public static void addPreciousMetalSpots(EWrapperImpl ibClient)
{
string[] names = new string[] {
"XAUUSD",
"XAGUSD",
"XPTUSD"
};
foreach (string symbol in names)
{
Contract contract = new Contract();
contract.Symbol = symbol;
contract.SecType = "CMDTY";
contract.Currency = "USD";
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, contract);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "US", new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0), true))
{
Console.WriteLine("Added " + symbol);
}
}
}
public static void addFXSpots(EWrapperImpl ibClient)
{
string[][] names = new string[][] {
new string[] { "NZD", "USD" },
new string[] { "AUD", "USD" },
new string[] { "GBP", "USD" },
new string[] { "USD", "JPY" },
new string[] { "EUR", "USD" },
new string[] { "USD", "CAD" },
new string[] { "USD", "CHF" }
};
foreach (string[] symbol in names)
{
Contract contract = new Contract();
contract.Symbol = symbol[0];
contract.SecType = "CASH";
contract.Currency = symbol[1];
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, contract);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "CME", new TimeSpan(17, 15, 0), new TimeSpan(17, 0, 0), true))
{
Console.WriteLine("Added " + symbol);
}
}
}
public BacktestEngine(EWrapperImpl wrapper, DBAccess.DBAccess db, XmlNode config)
{
_wrapper = wrapper;
_db = db;
_tm = ThreadManager.instance;
lock (_lock)
{
_wrapper.nextOrderId = DBAccess.DBAccess.instance.getMaxOrderId() + 1;
}
_config = config;
_account = config["Account"].InnerText;
_startDate = DateTime.Parse(config["StartDate"].InnerText);
string endDateStr = config["EndDate"].InnerText;
if (endDateStr == "Today")
{
_endDate = DateTime.Today;
}
else
{
_endDate = DateTime.Parse(endDateStr);
}
_barType = config["BarType"].InnerText;
_minBarSize = Int32.Parse(config["MinBarSize"].InnerText);
_slippage = Int32.Parse(config["Slippage"].InnerText);
_limitIncludeTouch = Boolean.Parse(config["LimitIncludeTouch"].InnerText);
_source = config["MarketDataSource"].InnerText;
_reportFolder = config["ReportFolder"].InnerText;
_interval = new TimeSpan(0, 0, _minBarSize);
_mktData = new Dictionary <int, Bar[]>();
_currMktIndices = new Dictionary <int, int>();
_barIds = new List <int>();
_barTickerMap = new Dictionary <int, int>();
_tickTickerMap = new Dictionary <int, int>();
_mktTimeZoneMap = new Dictionary <int, TimeZoneInfo>();
_contractBarMap = new Dictionary <int, int>();
_orderContractMap = new Dictionary <int, Contract>();
_barSlippageMap = new Dictionary <int, double>();
_currTime = _startDate;
_currd = _currTime.Date;
_liveOrders = new SortedDictionary <int, Order>();
_ocaGroups = new Dictionary <string, List <int> >();
_childOrders = new Dictionary <int, List <int> >();
_executions = new SortedDictionary <int, Execution>();
_timeEventHandlers = new SortedDictionary <int, List <onTime> >();
_timeEventRefreshed = new Dictionary <int, bool>();
_isDone = new Dictionary <int, bool>();
_sleepId = 0;
_sleepEvents = new Dictionary <int, AutoResetEvent>();
_nextBarEvent = new ManualResetEvent(true);
}
//IBStrategy.exe --strategies=43,44,42 --run_config=E:\Temp\AccountConfig.xml
static void Main(string[] args)
{
List <int> strategy_ids = new List <int>();
string run_config_file;
Dictionary <string, string> argmap = new Dictionary <string, string>();
if (args != null && args.Length > 0)
{
foreach (string arg in args)
{
if (arg.StartsWith("--strategies"))
{
argmap.Add("strategies", arg.Substring(13));
}
if (arg.StartsWith("--run_config"))
{
argmap.Add("run_config", arg.Substring(13));
}
}
}
if (!argmap.ContainsKey("run_config"))
{
Console.Write("Please input run config file: ");
argmap.Add("run_config", Console.ReadLine());
}
if (!argmap.ContainsKey("strategies"))
{
Console.Write("Please input strategy ids: ");
argmap.Add("strategies", Console.ReadLine());
}
string[] strats = argmap["strategies"].Split(',');
int ret;
foreach (string strat in strats)
{
if (Int32.TryParse(strat, out ret))
{
strategy_ids.Add(ret);
Console.WriteLine("Adding strategy " + ret.ToString());
}
}
run_config_file = argmap["run_config"];
Console.WriteLine("Run Config: " + run_config_file);
string run_config = File.ReadAllText(run_config_file);
XmlDocument xml = new XmlDocument();
xml.LoadXml(run_config);
XmlNode xn1 = xml.SelectSingleNode("/Config");
string server = xn1["Server"].InnerText;
string database = xn1["Database"].InnerText;
//string engine_type = xn1["EngineType"].InnerText;
DBAccess.DBAccess.instance.connect(server, database);
Thread.Sleep(1000);
EWrapperImpl ibClient = new EWrapperImpl(run_config, true);
string engine_type = xn1["EngineType"].InnerText;
if (engine_type == "TWS")
{
XmlNode xnib = xn1.SelectSingleNode("IBConfig");
string ip = xnib["IP"].InnerText;
int port = Int32.Parse(xnib["Port"].InnerText);
bool extraAuth = Boolean.Parse(xnib["ExtraAuth"].InnerText);
ibClient.IBClientSocket.eConnect(ip, port, 0, extraAuth);
var reader = new EReader(ibClient.IBClientSocket, ibClient.Signal);
reader.Start();
new Thread(() => { while (ibClient.IBClientSocket.IsConnected())
{
ibClient.Signal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
}
while (ibClient.nextOrderId <= 0)
{
Thread.Sleep(100);
}
OrderManager.instance.set(Math.Max(ibClient.nextOrderId - 1, DBAccess.DBAccess.instance.getMaxOrderId()));
ibClient.initialize(strategy_ids);
//Utilities.addSGXFutures(ibClient);
//Utilities.addOilFutures(ibClient);
//Utilities.addNYMEXFutures(ibClient);
//Utilities.addUSLiquidETFs(ibClient);
//Utilities.addUSHighVolStocks(ibClient);
//Utilities.addPreciousMetalSpots(ibClient);
//Utilities.addFXSpots(ibClient);
if (engine_type == "TWS")
{
while (true)
{
}
;
}
else
{
ibClient.BacktestClientSocket.run();
}
}
public static void addSGXFutures(EWrapperImpl ibClient)
{
string[] expiries = new string[] {
"201703",
"201702",
"201701",
"201612",
"201611",
"201610",
"201609",
"201608",
"201607",
"201606",
"201605",
"201604",
"201603",
"201602",
"201601",
"201512"
};
string[] expiries_nk = new string[]
{
"201703",
"201612",
"201609",
"201606",
"201603",
"201512"
};
Tuple <string, string, TimeSpan, TimeSpan, string[]>[] symbols = new Tuple <string, string, TimeSpan, TimeSpan, string[]>[] {
new Tuple <string, string, TimeSpan, TimeSpan, string[]>("STW", "USD", new TimeSpan(8, 30, 0), new TimeSpan(13, 45, 0), expiries),
new Tuple <string, string, TimeSpan, TimeSpan, string[]>("SSG", "SGD", new TimeSpan(8, 30, 0), new TimeSpan(17, 10, 0), expiries),
new Tuple <string, string, TimeSpan, TimeSpan, string[]>("XINA50", "USD", new TimeSpan(9, 0, 0), new TimeSpan(16, 30, 0), expiries),
new Tuple <string, string, TimeSpan, TimeSpan, string[]>("NIFTY", "USD", new TimeSpan(9, 0, 0), new TimeSpan(18, 15, 0), expiries),
new Tuple <string, string, TimeSpan, TimeSpan, string[]>("SGXNK", "JPY", new TimeSpan(7, 30, 0), new TimeSpan(14, 30, 0), expiries_nk),
};
foreach (var info in symbols)
{
foreach (string expiry in info.Item5)
{
Contract stw = new Contract();
stw.Symbol = info.Item1;
stw.SecType = "FUT";
stw.Currency = info.Item2;
stw.Exchange = "SGX";
stw.LastTradeDateOrContractMonth = expiry;
stw.IncludeExpired = true;
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, stw);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "SGX", info.Item3, info.Item4, true))
{
Console.WriteLine("Added " + stw.Symbol + " " + expiry);
}
}
}
}
public static void addNYMEXFutures(EWrapperImpl ibClient)
{
string[] names = new string[] {
"CL",
"RB",
"HO",
"NG"
};
string[] expiries = new string[] {
"201503",
"201504",
"201505",
"201506",
"201507",
"201508",
"201509",
"201510",
"201511",
"201512",
"201601",
"201602",
"201603",
"201604",
"201605",
"201606",
"201607",
"201608",
"201609",
"201610",
"201611",
"201612",
"201701",
"201702",
"201703",
"201704",
"201705",
"201706",
"201707",
"201708",
"201709"
};
foreach (string symbol in names)
{
foreach (string expiry in expiries)
{
Contract contract = new Contract();
contract.Symbol = symbol;
contract.SecType = "FUT";
contract.Currency = "USD";
contract.Exchange = "NYMEX";
contract.LastTradeDateOrContractMonth = expiry;
contract.IncludeExpired = true;
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, contract);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "CME", new TimeSpan(18, 0, 0), new TimeSpan(17, 0, 0), true)) // EST
{
Console.WriteLine("Added " + symbol);
}
}
}
}
public static void addUSHighVolStocks(EWrapperImpl ibClient)
{
//These names are of top intraday volatilities,
//with daily volume > 2M and price in [20,200]
string[] names = new string[] {
"IONS",
"MNK",
"X",
"ACAD",
"CLVS",
"CRC",
"CC",
"FRAC",
"NVDA",
"HTZ",
"JUNO",
"ATI",
"SM",
//"TCK",
"SLW",
"MOMO",
"KSS",
"NEM",
"ALXN",
"FNSR",
"TECK",
"GPOR",
"FSLR",
"AEM",
"JBLU",
"PBF",
"M",
"RICE",
"GPS",
"MU",
"RRC",
"AA",
"STX",
"HFC",
"JWN",
"HES",
"MUR",
"MBLY",
"URBN",
"CF",
"XIV",
"STLD",
"QCOM",
"LW",
"PK",
"PTEN",
"CMC",
"VRTX",
"YELP",
"MAT",
"CLR",
"MYL",
"COG",
"WDC",
"TEVA",
"NBL",
"BAC",
"CELG",
"GME",
"MPC",
"YUMC",
"AOBC",
"BMY",
"SWFT",
"DKS",
"DVN",
"NFLX",
"PE",
"ETP",
"SQQQ",
"MOS",
"WYNN",
"BBBY",
"CXW",
"NFX",
"KORS",
"NUE",
"AR",
"TSO",
"BBY",
"UAL",
"WMB",
"UA",
"AAL",
"SWKS",
"LVS",
"JD",
"ARNC",
"TRIP",
"MCK",
"BX",
"KMI",
"DAL",
"UAA",
"DISH",
"AET",
"PAA",
"ABC",
"VLO",
"CIEN",
"SKX",
"TRGP",
"NOV",
"APC",
"GM",
"APA",
//"AWAY",
"MS",
"HPE",
"PHM",
"FITB",
"C",
"DLTR",
"LUV",
"KSU",
"COP",
"LB",
"SUM",
"CFG",
"LNG",
"ESRX",
"WNR",
"BHI",
"ZAYO",
"SXL",
"DISCA",
"MGM",
"ZION",
"EVHC",
"KMX",
"FTNT",
"DHI",
"JBL",
"YNDX",
"EOG",
"LULU",
"HBI",
"XLNX",
"TMUS",
"OLN",
"BABA",
"MNST",
"BIDU",
"GGP",
"HUN",
"DB",
};
foreach (string symbol in names)
{
Contract contract = new Contract();
contract.Symbol = symbol;
contract.SecType = "STK";
contract.Currency = "USD";
contract.Exchange = "SMART";
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, contract);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "US", new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0), true))
{
Console.WriteLine("Added " + symbol);
}
}
Console.WriteLine("US High Vol stocks all loaded!");
}
public static void addUSLiquidETFs(EWrapperImpl ibClient)
{
string[] names = new string[] {
"IWM",
"IWN",
"IWO",
"IWF",
"IWD",
"IWB",
"IWV",
"IUSV",
"IUSG",
"IWS",
"IWC",
"IWR",
"IWP",
"SPY",
//"UWTI",
"VXX",
"UGAZ",
"EEM",
"XLF",
"EWJ",
"NUGT",
"QQQ",
"FXI",
"USO",
"EFA",
"XIV",
"EWZ",
"TZA",
"XLE",
"UVXY",
"XLU",
"VWO",
"DGAZ",
"RSX",
"TLT",
"XOP",
"SDS",
"IYR",
"XLI",
"XLK",
"JNK",
"EWT",
"XLV",
"UCO",
"XLP",
"EZU",
"OIH",
"TVIX",
"HYG",
"SQQQ",
"SLV",
"EWG",
"UNG",
"DUST",
"AMLP",
"XLY",
"EPI",
"VGK",
"DIA",
"VEA",
"TNA",
"SPXU",
"KRE",
"XLB",
"JDST",
"DBEF",
"VNQ",
"SMH",
"SSO",
"JNUG",
"OIL",
"QID",
"IVV",
"SH",
"TBT",
"FAS",
"EWH",
"LQD",
"ITB",
"XHB",
"TQQQ",
"IAU",
"FAZ",
"EWU",
"UUP",
"FEZ",
"IEMG",
"UPRO",
"VTI",
"XME",
"EWY",
"BKLN",
"EWI",
"INDA",
"EWW",
"BND",
"XRT",
"EWA",
"PFF",
"EWC",
"AGG",
"VEU",
//"DWTI",
"AMJ",
"DBC"
};
foreach (string symbol in names)
{
Contract contract = new Contract();
contract.Symbol = symbol;
contract.SecType = "STK";
contract.Currency = "USD";
contract.Exchange = "SMART";
int reqId = TickerGenerator.instance.get();
ibClient.IBClientSocket.reqContractDetails(reqId, contract);
while (!ibClient.contractDetailsMap.ContainsKey(reqId))
{
Thread.Sleep(100);
}
ContractDetails details = ibClient.contractDetailsMap[reqId];
if (DBAccess.DBAccess.instance.setContract(details, "US", new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0), true))
{
Console.WriteLine("Added " + symbol);
}
}
Console.WriteLine("US Liquid ETFs all loaded!");
}
