private void StartBtnClick(object sender, RoutedEventArgs e) { // if process was already started, will stop it now if (_connector != null) { _strategy.Stop(); _connector.Disconnect(); _logManager.Sources.Clear(); _connector = null; return; } // create test security 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); // 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 }) { MarketTimeChangedInterval = timeFrame }; _logManager.Sources.Add(_connector); _connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // fill level1 values _connector.SendOutMessage(level1Info); _connector.RegisterTrades(new RandomWalkTradeGenerator(_connector.GetSecurityId(security))); _connector.RegisterMarketDepth(new TrendMarketDepthGenerator(_connector.GetSecurityId(security)) { GenerateDepthOnEachTrade = false }); // start historical data loading when connection established successfully and all data subscribed _connector.Start(); }; _connector.StartDate = startTime; _connector.StopDate = stopTime; 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, }; // 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(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (_connector.State == EmulationStates.Started) { // start strategy when emulation started _strategy.Start(); candleManager.Start(series); } }; if (_curveItems == null) { _curveItems = Curve.CreateCurve(_strategy.Name, Colors.DarkGreen); } else { _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) { 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, }; connector.StartDate = startTime; connector.StopDate = stopTime; connector.MarketTimeChangedInterval = timeFrame; ((ILogSource)connector).LogLevel = DebugLogCheckBox.IsChecked == true ? LogLevels.Debug : LogLevels.Info; logManager.Sources.Add(connector); connector.NewSecurities += securities => { if (securities.All(s => s != security)) { return; } // fill level1 values connector.SendOutMessage(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 historical data loading when connection established successfully and all data subscribed connector.Start(); }; 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); // 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(LocalizedStrings.Str3024.Put(DateTime.Now - _startEmulationTime)); } else { MessageBox.Show(LocalizedStrings.cancelled); } }); } else if (connector.State == EmulationStates.Started) { SetIsEnabled(true); // start strategy when emulation started 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; // 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; }