/// <summary>
/// Simulates a given scenario and calculates profit / loss that would be made if scenario happened on each second in history of captured market order books.
/// Profit/losses are output to a file given in scenario description.
/// </summary>
/// <param name="scenario">Scenario to simulate.</param>
/// <param name="historyLoader">Loader to be used to access history of market order books.</param>
public ProfitSimulator(SimulationScenario scenario, BitstampHistoryLoader historyLoader)
{
_historyEnumerator = new HistoryEnumerator(historyLoader);
var firstEntry = _historyEnumerator.PeekNext();
if (firstEntry == null)
{
return;
}
_engine = new SimulationEngine(firstEntry.AcqTime);
_engine.AfterEventSimulation += LoadOrderBookHistoryEventsIntoEngine;
_dependencyFactory = new SimulationDependencyFactory(_engine);
_scenario = scenario;
_dependencyFactory.HedgingEngine.WhenStrategy.Delay = _scenario.HedgingDelay * 1000;
_dependencyFactory.PricingEngine.PricingStrategy.SellSpread = _scenario.SellSpread / 100;
_dependencyFactory.PricingEngine.PricingStrategy.BuySpread = _scenario.BuySpread / 100;
_dependencyFactory.SolarisBank.InfiniteBalance = true;
_dependencyFactory.SolarisBank.TransferDelay = 10;
_resultWriter = new CsvProfitSimulationWriter(_scenario.OutputFilename);
_resultWriter.Initialize();
_isSimulationDone = false;
_liquidityEngine = new SimulationLiquidityEngineMoq(_dependencyFactory);
}
// ###########################################################################
//
// P U B L I C
//
// ###########################################################################
// ===========================================================================
/// \brief Initialize the history for a given max length
// ===========================================================================
public History(int length)
{
this.length = length;
this.items = new LinkedList <T> ( );
this.idxStart = 0;
this.idxEnd = -1;
this.safeEnumerator = null;
}
// ===========================================================================
/// \brief Terminate explicitly a safe enumeration
// ===========================================================================
public void EndLockedEnumeration()
{
HistoryEnumerator <T> e;
e = safeEnumerator;
safeEnumerator = null;
// Disposing the enumerator will release the lock
e.Dispose( );
}
// ===========================================================================
/// \brief Return a new enumerator on this history
// ===========================================================================
public IEnumerator <T> GetEnumerator()
{
IEnumerator <T> e;
lock (locker)
{
// Create a new enumerator only if 'BeginLockedEnumeration' is not in use
if (safeEnumerator == null)
{
e = new HistoryEnumerator <T> (this, scaler, idxStart, idxEnd, locker);
}
else
{
safeEnumerator.Reset( );
e = safeEnumerator;
}
}
return(e);
}
// ===========================================================================
/// \brief Begin explicitly a safe enumeration
// ===========================================================================
public void BeginLockedEnumeration()
{
// Creating the enumerator will get the lock
safeEnumerator = new HistoryEnumerator <T> (this, scaler, idxStart, idxEnd, locker);
}
