private void btSetVolumes_Click(object sender, EventArgs e)
{
if (Algo.SelectLogFile())
{
if (Algo.SelectSettingsFile())
{
Parameters.isVolumeSet = true;
TradeInfoCollection trades;
string logFilename = Algo.logFilename;
string currentSettingsFile = Algo.currentSettings;
string dir;
dir = Environment.CurrentDirectory;
Algo.CopyStepsAndCountDecimalDigits();
Filters OptimizationSettings = Filters.LoadOptimizationSettings("OptimizationSettings.xml");
trades = new TradeInfoCollection(logFilename, Parameters, Algo.Steps, OptimizationSettings.ParametersIndexes, OptimizationSettings);
int daysCount;
daysCount = trades.allDates.Count < Parameters.DaysForSetVolumes ? trades.allDates.Count : Parameters.DaysForSetVolumes;
VolumesSetter volume;
volume = new VolumesSetter(Parameters);
ConcurrentDictionary <string, ConcurrentDictionary <string, int> > Volumes;
Volumes = new ConcurrentDictionary <string, ConcurrentDictionary <string, int> >();
if (Parameters.Use322)
{
Volumes = volume.CalculateVolumes322(trades.DaysProfitExpectancy);
}
if (Parameters.UsePortfolio)
{
var averagePoints = volume.CalculateAveragePointsPerDay(trades.DaysPoints, daysCount);
var CovariationMatrix = volume.GetCovariationMatrix(trades.DaysPoints, averagePoints, daysCount);
Volumes = volume.GetVolumes(CovariationMatrix, averagePoints);
}
volume.GetXMLwithVolumes(currentSettingsFile, Volumes);
MessageBox.Show("Volumes are calculated!");
}
else
{
MessageBox.Show("Please select settings filename!");
}
}
else
{
MessageBox.Show("Please select log filename!");
}
}
private void btSetMaxDD_Click(object sender, EventArgs e)
{
if (Algo.SelectLogFile())
{
if (Algo.SelectSettingsFile())
{
Parameters.isMaxDDSet = true;
TradeInfoCollection trades;
string logFilename = Algo.logFilename;
string currentSettingsFile = Algo.currentSettings;
string dir;
dir = Environment.CurrentDirectory;
Algo.CopyStepsAndCountDecimalDigits();
Filters OptimizationSettings = Filters.LoadOptimizationSettings("OptimizationSettings.xml");
trades = new TradeInfoCollection(logFilename, Parameters, Algo.Steps, OptimizationSettings.ParametersIndexes, OptimizationSettings);
MaxDDSetter ddset = new MaxDDSetter(Parameters, trades.DealsPoints, currentSettingsFile, trades.DealsPointsGlobal, trades.DealsPointsPercent, trades.totalDealsCount);
if (ddset.GetXMLmaxDD())
{
MessageBox.Show("MaxDD and delays are calculated!");
}
else
{
MessageBox.Show("There are some problems with MaxDD and delays calculating!");
}
}
else
{
MessageBox.Show("Please select settings filename!");
}
}
else
{
MessageBox.Show("Please select log filename!");
}
}
public void StartOptimization()
{
CopyStepsAndCountDecimalDigits();
var dir = Environment.CurrentDirectory;
// load/parse/filter trade data
trades = new TradeInfoCollection(logFilename, Parameters, Steps, OptimizationSettings.ParametersIndexes, OptimizationSettings);
var symbols = new List <string>(trades.Trades.Keys);
var exchanges = trades.GetArgExchanges();
Directory.CreateDirectory(dir + "/Recomends");
Directory.CreateDirectory(dir + "/Recomends/log");
// число изменяемых параметров
inflectiveNumber = CalcInflectiveNumber();
// Calculate initial position
initialPos = initialPositionOpt(inflectiveNumber);
Queue <KeyValuePair <SymbolExchangeTradeCount, Thread> > taskQueueFat = new Queue <KeyValuePair <SymbolExchangeTradeCount, Thread> >();
Queue <KeyValuePair <SymbolExchangeTradeCount, Thread> > taskQueueFit = new Queue <KeyValuePair <SymbolExchangeTradeCount, Thread> >();
Dictionary <int, ThreadType> threadPool = new Dictionary <int, ThreadType>();
PercentOfCompletedTasks = 0;
List <SymbolExchangeTradeCount> symExCounts = new List <SymbolExchangeTradeCount>();
foreach (KeyValuePair <string, ConcurrentDictionary <string, List <TradeInfo> > > sympair in trades.Trades)
{
foreach (KeyValuePair <string, List <TradeInfo> > expair in sympair.Value)
{
symExCounts.Add(new SymbolExchangeTradeCount()
{
Symbol = sympair.Key,
Symbol_ = sympair.Key.Replace('/', '_'),
Exchange = expair.Key,
Count = expair.Value.Count
});
}
}
var orderedFeedsForSplit = symExCounts.OrderByDescending(feed => feed.Count).ToList();
int tradesTotal = orderedFeedsForSplit.Sum(feed => feed.Count);
if (Parameters.UseOpenCLDevice)
{
var pointer = 0;
var currentPercent = 0.0;
for (int i = 0; i < orderedFeedsForSplit.Count; i++)
{
currentPercent += (orderedFeedsForSplit[i].Count / (float)tradesTotal) * 100;
if (currentPercent >= 50.0F)
{
pointer = i;
break;
}
}
Parameters.MinTradesForUseOpenCL = orderedFeedsForSplit[pointer].Count;
}
var orderedFeedsFat = new List <SymbolExchangeTradeCount>();
var orderedFeedsFit = new List <SymbolExchangeTradeCount>();
if (Parameters.UseOpenCLDevice)
{
var fat = orderedFeedsForSplit.Where(feed => feed.Count >= Parameters.MinTradesForUseOpenCL).ToList();
var fit = orderedFeedsForSplit.Where(feed => feed.Count < Parameters.MinTradesForUseOpenCL).OrderBy(feed => feed.Count).ToList();
fat.ForEach(feed => { orderedFeedsFat.Add(feed); feed.IsFatFeed = true; });
fit.ForEach(feed => { orderedFeedsFit.Add(feed); feed.IsFatFeed = false; });
}
else
{
orderedFeedsForSplit.ForEach(feed => orderedFeedsFat.Add(feed));
}
tradesCompleted = 0;
foreach (var feed in orderedFeedsFat)
{
string symbol_ = feed.Symbol.Replace('/', '_');
// check for skipping symbol/exchange pair
if (!FilteringSettings[feed.Symbol, feed.Exchange])
{
continue;
}
Thread t = new Thread(new ParameterizedThreadStart(OptimizerStarter));
t.Priority = ThreadPriority.Highest;
taskQueueFat.Enqueue(new KeyValuePair <SymbolExchangeTradeCount, Thread>(feed, t));
taskCount++;
tasksRest++;
}
foreach (var feed in orderedFeedsFit)
{
string symbol_ = feed.Symbol.Replace('/', '_');
// check for skipping symbol/exchange pair
if (!FilteringSettings[feed.Symbol, feed.Exchange])
{
continue;
}
Thread t = new Thread(new ParameterizedThreadStart(OptimizerStarter));
t.Priority = ThreadPriority.Highest;
taskQueueFit.Enqueue(new KeyValuePair <SymbolExchangeTradeCount, Thread>(feed, t));
taskCount++;
tasksRest++;
}
try
{
if (Parameters.UseOpenCLDevice)
{
OpenCLService.Device = Parameters.OpenCLDevice;
OpenCLService.Platform = OpenCLService.Device.Platform;
OpenCLService.IsRunning = false;
OpenCLService.InitOpenCLService();
OpenCLService.Start();
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
var index = 0;
for (int i = 0; i < (Parameters.UseOpenCLDevice ? Parameters.MaxConcurrency / 2 : Parameters.MaxConcurrency); i++)
{
if (taskQueueFat.Count > 0)
{
KeyValuePair <SymbolExchangeTradeCount, Thread> pair = taskQueueFat.Dequeue();
threadPool.Add(index, new ThreadType()
{
Thread = pair.Value, Info = pair.Key
});
pair.Value.Start(pair.Key);
index++;
}
if (taskQueueFit.Count > 0)
{
KeyValuePair <SymbolExchangeTradeCount, Thread> pair = taskQueueFit.Dequeue();
threadPool.Add(index, new ThreadType()
{
Thread = pair.Value, Info = pair.Key
});
pair.Value.Start(pair.Key);
index++;
}
}
while (threadPool.Count > 0)
{
Thread.Sleep(2000);
try
{
var fatCount = 0;
var fitCount = 0;
foreach (var feed in threadPool)
{
fatCount += feed.Value.Info.IsFatFeed ? 1 : 0;
fitCount += feed.Value.Info.IsFatFeed ? 0 : 1;
}
var addFit = fatCount >= fitCount ? true : false;
for (int i = 0; i < Parameters.MaxConcurrency; i++)
{
if (i >= threadPool.Count)
{
break;
}
int key = threadPool.Keys.ToArray()[i];
Thread curThread = threadPool[key].Thread;
if (curThread == null)
{
continue;
}
if (curThread.ThreadState == System.Threading.ThreadState.Stopped)
{
MainForm.progressBar.Invoke(new Action(() =>
{
PercentOfCompletedTasks = (int)(((double)(tradesCompleted) / (double)tradesTotal) * 100);
MainForm.progressBar.Value = PercentOfCompletedTasks;
MainForm.EsitmatedTime = new TimeSpan((long)(((double)MainForm.ElapsedTime.Ticks / (double)(tradesCompleted)) * (double)(tradesTotal - tradesCompleted)));
MainForm.ProjectedTotalTime = MainForm.EsitmatedTime + MainForm.ElapsedTime;
Application.DoEvents();
}));
Queue <KeyValuePair <SymbolExchangeTradeCount, Thread> > taskQueue;
taskQueue = addFit ? taskQueueFit : taskQueueFat;
if (taskQueue.Count > 0)
{
KeyValuePair <SymbolExchangeTradeCount, Thread> pair = taskQueue.Dequeue();
threadPool[key] = new ThreadType()
{
Thread = pair.Value, Info = pair.Key
};
threadPool[key].Thread.Start(pair.Key);
}
else if (taskQueueFat.Count == 0 && taskQueueFit.Count == 0)
{
threadPool.Remove(key);
break;
}
else
{
taskQueue = addFit ? taskQueueFat : taskQueueFit;
KeyValuePair <SymbolExchangeTradeCount, Thread> pair = taskQueue.Dequeue();
threadPool[key] = new ThreadType()
{
Thread = pair.Value, Info = pair.Key
};
threadPool[key].Thread.Start(pair.Key);
}
}
}
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
}
if (Parameters.UseOpenCLDevice)
{
OpenCLService.Stop();
}
try
{
XMLcopyDefTrivial(symbols, exchanges, currentSettings);
}
catch (Exception ex)
{
MessageBox.Show(ex.Message);
}
MainForm.Invoke(new Action(() =>
{
MainForm.UnlockControls();
MainForm.timer.Stop();
MainForm.lbEstimatedTimeValue.Text = "00:00:00";
MainForm.progressBar.Value = 100;
MessageBox.Show("Optimization completed!");
}));
}