public TransactionProcessor(
IQuoteContext quoteContext,
Account account,
ISimulationSettings settings)
{
this.quoteContext = quoteContext;
this.account = account;
this.delay = settings.Get<TradeDelaySetting>();
this.commission = settings.Get<CommissionSetting>();
this.avgPrice = new double[quoteContext.TickerCount];
}
public MultiTickerSynchronizer(IReadOnlyList<Ticker> tickers, ISimulationSettings settings)
{
this.tickers = tickers;
this.settings = settings;
this.stepSpan = settings.Get<PeriodSetting>().Type.ToTimeSpan();
var range = settings.Get<SimulationRangeSetting>();
if (range.Type == SimulationRangeType.Common)
{
this.from = tickers.Select(t => t.From).Max();
this.to = tickers.Select(t => t.To).Min();
}
else
{
this.from = Max(range.From.Date, tickers.Select(t => t.From).Min());
this.to = range.To.Date + (TimeSpan.FromDays(1) - TimeSpan.FromTicks(1));
}
//currentDate = this.from;
}
public static bool CanSynchronize(IReadOnlyList<Ticker> tickers, ISimulationSettings settings, out string error)
{
if (tickers == null) throw new ArgumentNullException("tickers");
if (settings == null) throw new ArgumentNullException("settings");
if (tickers.Count == 0)
{
error = "There must be least one ticker.";
return false;
}
if (tickers.Select(t => t.Name.ToLowerInvariant()).GroupBy(name => name).Count() < tickers.Count)
{
error = "Ticker names must be unique.";
return false;
}
if (settings.Get<SimulationRangeSetting>().Type == SimulationRangeType.Common &&
tickers.Select(t => t.From).Max() > tickers.Select(t => t.To).Min())
{
error = "Tickers do not have common range.";
return false;
}
if (settings.Get<CommissionSetting>().Value < 0)
{
error = "Commission cannot be negative.";
return false;
}
if (settings.Get<CommissionSetting>().Type == CommissionType.Percent &&
settings.Get<CommissionSetting>().Value >= 100)
{
error = "Commission of percentage type must be smaller than 100 %.";
return false;
}
if (settings.Get<SimulationRangeSetting>().Type == SimulationRangeType.FromToDates &&
settings.Get<SimulationRangeSetting>().From > settings.Get<SimulationRangeSetting>().To)
{
error = "Simulation range is invalid.";
return false;
}
if (settings.Get<InitialEquitySetting>().Value < 1)
{
error = "Initial equity cannot be smaller than 1.";
return false;
}
if (settings.Get<SimulationRangeSetting>().Type == SimulationRangeType.FromToDates &&
tickers.All(t => t.From > settings.Get<SimulationRangeSetting>().To || t.To < settings.Get<SimulationRangeSetting>().From))
{
error = "No quotes matching specified simulation time range.";
return false;
}
error = null;
return true;
}
bool ISimulationContext.Initialize(SyncTickers syncTickers, StrategyBase strategy, ISimulationSettings settings)
{
this.strategy = strategy;
this.settings = settings;
this.syncTickers = syncTickers;
this.account = new Account(settings.Get<InitialEquitySetting>().Value);
this.strategy.QuoteContext = this.quoteContext = new QuoteContext(syncTickers);
this.transactionProcessor = new TransactionProcessor(quoteContext, account, settings);
this.strategy.WalletContext = this.walletContext = new WalletContext(quoteContext, account, transactionProcessor);
this.resultQuotes = new List<SimulationResultQuote>();
return strategy.Initialize();
}