public KeyValuePair<OptVarItem, EMAEventModelStrategy> GetOptContext(OptVarItem optVarItem)
{
// clone doesn't work for some reason
var security = new Security
{
Id = _security.Id,
Code = _security.Code,
Name = _security.Name,
MinStepSize = _security.MinStepSize,
MinStepPrice = _security.MinStepPrice,
ExchangeBoard = _security.ExchangeBoard,
MaxPrice = 99999,
MinPrice = 1
};
// Create local Storage to make it disposable after optimization
var storage = new StorageRegistry();
((LocalMarketDataDrive) storage.DefaultDrive).Path = ((LocalMarketDataDrive) _storage.DefaultDrive).Path;
((LocalMarketDataDrive) storage.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { BeginValue = _portfolio.BeginValue };
EmulationTrader trader = new EmulationTrader(
new[] { security },
new[] { portfolio })
{
MarketTimeChangedInterval = optVarItem.TimeFrame,
StorageRegistry = storage,
UseMarketDepth = true,
//UseCandlesTimeFrame = optVarItem.TimeFrame
};
if (trader.UseMarketDepth)
{
trader.MarketEmulator.Settings.DepthExpirationTime = TimeSpan.FromMinutes(5); // Default: TimeSpan.FromDays(1);
var marketDepthGenerator = new TrendMarketDepthGenerator(security)
{
// стакан для инструмента в истории обновляется раз в 10 секунд
Interval = TimeSpan.FromSeconds(10),
//MaxAsksDepth = 5,
//MaxBidsDepth = 5
};
trader.RegisterMarketDepth(marketDepthGenerator);
trader.StateChanged += (oldState, newState) =>
{
if (trader.State == EmulationStates.Stopped)
{
trader.UnRegisterMarketDepth(marketDepthGenerator);
marketDepthGenerator = null;
}
};
}
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
trader.Connect();
trader.StartExport();
var series = new CandleSeries(typeof(TimeFrameCandle), trader.Securities.First(), optVarItem.TimeFrame);
var candleManager = new CandleManager(trader);
candleManager.Start(series);
var strategy = new EMAEventModelStrategy(series,
new ExponentialMovingAverage { Length = optVarItem.FilterOptPeriod },
new ExponentialMovingAverage { Length = optVarItem.LongOptPeriods },
new ExponentialMovingAverage { Length = optVarItem.ShortOptPeriods },
optVarItem.TakeProfitUnit, optVarItem.StopLossUnit)
{
Volume = this.Volume,
Portfolio = portfolio,
Security = security,
Trader = trader,
UseQuoting = this.UseQuoting
};
trader.StateChanged += (oldState, newState) =>
{
if (trader.State == EmulationStates.Started)
{
strategy.Start();
}
else if (trader.State == EmulationStates.Stopped)
{
strategy.Stop();
candleManager = null;
storage = null;
}
};
var result = new KeyValuePair<OptVarItem, EMAEventModelStrategy>(optVarItem, strategy);
return result;
}
private void UpdateStrategyStat(EMAEventModelStrategy strategy)
{
this.Status.Content = strategy.ProcessState;
this.TradesNumber.Content = strategy.Trader.MyTrades.Count();
this.PnL.Content = strategy.PnLManager.PnL;
this.Slippage.Content = strategy.SlippageManager.Slippage;
this.Position.Content = strategy.PositionManager.Position;
this.Latency.Content = strategy.LatencyManager.LatencyRegistration;
this._log.AddLog(
new LogMessage(this._log, DateTime.Now, LogLevels.Info,
"Stat Changed. State: {0}, PnL: {1} {2}, Slippage: {3}, Position: {4}, LatencyRegistration: {5}, LatencyCancellation: {6}",
strategy.ProcessState,
strategy.PnLManager.PnL,
(strategy.PnLManager.PnL < 0) ? ":(" : ":)",
strategy.SlippageManager.Slippage,
strategy.PositionManager.Position,
strategy.LatencyManager.LatencyRegistration,
strategy.LatencyManager.LatencyCancellation));
}
private void OnHistoryStartClick(object sender, RoutedEventArgs e)
{
btnHistoryStart.IsEnabled = false;
this.InitGrids();
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = this.txtSecurityId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = this.txtSecurityCode.Text,
Name = this.txtSecurityCode.Text,
MinPrice = 1,
MaxPrice = 99999,
MinStepSize = 1,
MinStepPrice = 1,
ExchangeBoard = ExchangeBoard.Forts,
};
security.ExchangeBoard.IsSupportAtomicReRegister = false; // fixed quoting reregister error
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var portfolio = new Portfolio { Name = "test account", BeginValue = 30000m };
DateTime startTime;
DateTime stopTime;
if (!DateTime.TryParse(txtHistoryRangeEnd.Text, out stopTime))
{
stopTime = DateTime.Now;
txtHistoryRangeEnd.Text = stopTime.ToString();
}
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = stopTime.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
EMAStrategyOptimizer optimizer = new EMAStrategyOptimizer(security, storageRegistry, portfolio, startTime, stopTime)
{
Volume = this.Volume,
Log = _log
};
var context = optimizer.GetOptContext(this.MainOptVarItem);
_trader = context.Value.Trader;
_strategy = context.Value;
this.InitChart(_strategy);
_strategy.Trader.NewOrders += orders => orders.ForEach(OnOrderRegistered);
_strategy.Trader.NewMyTrades += OnNewTrades;
_logManager.Sources.Add(_strategy);
// устанавливаем в визуальный элемент ProgressBar максимальное количество итераций)
this.pbHistoryTestProgress.Maximum = 10;
this.pbHistoryTestProgress.Value = 0;
var totalMinutes = (stopTime - startTime).TotalMinutes;
var segment = Math.Floor(totalMinutes / 10);
var nSegment = 1;
var sSegment = segment;
_trader.MarketTimeChanged += span =>
{
var currentMinute = (_trader.CurrentTime - startTime).TotalMinutes;
if (currentMinute >= sSegment || _trader.CurrentTime >= stopTime)
{
nSegment += 1;
sSegment = segment * nSegment;
this.GuiAsync(() =>
{
this.pbHistoryTestProgress.Value = nSegment;
this.UpdateStrategyStat(_strategy);
});
}
};
Stopwatch sw = new Stopwatch();
((EmulationTrader)_trader).StateChanged += (states, emulationStates) =>
{
if (((EmulationTrader)_trader).State == EmulationStates.Stopped)
{
sw.Stop();
this.GuiAsync(() =>
{
this.UpdateStrategyStat(_strategy);
_strategy.CandleSeries.GetCandles<TimeFrameCandle>().ForEach(DrawCandleAndEma);
_strategy.Trader.MyTrades.ForEach(DrawTrade);
this.pbHistoryTestProgress.Value = 0;
btnHistoryStart.IsEnabled = true;
});
// clean stupid dictionary
//var value = _trader.GetType().GetField("#=qUTBJ0c9uFmGWYx4a3_oZjOoV9pJDtArCh9oL5k$U8DQ=", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(_trader);
//value.GetType().GetMethod("Clear").Invoke(value, null);
_log.AddLog(new LogMessage(_log, DateTime.Now, LogLevels.Info,
String.Format("History testing done ({0}). Result: PnL: {1}, {2}",
sw.Elapsed,
_strategy.PnLManager.PnL,
this.MainOptVarItem
)));
}
else if (((EmulationTrader)_trader).State == EmulationStates.Started)
{
sw.Start();
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
_trader.Connect();
_trader.StartExport();
// запускаем эмуляцию, задавая период тестирования (startTime, stopTime).
((EmulationTrader)_trader).Start(startTime, stopTime);
}
private void OnStartClick(object sender, RoutedEventArgs e)
{
if (_strategy != null && _strategy.ProcessState != ProcessStates.Stopped)
{
_strategy.Stop();
return;
}
if (this.Portfolios.SelectedPortfolio == null)
{
this.Portfolios.SelectedIndex = this.Portfolios.Items.Count - 1;
}
this.InitGrids();
_candleManager = new CandleManager(_trader);
// Добавление в источник свечек TimeFrameCandleBuilder источник данных в виде файлов гидры
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive) storageRegistry.DefaultDrive).Path = this.txtHistoryPath.Text;
((LocalMarketDataDrive) storageRegistry.DefaultDrive).UseAlphabeticPath = true;
var cbs = new TradeStorageCandleBuilderSource { StorageRegistry = storageRegistry };
_candleManager.Sources.OfType<TimeFrameCandleBuilder>().Single().Sources.Add(cbs);
// регистрируем наш тайм-фрейм
var series = new CandleSeries(typeof(TimeFrameCandle), _security, this.MainOptVarItem.TimeFrame);
_strategy = new EMAEventModelStrategy(series,
new ExponentialMovingAverage { Length = this.MainOptVarItem.FilterOptPeriod},
new ExponentialMovingAverage { Length = this.MainOptVarItem.LongOptPeriods },
new ExponentialMovingAverage { Length = this.MainOptVarItem.ShortOptPeriods },
this.MainOptVarItem.TakeProfitUnit, this.MainOptVarItem.StopLossUnit)
{
Volume = this.Volume,
Security = _security,
Portfolio = this.Portfolios.SelectedPortfolio,
Trader = _trader,
UseQuoting = true //_trader is QuikTrader // hack to turn quoting off for RealTimeEmulationTrader
};
DateTime startTime;
if (!DateTime.TryParse(txtHistoryRangeBegin.Text, out startTime))
{
startTime = DateTime.Now.AddDays(-3);
txtHistoryRangeBegin.Text = startTime.ToString();
}
this.InitChart(_strategy);
_candleManager.Processing += (candleSeries, candle) =>
{
if (candle.State == CandleStates.Finished)
{
this.GuiAsync(() => DrawCandleAndEma(candle));
}
};
_candleManager.Start(series, startTime, DateTime.MaxValue);
// Subscribe UI to all strategy actions
_strategy.Trader.NewOrders += orders => orders.ForEach(OnOrderRegistered);
_strategy.Trader.NewMyTrades += OnNewTrades;
_strategy.Trader.NewMyTrades += trades => this.GuiAsync(() => trades.ForEach(DrawTrade));
_strategy.PropertyChanged += (o, args) => this.GuiAsync(() => OnStrategyPropertyChanged(o, args));
_strategy.ProcessStateChanged += strategy =>
{
if (strategy.ProcessState == ProcessStates.Started)
{
this.Start.Content = "Stop";
}
else if (strategy.ProcessState == ProcessStates.Stopped)
{
this.Start.Content = "Start";
}
};
_logManager.Sources.Add(_strategy);
// запускаем процесс получения стакана, необходимый для работы алгоритма котирования
_strategy.Start();
this.Start.Content = "Stop";
}
private void InitChart(EMAEventModelStrategy strategy)
{
_longMA = new ExponentialMovingAverage { Length = strategy.LongMA.Length};
_shortMA = new ExponentialMovingAverage { Length = strategy.ShortMA.Length };
_filterMA = new ExponentialMovingAverage { Length = strategy.FilterMA.Length };
_area.Elements.Clear();
_candlesElem = new ChartCandleElement()
{
DownBodyColor = Color.FromRgb(133, 133, 133),
UpBodyColor = Color.FromRgb(255, 255, 255)
};
_area.Elements.Add(_candlesElem);
_longMaElem = new ChartIndicatorElement
{
Title = "LongMA",
Indicator = _longMA,
Color = Color.FromRgb(120, 199, 130)
};
_area.Elements.Add(_longMaElem);
_shortMaElem = new ChartIndicatorElement
{
Title = "ShortMA",
Indicator = _shortMA,
Color = Color.FromRgb(193, 53, 45)
};
_area.Elements.Add(_shortMaElem);
_filterMaElem = new ChartIndicatorElement
{
Title = "FilterMA",
Indicator = _filterMA,
Color = Color.FromRgb(0, 124, 207)
};
_area.Elements.Add(_filterMaElem);
_tradeElem = new ChartTradeElement()
{
BuyColor = Color.FromRgb(255, 0, 0),
SellColor = Color.FromRgb(0, 0, 255),
IsLegend = true
};
_area.Elements.Add(_tradeElem);
}
