public Executor(StrategyContext context, IStrategyMeta meta, String instanceVersion, List <ExecuteParam> param)
{
this.context = context;
this.meta = meta;
this.instanceVersion = instanceVersion;
this.param = new List <ExecuteParam>(param);
}
/// <summary>
/// 执行回测
/// </summary>
/// <param name="props"></param>
/// <returns></returns>
public virtual TotalStat DoTest(StrategyContext context, Properties testParam)
{
//取得回测参数
this.backtestParam = new BacktestParameter(testParam);
log = log4net.LogManager.GetLogger(this.backtestParam.Serialno);
log.Info("");
log.Info("回测策略实例:" + this.ToString());
log.Info("回测数据路径=" + backtestParam.Datapath);
log.Info("准备回测：回测编号=" + backtestParam.Serialno + ",初始资金=" + backtestParam.Initfunds.ToString("F2") + ",日期=" + backtestParam.BeginDate.ToString("yyyyMMdd") + "-" + backtestParam.EndDate.ToString("yyyyMMdd"));
List <String> codes = new List <string>();
System.IO.File.ReadAllLines(FileUtils.GetDirectory() + backtestParam.Codefilename)
.ToList().ForEach(x => codes.Add(x.Split(',')[1]));
log.Info("加载代码" + codes.Count.ToString());
this.buyer = context.GetBuyer(props.Get <String>("buyer"));
if (buyer == null)
{
throw new Exception("回测启动失败：找不到买入算法实现:" + props.Get <String>("buyer"));
}
this.seller = context.GetSeller(props.Get <String>("seller"));
if (seller == null)
{
throw new Exception("回测启动失败：找不到卖出算法实现:" + props.Get <String>("seller"));
}
log.Info("买入算法=" + buyer.Caption + ",卖出算法=" + seller.Caption);
List <TradeRecords> bouts = doTestByCodes(codes);
TotalStat totalStat = doTestByDate(bouts);
if (totalStat != null)
{
totalStat.Summary(log);
recordBacktest(totalStat);
}
return(totalStat);
}
public abstract List <TradeInfo> DoBuy(Properties strategyParams, DateTime d, StrategyContext context);
/// <summary> /// 卖出 /// </summary> /// <param name="holdRecord"></param> /// <param name="d"></param> /// <param name="strategyParams"></param> /// <returns></returns> public abstract TradeInfo DoSell(HoldRecord holdRecord, DateTime d, Properties strategyParams, StrategyContext context);
