public void testCanGoLiveWithoutCloseTime()
{
var liveSystem = LIVE_SYSTEM;
liveSystem.setQClassName(typeof(ExampleSymbolSystem).FullName);
liveSystem.populateDetailsIfNeeded(false);
liveSystem.insertParameter("lookback", "2");
liveSystem.insertParameter("LeadBars", "0");
MarketSessionTable.SESSION.update(SYMBOL.name, Session.DAY, "NO_CLOSE", 0);
ExchangeSessionTable.EXCHANGE_SESSION.update(new Market(SYMBOL.name).exchange(), Session.DAY, "NO_CLOSE", 0);
var args = new SystemArguments(SYMBOL, new Parameters {
{ "systemId", liveSystem.id() },
{ "RunMode", (double)RunMode.LIVE }
});
var simulator = makeSimulator(args);
simulator.processBars(300);
while (O.hasContent(simulator.allPositions()))
{
simulator.nextBar();
}
simulator.goLive();
var time = simulator.currentDate().AddDays(1);
O.freezeNow(time);
noPosition(simulator);
var current = new Bar(120, 120, 120, 120, time);
tick(simulator, current, SYMBOL);
hasPosition(simulator);
time = time.AddSeconds(1);
current = current.update(new Tick(118, 1, time));
tick(simulator, current, SYMBOL);
}
public void testCanRunSystem()
{
var className = "Q.Systems.NDayBreak";
var parameters = new Parameters(className)
{
{ "ATRLen", 10 },
{ "ATRlong", 100 },
{ "BreakDays", 30 },
{ "FirstDayATR", 1 },
{ "FixEquity", 1 },
{ "InitEquity", 6000000 },
{ "LeadBars", 50 },
{ "MaxPyramid", 1 },
{ "Risk", 0.02 },
{ "nATR", 2 },
{ "upATR", 2 },
{ "systemId", 39 }
};
var markets = O.list(new Symbol(new Market("RE.TEST.TY.1C")));
var arguments = new SystemArguments(markets, parameters);
var simulator = new Simulator(arguments, "NOSENDMESSAGES");
simulator.processBars(300);
AlmostEqual(293099.30, simulator.pnl(), 0.01);
}
[Test] public void fullRun()
{
O.freezeNow("2009/01/15"); // so that params don't change out from under us
var args = new SystemArguments(
symbol(),
new Parameters {
{ "systemId", 188387 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "maType", 2 },
{ "maLength", 8 },
{ "stDevLength", 10 },
{ "regressionProjectionBars", 5 },
{ "regressionBars", 8 },
{ "ZEntry", 2 },
{ "minPnLMultTC", 5 },
{ "stopMultiple", 3 },
{ "RiskDollars", 100000000 },
{ "ZExit", 1 },
{ "MaxBarsHeld", 999 },
{ "LeadBars", leadBars() }
});
BarLoader barLoader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol()), date("2004/11/26"));
var simulator = new Simulator.Simulator(args, barLoader, OrderTable.prefix);
simulator.processBars();
// using slippage for RE.TEST.TY.1C: 0.015625
// Date range: 11/26/04 - 4/18/08
// Parameter set from the parameters() method below.
AlmostEqual(-149665265.63, simulator.pnl(), 0.01);
}
public static void Main(string[] args)
{
var arguments = Arguments.arguments(args, jStrings("system", "prefix"));
var system = arguments.get("system");
var prefix = arguments.get("prefix", PREFIX_DEFAULT);
LogC.setOut("Tomahawk", Systematic.logsDir().file("Tomahawk." + system + ".log").path(), true);
LogC.useJavaLog = true;
LogC.info("running system " + system + ", process " + processId());
var liveSystems = accept(list <LiveSystem>(MsivLiveHistory.LIVE.liveSystems()), ls => ls.siv().system().Equals(system));
each(liveSystems, liveSystem => {
Bomb.when(liveSystem.details().runInNativeCurrency(), () => "not allowed to run live systems in native currency");
var markets = list <Market>(liveSystem.markets());
var symbols = convert(markets, market => new Symbol(market.name(), market.bigPointValue()));
var systemId = liveSystem.id();
var parameters = new Parameters {
{ "systemId", systemId },
{ "RunMode", (double)RunMode.LIVE }
};
Bomb.when(isEmpty(symbols), () => "No markets for " + systemId);
var systemArguments = new SystemArguments(symbols, parameters);
var start = date(systemArguments.interval().isDaily() ? BloombergSecurity.BBG_START_HISTORICAL : BloombergSecurity.BBG_START_INTRADAY);
if (parameters.has("DaysBack"))
{
start = now().AddDays(-parameters.get <int>("DaysBack"));
}
var loader = new SystemDbBarLoader(liveSystem.details().interval(), symbols, start);
var simulator = new Simulator(systemArguments, loader, prefix);
simulator.processBars();
simulator.goLive();
});
sleep(Int32.MaxValue);
}
public Simulator simulator(SystemArguments args, string prefix)
{
var simulator = new Simulator(args, this, prefix);
setSpudManager(simulator.bridge.manager);
return(simulator);
}
public Simulator.Simulator newSimulator(Action <Collectible, PlotDefinition> addPlot)
{
var args = new SystemArguments(symbols(), parameters)
{
runInNativeCurrency = runInNativeCurrency
};
args.newPlotRequest += addPlot;
return(new Simulator.Simulator(args, loader(args.interval()), "UNUSEDHOPEFULLY"));
}
public Simulator(SystemArguments args, BarLoader data, string topicPrefix)
{
newBarListeners = new LazyDictionary <Symbol, Action <Bar> >(symbol => doNothing);
this.data = data;
symbols = args.symbols;
bridge = args.bridgeBase(topicPrefix);
dateIndex = 0;
processBarComplete += doNothing;
interval = args.interval();
}
public StatisticsManager(System system, SystemArguments arguments)
{
this.system = system;
this.arguments = arguments;
system.addCollectorsTo(arguments, collectors);
each(arguments.portfolios, p => p.addCollectorsTo(arguments, collectors));
allPortfolio = new Portfolio("ALL", arguments.siv());
each(arguments.symbols, symbol => allPortfolio.Add(symbol, 1.0));
allPortfolio.addCollectorsTo(arguments, collectors);
onNewTrade += doNothing;
}
public StatisticsCollector(SystemArguments arguments)
{
this.arguments = arguments;
trackers.Add("ALL", new TradeTracker((position, pnl) => true));
trackers.Add("WINNING", new TradeTracker((position, pnl) => isWin(pnl)));
trackers.Add("LOSING", new TradeTracker((position, pnl) => isLoser(pnl)));
trackers.Add("NEUTRAL", new TradeTracker((position, pnl) => pnl == 0));
trackers.Add("LONG_WINNING", new TradeTracker((position, pnl) => isWin(pnl) && position.entry().isLong()));
trackers.Add("LONG_LOSING", new TradeTracker((position, pnl) => isLoser(pnl) && position.entry().isLong()));
trackers.Add("SHORT_WINNING", new TradeTracker((position, pnl) => isWin(pnl) && position.entry().isShort()));
trackers.Add("SHORT_LOSING", new TradeTracker((position, pnl) => isLoser(pnl) && position.entry().isShort()));
}
public void testOnClose()
{
var args = new SystemArguments(SYMBOL, new Parameters {
{ "systemId", 6172 },
{ "LeadBars", 0 },
{ "RunMode", (double)RunMode.RIGHTEDGE }
});
var simulator = makeSimulator(args);
simulator.processBars(300);
// simulator.processBars();
// full date range: AlmostEqual(54890.63 - 164000, simulator.pnl(), 0.01);
AlmostEqual(-8109.38, simulator.pnl(), 0.01);
}
[Test] public void fullRun()
{
O.freezeNow("2009/01/15"); // so that params don't change out from under us
var args = new SystemArguments(
symbol(),
new Parameters {
{ "systemId", 63234 },
{ "RunMode", (double)RunMode.LIVE }
});
var simulator = new Simulator.Simulator(args, OrderTable.prefix);
simulator.processBars(300);
// using slippage for RE.TEST.TY.1C: 0.015625
// Full run AlmostEqual(-1975093.75, simulator.pnl(), 0.01);
AlmostEqual(-184296.88, simulator.pnl(), 0.01);
}
public void testNDayBreak()
{
LogC.setOut("stop", @"U:\Knell\stop.log", true);
O.freezeNow("2008/11/01"); // so that params don't change out from under us
var args = new SystemArguments(SYMBOL, new Parameters {
{ "systemId", 39 },
{ "RunMode", (double)RunMode.LIVE }
});
var simulator = makeSimulator(args);
simulator.processBars(300);
// using slippage for RE.TEST.TY.1C: 0.015625
// AlmostEqual(6266670.11, simulator.pnl(), 0.01); // InitEquity 6000000, slippage = 0
// full date range: AlmostEqual(5683201.36, simulator.pnl(), 0.01); // InitEquity 6000000, slippage = 0.015625
AlmostEqual(293099.30, simulator.pnl(), 0.01);// 300 bars, InitEquity 6000000, slippage = 0.015625
}
public void testSystemSystemCurveFileGeneration()
{
var args = new SystemArguments(SYMBOL, new Parameters {
{ "systemId", 320978 },
{ "Risk", 10000 },
{ "RunMode", (double)RunMode.LIVE }
});
MsivTable.MSIVS.insert(SYMBOL.name, args.siv());
var simulator = makeSimulator(args);
simulator.processBars(30);
simulator.writeCurveFiles(curvesDirectory);
var written = curvesDirectory.file(args.liveSystem().fileName(SYMBOL.name) + ".bin");
AreEqual(30 * 3 * 8, written.size());
}
public void testNBarFade()
{
O.freezeNow("2009/03/10");
var symbol = new Symbol("RE.TEST.TY.1C", 1000);
var args = new SystemArguments(symbol, new Parameters {
{ "systemId", 133486 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "LeadBars", 50 },
{ "ATRLen", 5 },
{ "nDays", 6 },
{ "nATRentry", 1.5 },
{ "exitATRmultiple", 1 },
{ "stopAfStep", 0.02 },
{ "stopAfMax", 0.2 },
{ "entryBarWindow", 2 },
{ "closeBetter", 1 },
{ "riskDollars", 100000000 }
});
var loader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol), date("2003/01/01"));
var simulator = new Simulator(args, loader, OrderTable.prefix);
simulator.processBars();
}
public override void addCollectorsTo(SystemArguments arguments, Dictionary <Collectible, StatisticsCollector> collectors)
{
each(arguments.symbols, symbol => collectors[symbol] = new StatisticsCollector(arguments));
}
public void addCollectorsTo(SystemArguments arguments, Dictionary <Collectible, StatisticsCollector> collectors)
{
collectors.Add(this, new StatisticsCollector(arguments));
}
static Simulator makeSimulator(SystemArguments args)
{
return(new Simulator(args, OrderTable.prefix));
}
public Simulator(SystemArguments args, string topicPrefix) : this(args, new SystemDbBarLoader(args.interval(), args.symbols), topicPrefix)
{
}
public CommodityCarryPairGenerator(SystemArguments arguments) : base(arguments)
{
}
public SomeCombination(SystemArguments arguments) : base(arguments)
{
}
