/// <summary>
/// To emulate orders on history.
/// </summary>
/// <param name="orders">Orders to be emulated on history.</param>
/// <param name="storageRegistry">The external storage for access to history data.</param>
/// <param name="openedPositions">Trades, describing initial open positions.</param>
/// <returns>The virtual strategy, containing progress of paper trades.</returns>
public static Strategy EmulateOrders(this IEnumerable<Order> orders, IStorageRegistry storageRegistry, IDictionary<Security, decimal> openedPositions)
{
if (openedPositions == null)
throw new ArgumentNullException(nameof(openedPositions));
if (storageRegistry == null)
throw new ArgumentNullException(nameof(storageRegistry));
if (orders == null)
throw new ArgumentNullException(nameof(orders));
var array = orders.ToArray();
if (array.IsEmpty())
throw new ArgumentOutOfRangeException(nameof(orders));
using (var connector = new RealTimeEmulationTrader<HistoryMessageAdapter>(new HistoryMessageAdapter(new IncrementalIdGenerator(), new CollectionSecurityProvider(array.Select(o => o.Security).Distinct()))
{
StorageRegistry = storageRegistry
}))
{
var from = array.Min(o => o.Time);
var to = from.EndOfDay();
var strategy = new EquityStrategy(array, openedPositions) { Connector = connector };
var waitHandle = new SyncObject();
//connector.UnderlyngMarketDataAdapter.StateChanged += () =>
//{
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Started)
// strategy.Start();
// if (connector.UnderlyngMarketDataAdapter.State == EmulationStates.Stopped)
// {
// strategy.Stop();
// waitHandle.Pulse();
// }
//};
connector.UnderlyngMarketDataAdapter.StartDate = from;
connector.UnderlyngMarketDataAdapter.StopDate = to;
connector.Connect();
//lock (waitHandle)
//{
// if (connector.UnderlyngMarketDataAdapter.State != EmulationStates.Stopped)
// waitHandle.Wait();
//}
return strategy;
}
}
/// <summary>
/// Сэмулировать заявки на истории.
/// </summary>
/// <param name="orders">Заявки, которые необходимо сэмулировать на истории.</param>
/// <param name="storageRegistry">Внешнеее хранилище для доступа к исторических данным.</param>
/// <param name="openedPositions">Сделки, описывающие начальные открытые позиции.</param>
/// <returns>Виртуальная стратегии, содержащая в себе ход эмуляционных торгов.</returns>
public static Strategy EmulateOrders(this IEnumerable <Order> orders, IStorageRegistry storageRegistry, IDictionary <Security, decimal> openedPositions)
{
if (openedPositions == null)
{
throw new ArgumentNullException("openedPositions");
}
if (storageRegistry == null)
{
throw new ArgumentNullException("storageRegistry");
}
if (orders == null)
{
throw new ArgumentNullException("orders");
}
if (orders.IsEmpty())
{
throw new ArgumentOutOfRangeException("orders");
}
using (var connector = new RealTimeEmulationTrader <HistoryEmulationConnector>(new HistoryEmulationConnector(orders.Select(o => o.Security).Distinct(), orders.Select(o => o.Portfolio).Distinct())
{
StorageRegistry = storageRegistry
}))
{
var from = orders.Min(o => o.Time).Date;
var to = from.EndOfDay();
var strategy = new EquityStrategy(orders, openedPositions)
{
Connector = connector
};
var waitHandle = new SyncObject();
connector.UnderlyingConnector.StateChanged += () =>
{
if (connector.UnderlyingConnector.State == EmulationStates.Started)
{
strategy.Start();
}
if (connector.UnderlyingConnector.State == EmulationStates.Stopped)
{
strategy.Stop();
waitHandle.Pulse();
}
};
connector.Connect();
connector.StartExport();
connector.UnderlyingConnector.Start(from, to);
lock (waitHandle)
{
if (connector.UnderlyingConnector.State != EmulationStates.Stopped)
{
waitHandle.Wait();
}
}
return(strategy);
}
}
