Name == "NZD"));
}
