public override List <Candle> GetAllFrom(string database, string dataId, int resolution)
{
CandleManager cm = new CandleManager(DB);
int id = cm.LoadFromDB(dataId, resolution);
return(cm.GetCandleList(id, resolution));
}
/// <summary>
/// внутренняя функция запускающая процесс соединения с Плазой
/// </summary>
private void Connecting()
{
_lastStartServerTime = DateTime.Now;
if (_plazaController == null)
{
_plazaController = new PlazaController(KeyToProggram);
_plazaController.LogMessageEvent += _plazaController_LogMessageEvent;
_plazaController.ConnectStatusChangeEvent += _plazaController_StatusChangeEvent;
_plazaController.MarketDepthChangeEvent += _plazaController_UpdateGlass;
_plazaController.NewMyTradeEvent += _plazaController_UpdateMyTrade;
_plazaController.NewMyOrderEvent += _plazaController_UpdateOrders;
_plazaController.UpdatePortfolio += _plazaController_UpdatePortfolios;
_plazaController.UpdatePosition += _plazaController_UpdatePosition;
_plazaController.UpdateSecurity += _plazaController_UpdateSecurity;
_plazaController.NewTradeEvent += _plazaController_UpdateTrade;
}
if (_candleManager == null)
{
_candleManager = new CandleManager(this);
_candleManager.CandleUpdateEvent += _candleManager_CandleUpdateEvent;
_candleManager.LogMessageEvent += SendNewLogMessage;
}
_plazaController.Start();
}
public ChartWindow(CandleSeries candleSeries, DateTime from, DateTime to)
{
InitializeComponent();
if (candleSeries == null)
{
throw new ArgumentNullException(nameof(candleSeries));
}
_candleSeries = candleSeries;
_trader = MainWindow.Instance.Trader;
Chart.ChartTheme = ChartThemes.ExpressionDark;
var area = new ChartArea();
Chart.Areas.Add(area);
_candleElem = new ChartCandleElement
{
AntiAliasing = false,
UpFillColor = Colors.White,
UpBorderColor = Colors.Black,
DownFillColor = Colors.Black,
DownBorderColor = Colors.Black,
};
area.Elements.Add(_candleElem);
_manager = new CandleManager(_trader);
_manager.Processing += ProcessNewCandles;
_manager.Start(_candleSeries, from, to);
}
public override List <Candle> GetAllFrom(int dataId, int resolution)
{
CandleManager cm = new CandleManager(DB);
cm.LoadFromDB(dataId, resolution);
return(cm.GetCandleList(dataId, resolution));
}
private CandleManager CreateCandleManager()
{
var candleManager = new CandleManager(EmulationConnector);
candleManager.Sources.RemoveWhere(s => s is StorageCandleSource);
return(candleManager);
}
private void OnConnect()
{
_connector = new QuikTrader()
{
LuaFixServerAddress = "127.0.0.1:5002".To <EndPoint>()
};
SecurityEditor.SecurityProvider = _connector;
_candleManager = new CandleManager(_connector);
_connector.Connected += () =>
{
this.GuiAsync(() =>
{
StatusTextBlock.Text = "Соединение установлено!";
ConnectButtom.Content = "Разъединить";
});
};
_connector.Disconnected += () =>
{
this.GuiAsync(() =>
{
StatusTextBlock.Text = "Соединение разорвано!";
ConnectButtom.Content = "Соединить";
});
};
// Это обработчик событие получения свечи
_candleManager.Processing += (series, candle) =>
{
if (series != _series)
{
return;
}
// Используем только завершенные свечи
if (candle.State != CandleStates.Finished)
{
return;
}
// Рассчитываем значение индикатора
var smaValue = _sma.Process(candle);
// Создаем экземпляр класса ChartDrawData - класс, где группируются данные для отрисовки
var data = new ChartDrawData();
// chartItem - набор элементов, привязанных к одной точке на шкале X
var chartItem = data.Group(candle.OpenTime).Add(_candleElement, candle);
chartItem.Add(_indicatorElement, smaValue);
// Безопасно отрисовываем элементы на графике
this.GuiSync(() =>
{
Chart.Draw(data);
});
};
_connector.Connect();
}
/// <summary>
/// запускает скачиватель свечек
/// </summary>
private void StartCandleManager()
{
if (_candleManager == null)
{
_candleManager = new CandleManager(this);
_candleManager.CandleUpdateEvent += _candleManager_CandleUpdateEvent;
_candleManager.LogMessageEvent += SendLogMessage;
}
}
static void Main(string[] args)
{
_candleManager = new CandleManager();
if (!GetSetings())
return;
var storageRegistry = new StorageRegistry();
((LocalMarketDataDrive)storageRegistry.DefaultDrive).Path = _historyPath;
var cbs = new TradeStorageCandleBuilderSource { StorageRegistry = storageRegistry };
_candleManager.Sources.OfType<TimeFrameCandleBuilder>().Single().Sources.Add(cbs);
_candleManager.Processing += GetCandles;
foreach (var Sec in listOfName)
{
foreach (var timeFrame in listOfTimeFrame)
{
_series = new CandleSeries(typeof(TimeFrameCandle), Sec, timeFrame);
LisfStreamWriters.Add(_series.ToString(), new StreamWriter(GetFileName(_series), false));
_candleManager.Start(_series, _startTime, _endTime);
}
}
Console.ReadKey();
// Закроем все потоки которые мы записывали
foreach (var strim in LisfStreamWriters)
{
strim.Value.Close();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_trader = new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress,
// применить нужную версию SmartCOM
Version = IsSmartCom3.IsChecked == true ? SmartComVersions.V3 : SmartComVersions.V2,
};
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.ProcessDataError += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
_trader.NewSecurities += securities =>
{
// так как инструментов слишком много, то выводим только два популярных с ММВБ и РТС
securities = securities.Where(s => s.Code == "LKOH" || (s.Type == SecurityTypes.Future && s.Id.Like("RI%FORTS")));
this.GuiAsync(() => _securitiesSource.AddRange(securities));
// начинаем получать текущие сделки (для построения свечек в реальном времени)
securities.ForEach(_trader.RegisterTrades);
};
// запускаем экспорт в случае успешного подключения
_trader.Connected += _trader.StartExport;
_candleManager = new CandleManager(_trader);
_trader.Connect();
ConnectBtn.IsEnabled = false;
}
// Вот так можно создать CandleManager с произвольной коллекцией данных
// В нашем случае используются сделки, но это могут быть стаканы или записи ордерлога
private static CandleManager CreateCandleManager(Connector connector, Security security)
{
var trades = connector.Trades.Where(t => t.Security == security); // некая коллекция сделок
var source = new RawConvertableCandleBuilderSource <Trade>(security, DateTimeOffset.MinValue, DateTimeOffset.MaxValue, trades);
CandleManager candleManager = null;
candleManager = new CandleManager(source);
// Вот так можно добавить источник к уже существующему CandleManager
///candleManager.Sources.Add((ICandleManagerSource)source);
return(candleManager);
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_trader = new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress,
// применить нужную версию SmartCOM
Version = IsSmartCom3.IsChecked == true ? SmartComVersions.V3 : SmartComVersions.V2,
};
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
_trader.NewSecurities += securities =>
{
// так как инструментов слишком много, то выводим только два популярных с ММВБ и РТС
securities = securities.Where(s => s.Code == "LKOH" || (s.Type == SecurityTypes.Future && s.Id.Like("RI%FORTS")));
this.GuiAsync(() => _securitiesSource.AddRange(securities));
};
_candleManager = new CandleManager(_trader);
_trader.Connect();
ConnectBtn.IsEnabled = false;
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_trader = new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress,
// применить нужную версию SmartCOM
Version = IsSmartCom3.IsChecked == true ? SmartComVersions.V3 : SmartComVersions.V2,
};
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
Security.SecurityProvider = new FilterableSecurityProvider(_trader);
_candleManager = new CandleManager(_trader);
_trader.Connect();
ConnectBtn.IsEnabled = false;
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_trader = new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress,
// применить нужную версию SmartCOM
Version = IsSmartCom3.IsChecked == true ? SmartComVersions.V3 : SmartComVersions.V2,
};
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
Security.SecurityProvider = new FilterableSecurityProvider(_trader);
_candleManager = new CandleManager(_trader);
_trader.Connect();
ConnectBtn.IsEnabled = false;
}
public QshServer()
{
_qshClient = new QshClient();
_qshClient.NewDataFromQsh += _qshClient_NewDataFromQsh;
if (_worker == null)
{
_worker = new Thread(WorkThreadArea);
_worker.CurrentCulture = CultureInfo;
_worker.IsBackground = true;
_worker.Name = "TesterServerThread";
_worker.Start();
}
NamesPaper = new List <string>();
_alltrades = new List <Trade>();
CreatePortfolio();
_candleManager = new CandleManager(this);
_candleManager.CandleUpdateEvent += _candleManager_CandleUpdateEvent;;
_candleManager.LogMessageEvent += _candleManager_LogMessageEvent;;
ConnectStatusChangeEvent += QshServer_ConnectStatusChangeEvent;
//LoadSettings();
//_pathToFolder = "C:\\QSH_archive\\";
if (_pathToFolder != "")
{
_needToReloadSecurities = true;
}
ServerStatus = ServerConnectStatus.Disconnect;
OrdersActiv = new List <Order>();
_slipageToStopOrder = 0;
_slipageToSimpleOrder = 0;
}
private void Connector_RxNewSecurity(Security security)
{
_connector.RegisterTrades(security);
_candleManager = new CandleManager(_connector);
_candleManager.RxWhenCandlesChanged(_candleSeries).Subscribe(CandleManager_RxWhenCandlesChanged);
_strategy = new MyRxStrategy(_candleSeries)
{
Security = _security,
Connector = _connector,
Portfolio = _portfolio,
};
_strategy.SetCandleManager(_candleManager);
_strategy.RxNewMyTrade().Subscribe(MyTradeGrid.Trades.Add);
_strategy.RxNewMyTrade().Subscribe(FirstStrategy_NewMyTrade);
_strategy.Start();
_candleManager.Start(_candleSeries);
_connector.Start();
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (Path.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2983);
}
else
{
_trader = new QuikTrader(Path.Text)
{
IsDde = true
};
_trader.Connected += () => this.GuiAsync(() => ExportDde.IsEnabled = true);
_trader.NewSecurities += securities => this.GuiAsync(() => Security.ItemsSource = _trader.Securities);
_trader.Connect();
_candleManager = new CandleManager(_trader);
_candleManager.Processing += DrawCandle;
ConnectBtn.IsEnabled = false;
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
// if process was already started, will stop it now
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
_strategy.Stop();
_connector.Disconnect();
_logManager.Sources.Clear();
_connector = null;
return;
}
// create test security
var security = new Security
{
Id = "AAPL@NASDAQ",
Code = "AAPL",
Name = "AAPL Inc",
Board = ExchangeBoard.Nasdaq,
};
var startTime = new DateTime(2009, 6, 1);
var stopTime = new DateTime(2009, 9, 1);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
HistoryMessageAdapter =
{
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
_logManager.Sources.Add(_connector);
var candleManager = new CandleManager(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based on 80 5-min и 10 5-min
_strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
_connector.SendInMessage(level1Info);
_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security)) { GenerateDepthOnEachTrade = false });
// start strategy before emulation started
_strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
// fill parameters panel
ParameterGrid.Parameters.Clear();
ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);
_strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = _strategy.CurrentTime,
Value = _strategy.PnL,
};
this.GuiAsync(() => _curveItems.Add(data));
};
_logManager.Sources.Add(_strategy);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
var nextTime = startTime + progressStep;
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
// handle historical time for update ProgressBar
_connector.MarketTimeChanged += diff =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
return;
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
this.GuiAsync(() => TestingProcess.Value = steps);
};
_connector.StateChanged += () =>
{
if (_connector.State == EmulationStates.Stopped)
{
this.GuiAsync(() =>
{
Report.IsEnabled = true;
if (_connector.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
}
};
_curveItems.Clear();
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader<Connector>(new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress
});
//_connector = new RealTimeEmulationTrader<Connector>(new PlazaTrader
//{
// IsCGate = true,
//}, portfolio);
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// set flag (connection is established)
_isConnected = true;
// update gui labels
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_connector);
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewOrders += orders => Orders.Orders.AddRange(orders);
_connector.NewMyTrades += trades => Trades.Trades.AddRange(trades);
// подписываемся на событие о неудачной регистрации заявок
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
_buffer.Add(candle);
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// ticks
new EmulationInfo {UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// candles
new EmulationInfo {UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// order log
new EmulationInfo {UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021})
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To<int>();
var maxVolume = MaxVolume.Text.To<int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
continue;
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// set time frame is backtesting on candles
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
// set history range
StartDate = startTime,
StopDate = stopTime,
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage { Length = 10 };
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage { Length = 80 };
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData { Time = strategy.CurrentTime, Value = strategy.Position });
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
return;
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
MarketDepth.UpdateDepth(quoteMsg);
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule { Value = 0.01m }
});
}
TabControl.Items.Cast<TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
// если процесс был запущен, то его останавливаем
if (_connector != null)
{
_strategy.Stop();
_connector.Stop();
_logManager.Sources.Clear();
_connector = null;
return;
}
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = "RIU9@FORTS",
Code = "RIU9",
Name = "RTS-9.09",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2009, 6, 1);
var stopTime = new DateTime(2009, 9, 1);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var timeFrame = TimeSpan.FromMinutes(5);
// создаем подключение для эмуляции
_connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio });
_connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
_logManager.Sources.Add(_connector);
_connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
_connector.MarketDataAdapter.SendOutMessage(level1Info);
_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security))
{
GenerateDepthOnEachTrade = false
});
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
_connector.Connect();
_connector.StartExport();
var candleManager = new CandleManager(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
_strategy = new SmaStrategy(series, new SimpleMovingAverage {
Length = 80
}, new SimpleMovingAverage {
Length = 10
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
// копируем параметры на визуальную панель
ParameterGrid.Parameters.Clear();
ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);
_strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = _strategy.CurrentTime,
Value = _strategy.PnL,
};
this.GuiAsync(() => _curveItems.Add(data));
};
_logManager.Sources.Add(_strategy);
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
var nextTime = startTime + progressStep;
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
// и подписываемся на событие изменения времени, чтобы обновить ProgressBar
_connector.MarketTimeChanged += diff =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
{
return;
}
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => TestingProcess.Value = steps);
};
_connector.StateChanged += () =>
{
if (_connector.State == EmulationStates.Stopped)
{
this.GuiAsync(() =>
{
Report.IsEnabled = true;
if (_connector.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (_connector.State == EmulationStates.Started)
{
// запускаем стратегию когда эмулятор запустился
_strategy.Start();
candleManager.Start(series);
}
};
if (_curveItems == null)
{
_curveItems = Curve.CreateCurve(_strategy.Name, Colors.DarkGreen);
}
else
{
_curveItems.Clear();
}
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
_connector.Start(new DateTime(2009, 6, 1), new DateTime(2009, 9, 1));
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
// if process was already started, will stop it now
if (_connector != null && _connector.State != EmulationStates.Stopped)
{
_strategy.Stop();
_connector.Disconnect();
_logManager.Sources.Clear();
_connector = null;
return;
}
// create test security
var security = new Security
{
Id = "AAPL@NASDAQ",
Code = "AAPL",
Name = "AAPL Inc",
Board = ExchangeBoard.Nasdaq,
};
var startTime = new DateTime(2009, 6, 1);
var stopTime = new DateTime(2009, 9, 1);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var timeFrame = TimeSpan.FromMinutes(5);
// create backtesting connector
_connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
HistoryMessageAdapter =
{
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
_logManager.Sources.Add(_connector);
var candleManager = new CandleManager(_connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based on 80 5-min и 10 5-min
_strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage {
Length = 80
}, new SimpleMovingAverage {
Length = 10
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = _connector,
};
_connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
_connector.SendInMessage(level1Info);
_connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security)));
_connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security))
{
GenerateDepthOnEachTrade = false
});
// start strategy before emulation started
_strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
// fill parameters panel
ParameterGrid.Parameters.Clear();
ParameterGrid.Parameters.AddRange(_strategy.StatisticManager.Parameters);
_strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = _strategy.CurrentTime,
Value = _strategy.PnL,
};
this.GuiAsync(() => _curveItems.Add(data));
};
_logManager.Sources.Add(_strategy);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
var nextTime = startTime + progressStep;
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
// handle historical time for update ProgressBar
_connector.MarketTimeChanged += diff =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
{
return;
}
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => TestingProcess.Value = steps);
};
_connector.StateChanged += () =>
{
if (_connector.State == EmulationStates.Stopped)
{
this.GuiAsync(() =>
{
Report.IsEnabled = true;
if (_connector.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
};
_curveItems.Clear();
Report.IsEnabled = false;
_startEmulationTime = DateTime.Now;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple <int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple <int, int, Color>(70, 8, Colors.Red),
new Tuple <int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
{
return;
}
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
};
// get emulation connector
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage {
Length = period.Item1
}, new SimpleMovingAverage {
Length = period.Item2
})
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
strategy.SetCandleManager(candleManager);
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return(strategy);
});
// start emulation
batchEmulation.Start(strategies);
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (Math.Abs(TestingProcess.Value - 0) > double.Epsilon)
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
// SMA periods
var periods = new[]
{
new Tuple<int, int, Color>(80, 10, Colors.DarkGreen),
new Tuple<int, int, Color>(70, 8, Colors.Red),
new Tuple<int, int, Color>(60, 6, Colors.DarkBlue)
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var timeFrame = TimeSpan.FromMinutes(5);
// create test security
var security = new Security
{
Id = "RIZ2@FORTS", // sec id has the same name as folder with historical data
Code = "RIZ2",
Name = "RTS-12.12",
Board = ExchangeBoard.Forts,
};
var startTime = new DateTime(2012, 10, 1);
var stopTime = new DateTime(2012, 10, 31);
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var batchEmulation = new BatchEmulation(new[] { security }, new[] { portfolio }, storageRegistry)
{
EmulationSettings =
{
MarketTimeChangedInterval = timeFrame,
StartTime = startTime,
StopTime = stopTime,
// count of parallel testing strategies
BatchSize = periods.Length,
}
};
// handle historical time for update ProgressBar
batchEmulation.ProgressChanged += (curr, total) => this.GuiAsync(() => TestingProcess.Value = total);
batchEmulation.StateChanged += (oldState, newState) =>
{
if (batchEmulation.State != EmulationStates.Stopped)
return;
this.GuiAsync(() =>
{
if (batchEmulation.IsFinished)
{
TestingProcess.Value = TestingProcess.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
MessageBox.Show(this, LocalizedStrings.cancelled);
});
};
// get emulation connector
var connector = batchEmulation.EmulationConnector;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
return;
// fill level1 values
connector.SendInMessage(level1Info);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
// order book freq refresh is 1 sec
Interval = TimeSpan.FromSeconds(1),
});
};
TestingProcess.Maximum = 100;
TestingProcess.Value = 0;
_startEmulationTime = DateTime.Now;
var strategies = periods
.Select(period =>
{
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
// create strategy based SMA
var strategy = new SmaStrategy(candleManager, series, new SimpleMovingAverage { Length = period.Item1 }, new SimpleMovingAverage { Length = period.Item2 })
{
Volume = 1,
Security = security,
Portfolio = portfolio,
Connector = connector,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>()
};
strategy.SetCandleManager(candleManager);
var curveItems = Curve.CreateCurve(LocalizedStrings.Str3026Params.Put(period.Item1, period.Item2), period.Item3);
strategy.PnLChanged += () =>
{
var data = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL,
};
this.GuiAsync(() => curveItems.Add(data));
};
Stat.AddStrategies(new[] { strategy });
return strategy;
})
.ToEx(periods.Length);
// start emulation
batchEmulation.Start(strategies);
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (SmartCom.IsChecked == true)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader <IMessageAdapter>(new SmartComMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Login = Login.Text,
Password = Password.Password.To <SecureString>(),
Address = Address.SelectedAddress
});
}
else
{
// create real-time emu connector
_connector = new RealTimeEmulationTrader <IMessageAdapter>(new IQFeedMarketDataMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Level1Address = Level1AddressCtrl.Text.To <EndPoint>(),
Level2Address = Level2AddressCtrl.Text.To <EndPoint>(),
LookupAddress = LookupAddressCtrl.Text.To <EndPoint>(),
});
}
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_candleManager = new CandleManager(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// set flag (connection is established)
_isConnected = true;
// update gui labels
this.GuiAsync(() =>
{
ChangeConnectStatus(true);
ConnectBtn.IsEnabled = false;
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewPortfolios += PortfolioGrid.Portfolios.AddRange;
_connector.NewPositions += PortfolioGrid.Positions.AddRange;
_connector.NewOrders += OrderGrid.Orders.AddRange;
_connector.NewMyTrades += TradeGrid.Trades.AddRange;
// subscribe on error of order registration event
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
if (_connectors.Count > 0)
{
foreach (var connector in _connectors)
{
connector.Start();
}
return;
}
if (HistoryPath.Folder.IsEmpty() || !Directory.Exists(HistoryPath.Folder))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var id = SecId.Text.ToSecurityId();
//if (secIdParts.Length != 2)
//{
// MessageBox.Show(this, LocalizedStrings.Str3016);
// return;
//}
var timeFrame = TimeSpan.FromMinutes(TimeFrame.SelectedIndex == 0 ? 1 : 5);
var secCode = id.SecurityCode;
var board = _exchangeInfoProvider.GetOrCreateBoard(id.BoardCode);
// create test security
var security = new Security
{
Id = SecId.Text, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
if (FinamCandlesCheckBox.IsChecked == true)
{
_finamHistorySource.Refresh(new FinamSecurityStorage(security), security, s => {}, () => false);
}
// create backtesting modes
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksProgress,
TicksParameterGrid,
// ticks
new EmulationInfo {
UseTicks = true, CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Ticks
},
TicksChart,
TicksEquity,
TicksPosition),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsProgress,
TicksAndDepthsParameterGrid,
// ticks + order book
new EmulationInfo {
UseTicks = true, UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.XamlStr757
},
TicksAndDepthsChart,
TicksAndDepthsEquity,
TicksAndDepthsPosition),
Tuple.Create(
DepthsCheckBox,
DepthsProgress,
DepthsParameterGrid,
// order book
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.OrangeRed, StrategyName = LocalizedStrings.MarketDepths
},
DepthsChart,
DepthsEquity,
DepthsPosition),
Tuple.Create(
CandlesCheckBox,
CandlesProgress,
CandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Candles
},
CandlesChart,
CandlesEquity,
CandlesPosition),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsProgress,
CandlesAndDepthsParameterGrid,
// candles + orderbook
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.XamlStr635
},
CandlesAndDepthsChart,
CandlesAndDepthsEquity,
CandlesAndDepthsPosition),
Tuple.Create(
OrderLogCheckBox,
OrderLogProgress,
OrderLogParameterGrid,
// order log
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.OrderLog
},
OrderLogChart,
OrderLogEquity,
OrderLogPosition),
Tuple.Create(
Level1CheckBox,
Level1Progress,
Level1ParameterGrid,
// order log
new EmulationInfo {
UseLevel1 = true, CurveColor = Colors.Aquamarine, StrategyName = LocalizedStrings.Level1
},
Level1Chart,
Level1Equity,
Level1Position),
Tuple.Create(
FinamCandlesCheckBox,
FinamCandlesProgress,
FinamCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => _finamHistorySource.GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.FinamCandles
},
FinamCandlesChart,
FinamCandlesEquity,
FinamCandlesPosition),
Tuple.Create(
YahooCandlesCheckBox,
YahooCandlesProgress,
YahooCandlesParameterGrid,
// candles
new EmulationInfo {
UseCandleTimeFrame = timeFrame, HistorySource = d => new YahooHistorySource(_exchangeInfoProvider).GetCandles(security, timeFrame, d.Date, d.Date), CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.YahooCandles
},
YahooCandlesChart,
YahooCandlesEquity,
YahooCandlesPosition),
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Folder)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
// (ru only) ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1).ApplyTimeZone(TimeHelper.Moscow).UtcDateTime;
}
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// set ProgressBar bounds
_progressBars.ForEach(p =>
{
p.Value = 0;
p.Maximum = 100;
});
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secId = security.ToSecurityId();
SetIsEnabled(false, false, false);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var title = (string)set.Item1.Content;
InitChart(set.Item5, set.Item6, set.Item7);
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
var level1Info = new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// create backtesting connector
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
//UseExternalCandleSource = emulationInfo.UseCandleTimeFrame != null,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
OrderLogMarketDepthBuilders =
{
{
secId,
LocalizedStrings.ActiveLanguage == Languages.Russian
? (IOrderLogMarketDepthBuilder) new PlazaOrderLogMarketDepthBuilder(secId)
: new ItchOrderLogMarketDepthBuilder(secId)
}
}
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame)
{
BuildCandlesMode = emulationInfo.UseCandleTimeFrame == null ? BuildCandlesModes.Build : BuildCandlesModes.Load
};
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
var chart = set.Item5;
chart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
chart.AddElement(_area, _longElem);
// create strategy based on 80 5-min и 10 5-min
var strategy = new SmaStrategy(chart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, candleManager, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
logManager.Sources.Add(strategy);
connector.NewSecurity += s =>
{
if (s != security)
{
return;
}
// fill level1 values
connector.HistoryMessageAdapter.SendOutMessage(level1Info);
if (emulationInfo.HistorySource != null)
{
if (emulationInfo.UseCandleTimeFrame != null)
{
connector.RegisterHistorySource(security, MarketDataTypes.CandleTimeFrame, emulationInfo.UseCandleTimeFrame.Value, emulationInfo.HistorySource);
}
if (emulationInfo.UseTicks)
{
connector.RegisterHistorySource(security, MarketDataTypes.Trades, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterHistorySource(security, MarketDataTypes.Level1, null, emulationInfo.HistorySource);
}
if (emulationInfo.UseMarketDepth)
{
connector.RegisterHistorySource(security, MarketDataTypes.MarketDepth, null, emulationInfo.HistorySource);
}
}
else
{
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// if order book will be generated
generateDepths ||
// of backtesting will be on candles
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// if no have order book historical data, but strategy is required,
// use generator based on last prices
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // min spread generation is 2 pips
MaxSpreadStepCount = 5, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
}
}
if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
if (emulationInfo.UseTicks)
{
connector.RegisterTrades(security);
}
if (emulationInfo.UseLevel1)
{
connector.RegisterSecurity(security);
}
}
// start strategy before emulation started
strategy.Start();
candleManager.Start(series);
// start historical data loading when connection established successfully and all data subscribed
connector.Start();
};
// fill parameters panel
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var equity = set.Item6;
var pnlCurve = equity.CreateCurve(LocalizedStrings.PnL + " " + emulationInfo.StrategyName, emulationInfo.CurveColor, LineChartStyles.Area);
var unrealizedPnLCurve = equity.CreateCurve(LocalizedStrings.PnLUnreal + " " + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = equity.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, LineChartStyles.DashedLine);
var posItems = set.Item7.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL ?? 0
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
SetIsChartEnabled(chart, false);
if (_connectors.All(c => c.State == EmulationStates.Stopped))
{
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(true, false, false);
}
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime), title);
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled, title);
}
});
}
else if (connector.State == EmulationStates.Started)
{
if (_connectors.All(c => c.State == EmulationStates.Started))
{
SetIsEnabled(false, true, true);
}
SetIsChartEnabled(chart, true);
}
else if (connector.State == EmulationStates.Suspended)
{
if (_connectors.All(c => c.State == EmulationStates.Suspended))
{
SetIsEnabled(true, false, true);
}
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += message =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
progressBar.Value = 0;
}
_startEmulationTime = DateTime.Now;
// start emulation
foreach (var connector in _connectors)
{
// raise NewSecurities and NewPortfolio for full fill strategy properties
connector.Connect();
// 1 cent commission for trade
connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
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 ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// создаем подключение
_connector = new RealTimeEmulationTrader <Connector>(new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress
});
//_trader = new RealTimeEmulationTrader<Connector>(new StockSharp.Plaza.PlazaTrader
//{
// IsCGate = true,
//}, portfolio);
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_logManager.Sources.Add(_connector);
// очищаем из текстового поля в целях безопасности
//Password.Clear();
// подписываемся на событие успешного соединения
_connector.Connected += () =>
{
// возводим флаг, что соединение установлено
_isConnected = true;
// разблокируем кнопку Экспорт
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_connector);
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewOrders += orders => Orders.Orders.AddRange(orders);
_connector.NewMyTrades += trades => Trades.Trades.AddRange(trades);
// подписываемся на событие о неудачной регистрации заявок
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
_connector.StartExport();
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// подписываемся на событие разрыва соединения
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// заблокируем кнопку Экспорт (так как соединение было потеряно)
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
// подписываемся на ошибку обработки данных (транзакций и маркет)
_connector.ProcessDataError += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// подписываемся на ошибку подписки маркет-данных
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
if (_trader == null)
{
// создаем подключение
_trader = new SmartTrader();
_logManager.Sources.Add(_trader);
Portfolios.Portfolios = new PortfolioDataSource(_trader);
// подписываемся на событие успешного соединения
_trader.Connected += () =>
{
// возводим флаг, что соединение установлено
_isConnected = true;
// разблокируем кнопку Экспорт
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_trader);
_trader.NewCandles += (series, candles) => _historyCandles.SyncDo(col =>
{
_historyCandles.AddRange(candles.Cast<TimeFrameCandle>());
foreach (var candle in candles)
ProcessCandle(candle);
});
_trader.NewSecurities += securities =>
{
// находим нужную бумагу
var lkoh = securities.FirstOrDefault(s => s.Code == "LKOH");
if (lkoh != null)
{
_lkoh = lkoh;
this.GuiAsync(() =>
{
Start.IsEnabled = true;
});
}
};
_trader.NewMyTrades += trades =>
{
if (_strategy != null)
{
// найти те сделки, которые совершила стратегия скользящей средней
trades = trades.Where(t => _strategy.Orders.Any(o => o == t.Order));
_trades.Trades.AddRange(trades);
}
};
// подписываемся на событие о неудачной регистрации заявок
//_trader.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
// выводим только те свечи, которые не были отрисованы как исторические
if (candle.OpenTime > _lastHistoryCandle)
ProcessCandle(candle);
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// подписываемся на событие разрыва соединения
_trader.ConnectionError += error => this.GuiAsync(() =>
{
// заблокируем кнопку Экспорт (так как соединение было потеряно)
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_trader.Disconnected += () => this.GuiAsync(() => ChangeConnectStatus(false));
// подписываемся на ошибку обработки данных (транзакций и маркет)
//_trader.Error += error => this.GuiAsync(() => MessageBox.Show(this, error.ToString(), "Ошибка обработки данных"));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_trader.Login = Login.Text;
_trader.Password = Password.Password;
_trader.Address = Address.SelectedAddress;
// очищаем из текстового поля в целях безопасности
//Password.Clear();
_trader.Connect();
}
else
{
_trader.Disconnect();
}
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
if (_connectors.Any(t => t.State != EmulationStates.Stopped))
{
MessageBox.Show(this, LocalizedStrings.Str3015);
return;
}
var secIdParts = SecId.Text.Split('@');
if (secIdParts.Length != 2)
{
MessageBox.Show(this, LocalizedStrings.Str3016);
return;
}
var timeFrame = TimeSpan.FromMinutes(5);
// создаем настройки для тестирования
var settings = new[]
{
Tuple.Create(
TicksCheckBox,
TicksTestingProcess,
TicksParameterGrid,
// тест только на тиках
new EmulationInfo {
CurveColor = Colors.DarkGreen, StrategyName = LocalizedStrings.Str3017
}),
Tuple.Create(
TicksAndDepthsCheckBox,
TicksAndDepthsTestingProcess,
TicksAndDepthsParameterGrid,
// тест на тиках + стаканы
new EmulationInfo {
UseMarketDepth = true, CurveColor = Colors.Red, StrategyName = LocalizedStrings.Str3018
}),
Tuple.Create(
CandlesCheckBox,
CandlesTestingProcess,
CandlesParameterGrid,
// тест на свечах
new EmulationInfo {
UseCandleTimeFrame = timeFrame, CurveColor = Colors.DarkBlue, StrategyName = LocalizedStrings.Str3019
}),
Tuple.Create(
CandlesAndDepthsCheckBox,
CandlesAndDepthsTestingProcess,
CandlesAndDepthsParameterGrid,
// тест на свечах + стаканы
new EmulationInfo {
UseMarketDepth = true, UseCandleTimeFrame = timeFrame, CurveColor = Colors.Cyan, StrategyName = LocalizedStrings.Str3020
}),
Tuple.Create(
OrderLogCheckBox,
OrderLogTestingProcess,
OrderLogParameterGrid,
// тест на логе заявок
new EmulationInfo {
UseOrderLog = true, CurveColor = Colors.CornflowerBlue, StrategyName = LocalizedStrings.Str3021
})
};
// хранилище, через которое будет производиться доступ к тиковой и котировочной базе
var storageRegistry = new StorageRegistry
{
// изменяем путь, используемый по умолчанию
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = (DateTime)From.Value;
var stopTime = (DateTime)To.Value;
// ОЛ необходимо загружать с 18.45 пред дня, чтобы стаканы строились правильно
if (OrderLogCheckBox.IsChecked == true)
{
startTime = startTime.Subtract(TimeSpan.FromDays(1)).AddHours(18).AddMinutes(45).AddTicks(1);
}
// задаем шаг ProgressBar
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
// в реальности период может быть другим, и это зависит от объема данных,
// хранящихся по пути HistoryPath,
TicksTestingProcess.Maximum = TicksAndDepthsTestingProcess.Maximum = CandlesTestingProcess.Maximum = 100;
TicksTestingProcess.Value = TicksAndDepthsTestingProcess.Value = CandlesTestingProcess.Value = 0;
var logManager = new LogManager();
var fileLogListener = new FileLogListener("sample.log");
logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // чтобы смотреть логи в отладчике - работает медленно.
var generateDepths = GenDepthsCheckBox.IsChecked == true;
var maxDepth = MaxDepth.Text.To <int>();
var maxVolume = MaxVolume.Text.To <int>();
var secCode = secIdParts[0];
var board = ExchangeBoard.GetOrCreateBoard(secIdParts[1]);
foreach (var set in settings)
{
if (set.Item1.IsChecked == false)
{
continue;
}
var progressBar = set.Item2;
var statistic = set.Item3;
var emulationInfo = set.Item4;
// создаем тестовый инструмент, на котором будет производится тестирование
var security = new Security
{
Id = SecId.Text, // по идентификатору инструмента будет искаться папка с историческими маркет данными
Code = secCode,
Board = board,
};
var level1Info = new Level1ChangeMessage
{
SecurityId = security.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, 10m)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// тестовый портфель
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
// создаем подключение для эмуляции
// инициализируем настройки (инструмент в истории обновляется раз в секунду)
var connector = new HistoryEmulationConnector(
new[] { security },
new[] { portfolio })
{
StorageRegistry = storageRegistry,
MarketEmulator =
{
Settings =
{
// использовать свечи
UseCandlesTimeFrame = emulationInfo.UseCandleTimeFrame,
// сведение сделки в эмуляторе если цена коснулась нашей лимитной заявки.
// Если выключено - требуется "прохождение цены сквозь уровень"
// (более "суровый" режим тестирования.)
MatchOnTouch = false,
}
},
//UseExternalCandleSource = true,
CreateDepthFromOrdersLog = emulationInfo.UseOrderLog,
CreateTradesFromOrdersLog = emulationInfo.UseOrderLog,
};
connector.MarketDataAdapter.SessionHolder.MarketTimeChangedInterval = timeFrame;
((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
logManager.Sources.Add(connector);
connector.NewSecurities += securities =>
{
//подписываемся на получение данных после получения инструмента
if (securities.All(s => s != security))
{
return;
}
// отправляем данные Level1 для инструмента
connector.MarketDataAdapter.SendOutMessage(level1Info);
// тест подразумевает наличие стаканов
if (emulationInfo.UseMarketDepth)
{
connector.RegisterMarketDepth(security);
if (
// если выбрана генерация стаканов вместо реальных стаканов
generateDepths ||
// для свечей генерируем стаканы всегда
emulationInfo.UseCandleTimeFrame != TimeSpan.Zero
)
{
// если история по стаканам отсутствует, но стаканы необходимы для стратегии,
// то их можно сгенерировать на основании цен последних сделок или свечек.
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromSeconds(1), // стакан для инструмента в истории обновляется раз в секунду
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 2, // минимальный генерируемый спред - 2 минимальных шага цены
MaxSpreadStepCount = 5, // не генерировать спрэд между лучшим бид и аск больше чем 5 минимальных шагов цены - нужно чтобы при генерации из свечей не получалось слишком широкого спреда.
MaxPriceStepCount = 3 // максимальное количество шагов между ценами,
});
}
}
else if (emulationInfo.UseOrderLog)
{
connector.RegisterOrderLog(security);
}
};
// соединяемся с трейдером и запускаем экспорт,
// чтобы инициализировать переданными инструментами и портфелями необходимые свойства EmulationTrader
connector.Connect();
connector.StartExport();
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(TimeFrameCandle), security, timeFrame);
_shortMa = new SimpleMovingAverage {
Length = 10
};
_shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = _shortMa.ToString()
};
_bufferedChart.AddElement(_area, _shortElem);
_longMa = new SimpleMovingAverage {
Length = 80
};
_longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = _longMa.ToString()
};
_bufferedChart.AddElement(_area, _longElem);
// создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
var strategy = new SmaStrategy(_bufferedChart, _candlesElem, _tradesElem, _shortMa, _shortElem, _longMa, _longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// по-умолчанию интервал равен 1 минут,
// что для истории в диапазон от нескольких месяцев излишне
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
// комиссия в 1 копейку за сделку
connector.MarketEmulator.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
logManager.Sources.Add(strategy);
// копируем параметры на визуальную панель
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve("P&L " + emulationInfo.StrategyName, emulationInfo.CurveColor, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + emulationInfo.StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + emulationInfo.StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(emulationInfo.StrategyName, emulationInfo.CurveColor);
strategy.PnLChanged += () =>
{
var pnl = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData
{
Time = strategy.CurrentTime,
Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
// и подписываемся на событие изменения времени, чтобы обновить ProgressBar
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
logManager.Dispose();
_connectors.Clear();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime));
}
else
{
MessageBox.Show(LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
// запускаем стратегию когда эмулятор запустился
strategy.Start();
candleManager.Start(series);
}
};
if (ShowDepth.IsChecked == true)
{
MarketDepth.UpdateFormat(security);
connector.NewMessage += (message, dir) =>
{
var quoteMsg = message as QuoteChangeMessage;
if (quoteMsg != null)
{
MarketDepth.UpdateDepth(quoteMsg);
}
};
}
_connectors.Add(connector);
}
_startEmulationTime = DateTime.Now;
// запускаем эмуляцию
foreach (var connector in _connectors)
{
// указываем даты начала и конца тестирования
connector.Start(startTime, stopTime);
}
TabControl.Items.Cast <TabItem>().First(i => i.Visibility == Visibility.Visible).IsSelected = true;
}
private void StartBtnClick(object sender, RoutedEventArgs e)
{
InitChart();
if (HistoryPath.Text.IsEmpty() || !Directory.Exists(HistoryPath.Text))
{
MessageBox.Show(this, LocalizedStrings.Str3014);
return;
}
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(SecId.Text);
var storageRegistry = new StorageRegistry()
{
DefaultDrive = new LocalMarketDataDrive(HistoryPath.Text)
};
var startTime = ((DateTime)From.Value).ChangeKind(DateTimeKind.Utc);
var stopTime = ((DateTime)To.Value).ChangeKind(DateTimeKind.Utc);
//var logManager = new LogManager();
//var fileLogListener = new FileLogListener("sample.log");
//logManager.Listeners.Add(fileLogListener);
//logManager.Listeners.Add(new DebugLogListener()); // for track logs in output window in Vusial Studio (poor performance).
var maxDepth = 5;
var maxVolume = 5;
var secCode = secIdParts.Item1;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.Item2);
var progressBar = TicksTestingProcess;
var progressStep = ((stopTime - startTime).Ticks / 100).To <TimeSpan>();
progressBar.Value = 0;
progressBar.Maximum = 100;
var statistic = TicksParameterGrid;
var security = new Security()
{
Id = SecId.Text,
Code = secCode,
Board = board,
};
var portfolio = new Portfolio()
{
Name = "test account",
BeginValue = 1000000,
};
var connector = new HistoryEmulationConnector(new[] { security }, new[] { portfolio })
{
EmulationAdapter =
{
Emulator =
{
Settings = { MatchOnTouch = true, PortfolioRecalcInterval = TimeSpan.FromMilliseconds(100), SpreadSize = 1, },
LogLevel = LogLevels.Debug,
},
LogLevel = LogLevels.Debug,
},
HistoryMessageAdapter = { StorageRegistry = storageRegistry, StartDate = startTime, StopDate = stopTime, MarketTimeChangedInterval = TimeSpan.FromMilliseconds(50), },
};
//logManager.Sources.Add(connector);
var candleManager = new CandleManager(connector);
var series = new CandleSeries(typeof(RangeCandle), security, new Unit(100));
shortMa = new SimpleMovingAverage {
Length = 10
};
shortElem = new ChartIndicatorElement
{
Color = Colors.Coral,
ShowAxisMarker = false,
FullTitle = shortMa.ToString()
};
bufferedChart.AddElement(area, shortElem);
longMa = new SimpleMovingAverage {
Length = 30
};
longElem = new ChartIndicatorElement
{
ShowAxisMarker = false,
FullTitle = longMa.ToString()
};
bufferedChart.AddElement(area, longElem);
var strategy = new SmaStrategy(bufferedChart, candlesElem, tradesElem, shortMa, shortElem, longMa, longElem, series)
{
Volume = 1,
Portfolio = portfolio,
Security = security,
Connector = connector,
LogLevel = LogLevels.Debug,
UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To <TimeSpan>()
};
//logManager.Sources.Add(strategy);
connector.NewSecurities += securities =>
{
if (securities.All(s => s != security))
{
return;
}
connector.RegisterMarketDepth(security);
connector.RegisterMarketDepth(new TrendMarketDepthGenerator(connector.GetSecurityId(security))
{
Interval = TimeSpan.FromMilliseconds(100), // order book freq refresh is 1 sec
MaxAsksDepth = maxDepth,
MaxBidsDepth = maxDepth,
UseTradeVolume = true,
MaxVolume = maxVolume,
MinSpreadStepCount = 1, // min spread generation is 2 pips
MaxSpreadStepCount = 1, // max spread generation size (prevent extremely size)
MaxPriceStepCount = 3 // pips size,
});
connector.RegisterTrades(security);
connector.RegisterSecurity(security);
strategy.Start();
candleManager.Start(series);
connector.Start();
};
statistic.Parameters.Clear();
statistic.Parameters.AddRange(strategy.StatisticManager.Parameters);
var pnlCurve = Curve.CreateCurve(LocalizedStrings.PnL + " " + StrategyName, Colors.Cyan, EquityCurveChartStyles.Area);
var unrealizedPnLCurve = Curve.CreateCurve(LocalizedStrings.PnLUnreal + StrategyName, Colors.Black);
var commissionCurve = Curve.CreateCurve(LocalizedStrings.Str159 + " " + StrategyName, Colors.Red, EquityCurveChartStyles.DashedLine);
var posItems = PositionCurve.CreateCurve(StrategyName, Colors.Crimson);
strategy.PnLChanged += () =>
{
var pnl = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnL - strategy.Commission ?? 0
};
var unrealizedPnL = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.PnLManager.UnrealizedPnL
};
var commission = new EquityData()
{
Time = strategy.CurrentTime, Value = strategy.Commission ?? 0
};
pnlCurve.Add(pnl);
unrealizedPnLCurve.Add(unrealizedPnL);
commissionCurve.Add(commission);
};
strategy.PositionChanged += () => posItems.Add(new EquityData {
Time = strategy.CurrentTime, Value = strategy.Position
});
var nextTime = startTime + progressStep;
connector.MarketTimeChanged += d =>
{
if (connector.CurrentTime < nextTime && connector.CurrentTime < stopTime)
{
return;
}
var steps = (connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To <TimeSpan>();
this.GuiAsync(() => progressBar.Value = steps);
};
connector.StateChanged += () =>
{
if (connector.State == EmulationStates.Stopped)
{
candleManager.Stop(series);
strategy.Stop();
//logManager.Dispose();
SetIsEnabled(false);
this.GuiAsync(() =>
{
if (connector.IsFinished)
{
progressBar.Value = progressBar.Maximum;
MessageBox.Show(this, LocalizedStrings.Str3024.Put(DateTime.Now - startEmulationTime));
}
else
{
MessageBox.Show(this, LocalizedStrings.cancelled);
}
});
}
else if (connector.State == EmulationStates.Started)
{
SetIsEnabled(true);
}
};
progressBar.Value = 0;
startEmulationTime = DateTime.Now;
connector.Connect();
connector.SendInMessage(new CommissionRuleMessage()
{
Rule = new CommissionPerTradeRule {
Value = 0.01m
}
});
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader <Connector>(new SmartTrader
{
Login = Login.Text,
Password = Password.Password,
Address = Address.SelectedAddress
});
//_connector = new RealTimeEmulationTrader<Connector>(new PlazaTrader
//{
// IsCGate = true,
//}, portfolio);
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// set flag (connection is established)
_isConnected = true;
// update gui labels
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_connector);
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewOrders += orders => Orders.Orders.AddRange(orders);
_connector.NewMyTrades += trades => Trades.Trades.AddRange(trades);
// подписываемся на событие о неудачной регистрации заявок
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
var isLua = IsLua.IsChecked == true;
if (isLua)
{
if (Address.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2977);
return;
}
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2978);
return;
}
if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2979);
return;
}
}
else
{
if (Path.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2983);
return;
}
}
if (_trader == null)
{
// создаем подключение
_trader = isLua
? new QuikTrader
{
LuaFixServerAddress = Address.Text.To<EndPoint>(),
LuaLogin = Login.Text,
LuaPassword = Password.Password.To<SecureString>()
}
: new QuikTrader(Path.Text) { IsDde = true };
if (_trader.IsDde)
{
_trader.DdeTables = new[] { _trader.SecuritiesTable, _trader.TradesTable };
}
_logManager.Sources.Add(_trader);
// подписываемся на событие об успешном восстановлении соединения
_trader.Restored += () => this.GuiAsync(() => MessageBox.Show(this, LocalizedStrings.Str2958));
// подписываемся на событие разрыва соединения
_trader.ConnectionError += error => this.GuiAsync(() => MessageBox.Show(this, error.ToString()));
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), "Ошибка обработки данных"));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
_trader.NewSecurities += securities => this.GuiAsync(() => Security.ItemsSource = _trader.Securities);
_trader.Connect();
_candleManager = new CandleManager(_trader);
_candleManager.Processing += DrawCandle;
ConnectBtn.IsEnabled = false;
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (_connector == null)
{
if (SmartCom.IsChecked == true)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
// create real-time emu connector
_connector = new RealTimeEmulationTrader<IMessageAdapter>(new SmartComMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Login = Login.Text,
Password = Password.Password.To<SecureString>(),
Address = Address.SelectedAddress
});
_connector.EmulationAdapter.Emulator.Settings.TimeZone = TimeHelper.Moscow;
}
else
{
// create real-time emu connector
_connector = new RealTimeEmulationTrader<IMessageAdapter>(new IQFeedMarketDataMessageAdapter(new MillisecondIncrementalIdGenerator())
{
Level1Address = Level1AddressCtrl.Text.To<EndPoint>(),
Level2Address = Level2AddressCtrl.Text.To<EndPoint>(),
LookupAddress = LookupAddressCtrl.Text.To<EndPoint>(),
});
_connector.EmulationAdapter.Emulator.Settings.TimeZone = TimeHelper.Est;
}
_connector.EmulationAdapter.Emulator.Settings.ConvertTime = true;
SecurityEditor.SecurityProvider = new FilterableSecurityProvider(_connector);
_candleManager = new CandleManager(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// update gui labels
this.GuiAsync(() =>
{
ChangeConnectStatus(true);
});
};
// subscribe on disconnection event
_connector.Disconnected += () =>
{
// update gui labels
this.GuiAsync(() =>
{
ChangeConnectStatus(false);
});
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_connector.NewMarketDepths += OnDepths;
_connector.MarketDepthsChanged += OnDepths;
_connector.NewPortfolios += PortfolioGrid.Portfolios.AddRange;
_connector.NewPositions += PortfolioGrid.Positions.AddRange;
_connector.NewOrders += OrderGrid.Orders.AddRange;
_connector.NewMyTrades += TradeGrid.Trades.AddRange;
// subscribe on error of order registration event
_connector.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
_buffer.Add(candle);
};
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
ConnectBtn.IsEnabled = false;
_connector.Connect();
}
else
{
_connector.Disconnect();
}
}
private void StartEmulation()
{
if (_connector != null && _connector.State != EmulationStates.Stopped)
throw new InvalidOperationException(LocalizedStrings.Str3015);
if (Strategy == null)
throw new InvalidOperationException("Strategy not selected.");
var strategy = (EmulationDiagramStrategy)Strategy;
if (strategy.DataPath.IsEmpty() || !Directory.Exists(strategy.DataPath))
throw new InvalidOperationException(LocalizedStrings.Str3014);
strategy
.Composition
.Parameters
.ForEach(p =>
{
if (p.Type == typeof(Security) && p.Value == null)
throw new InvalidOperationException(LocalizedStrings.Str1380);
});
strategy.Reset();
Reset();
var securityId = "empty@empty";
var secGen = new SecurityIdGenerator();
var secIdParts = secGen.Split(securityId);
var secCode = secIdParts.SecurityCode;
var board = ExchangeBoard.GetOrCreateBoard(secIdParts.BoardCode);
var timeFrame = strategy.CandlesTimeFrame;
var useCandles = strategy.MarketDataSource == MarketDataSource.Candles;
// create test security
var security = new Security
{
Id = securityId, // sec id has the same name as folder with historical data
Code = secCode,
Board = board,
};
// storage to historical data
var storageRegistry = new StorageRegistry
{
// set historical path
DefaultDrive = new LocalMarketDataDrive(strategy.DataPath)
};
var startTime = strategy.StartDate.ChangeKind(DateTimeKind.Utc);
var stopTime = strategy.StopDate.ChangeKind(DateTimeKind.Utc);
// ProgressBar refresh step
var progressStep = ((stopTime - startTime).Ticks / 100).To<TimeSpan>();
// set ProgressBar bounds
TicksAndDepthsProgress.Value = 0;
TicksAndDepthsProgress.Maximum = 100;
// test portfolio
var portfolio = new Portfolio
{
Name = "test account",
BeginValue = 1000000,
};
var securityProvider = ConfigManager.GetService<ISecurityProvider>();
// create backtesting connector
_connector = new HistoryEmulationConnector(securityProvider, new[] { portfolio }, new StorageRegistry())
{
EmulationAdapter =
{
Emulator =
{
Settings =
{
// match order if historical price touched our limit order price.
// It is terned off, and price should go through limit order price level
// (more "severe" test mode)
MatchOnTouch = false,
}
}
},
UseExternalCandleSource = useCandles,
HistoryMessageAdapter =
{
StorageRegistry = storageRegistry,
// set history range
StartDate = startTime,
StopDate = stopTime,
},
// set market time freq as time frame
MarketTimeChangedInterval = timeFrame,
};
//((ILogSource)_connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info;
ConfigManager.GetService<LogManager>().Sources.Add(_connector);
var candleManager = new CandleManager(_connector);
strategy.Volume = 1;
strategy.Portfolio = portfolio;
strategy.Security = security;
strategy.Connector = _connector;
//LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info,
// by default interval is 1 min,
// it is excessively for time range with several months
strategy.UnrealizedPnLInterval = ((stopTime - startTime).Ticks / 1000).To<TimeSpan>();
strategy.SetCandleManager(candleManager);
_connector.NewSecurity += s =>
{
var level1Info = new Level1ChangeMessage
{
SecurityId = s.ToSecurityId(),
ServerTime = startTime,
}
.TryAdd(Level1Fields.PriceStep, secIdParts.SecurityCode == "RIZ2" ? 10m : 1)
.TryAdd(Level1Fields.StepPrice, 6m)
.TryAdd(Level1Fields.MinPrice, 10m)
.TryAdd(Level1Fields.MaxPrice, 1000000m)
.TryAdd(Level1Fields.MarginBuy, 10000m)
.TryAdd(Level1Fields.MarginSell, 10000m);
// fill level1 values
_connector.SendInMessage(level1Info);
//_connector.RegisterMarketDepth(security);
//if (!useCandles)
// _connector.RegisterTrades(s);
};
var nextTime = startTime + progressStep;
// handle historical time for update ProgressBar
_connector.MarketTimeChanged += d =>
{
if (_connector.CurrentTime < nextTime && _connector.CurrentTime < stopTime)
return;
var steps = (_connector.CurrentTime - startTime).Ticks / progressStep.Ticks + 1;
nextTime = startTime + (steps * progressStep.Ticks).To<TimeSpan>();
this.GuiAsync(() => TicksAndDepthsProgress.Value = steps);
};
_connector.LookupSecuritiesResult += (ss) =>
{
if (strategy.ProcessState != ProcessStates.Stopped)
return;
// start strategy before emulation started
strategy.Start();
// start historical data loading when connection established successfully and all data subscribed
_connector.Start();
};
_connector.StateChanged += () =>
{
switch (_connector.State)
{
case EmulationStates.Stopped:
strategy.Stop();
this.GuiAsync(() =>
{
if (_connector.IsFinished)
TicksAndDepthsProgress.Value = TicksAndDepthsProgress.Maximum;
});
break;
case EmulationStates.Started:
break;
}
};
TicksAndDepthsProgress.Value = 0;
DiagramDebuggerControl.Debugger.IsEnabled = true;
// raise NewSecurities and NewPortfolio for full fill strategy properties
_connector.Connect();
// 1 cent commission for trade
_connector.SendInMessage(new CommissionRuleMessage
{
Rule = new CommissionPerTradeRule
{
Value = 0.01m
}
});
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (!_isConnected)
{
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2974);
return;
}
else if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2975);
return;
}
if (_trader == null)
{
// создаем подключение
_trader = new SmartTrader();
_logManager.Sources.Add(_trader);
Portfolios.Portfolios = new PortfolioDataSource(_trader);
// подписываемся на событие успешного соединения
_trader.Connected += () =>
{
// возводим флаг, что соединение установлено
_isConnected = true;
// разблокируем кнопку Экспорт
this.GuiAsync(() => ChangeConnectStatus(true));
_candleManager = new CandleManager(_trader);
_trader.NewCandles += (series, candles) => _historyCandles.SyncDo(col =>
{
_historyCandles.AddRange(candles.Cast <TimeFrameCandle>());
foreach (var candle in candles)
{
ProcessCandle(candle);
}
});
_trader.NewSecurities += securities =>
{
// находим нужную бумагу
var lkoh = securities.FirstOrDefault(s => s.Code == "LKOH");
if (lkoh != null)
{
_lkoh = lkoh;
this.GuiAsync(() =>
{
Start.IsEnabled = true;
});
}
};
_trader.NewMyTrades += trades =>
{
if (_strategy != null)
{
// найти те сделки, которые совершила стратегия скользящей средней
trades = trades.Where(t => _strategy.Orders.Any(o => o == t.Order));
_trades.Trades.AddRange(trades);
}
};
// подписываемся на событие о неудачной регистрации заявок
//_trader.OrdersRegisterFailed += OrdersFailed;
_candleManager.Processing += (s, candle) =>
{
// выводим только те свечи, которые не были отрисованы как исторические
if (candle.OpenTime > _lastHistoryCandle)
{
ProcessCandle(candle);
}
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
});
};
// подписываемся на событие разрыва соединения
_trader.ConnectionError += error => this.GuiAsync(() =>
{
// заблокируем кнопку Экспорт (так как соединение было потеряно)
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_trader.Disconnected += () => this.GuiAsync(() => ChangeConnectStatus(false));
// подписываемся на ошибку обработки данных (транзакций и маркет)
//_trader.Error += error => this.GuiAsync(() => MessageBox.Show(this, error.ToString(), "Ошибка обработки данных"));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
}
_trader.Login = Login.Text;
_trader.Password = Password.Password;
_trader.Address = Address.SelectedAddress;
// очищаем из текстового поля в целях безопасности
//Password.Clear();
_trader.Connect();
}
else
{
_trader.Disconnect();
}
}
private void InitEmuConnector()
{
if (_emuConnector != null)
{
_emuConnector.Dispose();
_logManager.Sources.Remove(_emuConnector);
}
_emuConnector = new RealTimeEmulationTrader <IMessageAdapter>(_realConnector.MarketDataAdapter ?? new PassThroughMessageAdapter(new IncrementalIdGenerator()), _emuPf, false);
_logManager.Sources.Add(_emuConnector);
_emuConnector.EmulationAdapter.Emulator.Settings.TimeZone = TimeHelper.Est;
_emuConnector.EmulationAdapter.Emulator.Settings.ConvertTime = true;
SecurityPicker.SecurityProvider = new FilterableSecurityProvider(_emuConnector);
SecurityPicker.MarketDataProvider = _emuConnector;
_candleManager = new CandleManager(_emuConnector);
// subscribe on connection successfully event
_emuConnector.Connected += () =>
{
// update gui labels
this.GuiAsync(() => { ChangeConnectStatus(true); });
};
// subscribe on disconnection event
_emuConnector.Disconnected += () =>
{
// update gui labels
this.GuiAsync(() => { ChangeConnectStatus(false); });
};
// subscribe on connection error event
_emuConnector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_emuConnector.NewMarketDepth += OnDepth;
_emuConnector.MarketDepthChanged += OnDepth;
_emuConnector.NewPortfolio += PortfolioGrid.Portfolios.Add;
_emuConnector.NewPosition += PortfolioGrid.Positions.Add;
_emuConnector.NewOrder += OrderGrid.Orders.Add;
_emuConnector.NewMyTrade += TradeGrid.Trades.Add;
// subscribe on error of order registration event
_emuConnector.OrderRegisterFailed += OrderGrid.AddRegistrationFail;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
_emuConnector.MassOrderCancelFailed += (transId, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str716));
// subscribe on error event
_emuConnector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_emuConnector.MarketDataSubscriptionFailed += (security, msg, error) =>
{
if (error == null)
{
return;
}
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(msg.DataType, security)));
};
}
private void InitConnector()
{
_connector?.Dispose();
try
{
if (File.Exists(_settingsFile))
{
_realAdapter.Load(new XmlSerializer <SettingsStorage>().Deserialize(_settingsFile));
}
_realAdapter.InnerAdapters.ForEach(a => a.RemoveTransactionalSupport());
}
catch
{
}
_connector = new RealTimeEmulationTrader <IMessageAdapter>(_realAdapter);
_logManager.Sources.Add(_connector);
_connector.EmulationAdapter.Emulator.Settings.TimeZone = TimeHelper.Est;
_connector.EmulationAdapter.Emulator.Settings.ConvertTime = true;
SecurityPicker.SecurityProvider = new FilterableSecurityProvider(_connector);
SecurityPicker.MarketDataProvider = _connector;
_candleManager = new CandleManager(_connector);
_logManager.Sources.Add(_connector);
// clear password for security reason
//Password.Clear();
// subscribe on connection successfully event
_connector.Connected += () =>
{
// update gui labels
this.GuiAsync(() => { ChangeConnectStatus(true); });
};
// subscribe on disconnection event
_connector.Disconnected += () =>
{
// update gui labels
this.GuiAsync(() => { ChangeConnectStatus(false); });
};
// subscribe on connection error event
_connector.ConnectionError += error => this.GuiAsync(() =>
{
// update gui labels
ChangeConnectStatus(false);
MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2959);
});
_connector.NewMarketDepth += OnDepth;
_connector.MarketDepthChanged += OnDepth;
_connector.NewPortfolio += PortfolioGrid.Portfolios.Add;
_connector.NewPosition += PortfolioGrid.Positions.Add;
_connector.NewOrder += OrderGrid.Orders.Add;
_connector.NewMyTrade += TradeGrid.Trades.Add;
// subscribe on error of order registration event
_connector.OrderRegisterFailed += OrderGrid.AddRegistrationFail;
_candleManager.Processing += (s, candle) =>
{
if (candle.State == CandleStates.Finished)
{
_buffer.Add(candle);
}
};
_connector.MassOrderCancelFailed += (transId, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str716));
// subscribe on error event
_connector.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2955));
// subscribe on error of market data subscription event
_connector.MarketDataSubscriptionFailed += (security, msg, error) =>
{
if (error == null)
{
return;
}
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(msg.DataType, security)));
};
}
static void Main(string[] args)
{
_handler = new AutoResetEvent(false);
_connector = new QuikTrader();
// Создается andleManager, который будет использовать данные из коннектора
_candleManager = new CandleManager(_connector);
// Также можно создать СandleManager, который использует произвольную коллекцию данных.
// В контексте этого примера этот способ следует использовать, когда получен инстумент и выполнена подписка на сделки
// по инструменту
//_candleManager = CreateCandleManager(_connector, _security);
_connector.Connected += () =>
{
Console.WriteLine("Соединение установлено!");
};
_connector.Disconnected += () =>
{
Console.WriteLine("Соединение разорвано!");
Console.WriteLine("Для выхода нажмите Q и Enter.");
};
_connector.NewSecurities += securities =>
{
securities.ForEach(s =>
{
if (s.Id == _securityId)
{
_security = s;
_handler.Set();
}
});
};
_candleManager.Processing += (series, candle) =>
{
if (_series == null || _series != series)
{
return;
}
// Используем только завершенные свечи
if (candle.State != CandleStates.Finished)
{
return;
}
if (candle.OpenTime < (DateTimeOffset.Now - TimeSpan.FromMinutes(6)))
{
// В эту ветку попадает исторические свечи, которые вычленяются при помощи текущего времени.
// Обратите внимание, что из текущего времени вычитается тайм-фрейм свечи, увеличенный на 1 минуту
//(чтобы учесть разность между локальным времемем и временем сервера)..
//
Debug.WriteLine(string.Format("История. {0}", candle));
}
else
{
Debug.WriteLine(string.Format("Текущая. {0}", candle));
}
};
_connector.Connect();
_handler.WaitOne();
// создаем серию
_series = new CandleSeries(typeof(TimeFrameCandle), _security, TimeSpan.FromMinutes(5));
// стартуем серию
_candleManager.Start(_series);
Console.Read();
// останавливаем серию
_candleManager.Stop(_series);
_connector.Disconnect();
// Ждет, пока последовательно не будут нажаты клаваши Q и Enter,
// после чего программа завершит работу
while (Console.ReadLine().ToUpper() != "Q")
{
;
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
var isLua = IsLua.IsChecked == true;
if (isLua)
{
if (Address.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2977);
return;
}
if (Login.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2978);
return;
}
if (Password.Password.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2979);
return;
}
}
else
{
if (QuikPath.Folder.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2983);
return;
}
}
if (_trader == null)
{
// создаем подключение
_trader = isLua
? new QuikTrader
{
LuaFixServerAddress = Address.Text.To <EndPoint>(),
LuaLogin = Login.Text,
LuaPassword = Password.Password.To <SecureString>()
}
: new QuikTrader(QuikPath.Folder)
{
IsDde = true
};
if (_trader.IsDde)
{
_trader.DdeTables = new[] { _trader.SecuritiesTable, _trader.TradesTable };
}
_logManager.Sources.Add(_trader);
// подписываемся на событие об успешном восстановлении соединения
_trader.Restored += () => this.GuiAsync(() => MessageBox.Show(this, LocalizedStrings.Str2958));
// подписываемся на событие разрыва соединения
_trader.ConnectionError += error => this.GuiAsync(() => MessageBox.Show(this, error.ToString()));
// подписываемся на ошибку обработки данных (транзакций и маркет)
_trader.Error += error =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), "Ошибка обработки данных"));
// подписываемся на ошибку подписки маркет-данных
_trader.MarketDataSubscriptionFailed += (security, type, error) =>
this.GuiAsync(() => MessageBox.Show(this, error.ToString(), LocalizedStrings.Str2956Params.Put(type, security)));
Security.SecurityProvider = new FilterableSecurityProvider(_trader);
_trader.Connect();
_candleManager = new CandleManager(_trader);
_candleManager.Processing += DrawCandle;
ConnectBtn.IsEnabled = false;
}
}
private CandleManager CreateCandleManager()
{
var candleManager = new CandleManager(EmulationConnector);
candleManager.Sources.RemoveWhere(s => s is StorageCandleSource);
return candleManager;
}
static void Main(string[] args)
{
var security = new Security()
{
Id = "RIH7@FORTS", Board = ExchangeBoard.Forts
};
StorageRegistry storage = new StorageRegistry();
string path = @"../../../Data/Quik";
//Для работы будем использовать готовое локальное файловое хранилище, в которое данные были предварительно записаны при помощи Гидры.
//Создаем экземпляр LocalMarketDataDrive.
LocalMarketDataDrive drive = new LocalMarketDataDrive()
{
Path = path
};
//Передаем в StorageRegistry ссылку на локальное файловое хранилище
storage.DefaultDrive = drive;
DateTime from = new DateTime(2017, 02, 14, 10, 0, 0);
DateTime to = new DateTime(2017, 02, 15, 23, 50, 0);
// Создаем простой индикатор - простая скользяшая средняя. Простой индикатор - индикатор, которые состоит из одного индикатора.
var ma = new SimpleMovingAverage()
{
Length = 11
};
// Событие генерируется при изменении текущего значения индикатора.. Событие имеет два параметра: входное и выходное значение.
ma.Changed += (input, output) =>
{
//TODO
};
// Создаем комплексный индикатор - полосы Боллинджера. Комплексный индикатор - индикатор, которые состоит из нескольких простых или комплексных
// индикаторов. В состав полос Боллинджера входят три простых индикатора: верхняя и нижняя полоса BollingerBand, а также простая скользящая средняя.
var bb = new BollingerBands()
{
Length = 11, Width = 1.5m
};
// Событие генерируется при изменении текущего значения индикатора.. Событие имеет два параметра: входное и выходное значение.
bb.Changed += (input, output) =>
{
//TODO
};
// Создаем кандлеменеджер, который в качестве источника свечек использует сделки из хранилища.
CandleManager candleManager = new CandleManager(new TradeStorageCandleBuilderSource()
{
StorageRegistry = storage
});
candleManager.Processing += (series, candle) =>
{
if (candle.State != CandleStates.Finished)
{
return;
}
// передаем в метод Process значение для обработки...
// Передаваемый параметр должен реализовывать интерфейс IIndicatorValue.
// В нашем случае используется метод расширения, который преобразует
// свечу в класс CandleIndicatorValue, который реализует требуемый интерфейс.
// Функция возвращается тип, который также реализует интерфейс IIndicatorValue
// Такой подход обладает следующими преимуществами:
// 1. IIndicatorValue используется при построении графиков
// 2. Значение одного индикторы, можно сразу передавать на вход другого индикатра.
var maValue = ma.Process(candle);
// Свойство IsFormed становится true, когда текущее значение индикатора становится валидным
// Наример, в скользящих средних, если число значений поступивших на вход больше или равно
// периоду индикатора
if (ma.IsFormed)
{
// Так можно вернуть "нормальное" значение из IIndicatorValue
var maCur = ma.GetCurrentValue();
// Это другой способ получения "нормальное" текущего значения индикатора
maCur = maValue.GetValue <decimal>();
}
// Здесь мы используем комплексный индикатор. Также передаем в метод Process значение для обработки...
// На выходе мы получаем тип ComplexIndicatorValue (тоже реализует IIndicatorValue).
// Главная особенность типа ComplexIndicatorValue в наличии свойства InnerValues, где
// хранятся текущие значения всех простых индикаторов, входящих в состав комплексного индикатора.
var bbValue = (ComplexIndicatorValue)bb.Process(candle);
if (bb.IsFormed)
{
// Так можно получить значения из InnerValues
var upBandValue = bbValue.InnerValues[bb.UpBand];
var lowBandValue = bbValue.InnerValues[bb.LowBand];
var upBand = bb.UpBand.GetCurrentValue();
var lowBand = bb.LowBand.GetCurrentValue();
upBand = upBandValue.GetValue <decimal>();
lowBand = lowBandValue.GetValue <decimal>();
}
};
var srs = new CandleSeries(typeof(TimeFrameCandle), security, TimeSpan.FromMinutes(1));
candleManager.Start(srs, from, to);
Console.Read();
candleManager.Stop(srs);
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (_trader == null || _trader.ConnectionState == ConnectionStates.Disconnected)
{
if (_trader == null)
{
if (Path.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2983);
return;
}
// создаем подключение
_trader = new QuikTrader(Path.Text)
{
IsDde = true
};
Portfolios.Portfolios = new PortfolioDataSource(_trader);
_trader.Connected += () =>
{
_candleManager = new CandleManager(_trader);
_trader.NewSecurities += securities =>
{
// находим нужную бумагу
var lkoh = securities.FirstOrDefault(s => s.Code == "LKOH");
if (lkoh != null)
{
_lkoh = lkoh;
this.GuiAsync(() =>
{
Start.IsEnabled = true;
});
}
};
_trader.NewMyTrades += trades =>
{
if (_strategy != null)
{
// найти те сделки, которые совершила стратегия скользящей средней
trades = trades.Where(t => _strategy.Orders.Any(o => o == t.Order));
Trades.Trades.AddRange(trades);
}
};
_candleManager.Processing += (series, candle) =>
{
// если скользящие за сегодняшний день отрисованы, то рисуем в реальном времени текущие скользящие
if (_isTodaySmaDrawn && candle.State == CandleStates.Finished)
{
ProcessCandle(candle);
}
};
//_trader.Error += ex => this.GuiAsync(() => MessageBox.Show(this, ex.ToString()));
_trader.ConnectionError += ex =>
{
if (ex != null)
{
this.GuiAsync(() => MessageBox.Show(this, ex.ToString()));
}
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
Report.IsEnabled = true;
});
};
}
_trader.Connect();
}
else
{
_trader.Disconnect();
}
}
private void ConnectClick(object sender, RoutedEventArgs e)
{
if (_trader == null || _trader.ConnectionState == ConnectionStates.Disconnected)
{
if (_trader == null)
{
if (Path.Text.IsEmpty())
{
MessageBox.Show(this, LocalizedStrings.Str2983);
return;
}
// создаем подключение
_trader = new QuikTrader(Path.Text) { IsDde = true };
Portfolios.Connector = _trader;
_trader.Connected += () =>
{
_candleManager = new CandleManager(_trader);
_trader.NewSecurities += securities =>
{
// находим нужную бумагу
var lkoh = securities.FirstOrDefault(s => s.Code == "LKOH");
if (lkoh != null)
{
_lkoh = lkoh;
this.GuiAsync(() =>
{
Start.IsEnabled = true;
});
}
};
_trader.NewMyTrades += trades =>
{
if (_strategy != null)
{
// найти те сделки, которые совершила стратегия скользящей средней
trades = trades.Where(t => _strategy.Orders.Any(o => o == t.Order));
Trades.Trades.AddRange(trades);
}
};
_candleManager.Processing += (series, candle) =>
{
// если скользящие за сегодняшний день отрисованы, то рисуем в реальном времени текущие скользящие
if (_isTodaySmaDrawn && candle.State == CandleStates.Finished)
ProcessCandle(candle);
};
//_trader.Error += ex => this.GuiAsync(() => MessageBox.Show(this, ex.ToString()));
_trader.ConnectionError += ex =>
{
if (ex != null)
this.GuiAsync(() => MessageBox.Show(this, ex.ToString()));
};
this.GuiAsync(() =>
{
ConnectBtn.IsEnabled = false;
Report.IsEnabled = true;
});
};
}
_trader.Connect();
}
else
_trader.Disconnect();
}
public stockCandleManager(DBConnection DB, Stock stock)
{
this.stock = stock;
candleManager = new CandleManager(DB);
}
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";
}
