/// <summary>
/// Instantiates a new instance.
/// </summary>
/// <param name="bars">The list of Bar instances to use during the backtest.</param>
public StrategyBacktester(IEnumerable <Bar> bars)
{
var orderCreator = new OrderCreator();
orderCreator.OrderSent += (order) => OrderSent.SafeTrigger(order);
var manager = new StrategyManager(orderCreator);
StrategyInfo = manager.StrategyInfo;
playableBars = new PlayableBars(bars);
runner = new StrategyRunner <T>(
playableBars.ToSingleDataStream(),
orderCreator: orderCreator,
strategyInfo: StrategyInfo);
Strategy = runner.Strategy;
}
/// <summary>
/// Triggers the OrderSent event.
/// </summary>
/// <param name="orderInfo">The information about the order.</param>
protected virtual void TriggerOrderSent(OrderInfo orderInfo)
{
OrderSent.SafeTrigger(orderInfo);
}
protected virtual async Task OnOrderSent(IOrderSentEventArgs args)
{
if (OrderSent != null)
await OrderSent.Invoke(this, args);
}
public void OnMessage(string message)
{
Debug.WriteLine($"{WebSocketConnection}> {message}");
if (WebSerializer.TryParseRequest(message, out WebSimpleMessageType simpleMessage))
{
switch (simpleMessage)
{
case WebSimpleMessageType.Failure:
case WebSimpleMessageType.Success:
MessageQueue.Enqueue(message);
NewMessageEvent.Set();
break;
default:
// the server will not ask the client for data
throw new NotImplementedException();
}
}
else
{
WebMessageDTO <object> msgDto = WebSerializer.DeserializeWebMessage(message);
switch (msgDto.MessageType)
{
case WebMessageType.ProvideAllClients:
case WebMessageType.ProvideAllProducts:
case WebMessageType.ProvideAllOrders:
case WebMessageType.ProvideClient:
case WebMessageType.ProvideProduct:
case WebMessageType.ProvideOrder:
{
MessageQueue.Enqueue(message);
NewMessageEvent.Set();
break;
}
case WebMessageType.OrderSent:
{
OrderSent orderSent = new OrderSent((msgDto.Data as OrderDTO)?.ToIOrder());
foreach (IObserver <OrderSent> observer in OrderSentObservers)
{
observer.OnNext(orderSent);
}
break;
}
case WebMessageType.AddClient:
{
DataChanged <IClient> change =
new DataChanged <IClient>(DataChangedAction.Add,
new List <IClient> {
(msgDto.Data as ClientDTO)?.ToIClient()
});
foreach (IObserver <DataChanged <IClient> > observer in ClientObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.UpdateClient:
{
DataChanged <IClient> change =
new DataChanged <IClient>(DataChangedAction.Update,
new List <IClient> {
(msgDto.Data as ClientDTO)?.ToIClient()
});
foreach (IObserver <DataChanged <IClient> > observer in ClientObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.RemoveClient:
{
DataChanged <IClient> change =
new DataChanged <IClient>(DataChangedAction.Remove,
new List <IClient> {
(msgDto.Data as ClientDTO)?.ToIClient()
});
foreach (IObserver <DataChanged <IClient> > observer in ClientObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.AddProduct:
{
DataChanged <IProduct> change =
new DataChanged <IProduct>(DataChangedAction.Add,
new List <IProduct> {
(msgDto.Data as ProductDTO)?.ToIProduct()
});
foreach (IObserver <DataChanged <IProduct> > observer in ProductObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.UpdateProduct:
{
DataChanged <IProduct> change =
new DataChanged <IProduct>(DataChangedAction.Update,
new List <IProduct> {
(msgDto.Data as ProductDTO)?.ToIProduct()
});
foreach (IObserver <DataChanged <IProduct> > observer in ProductObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.RemoveProduct:
{
DataChanged <IProduct> change =
new DataChanged <IProduct>(DataChangedAction.Remove,
new List <IProduct> {
(msgDto.Data as ProductDTO)?.ToIProduct()
});
foreach (IObserver <DataChanged <IProduct> > observer in ProductObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.AddOrder:
{
DataChanged <IOrder> change =
new DataChanged <IOrder>(DataChangedAction.Add,
new List <IOrder> {
(msgDto.Data as OrderDTO)?.ToIOrder()
});
foreach (IObserver <DataChanged <IOrder> > observer in OrderObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.UpdateOrder:
{
DataChanged <IOrder> change =
new DataChanged <IOrder>(DataChangedAction.Update,
new List <IOrder> {
(msgDto.Data as OrderDTO)?.ToIOrder()
});
foreach (IObserver <DataChanged <IOrder> > observer in OrderObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.RemoveOrder:
{
DataChanged <IOrder> change =
new DataChanged <IOrder>(DataChangedAction.Remove,
new List <IOrder> {
(msgDto.Data as OrderDTO)?.ToIOrder()
});
foreach (IObserver <DataChanged <IOrder> > observer in OrderObservers)
{
observer.OnNext(change);
}
break;
}
case WebMessageType.Error:
{
string errorMsg = msgDto.Data as string;
Debug.WriteLine($"The server has encountered an exception! {errorMsg}");
break;
}
}
}
}
/// <summary>
/// Called when an order has been sent. Triggers the OrderSent event.
/// </summary>
/// <param name="order">The order information that was sent.</param>
private void OnOrderSent(OrderInfo order)
{
OrderSent.SafeTrigger(order);
}
